Fidelity Puritan Fund (FPURX) N-CSRS Certified semi-annual shareholder report (management investment company)

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:	February 28, 2009

Item 1. Reports to Stockholders

Fidelity^®
Balanced
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message	<Click Here>	Ned Johnson's message to shareholders.
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.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

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

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual 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 (September 1, 2008 to February 28, 2009).

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.

Semiannual Report

Shareholder Expense Example - continued

	Annualized Expense Ratio	Beginning Account Value September 1, 2008	Ending Account Value February 28, 2009	Expenses Paid During Period* September 1, 2008 to February 28, 2009
Balanced	.68%
Actual		$ 1,000.00	$ 676.10	$ 2.83
Hypothetical A		$ 1,000.00	$ 1,021.42	$ 3.41
Class K	.49%
Actual		$ 1,000.00	$ 676.50	$ 2.04
Hypothetical A		$ 1,000.00	$ 1,022.36	$ 2.46

^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 181/365 (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.

Semiannual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments in each non-money market Fidelity Central Fund.

Top Five Stocks as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
JPMorgan Chase & Co.	1.5	0.8
Microsoft Corp.	1.3	0.0
Procter & Gamble Co.	1.3	0.6
AT&T, Inc.	1.1	1.2
Verizon Communications, Inc.	1.0	0.6
	6.2
Top Five Bond Issuers as of February 28, 2009
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	15.7	8.8
Freddie Mac	5.3	3.4
U.S. Treasury Obligations	3.9	4.9
Government National Mortgage Association	3.7	2.3
Citigroup, Inc.	0.3	0.0
	28.9
Top Five Market Sectors as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
Financials	10.7	15.9
Information Technology	10.6	9.2
Health Care	9.7	6.3
Energy	9.2	11.8
Consumer Staples	8.7	3.9

Asset Allocation (% of fund's net assets)
As of February 28, 2009*			As of August 31, 2008**
	Stocks and Equity Futures 58.8%			Stocks and Investment Companies 64.5%
	Bonds 49.0%			Bonds 39.1%
	Convertible Securities 0.2%			Convertible Securities 0.8%
	Other Investments 0.3%			Other Investments 0.1%
	Short-Term Investments and Net Other Assets† (8.3)%			Short-Term Investments and Net Other Assets† (4.5)%
* Foreign investments		10.8%	** Foreign investments		10.4%

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

Percentages are adjusted for the effect of futures and swaps contracts, if applicable.

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 58.1%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 4.5%
Auto Components - 0.1%
Gentex Corp.	936,500		$ 7,492
Johnson Controls, Inc.	1,082,700		12,321
			19,813
Automobiles - 0.1%
Renault SA	77,300		1,110
Toyota Motor Corp. sponsored ADR	119,000		7,514
			8,624
Distributors - 0.2%
Li & Fung Ltd.	16,749,000		36,295
Diversified Consumer Services - 0.0%
New Oriental Education & Technology Group, Inc. sponsored ADR (a)(e)	72,100		3,228
Service Corp. International	690,100		2,333
			5,561
Hotels, Restaurants & Leisure - 0.6%
Burger King Holdings, Inc.	209,600		4,504
Krispy Kreme Doughnuts, Inc. warrants 3/2/12 (a)	5,495		1
McDonald's Corp.	1,696,155		88,624
Wendy's/Arby's Group, Inc.	603,800		2,735
			95,864
Household Durables - 0.2%
Centex Corp.	140,488		872
D.R. Horton, Inc.	986,800		8,338
Fortune Brands, Inc.	117,400		2,788
Harman International Industries, Inc.	226,500		2,405
Mohawk Industries, Inc. (a)	495,645		11,197
Newell Rubbermaid, Inc.	495,100		2,797
Pulte Homes, Inc.	398,800		3,661
Whirlpool Corp.	137,523		3,057
			35,115
Internet & Catalog Retail - 0.1%
Expedia, Inc. (a)	508,500		4,053
Priceline.com, Inc. (a)(e)	63,183		5,362
			9,415
Leisure Equipment & Products - 0.0%
Hasbro, Inc.	156,200		3,575
Media - 1.4%
Central European Media Enterprises Ltd. Class A (a)	662,608		4,214
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Comcast Corp.:
Class A	3,947,500		$ 51,554
Class A (special) (non-vtg.)	140,200		1,703
Discovery Communications, Inc. (a)	336,200		5,214
Liberty Global, Inc. Class A (a)	688,107		8,443
News Corp. Class A	843,800		4,692
Omnicom Group, Inc.	886,700		21,307
The DIRECTV Group, Inc. (a)	745,300		14,861
The Walt Disney Co.	977,100		16,386
Time Warner Cable, Inc. (a)	1,287,900		23,478
Time Warner, Inc.	5,500,450		41,968
Viacom, Inc. Class B (non-vtg.) (a)	1,079,700		16,617
			210,437
Multiline Retail - 0.3%
Kohl's Corp. (a)	128,210		4,505
Target Corp.	1,145,625		32,433
			36,938
Specialty Retail - 1.2%
Home Depot, Inc.	1,005,400		21,003
Lowe's Companies, Inc.	2,731,100		43,261
MarineMax, Inc. (a)	387,607		558
OfficeMax, Inc.	352,430		1,346
PetSmart, Inc.	753,223		15,095
Ross Stores, Inc.	734,221		21,674
Sally Beauty Holdings, Inc. (a)	365,500		1,414
Sherwin-Williams Co.	172,400		7,922
Staples, Inc.	1,139,866		18,181
Tiffany & Co., Inc.	174,800		3,328
TJX Companies, Inc.	1,661,800		37,008
Urban Outfitters, Inc. (a)	414,800		6,902
Zumiez, Inc. (a)	782,200		6,172
			183,864
Textiles, Apparel & Luxury Goods - 0.3%
Carter's, Inc. (a)	771,600		12,585
LVMH Moet Hennessy - Louis Vuitton	67,600		3,832
NIKE, Inc. Class B	361,600		15,017
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Textiles, Apparel & Luxury Goods - continued
Ports Design Ltd.	2,563,000		$ 2,623
VF Corp.	82,960		4,306
			38,363
TOTAL CONSUMER DISCRETIONARY			683,864
CONSUMER STAPLES - 7.9%
Beverages - 2.6%
Anheuser-Busch InBev NV	1,396,884		38,164
Coca-Cola Enterprises, Inc.	889,800		10,215
Coca-Cola FEMSA SAB de CV sponsored ADR	162,100		5,051
Coca-Cola Hellenic Bottling Co. SA sponsored ADR	251,708		2,965
Coca-Cola Icecek AS	661,000		2,741
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR	140,300		5,677
Constellation Brands, Inc. Class A (sub. vtg.) (a)	2,094,590		27,334
Cott Corp. (a)	1,806,700		1,449
Diageo PLC sponsored ADR	345,400		16,058
Dr Pepper Snapple Group, Inc. (a)	205,692		2,890
Embotelladora Andina SA sponsored ADR	426,794		6,103
Fomento Economico Mexicano SAB de CV sponsored ADR	109,683		2,527
Molson Coors Brewing Co. Class B	843,900		29,731
Pepsi Bottling Group, Inc.	290,000		5,365
PepsiCo, Inc.	2,278,756		109,699
Pernod Ricard SA	169,800		9,244
SABMiller PLC	163,396		2,365
The Coca-Cola Co.	2,869,841		117,233
			394,811
Food & Staples Retailing - 1.8%
Costco Wholesale Corp.	612,300		25,925
CVS Caremark Corp.	2,945,896		75,827
Kroger Co.	941,600		19,463
Safeway, Inc.	1,080,000		19,980
Wal-Mart Stores, Inc.	1,841,900		90,695
Walgreen Co.	1,447,700		34,542
			266,432
Food Products - 1.2%
Archer Daniels Midland Co.	880,000		23,461
Bunge Ltd. (e)	62,400		2,925
Cadbury PLC sponsored ADR	93,300		2,859
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Food Products - continued
Green Mountain Coffee Roasters, Inc. (a)	593,862		$ 22,181
Groupe Danone	177,900		8,441
Kraft Foods, Inc. Class A	316,000		7,198
Lindt & Spruengli AG	177		3,290
Nestle SA (Reg.)	1,474,388		48,194
Perdigao SA	236,400		2,903
PureCircle Ltd. (a)	47,400		112
Ralcorp Holdings, Inc. (a)	50,330		3,050
Sadia SA ADR (e)	476,600		1,630
SLC Agricola SA	556,200		3,276
Tyson Foods, Inc. Class A	1,505,680		12,693
Unilever NV (NY Shares)	1,869,100		35,719
Viterra, Inc. (a)	371,600		2,956
Wimm-Bill-Dann Foods OJSC sponsored ADR (a)(e)	53,618		1,589
			182,477
Household Products - 1.5%
Colgate-Palmolive Co.	462,000		27,803
Kimberly-Clark Corp.	153,066		7,211
Procter & Gamble Co.	3,995,981		192,486
			227,500
Personal Products - 0.2%
Avon Products, Inc.	1,640,500		28,856
Mead Johnson Nutrition Co. Class A (a)	327,700		9,041
			37,897
Tobacco - 0.6%
Altria Group, Inc.	1,255,200		19,380
British American Tobacco PLC sponsored ADR	957,500		48,871
Philip Morris International, Inc.	743,300		24,878
Souza Cruz Industria Comerico	159,800		3,204
			96,333
TOTAL CONSUMER STAPLES			1,205,450
ENERGY - 7.6%
Energy Equipment & Services - 1.9%
Global Industries Ltd. (a)	941,088		2,974
Nabors Industries Ltd. (a)	2,546,900		24,730
National Oilwell Varco, Inc. (a)	2,902,054		77,572
Noble Corp.	1,959,492		48,184
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Energy Equipment & Services - continued
Patterson-UTI Energy, Inc.	989,900		$ 8,503
Pride International, Inc. (a)	730,800		12,599
Schlumberger Ltd. (NY Shares)	695,018		26,452
Smith International, Inc.	740,640		15,909
Superior Energy Services, Inc. (a)	193,800		2,556
Transocean Ltd. (a)	50		3
Weatherford International Ltd. (a)	6,583,352		70,244
			289,726
Oil, Gas & Consumable Fuels - 5.7%
Apache Corp.	640,600		37,853
Cabot Oil & Gas Corp.	887,953		18,088
Canadian Natural Resources Ltd.	1,790,100		57,552
Chevron Corp.	1,098,600		66,696
Comstock Resources, Inc. (a)	726,766		22,115
Concho Resources, Inc. (a)	3,439,356		68,615
Concho Resources, Inc. (a)(q)	607,780		12,125
Continental Resources, Inc. (a)(e)	589,000		9,359
Denbury Resources, Inc. (a)	3,370,522		43,412
El Paso Corp.	3,407,800		23,003
Ellora Energy, Inc. (a)(g)	1,529,700		9,313
Energy Resources of Australia Ltd.	427,558		4,952
EXCO Resources, Inc. (a)	3,031,000		27,612
Hess Corp.	870,155		47,589
Occidental Petroleum Corp.	496,900		25,774
OPTI Canada, Inc. (a)	2,681,272		2,108
Petrohawk Energy Corp. (a)	5,878,704		100,056
Plains Exploration & Production Co. (a)	1,256,310		24,046
Range Resources Corp.	190,270		6,768
Royal Dutch Shell PLC Class A sponsored ADR	1,728,100		75,985
SandRidge Energy, Inc. (a)	16,408		111
Southwestern Energy Co. (a)	2,014,232		57,949
Suncor Energy, Inc.	2,054,200		42,726
Sunoco, Inc.	105,579		3,532
Ultra Petroleum Corp. (a)	646,803		22,729
Uranium One, Inc. (a)	1,046,400		1,588
Whiting Petroleum Corp. (a)	7,817		182
Williams Companies, Inc.	5,020,600		56,733
			868,571
TOTAL ENERGY			1,158,297
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - 5.6%
Capital Markets - 1.0%
BlackRock, Inc. Class A	86,900		$ 8,413
Cohen & Steers, Inc.	16,900		152
Goldman Sachs Group, Inc.	583,000		53,100
Janus Capital Group, Inc.	551,100		2,430
Morgan Stanley	2,599,923		50,802
Northern Trust Corp.	180,300		10,016
State Street Corp.	955,800		24,153
			149,066
Commercial Banks - 1.3%
Bangkok Bank Ltd. PCL (For. Reg.)	4,016,400		8,184
Mitsubishi UFJ Financial Group, Inc.	608,900		2,750
PNC Financial Services Group, Inc.	1,623,349		44,382
TCF Financial Corp.	661,600		8,111
U.S. Bancorp, Delaware	2,291,000		32,784
UCBH Holdings, Inc.	593,606		950
Uniao de Bancos Brasileiros SA (Unibanco) GDR	95,200		4,982
Wells Fargo & Co.	7,883,791		95,394
			197,537
Consumer Finance - 0.3%
American Express Co.	437,198		5,273
Capital One Financial Corp.	1,535,400		18,502
Discover Financial Services	1,358,610		7,785
Promise Co. Ltd. (e)	290,500		3,880
SLM Corp. (a)	1,169,400		5,379
			40,819
Diversified Financial Services - 1.7%
Bank of America Corp.	9,663,962		38,173
JPMorgan Chase & Co.	9,942,964		227,197
			265,370
Insurance - 1.2%
ACE Ltd.	883,800		32,268
Fidelity National Financial, Inc. Class A	315,950		5,235
Marsh & McLennan Companies, Inc.	970,900		17,408
MetLife, Inc.	1,580,163		29,170
PartnerRe Ltd.	305,400		18,904
Principal Financial Group, Inc.	626,500		5,006
Prudential Financial, Inc.	894,870		14,685
Reinsurance Group of America, Inc.	313,947		8,539
Sony Financial Holdings, Inc.	8,605		22,131
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Insurance - continued
The Travelers Companies, Inc.	326,000		$ 11,785
Unum Group	1,089,000		11,086
W.R. Berkley Corp.	148,400		3,088
			179,305
Real Estate Investment Trusts - 0.1%
Developers Diversified Realty Corp.	211,500		624
SL Green Realty Corp.	172,190		2,001
Vornado Realty Trust	290,300		9,502
			12,127
Real Estate Management & Development - 0.0%
Forestar Group, Inc. (a)	456,600		3,434
TOTAL FINANCIALS			847,658
HEALTH CARE - 9.3%
Biotechnology - 1.7%
Alexion Pharmaceuticals, Inc. (a)	21,300		728
Amgen, Inc. (a)	917,600		44,898
Biogen Idec, Inc. (a)	810,887		37,333
BioMarin Pharmaceutical, Inc. (a)	187,836		2,254
CSL Ltd.	343,729		7,949
DOV Pharmaceutical, Inc. warrants 6/2/09 (a)	34		0*
Genentech, Inc. (a)	485,889		41,568
Genzyme Corp. (a)	669,700		40,805
Gilead Sciences, Inc. (a)	1,600,273		71,692
Myriad Genetics, Inc. (a)	97,563		7,693
ONYX Pharmaceuticals, Inc. (a)	160,829		4,823
United Therapeutics Corp. (a)	115,725		7,766
			267,509
Health Care Equipment & Supplies - 1.3%
Baxter International, Inc.	1,410,400		71,803
C.R. Bard, Inc.	253,824		20,372
Cooper Companies, Inc.	187,100		4,114
Covidien Ltd.	1,716,754		54,370
Edwards Lifesciences Corp. (a)	219,055		12,182
Mako Surgical Corp.	529,285		4,144
Masimo Corp. (a)	269,675		6,739
Medtronic, Inc.	379,095		11,217
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - continued
Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares)	1,716,000		$ 2,867
St. Jude Medical, Inc. (a)	432,708		14,349
			202,157
Health Care Providers & Services - 1.0%
CardioNet, Inc.	130,823		3,271
Express Scripts, Inc. (a)	691,188		34,767
Henry Schein, Inc. (a)	206,913		7,590
McKesson Corp.	252,450		10,355
Medco Health Solutions, Inc. (a)	1,529,026		62,048
UnitedHealth Group, Inc.	1,005,645		19,761
WellPoint, Inc. (a)	352,100		11,943
			149,735
Health Care Technology - 0.2%
HLTH Corp. (a)	2,236,777		24,426
Life Sciences Tools & Services - 0.3%
Illumina, Inc. (a)	515,342		16,146
QIAGEN NV (a)	1,040,765		16,673
Waters Corp. (a)	268,400		9,453
			42,272
Pharmaceuticals - 4.8%
Abbott Laboratories	2,517,000		119,155
Allergan, Inc.	1,448,565		56,117
Bristol-Myers Squibb Co.	1,910,525		35,173
Elan Corp. PLC sponsored ADR (a)	933,500		5,769
Johnson & Johnson	2,272,491		113,625
Merck & Co., Inc.	3,493,050		84,532
Novo Nordisk AS Series B	315,700		15,369
Perrigo Co.	137,400		2,760
Pfizer, Inc.	8,258,100		101,657
Pronova BioPharma ASA (a)	1,387,101		4,433
Schering-Plough Corp.	2,759,214		47,983
Teva Pharmaceutical Industries Ltd. sponsored ADR	74,900		3,339
Valeant Pharmaceuticals International (a)(e)	717,586		12,486
Wyeth	3,042,900		124,211
			726,609
TOTAL HEALTH CARE			1,412,708
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - 5.8%
Aerospace & Defense - 1.3%
General Dynamics Corp.	237,500		$ 10,407
Honeywell International, Inc.	1,446,454		38,808
Lockheed Martin Corp.	853,074		53,838
Raytheon Co.	1,171,075		46,808
The Boeing Co.	441,500		13,881
United Technologies Corp.	727,000		29,683
			193,425
Air Freight & Logistics - 0.9%
C.H. Robinson Worldwide, Inc.	1,487,164		61,539
FedEx Corp.	421,500		18,213
United Parcel Service, Inc. Class B	1,424,900		58,677
			138,429
Airlines - 0.0%
AMR Corp. (a)	584,500		2,391
Building Products - 0.0%
Masco Corp.	1,273,877		6,560
Commercial Services & Supplies - 0.4%
Stericycle, Inc. (a)	1,255,500		60,239
Construction & Engineering - 0.2%
MYR Group, Inc. (a)	207,500		2,785
Quanta Services, Inc. (a)(e)	1,862,801		32,785
			35,570
Electrical Equipment - 0.4%
Alstom SA	433,700		20,347
Cooper Industries Ltd. Class A	395,800		8,347
Energy Conversion Devices, Inc. (a)	146,779		3,219
First Solar, Inc. (a)	26,300		2,781
Q-Cells SE (a)(e)	571,150		9,463
Renewable Energy Corp. AS (a)(e)	1,261,800		8,559
Sunpower Corp. Class B (a)	505,281		12,511
			65,227
Industrial Conglomerates - 0.8%
General Electric Co.	8,095,595		68,894
McDermott International, Inc. (a)	530,297		6,252
Siemens AG sponsored ADR	404,400		20,471
Textron, Inc.	1,554,211		8,781
Tyco International Ltd.	535,200		10,731
			115,129
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Machinery - 1.4%
Cummins, Inc.	1,690,621		$ 35,165
Danaher Corp.	1,321,719		67,090
Deere & Co.	1,116,266		30,686
Eaton Corp.	943,806		34,119
Illinois Tool Works, Inc.	343,100		9,538
Ingersoll-Rand Co. Ltd. Class A	61,500		872
Navistar International Corp. (a)	670,822		18,917
PACCAR, Inc.	182,600		4,578
Toro Co.	294,516		6,441
Trinity Industries, Inc.	165,400		1,221
Vallourec SA	55,700		4,335
			212,962
Professional Services - 0.1%
Manpower, Inc.	308,089		8,590
Monster Worldwide, Inc. (a)	407,900		2,688
			11,278
Road & Rail - 0.3%
CSX Corp.	358,307		8,843
Union Pacific Corp.	1,061,100		39,812
			48,655
Trading Companies & Distributors - 0.0%
GATX Corp.	85,200		1,557
TOTAL INDUSTRIALS			891,422
INFORMATION TECHNOLOGY - 10.4%
Communications Equipment - 1.2%
Ciena Corp. (a)	4,051,008		21,754
Cisco Systems, Inc. (a)	402,201		5,860
Juniper Networks, Inc. (a)	5,947,684		84,517
NETGEAR, Inc. (a)	125,983		1,392
QUALCOMM, Inc.	531,100		17,755
Starent Networks Corp. (a)	48,700		770
Sycamore Networks, Inc. (a)	11,020,100		27,771
Tellabs, Inc. (a)	3,623,100		13,768
ZTE Corp. (H Shares)	2,761,800		9,025
			182,612
Computers & Peripherals - 0.8%
Apple, Inc. (a)	258,300		23,069
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Computers & Peripherals - continued
Dell, Inc. (a)	1,688,800		$ 14,405
Hewlett-Packard Co.	1,116,400		32,409
SanDisk Corp. (a)	4,359,526		38,843
Seagate Technology	2,667,500		11,470
Western Digital Corp. (a)	300,300		4,102
			124,298
Electronic Equipment & Components - 0.2%
Arrow Electronics, Inc. (a)	275,588		4,583
Avnet, Inc. (a)	1,079,422		18,642
			23,225
Internet Software & Services - 0.4%
eBay, Inc. (a)	1,809,478		19,669
Google, Inc. Class A (sub. vtg.) (a)	130,411		44,078
			63,747
IT Services - 0.2%
Visa, Inc.	584,100		33,124
Semiconductors & Semiconductor Equipment - 6.2%
Altera Corp.	1,752,500		26,866
Analog Devices, Inc.	3,452,400		64,353
Applied Materials, Inc.	11,065,160		101,910
ARM Holdings PLC sponsored ADR	712,000		2,983
ASAT Holdings Ltd. (a)	88,719		0*
ASAT Holdings Ltd. warrants 7/24/11 (a)	2,416		0*
ASML Holding NV (NY Shares)	7,987,175		120,846
ATMI, Inc. (a)	834,624		11,100
Broadcom Corp. Class A (a)	855,216		14,068
Brooks Automation, Inc. (a)	2,473,662		10,587
Cirrus Logic, Inc. (a)(f)	3,264,439		11,589
Cymer, Inc. (a)	1,259,384		23,261
FEI Co. (a)	508,327		7,274
Globe Specialty Metals, Inc. (Reg. S) (a)	1,579,600		8,688
Inotera Memories, Inc. (a)	27,639,000		9,305
Integrated Device Technology, Inc. (a)	697,463		3,125
Intel Corp.	2,100,500		26,760
Kulicke & Soffa Industries, Inc. (a)	40,062		54
Lam Research Corp. (a)	1,826,600		35,728
Linear Technology Corp. (e)	1,800,042		39,241
Marvell Technology Group Ltd. (a)	4,394,700		33,004
Mattson Technology, Inc. (a)(f)	2,700,983		1,540
MediaTek, Inc.	2,020,000		17,296
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - continued
Micron Technology, Inc. (a)	16,962,900		$ 54,621
Monolithic Power Systems, Inc. (a)	389,197		5,040
Novellus Systems, Inc. (a)	2,876,200		36,672
NVIDIA Corp. (a)	2,302,800		19,067
Photronics, Inc. (a)	408,976		376
Richtek Technology Corp.	1,484,000		6,341
Samsung Electronics Co. Ltd.	153,789		47,301
Silicon Laboratories, Inc. (a)	629,274		13,781
Skyworks Solutions, Inc. (a)	1,561,830		10,152
Taiwan Semiconductor Manufacturing Co. Ltd.	7,417,000		9,352
Teradyne, Inc. (a)	3,390,700		14,004
Texas Instruments, Inc.	1,027,300		14,742
Tokyo Electron Ltd.	2,519,900		84,461
TriQuint Semiconductor, Inc. (a)	2,239,950		5,219
Varian Semiconductor Equipment Associates, Inc. (a)	2,337,072		42,652
Verigy Ltd. (a)	1,860,976		12,859
			946,218
Software - 1.4%
Electronic Arts, Inc. (a)	272,700		4,448
Microsoft Corp.	12,268,000		198,128
Perfect World Co. Ltd. sponsored ADR Class B (a)	308,750		3,551
			206,127
TOTAL INFORMATION TECHNOLOGY			1,579,351
MATERIALS - 1.6%
Chemicals - 1.0%
Air Products & Chemicals, Inc.	171,000		7,909
Airgas, Inc.	244,500		7,528
Albemarle Corp.	660,847		12,787
CF Industries Holdings, Inc.	44,700		2,876
E.I. du Pont de Nemours & Co.	349,800		6,562
Ecolab, Inc.	458,300		14,565
FMC Corp.	297,536		12,029
Monsanto Co.	783,713		59,774
Potash Corp. of Saskatchewan, Inc.	33,600		2,821
Praxair, Inc.	165,000		9,364
Solutia, Inc. (a)	730,970		2,741
The Mosaic Co.	109,114		4,697
			143,653
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Containers & Packaging - 0.3%
Ball Corp.	244,205		$ 9,839
Crown Holdings, Inc. (a)	452,300		9,534
Greif, Inc. Class A	63,600		1,956
Owens-Illinois, Inc. (a)	371,900		5,735
Rock-Tenn Co. Class A	408,351		11,275
Sealed Air Corp.	268,600		2,998
Temple-Inland, Inc.	1,743,054		8,280
			49,617
Metals & Mining - 0.3%
Agnico-Eagle Mines Ltd.	262,800		13,211
Commercial Metals Co.	347,500		3,548
Freeport-McMoRan Copper & Gold, Inc. Class B	118,745		3,612
Ivanhoe Mines Ltd. (a)	525,900		2,336
Newcrest Mining Ltd.	339,544		6,677
Nucor Corp.	295,400		9,940
Randgold Resources Ltd. sponsored ADR	4,700		214
Yamana Gold, Inc.	1,390,300		12,153
			51,691
Paper & Forest Products - 0.0%
Weyerhaeuser Co.	214,464		5,181
TOTAL MATERIALS			250,142
TELECOMMUNICATION SERVICES - 2.5%
Diversified Telecommunication Services - 2.2%
AT&T, Inc.	7,184,997		170,787
Embarq Corp.	40,300		1,409
Qwest Communications International, Inc.	3,872,100		13,126
Verizon Communications, Inc.	5,263,240		150,160
			335,482
Wireless Telecommunication Services - 0.3%
American Tower Corp. Class A (a)	622,039		18,114
Clearwire Corp. Class A (a)(e)	2,047,228		6,592
MetroPCS Communications, Inc. (a)	139,900		2,029
Sprint Nextel Corp. (a)	3,973,400		13,072
			39,807
TOTAL TELECOMMUNICATION SERVICES			375,289
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - 2.9%
Electric Utilities - 1.6%
Allegheny Energy, Inc.	228,516		$ 5,402
American Electric Power Co., Inc.	845,400		23,713
DPL, Inc.	418,100		8,404
Duke Energy Corp.	1,895,800		25,536
Edison International	276,800		7,534
Entergy Corp.	444,443		29,951
Exelon Corp.	1,127,481		53,240
FirstEnergy Corp.	423,873		18,040
FPL Group, Inc.	347,300		15,743
Northeast Utilities	163,153		3,575
NV Energy, Inc.	455,467		4,222
Pepco Holdings, Inc.	652,705		9,791
Pinnacle West Capital Corp.	276,600		7,264
PPL Corp.	424,128		11,829
Progress Energy, Inc.	653,400		23,143
			247,387
Gas Utilities - 0.2%
EQT Corp.	176,900		5,440
Questar Corp.	492,800		14,207
			19,647
Independent Power Producers & Energy Traders - 0.3%
AES Corp. (a)	1,285,331		8,098
Constellation Energy Group, Inc.	316,700		6,258
Dynegy, Inc. Class A (a)	1,693,100		2,201
NRG Energy, Inc. (a)	1,756,586		33,199
			49,756
Multi-Utilities - 0.8%
Ameren Corp.	284,718		6,771
CMS Energy Corp.	711,000		7,864
Dominion Resources, Inc.	137,400		4,147
PG&E Corp.	915,300		34,983
Public Service Enterprise Group, Inc.	751,000		20,495
Sempra Energy	569,300		23,666
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
Wisconsin Energy Corp.	185,900		$ 7,403
Xcel Energy, Inc.	708,500		12,569
			117,898
TOTAL UTILITIES			434,688
TOTAL COMMON STOCKS (Cost $11,685,955)		8,838,869
Convertible Preferred Stocks - 0.2%
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
SandRidge Energy, Inc. 8.50% (a)(g)	35,300		3,491
FINANCIALS - 0.1%
Commercial Banks - 0.1%
Fifth Third Bancorp 8.50%	51,401		1,551
Huntington Bancshares, Inc. 8.50%	18,200		4,746
Wells Fargo & Co. 7.50%	22,900		10,534
			16,831
Diversified Financial Services - 0.0%
CIT Group, Inc. Series C, 8.75%	185,800		2,772
TOTAL FINANCIALS			19,603
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
ASAT Holdings Ltd. 13.00% (a)	2,416		0*
MATERIALS - 0.1%
Metals & Mining - 0.1%
Freeport-McMoRan Copper & Gold, Inc. 6.75%	240,700		13,019
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $62,573)		36,113

Corporate Bonds - 8.9%
	Principal Amount (000s)		Value (000s)
Convertible Bonds - 0.0%
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Cypress Semiconductor Corp. 1% 9/15/09 (g)	$ 405		$ 403
Nonconvertible Bonds - 8.9%
CONSUMER DISCRETIONARY - 0.7%
Auto Components - 0.0%
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	4,524		4,259
5.875% 3/15/11	1,680		1,599
			5,858
Hotels, Restaurants & Leisure - 0.0%
McDonald's Corp. 5.35% 3/1/18	1,891		1,950
Household Durables - 0.0%
Fortune Brands, Inc.:
5.125% 1/15/11	3,427		3,378
5.875% 1/15/36	1,780		1,229
			4,607
Media - 0.5%
AOL Time Warner, Inc.:
6.75% 4/15/11	1,522		1,545
6.875% 5/1/12	1,974		1,990
7.625% 4/15/31	4,975		4,668
Comcast Cable Communications, Inc. 6.75% 1/30/11	413		428
Comcast Corp.:
4.95% 6/15/16	1,520		1,359
5.5% 3/15/11	309		314
5.7% 5/15/18	7,229		6,680
5.85% 1/15/10	49		50
6.45% 3/15/37	4,360		3,744
COX Communications, Inc.:
4.625% 1/15/10	1,731		1,716
4.625% 6/1/13	3,612		3,266
Liberty Media Corp.:
5.7% 5/15/13	1,430		1,081
8.25% 2/1/30	6,315		3,677
News America Holdings, Inc. 7.75% 12/1/45	15,780		13,704
News America, Inc.:
4.75% 3/15/10	198		193
5.3% 12/15/14	708		667
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
News America, Inc.: - continued
6.2% 12/15/34	$ 1,720		$ 1,307
6.9% 3/1/19 (g)	2,366		2,240
Time Warner Cable, Inc.:
5.4% 7/2/12	1,976		1,901
6.2% 7/1/13	1,879		1,820
6.75% 7/1/18	949		900
7.3% 7/1/38	2,509		2,289
8.75% 2/14/19	7,496		8,002
Time Warner, Inc.:
5.875% 11/15/16	4,947		4,635
6.5% 11/15/36	3,450		2,952
			71,128
Multiline Retail - 0.0%
Macy's Retail Holdings, Inc. 7.875% 7/15/15	1,897		1,361
Specialty Retail - 0.2%
Home Depot, Inc. 2.0463% 12/16/09 (n)	3,458		3,358
Staples, Inc. 9.75% 1/15/14	17,970		18,854
			22,212
TOTAL CONSUMER DISCRETIONARY			107,116
CONSUMER STAPLES - 0.5%
Beverages - 0.2%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	59		50
Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (g)	10,075		9,768
Diageo Capital PLC:
5.2% 1/30/13	4,139		4,213
5.75% 10/23/17	1,516		1,510
FBG Finance Ltd. 5.125% 6/15/15 (g)	2,374		2,016
PepsiCo, Inc. 7.9% 11/1/18	7,370		8,857
			26,414
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
2.5025% 6/1/10 (n)	1,856		1,799
6.036% 12/10/28 (g)	1,856		1,417
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food & Staples Retailing - continued
CVS Caremark Corp.: - continued
6.302% 6/1/37 (n)	$ 3,829		$ 2,355
Wal-Mart Stores, Inc. 6.2% 4/15/38	9,030		9,365
			14,936
Food Products - 0.0%
Cargill, Inc. 6% 11/27/17 (g)	572		534
General Mills, Inc. 5.65% 2/15/19	1,282		1,281
Kraft Foods, Inc.:
5.625% 11/1/11	2,959		3,092
6.75% 2/19/14	436		465
			5,372
Personal Products - 0.0%
Avon Products, Inc. 4.8% 3/1/13	1,447		1,412
Tobacco - 0.2%
Altria Group, Inc. 9.7% 11/10/18	20,958		21,943
Philip Morris International, Inc.:
4.875% 5/16/13	1,447		1,462
6.375% 5/16/38	3,140		3,089
Reynolds American, Inc.:
6.75% 6/15/17	2,366		1,998
7.25% 6/15/37	7,970		5,801
			34,293
TOTAL CONSUMER STAPLES			82,427
ENERGY - 1.0%
Energy Equipment & Services - 0.1%
DCP Midstream LLC 9.75% 3/15/19 (g)	5,262		5,101
Noble Drilling Corp. 5.875% 6/1/13	876		850
Transocean Ltd. 5.25% 3/15/13	2,802		2,775
Weatherford International Ltd.:
4.95% 10/15/13	1,408		1,200
5.15% 3/15/13	1,841		1,628
			11,554
Oil, Gas & Consumable Fuels - 0.9%
BW Group Ltd. 6.625% 6/28/17 (g)	2,391		1,255
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Canadian Natural Resources Ltd.:
5.15% 2/1/13	$ 3,637		$ 3,477
5.7% 5/15/17	937		827
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g)	3,333		3,314
ConocoPhillips:
4.75% 2/1/14	853		863
5.75% 2/1/19	9,619		9,413
6.5% 2/1/39	4,833		4,684
Devon Energy Corp. 5.625% 1/15/14	1,895		1,910
Duke Capital LLC:
6.25% 2/15/13	809		802
6.75% 2/15/32	8,145		6,359
Duke Energy Field Services:
5.375% 10/15/15 (g)	988		810
6.45% 11/3/36 (g)	8,650		6,094
6.875% 2/1/11	1,870		1,866
7.875% 8/16/10	839		849
El Paso Natural Gas Co. 5.95% 4/15/17	756		647
Empresa Nacional de Petroleo 6.75% 11/15/12 (g)	1,370		1,375
Enbridge Energy Partners LP:
5.875% 12/15/16	1,460		1,252
6.5% 4/15/18	1,918		1,673
9.875% 3/1/19	2,368		2,458
EnCana Holdings Finance Corp. 5.8% 5/1/14	2,335		2,266
Enterprise Products Operating LP:
4.625% 10/15/09	1,574		1,566
5.6% 10/15/14	1,581		1,468
5.65% 4/1/13	563		539
Gazstream SA 5.625% 7/22/13 (g)	888		795
Gulf South Pipeline Co. LP 5.75% 8/15/12 (g)	3,123		2,837
Kinder Morgan Energy Partners LP 5.125% 11/15/14	12,250		11,546
Lukoil International Finance BV 6.656% 6/7/22 (g)	988		672
Nakilat, Inc. 6.067% 12/31/33 (g)	1,212		791
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (g)	2,855		1,815
Nexen, Inc.:
5.05% 11/20/13	3,109		2,824
5.2% 3/10/15	735		631
5.875% 3/10/35	1,565		1,067
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Nexen, Inc.: - continued
6.4% 5/15/37	$ 5,235		$ 3,694
NGPL PipeCo LLC 6.514% 12/15/12 (g)	2,881		2,785
Pemex Project Funding Master Trust 3.2963% 6/15/10 (g)(n)	1,007		972
Petroleos Mexicanos 8% 5/3/19 (g)	4,312		4,237
Plains All American Pipeline LP:
6.125% 1/15/17	1,940		1,652
6.65% 1/15/37	4,940		3,610
7.75% 10/15/12	1,907		1,920
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (g)	2,415		2,488
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (g)	1,086		949
6.332% 9/30/27 (g)	5,910		4,619
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	2,199		2,140
Source Gas LLC 5.9% 4/1/17 (g)	2,865		2,148
Suncor Energy, Inc.:
6.1% 6/1/18	9,176		7,562
6.85% 6/1/39	8,895		6,471
Talisman Energy, Inc. yankee 6.25% 2/1/38	3,280		2,240
TEPPCO Partners LP 5.9% 4/15/13	2,619		2,365
Texas Eastern Transmission LP 6% 9/15/17 (g)	1,301		1,215
TransCanada PipeLines Ltd. 6.35% 5/15/67 (n)	1,917		1,160
XTO Energy, Inc.:
5% 1/31/15	1,414		1,313
5.65% 4/1/16	970		910
5.9% 8/1/12	3,600		3,568
6.5% 12/15/18	7,500		7,319
			144,082
TOTAL ENERGY			155,636
FINANCIALS - 3.4%
Capital Markets - 0.8%
Bear Stearns Companies, Inc.:
1.2625% 10/22/10 (n)	1,892		1,820
1.346% 8/21/09 (n)	946		931
1.3525% 7/16/09 (n)	465		459
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Bear Stearns Companies, Inc.: - continued
2.4556% 9/9/09 (n)	$ 1,028		$ 1,011
3.25% 3/25/09	555		555
4.245% 1/7/10	984		964
4.5% 10/28/10	1,482		1,471
5.3% 10/30/15	946		872
5.85% 7/19/10	3,047		3,073
6.95% 8/10/12	13,792		14,276
BlackRock, Inc. 6.25% 9/15/17	2,483		2,361
Goldman Sachs Group, Inc.:
5.25% 10/15/13	4,773		4,415
5.45% 11/1/12	3,047		2,937
5.95% 1/18/18	3,225		2,883
6.15% 4/1/18	1,593		1,447
6.6% 1/15/12	1,383		1,387
6.75% 10/1/37	11,195		7,960
6.875% 1/15/11	220		223
7.5% 2/15/19	13,421		13,293
Janus Capital Group, Inc. 6.5% 6/15/12	2,268		1,531
JPMorgan Chase Capital XX 6.55% 9/29/36	11,840		8,374
Lazard Group LLC:
6.85% 6/15/17	3,104		2,320
7.125% 5/15/15	1,113		845
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	5,188		4,632
6.15% 4/25/13	894		786
6.4% 8/28/17	2,110		1,660
6.875% 4/25/18	3,285		2,733
Morgan Stanley:
1.6475% 1/9/12 (n)	7,709		6,335
1.6975% 1/9/14 (n)	4,044		2,710
4.75% 4/1/14	642		538
5.05% 1/21/11	2,462		2,428
5.25% 11/2/12	198		186
5.45% 1/9/17	193		167
5.95% 12/28/17	445		393
6.6% 4/1/12	4,624		4,591
6.625% 4/1/18	1,106		1,021
6.75% 4/15/11	5,876		5,900
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Northern Trust Corp. 5.5% 8/15/13	$ 230		$ 238
Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)	790		792
The Bank of New York, Inc. 4.95% 11/1/12	3,124		3,142
UBS AG Stamford Branch:
5.75% 4/25/18	3,319		2,902
5.875% 12/20/17	2,415		2,140
			118,702
Commercial Banks - 0.7%
American Express Bank FSB:
5.5% 4/16/13	3,307		3,130
6% 9/13/17	502		445
ANZ National International Ltd. 6.2% 7/19/13 (g)	888		859
Bank of America NA 6% 10/15/36	7,045		4,845
Bank One Corp.:
5.25% 1/30/13	752		731
7.875% 8/1/10	559		577
BB&T Corp. 6.5% 8/1/11	1,005		1,025
Chase Manhattan Corp. 7.875% 6/15/10	1,255		1,284
Credit Suisse First Boston 6% 2/15/18	14,192		12,875
Credit Suisse First Boston New York Branch 5% 5/15/13	14,702		14,194
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (g)(n)	4,965		3,922
Export-Import Bank of Korea:
5.125% 2/14/11	2,361		2,282
5.25% 2/10/14 (g)	456		409
5.5% 10/17/12	1,824		1,727
Fifth Third Bancorp:
4.5% 6/1/18	100		63
8.25% 3/1/38	1,697		1,230
HBOS PLC 6.75% 5/21/18 (g)	560		450
HSBC Holdings PLC:
1.6125% 10/6/16 (n)	1,254		1,006
6.5% 5/2/36	6,175		5,462
6.5% 9/15/37	10,625		9,248
JPMorgan Chase Bank 6% 10/1/17	1,694		1,603
KeyBank NA:
5.8% 7/1/14	905		806
7% 2/1/11	908		897
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
Korea Development Bank:
3.875% 3/2/09	$ 2,893		$ 2,893
4.625% 9/16/10	1,482		1,442
4.75% 7/20/09	758		754
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (g)(n)	791		662
National City Bank, Cleveland:
4.15% 8/1/09	1,542		1,531
4.5% 3/15/10	2,379		2,364
PNC Funding Corp.:
1.3144% 1/31/12 (n)	4,837		3,847
7.5% 11/1/09	1,638		1,632
Rabobank Capital Funding Trust II 5.26% (g)(n)	460		198
Santander Issuances SA Unipersonal:
1.885% 6/20/16 (g)(n)	3,830		2,884
5.805% 6/20/16 (g)(n)	3,399		2,379
Sovereign Bank 2.88% 8/1/13 (n)	1,795		1,339
Standard Chartered Bank 6.4% 9/26/17 (g)	3,536		2,828
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (g)(n)	2,371		1,067
Union Planters Corp. 7.75% 3/1/11	485		471
UnionBanCal Corp. 5.25% 12/16/13	535		499
Wachovia Bank NA 4.875% 2/1/15	1,138		1,015
Wachovia Corp.:
1.2244% 10/15/11 (n)	3,247		2,881
1.255% 4/23/12 (n)	439		379
2.2525% 12/1/09 (n)	878		867
5.625% 10/15/16	2,748		2,444
5.75% 6/15/17	2,371		2,224
Wells Fargo & Co.:
4.2% 1/15/10	2,130		2,127
5.625% 12/11/17	2,371		2,251
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11	469		474
			110,522
Consumer Finance - 0.5%
American Express Credit Corp. 5.875% 5/2/13	471		433
Capital One Financial Corp. 2.4694% 9/10/09 (n)	2,649		2,551
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Discover Financial Services:
2.6288% 6/11/10 (n)	$ 3,252		$ 2,882
6.45% 6/12/17	7,729		5,847
General Electric Capital Corp. 5.625% 9/15/17	22,752		19,830
Household Finance Corp.:
6.375% 10/15/11	1,504		1,465
7% 5/15/12	378		376
HSBC Finance Corp.:
5.25% 1/14/11	1,058		1,038
5.25% 1/15/14	852		796
MBNA America Bank NA 7.125% 11/15/12 (g)	561		538
MBNA Corp. 7.5% 3/15/12	1,300		1,200
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (g)	3,432		3,225
ORIX Corp. 5.48% 11/22/11	311		215
SLM Corp.:
1.3194% 7/26/10 (n)	24,266		19,995
1.3894% 10/25/11 (n)	6,795		4,761
2.1963% 3/15/11 (n)	90		68
4.5% 7/26/10	3,810		3,012
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (g)	335		285
			68,517
Diversified Financial Services - 0.7%
Bank of America Corp. 7.4% 1/15/11	7,003		6,501
BP Capital Markets PLC 5.25% 11/7/13	16,534		17,568
BTM Curacao Holding NV 1.8975% 12/19/16 (g)(n)	2,449		1,893
CIT Group, Inc.:
1.3866% 6/8/09 (n)	947		905
4.75% 12/15/10	664		504
5.4% 2/13/12	1,985		1,498
Citigroup, Inc.:
1.3356% 5/18/11 (n)	2,272		1,901
5.3% 10/17/12	11,325		10,046
5.5% 4/11/13	8,594		7,782
6.125% 5/15/18	6,994		6,031
6.5% 1/18/11	1,057		997
6.5% 8/19/13	18,375		17,131
CME Group, Inc. 5.75% 2/15/14	3,229		3,250
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18	16,858		17,356
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
ILFC E-Capital Trust I 5.9% 12/21/65 (g)(n)	$ 2,423		$ 485
International Lease Finance Corp.:
5.4% 2/15/12	2,316		1,494
6.375% 3/25/13	1,215		705
6.625% 11/15/13	2,200		1,254
JPMorgan Chase & Co.:
4.891% 9/1/15 (n)	2,206		1,772
5.6% 6/1/11	2,503		2,552
5.75% 1/2/13	1,792		1,770
6.75% 2/1/11	304		311
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g)	226		210
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	881		581
5.5% 1/15/14 (g)	562		385
5.7% 4/15/17 (g)	1,371		878
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	2,618		1,924
ZFS Finance USA Trust I 6.15% 12/15/65 (g)(n)	1,878		826
ZFS Finance USA Trust II 6.45% 12/15/65 (g)(n)	4,049		1,648
ZFS Finance USA Trust IV 5.875% 5/9/32 (g)(n)	2,022		779
			110,937
Insurance - 0.2%
Assurant, Inc.:
5.625% 2/15/14	1,546		1,276
6.75% 2/15/34	1,590		993
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		349
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(n)	1,205		747
Jackson National Life Global Funding 5.375% 5/8/13 (g)	609		556
Liberty Mutual Group, Inc. 6.5% 3/15/35 (g)	481		292
MetLife, Inc.:
5% 6/15/15	941		873
6.125% 12/1/11	800		801
7.717% 2/15/19	8,679		8,374
Metropolitan Life Global Funding I:
4.625% 8/19/10 (g)	2,668		2,598
5.125% 4/10/13 (g)	452		432
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Monumental Global Funding II 5.65% 7/14/11 (g)	$ 1,336		$ 1,348
Monumental Global Funding III 5.5% 4/22/13 (g)	1,780		1,569
Pacific Life Global Funding 5.15% 4/15/13 (g)	2,737		2,670
Prudential Financial, Inc.:
5.15% 1/15/13	1,752		1,567
5.4% 6/13/35	365		216
5.5% 3/15/16	344		287
5.7% 12/14/36	310		189
8.875% 6/15/68 (n)	2,403		1,370
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(n)	2,702		1,270
Symetra Financial Corp. 6.125% 4/1/16 (g)	4,189		3,302
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10	1,010		1,026
			32,105
Real Estate Investment Trusts - 0.4%
AMB Property LP 5.9% 8/15/13	2,086		1,446
Arden Realty LP 5.2% 9/1/11	1,083		1,091
AvalonBay Communities, Inc.:
4.95% 3/15/13	296		262
5.5% 1/15/12	1,935		1,803
6.625% 9/15/11	661		638
Brandywine Operating Partnership LP:
4.5% 11/1/09	2,496		2,405
5.625% 12/15/10	3,298		2,913
5.75% 4/1/12	1,502		826
BRE Properties, Inc.:
4.875% 5/15/10	2,089		1,966
5.75% 9/1/09	494		492
Camden Property Trust:
4.375% 1/15/10	1,195		1,076
5.375% 12/15/13	531		435
5.875% 11/30/12	2,392		2,057
Colonial Properties Trust 4.75% 2/1/10	4,570		4,370
CPG Partners LP 6% 1/15/13	823		732
Developers Diversified Realty Corp.:
4.625% 8/1/10	2,436		1,719
5% 5/3/10	1,812		1,268
5.25% 4/15/11	1,967		968
5.375% 10/15/12	1,039		498
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP:
4.625% 5/15/13	$ 507		$ 341
5.25% 1/15/10	367		350
5.4% 8/15/14	447		305
5.5% 3/1/16	3,075		1,920
5.625% 8/15/11	5,086		4,333
5.875% 8/15/12	92		70
Equity One, Inc.:
6% 9/15/17	690		455
6.25% 1/15/17	399		271
Federal Realty Investment Trust:
5.4% 12/1/13	334		254
6% 7/15/12	2,371		1,951
6.2% 1/15/17	501		381
Hospitality Properties Trust 5.625% 3/15/17	970		540
HRPT Properties Trust:
5.75% 11/1/15	719		475
6.25% 6/15/17	996		615
6.65% 1/15/18	499		318
Liberty Property LP:
5.125% 3/2/15	686		498
5.5% 12/15/16	1,202		829
Mack-Cali Realty LP:
5.05% 4/15/10	655		616
7.25% 3/15/09	2,358		2,354
7.75% 2/15/11	789		742
Simon Property Group LP:
4.6% 6/15/10	886		849
4.875% 8/15/10	545		522
5% 3/1/12	294		253
5.375% 6/1/11	502		468
5.6% 9/1/11	2,197		2,042
5.75% 5/1/12	1,024		891
7.75% 1/20/11	664		635
Tanger Properties LP 6.15% 11/15/15	20		15
Washington (REIT) 5.95% 6/15/11	2,940		2,561
			52,819
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - 0.0%
ERP Operating LP 5.5% 10/1/12	$ 358		$ 326
Post Apartment Homes LP:
5.45% 6/1/12	1,096		921
6.3% 6/1/13	1,938		1,589
Regency Centers LP:
4.95% 4/15/14	494		361
5.25% 8/1/15	1,725		1,197
5.875% 6/15/17	854		593
			4,987
Thrifts & Mortgage Finance - 0.1%
Countrywide Financial Corp.:
1.6863% 3/24/09 (n)	1,866		1,862
4.5% 6/15/10	387		376
5.8% 6/7/12	2,358		2,161
Countrywide Home Loans, Inc.:
4.125% 9/15/09	3,111		3,082
6.25% 4/15/09	491		492
Independence Community Bank Corp.:
3.585% 6/20/13 (n)	2,576		1,855
3.75% 4/1/14 (n)	3,410		2,285
4.9% 9/23/10	1,371		1,282
World Savings Bank FSB 4.125% 12/15/09	420		418
			13,813
TOTAL FINANCIALS			512,402
HEALTH CARE - 0.2%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	2,390		2,440
Health Care Providers & Services - 0.0%
Coventry Health Care, Inc.:
5.95% 3/15/17	1,413		924
6.3% 8/15/14	2,925		2,130
			3,054
Pharmaceuticals - 0.2%
AstraZeneca PLC 6.45% 9/15/37	2,307		2,436
Bristol-Myers Squibb Co. 5.45% 5/1/18	2,371		2,419
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Pharmaceuticals - continued
Elan Finance PLC/Elan Finance Corp.:
5.2344% 11/15/11 (n)	$ 1,630		$ 1,361
7.75% 11/15/11	190		164
Novartis Capital Corp. 4.125% 2/10/14	2,369		2,391
Roche Holdings, Inc.:
5% 3/1/14 (g)	4,805		4,860
6% 3/1/19 (g)	7,400		7,472
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	775		762
			21,865
TOTAL HEALTH CARE			27,359
INDUSTRIALS - 0.5%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.75% 8/15/10 (g)	2,135		2,130
6.4% 12/15/11 (g)	661		684
Bombardier, Inc.:
6.3% 5/1/14 (g)	2,615		1,752
7.45% 5/1/34 (g)	3,000		1,755
			6,321
Airlines - 0.1%
American Airlines, Inc. pass-thru trust certificates:
6.855% 10/15/10	60		59
6.978% 10/1/12	334		309
7.024% 4/15/11	2,288		2,219
7.858% 4/1/13	4,393		3,800
Continental Airlines, Inc.:
6.648% 9/15/17	2,610		2,062
6.82% 5/1/18	179		136
6.9% 7/2/19	703		566
7.056% 3/15/11	1,422		1,379
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	305		221
7.57% 11/18/10	7,740		7,082
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,834		1,321
8.36% 7/20/20	1,249		962
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	$ 458		$ 328
6.071% 9/1/14	293		284
6.201% 3/1/10	187		177
6.602% 9/1/13	529		500
			21,405
Building Products - 0.0%
Masco Corp. 2.3988% 3/12/10 (n)	3,811		3,419
Industrial Conglomerates - 0.3%
Covidien International Finance SA:
5.15% 10/15/10	2,044		2,093
5.45% 10/15/12	4,620		4,728
6% 10/15/17	2,368		2,385
6.55% 10/15/37	4,505		4,479
General Electric Co. 5.25% 12/6/17	25,356		23,337
			37,022
Machinery - 0.0%
Atlas Copco AB 5.6% 5/22/17 (g)	494		470
TOTAL INDUSTRIALS			68,637
INFORMATION TECHNOLOGY - 0.1%
Communications Equipment - 0.0%
Cisco Systems, Inc.:
4.95% 2/15/19	2,840		2,745
5.9% 2/15/39	454		423
			3,168
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	2,385		2,064
6% 10/1/12	3,134		2,762
6.55% 10/1/17	1,908		1,439
7.125% 10/1/37	2,405		1,569
			7,834
Office Electronics - 0.0%
Xerox Corp. 5.5% 5/15/12	1,295		1,200
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - 0.0%
National Semiconductor Corp.:
2.2463% 6/15/10 (n)	$ 3,403		$ 2,956
6.15% 6/15/12	1,199		940
			3,896
TOTAL INFORMATION TECHNOLOGY			16,098
MATERIALS - 0.4%
Chemicals - 0.1%
Agrium, Inc. 7.125% 5/23/36	4,900		4,288
E.I. du Pont de Nemours & Co. 5% 1/15/13	381		389
Lubrizol Corp. 8.875% 2/1/19	750		769
			5,446
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,482		1,058
Containers & Packaging - 0.0%
Pactiv Corp.:
5.875% 7/15/12	1,385		1,288
6.4% 1/15/18	1,414		1,153
Sealed Air Corp. 6.95% 5/15/09 (g)	525		527
			2,968
Metals & Mining - 0.3%
BHP Billiton Financial USA Ltd. 5.125% 3/29/12	1,597		1,633
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g)	1,618		1,666
Nucor Corp.:
5.85% 6/1/18	6,980		6,960
6.4% 12/1/37	5,600		5,366
Rio Tinto Finance Ltd.:
5.875% 7/15/13	9,881		8,982
6.5% 7/15/18	9,139		8,074
7.125% 7/15/28	9,574		7,862
United States Steel Corp.:
5.65% 6/1/13	1,199		981
6.65% 6/1/37	5,765		3,811
Vale Overseas Ltd. 6.25% 1/23/17	1,877		1,807
			47,142
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Paper & Forest Products - 0.0%
International Paper Co.:
5.85% 10/30/12	$ 120		$ 107
7.4% 6/15/14	2,093		1,684
			1,791
TOTAL MATERIALS			58,405
TELECOMMUNICATION SERVICES - 1.1%
Diversified Telecommunication Services - 1.0%
AT&T Broadband Corp. 8.375% 3/15/13	2,090		2,230
AT&T, Inc.:
5.8% 2/15/19	7,105		6,900
6.3% 1/15/38	12,550		11,274
6.7% 11/15/13	949		1,004
6.8% 5/15/36	15,241		14,718
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,655		1,662
BellSouth Corp. 6.55% 6/15/34	4,340		4,020
British Telecommunications PLC:
8.625% 12/15/10	2,197		2,289
9.125% 12/15/30	4,565		4,353
Deutsche Telekom International Financial BV:
5.25% 7/22/13	1,979		1,985
6.75% 8/20/18	5,824		5,957
SBC Communications, Inc.:
5.1% 9/15/14	1,754		1,739
5.875% 2/1/12	2,210		2,284
5.875% 8/15/12	790		820
Sprint Capital Corp. 6.875% 11/15/28	15,445		8,533
Telecom Italia Capital SA:
4% 1/15/10	3,953		3,884
4.95% 9/30/14	2,594		2,235
5.25% 10/1/15	12,341		10,410
6.999% 6/4/18	8,694		7,846
7.2% 7/18/36	2,385		1,933
7.721% 6/4/38	2,417		2,081
Telefonica Emisiones SAU:
1.555% 2/4/13 (n)	1,943		1,669
6.421% 6/20/16	939		954
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Telefonica Emisiones SAU: - continued
7.045% 6/20/36	$ 8,498		$ 8,663
Telefonos de Mexico SA de CV 4.75% 1/27/10	5,015		5,065
Verizon Communications, Inc.:
6.1% 4/15/18	2,674		2,648
6.25% 4/1/37	4,611		4,244
6.4% 2/15/38	9,165		8,599
6.9% 4/15/38	10,030		9,973
Verizon Global Funding Corp. 7.25% 12/1/10	2,216		2,340
Verizon New England, Inc. 6.5% 9/15/11	720		740
Verizon New York, Inc. 6.875% 4/1/12	2,145		2,192
			145,244
Wireless Telecommunication Services - 0.1%
America Movil SAB de CV:
4.125% 3/1/09	983		983
5.625% 11/15/17	1,462		1,359
Rogers Communications, Inc. 6.8% 8/15/18	5,520		5,526
Verizon Wireless Capital LLC:
5.55% 2/1/14 (g)	1,919		1,908
8.5% 11/15/18 (g)	2,845		3,203
Vodafone Group PLC:
5% 12/16/13	1,856		1,861
5.5% 6/15/11	2,232		2,263
7.75% 2/15/10	1,494		1,553
			18,656
TOTAL TELECOMMUNICATION SERVICES			163,900
UTILITIES - 1.0%
Electric Utilities - 0.7%
AmerenUE 6.4% 6/15/17	2,415		2,355
Appalachian Power Co. 6.375% 4/1/36	5,500		4,824
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	3,325		3,166
8.875% 11/15/18	7,896		8,723
Commonwealth Edison Co. 5.4% 12/15/11	1,409		1,433
Duke Energy Carolinas LLC:
6.05% 4/15/38	3,407		3,518
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Duke Energy Carolinas LLC: - continued
7% 11/15/18	$ 4,166		$ 4,757
EDP Finance BV:
5.375% 11/2/12 (g)	1,612		1,585
6% 2/2/18 (g)	2,964		2,752
Enel Finance International SA:
5.7% 1/15/13 (g)	674		667
6.8% 9/15/37 (g)	13,809		11,076
Exelon Corp.:
4.9% 6/15/15	2,587		2,221
6.75% 5/1/11	538		538
FirstEnergy Corp. 6.45% 11/15/11	1,595		1,593
Florida Power Corp.:
5.65% 6/15/18	3,630		3,724
6.4% 6/15/38	8,735		9,182
FPL Group Capital, Inc. 7.875% 12/15/15	1,250		1,413
Illinois Power Co. 6.125% 11/15/17	333		313
Jersey Central Power & Light Co. 7.35% 2/1/19	1,425		1,431
Nevada Power Co.:
6.5% 5/15/18	5,290		4,995
6.5% 8/1/18	1,270		1,198
Oncor Electric Delivery Co. 6.375% 5/1/12	2,208		2,207
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (g)	2,924		2,869
Pacific Gas & Electric Co. 5.8% 3/1/37	3,555		3,424
PacifiCorp 6% 1/15/39	974		963
PECO Energy Co. 5.6% 10/15/13	8,290		8,497
Pennsylvania Electric Co. 6.05% 9/1/17	618		566
Pepco Holdings, Inc.:
4% 5/15/10	1,804		1,763
6.125% 6/1/17	485		430
6.45% 8/15/12	3,016		2,945
PPL Capital Funding, Inc. 6.7% 3/30/67 (n)	4,819		2,891
Progress Energy, Inc. 7.1% 3/1/11	2,737		2,811
Sierra Pacific Power Co. 5.45% 9/1/13	1,261		1,220
Tampa Electric Co. 6.15% 5/15/37	4,486		3,786
West Penn Power Co. 5.95% 12/15/17 (g)	254		225
Wisconsin Electric Power Co. 6.25% 12/1/15	2,435		2,587
			108,648
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	$ 357		$ 305
Texas Eastern Transmission Corp. 7.3% 12/1/10	2,507		2,593
			2,898
Independent Power Producers & Energy Traders - 0.0%
Constellation Energy Group, Inc. 7% 4/1/12	5,210		5,072
Duke Capital LLC 5.668% 8/15/14	1,662		1,534
Exelon Generation Co. LLC 5.35% 1/15/14	1,235		1,141
			7,747
Multi-Utilities - 0.3%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,445		1,178
Dominion Resources, Inc.:
4.75% 12/15/10	3,178		3,197
6.3% 9/30/66 (n)	12,002		7,081
7.5% 6/30/66 (n)	4,115		2,675
DTE Energy Co. 7.05% 6/1/11	795		802
KeySpan Corp. 7.625% 11/15/10	400		417
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	2,361		2,433
6.5% 9/15/37	8,075		7,786
National Grid PLC 6.3% 8/1/16	1,194		1,140
NiSource Finance Corp.:
5.25% 9/15/17	682		502
5.4% 7/15/14	1,089		855
5.45% 9/15/20	2,219		1,519
6.4% 3/15/18	1,251		982
6.8% 1/15/19	6,000		4,705
7.875% 11/15/10	826		809
Wisconsin Energy Corp. 6.25% 5/15/67 (n)	4,990		3,044
WPS Resources Corp. 6.11% 12/1/66 (n)	713		378
			39,503
TOTAL UTILITIES			158,796
TOTAL NONCONVERTIBLE BONDS			1,350,776
TOTAL CORPORATE BONDS (Cost $1,433,377)		1,351,179
U.S. Government and Government Agency Obligations - 4.2%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - 0.8%
Fannie Mae:
2.75% 2/5/14	$ 50,000		$ 49,982
3.375% 5/19/11 (k)	14,965		15,556
Freddie Mac 4.875% 6/13/18	50,000		54,621
Tennessee Valley Authority 5.375% 4/1/56	5,098		5,529
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			125,688
U.S. Treasury Inflation Protected Obligations - 3.0%
U.S. Treasury Inflation-Indexed Notes:
0.625% 4/15/13	15,920		15,490
1.625% 1/15/15	106,836		102,934
1.625% 1/15/18	16,062		15,295
2% 4/15/12	10,006		10,068
2% 1/15/14 (k)	109,265		108,794
2.375% 1/15/27 (k)	59,442		57,639
2.5% 7/15/16	145,792		146,165
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			456,385
U.S. Treasury Obligations - 0.4%
U.S. Treasury Bills, yield at date of purchase 0.09% to 0.29% 3/12/09 to 5/14/09 (j)	17,000		16,998
U.S. Treasury Notes:
1.875% 2/28/14	3,804		3,778
3.75% 11/15/18	35,263		37,365
TOTAL U.S. TREASURY OBLIGATIONS			58,141
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $653,378)		640,214
U.S. Government Agency - Mortgage Securities - 10.5%
Fannie Mae - 6.7%
4.5% 2/1/39 (i)	44,000		44,564
5% 12/1/25 to 10/1/38	251,186		256,149
5% 3/12/39 (h)	102,000		103,769
5% 3/12/39 (h)	125,000		127,167
5% 3/12/39 (h)	44,000		44,763
5.5% 1/1/33 to 6/1/38 (i)	240,845		247,713
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5.593% 7/1/37 (n)	$ 1,834		$ 1,893
6% 6/1/30 to 3/1/36	134,014		139,417
6.013% 4/1/36 (n)	1,389		1,444
6.118% 4/1/36 (n)	3,149		3,276
6.243% 6/1/36 (n)	493		501
6.328% 4/1/36 (n)	1,373		1,429
6.5% 11/1/29 to 1/1/36 (i)	55,094		58,163
TOTAL FANNIE MAE			1,030,248
Freddie Mac - 1.3%
5% 3/1/19 to 7/1/38	145,491		148,594
5.694% 10/1/35 (n)	893		931
5.86% 6/1/36 (n)	1,571		1,629
5.977% 6/1/36 (n)	1,428		1,482
6% 11/1/33 to 9/1/35	9,676		10,072
6.101% 6/1/36 (n)	1,533		1,595
6.5% 11/1/34 to 3/1/36	27,735		29,240
TOTAL FREDDIE MAC			193,543
Government National Mortgage Association - 2.5%
5.5% 7/20/37	636		654
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	70,000		71,896
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	81,000		83,194
5.5% 3/18/39 (h)	67,000		68,815
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	5,000		5,127
5.5% 3/18/39 (h)	96,000		98,600
6% 2/15/34	20,387		21,253
6.5% 3/15/34	9,820		10,327
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			378,325
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,574,428)		1,602,116
Asset-Backed Securities - 1.4%
	Principal Amount (000s)		Value (000s)
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.8238% 1/25/35 (n)	$ 111		$ 40
Series 2005-1 Class M1, 0.9438% 4/25/35 (n)	2,047		1,207
ACE Securities Corp. Series 2006-NC2:
Class M7, 1.2238% 7/25/36 (n)	916		7
Class M8, 1.3238% 7/25/36 (n)	454		2
Class M9, 2.1738% 7/25/36 (n)	300		1
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1:
Class M1, 1.5988% 6/25/33 (n)	0*		0*
Class M2, 3.0988% 6/25/33 (n)	137		95
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (n)	326		289
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (n)	682		297
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (n)	288		236
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (n)	38		34
Series 2006-HE2:
Class M3, 0.8138% 5/25/36 (n)	398		12
Class M4, 0.8738% 5/25/36 (n)	336		7
Class M5, 0.9138% 5/25/36 (n)	489		8
Series 2006-OP1:
Class M4, 0.8438% 4/25/36 (n)	187		8
Class M5, 0.8638% 4/25/36 (n)	177		6
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.5% 9/20/13 (n)	3,940		2,848
Series 2006-A7 Class A7, 0.49% 10/20/12 (n)	4,320		3,456
Series 2006-C1 Class C1, 0.95% 10/20/14 (n)	1,306		91
Series 2007-A1 Class A, 0.52% 1/20/15 (n)	2,890		2,150
Series 2007-A4 Class A4, 0.5% 4/22/13 (n)	4,787		3,543
Series 2007-B1 Class B, 0.72% 12/22/14 (n)	2,765		415
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (g)(n)	1,073		1,058
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (g)(n)	272		247
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10	620		616
Ameriquest Mortgage Securities, Inc. Series 2006-M3:
Class A2A, 0.5238% 10/25/36 (n)	139		134
Class M7, 1.3238% 10/25/36 (n)	196		0*
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.1738% 12/25/33 (n)	178		113
Series 2004-R10 Class M1, 1.1738% 11/25/34 (n)	744		332
Series 2004-R11 Class M1, 1.1338% 11/25/34 (n)	641		314
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued
Series 2004-R2:
Class M1, 0.9038% 4/25/34 (n)	$ 282		$ 215
Class M3, 1.0238% 4/25/34 (n)	185		70
Series 2005-R1 Class M1, 0.9238% 3/25/35 (n)	1,034		603
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (n)	938		643
Series 2005-R2 Class M1, 0.9238% 4/25/35 (n)	2,266		1,305
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (n)	198		99
Argent Securities, Inc.:
Series 2006-M1 Class M7, 1.4738% 7/25/36 (n)	830		2
Series 2006-M2 Class M7, 1.3738% 9/25/36 (n)	759		1
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.7794% 3/1/34 (n)	53		11
Series 2004-W11 Class M2, 1.1738% 11/25/34 (n)	616		228
Series 2004-W5 Class M1, 1.0738% 4/25/34 (n)	745		439
Series 2004-W7:
Class M1, 1.0238% 5/25/34 (n)	652		206
Class M2, 1.0738% 5/25/34 (n)	570		308
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (n)	1,703		599
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (n)	1,430		18
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (n)	1,574		762
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (n)	268		119
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (n)	589		307
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (n)	2,929		1,269
Series 2004-HE3:
Class M1, 1.0138% 6/25/34 (n)	259		103
Class M2, 1.5938% 6/25/34 (n)	457		286
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (n)	457		176
Series 2006-HE6:
Class M7, 1.2738% 11/25/36 (n)	452		6
Class M9, 2.6238% 11/25/36 (n)	1,208		6
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (d)(g)(n)	3,736		0*
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (n)	3,769		3,388
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (n)	356		217
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (n)	$ 706		$ 439
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.9238% 9/25/35 (n)	120		87
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (n)	1,063		483
Series 2005-HE2 Class M1, 0.9738% 2/25/35 (n)	1,675		555
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (n)	492		377
Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.6238% 8/25/36 (n)	2,872		2,451
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (n)	2,521		2,254
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (n)	812		699
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.83% 6/15/10 (n)	692		681
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (n)	419		390
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (g)(n)	3,192		2,297
Capital Trust Ltd. Series 2004-1:
Class A2, 0.92% 7/20/39 (g)(n)	502		126
Class B, 1.22% 7/20/39 (g)(n)	290		41
Class C, 1.57% 7/20/39 (g)(n)	372		34
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (n)	5,102		245
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (n)	467		9
Series 2006-NC4 Class M1, 0.7738% 10/25/36 (n)	3,255		128
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (n)	205		6
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (n)	1,978		479
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (g)(n)	299		217
Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (n)	582		525
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	374		187
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.8838% 12/25/33 (g)(n)	419		284
Series 2005-HE4 Class A2C, 0.7438% 10/25/35 (n)	5,716		4,872
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (n)	830		10
Series 2006-WF2 Class A2B, 5.735% 5/25/36	922		905
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (n)	840		32
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.515% 7/15/12 (g)(n)	1,436		1,414
Class B, 0.735% 7/15/12 (g)(n)	1,436		1,354
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Asset-Backed Certificates Trust:
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (n)	$ 14,121		$ 12,221
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (n)	477		406
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	363		0*
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.3338% 5/25/33 (n)	57		31
Series 2004-3:
Class 3A4, 0.7238% 8/25/34 (n)	210		112
Class M1, 0.9738% 6/25/34 (n)	726		478
Class M4, 1.4438% 4/25/34 (n)	175		83
Series 2004-4:
Class A, 0.8438% 8/25/34 (n)	46		22
Class M2, 1.0038% 6/25/34 (n)	645		427
Series 2005-1:
Class M1, 0.8938% 8/25/35 (n)	563		406
Class MV2, 0.9138% 7/25/35 (n)	1,552		1,082
Series 2005-3 Class MV1, 0.8938% 8/25/35 (n)	2,721		2,372
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (n)	521		430
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (g)	167		153
Discover Card Master Trust I:
Series 2006-1 Class B1, 0.605% 8/16/11 (n)	2,335		2,316
Series 2006-2 Class B1, 0.575% 1/17/12 (n)	3,192		2,860
Series 2007-1 Class B, 0.555% 8/15/12 (n)	3,192		2,494
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (n)	43		22
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.6488% 8/25/34 (n)	319		79
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (n)	4,941		1,393
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (n)	25		13
Series 2005-FF9 Class A3, 0.7538% 10/25/35 (n)	6,488		5,006
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (n)	536		491
Series 2006-FF14 Class A2, 0.5338% 10/25/36 (n)	4,948		4,005
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (g)	193		191
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 0.905% 6/15/11 (n)	2,222		1,556
Series 2006-4 Class B, 1.005% 6/15/13 (n)	848		428
Fremont Home Loan Trust:
Series 2004-1:
Class M1, 1.1488% 2/25/34 (n)	79		23
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Fremont Home Loan Trust: - continued
Series 2004-1:
Class M2, 1.2238% 2/25/34 (n)	$ 135		$ 86
Series 2004-A Class M1, 1.2988% 1/25/34 (n)	1,318		704
Series 2005-A:
Class M1, 0.9038% 1/25/35 (n)	115		106
Class M2, 0.9338% 1/25/35 (n)	1,927		704
Class M3, 0.9638% 1/25/35 (n)	1,041		445
Class M4, 1.1538% 1/25/35 (n)	399		196
Series 2006-A:
Class M4, 0.8738% 5/25/36 (n)	993		14
Class M5, 0.9738% 5/25/36 (n)	532		7
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (g)(n)	2,585		1,742
GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (g)(n)	394		244
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.5713% 9/17/12 (n)	977		684
Class C, 0.7013% 9/17/12 (n)	760		494
Series 2007-1 Class C, 0.7313% 3/15/13 (n)	5,210		3,438
GSAMP Trust:
Series 2002-HE Class M1, 2.345% 11/20/32 (n)	683		333
Series 2003-FM1 Class M1, 1.7% 3/20/33 (n)	1,315		797
Series 2004-AR1 Class M1, 1.1238% 6/25/34 (n)	2,407		915
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (n)	447		239
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (n)	1,151		662
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (n)	630		205
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (n)	999		48
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.8138% 11/25/34 (n)	17		8
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (n)	389		360
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (n)	473		6
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.5538% 5/25/30 (g)(n)	724		326
Series 2006-3:
Class B, 0.8738% 9/25/46 (g)(n)	719		115
Class C, 1.0238% 9/25/46 (g)(n)	1,676		201
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (g)(n)	3,867		1,972
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.3538% 2/25/33 (n)	0*		0*
Series 2003-3 Class M1, 1.7638% 8/25/33 (n)	1,098		501
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Home Equity Asset Trust: - continued
Series 2003-4 Class M1, 1.6738% 10/25/33 (n)	$ 325		$ 144
Series 2003-5:
Class A2, 1.1738% 12/25/33 (n)	36		11
Class M1, 1.5238% 12/25/33 (n)	376		226
Series 2003-7 Class A2, 1.2338% 3/25/34 (n)	2		0*
Series 2003-8 Class M1, 1.5538% 4/25/34 (n)	572		265
Series 2004-3 Class M2, 2.1738% 8/25/34 (n)	372		226
Series 2004-7 Class A3, 0.8638% 1/25/35 (n)	1		0*
Series 2005-1 Class M1, 0.9038% 5/25/35 (n)	1,432		1,279
Series 2005-3 Class M1, 0.8838% 8/25/35 (n)	979		875
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (n)	438		387
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (n)	4,007		2,766
Series 2006-7 Class M4, 0.8538% 1/25/37 (n)	1,259		6
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (n)	310		189
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (n)	2,469		2,193
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.8194% 1/20/35 (n)	848		449
Class M2, 0.8494% 1/20/35 (n)	636		312
Series 2005-3 Class A1, 0.6194% 1/20/35 (n)	446		239
Series 2006-2:
Class M1, 0.74% 3/20/36 (n)	699		366
Class M2, 0.76% 3/20/36 (n)	1,156		568
Series 2006-3 Class A1V, 0.55% 3/20/36 (n)	763		728
Series 2007-2 Class A3V, 0.69% 7/21/36 (n)	550		243
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (n)	1,359		408
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.7738% 7/25/36 (n)	2,980		80
Series 2007-CH1:
Class AV4, 0.6038% 11/25/36 (n)	1,364		580
Class MV1, 0.7038% 11/25/36 (n)	1,108		113
Keycorp Student Loan Trust:
Series 1999-A Class A2, 4.0988% 12/27/09 (n)	1,217		945
Series 2006-A Class 2A1, 1.4963% 9/27/21 (n)	827		805
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (g)(n)	295		3
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.7038% 6/25/33 (n)	2,330		1,049
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Long Beach Mortgage Loan Trust: - continued
Series 2004-2:
Class M1, 1.0038% 6/25/34 (n)	$ 682		$ 360
Class M2, 1.5538% 6/25/34 (n)	485		370
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (n)	463		455
Series 2006-9 Class M4, 0.8438% 11/25/36 (n)	398		1
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (n)	493		18
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (n)	232		0*
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (n)	861		36
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (g)(n)	4,135		3,785
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (n)	654		420
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (n)	179		125
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (n)	2,855		2,024
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (n)	1,863		858
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (n)	48		28
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (n)	578		327
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (n)	446		259
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (n)	63		11
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (n)	1,131		544
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (n)	535		258
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (n)	484		165
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (n)	439		150
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (n)	560		270
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (n)	249		1
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (n)	519		490
Series 2006-NC4:
Class M4, 0.8238% 6/25/36 (n)	374		4
Class M6, 0.9238% 6/25/36 (n)	187		1
Series 2007-HE2:
Class A2A, 0.5138% 1/25/37 (n)	124		100
Class M1, 0.7238% 1/25/37 (n)	3,825		91
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (n)	121		81
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (n)	66		52
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (n)	29		8
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (n)	113		92
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (n)	713		402
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (g)(n)	609		350
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Dean Witter Capital I Trust: - continued
Series 2002-NC3:
Class A3, 1.1538% 8/25/32 (n)	$ 38		$ 7
Class M1, 1.5538% 8/25/32 (n)	69		31
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (n)	448		220
Morgan Stanley Home Equity Loans Trust:
Series 2006-3 Class M5, 0.8838% 4/25/36 (n)	374		5
Series 2007-2 Class A1, 0.5738% 4/25/37 (n)	864		656
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (n)	341		314
National Collegiate Student Loan Trust:
Series 2006-3 Class A1, 0.5038% 9/25/19 (n)	1,380		1,296
Series 2006-4 Class A1, 0.5038% 3/25/25 (n)	1,124		1,003
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.5538% 1/25/34 (n)	1,283		717
Series 2005-4 Class M2, 0.9838% 9/25/35 (n)	1,566		233
Series 2005-D Class M2, 0.9438% 2/25/36 (n)	326		22
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	290		253
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (n)	1,067		6
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (n)	913		827
Ocala Funding LLC:
Series 2005-1A Class A, 1.97% 3/20/10 (g)(n)	622		218
Series 2006-1A Class A, 1.87% 3/20/11 (g)(n)	1,291		516
Option One Mortgage Loan Trust:
Series 2004-3 Class M3, 1.1238% 11/25/34 (n)	378		238
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (n)	184		164
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (n)	255		228
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 1.1538% 9/25/34 (n)	306		175
Class M3, 1.7238% 9/25/34 (n)	585		131
Class M4, 1.9238% 9/25/34 (n)	750		79
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (n)	440		73
Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (n)	1,277		934
Series 2004-WWF1:
Class M2, 1.1538% 2/25/35 (n)	1,765		1,036
Class M3, 1.2138% 2/25/35 (n)	219		88
Series 2005-WCH1:
Class M2, 0.9938% 1/25/35 (n)	847		484
Class M3, 1.0338% 1/25/35 (n)	525		208
Class M4, 1.3038% 1/25/35 (n)	1,620		250
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Park Place Securities, Inc.: - continued
Series 2005-WHQ2:
Class M7, 1.7238% 5/25/35 (n)	$ 1,920		$ 75
Class M9, 2.3538% 5/25/35 (n)	3,649		105
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:
Class 1A1, 0.5438% 9/25/36 (n)	1,968		1,881
Class M4, 0.8338% 9/25/36 (n)	1,872		12
Class M5, 0.8638% 9/25/36 (n)	933		4
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (g)(n)	3,987		1,715
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (n)	372		328
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (n)	6		1
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (n)	2,074		986
Securitized Asset Backed Receivables LLC Trust:
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (n)	1,220		758
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (n)	838		663
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (g)(n)	1,179		884
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (n)	1,397		628
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36	176		174
Sovereign Dealer Floor Plan Master LLC Series 2006-1:
Class B, 0.635% 8/15/11 (g)(n)	1,898		1,614
Class C, 0.835% 8/15/11 (g)(n)	866		649
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (n)	257		167
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (n)	100		40
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (n)	151		67
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (n)	3		0*
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (n)	11,609		9,486
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (g)(n)	1,436		417
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (n)	1,513		1,146
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.5613% 9/15/11 (n)	5,772		4,647
Class B, 0.7413% 9/15/11 (n)	4,317		1,727
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Superior Wholesale Inventory Financing Trust: - continued
Series 2007-AE1:
Class A, 0.555% 1/15/12 (n)	$ 1,074		$ 752
Class B, 0.755% 1/15/12 (n)	934		374
Class C, 1.055% 1/15/12 (n)	1,161		348
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (n)	3,154		2,271
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.9038% 9/25/34 (n)	32		7
Series 2003-6HE Class A1, 0.9438% 11/25/33 (n)	40		13
Turquoise Card Backed Securities PLC:
Series 2006-1A Class C, 0.785% 5/16/11 (g)(n)	3,106		2,954
Series 2006-2:
Class B, 0.605% 10/17/11 (n)	3,759		3,289
Class C, 0.805% 10/17/11 (n)	3,532		2,854
Series 2007-1 Class C, 0.8313% 6/15/12 (n)	4,027		2,591
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	974		0*
WaMu Asset-Backed Certificates Series 2006-HE3:
Class M4, 0.8538% 10/25/36 (n)	662		12
Class M7, 1.2738% 10/25/36 (n)	479		5
WaMu Master Note Trust:
Series 2006-A3A Class A3, 0.485% 9/16/13 (g)(n)	6,030		5,743
Series 2006-C2A Class C2, 0.955% 8/15/15 (g)(n)	7,684		3,339
Series 2006-C3A Class C3A, 0.835% 10/15/13 (g)(n)	5,378		4,340
Series 2007-A4A Class A4, 5.2% 10/15/14 (g)	3,515		3,146
Series 2007-C1 Class C1, 0.855% 5/15/14 (g)(n)	4,680		2,754
Wells Fargo Home Equity Trust:
Series 2004-3 Class A, 4.5% 11/27/34 (a)(g)	8		0*
Series 2006-2 Class A2, 0.5738% 7/25/36 (n)	1,049		948
Series 2007-2 Class A1, 0.5638% 4/25/37 (n)	675		556
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12	20		20
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (g)(n)	1,964		236
TOTAL ASSET-BACKED SECURITIES (Cost $231,523)		207,914
Collateralized Mortgage Obligations - 0.9%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 0.9%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.6275% 2/17/52 (g)(n)	$ 735		$ 551
Series 2006-2A:
Class 2B, 1.3575% 2/17/52 (g)(n)	2,586		2,414
Class 2M, 1.4375% 2/17/52 (g)(n)	1,759		1,580
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (g)(n)	1,651		701
Banc of America Mortgage Securities, Inc.:
Series 2003-H Class 2A3, 5.2046% 9/25/33 (n)	620		493
Series 2003-J Class 2A2, 5.2918% 11/25/33 (n)	500		405
Series 2003-K Class 1A1, 5.2035% 12/25/33 (n)	74		60
Series 2003-L Class 2A1, 5.3147% 1/25/34 (n)	1,012		786
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (n)	1,521		1,183
Series 2004-A:
Class 2A1, 5.1951% 2/25/34 (n)	342		279
Class 2A2, 5.1951% 2/25/34 (n)	1,230		1,003
Series 2004-B:
Class 1A1, 6.433% 3/25/34 (n)	82		63
Class 2A2, 4.0864% 3/25/34 (n)	553		413
Series 2004-C Class 1A1, 5.971% 4/25/34 (n)	146		115
Series 2004-D Class 2A1, 3.6163% 5/25/34 (n)	197		152
Series 2004-F Class 2A6, 4.1429% 7/25/34 (n)	818		799
Series 2004-J Class 2A1, 4.7597% 11/25/34 (n)	684		532
Series 2004-L Class 2A1, 4.3695% 1/25/35 (n)	795		607
Series 2005-H Class 1A1, 5.3329% 9/25/35 (n)	194		140
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (g)(n)(p)	45,019		3,759
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (n)	1,657		1,129
Bear Stearns Alt-A Trust floater:
Series 2005-1 Class A1, 0.7538% 1/25/35 (n)	3,377		1,668
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (n)	626		347
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (n)	796		403
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (n)	775		581
Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (n)	6,461		5,227
Citigroup Mortgage Loan Trust Series 2004-UST1:
Class A3, 4.9419% 8/25/34 (n)	1,770		1,433
Class A4, 4.399% 8/25/34 (n)	1,631		1,305
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (n)	113		108
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (n)	$ 16,357		$ 12,702
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (n)	64		32
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (n)	138		65
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (n)	30		13
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (n)	509		242
Series 2005-10:
Class 5A1, 0.7338% 1/25/36 (n)	807		386
Class 5A2, 0.7938% 1/25/36 (n)	363		146
Series 2005-2:
Class 6A2, 0.7538% 6/25/35 (n)	127		56
Class 6M2, 0.9538% 6/25/35 (n)	1,619		395
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (n)	601		305
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (n)	191		94
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (n)	474		268
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (n)	18		10
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (n)	36		18
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (n)	173		87
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (n)	52		24
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (n)	33		19
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (n)	3,770		1,959
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (n)	780		634
First Horizon Mortgage pass-thru Trust:
floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (n)	63		40
Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (n)	2,822		2,172
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.3025% 10/18/54 (g)(n)	3,137		2,407
Class C2, 1.6125% 10/18/54 (g)(n)	1,052		526
Class M2, 1.3925% 10/18/54 (g)(n)	1,803		1,165
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (g)(n)	2,691		1,258
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (g)(n)	3,418		1,480
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 1.07% 12/20/54 (g)(n)	6,597		462
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-2 Class C1, 0.94% 12/20/54 (n)	$ 5,875		$ 588
Series 2006-3 Class C2, 0.97% 12/20/54 (n)	1,234		76
Series 2006-4:
Class B1, 0.56% 12/20/54 (n)	3,300		660
Class C1, 0.85% 12/20/54 (n)	2,018		141
Class M1, 0.64% 12/20/54 (n)	869		130
Series 2007-1:
Class 1C1, 0.77% 12/20/54 (n)	2,039		204
Class 1M1, 0.62% 12/20/54 (n)	1,326		199
Class 2C1, 0.9% 12/20/54 (n)	930		93
Class 2M1, 0.72% 12/20/54 (n)	1,703		272
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (n)	2,359		236
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (n)	472		118
GSR Mortgage Loan Trust:
Series 2004-11 Class 1A1, 4.9133% 9/25/34 (n)	356		237
Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (n)	700		481
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (n)	467		209
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (g)(n)	669		468
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (n)	2,147		1,223
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (n)	172		98
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (n)	288		170
Series 2005-1:
Class M4, 1.2238% 4/25/35 (n)	34		6
Class M5, 1.2438% 4/25/35 (n)	34		4
Class M6, 1.2938% 4/25/35 (n)	54		8
Series 2005-3 Class A1, 0.7138% 8/25/35 (n)	682		346
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (n)	213		7
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (n)	185		15
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (n)	2,355		1,405
Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (n)	1,388		1,142
Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (n)	3,687		3,038
Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (n)	2,307		1,877
Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (n)	4,609		3,955
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (g)(n)	$ 545		$ 278
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (n)	82		51
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (n)	1,566		756
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (n)	1,971		828
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.625% 6/15/22 (g)(n)	228		126
Class C, 0.645% 6/15/22 (g)(n)	1,398		699
Class D, 0.655% 6/15/22 (g)(n)	538		242
Class E, 0.665% 6/15/22 (g)(n)	860		344
Class F, 0.695% 6/15/22 (g)(n)	1,551		543
Class G, 0.765% 6/15/22 (g)(n)	322		97
Class H, 0.785% 6/15/22 (g)(n)	646		161
Class J, 0.825% 6/15/22 (g)(n)	753		151
Merrill Lynch Mortgage Investors Trust:
floater:
Series 2003-A Class 2A1, 0.8638% 3/25/28 (n)	244		142
Series 2003-B Class A1, 0.8138% 4/25/28 (n)	260		152
Series 2003-D Class A, 0.7838% 8/25/28 (n)	220		141
Series 2003-E Class A2, 2.0813% 10/25/28 (n)	367		219
Series 2003-F Class A2, 3.805% 10/25/28 (n)	295		177
Series 2004-A Class A2, 3.715% 4/25/29 (n)	339		210
Series 2004-B Class A2, 2.8388% 6/25/29 (n)	259		153
Series 2004-C Class A2, 2.15% 7/25/29 (n)	299		178
Series 2004-D Class A2, 3.4625% 9/25/29 (n)	255		151
Series 2004-E:
Class A2B, 3.825% 11/25/29 (n)	603		385
Class A2D, 4.015% 11/25/29 (n)	87		51
Series 2004-G Class A2, 3.48% 11/25/29 (n)	291		176
Series 2005-A Class A2, 3.3525% 2/25/30 (n)	282		169
Series 2005-B Class A2, 2.7988% 7/25/30 (n)	860		536
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (n)	1,789		8
Series 2004-A4 Class A1, 4.2286% 8/25/34 (n)	2,458		1,880
Series 2005-A2:
Class A2, 4.4861% 2/25/35 (n)	1,529		1,203
Class A7, 4.4861% 2/25/35 (n)	2,653		1,716
Series 2006-A6 Class A4, 5.3897% 10/25/33 (n)	2,393		1,950
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.8438% 12/25/34 (n)	$ 310		$ 202
Class A2, 0.9238% 12/25/34 (n)	420		292
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (n)	354		234
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (n)	3,574		1,749
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (n)	2,682		126
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (n)	2,252		1,525
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (n)	573		424
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (n)	1,126		898
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.7988% 7/10/35 (g)(n)	1,497		728
Series 2003-CB1 Class B3, 1.8988% 6/10/35 (g)(n)	1,154		618
Series 2004-A:
Class B4, 1.6488% 2/10/36 (g)(n)	880		305
Class B5, 2.1488% 2/10/36 (g)(n)	587		188
Series 2004-B:
Class B4, 1.5488% 2/10/36 (g)(n)	382		105
Class B5, 1.9988% 2/10/36 (g)(n)	296		73
Class B6, 2.4488% 2/10/36 (g)(n)	103		21
Series 2004-C:
Class B4, 1.3988% 9/10/36 (g)(n)	491		144
Class B5, 1.7988% 9/10/36 (g)(n)	550		148
Class B6, 2.1988% 9/10/36 (g)(n)	122		27
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (n)	1,896		1,462
Residential Asset Mortgage Products, Inc.:
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31	269		237
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (n)	275		201
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (n)	1,342		1,090
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (g)(n)	301		226
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (g)(n)	68		66
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater:
Series 2003-5 Class A2, 3.7963% 9/20/33 (n)	$ 493		$ 301
Series 2004-1 Class A, 1.8888% 2/20/34 (n)	176		113
Series 2004-10 Class A4, 4.5188% 11/20/34 (n)	255		158
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (n)	769		473
Series 2004-3 Class A, 3.885% 5/20/34 (n)	241		147
Series 2004-4 Class A, 4.4388% 5/20/34 (n)	922		574
Series 2004-5 Class A3, 2.9113% 6/20/34 (n)	362		221
Series 2004-6:
Class A3A, 2.1613% 6/20/35 (n)	278		178
Class A3B, 2.3038% 7/20/34 (n)	53		33
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (n)	280		168
Class A3B, 2.1388% 7/20/34 (n)	34		20
Series 2004-8 Class A2, 2.15% 9/20/34 (n)	695		450
Series 2005-1 Class A2, 1.8388% 2/20/35 (n)	466		289
Series 2005-2 Class A2, 2.03% 3/20/35 (n)	582		350
Series 2005-3 Class A1, 0.67% 5/20/35 (n)	283		152
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (n)	577		8
Structured Asset Securities Corp.:
floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (g)(n)	103		44
Series 2003-15A Class 4A, 5.4533% 4/25/33 (n)	1,224		992
Series 2003-20 Class 1A1, 5.5% 7/25/33	791		678
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (n)	3,593		1,832
WaMu Mortgage pass-thru certificates:
floater:
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (n)	166		159
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (n)	67		65
Series 2003-AR10 Class A7, 4.669% 10/25/33 (n)	10,635		6,677
Series 2003-AR8 Class A, 4.2743% 8/25/33 (n)	1,223		985
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (n)	393		389
Series 2005-AR3 Class A2, 4.6384% 3/25/35 (n)	3,511		2,825
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 4.1875% 12/25/34 (n)	1,260		1,003
Series 2004-H Class A1, 4.5322% 6/25/34 (n)	3,111		2,531
Series 2004-W:
Class A1, 4.5429% 11/25/34 (n)	1,166		930
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust: - continued
Series 2004-W:
Class A9, 4.5429% 11/25/34 (n)	$ 3,156		$ 1,985
Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (n)	965		753
Series 2005-AR12:
Class 2A5, 4.313% 7/25/35 (n)	12,260		8,002
Class 2A6, 4.313% 7/25/35 (n)	803		614
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (n)	1,587		1,222
TOTAL PRIVATE SPONSOR			132,890
U.S. Government Agency - 0.0%
Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31	10,519		10,679
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $148,537)		143,569
Commercial Mortgage Securities - 0.5%
Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49	3,695		2,865
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 0.9313% 3/15/22 (g)(n)	676		304
Class G, 0.9913% 3/15/22 (g)(n)	438		166
Series 2006-BIX1:
Class F, 0.765% 10/15/19 (g)(n)	1,739		783
Class G, 0.785% 10/15/19 (g)(n)	1,185		415
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.3238% 12/25/33 (g)(n)	116		67
Series 2004-1:
Class A, 0.8338% 4/25/34 (g)(n)	1,510		1,132
Class B, 2.3738% 4/25/34 (g)(n)	168		63
Class M1, 1.0338% 4/25/34 (g)(n)	136		85
Class M2, 1.6738% 4/25/34 (g)(n)	122		64
Series 2004-2:
Class A, 0.9038% 8/25/34 (g)(n)	1,141		913
Class M1, 1.0538% 8/25/34 (g)(n)	259		162
Series 2004-3:
Class A1, 0.8438% 1/25/35 (g)(n)	2,299		1,667
Class A2, 0.8938% 1/25/35 (g)(n)	331		232
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2004-3:
Class M1, 0.9738% 1/25/35 (g)(n)	$ 398		$ 259
Class M2, 1.4738% 1/25/35 (g)(n)	257		142
Series 2005-2A:
Class A1, 0.7838% 8/25/35 (g)(n)	1,683		1,178
Class M1, 0.9038% 8/25/35 (g)(n)	125		50
Class M2, 0.9538% 8/25/35 (g)(n)	206		82
Class M3, 0.9738% 8/25/35 (g)(n)	114		40
Class M4, 1.0838% 8/25/35 (g)(n)	105		31
Series 2005-3A:
Class A1, 0.7938% 11/25/35 (g)(n)	918		596
Class A2, 0.8738% 11/25/35 (g)(n)	595		387
Class M1, 0.9138% 11/25/35 (g)(n)	109		41
Class M2, 0.9638% 11/25/35 (g)(n)	138		52
Class M3, 0.9838% 11/25/35 (g)(n)	123		43
Class M4, 1.0738% 11/25/35 (g)(n)	154		54
Series 2005-4A:
Class A2, 0.8638% 1/25/36 (g)(n)	2,157		1,240
Class B1, 1.8738% 1/25/36 (g)(n)	186		65
Class M1, 0.9238% 1/25/36 (g)(n)	696		400
Class M2, 0.9438% 1/25/36 (g)(n)	209		115
Class M3, 0.9738% 1/25/36 (g)(n)	305		152
Class M4, 1.0838% 1/25/36 (g)(n)	169		80
Class M5, 1.1238% 1/25/36 (g)(n)	169		76
Class M6, 1.1738% 1/25/36 (g)(n)	179		75
Series 2006-1:
Class A2, 0.8338% 4/25/36 (g)(n)	336		221
Class M1, 0.8538% 4/25/36 (g)(n)	120		60
Class M2, 0.8738% 4/25/36 (g)(n)	127		57
Class M3, 0.8938% 4/25/36 (g)(n)	109		46
Class M4, 0.9938% 4/25/36 (g)(n)	62		34
Class M5, 1.0338% 4/25/36 (g)(n)	60		23
Class M6, 1.1138% 4/25/36 (g)(n)	120		62
Series 2006-2A:
Class A1, 0.7038% 7/25/36 (g)(n)	3,293		2,635
Class A2, 0.7538% 7/25/36 (g)(n)	297		238
Class B1, 1.3438% 7/25/36 (g)(n)	111		22
Class B3, 3.1738% 7/25/36 (g)(n)	168		34
Class M1, 0.7838% 7/25/36 (g)(n)	312		156
Class M2, 0.8038% 7/25/36 (g)(n)	220		106
Class M3, 0.8238% 7/25/36 (g)(n)	183		82
Class M4, 0.8938% 7/25/36 (g)(n)	123		49
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2006-2A:
Class M5, 0.9438% 7/25/36 (g)(n)	$ 152		$ 53
Class M6, 1.0138% 7/25/36 (g)(n)	226		79
Series 2006-3A:
Class B1, 1.2738% 10/25/36 (g)(n)	193		60
Class B2, 1.8238% 10/25/36 (g)(n)	139		41
Class B3, 3.0738% 10/25/36 (g)(n)	226		50
Class M4, 0.9038% 10/25/36 (g)(n)	213		93
Class M5, 0.9538% 10/25/36 (g)(n)	255		102
Class M6, 1.0338% 10/25/36 (g)(n)	499		187
Series 2006-4A:
Class A1, 0.7038% 12/25/36 (g)(n)	919		625
Class A2, 0.7438% 12/25/36 (g)(n)	4,143		2,874
Class B1, 1.1738% 12/25/36 (g)(n)	145		29
Class B2, 1.7238% 12/25/36 (g)(n)	150		69
Class B3, 2.9238% 12/25/36 (g)(n)	251		111
Class M1, 0.7638% 12/25/36 (g)(n)	299		192
Class M2, 0.7838% 12/25/36 (g)(n)	201		127
Class M3, 0.8138% 12/25/36 (g)(n)	204		86
Class M4, 0.8738% 12/25/36 (g)(n)	244		98
Class M5, 0.9138% 12/25/36 (g)(n)	224		90
Class M6, 0.9938% 12/25/36 (g)(n)	201		112
Series 2007-1:
Class A2, 0.7438% 3/25/37 (g)(n)	779		448
Class B1, 1.1438% 3/25/37 (g)(n)	254		89
Class B2, 1.6238% 3/25/37 (g)(n)	184		58
Class B3, 3.8238% 3/25/37 (g)(n)	496		145
Class M1, 0.7438% 3/25/37 (g)(n)	222		120
Class M2, 0.7638% 3/25/37 (g)(n)	167		86
Class M3, 0.7938% 3/25/37 (g)(n)	148		74
Class M4, 0.8438% 3/25/37 (g)(n)	123		59
Class M5, 0.8938% 3/25/37 (g)(n)	186		83
Class M6, 0.9738% 3/25/37 (g)(n)	259		104
Series 2007-2A:
Class A1, 0.7438% 7/25/37 (g)(n)	690		418
Class A2, 0.7938% 7/25/37 (g)(n)	647		399
Class B1, 2.0738% 7/25/37 (g)(n)	203		64
Class B2, 2.7238% 7/25/37 (g)(n)	176		54
Class B3, 3.8238% 7/25/37 (g)(n)	197		59
Class M1, 0.8438% 7/25/37 (g)(n)	230		125
Class M2, 0.8838% 7/25/37 (g)(n)	129		67
Class M3, 0.9638% 7/25/37 (g)(n)	131		65
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2007-2A:
Class M4, 1.1238% 7/25/37 (g)(n)	$ 252		$ 105
Class M5, 1.2238% 7/25/37 (g)(n)	223		88
Class M6, 1.4738% 7/25/37 (g)(n)	283		104
Series 2007-3:
Class A2, 0.7638% 7/25/37 (g)(n)	1,146		851
Class B1, 1.4238% 7/25/37 (g)(n)	185		88
Class B2, 2.0738% 7/25/37 (g)(n)	457		218
Class B3, 4.4738% 7/25/37 (g)(n)	249		114
Class M1, 0.7838% 7/25/37 (g)(n)	165		96
Class M2, 0.8138% 7/25/37 (g)(n)	176		99
Class M3, 0.8438% 7/25/37 (g)(n)	272		144
Class M4, 0.9738% 7/25/37 (g)(n)	428		224
Class M5, 1.0738% 7/25/37 (g)(n)	227		117
Class M6, 1.2738% 7/25/37 (g)(n)	173		88
Series 2007-4A:
Class B1, 3.0238% 9/25/37 (g)(n)	253		80
Class B2, 3.9238% 9/25/37 (g)(n)	899		263
Class M1, 1.4238% 9/25/37 (g)(n)	242		121
Class M2, 1.5238% 9/25/37 (g)(n)	242		109
Class M4, 2.0738% 9/25/37 (g)(n)	605		242
Class M5, 2.2238% 9/25/37 (g)(n)	605		227
Class M6, 2.4238% 9/25/37 (g)(n)	606		212
Bear Stearns Commercial Mortgage Securities Trust floater:
Series 2006-BBA7:
Class G, 0.9013% 3/15/19 (g)(n)	884		504
Class H, 1.1113% 3/15/19 (g)(n)	595		268
Class J, 1.3113% 3/15/19 (g)(n)	447		179
Series 2007-BBA8:
Class D, 0.705% 3/15/22 (g)(n)	458		284
Class E, 0.755% 3/15/22 (g)(n)	2,379		1,395
Class F, 0.805% 3/15/22 (g)(n)	1,459		817
Class G, 0.855% 3/15/22 (g)(n)	375		204
Class H, 1.005% 3/15/22 (g)(n)	458		206
Class J, 1.155% 3/15/22 (g)(n)	458		183
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (g)(n)	1,201		522
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.785% 11/15/36 (g)(n)	488		151
Class H, 0.825% 11/15/36 (g)(n)	390		117
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust: - continued
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	$ 9,115		$ 6,079
COMM pass-thru certificates floater:
Series 2005-F10A:
Class D, 0.765% 4/15/17 (g)(n)	1,043		493
Class E, 0.825% 4/15/17 (g)(n)	332		155
Class F, 0.865% 4/15/17 (g)(n)	188		83
Class G, 1.005% 4/15/17 (g)(n)	188		82
Class H, 1.075% 4/15/17 (g)(n)	188		77
Class J, 1.305% 4/15/17 (g)(n)	144		65
Series 2005-FL11:
Class F, 0.9113% 11/15/17 (g)(n)	427		143
Class G, 0.9613% 11/15/17 (g)(n)	296		92
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (n)	9,295		6,913
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:
Class C:
0.6313% 2/15/22 (g)(n)	2,047		614
0.7313% 2/15/22 (g)(n)	731		183
Class F, 0.7813% 2/15/22 (g)(n)	1,462		322
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27	2,456		2,467
GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (n)(p)	2,524		30
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (g)(n)	916		522
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class D, 0.6913% 11/15/18 (g)(n)	253		119
Class E, 0.7413% 11/15/18 (g)(n)	359		162
Class F, 0.7913% 11/15/18 (g)(n)	538		237
Class G, 0.8213% 11/15/18 (g)(n)	468		197
Class H, 0.9613% 11/15/18 (g)(n)	359		144
Series 2005-LDP3 Class A3, 4.959% 8/15/42	9,850		7,985
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.795% 9/15/21 (g)(n)	1,255		516
Class G, 0.815% 9/15/21 (g)(n)	2,478		907
Class H, 0.855% 9/15/21 (g)(n)	639		221
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.662% 7/15/19 (g)(n)	$ 903		$ 90
Series 2007-XCLA Class A1, 0.662% 7/17/17 (g)(n)	3,008		1,654
Series 2007-XLCA Class B, 0.9613% 7/17/17 (g)(n)	1,712		154
Series 2007-XLFA:
Class D, 0.652% 10/15/20 (g)(n)	732		183
Class E, 0.712% 10/15/20 (g)(n)	916		183
Class F, 0.762% 10/15/20 (g)(n)	550		99
Class G, 0.802% 10/15/20 (g)(n)	680		102
Class H, 0.892% 10/15/20 (g)(n)	428		43
Class J, 1.042% 10/15/20 (g)(n)	488		39
Class MHRO, 1.152% 10/15/20 (g)(n)	198		22
Class MJPM, 1.462% 10/15/20 (g)(n)	67		6
Class MSTR, 1.162% 10/15/20 (g)(n)	122		17
Class NHRO, 1.352% 10/15/20 (g)(n)	290		26
Class NSTR, 1.312% 10/15/20 (g)(n)	114		13
Series 2007-XLC1:
Class C, 1.0613% 7/17/17 (g)(n)	2,337		187
Class D, 1.1613% 7/17/17 (g)(n)	1,100		77
Class E, 1.2613% 7/17/17 (g)(n)	894		54
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (g)(n)	193		158
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.655% 1/15/18 (g)(n)	1,401		770
Series 2006-WL7A:
Class E, 0.735% 9/15/21 (g)(n)	1,530		627
Class F, 0.795% 8/11/18 (g)(n)	2,061		618
Class G, 0.815% 8/11/18 (g)(n)	1,953		488
Class J, 0.9331% 8/11/18 (g)(n)	434		156
Class X1A, 0.0239% 9/15/21 (g)(n)(p)	3,107		0*
Series 2007-WHL8:
Class AP1, 1.155% 6/15/20 (g)(n)	103		26
Class AP2, 1.255% 6/15/20 (g)(n)	168		34
Class F, 0.935% 6/15/20 (g)(n)	3,260		1,043
Class LXR2, 1.255% 6/15/20 (g)(n)	2,223		333
sequential payer Series 2007-C32 Class A2, 5.7357% 6/15/49 (n)	3,005		2,158
Series 2006-C23 Class A5, 5.416% 1/15/45 (n)	7,210		4,823
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $89,537)		76,907
Municipal Securities - 0.1%
	Principal Amount (000s)		Value (000s)
Montgomery County Gen. Oblig. Series A, 5% 1/1/13	$ 5,440		$ 6,085
North Carolina Gen. Oblig. Series A, 5.5% 3/1/13	5,000		5,705
Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12	5,700		6,329
TOTAL MUNICIPAL SECURITIES (Cost $17,544)		18,119
Foreign Government and Government Agency Obligations - 0.0%
Chilean Republic 7.125% 1/11/12 (Cost $2,707)	2,462		2,687
Supranational Obligations - 0.0%
Corporacion Andina de Fomento:
5.2% 5/21/13	196		172
6.875% 3/15/12	318		305
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $480)		477
Bank Notes - 0.0%
National City Bank, Cleveland 2.3025% 3/1/13 (n) (Cost $629)	790		616

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (n)	851		269
MUFG Capital Finance 1 Ltd. 6.346% (n)	3,742		2,344
TOTAL PREFERRED SECURITIES (Cost $2,775)		2,613
Fixed-Income Funds - 17.6%
	Shares
Fidelity 1-3 Year Duration Securitized Bond Central Fund (o)	2,160,345		153,233
Fidelity Commercial Mortgage-Backed Securities Central Fund (o)	4,506,540		306,445
Fidelity Corporate Bond 1-10 Year Central Fund (o)	6,106,713		541,849
Fixed-Income Funds - continued
	Shares		Value (000s)
Fidelity High Income Central Fund 2 (o)	4,046,515		$ 304,581
Fidelity Mortgage Backed Securities Central Fund (o)	13,783,941		1,377,981
TOTAL FIXED-INCOME FUNDS (Cost $3,040,929)		2,684,089
Money Market Funds - 2.4%
Fidelity Cash Central Fund, 0.59% (b)	310,483,082		310,483
Fidelity Securities Lending Cash Central Fund, 0.66% (b)(c)	46,897,885		46,898
TOTAL MONEY MARKET FUNDS (Cost $357,381)		357,381
Cash Equivalents - 0.1%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at:
0.25%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	$ 3,524		3,524
0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	6,172		6,172
TOTAL CASH EQUIVALENTS (Cost $9,696)		9,696
TOTAL INVESTMENT PORTFOLIO - 104.9% (Cost $19,311,449)			15,972,559
NET OTHER ASSETS - (4.9)%			(744,961)
NET ASSETS - 100%		$ 15,227,598

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
3,020 CME E-mini S&P 500 Index Contracts	March 2009	$ 110,864	$ (15,008)

The face value of futures purchased as a percentage of net assets - 0.7%

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon credit event of Securitized Asset Backed Receivables LLC Trust, par value of the notional amount of Securitized Asset Backed Receivables LLC Trust Series 2006-OP1 Class B2, 6.72% 10/25/35 (Rating-Ba1) (l)	Nov. 2035	$ 4,800	$ (4,470)
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) (l)	Dec. 2034	613	(579)
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (l)	Oct. 2034	1,099	(1,043)
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (l)	Oct. 2036	1,436	(1,386)
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (l)	Oct. 2034	1,099	(1,042)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (m)	Sept. 2037	16,700	(16,116)
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-Caa1) (m)	Sept. 2037	13,600	(13,124)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Caa1) (m)	Sept. 2037	$ 1,800	$ (1,737)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (m)	Sept. 2037	13,600	(13,124)
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-Caa1) (m)	Sept. 2037	13,100	(12,642)
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-Caa1) (m)	Sept. 2037	11,500	(11,098)
Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (l)	August 2035	3,000	(2,817)
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 (Rating-C) (l)	June 2035	1,600	(1,522)
TOTAL CREDIT DEFAULT SWAPS		83,947	(80,700)
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2017	120,000	20,788
		$ 203,947	$ (59,912)

Legend

(a) Non-income producing

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

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

(d) Non-income producing - Issuer 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 $276,762,000 or 1.8% of net assets.

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

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

(j) 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 $15,798,000.

(k) 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 $39,175,000.

(l) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(m) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(o) 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, are available on the SEC's web site or upon request.

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

(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 $12,125,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
Concho Resources, Inc.	6/6/08	$ 18,300

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$3,524,000 due 3/02/09 at 0.25%
BNP Paribas Securities Corp.	$ 1,894
Barclays Capital, Inc.	457
Citigroup Global Markets, Inc.	261
HSBC Securities (USA), Inc.	131
J.P. Morgan Securities, Inc.	258
Societe Generale, New York Branch	523
	$ 3,524
$6,172,000 due 3/02/09 at 0.26%
BNP Paribas Securities Corp.	$ 3,046
Banc of America Securities LLC	1,136
Barclays Capital, Inc.	1,620
Deutsche Bank Securities, Inc.	370
	$ 6,172

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 High Income Central Fund 2	$ 16,923
Fidelity 1-3 Year Duration Securitized Bond Central Fund	4,143
Fidelity Cash Central Fund	4,879
Fidelity Commercial Mortgage-Backed Securities Central Fund	11,553
Fidelity Corporate Bond 1-10 Year Central Fund	38,514
Fidelity Mortgage Backed Securities Central Fund	43,387
Fidelity Securities Lending Cash Central Fund	1,569
Fidelity Ultra-Short Central Fund	4,683
Total	$ 125,651

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 283,606	$ 4,143	$ 103,518	$ 153,233	18.8%
Fidelity Commercial Mortgage-Backed Securities Central Fund	454,738	11,553	59,363	306,445	13.1%
Fidelity Corporate Bond 1-10 Year Central Fund	1,517,973	38,632	900,980*	541,849	22.2%
Fidelity High Income Central Fund 2	400,269	68,158	69,641	304,581	84.5%
Fidelity Mortgage Backed Securities Central Fund	1,762,588	43,390	458,920	1,377,981	18.8%
Fidelity Ultra-Short Central Fund	658,434	-	554,165*	-	0.0%
Total	$ 5,077,608	$ 165,876	$ 2,146,587	$ 2,684,089

* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

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
Aurora Oil & Gas Corp.	$ 1,272	$ -	$ 455	$ -	$ -
Bell Microproducts, Inc.	4,429	-	4,228	-	-
Capitol Bancorp Ltd.	17,008	-	17,867	-	-
Central Garden & Pet Co.	9,861	-	11,130	-	-
Cirrus Logic, Inc.	-	16,303	-	-	11,589
Credence Systems Corp.	7,204	-	-	-	-
DUSA Pharmaceuticals, Inc.	2,911	-	2,292	-	-
Evergreen Energy, Inc.	6,322	-	6,097	-	-
Great Lakes Dredge & Dock Corp.	34,885	-	32,883	79	-
LandAmerica Financial Group, Inc.	16,912	-	20,004	-	-
Lighthouse Caledonia ASA	2,310	-	119	-	-
LTX Corp.	6,836	-	-	-	-
MarineMax, Inc.	8,237	-	2,909	-	-
Mattson Technology, Inc.	-	14,901	57	-	1,540
Sourcefire, Inc.	12,346	-	12,049	-	-
Spartech Corp.	16,808	-	16,306	-	-
Standard Pacific Corp.	14,818	-	16,004	-	-
The Pantry, Inc.	31,496	-	35,160	-	-
Tween Brands, Inc.	25,114	-	27,074	-	-
Universal Truckload Services, Inc.	26,743	-	24,427	-	-
Total	$ 245,512	$ 31,204	$ 229,061	$ 79	$ 13,129

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at 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 tables 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	$ 15,972,559	$ 11,417,124	$ 4,499,406	$ 56,029
Other Financial Instruments*	$ (74,389)	$ (15,008)	$ 5,203	$ (64,584)

* Other financial instruments include Futures Contracts, Swap Agreements and Forward Commitments.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 16,518	$ (16,837)
Total Realized Gain (Loss)	547	-*
Total Unrealized Gain (Loss)	(13,112)	5,406
Cost of Purchases	53,678	-
Proceeds of Sales	(2,695)	-
Amortization/Accretion	109	-
Transfer in/out of Level 3	984	(53,153)
Ending Balance	$ 56,029	$ (64,584)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(8,331,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

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

U.S. Government and U.S. Government Agency Obligations	28.7%
AAA,AA,A	10.6%
BBB	6.8%
BB	0.9%
B	1.1%
CCC,CC,C	0.1%
D	0.0%†
Not Rated	0.1%
Equities	59.0%
Short-Term Investments and Net Other Assets	(7.3)%
	100.0%

We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Percentages are adjusted for the effect of futures contracts, if applicable.

Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited)

United States of America	89.2%
Canada	1.6%
United Kingdom	1.2%
Netherlands	1.2%
Bermuda	1.1%
Others (individually less than 1%)	5.7%
	100.0%

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

^† Amount represents less than .1%.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	February 28, 2009 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $44,853 and repurchase agreements of $9,696) - See accompanying schedule: Unaffiliated issuers (cost $15,882,102)	$ 12,917,960
Fidelity Central Funds (cost $3,398,310)	3,041,470
Other affiliated issuers (cost $31,037)	13,129
Total Investments (cost $19,311,449)		$ 15,972,559
Commitment to sell securities on a delayed delivery basis	(289,776)
Receivable for securities sold on a delayed delivery basis	290,307	531
Receivable for investments sold, regular delivery		266,797
Cash		446
Foreign currency held at value (cost $4,165)		4,165
Receivable for swap agreements		65
Receivable for fund shares sold		17,213
Dividends receivable		24,589
Interest receivable		31,727
Distributions receivable from Fidelity Central Funds		17,385
Prepaid expenses		187
Other receivables		657
Unrealized appreciation for swap agreements		20,788
Total assets		16,357,109
Liabilities
Payable for investments purchased Regular delivery	$ 319,501
Delayed delivery	621,014
Payable for swap agreements	23,361
Payable for fund shares redeemed	22,947
Unrealized depreciation for swap agreements	80,700
Accrued management fee	5,668
Payable for daily variation on futures contracts	2,688
Other affiliated payables	3,690
Other payables and accrued expenses	3,044
Collateral on securities loaned, at value	46,898
Total liabilities		1,129,511
Net Assets		$ 15,227,598
Net Assets consist of:
Paid in capital		$ 22,932,633
Undistributed net investment income		78,170
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		(4,379,365)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(3,403,840)
Net Assets		$ 15,227,598

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	February 28, 2009 (Unaudited)
Balanced: Net Asset Value, offering price and redemption price per share ($14,138,259 ÷ 1,199,088 shares)		$ 11.79
Class K: Net Asset Value, offering price and redemption price per share ($1,089,339 ÷ 92,360 shares)		$ 11.79

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

Semiannual Report

Statement of Operations

Amounts in thousands	Six months ended February 28, 2009 (Unaudited)
Investment Income
Dividends (including $79 earned from other affiliated issuers)		$ 123,101
Interest		48,470
Income from Fidelity Central Funds		125,651
Total income		297,222
Expenses
Management fee	$ 38,179
Transfer agent fees	21,767
Accounting and security lending fees	976
Custodian fees and expenses	313
Independent trustees' compensation	60
Depreciation in deferred trustee compensation account	(3)
Registration fees	137
Audit	100
Legal	47
Miscellaneous	913
Total expenses before reductions	62,489
Expense reductions	(794)	61,695
Net investment income (loss)		235,527
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(3,867,297)
Fidelity Central Funds	(383,494)
Other affiliated issuers	(120,893)
Foreign currency transactions	(4,053)
Futures contracts	(43,695)
Swap agreements	20,092
Total net realized gain (loss)		(4,399,340)
Change in net unrealized appreciation (depreciation) on: Investment securities (net of decrease in deferred foreign taxes of $60)	(3,762,508)
Assets and liabilities in foreign currencies	50
Futures contracts	(15,008)
Swap agreements	5,991
Delayed delivery commitments	503
Total change in net unrealized appreciation (depreciation)		(3,770,972)
Net gain (loss)		(8,170,312)
Net increase (decrease) in net assets resulting from operations		$ (7,934,785)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 28, 2009 (Unaudited)	Year ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 235,527	$ 584,438
Net realized gain (loss)	(4,399,340)	346,668
Change in net unrealized appreciation (depreciation)	(3,770,972)	(2,929,820)
Net increase (decrease) in net assets resulting from operations	(7,934,785)	(1,998,714)
Distributions to shareholders from net investment income	(260,136)	(581,560)
Distributions to shareholders from net realized gain	(41,988)	(1,526,672)
Total distributions	(302,124)	(2,108,232)
Share transactions - net increase (decrease)	(1,915,357)	3,295,533
Total increase (decrease) in net assets	(10,152,266)	(811,413)
Net Assets
Beginning of period	25,379,864	26,191,277
End of period (including undistributed net investment income of $78,170 and undistributed net investment income of $102,779, respectively)	$ 15,227,598	$ 25,379,864

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

Semiannual Report

Financial Highlights - Balanced

	Six months ended February 28, 2009	Years ended August 31,
	(Unaudited)	2008	2007	2006 G	2006 I	2005I	2004I
Selected Per-Share Data
Net asset value, beginning of period	$ 17.71	$ 20.66	$ 19.56	$ 19.16	$ 18.73	$ 16.57	$ 14.92
Income from Investment Operations
Net investment income (loss) D	.17	.42	.44	.04	.36	.29	.27
Net realized and unrealized gain (loss)	(5.87)	(1.76)	2.13	.36	1.01	2.60	1.64
Total from investment operations	(5.70)	(1.34)	2.57	.40	1.37	2.89	1.91
Distributions from net investment income	(.19)	(.43)	(.43)	-	(.31)	(.29)	(.26)
Distributions from net realized gain	(.03)	(1.18)	(1.04)	-	(.63)	(.44)	-
Total distributions	(.22)	(1.61)	(1.47)	-	(.94)	(.73)	(.26)
Net asset value, end of period	$ 11.79	$ 17.71	$ 20.66	$ 19.56	$ 19.16	$ 18.73	$ 16.57
Total Return B, C	(32.39)%	(7.28)%	13.96%	2.09%	7.54%	18.04%	12.82%
Ratios to Average Net Assets E, H
Expenses before reductions	.68% A	.61%	.61%	.64% A	.64%	.65%	.67%
Expenses net of fee waivers, if any	.68% A	.61%	.61%	.64% A	.64%	.65%	.67%
Expenses net of all reductions	.68% A	.61%	.60%	.63% A	.63%	.64%	.66%
Net investment income (loss)	2.55% A	2.22%	2.20%	2.35% A	1.90%	1.68%	1.63%
Supplemental Data
Net assets, end of period (in millions)	$ 14,138	$ 25,363	$ 26,191	$ 20,350	$ 19,800	$ 14,610	$ 10,784
Portfolio turnover rate F	248% A	73% J	89% J	65% A	61%	82%	99%
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended July 31. J Portfolio turnover rate excludes securities received or delivered in-kind.

Semiannual Report

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

Financial Highlights - Class K

	Six months ended February 28, 2009	Year ended August 31,
	(Unaudited)	2008 G
Selected Per-Share Data
Net asset value, beginning of period	$ 17.72	$ 19.12
Income from Investment Operations
Net investment income (loss)D	.17	.12
Net realized and unrealized gain (loss)	(5.86)	(1.41)
Total from investment operations	(5.69)	(1.29)
Distributions from net investment income	(.21)	(.11)
Distributions from net realized gain	(.03)	-
Total distributions	(.24)	(.11)
Net asset value, end of period	$ 11.79	$ 17.72
Total Return B, C	(32.35)%	(6.74)%
Ratios to Average Net AssetsE, H
Expenses before reductions	.49% A	.48% A
Expenses net of fee waivers, if any	.49% A	.48% A
Expenses net of all reductions	.48% A	.48% A
Net investment income (loss)	2.74% A	2.45% A
Supplemental Data
Net assets, end of period (in millions)	$ 1,089	$ 17
Portfolio turnover rate F	248% A	73% I
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the period May 9, 2008 (commencement of sale of shares) to August 31, 2008. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Portfolio turnover rate excludes securities received or delivered in-kind.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

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. After the commencement of Class K, the Fund began offering conversion privileges between Balanced and Class K to eligible shareholders of Balanced. Each class has exclusive voting rights with respect to matters that affect that class. In order to disclose class level financial information dollar amounts presented in the notes are unrounded. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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 their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity 1-3 Year Duration Securitized Bond Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity Commercial Mortgage-Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.	Futures Repurchase Agreement Restricted Securities Swap Agreements
Fidelity Corporate Bond 1-10 Year Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements
Fidelity High Income Central Fund 2	Fidelity Management & Research Company, Inc. (FMRC)	Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.	Delayed Delivery & When Issued 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 vailable upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

Semiannual Report

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1	Quoted prices in active markets for identical securities.
Level 2	Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3	Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally

Semiannual Report

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income, even though the 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 collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Unrealized appreciation	$ 396,210,803
Unrealized depreciation	(4,080,742,117)
Net unrealized appreciation (depreciation)	$ (3,684,531,314)
Cost for federal income tax purposes	$ 19,657,090,233

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Operating Policies - continued

Futures Contracts - continued

contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. 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 credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. 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 corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $83,946,923 representing 0.55% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both 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. Any

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Operating Policies - continued

Swap Agreements - continued

current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. 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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $19,561,445,773 and $20,420,856,150, respectively.

6. Fees and Other Transactions with Affiliates.

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Balanced. FIIOC receives an asset-based fee of .05% of Class K's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:

	Amount	% of Average Net Assets*
Balanced	$ 21,602,612	.24
Class K	165,534	.05
	$ 21,767,146

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $433,385 for the period.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $331,388,081 in return for its 5,299,979 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

On February 20, 2009, the Fund redeemed in-kind 7,900,409 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $711,093,749 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 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 $57,783 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. Security Lending - continued

delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities.

Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Net income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $212,536. 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 $1,568,518.

9. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of Balanced's operating expenses. During the period,this reimbursement reduced the class' expenses by $5,135.

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 $642,547 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $87,711. During the period, credits reduced each class' transfer agent expense as noted in the table below.

	Transfer Agent expense reduction
Balanced	$ 58,568

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net investment income
Balanced	$ 252,300,883	$ 581,559,348
Class K	7,835,022	570
Total	$ 260,135,905	$ 581,559,918

Semiannual Report

10. Distributions to Shareholders - continued

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net realized gain
Balanced	$ 41,696,814	$ 1,526,671,923
Class K	291,112	-
Total	$ 41,987,926	$ 1,526,671,923

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

11. Share Transactions.

Transactions for each class of shares were as follows:

	Shares		Dollars
	Six months ended February 28, 2009	Year ended August 31, 2008A	Six months ended February 28, 2009	Year ended August 31, 2008A
Balanced
Shares sold	100,041,261	342,702,362	$ 1,384,728,336	$ 6,544,290,400
Conversion to Class K	(99,400,072)	(959,723)	(1,312,681,454)	(16,766,361)
Reinvestment of distributions	20,256,548	103,189,062	287,355,407	2,066,916,739
Shares redeemed	(253,737,299)	(281,013,909)	(3,491,493,461)	(5,315,835,781)
Net increase (decrease)	(232,839,562)	163,917,792	$ (3,132,091,172)	$ 3,278,604,997
Class K
Shares sold	7,129,084	15,171	$ 93,011,917	$ 276,121
Conversion from Balanced	99,378,060	959,174	1,312,681,454	16,766,361
Reinvestment of distributions	613,960	33	8,126,134	570
Shares redeemed	(15,729,231)	(6,530)	(197,085,044)	(114,733)
Net increase (decrease)	91,391,873	967,848	$ 1,216,734,461	$ 16,928,319

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

12. 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

12. Other - continued

exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

In March, 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Research & Analysis Company

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

Fidelity Investments Japan Limited

FIL Investment Advisors

FIL Investment Advisors (U.K.) Ltd.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Citibank, N.A.

New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST®) 1-800-544-5555

Automated line for quickest service

BAL-USAN-0409
1.789281.105

Fidelity^®
Balanced
Fund -
Class K

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message	<Click Here>	Ned Johnson's message to shareholders.
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.

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

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

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual 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 (September 1, 2008 to February 28, 2009).

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.

Semiannual Report

Shareholder Expense Example - continued

	Annualized Expense Ratio	Beginning Account Value September 1, 2008	Ending Account Value February 28, 2009	Expenses Paid During Period* September 1, 2008 to February 28, 2009
Balanced	.68%
Actual		$ 1,000.00	$ 676.10	$ 2.83
Hypothetical A		$ 1,000.00	$ 1,021.42	$ 3.41
Class K	.49%
Actual		$ 1,000.00	$ 676.50	$ 2.04
Hypothetical A		$ 1,000.00	$ 1,022.36	$ 2.46

^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 181/365 (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.

Semiannual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments in each non-money market Fidelity Central Fund.

Top Five Stocks as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
JPMorgan Chase & Co.	1.5	0.8
Microsoft Corp.	1.3	0.0
Procter & Gamble Co.	1.3	0.6
AT&T, Inc.	1.1	1.2
Verizon Communications, Inc.	1.0	0.6
	6.2
Top Five Bond Issuers as of February 28, 2009
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	15.7	8.8
Freddie Mac	5.3	3.4
U.S. Treasury Obligations	3.9	4.9
Government National Mortgage Association	3.7	2.3
Citigroup, Inc.	0.3	0.0
	28.9
Top Five Market Sectors as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
Financials	10.7	15.9
Information Technology	10.6	9.2
Health Care	9.7	6.3
Energy	9.2	11.8
Consumer Staples	8.7	3.9

Asset Allocation (% of fund's net assets)
As of February 28, 2009*			As of August 31, 2008**
	Stocks and Equity Futures 58.8%			Stocks and Investment Companies 64.5%
	Bonds 49.0%			Bonds 39.1%
	Convertible Securities 0.2%			Convertible Securities 0.8%
	Other Investments 0.3%			Other Investments 0.1%
	Short-Term Investments and Net Other Assets† (8.3)%			Short-Term Investments and Net Other Assets† (4.5)%
* Foreign investments		10.8%	** Foreign investments		10.4%

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

Percentages are adjusted for the effect of futures and swaps contracts, if applicable.

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com.

Semiannual Report

Investments February 28, 2009 (Unaudited)

Showing Percentage of Net Assets

Common Stocks - 58.1%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 4.5%
Auto Components - 0.1%
Gentex Corp.	936,500		$ 7,492
Johnson Controls, Inc.	1,082,700		12,321
			19,813
Automobiles - 0.1%
Renault SA	77,300		1,110
Toyota Motor Corp. sponsored ADR	119,000		7,514
			8,624
Distributors - 0.2%
Li & Fung Ltd.	16,749,000		36,295
Diversified Consumer Services - 0.0%
New Oriental Education & Technology Group, Inc. sponsored ADR (a)(e)	72,100		3,228
Service Corp. International	690,100		2,333
			5,561
Hotels, Restaurants & Leisure - 0.6%
Burger King Holdings, Inc.	209,600		4,504
Krispy Kreme Doughnuts, Inc. warrants 3/2/12 (a)	5,495		1
McDonald's Corp.	1,696,155		88,624
Wendy's/Arby's Group, Inc.	603,800		2,735
			95,864
Household Durables - 0.2%
Centex Corp.	140,488		872
D.R. Horton, Inc.	986,800		8,338
Fortune Brands, Inc.	117,400		2,788
Harman International Industries, Inc.	226,500		2,405
Mohawk Industries, Inc. (a)	495,645		11,197
Newell Rubbermaid, Inc.	495,100		2,797
Pulte Homes, Inc.	398,800		3,661
Whirlpool Corp.	137,523		3,057
			35,115
Internet & Catalog Retail - 0.1%
Expedia, Inc. (a)	508,500		4,053
Priceline.com, Inc. (a)(e)	63,183		5,362
			9,415
Leisure Equipment & Products - 0.0%
Hasbro, Inc.	156,200		3,575
Media - 1.4%
Central European Media Enterprises Ltd. Class A (a)	662,608		4,214
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Media - continued
Comcast Corp.:
Class A	3,947,500		$ 51,554
Class A (special) (non-vtg.)	140,200		1,703
Discovery Communications, Inc. (a)	336,200		5,214
Liberty Global, Inc. Class A (a)	688,107		8,443
News Corp. Class A	843,800		4,692
Omnicom Group, Inc.	886,700		21,307
The DIRECTV Group, Inc. (a)	745,300		14,861
The Walt Disney Co.	977,100		16,386
Time Warner Cable, Inc. (a)	1,287,900		23,478
Time Warner, Inc.	5,500,450		41,968
Viacom, Inc. Class B (non-vtg.) (a)	1,079,700		16,617
			210,437
Multiline Retail - 0.3%
Kohl's Corp. (a)	128,210		4,505
Target Corp.	1,145,625		32,433
			36,938
Specialty Retail - 1.2%
Home Depot, Inc.	1,005,400		21,003
Lowe's Companies, Inc.	2,731,100		43,261
MarineMax, Inc. (a)	387,607		558
OfficeMax, Inc.	352,430		1,346
PetSmart, Inc.	753,223		15,095
Ross Stores, Inc.	734,221		21,674
Sally Beauty Holdings, Inc. (a)	365,500		1,414
Sherwin-Williams Co.	172,400		7,922
Staples, Inc.	1,139,866		18,181
Tiffany & Co., Inc.	174,800		3,328
TJX Companies, Inc.	1,661,800		37,008
Urban Outfitters, Inc. (a)	414,800		6,902
Zumiez, Inc. (a)	782,200		6,172
			183,864
Textiles, Apparel & Luxury Goods - 0.3%
Carter's, Inc. (a)	771,600		12,585
LVMH Moet Hennessy - Louis Vuitton	67,600		3,832
NIKE, Inc. Class B	361,600		15,017
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Textiles, Apparel & Luxury Goods - continued
Ports Design Ltd.	2,563,000		$ 2,623
VF Corp.	82,960		4,306
			38,363
TOTAL CONSUMER DISCRETIONARY			683,864
CONSUMER STAPLES - 7.9%
Beverages - 2.6%
Anheuser-Busch InBev NV	1,396,884		38,164
Coca-Cola Enterprises, Inc.	889,800		10,215
Coca-Cola FEMSA SAB de CV sponsored ADR	162,100		5,051
Coca-Cola Hellenic Bottling Co. SA sponsored ADR	251,708		2,965
Coca-Cola Icecek AS	661,000		2,741
Companhia de Bebidas das Americas (AmBev) (PN) sponsored ADR	140,300		5,677
Constellation Brands, Inc. Class A (sub. vtg.) (a)	2,094,590		27,334
Cott Corp. (a)	1,806,700		1,449
Diageo PLC sponsored ADR	345,400		16,058
Dr Pepper Snapple Group, Inc. (a)	205,692		2,890
Embotelladora Andina SA sponsored ADR	426,794		6,103
Fomento Economico Mexicano SAB de CV sponsored ADR	109,683		2,527
Molson Coors Brewing Co. Class B	843,900		29,731
Pepsi Bottling Group, Inc.	290,000		5,365
PepsiCo, Inc.	2,278,756		109,699
Pernod Ricard SA	169,800		9,244
SABMiller PLC	163,396		2,365
The Coca-Cola Co.	2,869,841		117,233
			394,811
Food & Staples Retailing - 1.8%
Costco Wholesale Corp.	612,300		25,925
CVS Caremark Corp.	2,945,896		75,827
Kroger Co.	941,600		19,463
Safeway, Inc.	1,080,000		19,980
Wal-Mart Stores, Inc.	1,841,900		90,695
Walgreen Co.	1,447,700		34,542
			266,432
Food Products - 1.2%
Archer Daniels Midland Co.	880,000		23,461
Bunge Ltd. (e)	62,400		2,925
Cadbury PLC sponsored ADR	93,300		2,859
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Food Products - continued
Green Mountain Coffee Roasters, Inc. (a)	593,862		$ 22,181
Groupe Danone	177,900		8,441
Kraft Foods, Inc. Class A	316,000		7,198
Lindt & Spruengli AG	177		3,290
Nestle SA (Reg.)	1,474,388		48,194
Perdigao SA	236,400		2,903
PureCircle Ltd. (a)	47,400		112
Ralcorp Holdings, Inc. (a)	50,330		3,050
Sadia SA ADR (e)	476,600		1,630
SLC Agricola SA	556,200		3,276
Tyson Foods, Inc. Class A	1,505,680		12,693
Unilever NV (NY Shares)	1,869,100		35,719
Viterra, Inc. (a)	371,600		2,956
Wimm-Bill-Dann Foods OJSC sponsored ADR (a)(e)	53,618		1,589
			182,477
Household Products - 1.5%
Colgate-Palmolive Co.	462,000		27,803
Kimberly-Clark Corp.	153,066		7,211
Procter & Gamble Co.	3,995,981		192,486
			227,500
Personal Products - 0.2%
Avon Products, Inc.	1,640,500		28,856
Mead Johnson Nutrition Co. Class A (a)	327,700		9,041
			37,897
Tobacco - 0.6%
Altria Group, Inc.	1,255,200		19,380
British American Tobacco PLC sponsored ADR	957,500		48,871
Philip Morris International, Inc.	743,300		24,878
Souza Cruz Industria Comerico	159,800		3,204
			96,333
TOTAL CONSUMER STAPLES			1,205,450
ENERGY - 7.6%
Energy Equipment & Services - 1.9%
Global Industries Ltd. (a)	941,088		2,974
Nabors Industries Ltd. (a)	2,546,900		24,730
National Oilwell Varco, Inc. (a)	2,902,054		77,572
Noble Corp.	1,959,492		48,184
Common Stocks - continued
	Shares		Value (000s)
ENERGY - continued
Energy Equipment & Services - continued
Patterson-UTI Energy, Inc.	989,900		$ 8,503
Pride International, Inc. (a)	730,800		12,599
Schlumberger Ltd. (NY Shares)	695,018		26,452
Smith International, Inc.	740,640		15,909
Superior Energy Services, Inc. (a)	193,800		2,556
Transocean Ltd. (a)	50		3
Weatherford International Ltd. (a)	6,583,352		70,244
			289,726
Oil, Gas & Consumable Fuels - 5.7%
Apache Corp.	640,600		37,853
Cabot Oil & Gas Corp.	887,953		18,088
Canadian Natural Resources Ltd.	1,790,100		57,552
Chevron Corp.	1,098,600		66,696
Comstock Resources, Inc. (a)	726,766		22,115
Concho Resources, Inc. (a)	3,439,356		68,615
Concho Resources, Inc. (a)(q)	607,780		12,125
Continental Resources, Inc. (a)(e)	589,000		9,359
Denbury Resources, Inc. (a)	3,370,522		43,412
El Paso Corp.	3,407,800		23,003
Ellora Energy, Inc. (a)(g)	1,529,700		9,313
Energy Resources of Australia Ltd.	427,558		4,952
EXCO Resources, Inc. (a)	3,031,000		27,612
Hess Corp.	870,155		47,589
Occidental Petroleum Corp.	496,900		25,774
OPTI Canada, Inc. (a)	2,681,272		2,108
Petrohawk Energy Corp. (a)	5,878,704		100,056
Plains Exploration & Production Co. (a)	1,256,310		24,046
Range Resources Corp.	190,270		6,768
Royal Dutch Shell PLC Class A sponsored ADR	1,728,100		75,985
SandRidge Energy, Inc. (a)	16,408		111
Southwestern Energy Co. (a)	2,014,232		57,949
Suncor Energy, Inc.	2,054,200		42,726
Sunoco, Inc.	105,579		3,532
Ultra Petroleum Corp. (a)	646,803		22,729
Uranium One, Inc. (a)	1,046,400		1,588
Whiting Petroleum Corp. (a)	7,817		182
Williams Companies, Inc.	5,020,600		56,733
			868,571
TOTAL ENERGY			1,158,297
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - 5.6%
Capital Markets - 1.0%
BlackRock, Inc. Class A	86,900		$ 8,413
Cohen & Steers, Inc.	16,900		152
Goldman Sachs Group, Inc.	583,000		53,100
Janus Capital Group, Inc.	551,100		2,430
Morgan Stanley	2,599,923		50,802
Northern Trust Corp.	180,300		10,016
State Street Corp.	955,800		24,153
			149,066
Commercial Banks - 1.3%
Bangkok Bank Ltd. PCL (For. Reg.)	4,016,400		8,184
Mitsubishi UFJ Financial Group, Inc.	608,900		2,750
PNC Financial Services Group, Inc.	1,623,349		44,382
TCF Financial Corp.	661,600		8,111
U.S. Bancorp, Delaware	2,291,000		32,784
UCBH Holdings, Inc.	593,606		950
Uniao de Bancos Brasileiros SA (Unibanco) GDR	95,200		4,982
Wells Fargo & Co.	7,883,791		95,394
			197,537
Consumer Finance - 0.3%
American Express Co.	437,198		5,273
Capital One Financial Corp.	1,535,400		18,502
Discover Financial Services	1,358,610		7,785
Promise Co. Ltd. (e)	290,500		3,880
SLM Corp. (a)	1,169,400		5,379
			40,819
Diversified Financial Services - 1.7%
Bank of America Corp.	9,663,962		38,173
JPMorgan Chase & Co.	9,942,964		227,197
			265,370
Insurance - 1.2%
ACE Ltd.	883,800		32,268
Fidelity National Financial, Inc. Class A	315,950		5,235
Marsh & McLennan Companies, Inc.	970,900		17,408
MetLife, Inc.	1,580,163		29,170
PartnerRe Ltd.	305,400		18,904
Principal Financial Group, Inc.	626,500		5,006
Prudential Financial, Inc.	894,870		14,685
Reinsurance Group of America, Inc.	313,947		8,539
Sony Financial Holdings, Inc.	8,605		22,131
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Insurance - continued
The Travelers Companies, Inc.	326,000		$ 11,785
Unum Group	1,089,000		11,086
W.R. Berkley Corp.	148,400		3,088
			179,305
Real Estate Investment Trusts - 0.1%
Developers Diversified Realty Corp.	211,500		624
SL Green Realty Corp.	172,190		2,001
Vornado Realty Trust	290,300		9,502
			12,127
Real Estate Management & Development - 0.0%
Forestar Group, Inc. (a)	456,600		3,434
TOTAL FINANCIALS			847,658
HEALTH CARE - 9.3%
Biotechnology - 1.7%
Alexion Pharmaceuticals, Inc. (a)	21,300		728
Amgen, Inc. (a)	917,600		44,898
Biogen Idec, Inc. (a)	810,887		37,333
BioMarin Pharmaceutical, Inc. (a)	187,836		2,254
CSL Ltd.	343,729		7,949
DOV Pharmaceutical, Inc. warrants 6/2/09 (a)	34		0*
Genentech, Inc. (a)	485,889		41,568
Genzyme Corp. (a)	669,700		40,805
Gilead Sciences, Inc. (a)	1,600,273		71,692
Myriad Genetics, Inc. (a)	97,563		7,693
ONYX Pharmaceuticals, Inc. (a)	160,829		4,823
United Therapeutics Corp. (a)	115,725		7,766
			267,509
Health Care Equipment & Supplies - 1.3%
Baxter International, Inc.	1,410,400		71,803
C.R. Bard, Inc.	253,824		20,372
Cooper Companies, Inc.	187,100		4,114
Covidien Ltd.	1,716,754		54,370
Edwards Lifesciences Corp. (a)	219,055		12,182
Mako Surgical Corp.	529,285		4,144
Masimo Corp. (a)	269,675		6,739
Medtronic, Inc.	379,095		11,217
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Health Care Equipment & Supplies - continued
Shandong Weigao Group Medical Polymer Co. Ltd. (H Shares)	1,716,000		$ 2,867
St. Jude Medical, Inc. (a)	432,708		14,349
			202,157
Health Care Providers & Services - 1.0%
CardioNet, Inc.	130,823		3,271
Express Scripts, Inc. (a)	691,188		34,767
Henry Schein, Inc. (a)	206,913		7,590
McKesson Corp.	252,450		10,355
Medco Health Solutions, Inc. (a)	1,529,026		62,048
UnitedHealth Group, Inc.	1,005,645		19,761
WellPoint, Inc. (a)	352,100		11,943
			149,735
Health Care Technology - 0.2%
HLTH Corp. (a)	2,236,777		24,426
Life Sciences Tools & Services - 0.3%
Illumina, Inc. (a)	515,342		16,146
QIAGEN NV (a)	1,040,765		16,673
Waters Corp. (a)	268,400		9,453
			42,272
Pharmaceuticals - 4.8%
Abbott Laboratories	2,517,000		119,155
Allergan, Inc.	1,448,565		56,117
Bristol-Myers Squibb Co.	1,910,525		35,173
Elan Corp. PLC sponsored ADR (a)	933,500		5,769
Johnson & Johnson	2,272,491		113,625
Merck & Co., Inc.	3,493,050		84,532
Novo Nordisk AS Series B	315,700		15,369
Perrigo Co.	137,400		2,760
Pfizer, Inc.	8,258,100		101,657
Pronova BioPharma ASA (a)	1,387,101		4,433
Schering-Plough Corp.	2,759,214		47,983
Teva Pharmaceutical Industries Ltd. sponsored ADR	74,900		3,339
Valeant Pharmaceuticals International (a)(e)	717,586		12,486
Wyeth	3,042,900		124,211
			726,609
TOTAL HEALTH CARE			1,412,708
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - 5.8%
Aerospace & Defense - 1.3%
General Dynamics Corp.	237,500		$ 10,407
Honeywell International, Inc.	1,446,454		38,808
Lockheed Martin Corp.	853,074		53,838
Raytheon Co.	1,171,075		46,808
The Boeing Co.	441,500		13,881
United Technologies Corp.	727,000		29,683
			193,425
Air Freight & Logistics - 0.9%
C.H. Robinson Worldwide, Inc.	1,487,164		61,539
FedEx Corp.	421,500		18,213
United Parcel Service, Inc. Class B	1,424,900		58,677
			138,429
Airlines - 0.0%
AMR Corp. (a)	584,500		2,391
Building Products - 0.0%
Masco Corp.	1,273,877		6,560
Commercial Services & Supplies - 0.4%
Stericycle, Inc. (a)	1,255,500		60,239
Construction & Engineering - 0.2%
MYR Group, Inc. (a)	207,500		2,785
Quanta Services, Inc. (a)(e)	1,862,801		32,785
			35,570
Electrical Equipment - 0.4%
Alstom SA	433,700		20,347
Cooper Industries Ltd. Class A	395,800		8,347
Energy Conversion Devices, Inc. (a)	146,779		3,219
First Solar, Inc. (a)	26,300		2,781
Q-Cells SE (a)(e)	571,150		9,463
Renewable Energy Corp. AS (a)(e)	1,261,800		8,559
Sunpower Corp. Class B (a)	505,281		12,511
			65,227
Industrial Conglomerates - 0.8%
General Electric Co.	8,095,595		68,894
McDermott International, Inc. (a)	530,297		6,252
Siemens AG sponsored ADR	404,400		20,471
Textron, Inc.	1,554,211		8,781
Tyco International Ltd.	535,200		10,731
			115,129
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Machinery - 1.4%
Cummins, Inc.	1,690,621		$ 35,165
Danaher Corp.	1,321,719		67,090
Deere & Co.	1,116,266		30,686
Eaton Corp.	943,806		34,119
Illinois Tool Works, Inc.	343,100		9,538
Ingersoll-Rand Co. Ltd. Class A	61,500		872
Navistar International Corp. (a)	670,822		18,917
PACCAR, Inc.	182,600		4,578
Toro Co.	294,516		6,441
Trinity Industries, Inc.	165,400		1,221
Vallourec SA	55,700		4,335
			212,962
Professional Services - 0.1%
Manpower, Inc.	308,089		8,590
Monster Worldwide, Inc. (a)	407,900		2,688
			11,278
Road & Rail - 0.3%
CSX Corp.	358,307		8,843
Union Pacific Corp.	1,061,100		39,812
			48,655
Trading Companies & Distributors - 0.0%
GATX Corp.	85,200		1,557
TOTAL INDUSTRIALS			891,422
INFORMATION TECHNOLOGY - 10.4%
Communications Equipment - 1.2%
Ciena Corp. (a)	4,051,008		21,754
Cisco Systems, Inc. (a)	402,201		5,860
Juniper Networks, Inc. (a)	5,947,684		84,517
NETGEAR, Inc. (a)	125,983		1,392
QUALCOMM, Inc.	531,100		17,755
Starent Networks Corp. (a)	48,700		770
Sycamore Networks, Inc. (a)	11,020,100		27,771
Tellabs, Inc. (a)	3,623,100		13,768
ZTE Corp. (H Shares)	2,761,800		9,025
			182,612
Computers & Peripherals - 0.8%
Apple, Inc. (a)	258,300		23,069
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Computers & Peripherals - continued
Dell, Inc. (a)	1,688,800		$ 14,405
Hewlett-Packard Co.	1,116,400		32,409
SanDisk Corp. (a)	4,359,526		38,843
Seagate Technology	2,667,500		11,470
Western Digital Corp. (a)	300,300		4,102
			124,298
Electronic Equipment & Components - 0.2%
Arrow Electronics, Inc. (a)	275,588		4,583
Avnet, Inc. (a)	1,079,422		18,642
			23,225
Internet Software & Services - 0.4%
eBay, Inc. (a)	1,809,478		19,669
Google, Inc. Class A (sub. vtg.) (a)	130,411		44,078
			63,747
IT Services - 0.2%
Visa, Inc.	584,100		33,124
Semiconductors & Semiconductor Equipment - 6.2%
Altera Corp.	1,752,500		26,866
Analog Devices, Inc.	3,452,400		64,353
Applied Materials, Inc.	11,065,160		101,910
ARM Holdings PLC sponsored ADR	712,000		2,983
ASAT Holdings Ltd. (a)	88,719		0*
ASAT Holdings Ltd. warrants 7/24/11 (a)	2,416		0*
ASML Holding NV (NY Shares)	7,987,175		120,846
ATMI, Inc. (a)	834,624		11,100
Broadcom Corp. Class A (a)	855,216		14,068
Brooks Automation, Inc. (a)	2,473,662		10,587
Cirrus Logic, Inc. (a)(f)	3,264,439		11,589
Cymer, Inc. (a)	1,259,384		23,261
FEI Co. (a)	508,327		7,274
Globe Specialty Metals, Inc. (Reg. S) (a)	1,579,600		8,688
Inotera Memories, Inc. (a)	27,639,000		9,305
Integrated Device Technology, Inc. (a)	697,463		3,125
Intel Corp.	2,100,500		26,760
Kulicke & Soffa Industries, Inc. (a)	40,062		54
Lam Research Corp. (a)	1,826,600		35,728
Linear Technology Corp. (e)	1,800,042		39,241
Marvell Technology Group Ltd. (a)	4,394,700		33,004
Mattson Technology, Inc. (a)(f)	2,700,983		1,540
MediaTek, Inc.	2,020,000		17,296
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - continued
Micron Technology, Inc. (a)	16,962,900		$ 54,621
Monolithic Power Systems, Inc. (a)	389,197		5,040
Novellus Systems, Inc. (a)	2,876,200		36,672
NVIDIA Corp. (a)	2,302,800		19,067
Photronics, Inc. (a)	408,976		376
Richtek Technology Corp.	1,484,000		6,341
Samsung Electronics Co. Ltd.	153,789		47,301
Silicon Laboratories, Inc. (a)	629,274		13,781
Skyworks Solutions, Inc. (a)	1,561,830		10,152
Taiwan Semiconductor Manufacturing Co. Ltd.	7,417,000		9,352
Teradyne, Inc. (a)	3,390,700		14,004
Texas Instruments, Inc.	1,027,300		14,742
Tokyo Electron Ltd.	2,519,900		84,461
TriQuint Semiconductor, Inc. (a)	2,239,950		5,219
Varian Semiconductor Equipment Associates, Inc. (a)	2,337,072		42,652
Verigy Ltd. (a)	1,860,976		12,859
			946,218
Software - 1.4%
Electronic Arts, Inc. (a)	272,700		4,448
Microsoft Corp.	12,268,000		198,128
Perfect World Co. Ltd. sponsored ADR Class B (a)	308,750		3,551
			206,127
TOTAL INFORMATION TECHNOLOGY			1,579,351
MATERIALS - 1.6%
Chemicals - 1.0%
Air Products & Chemicals, Inc.	171,000		7,909
Airgas, Inc.	244,500		7,528
Albemarle Corp.	660,847		12,787
CF Industries Holdings, Inc.	44,700		2,876
E.I. du Pont de Nemours & Co.	349,800		6,562
Ecolab, Inc.	458,300		14,565
FMC Corp.	297,536		12,029
Monsanto Co.	783,713		59,774
Potash Corp. of Saskatchewan, Inc.	33,600		2,821
Praxair, Inc.	165,000		9,364
Solutia, Inc. (a)	730,970		2,741
The Mosaic Co.	109,114		4,697
			143,653
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Containers & Packaging - 0.3%
Ball Corp.	244,205		$ 9,839
Crown Holdings, Inc. (a)	452,300		9,534
Greif, Inc. Class A	63,600		1,956
Owens-Illinois, Inc. (a)	371,900		5,735
Rock-Tenn Co. Class A	408,351		11,275
Sealed Air Corp.	268,600		2,998
Temple-Inland, Inc.	1,743,054		8,280
			49,617
Metals & Mining - 0.3%
Agnico-Eagle Mines Ltd.	262,800		13,211
Commercial Metals Co.	347,500		3,548
Freeport-McMoRan Copper & Gold, Inc. Class B	118,745		3,612
Ivanhoe Mines Ltd. (a)	525,900		2,336
Newcrest Mining Ltd.	339,544		6,677
Nucor Corp.	295,400		9,940
Randgold Resources Ltd. sponsored ADR	4,700		214
Yamana Gold, Inc.	1,390,300		12,153
			51,691
Paper & Forest Products - 0.0%
Weyerhaeuser Co.	214,464		5,181
TOTAL MATERIALS			250,142
TELECOMMUNICATION SERVICES - 2.5%
Diversified Telecommunication Services - 2.2%
AT&T, Inc.	7,184,997		170,787
Embarq Corp.	40,300		1,409
Qwest Communications International, Inc.	3,872,100		13,126
Verizon Communications, Inc.	5,263,240		150,160
			335,482
Wireless Telecommunication Services - 0.3%
American Tower Corp. Class A (a)	622,039		18,114
Clearwire Corp. Class A (a)(e)	2,047,228		6,592
MetroPCS Communications, Inc. (a)	139,900		2,029
Sprint Nextel Corp. (a)	3,973,400		13,072
			39,807
TOTAL TELECOMMUNICATION SERVICES			375,289
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - 2.9%
Electric Utilities - 1.6%
Allegheny Energy, Inc.	228,516		$ 5,402
American Electric Power Co., Inc.	845,400		23,713
DPL, Inc.	418,100		8,404
Duke Energy Corp.	1,895,800		25,536
Edison International	276,800		7,534
Entergy Corp.	444,443		29,951
Exelon Corp.	1,127,481		53,240
FirstEnergy Corp.	423,873		18,040
FPL Group, Inc.	347,300		15,743
Northeast Utilities	163,153		3,575
NV Energy, Inc.	455,467		4,222
Pepco Holdings, Inc.	652,705		9,791
Pinnacle West Capital Corp.	276,600		7,264
PPL Corp.	424,128		11,829
Progress Energy, Inc.	653,400		23,143
			247,387
Gas Utilities - 0.2%
EQT Corp.	176,900		5,440
Questar Corp.	492,800		14,207
			19,647
Independent Power Producers & Energy Traders - 0.3%
AES Corp. (a)	1,285,331		8,098
Constellation Energy Group, Inc.	316,700		6,258
Dynegy, Inc. Class A (a)	1,693,100		2,201
NRG Energy, Inc. (a)	1,756,586		33,199
			49,756
Multi-Utilities - 0.8%
Ameren Corp.	284,718		6,771
CMS Energy Corp.	711,000		7,864
Dominion Resources, Inc.	137,400		4,147
PG&E Corp.	915,300		34,983
Public Service Enterprise Group, Inc.	751,000		20,495
Sempra Energy	569,300		23,666
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Multi-Utilities - continued
Wisconsin Energy Corp.	185,900		$ 7,403
Xcel Energy, Inc.	708,500		12,569
			117,898
TOTAL UTILITIES			434,688
TOTAL COMMON STOCKS (Cost $11,685,955)		8,838,869
Convertible Preferred Stocks - 0.2%
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
SandRidge Energy, Inc. 8.50% (a)(g)	35,300		3,491
FINANCIALS - 0.1%
Commercial Banks - 0.1%
Fifth Third Bancorp 8.50%	51,401		1,551
Huntington Bancshares, Inc. 8.50%	18,200		4,746
Wells Fargo & Co. 7.50%	22,900		10,534
			16,831
Diversified Financial Services - 0.0%
CIT Group, Inc. Series C, 8.75%	185,800		2,772
TOTAL FINANCIALS			19,603
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
ASAT Holdings Ltd. 13.00% (a)	2,416		0*
MATERIALS - 0.1%
Metals & Mining - 0.1%
Freeport-McMoRan Copper & Gold, Inc. 6.75%	240,700		13,019
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $62,573)		36,113

Corporate Bonds - 8.9%
	Principal Amount (000s)		Value (000s)
Convertible Bonds - 0.0%
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Cypress Semiconductor Corp. 1% 9/15/09 (g)	$ 405		$ 403
Nonconvertible Bonds - 8.9%
CONSUMER DISCRETIONARY - 0.7%
Auto Components - 0.0%
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	4,524		4,259
5.875% 3/15/11	1,680		1,599
			5,858
Hotels, Restaurants & Leisure - 0.0%
McDonald's Corp. 5.35% 3/1/18	1,891		1,950
Household Durables - 0.0%
Fortune Brands, Inc.:
5.125% 1/15/11	3,427		3,378
5.875% 1/15/36	1,780		1,229
			4,607
Media - 0.5%
AOL Time Warner, Inc.:
6.75% 4/15/11	1,522		1,545
6.875% 5/1/12	1,974		1,990
7.625% 4/15/31	4,975		4,668
Comcast Cable Communications, Inc. 6.75% 1/30/11	413		428
Comcast Corp.:
4.95% 6/15/16	1,520		1,359
5.5% 3/15/11	309		314
5.7% 5/15/18	7,229		6,680
5.85% 1/15/10	49		50
6.45% 3/15/37	4,360		3,744
COX Communications, Inc.:
4.625% 1/15/10	1,731		1,716
4.625% 6/1/13	3,612		3,266
Liberty Media Corp.:
5.7% 5/15/13	1,430		1,081
8.25% 2/1/30	6,315		3,677
News America Holdings, Inc. 7.75% 12/1/45	15,780		13,704
News America, Inc.:
4.75% 3/15/10	198		193
5.3% 12/15/14	708		667
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
News America, Inc.: - continued
6.2% 12/15/34	$ 1,720		$ 1,307
6.9% 3/1/19 (g)	2,366		2,240
Time Warner Cable, Inc.:
5.4% 7/2/12	1,976		1,901
6.2% 7/1/13	1,879		1,820
6.75% 7/1/18	949		900
7.3% 7/1/38	2,509		2,289
8.75% 2/14/19	7,496		8,002
Time Warner, Inc.:
5.875% 11/15/16	4,947		4,635
6.5% 11/15/36	3,450		2,952
			71,128
Multiline Retail - 0.0%
Macy's Retail Holdings, Inc. 7.875% 7/15/15	1,897		1,361
Specialty Retail - 0.2%
Home Depot, Inc. 2.0463% 12/16/09 (n)	3,458		3,358
Staples, Inc. 9.75% 1/15/14	17,970		18,854
			22,212
TOTAL CONSUMER DISCRETIONARY			107,116
CONSUMER STAPLES - 0.5%
Beverages - 0.2%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	59		50
Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (g)	10,075		9,768
Diageo Capital PLC:
5.2% 1/30/13	4,139		4,213
5.75% 10/23/17	1,516		1,510
FBG Finance Ltd. 5.125% 6/15/15 (g)	2,374		2,016
PepsiCo, Inc. 7.9% 11/1/18	7,370		8,857
			26,414
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
2.5025% 6/1/10 (n)	1,856		1,799
6.036% 12/10/28 (g)	1,856		1,417
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food & Staples Retailing - continued
CVS Caremark Corp.: - continued
6.302% 6/1/37 (n)	$ 3,829		$ 2,355
Wal-Mart Stores, Inc. 6.2% 4/15/38	9,030		9,365
			14,936
Food Products - 0.0%
Cargill, Inc. 6% 11/27/17 (g)	572		534
General Mills, Inc. 5.65% 2/15/19	1,282		1,281
Kraft Foods, Inc.:
5.625% 11/1/11	2,959		3,092
6.75% 2/19/14	436		465
			5,372
Personal Products - 0.0%
Avon Products, Inc. 4.8% 3/1/13	1,447		1,412
Tobacco - 0.2%
Altria Group, Inc. 9.7% 11/10/18	20,958		21,943
Philip Morris International, Inc.:
4.875% 5/16/13	1,447		1,462
6.375% 5/16/38	3,140		3,089
Reynolds American, Inc.:
6.75% 6/15/17	2,366		1,998
7.25% 6/15/37	7,970		5,801
			34,293
TOTAL CONSUMER STAPLES			82,427
ENERGY - 1.0%
Energy Equipment & Services - 0.1%
DCP Midstream LLC 9.75% 3/15/19 (g)	5,262		5,101
Noble Drilling Corp. 5.875% 6/1/13	876		850
Transocean Ltd. 5.25% 3/15/13	2,802		2,775
Weatherford International Ltd.:
4.95% 10/15/13	1,408		1,200
5.15% 3/15/13	1,841		1,628
			11,554
Oil, Gas & Consumable Fuels - 0.9%
BW Group Ltd. 6.625% 6/28/17 (g)	2,391		1,255
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Canadian Natural Resources Ltd.:
5.15% 2/1/13	$ 3,637		$ 3,477
5.7% 5/15/17	937		827
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g)	3,333		3,314
ConocoPhillips:
4.75% 2/1/14	853		863
5.75% 2/1/19	9,619		9,413
6.5% 2/1/39	4,833		4,684
Devon Energy Corp. 5.625% 1/15/14	1,895		1,910
Duke Capital LLC:
6.25% 2/15/13	809		802
6.75% 2/15/32	8,145		6,359
Duke Energy Field Services:
5.375% 10/15/15 (g)	988		810
6.45% 11/3/36 (g)	8,650		6,094
6.875% 2/1/11	1,870		1,866
7.875% 8/16/10	839		849
El Paso Natural Gas Co. 5.95% 4/15/17	756		647
Empresa Nacional de Petroleo 6.75% 11/15/12 (g)	1,370		1,375
Enbridge Energy Partners LP:
5.875% 12/15/16	1,460		1,252
6.5% 4/15/18	1,918		1,673
9.875% 3/1/19	2,368		2,458
EnCana Holdings Finance Corp. 5.8% 5/1/14	2,335		2,266
Enterprise Products Operating LP:
4.625% 10/15/09	1,574		1,566
5.6% 10/15/14	1,581		1,468
5.65% 4/1/13	563		539
Gazstream SA 5.625% 7/22/13 (g)	888		795
Gulf South Pipeline Co. LP 5.75% 8/15/12 (g)	3,123		2,837
Kinder Morgan Energy Partners LP 5.125% 11/15/14	12,250		11,546
Lukoil International Finance BV 6.656% 6/7/22 (g)	988		672
Nakilat, Inc. 6.067% 12/31/33 (g)	1,212		791
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (g)	2,855		1,815
Nexen, Inc.:
5.05% 11/20/13	3,109		2,824
5.2% 3/10/15	735		631
5.875% 3/10/35	1,565		1,067
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Nexen, Inc.: - continued
6.4% 5/15/37	$ 5,235		$ 3,694
NGPL PipeCo LLC 6.514% 12/15/12 (g)	2,881		2,785
Pemex Project Funding Master Trust 3.2963% 6/15/10 (g)(n)	1,007		972
Petroleos Mexicanos 8% 5/3/19 (g)	4,312		4,237
Plains All American Pipeline LP:
6.125% 1/15/17	1,940		1,652
6.65% 1/15/37	4,940		3,610
7.75% 10/15/12	1,907		1,920
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (g)	2,415		2,488
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (g)	1,086		949
6.332% 9/30/27 (g)	5,910		4,619
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	2,199		2,140
Source Gas LLC 5.9% 4/1/17 (g)	2,865		2,148
Suncor Energy, Inc.:
6.1% 6/1/18	9,176		7,562
6.85% 6/1/39	8,895		6,471
Talisman Energy, Inc. yankee 6.25% 2/1/38	3,280		2,240
TEPPCO Partners LP 5.9% 4/15/13	2,619		2,365
Texas Eastern Transmission LP 6% 9/15/17 (g)	1,301		1,215
TransCanada PipeLines Ltd. 6.35% 5/15/67 (n)	1,917		1,160
XTO Energy, Inc.:
5% 1/31/15	1,414		1,313
5.65% 4/1/16	970		910
5.9% 8/1/12	3,600		3,568
6.5% 12/15/18	7,500		7,319
			144,082
TOTAL ENERGY			155,636
FINANCIALS - 3.4%
Capital Markets - 0.8%
Bear Stearns Companies, Inc.:
1.2625% 10/22/10 (n)	1,892		1,820
1.346% 8/21/09 (n)	946		931
1.3525% 7/16/09 (n)	465		459
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Bear Stearns Companies, Inc.: - continued
2.4556% 9/9/09 (n)	$ 1,028		$ 1,011
3.25% 3/25/09	555		555
4.245% 1/7/10	984		964
4.5% 10/28/10	1,482		1,471
5.3% 10/30/15	946		872
5.85% 7/19/10	3,047		3,073
6.95% 8/10/12	13,792		14,276
BlackRock, Inc. 6.25% 9/15/17	2,483		2,361
Goldman Sachs Group, Inc.:
5.25% 10/15/13	4,773		4,415
5.45% 11/1/12	3,047		2,937
5.95% 1/18/18	3,225		2,883
6.15% 4/1/18	1,593		1,447
6.6% 1/15/12	1,383		1,387
6.75% 10/1/37	11,195		7,960
6.875% 1/15/11	220		223
7.5% 2/15/19	13,421		13,293
Janus Capital Group, Inc. 6.5% 6/15/12	2,268		1,531
JPMorgan Chase Capital XX 6.55% 9/29/36	11,840		8,374
Lazard Group LLC:
6.85% 6/15/17	3,104		2,320
7.125% 5/15/15	1,113		845
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	5,188		4,632
6.15% 4/25/13	894		786
6.4% 8/28/17	2,110		1,660
6.875% 4/25/18	3,285		2,733
Morgan Stanley:
1.6475% 1/9/12 (n)	7,709		6,335
1.6975% 1/9/14 (n)	4,044		2,710
4.75% 4/1/14	642		538
5.05% 1/21/11	2,462		2,428
5.25% 11/2/12	198		186
5.45% 1/9/17	193		167
5.95% 12/28/17	445		393
6.6% 4/1/12	4,624		4,591
6.625% 4/1/18	1,106		1,021
6.75% 4/15/11	5,876		5,900
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Northern Trust Corp. 5.5% 8/15/13	$ 230		$ 238
Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)	790		792
The Bank of New York, Inc. 4.95% 11/1/12	3,124		3,142
UBS AG Stamford Branch:
5.75% 4/25/18	3,319		2,902
5.875% 12/20/17	2,415		2,140
			118,702
Commercial Banks - 0.7%
American Express Bank FSB:
5.5% 4/16/13	3,307		3,130
6% 9/13/17	502		445
ANZ National International Ltd. 6.2% 7/19/13 (g)	888		859
Bank of America NA 6% 10/15/36	7,045		4,845
Bank One Corp.:
5.25% 1/30/13	752		731
7.875% 8/1/10	559		577
BB&T Corp. 6.5% 8/1/11	1,005		1,025
Chase Manhattan Corp. 7.875% 6/15/10	1,255		1,284
Credit Suisse First Boston 6% 2/15/18	14,192		12,875
Credit Suisse First Boston New York Branch 5% 5/15/13	14,702		14,194
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (g)(n)	4,965		3,922
Export-Import Bank of Korea:
5.125% 2/14/11	2,361		2,282
5.25% 2/10/14 (g)	456		409
5.5% 10/17/12	1,824		1,727
Fifth Third Bancorp:
4.5% 6/1/18	100		63
8.25% 3/1/38	1,697		1,230
HBOS PLC 6.75% 5/21/18 (g)	560		450
HSBC Holdings PLC:
1.6125% 10/6/16 (n)	1,254		1,006
6.5% 5/2/36	6,175		5,462
6.5% 9/15/37	10,625		9,248
JPMorgan Chase Bank 6% 10/1/17	1,694		1,603
KeyBank NA:
5.8% 7/1/14	905		806
7% 2/1/11	908		897
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
Korea Development Bank:
3.875% 3/2/09	$ 2,893		$ 2,893
4.625% 9/16/10	1,482		1,442
4.75% 7/20/09	758		754
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (g)(n)	791		662
National City Bank, Cleveland:
4.15% 8/1/09	1,542		1,531
4.5% 3/15/10	2,379		2,364
PNC Funding Corp.:
1.3144% 1/31/12 (n)	4,837		3,847
7.5% 11/1/09	1,638		1,632
Rabobank Capital Funding Trust II 5.26% (g)(n)	460		198
Santander Issuances SA Unipersonal:
1.885% 6/20/16 (g)(n)	3,830		2,884
5.805% 6/20/16 (g)(n)	3,399		2,379
Sovereign Bank 2.88% 8/1/13 (n)	1,795		1,339
Standard Chartered Bank 6.4% 9/26/17 (g)	3,536		2,828
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (g)(n)	2,371		1,067
Union Planters Corp. 7.75% 3/1/11	485		471
UnionBanCal Corp. 5.25% 12/16/13	535		499
Wachovia Bank NA 4.875% 2/1/15	1,138		1,015
Wachovia Corp.:
1.2244% 10/15/11 (n)	3,247		2,881
1.255% 4/23/12 (n)	439		379
2.2525% 12/1/09 (n)	878		867
5.625% 10/15/16	2,748		2,444
5.75% 6/15/17	2,371		2,224
Wells Fargo & Co.:
4.2% 1/15/10	2,130		2,127
5.625% 12/11/17	2,371		2,251
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11	469		474
			110,522
Consumer Finance - 0.5%
American Express Credit Corp. 5.875% 5/2/13	471		433
Capital One Financial Corp. 2.4694% 9/10/09 (n)	2,649		2,551
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Discover Financial Services:
2.6288% 6/11/10 (n)	$ 3,252		$ 2,882
6.45% 6/12/17	7,729		5,847
General Electric Capital Corp. 5.625% 9/15/17	22,752		19,830
Household Finance Corp.:
6.375% 10/15/11	1,504		1,465
7% 5/15/12	378		376
HSBC Finance Corp.:
5.25% 1/14/11	1,058		1,038
5.25% 1/15/14	852		796
MBNA America Bank NA 7.125% 11/15/12 (g)	561		538
MBNA Corp. 7.5% 3/15/12	1,300		1,200
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (g)	3,432		3,225
ORIX Corp. 5.48% 11/22/11	311		215
SLM Corp.:
1.3194% 7/26/10 (n)	24,266		19,995
1.3894% 10/25/11 (n)	6,795		4,761
2.1963% 3/15/11 (n)	90		68
4.5% 7/26/10	3,810		3,012
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (g)	335		285
			68,517
Diversified Financial Services - 0.7%
Bank of America Corp. 7.4% 1/15/11	7,003		6,501
BP Capital Markets PLC 5.25% 11/7/13	16,534		17,568
BTM Curacao Holding NV 1.8975% 12/19/16 (g)(n)	2,449		1,893
CIT Group, Inc.:
1.3866% 6/8/09 (n)	947		905
4.75% 12/15/10	664		504
5.4% 2/13/12	1,985		1,498
Citigroup, Inc.:
1.3356% 5/18/11 (n)	2,272		1,901
5.3% 10/17/12	11,325		10,046
5.5% 4/11/13	8,594		7,782
6.125% 5/15/18	6,994		6,031
6.5% 1/18/11	1,057		997
6.5% 8/19/13	18,375		17,131
CME Group, Inc. 5.75% 2/15/14	3,229		3,250
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18	16,858		17,356
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
ILFC E-Capital Trust I 5.9% 12/21/65 (g)(n)	$ 2,423		$ 485
International Lease Finance Corp.:
5.4% 2/15/12	2,316		1,494
6.375% 3/25/13	1,215		705
6.625% 11/15/13	2,200		1,254
JPMorgan Chase & Co.:
4.891% 9/1/15 (n)	2,206		1,772
5.6% 6/1/11	2,503		2,552
5.75% 1/2/13	1,792		1,770
6.75% 2/1/11	304		311
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g)	226		210
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	881		581
5.5% 1/15/14 (g)	562		385
5.7% 4/15/17 (g)	1,371		878
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	2,618		1,924
ZFS Finance USA Trust I 6.15% 12/15/65 (g)(n)	1,878		826
ZFS Finance USA Trust II 6.45% 12/15/65 (g)(n)	4,049		1,648
ZFS Finance USA Trust IV 5.875% 5/9/32 (g)(n)	2,022		779
			110,937
Insurance - 0.2%
Assurant, Inc.:
5.625% 2/15/14	1,546		1,276
6.75% 2/15/34	1,590		993
Axis Capital Holdings Ltd. 5.75% 12/1/14	452		349
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(n)	1,205		747
Jackson National Life Global Funding 5.375% 5/8/13 (g)	609		556
Liberty Mutual Group, Inc. 6.5% 3/15/35 (g)	481		292
MetLife, Inc.:
5% 6/15/15	941		873
6.125% 12/1/11	800		801
7.717% 2/15/19	8,679		8,374
Metropolitan Life Global Funding I:
4.625% 8/19/10 (g)	2,668		2,598
5.125% 4/10/13 (g)	452		432
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Monumental Global Funding II 5.65% 7/14/11 (g)	$ 1,336		$ 1,348
Monumental Global Funding III 5.5% 4/22/13 (g)	1,780		1,569
Pacific Life Global Funding 5.15% 4/15/13 (g)	2,737		2,670
Prudential Financial, Inc.:
5.15% 1/15/13	1,752		1,567
5.4% 6/13/35	365		216
5.5% 3/15/16	344		287
5.7% 12/14/36	310		189
8.875% 6/15/68 (n)	2,403		1,370
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(n)	2,702		1,270
Symetra Financial Corp. 6.125% 4/1/16 (g)	4,189		3,302
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10	1,010		1,026
			32,105
Real Estate Investment Trusts - 0.4%
AMB Property LP 5.9% 8/15/13	2,086		1,446
Arden Realty LP 5.2% 9/1/11	1,083		1,091
AvalonBay Communities, Inc.:
4.95% 3/15/13	296		262
5.5% 1/15/12	1,935		1,803
6.625% 9/15/11	661		638
Brandywine Operating Partnership LP:
4.5% 11/1/09	2,496		2,405
5.625% 12/15/10	3,298		2,913
5.75% 4/1/12	1,502		826
BRE Properties, Inc.:
4.875% 5/15/10	2,089		1,966
5.75% 9/1/09	494		492
Camden Property Trust:
4.375% 1/15/10	1,195		1,076
5.375% 12/15/13	531		435
5.875% 11/30/12	2,392		2,057
Colonial Properties Trust 4.75% 2/1/10	4,570		4,370
CPG Partners LP 6% 1/15/13	823		732
Developers Diversified Realty Corp.:
4.625% 8/1/10	2,436		1,719
5% 5/3/10	1,812		1,268
5.25% 4/15/11	1,967		968
5.375% 10/15/12	1,039		498
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Duke Realty LP:
4.625% 5/15/13	$ 507		$ 341
5.25% 1/15/10	367		350
5.4% 8/15/14	447		305
5.5% 3/1/16	3,075		1,920
5.625% 8/15/11	5,086		4,333
5.875% 8/15/12	92		70
Equity One, Inc.:
6% 9/15/17	690		455
6.25% 1/15/17	399		271
Federal Realty Investment Trust:
5.4% 12/1/13	334		254
6% 7/15/12	2,371		1,951
6.2% 1/15/17	501		381
Hospitality Properties Trust 5.625% 3/15/17	970		540
HRPT Properties Trust:
5.75% 11/1/15	719		475
6.25% 6/15/17	996		615
6.65% 1/15/18	499		318
Liberty Property LP:
5.125% 3/2/15	686		498
5.5% 12/15/16	1,202		829
Mack-Cali Realty LP:
5.05% 4/15/10	655		616
7.25% 3/15/09	2,358		2,354
7.75% 2/15/11	789		742
Simon Property Group LP:
4.6% 6/15/10	886		849
4.875% 8/15/10	545		522
5% 3/1/12	294		253
5.375% 6/1/11	502		468
5.6% 9/1/11	2,197		2,042
5.75% 5/1/12	1,024		891
7.75% 1/20/11	664		635
Tanger Properties LP 6.15% 11/15/15	20		15
Washington (REIT) 5.95% 6/15/11	2,940		2,561
			52,819
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Management & Development - 0.0%
ERP Operating LP 5.5% 10/1/12	$ 358		$ 326
Post Apartment Homes LP:
5.45% 6/1/12	1,096		921
6.3% 6/1/13	1,938		1,589
Regency Centers LP:
4.95% 4/15/14	494		361
5.25% 8/1/15	1,725		1,197
5.875% 6/15/17	854		593
			4,987
Thrifts & Mortgage Finance - 0.1%
Countrywide Financial Corp.:
1.6863% 3/24/09 (n)	1,866		1,862
4.5% 6/15/10	387		376
5.8% 6/7/12	2,358		2,161
Countrywide Home Loans, Inc.:
4.125% 9/15/09	3,111		3,082
6.25% 4/15/09	491		492
Independence Community Bank Corp.:
3.585% 6/20/13 (n)	2,576		1,855
3.75% 4/1/14 (n)	3,410		2,285
4.9% 9/23/10	1,371		1,282
World Savings Bank FSB 4.125% 12/15/09	420		418
			13,813
TOTAL FINANCIALS			512,402
HEALTH CARE - 0.2%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	2,390		2,440
Health Care Providers & Services - 0.0%
Coventry Health Care, Inc.:
5.95% 3/15/17	1,413		924
6.3% 8/15/14	2,925		2,130
			3,054
Pharmaceuticals - 0.2%
AstraZeneca PLC 6.45% 9/15/37	2,307		2,436
Bristol-Myers Squibb Co. 5.45% 5/1/18	2,371		2,419
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Pharmaceuticals - continued
Elan Finance PLC/Elan Finance Corp.:
5.2344% 11/15/11 (n)	$ 1,630		$ 1,361
7.75% 11/15/11	190		164
Novartis Capital Corp. 4.125% 2/10/14	2,369		2,391
Roche Holdings, Inc.:
5% 3/1/14 (g)	4,805		4,860
6% 3/1/19 (g)	7,400		7,472
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	775		762
			21,865
TOTAL HEALTH CARE			27,359
INDUSTRIALS - 0.5%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.75% 8/15/10 (g)	2,135		2,130
6.4% 12/15/11 (g)	661		684
Bombardier, Inc.:
6.3% 5/1/14 (g)	2,615		1,752
7.45% 5/1/34 (g)	3,000		1,755
			6,321
Airlines - 0.1%
American Airlines, Inc. pass-thru trust certificates:
6.855% 10/15/10	60		59
6.978% 10/1/12	334		309
7.024% 4/15/11	2,288		2,219
7.858% 4/1/13	4,393		3,800
Continental Airlines, Inc.:
6.648% 9/15/17	2,610		2,062
6.82% 5/1/18	179		136
6.9% 7/2/19	703		566
7.056% 3/15/11	1,422		1,379
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	305		221
7.57% 11/18/10	7,740		7,082
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,834		1,321
8.36% 7/20/20	1,249		962
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	$ 458		$ 328
6.071% 9/1/14	293		284
6.201% 3/1/10	187		177
6.602% 9/1/13	529		500
			21,405
Building Products - 0.0%
Masco Corp. 2.3988% 3/12/10 (n)	3,811		3,419
Industrial Conglomerates - 0.3%
Covidien International Finance SA:
5.15% 10/15/10	2,044		2,093
5.45% 10/15/12	4,620		4,728
6% 10/15/17	2,368		2,385
6.55% 10/15/37	4,505		4,479
General Electric Co. 5.25% 12/6/17	25,356		23,337
			37,022
Machinery - 0.0%
Atlas Copco AB 5.6% 5/22/17 (g)	494		470
TOTAL INDUSTRIALS			68,637
INFORMATION TECHNOLOGY - 0.1%
Communications Equipment - 0.0%
Cisco Systems, Inc.:
4.95% 2/15/19	2,840		2,745
5.9% 2/15/39	454		423
			3,168
Electronic Equipment & Components - 0.1%
Tyco Electronics Group SA:
5.95% 1/15/14	2,385		2,064
6% 10/1/12	3,134		2,762
6.55% 10/1/17	1,908		1,439
7.125% 10/1/37	2,405		1,569
			7,834
Office Electronics - 0.0%
Xerox Corp. 5.5% 5/15/12	1,295		1,200
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Semiconductors & Semiconductor Equipment - 0.0%
National Semiconductor Corp.:
2.2463% 6/15/10 (n)	$ 3,403		$ 2,956
6.15% 6/15/12	1,199		940
			3,896
TOTAL INFORMATION TECHNOLOGY			16,098
MATERIALS - 0.4%
Chemicals - 0.1%
Agrium, Inc. 7.125% 5/23/36	4,900		4,288
E.I. du Pont de Nemours & Co. 5% 1/15/13	381		389
Lubrizol Corp. 8.875% 2/1/19	750		769
			5,446
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,482		1,058
Containers & Packaging - 0.0%
Pactiv Corp.:
5.875% 7/15/12	1,385		1,288
6.4% 1/15/18	1,414		1,153
Sealed Air Corp. 6.95% 5/15/09 (g)	525		527
			2,968
Metals & Mining - 0.3%
BHP Billiton Financial USA Ltd. 5.125% 3/29/12	1,597		1,633
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g)	1,618		1,666
Nucor Corp.:
5.85% 6/1/18	6,980		6,960
6.4% 12/1/37	5,600		5,366
Rio Tinto Finance Ltd.:
5.875% 7/15/13	9,881		8,982
6.5% 7/15/18	9,139		8,074
7.125% 7/15/28	9,574		7,862
United States Steel Corp.:
5.65% 6/1/13	1,199		981
6.65% 6/1/37	5,765		3,811
Vale Overseas Ltd. 6.25% 1/23/17	1,877		1,807
			47,142
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Paper & Forest Products - 0.0%
International Paper Co.:
5.85% 10/30/12	$ 120		$ 107
7.4% 6/15/14	2,093		1,684
			1,791
TOTAL MATERIALS			58,405
TELECOMMUNICATION SERVICES - 1.1%
Diversified Telecommunication Services - 1.0%
AT&T Broadband Corp. 8.375% 3/15/13	2,090		2,230
AT&T, Inc.:
5.8% 2/15/19	7,105		6,900
6.3% 1/15/38	12,550		11,274
6.7% 11/15/13	949		1,004
6.8% 5/15/36	15,241		14,718
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,655		1,662
BellSouth Corp. 6.55% 6/15/34	4,340		4,020
British Telecommunications PLC:
8.625% 12/15/10	2,197		2,289
9.125% 12/15/30	4,565		4,353
Deutsche Telekom International Financial BV:
5.25% 7/22/13	1,979		1,985
6.75% 8/20/18	5,824		5,957
SBC Communications, Inc.:
5.1% 9/15/14	1,754		1,739
5.875% 2/1/12	2,210		2,284
5.875% 8/15/12	790		820
Sprint Capital Corp. 6.875% 11/15/28	15,445		8,533
Telecom Italia Capital SA:
4% 1/15/10	3,953		3,884
4.95% 9/30/14	2,594		2,235
5.25% 10/1/15	12,341		10,410
6.999% 6/4/18	8,694		7,846
7.2% 7/18/36	2,385		1,933
7.721% 6/4/38	2,417		2,081
Telefonica Emisiones SAU:
1.555% 2/4/13 (n)	1,943		1,669
6.421% 6/20/16	939		954
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Telefonica Emisiones SAU: - continued
7.045% 6/20/36	$ 8,498		$ 8,663
Telefonos de Mexico SA de CV 4.75% 1/27/10	5,015		5,065
Verizon Communications, Inc.:
6.1% 4/15/18	2,674		2,648
6.25% 4/1/37	4,611		4,244
6.4% 2/15/38	9,165		8,599
6.9% 4/15/38	10,030		9,973
Verizon Global Funding Corp. 7.25% 12/1/10	2,216		2,340
Verizon New England, Inc. 6.5% 9/15/11	720		740
Verizon New York, Inc. 6.875% 4/1/12	2,145		2,192
			145,244
Wireless Telecommunication Services - 0.1%
America Movil SAB de CV:
4.125% 3/1/09	983		983
5.625% 11/15/17	1,462		1,359
Rogers Communications, Inc. 6.8% 8/15/18	5,520		5,526
Verizon Wireless Capital LLC:
5.55% 2/1/14 (g)	1,919		1,908
8.5% 11/15/18 (g)	2,845		3,203
Vodafone Group PLC:
5% 12/16/13	1,856		1,861
5.5% 6/15/11	2,232		2,263
7.75% 2/15/10	1,494		1,553
			18,656
TOTAL TELECOMMUNICATION SERVICES			163,900
UTILITIES - 1.0%
Electric Utilities - 0.7%
AmerenUE 6.4% 6/15/17	2,415		2,355
Appalachian Power Co. 6.375% 4/1/36	5,500		4,824
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	3,325		3,166
8.875% 11/15/18	7,896		8,723
Commonwealth Edison Co. 5.4% 12/15/11	1,409		1,433
Duke Energy Carolinas LLC:
6.05% 4/15/38	3,407		3,518
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Duke Energy Carolinas LLC: - continued
7% 11/15/18	$ 4,166		$ 4,757
EDP Finance BV:
5.375% 11/2/12 (g)	1,612		1,585
6% 2/2/18 (g)	2,964		2,752
Enel Finance International SA:
5.7% 1/15/13 (g)	674		667
6.8% 9/15/37 (g)	13,809		11,076
Exelon Corp.:
4.9% 6/15/15	2,587		2,221
6.75% 5/1/11	538		538
FirstEnergy Corp. 6.45% 11/15/11	1,595		1,593
Florida Power Corp.:
5.65% 6/15/18	3,630		3,724
6.4% 6/15/38	8,735		9,182
FPL Group Capital, Inc. 7.875% 12/15/15	1,250		1,413
Illinois Power Co. 6.125% 11/15/17	333		313
Jersey Central Power & Light Co. 7.35% 2/1/19	1,425		1,431
Nevada Power Co.:
6.5% 5/15/18	5,290		4,995
6.5% 8/1/18	1,270		1,198
Oncor Electric Delivery Co. 6.375% 5/1/12	2,208		2,207
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (g)	2,924		2,869
Pacific Gas & Electric Co. 5.8% 3/1/37	3,555		3,424
PacifiCorp 6% 1/15/39	974		963
PECO Energy Co. 5.6% 10/15/13	8,290		8,497
Pennsylvania Electric Co. 6.05% 9/1/17	618		566
Pepco Holdings, Inc.:
4% 5/15/10	1,804		1,763
6.125% 6/1/17	485		430
6.45% 8/15/12	3,016		2,945
PPL Capital Funding, Inc. 6.7% 3/30/67 (n)	4,819		2,891
Progress Energy, Inc. 7.1% 3/1/11	2,737		2,811
Sierra Pacific Power Co. 5.45% 9/1/13	1,261		1,220
Tampa Electric Co. 6.15% 5/15/37	4,486		3,786
West Penn Power Co. 5.95% 12/15/17 (g)	254		225
Wisconsin Electric Power Co. 6.25% 12/1/15	2,435		2,587
			108,648
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	$ 357		$ 305
Texas Eastern Transmission Corp. 7.3% 12/1/10	2,507		2,593
			2,898
Independent Power Producers & Energy Traders - 0.0%
Constellation Energy Group, Inc. 7% 4/1/12	5,210		5,072
Duke Capital LLC 5.668% 8/15/14	1,662		1,534
Exelon Generation Co. LLC 5.35% 1/15/14	1,235		1,141
			7,747
Multi-Utilities - 0.3%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,445		1,178
Dominion Resources, Inc.:
4.75% 12/15/10	3,178		3,197
6.3% 9/30/66 (n)	12,002		7,081
7.5% 6/30/66 (n)	4,115		2,675
DTE Energy Co. 7.05% 6/1/11	795		802
KeySpan Corp. 7.625% 11/15/10	400		417
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	2,361		2,433
6.5% 9/15/37	8,075		7,786
National Grid PLC 6.3% 8/1/16	1,194		1,140
NiSource Finance Corp.:
5.25% 9/15/17	682		502
5.4% 7/15/14	1,089		855
5.45% 9/15/20	2,219		1,519
6.4% 3/15/18	1,251		982
6.8% 1/15/19	6,000		4,705
7.875% 11/15/10	826		809
Wisconsin Energy Corp. 6.25% 5/15/67 (n)	4,990		3,044
WPS Resources Corp. 6.11% 12/1/66 (n)	713		378
			39,503
TOTAL UTILITIES			158,796
TOTAL NONCONVERTIBLE BONDS			1,350,776
TOTAL CORPORATE BONDS (Cost $1,433,377)		1,351,179
U.S. Government and Government Agency Obligations - 4.2%
	Principal Amount (000s)		Value (000s)
U.S. Government Agency Obligations - 0.8%
Fannie Mae:
2.75% 2/5/14	$ 50,000		$ 49,982
3.375% 5/19/11 (k)	14,965		15,556
Freddie Mac 4.875% 6/13/18	50,000		54,621
Tennessee Valley Authority 5.375% 4/1/56	5,098		5,529
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			125,688
U.S. Treasury Inflation Protected Obligations - 3.0%
U.S. Treasury Inflation-Indexed Notes:
0.625% 4/15/13	15,920		15,490
1.625% 1/15/15	106,836		102,934
1.625% 1/15/18	16,062		15,295
2% 4/15/12	10,006		10,068
2% 1/15/14 (k)	109,265		108,794
2.375% 1/15/27 (k)	59,442		57,639
2.5% 7/15/16	145,792		146,165
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			456,385
U.S. Treasury Obligations - 0.4%
U.S. Treasury Bills, yield at date of purchase 0.09% to 0.29% 3/12/09 to 5/14/09 (j)	17,000		16,998
U.S. Treasury Notes:
1.875% 2/28/14	3,804		3,778
3.75% 11/15/18	35,263		37,365
TOTAL U.S. TREASURY OBLIGATIONS			58,141
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $653,378)		640,214
U.S. Government Agency - Mortgage Securities - 10.5%
Fannie Mae - 6.7%
4.5% 2/1/39 (i)	44,000		44,564
5% 12/1/25 to 10/1/38	251,186		256,149
5% 3/12/39 (h)	102,000		103,769
5% 3/12/39 (h)	125,000		127,167
5% 3/12/39 (h)	44,000		44,763
5.5% 1/1/33 to 6/1/38 (i)	240,845		247,713
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
5.593% 7/1/37 (n)	$ 1,834		$ 1,893
6% 6/1/30 to 3/1/36	134,014		139,417
6.013% 4/1/36 (n)	1,389		1,444
6.118% 4/1/36 (n)	3,149		3,276
6.243% 6/1/36 (n)	493		501
6.328% 4/1/36 (n)	1,373		1,429
6.5% 11/1/29 to 1/1/36 (i)	55,094		58,163
TOTAL FANNIE MAE			1,030,248
Freddie Mac - 1.3%
5% 3/1/19 to 7/1/38	145,491		148,594
5.694% 10/1/35 (n)	893		931
5.86% 6/1/36 (n)	1,571		1,629
5.977% 6/1/36 (n)	1,428		1,482
6% 11/1/33 to 9/1/35	9,676		10,072
6.101% 6/1/36 (n)	1,533		1,595
6.5% 11/1/34 to 3/1/36	27,735		29,240
TOTAL FREDDIE MAC			193,543
Government National Mortgage Association - 2.5%
5.5% 7/20/37	636		654
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	70,000		71,896
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	81,000		83,194
5.5% 3/18/39 (h)	67,000		68,815
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	5,000		5,127
5.5% 3/18/39 (h)	96,000		98,600
6% 2/15/34	20,387		21,253
6.5% 3/15/34	9,820		10,327
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			378,325
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,574,428)		1,602,116
Asset-Backed Securities - 1.4%
	Principal Amount (000s)		Value (000s)
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.8238% 1/25/35 (n)	$ 111		$ 40
Series 2005-1 Class M1, 0.9438% 4/25/35 (n)	2,047		1,207
ACE Securities Corp. Series 2006-NC2:
Class M7, 1.2238% 7/25/36 (n)	916		7
Class M8, 1.3238% 7/25/36 (n)	454		2
Class M9, 2.1738% 7/25/36 (n)	300		1
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1:
Class M1, 1.5988% 6/25/33 (n)	0*		0*
Class M2, 3.0988% 6/25/33 (n)	137		95
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (n)	326		289
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (n)	682		297
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (n)	288		236
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (n)	38		34
Series 2006-HE2:
Class M3, 0.8138% 5/25/36 (n)	398		12
Class M4, 0.8738% 5/25/36 (n)	336		7
Class M5, 0.9138% 5/25/36 (n)	489		8
Series 2006-OP1:
Class M4, 0.8438% 4/25/36 (n)	187		8
Class M5, 0.8638% 4/25/36 (n)	177		6
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.5% 9/20/13 (n)	3,940		2,848
Series 2006-A7 Class A7, 0.49% 10/20/12 (n)	4,320		3,456
Series 2006-C1 Class C1, 0.95% 10/20/14 (n)	1,306		91
Series 2007-A1 Class A, 0.52% 1/20/15 (n)	2,890		2,150
Series 2007-A4 Class A4, 0.5% 4/22/13 (n)	4,787		3,543
Series 2007-B1 Class B, 0.72% 12/22/14 (n)	2,765		415
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (g)(n)	1,073		1,058
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (g)(n)	272		247
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10	620		616
Ameriquest Mortgage Securities, Inc. Series 2006-M3:
Class A2A, 0.5238% 10/25/36 (n)	139		134
Class M7, 1.3238% 10/25/36 (n)	196		0*
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.1738% 12/25/33 (n)	178		113
Series 2004-R10 Class M1, 1.1738% 11/25/34 (n)	744		332
Series 2004-R11 Class M1, 1.1338% 11/25/34 (n)	641		314
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued
Series 2004-R2:
Class M1, 0.9038% 4/25/34 (n)	$ 282		$ 215
Class M3, 1.0238% 4/25/34 (n)	185		70
Series 2005-R1 Class M1, 0.9238% 3/25/35 (n)	1,034		603
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (n)	938		643
Series 2005-R2 Class M1, 0.9238% 4/25/35 (n)	2,266		1,305
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (n)	198		99
Argent Securities, Inc.:
Series 2006-M1 Class M7, 1.4738% 7/25/36 (n)	830		2
Series 2006-M2 Class M7, 1.3738% 9/25/36 (n)	759		1
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.7794% 3/1/34 (n)	53		11
Series 2004-W11 Class M2, 1.1738% 11/25/34 (n)	616		228
Series 2004-W5 Class M1, 1.0738% 4/25/34 (n)	745		439
Series 2004-W7:
Class M1, 1.0238% 5/25/34 (n)	652		206
Class M2, 1.0738% 5/25/34 (n)	570		308
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (n)	1,703		599
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (n)	1,430		18
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (n)	1,574		762
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (n)	268		119
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (n)	589		307
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (n)	2,929		1,269
Series 2004-HE3:
Class M1, 1.0138% 6/25/34 (n)	259		103
Class M2, 1.5938% 6/25/34 (n)	457		286
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (n)	457		176
Series 2006-HE6:
Class M7, 1.2738% 11/25/36 (n)	452		6
Class M9, 2.6238% 11/25/36 (n)	1,208		6
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (d)(g)(n)	3,736		0*
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (n)	3,769		3,388
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (n)	356		217
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (n)	$ 706		$ 439
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.9238% 9/25/35 (n)	120		87
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (n)	1,063		483
Series 2005-HE2 Class M1, 0.9738% 2/25/35 (n)	1,675		555
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (n)	492		377
Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.6238% 8/25/36 (n)	2,872		2,451
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (n)	2,521		2,254
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (n)	812		699
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.83% 6/15/10 (n)	692		681
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (n)	419		390
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (g)(n)	3,192		2,297
Capital Trust Ltd. Series 2004-1:
Class A2, 0.92% 7/20/39 (g)(n)	502		126
Class B, 1.22% 7/20/39 (g)(n)	290		41
Class C, 1.57% 7/20/39 (g)(n)	372		34
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (n)	5,102		245
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (n)	467		9
Series 2006-NC4 Class M1, 0.7738% 10/25/36 (n)	3,255		128
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (n)	205		6
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (n)	1,978		479
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (g)(n)	299		217
Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (n)	582		525
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	374		187
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.8838% 12/25/33 (g)(n)	419		284
Series 2005-HE4 Class A2C, 0.7438% 10/25/35 (n)	5,716		4,872
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (n)	830		10
Series 2006-WF2 Class A2B, 5.735% 5/25/36	922		905
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (n)	840		32
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.515% 7/15/12 (g)(n)	1,436		1,414
Class B, 0.735% 7/15/12 (g)(n)	1,436		1,354
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Asset-Backed Certificates Trust:
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (n)	$ 14,121		$ 12,221
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (n)	477		406
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	363		0*
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.3338% 5/25/33 (n)	57		31
Series 2004-3:
Class 3A4, 0.7238% 8/25/34 (n)	210		112
Class M1, 0.9738% 6/25/34 (n)	726		478
Class M4, 1.4438% 4/25/34 (n)	175		83
Series 2004-4:
Class A, 0.8438% 8/25/34 (n)	46		22
Class M2, 1.0038% 6/25/34 (n)	645		427
Series 2005-1:
Class M1, 0.8938% 8/25/35 (n)	563		406
Class MV2, 0.9138% 7/25/35 (n)	1,552		1,082
Series 2005-3 Class MV1, 0.8938% 8/25/35 (n)	2,721		2,372
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (n)	521		430
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (g)	167		153
Discover Card Master Trust I:
Series 2006-1 Class B1, 0.605% 8/16/11 (n)	2,335		2,316
Series 2006-2 Class B1, 0.575% 1/17/12 (n)	3,192		2,860
Series 2007-1 Class B, 0.555% 8/15/12 (n)	3,192		2,494
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (n)	43		22
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.6488% 8/25/34 (n)	319		79
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (n)	4,941		1,393
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (n)	25		13
Series 2005-FF9 Class A3, 0.7538% 10/25/35 (n)	6,488		5,006
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (n)	536		491
Series 2006-FF14 Class A2, 0.5338% 10/25/36 (n)	4,948		4,005
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (g)	193		191
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 0.905% 6/15/11 (n)	2,222		1,556
Series 2006-4 Class B, 1.005% 6/15/13 (n)	848		428
Fremont Home Loan Trust:
Series 2004-1:
Class M1, 1.1488% 2/25/34 (n)	79		23
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Fremont Home Loan Trust: - continued
Series 2004-1:
Class M2, 1.2238% 2/25/34 (n)	$ 135		$ 86
Series 2004-A Class M1, 1.2988% 1/25/34 (n)	1,318		704
Series 2005-A:
Class M1, 0.9038% 1/25/35 (n)	115		106
Class M2, 0.9338% 1/25/35 (n)	1,927		704
Class M3, 0.9638% 1/25/35 (n)	1,041		445
Class M4, 1.1538% 1/25/35 (n)	399		196
Series 2006-A:
Class M4, 0.8738% 5/25/36 (n)	993		14
Class M5, 0.9738% 5/25/36 (n)	532		7
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (g)(n)	2,585		1,742
GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (g)(n)	394		244
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.5713% 9/17/12 (n)	977		684
Class C, 0.7013% 9/17/12 (n)	760		494
Series 2007-1 Class C, 0.7313% 3/15/13 (n)	5,210		3,438
GSAMP Trust:
Series 2002-HE Class M1, 2.345% 11/20/32 (n)	683		333
Series 2003-FM1 Class M1, 1.7% 3/20/33 (n)	1,315		797
Series 2004-AR1 Class M1, 1.1238% 6/25/34 (n)	2,407		915
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (n)	447		239
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (n)	1,151		662
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (n)	630		205
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (n)	999		48
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.8138% 11/25/34 (n)	17		8
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (n)	389		360
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (n)	473		6
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.5538% 5/25/30 (g)(n)	724		326
Series 2006-3:
Class B, 0.8738% 9/25/46 (g)(n)	719		115
Class C, 1.0238% 9/25/46 (g)(n)	1,676		201
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (g)(n)	3,867		1,972
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.3538% 2/25/33 (n)	0*		0*
Series 2003-3 Class M1, 1.7638% 8/25/33 (n)	1,098		501
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Home Equity Asset Trust: - continued
Series 2003-4 Class M1, 1.6738% 10/25/33 (n)	$ 325		$ 144
Series 2003-5:
Class A2, 1.1738% 12/25/33 (n)	36		11
Class M1, 1.5238% 12/25/33 (n)	376		226
Series 2003-7 Class A2, 1.2338% 3/25/34 (n)	2		0*
Series 2003-8 Class M1, 1.5538% 4/25/34 (n)	572		265
Series 2004-3 Class M2, 2.1738% 8/25/34 (n)	372		226
Series 2004-7 Class A3, 0.8638% 1/25/35 (n)	1		0*
Series 2005-1 Class M1, 0.9038% 5/25/35 (n)	1,432		1,279
Series 2005-3 Class M1, 0.8838% 8/25/35 (n)	979		875
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (n)	438		387
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (n)	4,007		2,766
Series 2006-7 Class M4, 0.8538% 1/25/37 (n)	1,259		6
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (n)	310		189
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (n)	2,469		2,193
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.8194% 1/20/35 (n)	848		449
Class M2, 0.8494% 1/20/35 (n)	636		312
Series 2005-3 Class A1, 0.6194% 1/20/35 (n)	446		239
Series 2006-2:
Class M1, 0.74% 3/20/36 (n)	699		366
Class M2, 0.76% 3/20/36 (n)	1,156		568
Series 2006-3 Class A1V, 0.55% 3/20/36 (n)	763		728
Series 2007-2 Class A3V, 0.69% 7/21/36 (n)	550		243
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (n)	1,359		408
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.7738% 7/25/36 (n)	2,980		80
Series 2007-CH1:
Class AV4, 0.6038% 11/25/36 (n)	1,364		580
Class MV1, 0.7038% 11/25/36 (n)	1,108		113
Keycorp Student Loan Trust:
Series 1999-A Class A2, 4.0988% 12/27/09 (n)	1,217		945
Series 2006-A Class 2A1, 1.4963% 9/27/21 (n)	827		805
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (g)(n)	295		3
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.7038% 6/25/33 (n)	2,330		1,049
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Long Beach Mortgage Loan Trust: - continued
Series 2004-2:
Class M1, 1.0038% 6/25/34 (n)	$ 682		$ 360
Class M2, 1.5538% 6/25/34 (n)	485		370
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (n)	463		455
Series 2006-9 Class M4, 0.8438% 11/25/36 (n)	398		1
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (n)	493		18
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (n)	232		0*
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (n)	861		36
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (g)(n)	4,135		3,785
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (n)	654		420
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (n)	179		125
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (n)	2,855		2,024
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (n)	1,863		858
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (n)	48		28
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (n)	578		327
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (n)	446		259
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (n)	63		11
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (n)	1,131		544
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (n)	535		258
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (n)	484		165
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (n)	439		150
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (n)	560		270
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (n)	249		1
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (n)	519		490
Series 2006-NC4:
Class M4, 0.8238% 6/25/36 (n)	374		4
Class M6, 0.9238% 6/25/36 (n)	187		1
Series 2007-HE2:
Class A2A, 0.5138% 1/25/37 (n)	124		100
Class M1, 0.7238% 1/25/37 (n)	3,825		91
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (n)	121		81
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (n)	66		52
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (n)	29		8
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (n)	113		92
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (n)	713		402
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (g)(n)	609		350
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Dean Witter Capital I Trust: - continued
Series 2002-NC3:
Class A3, 1.1538% 8/25/32 (n)	$ 38		$ 7
Class M1, 1.5538% 8/25/32 (n)	69		31
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (n)	448		220
Morgan Stanley Home Equity Loans Trust:
Series 2006-3 Class M5, 0.8838% 4/25/36 (n)	374		5
Series 2007-2 Class A1, 0.5738% 4/25/37 (n)	864		656
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (n)	341		314
National Collegiate Student Loan Trust:
Series 2006-3 Class A1, 0.5038% 9/25/19 (n)	1,380		1,296
Series 2006-4 Class A1, 0.5038% 3/25/25 (n)	1,124		1,003
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.5538% 1/25/34 (n)	1,283		717
Series 2005-4 Class M2, 0.9838% 9/25/35 (n)	1,566		233
Series 2005-D Class M2, 0.9438% 2/25/36 (n)	326		22
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	290		253
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (n)	1,067		6
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (n)	913		827
Ocala Funding LLC:
Series 2005-1A Class A, 1.97% 3/20/10 (g)(n)	622		218
Series 2006-1A Class A, 1.87% 3/20/11 (g)(n)	1,291		516
Option One Mortgage Loan Trust:
Series 2004-3 Class M3, 1.1238% 11/25/34 (n)	378		238
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (n)	184		164
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (n)	255		228
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 1.1538% 9/25/34 (n)	306		175
Class M3, 1.7238% 9/25/34 (n)	585		131
Class M4, 1.9238% 9/25/34 (n)	750		79
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (n)	440		73
Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (n)	1,277		934
Series 2004-WWF1:
Class M2, 1.1538% 2/25/35 (n)	1,765		1,036
Class M3, 1.2138% 2/25/35 (n)	219		88
Series 2005-WCH1:
Class M2, 0.9938% 1/25/35 (n)	847		484
Class M3, 1.0338% 1/25/35 (n)	525		208
Class M4, 1.3038% 1/25/35 (n)	1,620		250
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Park Place Securities, Inc.: - continued
Series 2005-WHQ2:
Class M7, 1.7238% 5/25/35 (n)	$ 1,920		$ 75
Class M9, 2.3538% 5/25/35 (n)	3,649		105
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:
Class 1A1, 0.5438% 9/25/36 (n)	1,968		1,881
Class M4, 0.8338% 9/25/36 (n)	1,872		12
Class M5, 0.8638% 9/25/36 (n)	933		4
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (g)(n)	3,987		1,715
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (n)	372		328
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (n)	6		1
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (n)	2,074		986
Securitized Asset Backed Receivables LLC Trust:
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (n)	1,220		758
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (n)	838		663
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (g)(n)	1,179		884
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (n)	1,397		628
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36	176		174
Sovereign Dealer Floor Plan Master LLC Series 2006-1:
Class B, 0.635% 8/15/11 (g)(n)	1,898		1,614
Class C, 0.835% 8/15/11 (g)(n)	866		649
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (n)	257		167
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (n)	100		40
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (n)	151		67
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (n)	3		0*
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (n)	11,609		9,486
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (g)(n)	1,436		417
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (n)	1,513		1,146
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.5613% 9/15/11 (n)	5,772		4,647
Class B, 0.7413% 9/15/11 (n)	4,317		1,727
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Superior Wholesale Inventory Financing Trust: - continued
Series 2007-AE1:
Class A, 0.555% 1/15/12 (n)	$ 1,074		$ 752
Class B, 0.755% 1/15/12 (n)	934		374
Class C, 1.055% 1/15/12 (n)	1,161		348
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (n)	3,154		2,271
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.9038% 9/25/34 (n)	32		7
Series 2003-6HE Class A1, 0.9438% 11/25/33 (n)	40		13
Turquoise Card Backed Securities PLC:
Series 2006-1A Class C, 0.785% 5/16/11 (g)(n)	3,106		2,954
Series 2006-2:
Class B, 0.605% 10/17/11 (n)	3,759		3,289
Class C, 0.805% 10/17/11 (n)	3,532		2,854
Series 2007-1 Class C, 0.8313% 6/15/12 (n)	4,027		2,591
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	974		0*
WaMu Asset-Backed Certificates Series 2006-HE3:
Class M4, 0.8538% 10/25/36 (n)	662		12
Class M7, 1.2738% 10/25/36 (n)	479		5
WaMu Master Note Trust:
Series 2006-A3A Class A3, 0.485% 9/16/13 (g)(n)	6,030		5,743
Series 2006-C2A Class C2, 0.955% 8/15/15 (g)(n)	7,684		3,339
Series 2006-C3A Class C3A, 0.835% 10/15/13 (g)(n)	5,378		4,340
Series 2007-A4A Class A4, 5.2% 10/15/14 (g)	3,515		3,146
Series 2007-C1 Class C1, 0.855% 5/15/14 (g)(n)	4,680		2,754
Wells Fargo Home Equity Trust:
Series 2004-3 Class A, 4.5% 11/27/34 (a)(g)	8		0*
Series 2006-2 Class A2, 0.5738% 7/25/36 (n)	1,049		948
Series 2007-2 Class A1, 0.5638% 4/25/37 (n)	675		556
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12	20		20
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (g)(n)	1,964		236
TOTAL ASSET-BACKED SECURITIES (Cost $231,523)		207,914
Collateralized Mortgage Obligations - 0.9%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 0.9%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.6275% 2/17/52 (g)(n)	$ 735		$ 551
Series 2006-2A:
Class 2B, 1.3575% 2/17/52 (g)(n)	2,586		2,414
Class 2M, 1.4375% 2/17/52 (g)(n)	1,759		1,580
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (g)(n)	1,651		701
Banc of America Mortgage Securities, Inc.:
Series 2003-H Class 2A3, 5.2046% 9/25/33 (n)	620		493
Series 2003-J Class 2A2, 5.2918% 11/25/33 (n)	500		405
Series 2003-K Class 1A1, 5.2035% 12/25/33 (n)	74		60
Series 2003-L Class 2A1, 5.3147% 1/25/34 (n)	1,012		786
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (n)	1,521		1,183
Series 2004-A:
Class 2A1, 5.1951% 2/25/34 (n)	342		279
Class 2A2, 5.1951% 2/25/34 (n)	1,230		1,003
Series 2004-B:
Class 1A1, 6.433% 3/25/34 (n)	82		63
Class 2A2, 4.0864% 3/25/34 (n)	553		413
Series 2004-C Class 1A1, 5.971% 4/25/34 (n)	146		115
Series 2004-D Class 2A1, 3.6163% 5/25/34 (n)	197		152
Series 2004-F Class 2A6, 4.1429% 7/25/34 (n)	818		799
Series 2004-J Class 2A1, 4.7597% 11/25/34 (n)	684		532
Series 2004-L Class 2A1, 4.3695% 1/25/35 (n)	795		607
Series 2005-H Class 1A1, 5.3329% 9/25/35 (n)	194		140
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (g)(n)(p)	45,019		3,759
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (n)	1,657		1,129
Bear Stearns Alt-A Trust floater:
Series 2005-1 Class A1, 0.7538% 1/25/35 (n)	3,377		1,668
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (n)	626		347
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (n)	796		403
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (n)	775		581
Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (n)	6,461		5,227
Citigroup Mortgage Loan Trust Series 2004-UST1:
Class A3, 4.9419% 8/25/34 (n)	1,770		1,433
Class A4, 4.399% 8/25/34 (n)	1,631		1,305
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (n)	113		108
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (n)	$ 16,357		$ 12,702
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (n)	64		32
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (n)	138		65
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (n)	30		13
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (n)	509		242
Series 2005-10:
Class 5A1, 0.7338% 1/25/36 (n)	807		386
Class 5A2, 0.7938% 1/25/36 (n)	363		146
Series 2005-2:
Class 6A2, 0.7538% 6/25/35 (n)	127		56
Class 6M2, 0.9538% 6/25/35 (n)	1,619		395
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (n)	601		305
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (n)	191		94
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (n)	474		268
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (n)	18		10
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (n)	36		18
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (n)	173		87
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (n)	52		24
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (n)	33		19
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (n)	3,770		1,959
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (n)	780		634
First Horizon Mortgage pass-thru Trust:
floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (n)	63		40
Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (n)	2,822		2,172
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.3025% 10/18/54 (g)(n)	3,137		2,407
Class C2, 1.6125% 10/18/54 (g)(n)	1,052		526
Class M2, 1.3925% 10/18/54 (g)(n)	1,803		1,165
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (g)(n)	2,691		1,258
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (g)(n)	3,418		1,480
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 1.07% 12/20/54 (g)(n)	6,597		462
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-2 Class C1, 0.94% 12/20/54 (n)	$ 5,875		$ 588
Series 2006-3 Class C2, 0.97% 12/20/54 (n)	1,234		76
Series 2006-4:
Class B1, 0.56% 12/20/54 (n)	3,300		660
Class C1, 0.85% 12/20/54 (n)	2,018		141
Class M1, 0.64% 12/20/54 (n)	869		130
Series 2007-1:
Class 1C1, 0.77% 12/20/54 (n)	2,039		204
Class 1M1, 0.62% 12/20/54 (n)	1,326		199
Class 2C1, 0.9% 12/20/54 (n)	930		93
Class 2M1, 0.72% 12/20/54 (n)	1,703		272
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (n)	2,359		236
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (n)	472		118
GSR Mortgage Loan Trust:
Series 2004-11 Class 1A1, 4.9133% 9/25/34 (n)	356		237
Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (n)	700		481
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (n)	467		209
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (g)(n)	669		468
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (n)	2,147		1,223
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (n)	172		98
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (n)	288		170
Series 2005-1:
Class M4, 1.2238% 4/25/35 (n)	34		6
Class M5, 1.2438% 4/25/35 (n)	34		4
Class M6, 1.2938% 4/25/35 (n)	54		8
Series 2005-3 Class A1, 0.7138% 8/25/35 (n)	682		346
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (n)	213		7
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (n)	185		15
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (n)	2,355		1,405
Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (n)	1,388		1,142
Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (n)	3,687		3,038
Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (n)	2,307		1,877
Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (n)	4,609		3,955
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (g)(n)	$ 545		$ 278
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (n)	82		51
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (n)	1,566		756
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (n)	1,971		828
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.625% 6/15/22 (g)(n)	228		126
Class C, 0.645% 6/15/22 (g)(n)	1,398		699
Class D, 0.655% 6/15/22 (g)(n)	538		242
Class E, 0.665% 6/15/22 (g)(n)	860		344
Class F, 0.695% 6/15/22 (g)(n)	1,551		543
Class G, 0.765% 6/15/22 (g)(n)	322		97
Class H, 0.785% 6/15/22 (g)(n)	646		161
Class J, 0.825% 6/15/22 (g)(n)	753		151
Merrill Lynch Mortgage Investors Trust:
floater:
Series 2003-A Class 2A1, 0.8638% 3/25/28 (n)	244		142
Series 2003-B Class A1, 0.8138% 4/25/28 (n)	260		152
Series 2003-D Class A, 0.7838% 8/25/28 (n)	220		141
Series 2003-E Class A2, 2.0813% 10/25/28 (n)	367		219
Series 2003-F Class A2, 3.805% 10/25/28 (n)	295		177
Series 2004-A Class A2, 3.715% 4/25/29 (n)	339		210
Series 2004-B Class A2, 2.8388% 6/25/29 (n)	259		153
Series 2004-C Class A2, 2.15% 7/25/29 (n)	299		178
Series 2004-D Class A2, 3.4625% 9/25/29 (n)	255		151
Series 2004-E:
Class A2B, 3.825% 11/25/29 (n)	603		385
Class A2D, 4.015% 11/25/29 (n)	87		51
Series 2004-G Class A2, 3.48% 11/25/29 (n)	291		176
Series 2005-A Class A2, 3.3525% 2/25/30 (n)	282		169
Series 2005-B Class A2, 2.7988% 7/25/30 (n)	860		536
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (n)	1,789		8
Series 2004-A4 Class A1, 4.2286% 8/25/34 (n)	2,458		1,880
Series 2005-A2:
Class A2, 4.4861% 2/25/35 (n)	1,529		1,203
Class A7, 4.4861% 2/25/35 (n)	2,653		1,716
Series 2006-A6 Class A4, 5.3897% 10/25/33 (n)	2,393		1,950
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.8438% 12/25/34 (n)	$ 310		$ 202
Class A2, 0.9238% 12/25/34 (n)	420		292
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (n)	354		234
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (n)	3,574		1,749
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (n)	2,682		126
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (n)	2,252		1,525
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (n)	573		424
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (n)	1,126		898
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.7988% 7/10/35 (g)(n)	1,497		728
Series 2003-CB1 Class B3, 1.8988% 6/10/35 (g)(n)	1,154		618
Series 2004-A:
Class B4, 1.6488% 2/10/36 (g)(n)	880		305
Class B5, 2.1488% 2/10/36 (g)(n)	587		188
Series 2004-B:
Class B4, 1.5488% 2/10/36 (g)(n)	382		105
Class B5, 1.9988% 2/10/36 (g)(n)	296		73
Class B6, 2.4488% 2/10/36 (g)(n)	103		21
Series 2004-C:
Class B4, 1.3988% 9/10/36 (g)(n)	491		144
Class B5, 1.7988% 9/10/36 (g)(n)	550		148
Class B6, 2.1988% 9/10/36 (g)(n)	122		27
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (n)	1,896		1,462
Residential Asset Mortgage Products, Inc.:
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31	269		237
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (n)	275		201
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (n)	1,342		1,090
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (g)(n)	301		226
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (g)(n)	68		66
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater:
Series 2003-5 Class A2, 3.7963% 9/20/33 (n)	$ 493		$ 301
Series 2004-1 Class A, 1.8888% 2/20/34 (n)	176		113
Series 2004-10 Class A4, 4.5188% 11/20/34 (n)	255		158
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (n)	769		473
Series 2004-3 Class A, 3.885% 5/20/34 (n)	241		147
Series 2004-4 Class A, 4.4388% 5/20/34 (n)	922		574
Series 2004-5 Class A3, 2.9113% 6/20/34 (n)	362		221
Series 2004-6:
Class A3A, 2.1613% 6/20/35 (n)	278		178
Class A3B, 2.3038% 7/20/34 (n)	53		33
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (n)	280		168
Class A3B, 2.1388% 7/20/34 (n)	34		20
Series 2004-8 Class A2, 2.15% 9/20/34 (n)	695		450
Series 2005-1 Class A2, 1.8388% 2/20/35 (n)	466		289
Series 2005-2 Class A2, 2.03% 3/20/35 (n)	582		350
Series 2005-3 Class A1, 0.67% 5/20/35 (n)	283		152
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (n)	577		8
Structured Asset Securities Corp.:
floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (g)(n)	103		44
Series 2003-15A Class 4A, 5.4533% 4/25/33 (n)	1,224		992
Series 2003-20 Class 1A1, 5.5% 7/25/33	791		678
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (n)	3,593		1,832
WaMu Mortgage pass-thru certificates:
floater:
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (n)	166		159
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (n)	67		65
Series 2003-AR10 Class A7, 4.669% 10/25/33 (n)	10,635		6,677
Series 2003-AR8 Class A, 4.2743% 8/25/33 (n)	1,223		985
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (n)	393		389
Series 2005-AR3 Class A2, 4.6384% 3/25/35 (n)	3,511		2,825
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 4.1875% 12/25/34 (n)	1,260		1,003
Series 2004-H Class A1, 4.5322% 6/25/34 (n)	3,111		2,531
Series 2004-W:
Class A1, 4.5429% 11/25/34 (n)	1,166		930
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust: - continued
Series 2004-W:
Class A9, 4.5429% 11/25/34 (n)	$ 3,156		$ 1,985
Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (n)	965		753
Series 2005-AR12:
Class 2A5, 4.313% 7/25/35 (n)	12,260		8,002
Class 2A6, 4.313% 7/25/35 (n)	803		614
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (n)	1,587		1,222
TOTAL PRIVATE SPONSOR			132,890
U.S. Government Agency - 0.0%
Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31	10,519		10,679
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $148,537)		143,569
Commercial Mortgage Securities - 0.5%
Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49	3,695		2,865
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 0.9313% 3/15/22 (g)(n)	676		304
Class G, 0.9913% 3/15/22 (g)(n)	438		166
Series 2006-BIX1:
Class F, 0.765% 10/15/19 (g)(n)	1,739		783
Class G, 0.785% 10/15/19 (g)(n)	1,185		415
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.3238% 12/25/33 (g)(n)	116		67
Series 2004-1:
Class A, 0.8338% 4/25/34 (g)(n)	1,510		1,132
Class B, 2.3738% 4/25/34 (g)(n)	168		63
Class M1, 1.0338% 4/25/34 (g)(n)	136		85
Class M2, 1.6738% 4/25/34 (g)(n)	122		64
Series 2004-2:
Class A, 0.9038% 8/25/34 (g)(n)	1,141		913
Class M1, 1.0538% 8/25/34 (g)(n)	259		162
Series 2004-3:
Class A1, 0.8438% 1/25/35 (g)(n)	2,299		1,667
Class A2, 0.8938% 1/25/35 (g)(n)	331		232
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2004-3:
Class M1, 0.9738% 1/25/35 (g)(n)	$ 398		$ 259
Class M2, 1.4738% 1/25/35 (g)(n)	257		142
Series 2005-2A:
Class A1, 0.7838% 8/25/35 (g)(n)	1,683		1,178
Class M1, 0.9038% 8/25/35 (g)(n)	125		50
Class M2, 0.9538% 8/25/35 (g)(n)	206		82
Class M3, 0.9738% 8/25/35 (g)(n)	114		40
Class M4, 1.0838% 8/25/35 (g)(n)	105		31
Series 2005-3A:
Class A1, 0.7938% 11/25/35 (g)(n)	918		596
Class A2, 0.8738% 11/25/35 (g)(n)	595		387
Class M1, 0.9138% 11/25/35 (g)(n)	109		41
Class M2, 0.9638% 11/25/35 (g)(n)	138		52
Class M3, 0.9838% 11/25/35 (g)(n)	123		43
Class M4, 1.0738% 11/25/35 (g)(n)	154		54
Series 2005-4A:
Class A2, 0.8638% 1/25/36 (g)(n)	2,157		1,240
Class B1, 1.8738% 1/25/36 (g)(n)	186		65
Class M1, 0.9238% 1/25/36 (g)(n)	696		400
Class M2, 0.9438% 1/25/36 (g)(n)	209		115
Class M3, 0.9738% 1/25/36 (g)(n)	305		152
Class M4, 1.0838% 1/25/36 (g)(n)	169		80
Class M5, 1.1238% 1/25/36 (g)(n)	169		76
Class M6, 1.1738% 1/25/36 (g)(n)	179		75
Series 2006-1:
Class A2, 0.8338% 4/25/36 (g)(n)	336		221
Class M1, 0.8538% 4/25/36 (g)(n)	120		60
Class M2, 0.8738% 4/25/36 (g)(n)	127		57
Class M3, 0.8938% 4/25/36 (g)(n)	109		46
Class M4, 0.9938% 4/25/36 (g)(n)	62		34
Class M5, 1.0338% 4/25/36 (g)(n)	60		23
Class M6, 1.1138% 4/25/36 (g)(n)	120		62
Series 2006-2A:
Class A1, 0.7038% 7/25/36 (g)(n)	3,293		2,635
Class A2, 0.7538% 7/25/36 (g)(n)	297		238
Class B1, 1.3438% 7/25/36 (g)(n)	111		22
Class B3, 3.1738% 7/25/36 (g)(n)	168		34
Class M1, 0.7838% 7/25/36 (g)(n)	312		156
Class M2, 0.8038% 7/25/36 (g)(n)	220		106
Class M3, 0.8238% 7/25/36 (g)(n)	183		82
Class M4, 0.8938% 7/25/36 (g)(n)	123		49
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2006-2A:
Class M5, 0.9438% 7/25/36 (g)(n)	$ 152		$ 53
Class M6, 1.0138% 7/25/36 (g)(n)	226		79
Series 2006-3A:
Class B1, 1.2738% 10/25/36 (g)(n)	193		60
Class B2, 1.8238% 10/25/36 (g)(n)	139		41
Class B3, 3.0738% 10/25/36 (g)(n)	226		50
Class M4, 0.9038% 10/25/36 (g)(n)	213		93
Class M5, 0.9538% 10/25/36 (g)(n)	255		102
Class M6, 1.0338% 10/25/36 (g)(n)	499		187
Series 2006-4A:
Class A1, 0.7038% 12/25/36 (g)(n)	919		625
Class A2, 0.7438% 12/25/36 (g)(n)	4,143		2,874
Class B1, 1.1738% 12/25/36 (g)(n)	145		29
Class B2, 1.7238% 12/25/36 (g)(n)	150		69
Class B3, 2.9238% 12/25/36 (g)(n)	251		111
Class M1, 0.7638% 12/25/36 (g)(n)	299		192
Class M2, 0.7838% 12/25/36 (g)(n)	201		127
Class M3, 0.8138% 12/25/36 (g)(n)	204		86
Class M4, 0.8738% 12/25/36 (g)(n)	244		98
Class M5, 0.9138% 12/25/36 (g)(n)	224		90
Class M6, 0.9938% 12/25/36 (g)(n)	201		112
Series 2007-1:
Class A2, 0.7438% 3/25/37 (g)(n)	779		448
Class B1, 1.1438% 3/25/37 (g)(n)	254		89
Class B2, 1.6238% 3/25/37 (g)(n)	184		58
Class B3, 3.8238% 3/25/37 (g)(n)	496		145
Class M1, 0.7438% 3/25/37 (g)(n)	222		120
Class M2, 0.7638% 3/25/37 (g)(n)	167		86
Class M3, 0.7938% 3/25/37 (g)(n)	148		74
Class M4, 0.8438% 3/25/37 (g)(n)	123		59
Class M5, 0.8938% 3/25/37 (g)(n)	186		83
Class M6, 0.9738% 3/25/37 (g)(n)	259		104
Series 2007-2A:
Class A1, 0.7438% 7/25/37 (g)(n)	690		418
Class A2, 0.7938% 7/25/37 (g)(n)	647		399
Class B1, 2.0738% 7/25/37 (g)(n)	203		64
Class B2, 2.7238% 7/25/37 (g)(n)	176		54
Class B3, 3.8238% 7/25/37 (g)(n)	197		59
Class M1, 0.8438% 7/25/37 (g)(n)	230		125
Class M2, 0.8838% 7/25/37 (g)(n)	129		67
Class M3, 0.9638% 7/25/37 (g)(n)	131		65
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2007-2A:
Class M4, 1.1238% 7/25/37 (g)(n)	$ 252		$ 105
Class M5, 1.2238% 7/25/37 (g)(n)	223		88
Class M6, 1.4738% 7/25/37 (g)(n)	283		104
Series 2007-3:
Class A2, 0.7638% 7/25/37 (g)(n)	1,146		851
Class B1, 1.4238% 7/25/37 (g)(n)	185		88
Class B2, 2.0738% 7/25/37 (g)(n)	457		218
Class B3, 4.4738% 7/25/37 (g)(n)	249		114
Class M1, 0.7838% 7/25/37 (g)(n)	165		96
Class M2, 0.8138% 7/25/37 (g)(n)	176		99
Class M3, 0.8438% 7/25/37 (g)(n)	272		144
Class M4, 0.9738% 7/25/37 (g)(n)	428		224
Class M5, 1.0738% 7/25/37 (g)(n)	227		117
Class M6, 1.2738% 7/25/37 (g)(n)	173		88
Series 2007-4A:
Class B1, 3.0238% 9/25/37 (g)(n)	253		80
Class B2, 3.9238% 9/25/37 (g)(n)	899		263
Class M1, 1.4238% 9/25/37 (g)(n)	242		121
Class M2, 1.5238% 9/25/37 (g)(n)	242		109
Class M4, 2.0738% 9/25/37 (g)(n)	605		242
Class M5, 2.2238% 9/25/37 (g)(n)	605		227
Class M6, 2.4238% 9/25/37 (g)(n)	606		212
Bear Stearns Commercial Mortgage Securities Trust floater:
Series 2006-BBA7:
Class G, 0.9013% 3/15/19 (g)(n)	884		504
Class H, 1.1113% 3/15/19 (g)(n)	595		268
Class J, 1.3113% 3/15/19 (g)(n)	447		179
Series 2007-BBA8:
Class D, 0.705% 3/15/22 (g)(n)	458		284
Class E, 0.755% 3/15/22 (g)(n)	2,379		1,395
Class F, 0.805% 3/15/22 (g)(n)	1,459		817
Class G, 0.855% 3/15/22 (g)(n)	375		204
Class H, 1.005% 3/15/22 (g)(n)	458		206
Class J, 1.155% 3/15/22 (g)(n)	458		183
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (g)(n)	1,201		522
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.785% 11/15/36 (g)(n)	488		151
Class H, 0.825% 11/15/36 (g)(n)	390		117
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust: - continued
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	$ 9,115		$ 6,079
COMM pass-thru certificates floater:
Series 2005-F10A:
Class D, 0.765% 4/15/17 (g)(n)	1,043		493
Class E, 0.825% 4/15/17 (g)(n)	332		155
Class F, 0.865% 4/15/17 (g)(n)	188		83
Class G, 1.005% 4/15/17 (g)(n)	188		82
Class H, 1.075% 4/15/17 (g)(n)	188		77
Class J, 1.305% 4/15/17 (g)(n)	144		65
Series 2005-FL11:
Class F, 0.9113% 11/15/17 (g)(n)	427		143
Class G, 0.9613% 11/15/17 (g)(n)	296		92
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (n)	9,295		6,913
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:
Class C:
0.6313% 2/15/22 (g)(n)	2,047		614
0.7313% 2/15/22 (g)(n)	731		183
Class F, 0.7813% 2/15/22 (g)(n)	1,462		322
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27	2,456		2,467
GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (n)(p)	2,524		30
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (g)(n)	916		522
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class D, 0.6913% 11/15/18 (g)(n)	253		119
Class E, 0.7413% 11/15/18 (g)(n)	359		162
Class F, 0.7913% 11/15/18 (g)(n)	538		237
Class G, 0.8213% 11/15/18 (g)(n)	468		197
Class H, 0.9613% 11/15/18 (g)(n)	359		144
Series 2005-LDP3 Class A3, 4.959% 8/15/42	9,850		7,985
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.795% 9/15/21 (g)(n)	1,255		516
Class G, 0.815% 9/15/21 (g)(n)	2,478		907
Class H, 0.855% 9/15/21 (g)(n)	639		221
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.662% 7/15/19 (g)(n)	$ 903		$ 90
Series 2007-XCLA Class A1, 0.662% 7/17/17 (g)(n)	3,008		1,654
Series 2007-XLCA Class B, 0.9613% 7/17/17 (g)(n)	1,712		154
Series 2007-XLFA:
Class D, 0.652% 10/15/20 (g)(n)	732		183
Class E, 0.712% 10/15/20 (g)(n)	916		183
Class F, 0.762% 10/15/20 (g)(n)	550		99
Class G, 0.802% 10/15/20 (g)(n)	680		102
Class H, 0.892% 10/15/20 (g)(n)	428		43
Class J, 1.042% 10/15/20 (g)(n)	488		39
Class MHRO, 1.152% 10/15/20 (g)(n)	198		22
Class MJPM, 1.462% 10/15/20 (g)(n)	67		6
Class MSTR, 1.162% 10/15/20 (g)(n)	122		17
Class NHRO, 1.352% 10/15/20 (g)(n)	290		26
Class NSTR, 1.312% 10/15/20 (g)(n)	114		13
Series 2007-XLC1:
Class C, 1.0613% 7/17/17 (g)(n)	2,337		187
Class D, 1.1613% 7/17/17 (g)(n)	1,100		77
Class E, 1.2613% 7/17/17 (g)(n)	894		54
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (g)(n)	193		158
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.655% 1/15/18 (g)(n)	1,401		770
Series 2006-WL7A:
Class E, 0.735% 9/15/21 (g)(n)	1,530		627
Class F, 0.795% 8/11/18 (g)(n)	2,061		618
Class G, 0.815% 8/11/18 (g)(n)	1,953		488
Class J, 0.9331% 8/11/18 (g)(n)	434		156
Class X1A, 0.0239% 9/15/21 (g)(n)(p)	3,107		0*
Series 2007-WHL8:
Class AP1, 1.155% 6/15/20 (g)(n)	103		26
Class AP2, 1.255% 6/15/20 (g)(n)	168		34
Class F, 0.935% 6/15/20 (g)(n)	3,260		1,043
Class LXR2, 1.255% 6/15/20 (g)(n)	2,223		333
sequential payer Series 2007-C32 Class A2, 5.7357% 6/15/49 (n)	3,005		2,158
Series 2006-C23 Class A5, 5.416% 1/15/45 (n)	7,210		4,823
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $89,537)		76,907
Municipal Securities - 0.1%
	Principal Amount (000s)		Value (000s)
Montgomery County Gen. Oblig. Series A, 5% 1/1/13	$ 5,440		$ 6,085
North Carolina Gen. Oblig. Series A, 5.5% 3/1/13	5,000		5,705
Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12	5,700		6,329
TOTAL MUNICIPAL SECURITIES (Cost $17,544)		18,119
Foreign Government and Government Agency Obligations - 0.0%
Chilean Republic 7.125% 1/11/12 (Cost $2,707)	2,462		2,687
Supranational Obligations - 0.0%
Corporacion Andina de Fomento:
5.2% 5/21/13	196		172
6.875% 3/15/12	318		305
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $480)		477
Bank Notes - 0.0%
National City Bank, Cleveland 2.3025% 3/1/13 (n) (Cost $629)	790		616

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (n)	851		269
MUFG Capital Finance 1 Ltd. 6.346% (n)	3,742		2,344
TOTAL PREFERRED SECURITIES (Cost $2,775)		2,613
Fixed-Income Funds - 17.6%
	Shares
Fidelity 1-3 Year Duration Securitized Bond Central Fund (o)	2,160,345		153,233
Fidelity Commercial Mortgage-Backed Securities Central Fund (o)	4,506,540		306,445
Fidelity Corporate Bond 1-10 Year Central Fund (o)	6,106,713		541,849
Fixed-Income Funds - continued
	Shares		Value (000s)
Fidelity High Income Central Fund 2 (o)	4,046,515		$ 304,581
Fidelity Mortgage Backed Securities Central Fund (o)	13,783,941		1,377,981
TOTAL FIXED-INCOME FUNDS (Cost $3,040,929)		2,684,089
Money Market Funds - 2.4%
Fidelity Cash Central Fund, 0.59% (b)	310,483,082		310,483
Fidelity Securities Lending Cash Central Fund, 0.66% (b)(c)	46,897,885		46,898
TOTAL MONEY MARKET FUNDS (Cost $357,381)		357,381
Cash Equivalents - 0.1%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at:
0.25%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	$ 3,524		3,524
0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	6,172		6,172
TOTAL CASH EQUIVALENTS (Cost $9,696)		9,696
TOTAL INVESTMENT PORTFOLIO - 104.9% (Cost $19,311,449)			15,972,559
NET OTHER ASSETS - (4.9)%			(744,961)
NET ASSETS - 100%		$ 15,227,598

Futures Contracts
	Expiration Date	Underlying Face Amount at Value (000s)	Unrealized Appreciation/ (Depreciation) (000s)
Purchased
Equity Index Contracts
3,020 CME E-mini S&P 500 Index Contracts	March 2009	$ 110,864	$ (15,008)

The face value of futures purchased as a percentage of net assets - 0.7%

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly notional amount multiplied by 1.32% and pay Goldman Sachs upon credit event of Securitized Asset Backed Receivables LLC Trust, par value of the notional amount of Securitized Asset Backed Receivables LLC Trust Series 2006-OP1 Class B2, 6.72% 10/25/35 (Rating-Ba1) (l)	Nov. 2035	$ 4,800	$ (4,470)
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) (l)	Dec. 2034	613	(579)
Receive monthly notional amount multiplied by 2.5% and pay Bank of America upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (l)	Oct. 2034	1,099	(1,043)
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage Products, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (l)	Oct. 2036	1,436	(1,386)
Receive monthly notional amount multiplied by 2.6% and pay Merrill Lynch, Inc. upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M9, 8.07% 9/25/34 (Rating-C) (l)	Oct. 2034	1,099	(1,042)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (m)	Sept. 2037	16,700	(16,116)
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-Caa1) (m)	Sept. 2037	13,600	(13,124)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to JPMorgan Chase, Inc. upon each credit event of one of the issues of ABX AA 07-01 Index, par value of the proportional notional amount (Rating-Caa1) (m)	Sept. 2037	$ 1,800	$ (1,737)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (m)	Sept. 2037	13,600	(13,124)
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-Caa1) (m)	Sept. 2037	13,100	(12,642)
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-Caa1) (m)	Sept. 2037	11,500	(11,098)
Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (l)	August 2035	3,000	(2,817)
Receive monthly notional amount multiplied by 3.83% and pay Morgan Stanley, Inc. upon credit event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 7.2% 5/25/35 (Rating-C) (l)	June 2035	1,600	(1,522)
TOTAL CREDIT DEFAULT SWAPS		83,947	(80,700)
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2017	120,000	20,788
		$ 203,947	$ (59,912)

Legend

(a) Non-income producing

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

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

(d) Non-income producing - Issuer 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 $276,762,000 or 1.8% of net assets.

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

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

(j) 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 $15,798,000.

(k) 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 $39,175,000.

(l) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(m) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

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

(o) 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, are available on the SEC's web site or upon request.

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

(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 $12,125,000 or 0.1% of net assets.

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
Concho Resources, Inc.	6/6/08	$ 18,300

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$3,524,000 due 3/02/09 at 0.25%
BNP Paribas Securities Corp.	$ 1,894
Barclays Capital, Inc.	457
Citigroup Global Markets, Inc.	261
HSBC Securities (USA), Inc.	131
J.P. Morgan Securities, Inc.	258
Societe Generale, New York Branch	523
	$ 3,524
$6,172,000 due 3/02/09 at 0.26%
BNP Paribas Securities Corp.	$ 3,046
Banc of America Securities LLC	1,136
Barclays Capital, Inc.	1,620
Deutsche Bank Securities, Inc.	370
	$ 6,172

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 High Income Central Fund 2	$ 16,923
Fidelity 1-3 Year Duration Securitized Bond Central Fund	4,143
Fidelity Cash Central Fund	4,879
Fidelity Commercial Mortgage-Backed Securities Central Fund	11,553
Fidelity Corporate Bond 1-10 Year Central Fund	38,514
Fidelity Mortgage Backed Securities Central Fund	43,387
Fidelity Securities Lending Cash Central Fund	1,569
Fidelity Ultra-Short Central Fund	4,683
Total	$ 125,651

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 283,606	$ 4,143	$ 103,518	$ 153,233	18.8%
Fidelity Commercial Mortgage-Backed Securities Central Fund	454,738	11,553	59,363	306,445	13.1%
Fidelity Corporate Bond 1-10 Year Central Fund	1,517,973	38,632	900,980*	541,849	22.2%
Fidelity High Income Central Fund 2	400,269	68,158	69,641	304,581	84.5%
Fidelity Mortgage Backed Securities Central Fund	1,762,588	43,390	458,920	1,377,981	18.8%
Fidelity Ultra-Short Central Fund	658,434	-	554,165*	-	0.0%
Total	$ 5,077,608	$ 165,876	$ 2,146,587	$ 2,684,089

* Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

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
Aurora Oil & Gas Corp.	$ 1,272	$ -	$ 455	$ -	$ -
Bell Microproducts, Inc.	4,429	-	4,228	-	-
Capitol Bancorp Ltd.	17,008	-	17,867	-	-
Central Garden & Pet Co.	9,861	-	11,130	-	-
Cirrus Logic, Inc.	-	16,303	-	-	11,589
Credence Systems Corp.	7,204	-	-	-	-
DUSA Pharmaceuticals, Inc.	2,911	-	2,292	-	-
Evergreen Energy, Inc.	6,322	-	6,097	-	-
Great Lakes Dredge & Dock Corp.	34,885	-	32,883	79	-
LandAmerica Financial Group, Inc.	16,912	-	20,004	-	-
Lighthouse Caledonia ASA	2,310	-	119	-	-
LTX Corp.	6,836	-	-	-	-
MarineMax, Inc.	8,237	-	2,909	-	-
Mattson Technology, Inc.	-	14,901	57	-	1,540
Sourcefire, Inc.	12,346	-	12,049	-	-
Spartech Corp.	16,808	-	16,306	-	-
Standard Pacific Corp.	14,818	-	16,004	-	-
The Pantry, Inc.	31,496	-	35,160	-	-
Tween Brands, Inc.	25,114	-	27,074	-	-
Universal Truckload Services, Inc.	26,743	-	24,427	-	-
Total	$ 245,512	$ 31,204	$ 229,061	$ 79	$ 13,129

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at 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 tables 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	$ 15,972,559	$ 11,417,124	$ 4,499,406	$ 56,029
Other Financial Instruments*	$ (74,389)	$ (15,008)	$ 5,203	$ (64,584)

* Other financial instruments include Futures Contracts, Swap Agreements and Forward Commitments.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 16,518	$ (16,837)
Total Realized Gain (Loss)	547	-*
Total Unrealized Gain (Loss)	(13,112)	5,406
Cost of Purchases	53,678	-
Proceeds of Sales	(2,695)	-
Amortization/Accretion	109	-
Transfer in/out of Level 3	984	(53,153)
Ending Balance	$ 56,029	$ (64,584)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(8,331,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

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

U.S. Government and U.S. Government Agency Obligations	28.7%
AAA,AA,A	10.6%
BBB	6.8%
BB	0.9%
B	1.1%
CCC,CC,C	0.1%
D	0.0%†
Not Rated	0.1%
Equities	59.0%
Short-Term Investments and Net Other Assets	(7.3)%
	100.0%

We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. All ratings are as of the report date and do not reflect subsequent downgrades. Percentages are adjusted for the effect of futures contracts, if applicable.

Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited)

United States of America	89.2%
Canada	1.6%
United Kingdom	1.2%
Netherlands	1.2%
Bermuda	1.1%
Others (individually less than 1%)	5.7%
	100.0%

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

^† Amount represents less than .1%.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	February 28, 2009 (Unaudited)
Assets
Investment in securities, at value (including securities loaned of $44,853 and repurchase agreements of $9,696) - See accompanying schedule: Unaffiliated issuers (cost $15,882,102)	$ 12,917,960
Fidelity Central Funds (cost $3,398,310)	3,041,470
Other affiliated issuers (cost $31,037)	13,129
Total Investments (cost $19,311,449)		$ 15,972,559
Commitment to sell securities on a delayed delivery basis	(289,776)
Receivable for securities sold on a delayed delivery basis	290,307	531
Receivable for investments sold, regular delivery		266,797
Cash		446
Foreign currency held at value (cost $4,165)		4,165
Receivable for swap agreements		65
Receivable for fund shares sold		17,213
Dividends receivable		24,589
Interest receivable		31,727
Distributions receivable from Fidelity Central Funds		17,385
Prepaid expenses		187
Other receivables		657
Unrealized appreciation for swap agreements		20,788
Total assets		16,357,109
Liabilities
Payable for investments purchased Regular delivery	$ 319,501
Delayed delivery	621,014
Payable for swap agreements	23,361
Payable for fund shares redeemed	22,947
Unrealized depreciation for swap agreements	80,700
Accrued management fee	5,668
Payable for daily variation on futures contracts	2,688
Other affiliated payables	3,690
Other payables and accrued expenses	3,044
Collateral on securities loaned, at value	46,898
Total liabilities		1,129,511
Net Assets		$ 15,227,598
Net Assets consist of:
Paid in capital		$ 22,932,633
Undistributed net investment income		78,170
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		(4,379,365)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(3,403,840)
Net Assets		$ 15,227,598

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	February 28, 2009 (Unaudited)
Balanced: Net Asset Value, offering price and redemption price per share ($14,138,259 ÷ 1,199,088 shares)		$ 11.79
Class K: Net Asset Value, offering price and redemption price per share ($1,089,339 ÷ 92,360 shares)		$ 11.79

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

Semiannual Report

Statement of Operations

Amounts in thousands	Six months ended February 28, 2009 (Unaudited)
Investment Income
Dividends (including $79 earned from other affiliated issuers)		$ 123,101
Interest		48,470
Income from Fidelity Central Funds		125,651
Total income		297,222
Expenses
Management fee	$ 38,179
Transfer agent fees	21,767
Accounting and security lending fees	976
Custodian fees and expenses	313
Independent trustees' compensation	60
Depreciation in deferred trustee compensation account	(3)
Registration fees	137
Audit	100
Legal	47
Miscellaneous	913
Total expenses before reductions	62,489
Expense reductions	(794)	61,695
Net investment income (loss)		235,527
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(3,867,297)
Fidelity Central Funds	(383,494)
Other affiliated issuers	(120,893)
Foreign currency transactions	(4,053)
Futures contracts	(43,695)
Swap agreements	20,092
Total net realized gain (loss)		(4,399,340)
Change in net unrealized appreciation (depreciation) on: Investment securities (net of decrease in deferred foreign taxes of $60)	(3,762,508)
Assets and liabilities in foreign currencies	50
Futures contracts	(15,008)
Swap agreements	5,991
Delayed delivery commitments	503
Total change in net unrealized appreciation (depreciation)		(3,770,972)
Net gain (loss)		(8,170,312)
Net increase (decrease) in net assets resulting from operations		$ (7,934,785)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 28, 2009 (Unaudited)	Year ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 235,527	$ 584,438
Net realized gain (loss)	(4,399,340)	346,668
Change in net unrealized appreciation (depreciation)	(3,770,972)	(2,929,820)
Net increase (decrease) in net assets resulting from operations	(7,934,785)	(1,998,714)
Distributions to shareholders from net investment income	(260,136)	(581,560)
Distributions to shareholders from net realized gain	(41,988)	(1,526,672)
Total distributions	(302,124)	(2,108,232)
Share transactions - net increase (decrease)	(1,915,357)	3,295,533
Total increase (decrease) in net assets	(10,152,266)	(811,413)
Net Assets
Beginning of period	25,379,864	26,191,277
End of period (including undistributed net investment income of $78,170 and undistributed net investment income of $102,779, respectively)	$ 15,227,598	$ 25,379,864

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

Semiannual Report

Financial Highlights - Balanced

	Six months ended February 28, 2009	Years ended August 31,
	(Unaudited)	2008	2007	2006 G	2006 I	2005I	2004I
Selected Per-Share Data
Net asset value, beginning of period	$ 17.71	$ 20.66	$ 19.56	$ 19.16	$ 18.73	$ 16.57	$ 14.92
Income from Investment Operations
Net investment income (loss) D	.17	.42	.44	.04	.36	.29	.27
Net realized and unrealized gain (loss)	(5.87)	(1.76)	2.13	.36	1.01	2.60	1.64
Total from investment operations	(5.70)	(1.34)	2.57	.40	1.37	2.89	1.91
Distributions from net investment income	(.19)	(.43)	(.43)	-	(.31)	(.29)	(.26)
Distributions from net realized gain	(.03)	(1.18)	(1.04)	-	(.63)	(.44)	-
Total distributions	(.22)	(1.61)	(1.47)	-	(.94)	(.73)	(.26)
Net asset value, end of period	$ 11.79	$ 17.71	$ 20.66	$ 19.56	$ 19.16	$ 18.73	$ 16.57
Total Return B, C	(32.39)%	(7.28)%	13.96%	2.09%	7.54%	18.04%	12.82%
Ratios to Average Net Assets E, H
Expenses before reductions	.68% A	.61%	.61%	.64% A	.64%	.65%	.67%
Expenses net of fee waivers, if any	.68% A	.61%	.61%	.64% A	.64%	.65%	.67%
Expenses net of all reductions	.68% A	.61%	.60%	.63% A	.63%	.64%	.66%
Net investment income (loss)	2.55% A	2.22%	2.20%	2.35% A	1.90%	1.68%	1.63%
Supplemental Data
Net assets, end of period (in millions)	$ 14,138	$ 25,363	$ 26,191	$ 20,350	$ 19,800	$ 14,610	$ 10,784
Portfolio turnover rate F	248% A	73% J	89% J	65% A	61%	82%	99%
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended July 31. J Portfolio turnover rate excludes securities received or delivered in-kind.

Semiannual Report

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

Financial Highlights - Class K

	Six months ended February 28, 2009	Year ended August 31,
	(Unaudited)	2008 G
Selected Per-Share Data
Net asset value, beginning of period	$ 17.72	$ 19.12
Income from Investment Operations
Net investment income (loss)D	.17	.12
Net realized and unrealized gain (loss)	(5.86)	(1.41)
Total from investment operations	(5.69)	(1.29)
Distributions from net investment income	(.21)	(.11)
Distributions from net realized gain	(.03)	-
Total distributions	(.24)	(.11)
Net asset value, end of period	$ 11.79	$ 17.72
Total Return B, C	(32.35)%	(6.74)%
Ratios to Average Net AssetsE, H
Expenses before reductions	.49% A	.48% A
Expenses net of fee waivers, if any	.49% A	.48% A
Expenses net of all reductions	.48% A	.48% A
Net investment income (loss)	2.74% A	2.45% A
Supplemental Data
Net assets, end of period (in millions)	$ 1,089	$ 17
Portfolio turnover rate F	248% A	73% I
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the period May 9, 2008 (commencement of sale of shares) to August 31, 2008. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Portfolio turnover rate excludes securities received or delivered in-kind.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009 (Unaudited)

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. After the commencement of Class K, the Fund began offering conversion privileges between Balanced and Class K to eligible shareholders of Balanced. Each class has exclusive voting rights with respect to matters that affect that class. In order to disclose class level financial information dollar amounts presented in the notes are unrounded. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent fees incurred. Certain expense reductions also differ by class.

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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 their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity 1-3 Year Duration Securitized Bond Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity Commercial Mortgage-Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.	Futures Repurchase Agreement Restricted Securities Swap Agreements
Fidelity Corporate Bond 1-10 Year Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements
Fidelity High Income Central Fund 2	Fidelity Management & Research Company, Inc. (FMRC)	Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities.	Delayed Delivery & When Issued 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 vailable upon request or at the SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds are available on the SEC's web site or upon request.

Semiannual Report

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Level 1	Quoted prices in active markets for identical securities.
Level 2	Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3	Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments, as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally

Semiannual Report

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income, even though the 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 collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, certain foreign taxes, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Unrealized appreciation	$ 396,210,803
Unrealized depreciation	(4,080,742,117)
Net unrealized appreciation (depreciation)	$ (3,684,531,314)
Cost for federal income tax purposes	$ 19,657,090,233

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Operating Policies - continued

Futures Contracts - continued

contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.

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

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. 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 credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. 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 corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $83,946,923 representing 0.55% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both 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. Any

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

4. Operating Policies - continued

Swap Agreements - continued

current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. 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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $19,561,445,773 and $20,420,856,150, respectively.

6. Fees and Other Transactions with Affiliates.

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Balanced. FIIOC receives an asset-based fee of .05% of Class K's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:

	Amount	% of Average Net Assets*
Balanced	$ 21,602,612	.24
Class K	165,534	.05
	$ 21,767,146

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $433,385 for the period.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $331,388,081 in return for its 5,299,979 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

On February 20, 2009, the Fund redeemed in-kind 7,900,409 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $711,093,749 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 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 $57,783 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

8. Security Lending - continued

delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities.

Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Net income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $212,536. 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 $1,568,518.

9. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of Balanced's operating expenses. During the period,this reimbursement reduced the class' expenses by $5,135.

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 $642,547 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $87,711. During the period, credits reduced each class' transfer agent expense as noted in the table below.

	Transfer Agent expense reduction
Balanced	$ 58,568

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net investment income
Balanced	$ 252,300,883	$ 581,559,348
Class K	7,835,022	570
Total	$ 260,135,905	$ 581,559,918

Semiannual Report

10. Distributions to Shareholders - continued

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net realized gain
Balanced	$ 41,696,814	$ 1,526,671,923
Class K	291,112	-
Total	$ 41,987,926	$ 1,526,671,923

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

11. Share Transactions.

Transactions for each class of shares were as follows:

	Shares		Dollars
	Six months ended February 28, 2009	Year ended August 31, 2008A	Six months ended February 28, 2009	Year ended August 31, 2008A
Balanced
Shares sold	100,041,261	342,702,362	$ 1,384,728,336	$ 6,544,290,400
Conversion to Class K	(99,400,072)	(959,723)	(1,312,681,454)	(16,766,361)
Reinvestment of distributions	20,256,548	103,189,062	287,355,407	2,066,916,739
Shares redeemed	(253,737,299)	(281,013,909)	(3,491,493,461)	(5,315,835,781)
Net increase (decrease)	(232,839,562)	163,917,792	$ (3,132,091,172)	$ 3,278,604,997
Class K
Shares sold	7,129,084	15,171	$ 93,011,917	$ 276,121
Conversion from Balanced	99,378,060	959,174	1,312,681,454	16,766,361
Reinvestment of distributions	613,960	33	8,126,134	570
Shares redeemed	(15,729,231)	(6,530)	(197,085,044)	(114,733)
Net increase (decrease)	91,391,873	967,848	$ 1,216,734,461	$ 16,928,319

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

12. 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

Semiannual Report

Notes to Financial Statements (Unaudited) - continued

12. Other - continued

exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

In March, 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Investments
Money Management, Inc.

Fidelity Research & Analysis Company

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

Fidelity Investments Japan Limited

FIL Investment Advisors

FIL Investment Advisors (U.K.) Ltd.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan) Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

Citibank, N.A.

New York, NY

BAL-K-USAN-0409
1.863053.100

Fidelity®
Puritan®
Fund

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message	<Click Here>	Ned Johnson's message to shareholders.
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>

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

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

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual 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 (September 1, 2008 to February 28, 2009).

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.

Semiannual Report

Shareholder Expense Example - continued

	Annualized Expense Ratio	Beginning Account Value September 1, 2008	Ending Account Value February 28, 2009	Expenses Paid During Period* September 1, 2008 to February 28, 2009
Puritan	.67%
Actual		$ 1,000.00	$ 702.40	$ 2.83
HypotheticalA		$ 1,000.00	$ 1,021.47	$ 3.36
Class K	.49%
Actual		$ 1,000.00	$ 703.20	$ 2.07
HypotheticalA		$ 1,000.00	$ 1,022.36	$ 2.46

^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 181/365 (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.

Semiannual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.

Top Five Stocks as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
Exxon Mobil Corp.	2.4	2.1
Verizon Communications, Inc.	1.5	0.8
Wal-Mart Stores, Inc.	1.3	1.3
Chevron Corp.	1.3	0.0
Genentech, Inc.	1.2	0.8
	7.7
Top Five Bond Issuers as of February 28, 2009
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	15.5	9.5
Freddie Mac	4.7	3.8
U.S. Treasury Obligations	3.9	3.7
Government National Mortgage Association	3.2	2.3
Citigroup, Inc	0.5	0.1
	27.8
Top Five Market Sectors as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
Information Technology	11.4	13.3
Financials	10.7	11.9
Health Care	10.5	10.5
Energy	9.3	10.1
Consumer Discretionary	7.9	8.4

Asset Allocation (% of fund's net assets)
As of February 28, 2009 *			As of August 31, 2008 **
	Stocks 52.3%			Stocks 61.4%
	Bonds 50.6%			Bonds 39.8%
	Convertible Securities 0.7%			Convertible Securities 0.7%
	Other Investments 1.5%			Other Investments 1.4%
	Short-Term Investments and Net Other Assets† (5.1)%			Short-Term Investments and Net Other Assets† (3.3)%
* Foreign investments		6.5%	** Foreign investments		9.2%

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

Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com.

Semiannual Report

Investments February 28, 2009

Showing Percentage of Net Assets

Common Stocks - 52.3%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 5.4%
Auto Components - 0.1%
Johnson Controls, Inc.	1,180,900		$ 13,439
The Goodyear Tire & Rubber Co. (a)	1,300,800		5,776
			19,215
Hotels, Restaurants & Leisure - 1.1%
Darden Restaurants, Inc.	781,900		21,221
Las Vegas Sands Corp. (a)	50		0*
Las Vegas Sands Corp. unit	127,900		4,860
McDonald's Corp.	1,424,900		74,451
Penn National Gaming, Inc. (a)	651,300		12,433
Starwood Hotels & Resorts Worldwide, Inc.	1,005,600		11,655
Vail Resorts, Inc. (a)(e)	435,400		8,220
Wendy's/Arby's Group, Inc.	3,272,700		14,825
			147,665
Household Durables - 0.3%
Mohawk Industries, Inc. (a)	369,500		8,347
Pulte Homes, Inc.	3,200,700		29,382
Whirlpool Corp.	174,683		3,883
			41,612
Internet & Catalog Retail - 0.2%
Amazon.com, Inc.	393,700		25,508
Media - 1.9%
Comcast Corp. Class A (special) (non-vtg.)	5,210,800		63,311
Grupo Televisa SA de CV (CPO) sponsored ADR	2,312,600		28,144
News Corp. Class B (e)	1,962,896		12,288
Playboy Enterprises, Inc. Class B (non-vtg.) (a)(e)	895,600		1,263
The DIRECTV Group, Inc. (a)	1,900,500		37,896
The Walt Disney Co.	3,512,190		58,899
Time Warner, Inc.	7,180,360		54,786
Vertis Holdings, Inc. (a)	30,518		0*
			256,587
Multiline Retail - 0.0%
Macy's, Inc.	675,200		5,314
Specialty Retail - 1.7%
Advance Auto Parts, Inc.	289,700		11,081
Best Buy Co., Inc.	1,184,200		34,129
Home Depot, Inc.	1,381,200		28,853
J. Crew Group, Inc. (a)(e)	304,537		3,429
Lowe's Companies, Inc.	2,636,000		41,754
Lumber Liquidators, Inc. (a)	100,000		958
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Sherwin-Williams Co.	249,400		$ 11,460
Staples, Inc.	3,052,100		48,681
Tiffany & Co., Inc. (e)	682,300		12,991
TJX Companies, Inc.	1,568,500		34,930
Urban Outfitters, Inc. (a)	244,200		4,063
			232,329
Textiles, Apparel & Luxury Goods - 0.1%
NIKE, Inc. Class B	263,300		10,935
Polo Ralph Lauren Corp. Class A	229,100		7,897
			18,832
TOTAL CONSUMER DISCRETIONARY			747,062
CONSUMER STAPLES - 4.6%
Beverages - 0.8%
Molson Coors Brewing Co. Class B	359,400		12,662
PepsiCo, Inc.	718,700		34,598
The Coca-Cola Co.	1,567,900		64,049
			111,309
Food & Staples Retailing - 1.5%
Costco Wholesale Corp.	286,200		12,118
CVS Caremark Corp.	543,200		13,982
Wal-Mart Stores, Inc.	3,689,900		181,691
			207,791
Food Products - 0.1%
Lindt & Spruengli AG (participation certificate)	7,104		11,196
Marine Harvest ASA (a)	26,391,400		6,310
			17,506
Household Products - 1.3%
Colgate-Palmolive Co.	503,500		30,301
Energizer Holdings, Inc. (a)	202,300		8,535
Procter & Gamble Co.	2,990,522		144,053
			182,889
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.9%
British American Tobacco PLC sponsored ADR	444,400		$ 22,682
Philip Morris International, Inc.	2,806,440		93,932
			116,614
TOTAL CONSUMER STAPLES			636,109
ENERGY - 6.7%
Energy Equipment & Services - 0.4%
Noble Corp.	424,400		10,436
Schlumberger Ltd. (NY Shares)	353,280		13,446
Smith International, Inc.	521,200		11,195
Transocean Ltd. (a)	347,900		20,794
			55,871
Oil, Gas & Consumable Fuels - 6.3%
Arch Coal, Inc.	292,100		4,060
BP PLC sponsored ADR	333,200		12,782
Chesapeake Energy Corp.	1,358,217		21,243
Chevron Corp.	2,888,900		175,385
ConocoPhillips	2,074,100		77,468
Denbury Resources, Inc. (a)	470,400		6,059
Exxon Mobil Corp.	4,833,524		328,187
Frontier Oil Corp.	350,100		4,779
Hess Corp.	616,500		33,716
Occidental Petroleum Corp.	1,506,358		78,135
Petrohawk Energy Corp. (a)	1,387,900		23,622
Petroleo Brasileiro SA - Petrobras sponsored ADR	744,300		20,639
Quicksilver Resources, Inc. (a)	94,300		566
Range Resources Corp.	237,408		8,445
Southwestern Energy Co. (a)	1,382,400		39,772
Ultra Petroleum Corp. (a)	556,300		19,548
Valero Energy Corp.	1,147,800		22,244
			876,650
TOTAL ENERGY			932,521
FINANCIALS - 5.6%
Capital Markets - 2.1%
Bank of New York Mellon Corp.	2,519,100		55,848
Credit Suisse Group sponsored ADR	1,018,100		24,597
EFG International	698,520		4,847
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.	756,000		$ 68,856
Julius Baer Holding Ltd.	148,473		3,422
KKR Private Equity Investors, LP (a)	923,600		2,078
KKR Private Equity Investors, LP Restricted Depositary Units (a)(g)	977,300		2,199
Morgan Stanley	4,850,100		94,771
Nomura Holdings, Inc.	874,900		3,614
Nomura Holdings, Inc. sponsored ADR	1,149,400		4,701
State Street Corp.	1,013,967		25,623
The Blackstone Group LP	1,542,800		7,513
			298,069
Commercial Banks - 0.6%
KeyCorp	1,657,500		11,619
Standard Chartered PLC (United Kingdom)	510,460		4,810
Wells Fargo & Co.	6,035,840		73,034
			89,463
Diversified Financial Services - 1.4%
Bank of America Corp.	8,313,125		32,837
CIT Group, Inc. (e)	1,901,400		4,658
Citigroup, Inc.	7,614,892		11,422
JPMorgan Chase & Co.	6,130,423		140,080
MSCI, Inc. Class A (a)	87,200		1,374
			190,371
Insurance - 1.4%
ACE Ltd.	1,242,222		45,354
Berkshire Hathaway, Inc. Class B (a)	12,060		30,922
Fidelity National Financial, Inc. Class A	775,600		12,852
MetLife, Inc.	1,313,900		24,255
The Chubb Corp.	482,200		18,825
The First American Corp.	512,600		11,877
The Travelers Companies, Inc.	1,113,800		40,264
Unum Group	909,100		9,255
			193,604
Real Estate Investment Trusts - 0.1%
Simon Property Group, Inc.	359,100		11,886
Thrifts & Mortgage Finance - 0.0%
Washington Mutual, Inc.	281,428		7
TOTAL FINANCIALS			783,400
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - 9.0%
Biotechnology - 2.6%
Alexion Pharmaceuticals, Inc. (a)	811,000		$ 27,736
Amgen, Inc. (a)	1,099,900		53,818
Biogen Idec, Inc. (a)	153,900		7,086
Cephalon, Inc. (a)	360,612		23,653
CSL Ltd.	2,481,857		57,396
Genentech, Inc. (a)	1,871,800		160,132
Gilead Sciences, Inc. (a)	399,900		17,916
United Therapeutics Corp. (a)(e)	149,400		10,026
			357,763
Health Care Equipment & Supplies - 0.6%
Baxter International, Inc.	1,327,400		67,578
C.R. Bard, Inc.	255,600		20,514
			88,092
Health Care Providers & Services - 0.7%
BMP Sunstone Corp. warrants 8/19/12 (a)(p)	59,000		19
Medco Health Solutions, Inc. (a)	1,100,000		44,638
UnitedHealth Group, Inc.	2,894,100		56,869
			101,526
Life Sciences Tools & Services - 0.6%
AMAG Pharmaceuticals, Inc. (a)(e)	181,518		4,910
Illumina, Inc. (a)	962,160		30,144
Millipore Corp. (a)	200,000		11,012
QIAGEN NV (a)	1,506,900		24,141
Waters Corp. (a)	490,758		17,284
			87,491
Pharmaceuticals - 4.5%
Abbott Laboratories	1,469,700		69,576
Allergan, Inc.	576,900		22,349
Auxilium Pharmaceuticals, Inc. (a)(e)	944,100		25,934
Elan Corp. PLC sponsored ADR (a)	1,439,548		8,896
Johnson & Johnson	1,756,400		87,820
Merck & Co., Inc.	3,676,800		88,979
Pfizer, Inc.	10,737,000		132,172
Schering-Plough Corp.	1,840,100		31,999
ULURU, Inc. (a)(f)	3,769,949		754
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Wyeth	3,460,900		$ 141,274
XenoPort, Inc. (a)	331,253		6,920
			616,673
TOTAL HEALTH CARE			1,251,545
INDUSTRIALS - 5.1%
Aerospace & Defense - 2.1%
DigitalGlobe, Inc. (g)	15,842		40
Honeywell International, Inc.	3,380,000		90,685
Lockheed Martin Corp.	485,100		30,615
Northrop Grumman Corp.	956,200		35,724
Precision Castparts Corp.	361,400		20,032
Raytheon Co.	935,100		37,376
United Technologies Corp.	1,746,000		71,289
			285,761
Air Freight & Logistics - 0.5%
United Parcel Service, Inc. Class B	1,675,900		69,014
Airlines - 0.1%
Delta Air Lines, Inc. (a)	2,016,131		10,141
Building Products - 0.1%
Masco Corp.	2,326,973		11,984
Electrical Equipment - 0.3%
Acuity Brands, Inc.	282,800		6,482
AMETEK, Inc.	271,400		7,181
Cooper Industries Ltd. Class A	988,300		20,843
First Solar, Inc. (a)	72,500		7,666
			42,172
Industrial Conglomerates - 0.6%
General Electric Co.	5,761,900		49,034
McDermott International, Inc. (a)	1,141,600		13,459
Siemens AG sponsored ADR	456,400		23,103
Textron, Inc.	8,100		46
			85,642
Machinery - 1.2%
Cummins, Inc.	1,302,200		27,086
Danaher Corp.	948,000		48,120
Deere & Co.	647,300		17,794
Eaton Corp.	166,400		6,015
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Machinery - continued
Ingersoll-Rand Co. Ltd. Class A	791,100		$ 11,218
Navistar International Corp. (a)	831,500		23,448
PACCAR, Inc.	950,000		23,817
Parker Hannifin Corp.	316,900		10,575
			168,073
Professional Services - 0.1%
Manpower, Inc.	416,100		11,601
Road & Rail - 0.1%
Union Pacific Corp.	453,556		17,017
TOTAL INDUSTRIALS			701,405
INFORMATION TECHNOLOGY - 10.7%
Communications Equipment - 1.6%
Cisco Systems, Inc. (a)	8,486,600		123,650
QUALCOMM, Inc.	2,968,300		99,230
			222,880
Computers & Peripherals - 2.7%
Apple, Inc. (a)	1,335,500		119,274
Hewlett-Packard Co.	4,463,402		129,573
International Business Machines Corp.	1,320,900		121,562
			370,409
Electronic Equipment & Components - 0.6%
Amphenol Corp. Class A	1,123,224		28,552
Arrow Electronics, Inc. (a)	884,400		14,708
Avnet, Inc. (a)	897,300		15,496
Flextronics International Ltd. (a)	4,360,700		8,983
Ingram Micro, Inc. Class A (a)	1,195,800		13,022
Tyco Electronics Ltd.	818,556		7,760
			88,521
Internet Software & Services - 0.9%
Alibaba.com Ltd. (a)	806,000		687
China Finance Online Co. Ltd. ADR (a)	212,160		1,861
eBay, Inc. (a)	1,457,700		15,845
Google, Inc. Class A (sub. vtg.) (a)	303,500		102,580
			120,973
IT Services - 1.4%
Accenture Ltd. Class A	1,773,100		51,757
Cognizant Technology Solutions Corp. Class A (a)	867,100		15,955
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
IT Services - continued
MasterCard, Inc. Class A	368,600		$ 58,250
Visa, Inc.	1,223,800		69,402
			195,364
Semiconductors & Semiconductor Equipment - 1.8%
Applied Materials, Inc.	4,163,000		38,341
Applied Micro Circuits Corp. (a)	1,269,100		4,581
Cree, Inc. (a)	861,800		16,926
Intel Corp.	6,309,040		80,377
Intersil Corp. Class A	1,590,200		16,077
Lam Research Corp. (a)	703,700		13,764
Marvell Technology Group Ltd. (a)	2,375,100		17,837
Novellus Systems, Inc. (a)	782,500		9,977
Skyworks Solutions, Inc. (a)	986,900		6,415
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR	2,445,200		18,437
Texas Instruments, Inc.	2,391,900		34,324
			257,056
Software - 1.7%
Activision Blizzard, Inc. (a)	478,800		4,802
CA, Inc.	1,258,200		21,326
Microsoft Corp.	4,487,813		72,478
Nintendo Co. Ltd.	2,037		574
Oracle Corp. (a)	6,427,000		99,876
Symantec Corp. (a)	2,627,100		36,333
			235,389
TOTAL INFORMATION TECHNOLOGY			1,490,592
MATERIALS - 2.0%
Chemicals - 1.2%
Airgas, Inc.	1,091,300		33,601
Albemarle Corp.	1,264,200		24,462
Celanese Corp. Class A	1,151,581		9,835
E.I. du Pont de Nemours & Co.	1,571,300		29,478
FMC Corp.	119,000		4,811
Monsanto Co.	540,100		41,193
Nalco Holding Co.	858,700		9,763
Solutia, Inc. (a)	190,000		713
Terra Industries, Inc.	636,300		16,410
			170,266
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Containers & Packaging - 0.0%
Rock-Tenn Co. Class A	271,800		$ 7,504
Metals & Mining - 0.8%
Anglo American PLC ADR	688,500		4,868
ArcelorMittal SA (NY Shares) Class A (e)	350,300		6,771
Barrick Gold Corp.	686,700		20,755
Commercial Metals Co.	559,100		5,708
Freeport-McMoRan Copper & Gold, Inc. Class B	924,200		28,114
Newcrest Mining Ltd.	1,050,589		20,658
Nucor Corp.	439,600		14,793
Stillwater Mining Co. (a)	1,012,100		3,198
			104,865
TOTAL MATERIALS			282,635
TELECOMMUNICATION SERVICES - 2.1%
Diversified Telecommunication Services - 1.9%
AT&T, Inc.	1,627,236		38,679
Qwest Communications International, Inc.	5,924,300		20,083
Verizon Communications, Inc.	7,141,795		203,755
			262,517
Wireless Telecommunication Services - 0.2%
Sprint Nextel Corp. (a)	8,146,700		26,803
TOTAL TELECOMMUNICATION SERVICES			289,320
UTILITIES - 1.1%
Electric Utilities - 0.9%
Entergy Corp.	320,300		21,585
Exelon Corp.	991,300		46,809
FirstEnergy Corp.	774,800		32,975
FPL Group, Inc.	455,500		20,648
Portland General Electric Co.	13,771		226
			122,243
Gas Utilities - 0.1%
Questar Corp.	687,300		19,815
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Independent Power Producers & Energy Traders - 0.1%
NRG Energy, Inc. (a)	480,500		$ 9,081
TOTAL UTILITIES			151,139
TOTAL COMMON STOCKS (Cost $9,009,015)		7,265,728
Preferred Stocks - 0.2%
Convertible Preferred Stocks - 0.2%
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Chesapeake Energy Corp. 4.50%	56,300		3,272
El Paso Corp. 4.99% (g)	8,100		4,982
			8,254
FINANCIALS - 0.1%
Commercial Banks - 0.1%
Wells Fargo & Co. 7.50%	22,600		10,396
Insurance - 0.0%
American International Group, Inc. Series A, 8.50%	800,000		3,688
TOTAL FINANCIALS			14,084
INFORMATION TECHNOLOGY - 0.0%
Internet Software & Services - 0.0%
wetpaint.com, Inc. Series C (p)	497,017		994
UTILITIES - 0.0%
Electric Utilities - 0.0%
AES Trust III 6.75%	126,300		4,049
TOTAL CONVERTIBLE PREFERRED STOCKS			27,381
Nonconvertible Preferred Stocks - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
Preferred Blocker, Inc. 7.00% (g)	4,406		705
Preferred Stocks - continued
	Shares		Value (000s)
Nonconvertible Preferred Stocks - continued
TELECOMMUNICATION SERVICES - 0.0%
Diversified Telecommunication Services - 0.0%
PTV, Inc. Series A, 10.00%	187		$ 0*
TOTAL NONCONVERTIBLE PREFERRED STOCKS			705
TOTAL PREFERRED STOCKS (Cost $102,339)		28,086

Corporate Bonds - 14.3%
	Principal Amount (000s)
Convertible Bonds - 0.5%
CONSUMER DISCRETIONARY - 0.1%
Media - 0.1%
Liberty Media Corp.:
3.5% 1/15/31	$ 512		224
3.5% 1/15/31 (g)	3,785		1,653
Regal Entertainment Group 6.25% 3/15/11 (g)	4,580		4,076
Virgin Media, Inc. 6.5% 11/15/16 (g)	10,000		5,388
			11,341
Specialty Retail - 0.0%
United Auto Group, Inc. 3.5% 4/1/26	10,340		6,679
TOTAL CONSUMER DISCRETIONARY			18,020
CONSUMER STAPLES - 0.1%
Food & Staples Retailing - 0.1%
The Great Atlantic & Pacific Tea Co. 6.75% 12/15/12	17,480		8,565
ENERGY - 0.2%
Oil, Gas & Consumable Fuels - 0.2%
Chesapeake Energy Corp. 2.5% 5/15/37	43,570		26,456
FINANCIALS - 0.0%
Real Estate Investment Trusts - 0.0%
Vornado Realty LP 3.625% 11/15/26	5,900		4,720
INDUSTRIALS - 0.0%
Marine - 0.0%
Horizon Lines, Inc. 4.25% 8/15/12 (g)	6,209		2,980
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Convertible Bonds - continued
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Advanced Micro Devices, Inc. 6% 5/1/15 (g)	$ 6,000		$ 2,190
Spansion, Inc. 2.25% 6/15/16 (d)(g)	1,480		7
			2,197
TELECOMMUNICATION SERVICES - 0.1%
Diversified Telecommunication Services - 0.1%
Qwest Communications International, Inc. 3.5% 11/15/25	9,500		8,681
TOTAL CONVERTIBLE BONDS			71,619
Nonconvertible Bonds - 13.8%
CONSUMER DISCRETIONARY - 1.8%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	3,297		3,104
5.875% 3/15/11	1,224		1,165
The Goodyear Tire & Rubber Co.:
7.857% 8/15/11	5,355		4,284
8.625% 12/1/11	3,117		2,502
9% 7/1/15	5,030		3,672
			14,727
Automobiles - 0.0%
Ford Motor Co.:
7.125% 11/15/25	165		26
7.4% 11/1/46	1,040		156
7.45% 7/16/31	14,650		2,747
7.5% 8/1/26	470		71
7.75% 6/15/43	1,735		260
8.875% 1/15/22	890		142
8.9% 1/15/32	400		67
General Motors Corp. 8.375% 7/15/33	7,970		1,056
			4,525
Diversified Consumer Services - 0.1%
Education Management LLC/Education Management Finance Corp.:
8.75% 6/1/14	1,945		1,848
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Diversified Consumer Services - continued
Education Management LLC/Education Management Finance Corp.: - continued
10.25% 6/1/16	$ 2,110		$ 1,962
Mac-Gray Corp. 7.625% 8/15/15	5,400		4,968
			8,778
Hotels, Restaurants & Leisure - 0.2%
Chukchansi Economic Development Authority:
6.095% 11/15/12 (g)(m)	1,140		188
8% 11/15/13 (g)	1,890		312
McDonald's Corp. 5.35% 3/1/18	1,378		1,421
MGM Mirage, Inc.:
6.625% 7/15/15	1,505		602
7.5% 6/1/16	1,555		603
7.625% 1/15/17	6,865		2,815
13% 11/15/13 (g)	12,000		9,240
OSI Restaurant Partners, Inc. 10% 6/15/15	2,420		532
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (g)	1,080		805
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g)	2,270		1,317
Six Flags Operations, Inc. 12.25% 7/15/16 (g)	3,060		1,698
Six Flags, Inc. 9.625% 6/1/14	6,858		1,269
Station Casinos, Inc.:
6% 4/1/12 (d)	7,405		2,370
7.75% 8/15/16 (d)	1,735		555
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g)	1,736		1,042
			24,769
Household Durables - 0.0%
Fortune Brands, Inc.:
5.125% 1/15/11	2,498		2,462
5.875% 1/15/36	1,500		1,036
K. Hovnanian Enterprises, Inc. 11.5% 5/1/13	300		234
			3,732
Media - 1.1%
AOL Time Warner, Inc.:
6.75% 4/15/11	1,109		1,125
6.875% 5/1/12	1,438		1,450
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
CanWest Media, Inc. 8% 9/15/12	$ 8,625		$ 1,251
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (d)	17,730		1,507
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. Series B, 10.25% 9/15/10	7,240		5,901
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
8% 4/30/12 (g)	1,500		1,339
8.375% 4/30/14 (g)	10,000		8,625
Clear Channel Communications, Inc.:
4.4% 5/15/11	1,800		180
5% 3/15/12	4,405		374
6.25% 3/15/11	2,510		276
Comcast Cable Communications, Inc. 6.75% 1/30/11	301		312
Comcast Corp.:
4.95% 6/15/16	1,107		989
5.5% 3/15/11	225		228
5.7% 5/15/18	5,309		4,906
5.85% 1/15/10	36		36
6.45% 3/15/37	4,155		3,568
COX Communications, Inc.:
4.625% 1/15/10	1,261		1,250
4.625% 6/1/13	2,632		2,380
CSC Holdings, Inc. 8.5% 4/15/14 (g)	3,630		3,521
EchoStar Communications Corp.:
6.625% 10/1/14	3,000		2,715
7.125% 2/1/16	5,000		4,525
7.75% 5/31/15	3,705		3,450
Kabel Deutschland GmbH 10.625% 7/1/14	375		377
Lamar Media Corp.:
6.625% 8/15/15	2,080		1,342
6.625% 8/15/15	2,500		1,644
7.25% 1/1/13	1,585		1,236
LBI Media, Inc. 8.5% 8/1/17 (g)	6,320		1,896
Liberty Media Corp.:
5.7% 5/15/13	2,055		1,554
8.25% 2/1/30	10,280		5,985
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Muzak LLC/Muzak Finance Corp. 10% 2/15/09 (d)	$ 5,455		$ 3,328
News America Holdings, Inc. 7.75% 12/1/45	18,112		15,729
News America, Inc.:
4.75% 3/15/10	144		140
5.3% 12/15/14	516		486
6.2% 12/15/34	5,885		4,472
6.9% 3/1/19 (g)	1,724		1,632
Nexstar Broadcasting, Inc. 7% 1/15/14	8,000		2,320
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 11.375% 4/1/13	4,033		1,089
Nielsen Finance LLC/Nielsen Finance Co.:
10% 8/1/14	9,095		7,526
11.625% 2/1/14 (g)	1,800		1,611
Radio One, Inc. 8.875% 7/1/11	4,005		1,202
Rainbow National Services LLC:
8.75% 9/1/12 (g)	4,000		3,920
10.375% 9/1/14 (g)	7,775		7,697
The Reader's Digest Association, Inc. 9% 2/15/17	9,530		667
Time Warner Cable, Inc.:
5.4% 7/2/12	1,440		1,385
6.2% 7/1/13	1,369		1,326
6.75% 7/1/18	691		655
7.3% 7/1/38	1,848		1,686
8.75% 2/14/19	2,359		2,518
Time Warner, Inc.:
5.875% 11/15/16	3,605		3,378
6.5% 11/15/36	3,295		2,820
TL Acquisitions, Inc. 10.5% 1/15/15 (g)	23,565		11,134
Vertis, Inc. 13.5% 4/1/14 pay-in-kind	573		6
Videotron Ltd.:
9.125% 4/15/18 (g)	3,045		3,075
9.125% 4/15/18 (g)	2,520		2,545
			146,289
Multiline Retail - 0.0%
Macy's Retail Holdings, Inc. 7.875% 7/15/15	1,382		991
Specialty Retail - 0.3%
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12	7,125		7,143
Home Depot, Inc. 2.0463% 12/16/09 (m)	2,520		2,447
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Michaels Stores, Inc. 10% 11/1/14	$ 7,940		$ 2,700
Sally Holdings LLC 9.25% 11/15/14	2,050		1,953
Staples, Inc. 9.75% 1/15/14	20,087		21,075
Toys 'R' US, Inc. 7.875% 4/15/13	6,585		2,239
			37,557
Textiles, Apparel & Luxury Goods - 0.0%
Levi Strauss & Co. 8.875% 4/1/16	6,000		4,500
TOTAL CONSUMER DISCRETIONARY			245,868
CONSUMER STAPLES - 0.6%
Beverages - 0.2%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	43		37
Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (g)	8,200		7,950
Constellation Brands, Inc.:
7.25% 9/1/16	2,795		2,634
7.25% 5/15/17	2,400		2,274
Diageo Capital PLC:
5.2% 1/30/13	3,201		3,258
5.75% 10/23/17	1,105		1,101
FBG Finance Ltd. 5.125% 6/15/15 (g)	1,730		1,469
PepsiCo, Inc. 7.9% 11/1/18	6,140		7,379
			26,102
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
2.5025% 6/1/10 (m)	1,353		1,312
6.036% 12/10/28 (g)	1,352		1,032
6.302% 6/1/37 (m)	2,791		1,716
Rite Aid Corp. 10.375% 7/15/16	9,795		6,073
Wal-Mart Stores, Inc. 6.2% 4/15/38	6,660		6,907
			17,040
Food Products - 0.1%
Cargill, Inc. 6% 11/27/17 (g)	417		389
Dean Foods Co. 7% 6/1/16	8,335		7,918
General Mills, Inc. 5.65% 2/15/19	934		933
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods, Inc.:
5.625% 11/1/11	$ 2,156		$ 2,253
6.75% 2/19/14	318		339
			11,832
Personal Products - 0.0%
Avon Products, Inc. 4.8% 3/1/13	1,054		1,028
Tobacco - 0.2%
Altria Group, Inc.:
9.25% 8/6/19	5,910		6,024
9.7% 11/10/18	16,293		17,059
Philip Morris International, Inc.:
4.875% 5/16/13	1,054		1,065
6.375% 5/16/38	2,900		2,852
Reynolds American, Inc.:
6.75% 6/15/17	1,724		1,456
7.25% 6/15/37	6,485		4,721
			33,177
TOTAL CONSUMER STAPLES			89,179
ENERGY - 2.0%
Energy Equipment & Services - 0.1%
DCP Midstream LLC 9.75% 3/15/19 (g)	4,276		4,145
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g)	5,420		3,062
Noble Drilling Corp. 5.875% 6/1/13	639		620
Transocean Ltd. 5.25% 3/15/13	2,042		2,023
Weatherford International Ltd.:
4.95% 10/15/13	1,026		874
5.15% 3/15/13	1,341		1,186
			11,910
Oil, Gas & Consumable Fuels - 1.9%
Arch Western Finance LLC 6.75% 7/1/13	4,960		4,613
BW Group Ltd. 6.625% 6/28/17 (g)	1,742		915
Canadian Natural Resources Ltd.:
5.15% 2/1/13	2,650		2,534
5.7% 5/15/17	683		603
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g)	2,429		2,415
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Chaparral Energy, Inc.:
8.5% 12/1/15	$ 3,100		$ 651
8.875% 2/1/17	10,890		2,287
Chesapeake Energy Corp.:
6.5% 8/15/17	14,280		11,281
9.5% 2/15/15	5,440		5,093
Colorado Interstate Gas Co. 5.95% 3/15/15	7,000		6,188
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (g)	5,990		2,246
ConocoPhillips:
4.75% 2/1/14	621		628
5.75% 2/1/19	7,588		7,425
6.5% 2/1/39	3,908		3,788
Devon Energy Corp. 5.625% 1/15/14	1,381		1,392
Drummond Co., Inc. 7.375% 2/15/16 (g)	8,000		4,560
Duke Capital LLC:
6.25% 2/15/13	589		584
6.75% 2/15/32	2,454		1,916
Duke Energy Field Services:
5.375% 10/15/15 (g)	720		591
6.45% 11/3/36 (g)	8,320		5,861
6.875% 2/1/11	1,363		1,360
7.875% 8/16/10	611		618
El Paso Natural Gas Co. 5.95% 4/15/17	551		471
Empresa Nacional de Petroleo 6.75% 11/15/12 (g)	998		1,002
Enbridge Energy Partners LP:
5.875% 12/15/16	1,064		912
6.5% 4/15/18	1,398		1,219
9.875% 3/1/19	1,726		1,792
EnCana Holdings Finance Corp. 5.8% 5/1/14	1,702		1,652
Energy Partners Ltd. 9.75% 4/15/14	10,970		3,181
Enterprise Products Operating LP:
4.625% 10/15/09	1,147		1,141
5.6% 10/15/14	1,152		1,070
5.65% 4/1/13	410		392
EXCO Resources, Inc. 7.25% 1/15/11	5,585		4,440
Forest Oil Corp.:
7.25% 6/15/19	9,250		7,354
8.5% 2/15/14 (g)	2,955		2,682
Gazstream SA 5.625% 7/22/13 (g)	647		579
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Gulf South Pipeline Co. LP 5.75% 8/15/12 (g)	$ 2,276		$ 2,067
Kinder Morgan Energy Partners LP 5.125% 11/15/14	10,945		10,316
Lukoil International Finance BV 6.656% 6/7/22 (g)	720		490
Mariner Energy, Inc. 8% 5/15/17	2,100		1,355
Massey Energy Co. 6.875% 12/15/13	10,565		9,297
Nakilat, Inc. 6.067% 12/31/33 (g)	883		576
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (g)	3,700		2,352
Nexen, Inc.:
5.05% 11/20/13	2,265		2,057
5.2% 3/10/15	535		459
5.875% 3/10/35	2,365		1,612
6.4% 5/15/37	4,230		2,985
NGPL PipeCo LLC 6.514% 12/15/12 (g)	2,099		2,029
Peabody Energy Corp. 7.875% 11/1/26	7,925		6,657
Pemex Project Funding Master Trust 3.2963% 6/15/10 (g)(m)	734		708
Petrohawk Energy Corp. 9.125% 7/15/13	17,000		15,980
Petroleos Mexicanos 8% 5/3/19 (g)	3,438		3,378
Petroleum Development Corp. 12% 2/15/18	4,240		2,629
Plains All American Pipeline LP:
6.125% 1/15/17	1,880		1,601
6.65% 1/15/37	4,780		3,493
7.75% 10/15/12	1,389		1,399
Plains Exploration & Production Co.:
7% 3/15/17	4,400		3,718
7.625% 6/1/18	7,415		6,340
7.75% 6/15/15	6,000		5,430
Range Resources Corp. 7.375% 7/15/13	1,330		1,277
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (g)	1,760		1,813
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (g)	791		692
6.332% 9/30/27 (g)	5,710		4,462
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	1,603		1,560
SandRidge Energy, Inc. 8.625% 4/1/15 pay-in-kind (m)	6,610		4,462
Ship Finance International Ltd. 8.5% 12/15/13	10,070		7,502
Source Gas LLC 5.9% 4/1/17 (g)	2,088		1,565
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Southwestern Energy Co. 7.5% 2/1/18 (g)	$ 3,340		$ 3,156
Stone Energy Corp. 6.75% 12/15/14	5,580		2,567
Suncor Energy, Inc.:
6.1% 6/1/18	6,842		5,639
6.85% 6/1/39	6,550		4,765
Talisman Energy, Inc. yankee 6.25% 2/1/38	2,650		1,810
Teekay Corp. 8.875% 7/15/11	10,030		9,529
Tennessee Gas Pipeline Co. 8% 2/1/16 (g)	825		811
TEPPCO Partners LP 5.9% 4/15/13	1,908		1,723
Texas Eastern Transmission LP 6% 9/15/17 (g)	948		886
TransCanada PipeLines Ltd. 6.35% 5/15/67 (m)	1,397		845
Williams Companies, Inc.:
6.375% 10/1/10 (g)	4,195		4,132
7.625% 7/15/19	2,985		2,791
8.125% 3/15/12	6,285		6,191
XTO Energy, Inc.:
5% 1/31/15	1,031		957
5.65% 4/1/16	707		664
5.9% 8/1/12	2,623		2,600
6.5% 12/15/18	5,000		4,880
			259,643
TOTAL ENERGY			271,553
FINANCIALS - 3.3%
Capital Markets - 0.7%
Bear Stearns Companies, Inc.:
1.2625% 10/22/10 (m)	1,379		1,327
1.346% 8/21/09 (m)	689		678
1.3525% 7/16/09 (m)	339		335
2.4556% 9/9/09 (m)	749		737
3.25% 3/25/09	404		404
4.245% 1/7/10	717		703
4.5% 10/28/10	1,080		1,072
5.3% 10/30/15	689		635
5.85% 7/19/10	2,220		2,239
6.95% 8/10/12	11,066		11,454
BlackRock, Inc. 6.25% 9/15/17	1,810		1,721
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.:
5.25% 10/15/13	$ 3,478		$ 3,217
5.45% 11/1/12	2,220		2,140
5.95% 1/18/18	2,350		2,101
6.15% 4/1/18	1,161		1,055
6.6% 1/15/12	1,008		1,011
6.75% 10/1/37	8,835		6,282
6.875% 1/15/11	161		163
7.5% 2/15/19	11,036		10,931
Janus Capital Group, Inc. 6.5% 6/15/12	1,653		1,116
JPMorgan Chase Capital XX 6.55% 9/29/36	11,345		8,024
Lazard Group LLC:
6.85% 6/15/17	2,262		1,690
7.125% 5/15/15	811		616
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	3,781		3,375
6.15% 4/25/13	652		573
6.4% 8/28/17	1,830		1,440
6.875% 4/25/18	2,591		2,156
Morgan Stanley:
1.6475% 1/9/12 (m)	6,662		5,475
1.6975% 1/9/14 (m)	2,947		1,975
4.75% 4/1/14	468		392
5.05% 1/21/11	1,794		1,769
5.25% 11/2/12	144		135
5.45% 1/9/17	140		121
5.95% 12/28/17	324		286
6.6% 4/1/12	3,370		3,346
6.625% 4/1/18	806		744
6.75% 4/15/11	4,992		5,012
Northern Trust Corp. 5.5% 8/15/13	168		174
Nuveen Investments, Inc. 10.5% 11/15/15 (g)	6,070		1,396
Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)	576		578
The Bank of New York, Inc. 4.95% 11/1/12	2,277		2,290
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
UBS AG Stamford Branch:
5.75% 4/25/18	$ 2,418		$ 2,114
5.875% 12/20/17	1,760		1,559
			94,561
Commercial Banks - 0.6%
American Express Bank FSB:
5.5% 4/16/13	2,410		2,281
6% 9/13/17	366		324
ANZ National International Ltd. 6.2% 7/19/13 (g)	647		626
Bank of America NA 6% 10/15/36	2,235		1,537
Bank One Corp.:
5.25% 1/30/13	548		532
7.875% 8/1/10	407		420
BB&T Corp. 6.5% 8/1/11	732		746
Chase Manhattan Corp. 7.875% 6/15/10	915		936
Credit Suisse First Boston 6% 2/15/18	9,961		9,037
Credit Suisse First Boston New York Branch 5% 5/15/13	10,815		10,441
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (g)(m)	3,570		2,820
Export-Import Bank of Korea:
5.125% 2/14/11	1,720		1,663
5.25% 2/10/14 (g)	333		299
5.5% 10/17/12	1,329		1,258
Fifth Third Bancorp:
4.5% 6/1/18	73		46
8.25% 3/1/38	1,237		896
HBOS PLC 6.75% 5/21/18 (g)	408		328
HSBC Holdings PLC:
1.6125% 10/6/16 (m)	868		696
6.5% 5/2/36	6,610		5,847
6.5% 9/15/37	8,400		7,311
JPMorgan Chase Bank 6% 10/1/17	1,234		1,168
KeyBank NA:
5.8% 7/1/14	660		588
7% 2/1/11	662		654
Korea Development Bank:
3.875% 3/2/09	2,108		2,108
4.625% 9/16/10	1,080		1,051
4.75% 7/20/09	552		549
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (g)(m)	$ 547		$ 458
National City Bank, Cleveland:
4.15% 8/1/09	1,123		1,115
4.5% 3/15/10	1,734		1,723
PNC Funding Corp.:
1.3144% 1/31/12 (m)	3,525		2,804
7.5% 11/1/09	1,194		1,190
Rabobank Capital Funding Trust II 5.26% (g)(m)	335		144
Santander Issuances SA Unipersonal:
1.885% 6/20/16 (g)(m)	2,649		1,995
5.805% 6/20/16 (g)(m)	2,477		1,734
Sovereign Bank 2.88% 8/1/13 (m)	1,242		926
Standard Chartered Bank 6.4% 9/26/17 (g)	2,577		2,061
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (g)(m)	1,728		778
Union Planters Corp. 7.75% 3/1/11	353		343
UnionBanCal Corp. 5.25% 12/16/13	390		364
Wachovia Bank NA 4.875% 2/1/15	829		740
Wachovia Corp.:
1.2244% 10/15/11 (m)	2,366		2,099
1.255% 4/23/12 (m)	320		276
2.2525% 12/1/09 (m)	640		632
5.625% 10/15/16	2,003		1,781
5.75% 6/15/17	1,728		1,621
Wells Fargo & Co.:
4.2% 1/15/10	1,552		1,550
5.625% 12/11/17	1,847		1,753
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11	342		346
			80,595
Consumer Finance - 0.6%
American Express Credit Corp. 5.875% 5/2/13	343		315
Capital One Financial Corp. 2.4694% 9/10/09 (m)	1,931		1,859
Discover Financial Services:
2.6288% 6/11/10 (m)	2,370		2,100
6.45% 6/12/17	6,200		4,690
Ford Motor Credit Co. LLC:
5.5444% 4/15/09 (m)	17,355		15,967
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co. LLC: - continued
8% 12/15/16	$ 11,965		$ 5,564
12% 5/15/15	6,990		4,159
General Electric Capital Corp. 5.625% 9/15/17	17,812		15,524
GMAC LLC:
7% 2/1/12 (g)	5,945		3,537
7.5% 12/31/13 (g)	1,762		740
8% 11/1/31 (g)	12,581		5,661
Household Finance Corp.:
6.375% 10/15/11	1,096		1,067
7% 5/15/12	276		274
HSBC Finance Corp.:
5.25% 1/14/11	771		757
5.25% 1/15/14	621		581
MBNA America Bank NA 7.125% 11/15/12 (g)	409		392
MBNA Corp. 7.5% 3/15/12	948		875
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (g)	2,501		2,350
ORIX Corp. 5.48% 11/22/11	227		157
SLM Corp.:
1.3194% 7/26/10 (m)	20,263		16,696
1.3894% 10/25/11 (m)	5,381		3,770
2.1963% 3/15/11 (m)	66		50
4.5% 7/26/10	2,889		2,284
Systems 2001 Asset Trust LLC 7.156% 12/15/11 (g)	244		208
			89,577
Diversified Financial Services - 0.7%
Bank of America Corp. 7.4% 1/15/11	5,103		4,738
BP Capital Markets PLC 5.25% 11/7/13	13,466		14,308
BTM Curacao Holding NV 1.8975% 12/19/16 (g)(m)	1,709		1,320
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13	9,335		7,375
CIT Group, Inc.:
1.3866% 6/8/09 (m)	690		660
4.75% 12/15/10	484		368
5.4% 2/13/12	1,447		1,092
Citigroup, Inc.:
1.3356% 5/18/11 (m)	1,656		1,385
5.3% 10/17/12	8,973		7,959
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
Citigroup, Inc.: - continued
5.5% 4/11/13	$ 6,263		$ 5,671
6.125% 5/15/18	4,915		4,238
6.5% 1/18/11	770		726
6.5% 8/19/13	12,925		12,050
CME Group, Inc. 5.75% 2/15/14	2,601		2,618
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18	12,399		12,765
Hilcorp Energy I LP/Hilcorp Finance Co.:
7.75% 11/1/15 (g)	5,200		3,978
9% 6/1/16 (g)	5,690		4,524
ILFC E-Capital Trust I 5.9% 12/21/65 (g)(m)	1,765		353
International Lease Finance Corp.:
5.4% 2/15/12	1,688		1,089
6.375% 3/25/13	886		514
6.625% 11/15/13	1,603		914
JPMorgan Chase & Co.:
4.891% 9/1/15 (m)	1,608		1,291
5.6% 6/1/11	1,824		1,860
5.75% 1/2/13	1,306		1,290
6.75% 2/1/11	221		226
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g)	165		153
NSG Holdings II, LLC 7.75% 12/15/25 (g)	6,750		5,400
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	642		424
5.5% 1/15/14 (g)	409		280
5.7% 4/15/17 (g)	999		640
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	1,908		1,402
ZFS Finance USA Trust I 6.15% 12/15/65 (g)(m)	1,369		602
ZFS Finance USA Trust II 6.45% 12/15/65 (g)(m)	2,951		1,201
ZFS Finance USA Trust IV 5.875% 5/9/32 (g)(m)	1,473		568
			103,982
Insurance - 0.2%
Assurant, Inc.:
5.625% 2/15/14	1,126		930
6.75% 2/15/34	1,159		724
Axis Capital Holdings Ltd. 5.75% 12/1/14	329		254
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(m)	$ 878		$ 544
HUB International Holdings, Inc. 9% 12/15/14 (g)	3,710		2,430
Jackson National Life Global Funding 5.375% 5/8/13 (g)	444		406
Liberty Mutual Group, Inc. 6.5% 3/15/35 (g)	350		213
MetLife, Inc.:
5% 6/15/15	686		637
6.125% 12/1/11	583		584
7.717% 2/15/19	6,959		6,715
Metropolitan Life Global Funding I:
4.625% 8/19/10 (g)	1,944		1,893
5.125% 4/10/13 (g)	329		314
Monumental Global Funding II 5.65% 7/14/11 (g)	973		982
Monumental Global Funding III 5.5% 4/22/13 (g)	1,297		1,143
Pacific Life Global Funding 5.15% 4/15/13 (g)	1,995		1,946
Prudential Financial, Inc.:
5.15% 1/15/13	1,277		1,142
5.4% 6/13/35	266		157
5.5% 3/15/16	250		209
5.7% 12/14/36	226		138
8.875% 6/15/68 (m)	1,751		998
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(m)	1,969		925
Symetra Financial Corp. 6.125% 4/1/16 (g)	3,053		2,406
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10	736		748
USI Holdings Corp. 5.1125% 11/15/14 (g)(m)	2,920		1,387
			27,825
Real Estate Investment Trusts - 0.4%
AMB Property LP 5.9% 8/15/13	1,520		1,053
Arden Realty LP 5.2% 9/1/11	789		795
AvalonBay Communities, Inc.:
4.95% 3/15/13	216		191
5.5% 1/15/12	1,410		1,314
6.625% 9/15/11	482		465
Brandywine Operating Partnership LP:
4.5% 11/1/09	1,819		1,753
5.625% 12/15/10	2,403		2,123
5.75% 4/1/12	1,095		602
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
BRE Properties, Inc.:
4.875% 5/15/10	$ 1,522		$ 1,432
5.75% 9/1/09	360		358
Camden Property Trust:
4.375% 1/15/10	871		784
5.375% 12/15/13	387		317
5.875% 11/30/12	1,743		1,499
Colonial Properties Trust 4.75% 2/1/10	3,330		3,184
CPG Partners LP 6% 1/15/13	599		532
Developers Diversified Realty Corp.:
4.625% 8/1/10	1,775		1,253
5% 5/3/10	1,320		924
5.25% 4/15/11	1,433		705
5.375% 10/15/12	757		363
Duke Realty LP:
4.625% 5/15/13	369		248
5.25% 1/15/10	267		255
5.4% 8/15/14	325		222
5.5% 3/1/16	2,930		1,829
5.625% 8/15/11	4,312		3,674
5.875% 8/15/12	67		51
Equity One, Inc.:
6% 9/15/17	503		332
6.25% 1/15/17	291		198
Federal Realty Investment Trust:
5.4% 12/1/13	243		185
6% 7/15/12	1,728		1,422
6.2% 1/15/17	365		277
Hospitality Properties Trust 5.625% 3/15/17	707		394
HRPT Properties Trust:
5.75% 11/1/15	524		346
6.25% 6/15/17	726		449
6.65% 1/15/18	364		232
Liberty Property LP:
5.125% 3/2/15	500		363
5.5% 12/15/16	876		604
Mack-Cali Realty LP:
5.05% 4/15/10	478		449
7.25% 3/15/09	1,718		1,715
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Mack-Cali Realty LP: - continued
7.75% 2/15/11	$ 575		$ 541
Omega Healthcare Investors, Inc. 7% 1/15/16	4,090		3,712
Rouse Co.:
3.625% 3/15/09 (d)	10,830		3,520
5.375% 11/26/13 (d)	4,960		1,488
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (d)(g)	3,675		1,103
Senior Housing Properties Trust 8.625% 1/15/12	5,910		5,260
Simon Property Group LP:
4.6% 6/15/10	646		619
4.875% 8/15/10	397		380
5% 3/1/12	214		184
5.375% 6/1/11	366		341
5.6% 9/1/11	1,601		1,488
5.75% 5/1/12	746		649
7.75% 1/20/11	484		463
Tanger Properties LP 6.15% 11/15/15	14		10
Washington (REIT) 5.95% 6/15/11	2,143		1,867
			54,517
Real Estate Management & Development - 0.0%
ERP Operating LP 5.5% 10/1/12	261		238
Post Apartment Homes LP:
5.45% 6/1/12	798		670
6.3% 6/1/13	1,412		1,158
Regency Centers LP:
4.95% 4/15/14	360		263
5.25% 8/1/15	1,257		872
5.875% 6/15/17	622		432
			3,633
Thrifts & Mortgage Finance - 0.1%
Countrywide Financial Corp.:
1.6863% 3/24/09 (m)	1,360		1,357
4.5% 6/15/10	282		274
5.8% 6/7/12	1,718		1,574
Countrywide Home Loans, Inc.:
4.125% 9/15/09	2,267		2,246
6.25% 4/15/09	358		359
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Thrifts & Mortgage Finance - continued
Independence Community Bank Corp.:
3.585% 6/20/13 (m)	$ 1,793		$ 1,291
3.75% 4/1/14 (m)	2,485		1,665
4.9% 9/23/10	999		934
World Savings Bank FSB 4.125% 12/15/09	306		304
			10,004
TOTAL FINANCIALS			464,694
HEALTH CARE - 1.1%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	1,741		1,777
Health Care Equipment & Supplies - 0.2%
Accellent, Inc. 10.5% 12/1/13	9,830		7,127
Biomet, Inc.:
10% 10/15/17	6,820		6,820
11.625% 10/15/17	7,320		6,771
Fresenius US Finance II, Inc. 9% 7/15/15 (g)	3,140		3,203
			23,921
Health Care Providers & Services - 0.9%
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (m)	5,075		1,269
Community Health Systems, Inc. 8.875% 7/15/15	6,435		6,081
Coventry Health Care, Inc.:
5.95% 3/15/17	1,030		673
6.3% 8/15/14	2,132		1,552
DaVita, Inc. 6.625% 3/15/13	20,205		19,700
HCA, Inc.:
8.75% 9/1/10	9,235		9,189
9.25% 11/15/16	25,720		23,598
9.875% 2/15/17 (g)	850		816
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14	9,000		8,640
Rural/Metro Corp. 9.875% 3/15/15	4,835		3,868
Sun Healthcare Group, Inc. 9.125% 4/15/15	7,630		6,981
Surgical Care Affiliates LLC 8.875% 7/15/15 pay-in-kind (g)(m)	4,360		2,616
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Health Care Providers & Services - continued
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13	$ 6,460		$ 5,426
Tenet Healthcare Corp.:
6.5% 6/1/12	2,005		1,754
7.375% 2/1/13	1,250		1,063
9.25% 2/1/15	9,420		7,465
9.875% 7/1/14	4,690		3,717
United Surgical Partners International, Inc. 8.875% 5/1/17	10,745		8,112
US Oncology Holdings, Inc. 8.3344% 3/15/12 pay-in-kind (m)	8,242		4,093
Viant Holdings, Inc. 10.125% 7/15/17 (g)	10,489		5,245
			121,858
Pharmaceuticals - 0.0%
AstraZeneca PLC 6.45% 9/15/37	1,853		1,957
Bristol-Myers Squibb Co. 5.45% 5/1/18	1,728		1,763
Novartis Capital Corp. 4.125% 2/10/14	1,727		1,743
Roche Holdings, Inc. 5% 3/1/14 (g)	3,501		3,541
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	564		555
			9,559
TOTAL HEALTH CARE			157,115
INDUSTRIALS - 0.9%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.75% 8/15/10 (g)	1,556		1,552
6.4% 12/15/11 (g)	482		499
Bombardier, Inc.:
6.3% 5/1/14 (g)	10,420		6,981
7.45% 5/1/34 (g)	2,340		1,369
DRS Technologies, Inc.:
6.625% 2/1/16	3,760		3,746
7.625% 2/1/18	1,830		1,810
			15,957
Airlines - 0.2%
American Airlines, Inc. pass-thru trust certificates:
6.855% 10/15/10	44		43
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
American Airlines, Inc. pass-thru trust certificates: - continued
6.978% 10/1/12	$ 243		$ 225
7.024% 4/15/11	1,667		1,617
7.858% 4/1/13	3,201		2,769
AMR Corp. 10.2% 3/15/20	3,445		1,843
Continental Airlines, Inc.:
pass-thru trust certificates:
8.388% 5/1/22	98		63
9.798% 4/1/21	6,354		3,447
6.648% 9/15/17	1,902		1,502
6.82% 5/1/18	130		99
6.9% 7/2/19	512		412
7.056% 3/15/11	1,036		1,005
7.339% 4/19/14	2,050		1,312
Delta Air Lines, Inc.:
7.9% 12/15/09 (a)	27,035		541
8.3% 12/15/29 (a)	15,711		314
10.375% 2/1/11 (a)	8,640		173
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	222		161
7.57% 11/18/10	6,419		5,873
7.779% 1/2/12	1,541		1,309
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,336		962
8.36% 7/20/20	910		701
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	333		238
6.071% 9/1/14	214		207
6.201% 3/1/10	136		129
6.602% 9/1/13	386		365
			25,310
Building Products - 0.0%
Masco Corp. 2.3988% 3/12/10 (m)	2,670		2,395
Masonite International Corp. 11% 4/6/15 (d)	6,000		120
Nortek, Inc. 10% 12/1/13	10,880		4,243
			6,758
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Commercial Services & Supplies - 0.2%
ARAMARK Corp. 8.5% 2/1/15	$ 7,670		$ 6,980
Browning-Ferris Industries, Inc. 9.25% 5/1/21	1,350		1,378
Cenveo Corp. 10.5% 8/15/16 (g)	2,590		1,580
Iron Mountain, Inc.:
6.625% 1/1/16	7,000		6,510
7.75% 1/15/15	5,930		5,886
8.625% 4/1/13	370		370
			22,704
Electrical Equipment - 0.1%
Sensus Metering Systems, Inc. 8.625% 12/15/13	11,608		9,519
Industrial Conglomerates - 0.2%
Covidien International Finance SA:
5.15% 10/15/10	1,489		1,525
5.45% 10/15/12	3,609		3,693
6% 10/15/17	1,726		1,738
6.55% 10/15/37	3,560		3,539
General Electric Co. 5.25% 12/6/17	19,778		18,203
			28,698
Machinery - 0.0%
Atlas Copco AB 5.6% 5/22/17 (g)	360		342
Commercial Vehicle Group, Inc. 8% 7/1/13	1,730		606
			948
Professional Services - 0.0%
FTI Consulting, Inc.:
7.625% 6/15/13	920		918
7.75% 10/1/16	1,800		1,778
			2,696
Road & Rail - 0.0%
Kansas City Southern Railway Co. 8% 6/1/15	2,450		2,230
Trading Companies & Distributors - 0.1%
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind	9,330		6,998
TOTAL INDUSTRIALS			121,818
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
4.95% 2/15/19	$ 2,070		$ 2,001
5.9% 2/15/39	331		308
Lucent Technologies, Inc. 6.45% 3/15/29	10,065		3,422
Nortel Networks Corp.:
10.125% 7/15/13 (d)	7,880		1,024
10.75% 7/15/16 (d)(g)	4,900		662
			7,417
Electronic Equipment & Components - 0.1%
Itron, Inc. 7.75% 5/15/12	860		761
Tyco Electronics Group SA:
5.95% 1/15/14	1,738		1,504
6% 10/1/12	2,284		2,013
6.55% 10/1/17	1,390		1,048
7.125% 10/1/37	1,952		1,274
			6,600
IT Services - 0.1%
Lender Processing Services, Inc. 8.125% 7/1/16	1,760		1,760
SunGard Data Systems, Inc.:
4.875% 1/15/14	12,355		9,853
10.625% 5/15/15 (g)	8,415		7,132
			18,745
Office Electronics - 0.0%
Xerox Corp. 5.5% 5/15/12	944		875
Semiconductors & Semiconductor Equipment - 0.1%
Avago Technologies Finance Ltd. 10.125% 12/1/13	8,150		6,866
Freescale Semiconductor, Inc.:
8.875% 12/15/14	10,770		1,831
9.875% 12/15/14 pay-in-kind (m)	32,920		1,463
National Semiconductor Corp.:
2.2463% 6/15/10 (m)	2,354		2,045
6.15% 6/15/12	874		685
NXP BV 7.875% 10/15/14	8,000		1,560
Spansion LLC 11.25% 1/15/16 (d)(g)	7,320		174
			14,624
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Software - 0.0%
Open Solutions, Inc. 9.75% 2/1/15 (g)	$ 1,300		$ 208
TOTAL INFORMATION TECHNOLOGY			48,469
MATERIALS - 0.7%
Chemicals - 0.1%
Agrium, Inc. 7.125% 5/23/36	5,105		4,468
Airgas, Inc. 7.125% 10/1/18 (g)	2,190		2,015
E.I. du Pont de Nemours & Co. 5% 1/15/13	278		284
Georgia Gulf Corp.:
9.5% 10/15/14	6,440		837
10.75% 10/15/16	885		27
Koppers, Inc. 9.875% 10/15/13	722		673
Lubrizol Corp. 8.875% 2/1/19	547		561
MacDermid, Inc. 9.5% 4/15/17 (g)	740		292
Momentive Performance Materials, Inc.:
9.75% 12/1/14	3,670		1,431
10.875% 12/1/14 pay-in-kind (m)	199		47
			10,635
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,080		771
Containers & Packaging - 0.2%
Berry Plastics Holding Corp. 8.875% 9/15/14	10,450		6,166
BWAY Corp. 10% 10/15/10	840		785
Crown Americas LLC/Crown Americas Capital Corp.:
7.625% 11/15/13	4,000		4,010
7.75% 11/15/15	4,000		4,030
Owens-Brockway Glass Container, Inc. 6.75% 12/1/14	2,390		2,271
Owens-Illinois, Inc.:
7.5% 5/15/10	770		782
7.8% 5/15/18	350		336
Pactiv Corp.:
5.875% 7/15/12	1,009		938
6.4% 1/15/18	1,030		840
Sealed Air Corp. 6.95% 5/15/09 (g)	383		385
			20,543
Metals & Mining - 0.4%
BHP Billiton Financial USA Ltd. 5.125% 3/29/12	1,164		1,190
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g)	$ 1,179		$ 1,214
FMG Finance Property Ltd. 10.625% 9/1/16 (g)	7,000		5,880
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/1/17	13,725		11,735
Noranda Aluminium Holding Corp. 8.345% 11/15/14 pay-in-kind (m)	3,500		525
Nucor Corp.:
5.85% 6/1/18	5,135		5,120
6.4% 12/1/37	4,120		3,948
Rio Tinto Finance Ltd.:
5.875% 7/15/13	7,256		6,596
6.5% 7/15/18	6,714		5,932
7.125% 7/15/28	7,050		5,789
Steel Dynamics, Inc.:
7.375% 11/1/12	3,005		2,584
7.75% 4/15/16 (g)	8,205		6,359
United States Steel Corp.:
5.65% 6/1/13	874		715
6.65% 6/1/37	4,975		3,289
Vale Overseas Ltd. 6.25% 1/23/17	1,368		1,317
			62,193
Paper & Forest Products - 0.0%
Catalyst Paper Corp. 7.375% 3/1/14	4,268		1,494
International Paper Co.:
5.85% 10/30/12	88		78
7.4% 6/15/14	1,525		1,227
			2,799
TOTAL MATERIALS			96,941
TELECOMMUNICATION SERVICES - 1.7%
Diversified Telecommunication Services - 1.1%
AT&T Broadband Corp. 8.375% 3/15/13	1,523		1,625
AT&T, Inc.:
5.8% 2/15/19	5,178		5,028
6.3% 1/15/38	9,775		8,781
6.7% 11/15/13	691		731
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
AT&T, Inc.: - continued
6.8% 5/15/36	$ 13,429		$ 12,968
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,845		1,852
BellSouth Corp. 6.55% 6/15/34	4,075		3,775
British Telecommunications PLC:
8.625% 12/15/10	1,601		1,668
9.125% 12/15/30	3,080		2,937
Deutsche Telekom International Financial BV:
5.25% 7/22/13	1,443		1,448
6.75% 8/20/18	4,408		4,509
Intelsat Corp. 9.25% 8/15/14 (g)	5,190		4,879
Intelsat Ltd. 11.25% 6/15/16	14,660		13,854
Level 3 Financing, Inc. 9.25% 11/1/14	8,960		5,690
SBC Communications, Inc.:
5.1% 9/15/14	1,278		1,267
5.875% 2/1/12	1,610		1,664
5.875% 8/15/12	576		598
Sprint Capital Corp.:
6.875% 11/15/28	12,338		6,817
6.9% 5/1/19	17,010		11,057
8.375% 3/15/12	7,330		5,937
Telecom Italia Capital SA:
4% 1/15/10	2,881		2,831
4.95% 9/30/14	1,890		1,628
5.25% 10/1/15	9,507		8,020
6.999% 6/4/18	6,391		5,768
7.2% 7/18/36	3,550		2,878
7.721% 6/4/38	1,777		1,530
Telefonica Emisiones SAU:
1.555% 2/4/13 (m)	1,416		1,217
6.421% 6/20/16	684		695
7.045% 6/20/36	8,220		8,380
Telefonos de Mexico SA de CV 4.75% 1/27/10	3,654		3,691
Verizon Communications, Inc.:
6.1% 4/15/18	1,909		1,890
6.25% 4/1/37	3,729		3,432
6.4% 2/15/38	6,365		5,972
6.9% 4/15/38	8,315		8,268
Verizon Global Funding Corp. 7.25% 12/1/10	1,615		1,705
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon New England, Inc. 6.5% 9/15/11	$ 525		$ 540
Verizon New York, Inc. 6.875% 4/1/12	1,563		1,597
			157,127
Wireless Telecommunication Services - 0.6%
America Movil SAB de CV:
4.125% 3/1/09	716		716
5.625% 11/15/17	1,066		991
Cricket Communications, Inc.:
9.375% 11/1/14	660		602
10% 7/15/15 (g)	4,320		3,974
Crown Castle International Corp. 9% 1/15/15	2,955		2,881
Digicel Group Ltd.:
8.875% 1/15/15 (g)	13,560		9,899
9.25% 9/1/12 (g)	4,120		3,708
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 7.625% 5/15/16	8,200		7,872
Intelsat Jackson Holdings Ltd.:
9.5% 6/15/16 (g)	6,745		6,189
11.5% 6/15/16 (g)	665		617
Intelsat Subsidiary Holding Co. Ltd.:
8.5% 1/15/13 (g)	2,055		1,957
8.875% 1/15/15 (g)	9,980		9,281
8.875% 1/15/15 (g)	870		807
Orascom Telecom Finance SCA 7.875% 2/8/14 (g)	1,510		906
Rogers Communications, Inc. 6.8% 8/15/18	4,480		4,485
Verizon Wireless Capital LLC:
5.55% 2/1/14 (g)	7,589		7,545
8.5% 11/15/18 (g)	7,074		7,963
Vodafone Group PLC:
5% 12/16/13	1,353		1,357
5.5% 6/15/11	1,626		1,649
7.75% 2/15/10	1,089		1,132
			74,531
TOTAL TELECOMMUNICATION SERVICES			231,658
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - 1.3%
Electric Utilities - 0.9%
AmerenUE 6.4% 6/15/17	$ 1,760		$ 1,717
Appalachian Power Co. 6.375% 4/1/36	6,000		5,263
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	2,423		2,307
8.875% 11/15/18	6,537		7,222
Commonwealth Edison Co. 5.4% 12/15/11	1,027		1,044
Duke Energy Carolinas LLC:
6.05% 4/15/38	2,510		2,592
7% 11/15/18	3,449		3,939
EDP Finance BV:
5.375% 11/2/12 (g)	1,175		1,155
6% 2/2/18 (g)	2,160		2,006
Enel Finance International SA:
5.7% 1/15/13 (g)	491		486
6.8% 9/15/37 (g)	10,928		8,765
Energy Future Holdings 10.875% 11/1/17	23,170		13,786
Exelon Corp.:
4.9% 6/15/15	1,885		1,618
6.75% 5/1/11	392		392
FirstEnergy Corp. 6.45% 11/15/11	1,163		1,162
Florida Power Corp.:
5.65% 6/15/18	2,710		2,780
6.4% 6/15/38	6,435		6,764
FPL Group Capital, Inc. 7.875% 12/15/15	911		1,030
Illinois Power Co. 6.125% 11/15/17	243		229
Intergen NV 9% 6/30/17 (g)	9,645		9,066
IPALCO Enterprises, Inc. 7.25% 4/1/16 (g)	3,625		3,335
Jersey Central Power & Light Co. 7.35% 2/1/19	1,039		1,043
Mirant Americas Generation LLC 8.3% 5/1/11	6,000		5,865
Nevada Power Co.:
6.5% 5/15/18	5,100		4,815
6.5% 8/1/18	925		873
Oncor Electric Delivery Co. 6.375% 5/1/12	1,609		1,608
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (g)	2,131		2,091
Pacific Gas & Electric Co. 5.8% 3/1/37	3,230		3,111
PacifiCorp 6% 1/15/39	710		702
PECO Energy Co. 5.6% 10/15/13	6,150		6,304
Pennsylvania Electric Co. 6.05% 9/1/17	450		412
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Pepco Holdings, Inc.:
4% 5/15/10	$ 1,314		$ 1,284
6.125% 6/1/17	353		313
6.45% 8/15/12	2,198		2,146
PPL Capital Funding, Inc. 6.7% 3/30/67 (m)	3,512		2,107
Progress Energy, Inc. 7.1% 3/1/11	1,994		2,048
Sierra Pacific Power Co. 5.45% 9/1/13	919		889
Tampa Electric Co. 6.15% 5/15/37	3,871		3,267
West Penn Power Co. 5.95% 12/15/17 (g)	185		164
Wisconsin Electric Power Co. 6.25% 12/1/15	1,775		1,886
			117,586
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	260		222
Texas Eastern Transmission Corp. 7.3% 12/1/10	1,827		1,890
			2,112
Independent Power Producers & Energy Traders - 0.2%
AES Corp. 7.75% 10/15/15	4,660		4,078
Constellation Energy Group, Inc. 7% 4/1/12	3,797		3,696
Duke Capital LLC 5.668% 8/15/14	1,211		1,118
Enron Corp.:
6.4% 7/15/06 (d)	3,600		9
6.625% 11/15/05 (d)	2,155		5
6.75% 9/1/04 (d)	1,425		7
9.125% 4/1/03 (d)	4,315		11
Exelon Generation Co. LLC 5.35% 1/15/14	900		831
NRG Energy, Inc. 7.375% 2/1/16	13,560		12,679
Reliant Energy, Inc. 6.75% 12/15/14	9,645		8,584
			31,018
Multi-Utilities - 0.2%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,053		859
Dominion Resources, Inc.:
4.75% 12/15/10	2,316		2,330
6.3% 9/30/66 (m)	12,212		7,205
7.5% 6/30/66 (m)	2,999		1,949
DTE Energy Co. 7.05% 6/1/11	580		585
KeySpan Corp. 7.625% 11/15/10	291		303
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Multi-Utilities - continued
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	$ 1,721		$ 1,773
6.5% 9/15/37	6,515		6,282
National Grid PLC 6.3% 8/1/16	870		831
NiSource Finance Corp.:
5.25% 9/15/17	497		366
5.4% 7/15/14	794		623
5.45% 9/15/20	2,082		1,426
6.4% 3/15/18	912		716
6.8% 1/15/19	4,000		3,137
7.875% 11/15/10	602		590
Wisconsin Energy Corp. 6.25% 5/15/67 (m)	3,636		2,218
WPS Resources Corp. 6.11% 12/1/66 (m)	520		276
			31,469
TOTAL UTILITIES			182,185
TOTAL NONCONVERTIBLE BONDS			1,909,480
TOTAL CORPORATE BONDS (Cost $2,408,069)		1,981,099
U.S. Government and Government Agency Obligations - 5.4%
U.S. Government Agency Obligations - 1.9%
Fannie Mae:
3.375% 5/19/11	173,673		180,537
3.625% 8/15/11	14,335		15,051
4.375% 7/17/13	20,070		21,541
6% 5/15/11 (j)	38,785		42,444
Freddie Mac 5.25% 7/18/11 (j)	1,950		2,113
Tennessee Valley Authority 5.375% 4/1/56	5,573		6,045
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			267,731
U.S. Treasury Inflation Protected Obligations - 3.0%
U.S. Treasury Inflation-Indexed Notes:
0.625% 4/15/13	11,940		11,618
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Inflation Protected Obligations - continued
U.S. Treasury Inflation-Indexed Notes: - continued
1.625% 1/15/15 (j)	$ 33,042		$ 31,835
1.625% 1/15/18	12,046		11,471
2% 4/15/12	7,369		7,414
2% 1/15/14 (j)	154,758		154,090
2% 1/15/14 (j)	15,969		15,900
2.375% 1/15/27	46,928		45,505
2.5% 7/15/16	140,585		140,945
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			418,778
U.S. Treasury Obligations - 0.5%
U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 3/12/09 to 4/2/09	23,250		23,248
U.S. Treasury Notes:
1.875% 2/28/14	2,772		2,753
3.75% 11/15/18	11,123		11,786
3.875% 5/15/18	24,000		25,710
TOTAL U.S. TREASURY OBLIGATIONS			63,497
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $750,415)		750,006
U.S. Government Agency - Mortgage Securities - 8.0%
Fannie Mae - 4.9%
4.5% 2/1/39 to 3/1/39 (i)	33,000		33,114
5% 12/1/25 to 10/1/38	168,833		172,197
5% 3/12/39 (h)	40,000		40,694
5% 3/12/39 (h)	49,000		49,850
5% 3/12/39 (h)	33,000		33,572
5.5% 1/1/33 to 7/1/38 (i)	186,662		192,002
5.593% 7/1/37 (m)	1,476		1,523
6% 6/1/30 to 7/1/37	105,112		109,367
6% 3/12/39 (h)(i)	2,000		2,066
6% 4/13/39 (h)	2,000		2,061
6.013% 4/1/36 (m)	1,116		1,160
6.118% 4/1/36 (m)	2,536		2,638
6.243% 6/1/36 (m)	399		405
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
6.328% 4/1/36 (m)	$ 1,104		$ 1,149
6.5% 11/1/29 to 1/1/36 (i)	41,472		43,781
TOTAL FANNIE MAE			685,579
Freddie Mac - 1.2%
5% 3/1/19 to 7/1/38	120,770		123,416
5.694% 10/1/35 (m)	716		746
5.86% 6/1/36 (m)	1,266		1,313
5.977% 6/1/36 (m)	1,152		1,196
6% 11/1/33 to 9/1/35	9,676		10,072
6.101% 6/1/36 (m)	1,232		1,282
6.5% 11/1/34 to 3/1/36	22,183		23,388
TOTAL FREDDIE MAC			161,413
Government National Mortgage Association - 1.9%
5.5% 9/20/38	572		588
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	44,000		45,192
5.5% 3/18/39 (h)	3,000		3,076
5.5% 3/18/39 (h)	61,000		62,652
5.5% 3/18/39 (h)	44,000		45,192
5.5% 3/18/39 (h)	4,000		4,102
5.5% 3/18/39 (h)	4,000		4,102
5.5% 3/18/39 (h)	68,000		69,842
6% 2/15/34	14,157		14,758
6.5% 3/15/34	7,761		8,161
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			263,818
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,091,460)		1,110,810
Asset-Backed Securities - 1.1%
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.8238% 1/25/35 (m)	77		27
Series 2005-1 Class M1, 0.9438% 4/25/35 (m)	1,416		835
ACE Securities Corp. Series 2006-NC2:
Class M7, 1.2238% 7/25/36 (m)	633		5
Class M8, 1.3238% 7/25/36 (m)	314		2
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
ACE Securities Corp. Series 2006-NC2: - continued
Class M9, 2.1738% 7/25/36 (m)	$ 207		$ 1
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1:
Class M1, 1.5988% 6/25/33 (m)	0*		0*
Class M2, 3.0988% 6/25/33 (m)	94		66
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (m)	225		200
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (m)	472		205
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (m)	199		163
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (m)	26		24
Series 2006-HE2:
Class M3, 0.8138% 5/25/36 (m)	275		8
Class M4, 0.8738% 5/25/36 (m)	233		5
Class M5, 0.9138% 5/25/36 (m)	338		5
Series 2006-OP1:
Class M4, 0.8438% 4/25/36 (m)	129		5
Class M5, 0.8638% 4/25/36 (m)	123		4
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.5% 9/20/13 (m)	3,170		2,291
Series 2006-A7 Class A7, 0.49% 10/20/12 (m)	3,470		2,776
Series 2006-C1 Class C1, 0.95% 10/20/14 (m)	903		63
Series 2007-A1 Class A, 0.52% 1/20/15 (m)	2,330		1,734
Series 2007-A4 Class A4, 0.5% 4/22/13 (m)	3,311		2,450
Series 2007-B1 Class B, 0.72% 12/22/14 (m)	1,912		287
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (g)(m)	742		732
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (g)(m)	188		171
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10	429		426
Ameriquest Mortgage Securities, Inc. Series 2006-M3:
Class A2A, 0.5238% 10/25/36 (m)	112		108
Class M7, 1.3238% 10/25/36 (m)	136		0*
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.1738% 12/25/33 (m)	123		78
Series 2004-R10 Class M1, 1.1738% 11/25/34 (m)	515		229
Series 2004-R11 Class M1, 1.1338% 11/25/34 (m)	443		217
Series 2004-R2:
Class M1, 0.9038% 4/25/34 (m)	195		149
Class M3, 1.0238% 4/25/34 (m)	128		49
Series 2005-R1 Class M1, 0.9238% 3/25/35 (m)	715		417
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (m)	649		445
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued
Series 2005-R2 Class M1, 0.9238% 4/25/35 (m)	$ 1,567		$ 902
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (m)	137		69
Argent Securities, Inc.:
Series 2006-M1 Class M7, 1.4738% 7/25/36 (m)	574		2
Series 2006-M2 Class M7, 1.3738% 9/25/36 (m)	525		0*
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.7794% 3/1/34 (m)	36		7
Series 2004-W11 Class M2, 1.1738% 11/25/34 (m)	426		158
Series 2004-W5 Class M1, 1.0738% 4/25/34 (m)	516		303
Series 2004-W7:
Class M1, 1.0238% 5/25/34 (m)	451		143
Class M2, 1.0738% 5/25/34 (m)	394		213
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (m)	1,178		415
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (m)	989		12
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (m)	1,089		527
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (m)	185		82
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (m)	407		212
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (m)	2,026		878
Series 2004-HE3:
Class M1, 1.0138% 6/25/34 (m)	179		71
Class M2, 1.5938% 6/25/34 (m)	316		198
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (m)	316		122
Series 2006-HE6:
Class M7, 1.2738% 11/25/36 (m)	313		4
Class M9, 2.6238% 11/25/36 (m)	835		4
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (d)(g)(m)	2,584		0*
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (m)	2,606		2,343
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (m)	246		150
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (m)	488		304
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.9238% 9/25/35 (m)	83		60
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (m)	735		334
Series 2005-HE2 Class M1, 0.9738% 2/25/35 (m)	1,159		384
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Asset Backed Securities I Trust: - continued
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (m)	$ 397		$ 304
Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.6238% 8/25/36 (m)	2,314		1,975
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (m)	1,744		1,559
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (m)	592		509
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.83% 6/15/10 (m)	479		471
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (m)	290		270
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (g)(m)	2,208		1,589
Capital Trust Ltd. Series 2004-1:
Class A2, 0.92% 7/20/39 (g)(m)	347		87
Class B, 1.22% 7/20/39 (g)(m)	200		28
Class C, 1.57% 7/20/39 (g)(m)	258		23
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (m)	4,366		210
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (m)	323		6
Series 2006-NC4 Class M1, 0.7738% 10/25/36 (m)	2,570		101
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (m)	141		4
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (m)	1,368		331
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (g)(m)	207		150
Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (m)	403		363
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	259		129
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.8838% 12/25/33 (g)(m)	290		197
Series 2005-HE4 Class A2C, 0.7438% 10/25/35 (m)	4,764		4,060
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (m)	574		7
Series 2006-WF2 Class A2B, 5.735% 5/25/36	696		683
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (m)	581		22
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.515% 7/15/12 (g)(m)	993		978
Class B, 0.735% 7/15/12 (g)(m)	993		937
Countrywide Asset-Backed Certificates Trust:
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (m)	10,474		9,065
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (m)	385		328
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	251		0*
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.3338% 5/25/33 (m)	$ 39		$ 21
Series 2004-3:
Class 3A4, 0.7238% 8/25/34 (m)	145		78
Class M1, 0.9738% 6/25/34 (m)	502		330
Class M4, 1.4438% 4/25/34 (m)	121		57
Series 2004-4:
Class A, 0.8438% 8/25/34 (m)	32		15
Class M2, 1.0038% 6/25/34 (m)	446		295
Series 2005-1:
Class M1, 0.8938% 8/25/35 (m)	389		281
Class MV2, 0.9138% 7/25/35 (m)	1,073		749
Series 2005-3 Class MV1, 0.8938% 8/25/35 (m)	1,882		1,640
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (m)	360		298
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (g)	116		106
Discover Card Master Trust I:
Series 2006-1 Class B1, 0.605% 8/16/11 (m)	1,615		1,602
Series 2006-2 Class B1, 0.575% 1/17/12 (m)	2,208		1,978
Series 2007-1 Class B, 0.555% 8/15/12 (m)	2,208		1,725
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (m)	30		15
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.6488% 8/25/34 (m)	221		55
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (m)	3,417		963
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (m)	17		9
Series 2005-FF9 Class A3, 0.7538% 10/25/35 (m)	5,224		4,031
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (m)	370		339
Series 2006-FF14 Class A2, 0.5338% 10/25/36 (m)	3,646		2,951
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (g)	134		132
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 0.905% 6/15/11 (m)	1,537		1,076
Series 2006-4 Class B, 1.005% 6/15/13 (m)	587		296
Fremont Home Loan Trust:
Series 2004-1:
Class M1, 1.1488% 2/25/34 (m)	55		16
Class M2, 1.2238% 2/25/34 (m)	94		60
Series 2004-A Class M1, 1.2988% 1/25/34 (m)	912		487
Series 2005-A:
Class M1, 0.9038% 1/25/35 (m)	79		73
Class M2, 0.9338% 1/25/35 (m)	1,333		487
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Fremont Home Loan Trust: - continued
Series 2005-A:
Class M3, 0.9638% 1/25/35 (m)	$ 720		$ 308
Class M4, 1.1538% 1/25/35 (m)	276		135
Series 2006-A:
Class M4, 0.8738% 5/25/36 (m)	687		9
Class M5, 0.9738% 5/25/36 (m)	368		5
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (g)(m)	1,788		1,205
GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (g)(m)	273		169
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.5713% 9/17/12 (m)	676		473
Class C, 0.7013% 9/17/12 (m)	525		341
Series 2007-1 Class C, 0.7313% 3/15/13 (m)	3,603		2,378
GSAMP Trust:
Series 2002-HE Class M1, 2.345% 11/20/32 (m)	473		230
Series 2003-FM1 Class M1, 1.7% 3/20/33 (m)	909		551
Series 2004-AR1 Class M1, 1.1238% 6/25/34 (m)	1,665		633
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (m)	309		166
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (m)	796		458
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (m)	436		142
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (m)	691		33
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.8138% 11/25/34 (m)	12		6
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (m)	269		249
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (m)	327		4
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.5538% 5/25/30 (g)(m)	501		225
Series 2006-3:
Class B, 0.8738% 9/25/46 (g)(m)	497		80
Class C, 1.0238% 9/25/46 (g)(m)	1,159		139
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (g)(m)	2,674		1,364
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.3538% 2/25/33 (m)	0*		0*
Series 2003-3 Class M1, 1.7638% 8/25/33 (m)	759		346
Series 2003-4 Class M1, 1.6738% 10/25/33 (m)	225		100
Series 2003-5:
Class A2, 1.1738% 12/25/33 (m)	25		7
Class M1, 1.5238% 12/25/33 (m)	260		156
Series 2003-7 Class A2, 1.2338% 3/25/34 (m)	1		0*
Series 2003-8 Class M1, 1.5538% 4/25/34 (m)	395		183
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Home Equity Asset Trust: - continued
Series 2004-3 Class M2, 2.1738% 8/25/34 (m)	$ 258		$ 157
Series 2004-7 Class A3, 0.8638% 1/25/35 (m)	0*		0*
Series 2005-1 Class M1, 0.9038% 5/25/35 (m)	990		885
Series 2005-3 Class M1, 0.8838% 8/25/35 (m)	677		605
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (m)	303		268
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (m)	2,771		1,913
Series 2006-7 Class M4, 0.8538% 1/25/37 (m)	871		4
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (m)	214		130
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (m)	1,708		1,517
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.8194% 1/20/35 (m)	587		310
Class M2, 0.8494% 1/20/35 (m)	440		216
Series 2005-3 Class A1, 0.6194% 1/20/35 (m)	309		165
Series 2006-2:
Class M1, 0.74% 3/20/36 (m)	484		253
Class M2, 0.76% 3/20/36 (m)	800		393
Series 2006-3 Class A1V, 0.55% 3/20/36 (m)	528		504
Series 2007-2 Class A3V, 0.69% 7/21/36 (m)	440		194
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (m)	940		282
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.7738% 7/25/36 (m)	2,355		64
Series 2007-CH1:
Class AV4, 0.6038% 11/25/36 (m)	944		401
Class MV1, 0.7038% 11/25/36 (m)	767		78
Keycorp Student Loan Trust:
Series 1999-A Class A2, 4.0988% 12/27/09 (m)	842		654
Series 2006-A Class 2A1, 1.4963% 9/27/21 (m)	572		557
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (g)(m)	204		2
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.7038% 6/25/33 (m)	1,611		725
Series 2004-2:
Class M1, 1.0038% 6/25/34 (m)	472		249
Class M2, 1.5538% 6/25/34 (m)	335		256
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (m)	362		356
Series 2006-9 Class M4, 0.8438% 11/25/36 (m)	276		1
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (m)	341		12
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
MASTR Asset Backed Securities Trust: - continued
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (m)	$ 160		$ 0*
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (m)	596		25
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (g)(m)	3,365		3,080
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (m)	452		290
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (m)	124		86
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (m)	1,975		1,400
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (m)	1,289		593
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (m)	33		19
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (m)	400		226
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (m)	309		179
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (m)	44		8
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (m)	782		376
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (m)	370		179
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (m)	335		114
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (m)	303		103
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (m)	388		187
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (m)	172		0*
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (m)	417		394
Series 2006-NC4:
Class M4, 0.8238% 6/25/36 (m)	258		3
Class M6, 0.9238% 6/25/36 (m)	129		1
Series 2007-HE2:
Class A2A, 0.5138% 1/25/37 (m)	86		69
Class M1, 0.7238% 1/25/37 (m)	3,030		72
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (m)	84		56
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (m)	45		36
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (m)	20		6
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (m)	78		64
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (m)	493		278
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (g)(m)	421		242
Series 2002-NC3:
Class A3, 1.1538% 8/25/32 (m)	26		5
Class M1, 1.5538% 8/25/32 (m)	48		22
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (m)	310		152
Morgan Stanley Home Equity Loans Trust:
Series 2006-3 Class M5, 0.8838% 4/25/36 (m)	258		3
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Home Equity Loans Trust: - continued
Series 2007-2 Class A1, 0.5738% 4/25/37 (m)	$ 687		$ 522
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (m)	267		246
National Collegiate Student Loan Trust:
Series 2006-3 Class A1, 0.5038% 9/25/19 (m)	954		896
Series 2006-4 Class A1, 0.5038% 3/25/25 (m)	777		694
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.5538% 1/25/34 (m)	887		496
Series 2005-4 Class M2, 0.9838% 9/25/35 (m)	1,083		161
Series 2005-D Class M2, 0.9438% 2/25/36 (m)	226		15
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	201		175
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (m)	738		4
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (m)	632		572
Ocala Funding LLC:
Series 2005-1A Class A, 1.97% 3/20/10 (g)(m)	430		150
Series 2006-1A Class A, 1.87% 3/20/11 (g)(m)	893		357
Option One Mortgage Loan Trust:
Series 2004-3 Class M3, 1.1238% 11/25/34 (m)	261		164
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (m)	147		130
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (m)	205		184
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 1.1538% 9/25/34 (m)	211		121
Class M3, 1.7238% 9/25/34 (m)	405		91
Class M4, 1.9238% 9/25/34 (m)	519		55
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (m)	304		50
Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (m)	883		646
Series 2004-WWF1:
Class M2, 1.1538% 2/25/35 (m)	1,221		717
Class M3, 1.2138% 2/25/35 (m)	151		61
Series 2005-WCH1:
Class M2, 0.9938% 1/25/35 (m)	586		335
Class M3, 1.0338% 1/25/35 (m)	363		144
Class M4, 1.3038% 1/25/35 (m)	1,120		173
Series 2005-WHQ2:
Class M7, 1.7238% 5/25/35 (m)	1,328		52
Class M9, 2.3538% 5/25/35 (m)	449		13
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:
Class 1A1, 0.5438% 9/25/36 (m)	$ 1,548		$ 1,479
Class M4, 0.8338% 9/25/36 (m)	1,295		8
Class M5, 0.8638% 9/25/36 (m)	645		3
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (g)(m)	2,758		1,186
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (m)	300		264
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (m)	4		1
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (m)	1,435		682
Securitized Asset Backed Receivables LLC Trust:
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (m)	995		618
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (m)	632		500
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (g)(m)	815		612
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (m)	966		435
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36	138		136
Sovereign Dealer Floor Plan Master LLC Series 2006-1:
Class B, 0.635% 8/15/11 (g)(m)	1,313		1,116
Class C, 0.835% 8/15/11 (g)(m)	599		449
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (m)	178		116
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (m)	69		28
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (m)	104		46
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (m)	2		0*
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (m)	8,864		7,243
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (g)(m)	993		289
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (m)	1,217		922
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.5613% 9/15/11 (m)	3,992		3,214
Class B, 0.7413% 9/15/11 (m)	2,986		1,194
Series 2007-AE1:
Class A, 0.555% 1/15/12 (m)	743		520
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Superior Wholesale Inventory Financing Trust: - continued
Series 2007-AE1:
Class B, 0.755% 1/15/12 (m)	$ 646		$ 259
Class C, 1.055% 1/15/12 (m)	803		241
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (m)	2,182		1,571
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.9038% 9/25/34 (m)	22		5
Series 2003-6HE Class A1, 0.9438% 11/25/33 (m)	28		9
Turquoise Card Backed Securities PLC:
Series 2006-1A Class C, 0.785% 5/16/11 (g)(m)	2,148		2,043
Series 2006-2:
Class B, 0.605% 10/17/11 (m)	2,600		2,275
Class C, 0.805% 10/17/11 (m)	2,443		1,974
Series 2007-1 Class C, 0.8313% 6/15/12 (m)	2,785		1,792
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	674		0*
WaMu Asset-Backed Certificates Series 2006-HE3:
Class M4, 0.8538% 10/25/36 (m)	458		8
Class M7, 1.2738% 10/25/36 (m)	331		4
WaMu Master Note Trust:
Series 2006-A3A Class A3, 0.485% 9/16/13 (g)(m)	4,170		3,972
Series 2006-C2A Class C2, 0.955% 8/15/15 (g)(m)	5,315		2,309
Series 2006-C3A Class C3A, 0.835% 10/15/13 (g)(m)	3,720		3,002
Series 2007-A4A Class A4, 5.2% 10/15/14 (g)	2,615		2,340
Series 2007-C1 Class C1, 0.855% 5/15/14 (g)(m)	3,237		1,904
Wells Fargo Home Equity Trust:
Series 2004-3 Class A, 4.5% 11/27/34 (a)(g)	6		0*
Series 2006-2 Class A2, 0.5738% 7/25/36 (m)	842		761
Series 2007-2 Class A1, 0.5638% 4/25/37 (m)	543		448
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12	14		14
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (g)(m)	1,358		163
TOTAL ASSET-BACKED SECURITIES (Cost $167,287)		149,518
Collateralized Mortgage Obligations - 0.8%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 0.7%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.6275% 2/17/52 (g)(m)	$ 508		$ 381
Series 2006-2A:
Class 2B, 1.3575% 2/17/52 (g)(m)	1,789		1,669
Class 2M, 1.4375% 2/17/52 (g)(m)	1,216		1,093
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (g)(m)	1,142		485
Banc of America Mortgage Securities, Inc.:
Series 2003-H Class 2A3, 5.2046% 9/25/33 (m)	508		404
Series 2003-J Class 2A2, 5.2918% 11/25/33 (m)	410		332
Series 2003-K Class 1A1, 5.2035% 12/25/33 (m)	51		42
Series 2003-L Class 2A1, 5.3147% 1/25/34 (m)	829		644
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (m)	1,247		970
Series 2004-A:
Class 2A1, 5.1951% 2/25/34 (m)	280		229
Class 2A2, 5.1951% 2/25/34 (m)	1,014		826
Series 2004-B:
Class 1A1, 6.433% 3/25/34 (m)	57		43
Class 2A2, 4.0864% 3/25/34 (m)	453		339
Series 2004-C Class 1A1, 5.971% 4/25/34 (m)	101		80
Series 2004-D Class 2A1, 3.6163% 5/25/34 (m)	160		123
Series 2004-F Class 2A6, 4.1429% 7/25/34 (m)	671		656
Series 2004-J Class 2A1, 4.7597% 11/25/34 (m)	560		436
Series 2004-L Class 2A1, 4.3695% 1/25/35 (m)	647		494
Series 2005-H Class 1A1, 5.3329% 9/25/35 (m)	158		114
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (g)(m)(o)	43,449		3,628
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (m)	1,348		919
Bear Stearns Alt-A Trust floater:
Series 2005-1 Class A1, 0.7538% 1/25/35 (m)	2,336		1,154
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (m)	433		240
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (m)	551		279
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (m)	628		471
Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (m)	6,364		5,148
Citigroup Mortgage Loan Trust Series 2004-UST1:
Class A3, 4.9419% 8/25/34 (m)	1,442		1,167
Class A4, 4.399% 8/25/34 (m)	1,327		1,062
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (m)	78		74
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (m)	$ 13,150		$ 10,211
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (m)	44		22
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (m)	96		45
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (m)	21		9
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (m)	352		168
Series 2005-10:
Class 5A1, 0.7338% 1/25/36 (m)	558		267
Class 5A2, 0.7938% 1/25/36 (m)	251		101
Series 2005-2:
Class 6A2, 0.7538% 6/25/35 (m)	88		39
Class 6M2, 0.9538% 6/25/35 (m)	1,120		274
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (m)	416		211
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (m)	132		65
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (m)	328		186
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (m)	12		7
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (m)	25		13
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (m)	120		60
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (m)	36		16
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (m)	23		13
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (m)	2,608		1,355
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (m)	539		439
First Horizon Mortgage pass-thru Trust:
floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (m)	43		27
Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (m)	2,314		1,781
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.3025% 10/18/54 (g)(m)	2,170		1,665
Class C2, 1.6125% 10/18/54 (g)(m)	727		364
Class M2, 1.3925% 10/18/54 (g)(m)	1,247		806
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (g)(m)	1,862		870
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (g)(m)	2,364		1,024
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 1.07% 12/20/54 (g)(m)	4,563		319
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-2 Class C1, 0.94% 12/20/54 (m)	$ 4,063		$ 406
Series 2006-3 Class C2, 0.97% 12/20/54 (m)	853		53
Series 2006-4:
Class B1, 0.56% 12/20/54 (m)	2,283		457
Class C1, 0.85% 12/20/54 (m)	1,396		98
Class M1, 0.64% 12/20/54 (m)	601		90
Series 2007-1:
Class 1C1, 0.77% 12/20/54 (m)	1,410		141
Class 1M1, 0.62% 12/20/54 (m)	917		138
Class 2C1, 0.9% 12/20/54 (m)	644		64
Class 2M1, 0.72% 12/20/54 (m)	1,178		188
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (m)	1,632		163
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (m)	327		82
GSR Mortgage Loan Trust:
Series 2004-11 Class 1A1, 4.9133% 9/25/34 (m)	290		193
Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (m)	570		392
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (m)	323		145
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (g)(m)	462		324
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (m)	1,485		846
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (m)	119		67
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (m)	199		118
Series 2005-1:
Class M4, 1.2238% 4/25/35 (m)	24		4
Class M5, 1.2438% 4/25/35 (m)	24		3
Class M6, 1.2938% 4/25/35 (m)	38		5
Series 2005-3 Class A1, 0.7138% 8/25/35 (m)	472		239
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (m)	147		5
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (m)	128		10
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (m)	1,917		1,144
Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (m)	1,131		930
Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (m)	2,966		2,444
Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (m)	1,884		1,533
Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (m)	5,097		4,374
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (g)(m)	$ 377		$ 192
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (m)	56		35
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (m)	1,083		523
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (m)	1,363		572
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.625% 6/15/22 (g)(m)	158		87
Class C, 0.645% 6/15/22 (g)(m)	967		483
Class D, 0.655% 6/15/22 (g)(m)	372		167
Class E, 0.665% 6/15/22 (g)(m)	595		238
Class F, 0.695% 6/15/22 (g)(m)	1,073		375
Class G, 0.765% 6/15/22 (g)(m)	223		67
Class H, 0.785% 6/15/22 (g)(m)	447		112
Class J, 0.825% 6/15/22 (g)(m)	521		104
Merrill Lynch Mortgage Investors Trust:
floater:
Series 2003-A Class 2A1, 0.8638% 3/25/28 (m)	169		98
Series 2003-B Class A1, 0.8138% 4/25/28 (m)	180		105
Series 2003-D Class A, 0.7838% 8/25/28 (m)	152		98
Series 2003-E Class A2, 2.0813% 10/25/28 (m)	254		152
Series 2003-F Class A2, 3.805% 10/25/28 (m)	204		122
Series 2004-A Class A2, 3.715% 4/25/29 (m)	235		145
Series 2004-B Class A2, 2.8388% 6/25/29 (m)	179		106
Series 2004-C Class A2, 2.15% 7/25/29 (m)	207		123
Series 2004-D Class A2, 3.4625% 9/25/29 (m)	176		104
Series 2004-E:
Class A2B, 3.825% 11/25/29 (m)	417		266
Class A2D, 4.015% 11/25/29 (m)	60		35
Series 2004-G Class A2, 3.48% 11/25/29 (m)	201		122
Series 2005-A Class A2, 3.3525% 2/25/30 (m)	195		117
Series 2005-B Class A2, 2.7988% 7/25/30 (m)	595		371
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (m)	1,237		6
Series 2004-A4 Class A1, 4.2286% 8/25/34 (m)	1,978		1,513
Series 2005-A2:
Class A2, 4.4861% 2/25/35 (m)	1,228		966
Class A7, 4.4861% 2/25/35 (m)	2,175		1,407
Series 2006-A6 Class A4, 5.3897% 10/25/33 (m)	1,962		1,599
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.8438% 12/25/34 (m)	$ 215		$ 140
Class A2, 0.9238% 12/25/34 (m)	290		202
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (m)	245		162
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (m)	2,472		1,210
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (m)	1,855		87
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (m)	1,558		1,055
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (m)	396		293
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (m)	923		736
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.7988% 7/10/35 (g)(m)	1,035		504
Series 2003-CB1 Class B3, 1.8988% 6/10/35 (g)(m)	798		427
Series 2004-A:
Class B4, 1.6488% 2/10/36 (g)(m)	609		211
Class B5, 2.1488% 2/10/36 (g)(m)	406		130
Series 2004-B:
Class B4, 1.5488% 2/10/36 (g)(m)	264		73
Class B5, 1.9988% 2/10/36 (g)(m)	204		51
Class B6, 2.4488% 2/10/36 (g)(m)	71		15
Series 2004-C:
Class B4, 1.3988% 9/10/36 (g)(m)	339		100
Class B5, 1.7988% 9/10/36 (g)(m)	381		102
Class B6, 2.1988% 9/10/36 (g)(m)	84		18
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (m)	1,312		1,011
Residential Asset Mortgage Products, Inc.:
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31	186		164
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (m)	190		139
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (m)	1,093		888
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (g)(m)	208		156
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (g)(m)	47		46
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater:
Series 2003-5 Class A2, 3.7963% 9/20/33 (m)	$ 341		$ 208
Series 2004-1 Class A, 1.8888% 2/20/34 (m)	122		78
Series 2004-10 Class A4, 4.5188% 11/20/34 (m)	176		109
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (m)	532		327
Series 2004-3 Class A, 3.885% 5/20/34 (m)	167		102
Series 2004-4 Class A, 4.4388% 5/20/34 (m)	638		397
Series 2004-5 Class A3, 2.9113% 6/20/34 (m)	250		153
Series 2004-6:
Class A3A, 2.1613% 6/20/35 (m)	192		123
Class A3B, 2.3038% 7/20/34 (m)	37		23
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (m)	194		116
Class A3B, 2.1388% 7/20/34 (m)	24		14
Series 2004-8 Class A2, 2.15% 9/20/34 (m)	481		311
Series 2005-1 Class A2, 1.8388% 2/20/35 (m)	322		200
Series 2005-2 Class A2, 2.03% 3/20/35 (m)	403		242
Series 2005-3 Class A1, 0.67% 5/20/35 (m)	196		105
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (m)	399		5
Structured Asset Securities Corp.:
floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (g)(m)	72		30
Series 2003-15A Class 4A, 5.4533% 4/25/33 (m)	999		810
Series 2003-20 Class 1A1, 5.5% 7/25/33	646		553
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (m)	2,485		1,267
WaMu Mortgage pass-thru certificates:
floater:
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (m)	115		110
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (m)	47		45
Series 2003-AR10 Class A7, 4.669% 10/25/33 (m)	8,573		5,383
Series 2003-AR8 Class A, 4.2743% 8/25/33 (m)	984		792
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (m)	322		319
Series 2005-AR3 Class A2, 4.6384% 3/25/35 (m)	2,827		2,274
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 4.1875% 12/25/34 (m)	1,027		818
Series 2004-H Class A1, 4.5322% 6/25/34 (m)	2,535		2,063
Series 2004-W:
Class A1, 4.5429% 11/25/34 (m)	935		746
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust: - continued
Series 2004-W:
Class A9, 4.5429% 11/25/34 (m)	$ 2,569		$ 1,616
Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (m)	796		621
Series 2005-AR12:
Class 2A5, 4.313% 7/25/35 (m)	9,940		6,488
Class 2A6, 4.313% 7/25/35 (m)	663		506
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (m)	1,319		1,015
TOTAL PRIVATE SPONSOR			104,814
U.S. Government Agency - 0.1%
Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31	7,951		8,072
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $117,205)		112,886
Commercial Mortgage Securities - 0.4%
Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49	2,565		1,989
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 0.9313% 3/15/22 (g)(m)	467		210
Class G, 0.9913% 3/15/22 (g)(m)	303		115
Series 2006-BIX1:
Class F, 0.765% 10/15/19 (g)(m)	1,203		541
Class G, 0.785% 10/15/19 (g)(m)	820		287
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.3238% 12/25/33 (g)(m)	80		46
Series 2004-1:
Class A, 0.8338% 4/25/34 (g)(m)	1,044		783
Class B, 2.3738% 4/25/34 (g)(m)	116		44
Class M1, 1.0338% 4/25/34 (g)(m)	94		59
Class M2, 1.6738% 4/25/34 (g)(m)	85		44
Series 2004-2:
Class A, 0.9038% 8/25/34 (g)(m)	790		632
Class M1, 1.0538% 8/25/34 (g)(m)	179		112
Series 2004-3:
Class A1, 0.8438% 1/25/35 (g)(m)	1,590		1,153
Class A2, 0.8938% 1/25/35 (g)(m)	229		160
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2004-3:
Class M1, 0.9738% 1/25/35 (g)(m)	$ 275		$ 179
Class M2, 1.4738% 1/25/35 (g)(m)	178		98
Series 2005-2A:
Class A1, 0.7838% 8/25/35 (g)(m)	1,164		815
Class M1, 0.9038% 8/25/35 (g)(m)	86		35
Class M2, 0.9538% 8/25/35 (g)(m)	142		57
Class M3, 0.9738% 8/25/35 (g)(m)	79		28
Class M4, 1.0838% 8/25/35 (g)(m)	72		22
Series 2005-3A:
Class A1, 0.7938% 11/25/35 (g)(m)	635		412
Class A2, 0.8738% 11/25/35 (g)(m)	411		267
Class M1, 0.9138% 11/25/35 (g)(m)	75		29
Class M2, 0.9638% 11/25/35 (g)(m)	95		36
Class M3, 0.9838% 11/25/35 (g)(m)	85		30
Class M4, 1.0738% 11/25/35 (g)(m)	106		37
Series 2005-4A:
Class A2, 0.8638% 1/25/36 (g)(m)	1,492		858
Class B1, 1.8738% 1/25/36 (g)(m)	129		45
Class M1, 0.9238% 1/25/36 (g)(m)	481		277
Class M2, 0.9438% 1/25/36 (g)(m)	144		79
Class M3, 0.9738% 1/25/36 (g)(m)	211		105
Class M4, 1.0838% 1/25/36 (g)(m)	117		55
Class M5, 1.1238% 1/25/36 (g)(m)	117		52
Class M6, 1.1738% 1/25/36 (g)(m)	124		52
Series 2006-1:
Class A2, 0.8338% 4/25/36 (g)(m)	232		153
Class M1, 0.8538% 4/25/36 (g)(m)	83		42
Class M2, 0.8738% 4/25/36 (g)(m)	88		39
Class M3, 0.8938% 4/25/36 (g)(m)	75		32
Class M4, 0.9938% 4/25/36 (g)(m)	43		23
Class M5, 1.0338% 4/25/36 (g)(m)	42		16
Class M6, 1.1138% 4/25/36 (g)(m)	83		43
Series 2006-2A:
Class A1, 0.7038% 7/25/36 (g)(m)	2,278		1,822
Class A2, 0.7538% 7/25/36 (g)(m)	206		165
Class B1, 1.3438% 7/25/36 (g)(m)	77		15
Class B3, 3.1738% 7/25/36 (g)(m)	116		23
Class M1, 0.7838% 7/25/36 (g)(m)	216		108
Class M2, 0.8038% 7/25/36 (g)(m)	152		73
Class M3, 0.8238% 7/25/36 (g)(m)	126		57
Class M4, 0.8938% 7/25/36 (g)(m)	85		34
Class M5, 0.9438% 7/25/36 (g)(m)	105		37
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2006-2A:
Class M6, 1.0138% 7/25/36 (g)(m)	$ 156		$ 55
Series 2006-3A:
Class B1, 1.2738% 10/25/36 (g)(m)	133		41
Class B2, 1.8238% 10/25/36 (g)(m)	96		28
Class B3, 3.0738% 10/25/36 (g)(m)	157		35
Class M4, 0.9038% 10/25/36 (g)(m)	147		64
Class M5, 0.9538% 10/25/36 (g)(m)	176		71
Class M6, 1.0338% 10/25/36 (g)(m)	345		130
Series 2006-4A:
Class A1, 0.7038% 12/25/36 (g)(m)	636		432
Class A2, 0.7438% 12/25/36 (g)(m)	2,865		1,988
Class B1, 1.1738% 12/25/36 (g)(m)	100		20
Class B2, 1.7238% 12/25/36 (g)(m)	104		48
Class B3, 2.9238% 12/25/36 (g)(m)	174		77
Class M1, 0.7638% 12/25/36 (g)(m)	207		133
Class M2, 0.7838% 12/25/36 (g)(m)	139		88
Class M3, 0.8138% 12/25/36 (g)(m)	141		59
Class M4, 0.8738% 12/25/36 (g)(m)	169		68
Class M5, 0.9138% 12/25/36 (g)(m)	155		62
Class M6, 0.9938% 12/25/36 (g)(m)	139		77
Series 2007-1:
Class A2, 0.7438% 3/25/37 (g)(m)	539		310
Class B1, 1.1438% 3/25/37 (g)(m)	176		62
Class B2, 1.6238% 3/25/37 (g)(m)	127		40
Class B3, 3.8238% 3/25/37 (g)(m)	343		100
Class M1, 0.7438% 3/25/37 (g)(m)	154		83
Class M2, 0.7638% 3/25/37 (g)(m)	115		60
Class M3, 0.7938% 3/25/37 (g)(m)	103		51
Class M4, 0.8438% 3/25/37 (g)(m)	85		41
Class M5, 0.8938% 3/25/37 (g)(m)	128		58
Class M6, 0.9738% 3/25/37 (g)(m)	179		72
Series 2007-2A:
Class A1, 0.7438% 7/25/37 (g)(m)	478		289
Class A2, 0.7938% 7/25/37 (g)(m)	447		276
Class B1, 2.0738% 7/25/37 (g)(m)	140		44
Class B2, 2.7238% 7/25/37 (g)(m)	121		38
Class B3, 3.8238% 7/25/37 (g)(m)	137		41
Class M1, 0.8438% 7/25/37 (g)(m)	159		86
Class M2, 0.8838% 7/25/37 (g)(m)	89		46
Class M3, 0.9638% 7/25/37 (g)(m)	91		45
Class M4, 1.1238% 7/25/37 (g)(m)	174		73
Class M5, 1.2238% 7/25/37 (g)(m)	154		61
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2007-2A:
Class M6, 1.4738% 7/25/37 (g)(m)	$ 196		$ 72
Series 2007-3:
Class A2, 0.7638% 7/25/37 (g)(m)	792		589
Class B1, 1.4238% 7/25/37 (g)(m)	128		61
Class B2, 2.0738% 7/25/37 (g)(m)	316		151
Class B3, 4.4738% 7/25/37 (g)(m)	172		79
Class M1, 0.7838% 7/25/37 (g)(m)	114		66
Class M2, 0.8138% 7/25/37 (g)(m)	122		68
Class M3, 0.8438% 7/25/37 (g)(m)	188		99
Class M4, 0.9738% 7/25/37 (g)(m)	296		155
Class M5, 1.0738% 7/25/37 (g)(m)	157		81
Class M6, 1.2738% 7/25/37 (g)(m)	120		61
Series 2007-4A:
Class B1, 3.0238% 9/25/37 (g)(m)	175		56
Class B2, 3.9238% 9/25/37 (g)(m)	622		182
Class M1, 1.4238% 9/25/37 (g)(m)	167		84
Class M2, 1.5238% 9/25/37 (g)(m)	167		75
Class M4, 2.0738% 9/25/37 (g)(m)	418		167
Class M5, 2.2238% 9/25/37 (g)(m)	418		157
Class M6, 2.4238% 9/25/37 (g)(m)	419		147
Bear Stearns Commercial Mortgage Securities Trust floater:
Series 2006-BBA7:
Class G, 0.9013% 3/15/19 (g)(m)	611		349
Class H, 1.1113% 3/15/19 (g)(m)	411		185
Class J, 1.3113% 3/15/19 (g)(m)	309		124
Series 2007-BBA8:
Class D, 0.705% 3/15/22 (g)(m)	317		197
Class E, 0.755% 3/15/22 (g)(m)	1,645		965
Class F, 0.805% 3/15/22 (g)(m)	1,009		565
Class G, 0.855% 3/15/22 (g)(m)	259		141
Class H, 1.005% 3/15/22 (g)(m)	317		143
Class J, 1.155% 3/15/22 (g)(m)	317		127
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0.0538% 8/1/24 (g)(m)	595		295
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (g)(m)	831		361
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.785% 11/15/36 (g)(m)	337		105
Class H, 0.825% 11/15/36 (g)(m)	270		81
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust: - continued
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	$ 6,330		$ 4,222
COMM pass-thru certificates floater:
Series 2005-F10A:
Class D, 0.765% 4/15/17 (g)(m)	721		341
Class E, 0.825% 4/15/17 (g)(m)	230		107
Class F, 0.865% 4/15/17 (g)(m)	130		58
Class G, 1.005% 4/15/17 (g)(m)	130		56
Class H, 1.075% 4/15/17 (g)(m)	130		53
Class J, 1.305% 4/15/17 (g)(m)	100		45
Series 2005-FL11:
Class F, 0.9113% 11/15/17 (g)(m)	295		99
Class G, 0.9613% 11/15/17 (g)(m)	205		64
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (m)	6,455		4,801
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:
Class C:
0.6313% 2/15/22 (g)(m)	1,416		425
0.7313% 2/15/22 (g)(m)	506		126
Class F, 0.7813% 2/15/22 (g)(m)	1,011		222
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 8.0047% 4/29/39 (g)(m)	451		451
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27	6,524		6,555
GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (m)(o)	4,326		51
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (g)(m)	634		361
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class D, 0.6913% 11/15/18 (g)(m)	175		82
Class E, 0.7413% 11/15/18 (g)(m)	248		112
Class F, 0.7913% 11/15/18 (g)(m)	372		164
Class G, 0.8213% 11/15/18 (g)(m)	324		136
Class H, 0.9613% 11/15/18 (g)(m)	248		99
Series 2005-LDP3 Class A3, 4.959% 8/15/42	6,840		5,545
LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0935% 4/25/21 (g)(m)	136		99
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.795% 9/15/21 (g)(m)	$ 868		$ 357
Class G, 0.815% 9/15/21 (g)(m)	1,714		627
Class H, 0.855% 9/15/21 (g)(m)	442		153
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.662% 7/15/19 (g)(m)	625		62
Series 2007-XCLA Class A1, 0.662% 7/17/17 (g)(m)	2,080		1,144
Series 2007-XLCA Class B, 0.9613% 7/17/17 (g)(m)	1,184		107
Series 2007-XLFA:
Class D, 0.652% 10/15/20 (g)(m)	507		127
Class E, 0.712% 10/15/20 (g)(m)	634		127
Class F, 0.762% 10/15/20 (g)(m)	380		68
Class G, 0.802% 10/15/20 (g)(m)	470		71
Class H, 0.892% 10/15/20 (g)(m)	296		30
Class J, 1.042% 10/15/20 (g)(m)	338		27
Class MHRO, 1.152% 10/15/20 (g)(m)	137		15
Class MJPM, 1.462% 10/15/20 (g)(m)	46		4
Class MSTR, 1.162% 10/15/20 (g)(m)	85		12
Class NHRO, 1.352% 10/15/20 (g)(m)	200		18
Class NSTR, 1.312% 10/15/20 (g)(m)	79		9
Series 2007-XLC1:
Class C, 1.0613% 7/17/17 (g)(m)	1,616		129
Class D, 1.1613% 7/17/17 (g)(m)	761		53
Class E, 1.2613% 7/17/17 (g)(m)	618		37
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (g)(m)	133		109
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.655% 1/15/18 (g)(m)	969		533
Series 2006-WL7A:
Class E, 0.735% 9/15/21 (g)(m)	1,058		434
Class F, 0.795% 8/11/18 (g)(m)	1,426		428
Class G, 0.815% 8/11/18 (g)(m)	1,351		338
Class J, 0.9331% 8/11/18 (g)(m)	300		108
Class X1A, 0.0239% 9/15/21 (g)(m)(o)	2,149		0*
Series 2007-WHL8:
Class AP1, 1.155% 6/15/20 (g)(m)	71		18
Class AP2, 1.255% 6/15/20 (g)(m)	116		23
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
floater:
Series 2007-WHL8:
Class F, 0.935% 6/15/20 (g)(m)	$ 2,255		$ 722
Class LXR2, 1.255% 6/15/20 (g)(m)	1,537		231
sequential payer Series 2007-C32 Class A2, 5.7357% 6/15/49 (m)	2,090		1,501
Series 2006-C23 Class A5, 5.416% 1/15/45 (m)	5,005		3,348
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $67,939)		59,009
Municipal Securities - 0.1%
Montgomery County Gen. Oblig. Series A, 5% 1/1/13	3,800		4,250
North Carolina Gen. Oblig. Series A, 5.5% 3/1/13	3,400		3,880
Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12	3,910		4,342
TOTAL MUNICIPAL SECURITIES (Cost $12,076)		12,472
Foreign Government and Government Agency Obligations - 0.0%
Chilean Republic 7.125% 1/11/12 (Cost $1,972)	1,794		1,958
Supranational Obligations - 0.0%
Corporacion Andina de Fomento:
5.2% 5/21/13	143		126
6.875% 3/15/12	232		222
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $350)		348
Floating Rate Loans - 1.5%
CONSUMER DISCRETIONARY - 0.4%
Automobiles - 0.1%
AM General LLC term loan 6.2269% 4/17/12 (m)	15,438		8,568
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - 0.0%
Fantasy Springs Resort Casino term loan 9.72% 8/6/12 (m)	$ 7,650		$ 3,825
Southwest Sports Group, Inc. Tranche B, term loan 4% 12/22/10 (m)	7,000		3,640
			7,465
Media - 0.2%
Charter Communications Operating LLC Tranche B 1LN, term loan 3.2114% 3/6/14 (m)	17,411		13,755
Discovery Communications, Inc. term loan 3.4588% 5/14/14 (m)	1,527		1,412
Hicks Sports Group LLC Tranche 2LN, term loan 7% 12/22/11 (m)	11,000		2,200
Idearc, Inc. term loan 3.4179% 11/17/14 (m)	13,456		4,709
Newsday LLC term loan 9.75% 8/1/13 (m)	7,000		6,318
Tribune Co. term loan 7.0838% 6/4/09 (d)(m)	1,188		297
			28,691
Multiline Retail - 0.1%
Dollar General Corp. Tranche B2, term loan 3.2288% 7/6/14 (m)	13,000		10,725
Specialty Retail - 0.0%
GNC Corp. term loan 3.7064% 9/16/13 (m)	786		574
Textiles, Apparel & Luxury Goods - 0.0%
Levi Strauss & Co. term loan 2.705% 4/4/14 (m)	1,560		874
TOTAL CONSUMER DISCRETIONARY			56,897
CONSUMER STAPLES - 0.0%
Household Products - 0.0%
KIK Custom Products, Inc. Tranche 2LN, term loan 5.4769% 11/30/14 (m)	12,000		1,800
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
Antero Resources Corp. Tranche 2LN, term loan 5.94% 4/12/14 (m)	11,000		5,500
Venoco, Inc. Tranche 2LN, term loan 5.25% 5/7/14 (m)	603		278
			5,778
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - 0.1%
Diversified Financial Services - 0.1%
LandSource Communities Development LLC Tranche 2LN, term loan 10.55% 2/27/14 (d)(m)	$ 1,120		$ 11
MGM Holdings II, Inc.:
term loan 4.7088% 4/8/12 (m)	6,965		3,064
Tranche B, term loan 4.2491% 4/8/12 (m)	9,473		4,168
Tempus Public Foundation Generation Holdings LLC Tranche 2LN, term loan 5.7088% 12/15/14 (m)	10,000		6,600
			13,843
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.3%
Concentra Operating Corp. Tranche 2LN, term loan 6.96% 6/25/15 (m)	18,825		2,609
Genoa Healthcare Group LLC Tranche 2, term loan 10.75% 2/4/13 (m)	2,500		1,200
Golden Gate National Senior Care LLC:
Tranche 1, term loan 3.2288% 3/14/11 (m)	11,389		9,795
Tranche 2, term loan 8.2288% 9/14/11 (m)	16,000		10,400
Rural/Metro Corp.:
Credit-Linked Deposit 4.01% 3/4/11 (m)	2,285		1,982
term loan 6.279% 3/4/11 (m)	3,605		3,128
Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.8325% 6/15/15 (m)	17,840		9,812
			38,926
Pharmaceuticals - 0.0%
Graceway Pharmaceuticals LLC Tranche B 2LN, term loan 7.9588% 5/3/13 (m)	15,000		3,975
TOTAL HEALTH CARE			42,901
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.0%
McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 5.48% 5/11/15 pay-in-kind (m)	110		47
Airlines - 0.1%
Delta Air Lines, Inc. Tranche 2LN, term loan 3.695% 4/30/14 (m)	8,443		4,095
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Airlines - continued
Northwest Airlines, Inc. term loan 2.45% 12/31/10 (m)	$ 10,712		$ 9,373
US Airways Group, Inc. term loan 2.9788% 3/23/14 (m)	4,720		2,148
			15,616
Commercial Services & Supplies - 0.0%
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 7.125% 2/7/15 (m)	985		246
Machinery - 0.1%
Dresser, Inc. Tranche 2LN, term loan 6.9875% 5/4/15 pay-in-kind (m)	10,990		4,396
Navistar International Corp.:
term loan 3.7288% 1/19/12 (m)	352		250
Credit-Linked Deposit 4.1256% 1/19/12 (m)	128		91
			4,737
TOTAL INDUSTRIALS			20,646
INFORMATION TECHNOLOGY - 0.2%
Communications Equipment - 0.1%
IPC Systems, Inc. Tranche 2LN, term loan 6.7088% 5/31/15 (m)	6,000		900
SafeNet, Inc. Tranche 2LN, term loan 7.66% 4/12/15 (m)	7,500		2,925
			3,825
Electronic Equipment & Components - 0.0%
Texas Competitive Electric Holdings Co. LLC:
Tranche B2, term loan 3.9515% 10/10/14 (m)	2,805		1,711
Tranche B3, term loan 3.9515% 10/10/14 (m)	3,000		1,830
			3,541
Software - 0.1%
Kronos, Inc. Tranche 2LN, term loan 7.2088% 6/11/15 (m)	33,730		15,179
Serena Software, Inc. term loan 3.1038% 3/10/13 (m)	288		158
SS&C Technologies, Inc. term loan 3.4271% 11/23/12 (m)	447		326
			15,663
TOTAL INFORMATION TECHNOLOGY			23,029
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - 0.0%
Containers & Packaging - 0.0%
Anchor Glass Container Corp. term loan 6.8255% 6/20/14 (m)	$ 7,314		$ 6,144
TELECOMMUNICATION SERVICES - 0.2%
Diversified Telecommunication Services - 0.2%
Intelsat Ltd. Tranche B, term loan 3.925% 7/3/13 (m)	19,628		17,763
Paetec Communications, Inc. Tranche B, term loan 2.9788% 2/28/13 (m)	443		323
Wind Telecomunicazioni SpA term loan 8.3925% 12/21/11 pay-in-kind (m)	20,492		13,851
			31,937
UTILITIES - 0.1%
Electric Utilities - 0.0%
Bicent Power LLC Tranche 2LN, term loan 5.46% 12/31/14 (m)	810		486
Independent Power Producers & Energy Traders - 0.1%
Nebraska Energy, Inc. Tranche 2LN, term loan 5.9663% 5/1/14 (m)	12,970		8,171
TOTAL UTILITIES			8,657
TOTAL FLOATING RATE LOANS (Cost $353,119)		211,632
Bank Notes - 0.0%
National City Bank, Cleveland 2.3025% 3/1/13 (m) (Cost $458)	576		449

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (m)	620		196
MUFG Capital Finance 1 Ltd. 6.346% (m)	2,727		1,708
			1,904
TOTAL PREFERRED SECURITIES (Cost $2,022)		1,904
Fixed-Income Funds - 14.6%
	Shares		Value (000s)
Fidelity 1-3 Year Duration Securitized Bond Central Fund (n)	1,499,285		$ 106,344
Fidelity Commercial Mortgage-Backed Securities Central Fund (n)	3,129,512		212,807
Fidelity Corporate Bond 1-10 Year Central Fund (n)	5,209,658		462,253
Fidelity Mortgage Backed Securities Central Fund (n)	12,481,630		1,247,789
TOTAL FIXED-INCOME FUNDS (Cost $2,234,427)		2,029,193
Money Market Funds - 3.6%
Fidelity Cash Central Fund, 0.59% (b)	482,470,269		482,470
Fidelity Securities Lending Cash Central Fund, 0.66% (b)(c)	20,750,850		20,751
TOTAL MONEY MARKET FUNDS (Cost $503,221)		503,221
Cash Equivalents - 0.2%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at:
0.25%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	$ 18,188		18,188
0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	5,753		5,753
TOTAL CASH EQUIVALENTS (Cost $23,941)		23,941
TOTAL INVESTMENT PORTFOLIO - 102.5% (Cost $16,845,315)			14,242,260
NET OTHER ASSETS - (2.5)%			(348,690)
NET ASSETS - 100%		$ 13,893,570

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon credit event of JPMorgan Mortgage Acquisition Corp., par value of the notional amount of JPMorgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36 (Rating-C) (k)	Sept. 2036	$ 4,600	$ (4,445)
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (k)	Oct. 2036	1,293	(1,248)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (l)	Sept. 2037	13,300	(12,835)
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-Caa1) (l)	Sept. 2037	10,900	(10,519)
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-Caa1) (l)	Sept. 2037	2,500	(2,413)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (l)	Sept. 2037	10,900	(10,519)
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-Caa1) (l)	Sept. 2037	10,600	(10,229)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (l)	Sept. 2037	$ 9,100	$ (8,780)
Receive monthly notional amount multiplied by 1.45% and pay UBS upon credit event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36 (Rating-C) (k)	August 2036	8,500	(8,467)
Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (k)	August 2035	2,700	(2,535)
TOTAL CREDIT DEFAULT SWAPS		$ 74,393	$ (71,990)
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 4.947% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2012	100,000	10,255
Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2017	50,000	8,662
Receive semi-annually a fixed rate equal to 5.61% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2012	95,500	11,103
TOTAL INTEREST RATE SWAPS		$ 245,500	$ 30,020
		$ 319,893	$ (41,970)

Legend

(a) Non-income producing

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

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

(d) Non-income producing - Issuer 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 $433,955,000 or 3.1% of net assets.

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

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

(j) Security or a portion of the security has been segregated as collateral for swap agreements. At the period end, the value of securities pledged amounted to $75,098,000, of which $18,013,000 is segregated at the custodian for terminated contracts with Lehman Brothers Special Financing, Inc.

(k) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(l) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(m) The coupon rate shown on floating or adjustable rate securities represents the rate 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 held as of the end of the period.

(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,013,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
BMP Sunstone Corp. warrants 8/19/12	8/17/07	$ 7
wetpaint.com, Inc. Series C	5/14/08	$ 5,000

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$18,188,000 due 3/02/09 at 0.25%
BNP Paribas Securities Corp.	$ 9,775
Barclays Capital, Inc.	2,360
Citigroup Global Markets, Inc.	1,349
HSBC Securities (USA), Inc.	674
J.P. Morgan Securities, Inc.	1,333
Societe Generale, New York Branch	2,697
	$ 18,188
$5,753,000 due 3/02/09 at 0.26%
BNP Paribas Securities Corp.	$ 2,839
Banc of America Securities LLC	1,059
Barclays Capital, Inc.	1,510
Deutsche Bank Securities, Inc.	345
	$ 5,753

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 2,875
Fidelity Cash Central Fund	4,445
Fidelity Commercial Mortgage-Backed Securities Central Fund	8,023
Fidelity Corporate Bond 1-10 Year Central Fund	28,419
Fidelity Mortgage Backed Securities Central Fund	34,817
Fidelity Securities Lending Cash Central Fund	1,512
Fidelity Ultra-Short Central Fund	3,239
Total	$ 83,330

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 196,835	$ 2,875	$ 71,853	$ 106,344	13.1%
Fidelity Commercial Mortgage-Backed Securities Central Fund	315,814	8,023	41,246	212,807	9.1%
Fidelity Corporate Bond 1-10 Year Central Fund	1,064,585	28,505	553,180*	462,253	18.9%
Fidelity Mortgage Backed Securities Central Fund	1,308,960	34,818	119,687	1,247,789	17.0%
Fidelity Ultra-Short Central Fund	455,384	-	383,267*	-	0.0%
Total	$ 3,341,578	$ 74,221	$ 1,169,233	$ 2,029,193

*Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

Other Affiliated Issuers

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

Affiliate (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
ULURU, Inc.	$ 5,614	$ -	$ 55	$ -	$ 754

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at 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 tables 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	$ 14,242,260	$ 9,679,709	$ 4,511,045	$ 51,506
Other Financial Instruments*	$ (41,508)	$ -	$ 9,180	$ (50,688)

*Other financial instruments include Swap Agreements and Forward Commitments.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 6,438	$ (30,439)
Total Realized Gain (Loss)	412	-*
Total Unrealized Gain (Loss)	(20,188)	11,324
Cost of Purchases	38,637	-
Proceeds of Sales	(2,591)	-
Amortization/Accretion	(603)	-
Transfer in/out of Level 3	29,401	(31,573)
Ending Balance	$ 51,506	$ (50,688)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(958,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

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

U.S. Government and U.S. Government Agency Obligations	27.4%
AAA,AA,A	8.6%
BBB	5.1%
BB	2.6%
B	4.6%
CCC,CC,C	1.9%
D	0.0%†
Not Rated	0.3%
Equities	52.5%
Short-Term Investments and Net Other Assets	(3.0)%
	100.0%

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

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

^† Amount represents less than 0.1%.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	February 28, 2009
Assets
Investment in securities, at value (including securities loaned of $20,141 and repurchase agreements of $23,941) - See accompanying schedule: Unaffiliated issuers (cost $14,092,011)	$ 11,709,092
Fidelity Central Funds (cost $2,737,648)	2,532,414
Other affiliated issuers (cost $15,656)	754
Total Investments (cost $16,845,315)		$ 14,242,260
Commitment to sell securities on a delayed delivery basis	(254,992)
Receivable for securities sold on a delayed delivery basis	255,454	462
Receivable for investments sold, regular delivery		151,111
Cash		206
Receivable for swap agreements		65
Receivable for fund shares sold		10,964
Dividends receivable		17,703
Interest receivable		67,969
Distributions receivable from Fidelity Central Funds		11,672
Prepaid expenses		170
Other receivables		619
Unrealized appreciation on swap agreements		30,020
Total assets		14,533,221
Liabilities
Payable for investments purchased Regular delivery	$ 109,449
Delayed delivery	385,770
Payable for swap agreements	22,738
Payable for fund shares redeemed	19,873
Unrealized depreciation on swap agreements	71,990
Accrued management fee	5,138
Other affiliated payables	3,206
Other payables and accrued expenses	736
Collateral on securities loaned, at value	20,751
Total liabilities		639,651
Net Assets		$ 13,893,570
Net Assets consist of:
Paid in capital		$ 19,347,194
Undistributed net investment income		98,420
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		(2,916,872)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(2,635,172)
Net Assets		$ 13,893,570

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	February 28, 2009
Puritan: Net Asset Value, offering price and redemption price per share ($13,015,003 ÷ 1,104,548 shares)		$ 11.78
Class K: Net Asset Value, offering price and redemption price per share ($878,567 ÷ 74,565 shares)		$ 11.78

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

Semiannual Report

Statement of Operations

Amounts in thousands	Six months ended February 28, 2009
Investment Income
Dividends		$ 117,347
Interest		123,860
Income from Fidelity Central Funds		83,330
Total income		324,537
Expenses
Management fee	$ 34,154
Transfer agent fees	18,580
Accounting and security lending fees	930
Custodian fees and expenses	124
Independent trustees' compensation	53
Depreciation in deferred trustee compensation account	(8)
Registration fees	66
Audit	135
Legal	57
Miscellaneous	672
Total expenses before reductions	54,763
Expense reductions	(169)	54,594
Net investment income (loss)		269,943
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(2,631,660)
Fidelity Central Funds	(243,124)
Other affiliated issuers	(313)
Foreign currency transactions	78
Futures contracts	(26,789)
Swap agreements	130
Total net realized gain (loss)		(2,901,678)
Change in net unrealized appreciation (depreciation) on: Investment securities	(3,616,450)
Assets and liabilities in foreign currencies	(84)
Swap agreements	22,791
Delayed delivery commitments	440
Total change in net unrealized appreciation (depreciation)		(3,593,303)
Net gain (loss)		(6,494,981)
Net increase (decrease) in net assets resulting from operations		$ (6,225,038)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 28, 2009	Year ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 269,943	$ 647,822
Net realized gain (loss)	(2,901,678)	771,383
Change in net unrealized appreciation (depreciation)	(3,593,303)	(3,177,660)
Net increase (decrease) in net assets resulting from operations	(6,225,038)	(1,758,455)
Distributions to shareholders from net investment income	(283,670)	(690,835)
Distributions to shareholders from net realized gain	(18,395)	(2,042,154)
Total distributions	(302,065)	(2,732,989)
Share transactions - net increase (decrease)	(1,005,832)	198,958
Total increase (decrease) in net assets	(7,532,935)	(4,292,486)
Net Assets
Beginning of period	21,426,505	25,718,991
End of period (including undistributed net investment income of $98,420 and undistributed net investment income of $112,147, respectively)	$ 13,893,570	$ 21,426,505

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

Semiannual Report

Financial Highlights - Puritan

	Six months ended February 28,	Years ended August 31,
	2009	2008	2007	2006 G	2006 I	2005 I	2004 I
Selected Per-Share Data
Net asset value, beginning of period	$ 17.07	$ 20.54	$ 19.69	$ 19.34	$ 19.13	$ 18.44	$ 16.96
Income from Investment Operations
Net investment income (loss) D	.22	.50	.59	.06	.55	.47	.45
Net realized and unrealized gain (loss)	(5.26)	(1.80)	1.70	.29	.80	1.39	1.79
Total from investment operations	(5.04)	(1.30)	2.29	.35	1.35	1.86	2.24
Distributions from net investment income	(.23)	(.55)	(.59)	-	(.55)	(.45)	(.46)
Distributions from net realized gain	(.02)	(1.62)	(.85)	-	(.59)	(.72)	(.30)
Total distributions	(.25) K	(2.17)	(1.44)	-	(1.14)	(1.17)	(.76)
Net asset value, end of period	$ 11.78	$ 17.07	$ 20.54	$ 19.69	$ 19.34	$ 19.13	$ 18.44
Total Return B, C	(29.76)%	(7.35)%	12.18%	1.81%	7.36%	10.51%	13.43%
Ratios to Average Net Assets E, H
Expenses before reductions	.67% A	.61%	.60%	.63% A	.62%	.63%	.65%
Expenses net of fee waivers, if any	.67% A	.61%	.60%	.62% A	.62%	.63%	.65%
Expenses net of all reductions	.67% A	.60%	.59%	.62% A	.61%	.62%	.64%
Net investment income (loss)	3.27% A	2.72%	2.91%	3.97% A	2.90%	2.53%	2.46%
Supplemental Data
Net assets, end of period (in millions)	$ 13,015	$ 21,418	$ 25,719	$ 23,955	$ 23,558	$ 24,276	$ 22,054
Portfolio turnover rate F	137% A	115%	70% J	78% A	44%	75%	67%
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended July 31. J Portfolio turnover rate excludes securities received or delivered in-kind. K Total distributions of $.247 per share is comprised of distributions from net investment income of $.232 and distributions from net realized gain of $.015 per share.

Semiannual Report

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

Financial Highlights - Class K

	Six months ended February 28,	Year ended August 31,
	2009	2008 G
Selected Per-Share Data
Net asset value, beginning of period	$ 17.07	$ 18.22
Income from Investment Operations
Net investment income (loss) D	.22	.14
Net realized and unrealized gain (loss)	(5.25)	(1.16)
Total from investment operations	(5.03)	(1.02)
Distributions from net investment income	(.25)	(.13)
Distributions from net realized gain	(.02)	-
Total distributions	(.26) I	(.13)
Net asset value, end of period	$ 11.78	$ 17.07
Total Return B, C	(29.68)%	(5.60)%
Ratios to Average Net Assets E, H
Expenses before reductions	.49% A	.48% A
Expenses net of fee waivers, if any	.49% A	.48% A
Expenses net of all reductions	.49% A	.48% A
Net investment income (loss)	3.45% A	3.21% A
Supplemental Data
Net assets, end of period (in millions)	$ 879	$ 9
Portfolio turnover rate F	137% A	115%

^A Annualized ^B Total returns for periods of less than one year are not annualized. ^C Total returns would have been lower had certain expenses not been reduced during the periods shown. ^D Calculated based on average shares outstanding during the period. ^E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. ^F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. ^G For the period May 9, 2008 (commencement of sale of shares) to August 31, 2008. ^H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ^I Total distributions of $.262 per share is comprised of distributions from net investment income of $.247 and distributions from net realized gain of $.015 per share.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009

1. Organization.

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

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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 their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity 1-3 Year Duration Securitized Bond Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements

Semiannual Report

Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity Commercial Mortgage-Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements
Fidelity Corporate Bond 1-10 Year Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements
Fidelity Mortgage Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Futures 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 SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Semiannual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

Level 1	Quoted prices in active markets for identical securities.
Level 2	Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3	Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments ,as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 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

Semiannual Report

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though the 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 collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for

Semiannual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Unrealized appreciation	$ 597,407,714
Unrealized depreciation	(3,497,111,691)
Net unrealized appreciation (depreciation)	$ (2,899,703,977)
Cost for federal income tax purposes	$ 17,141,964,128

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.

Semiannual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

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

Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Certain interest rate swaps include extended effective dates. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. 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 credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. 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 corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $74,392,526 representing 0.54% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both 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

Semiannual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Swap Agreements - continued

amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. 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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $8,929,845,342 and $9,396,395,142, respectively.

6. Fees and Other Transactions with Affiliates.

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Puritan. FIIOC receives an asset-based fee of .05% of Class K's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:

	Amount	% of Average Net Assets*
Puritan	$ 18,441,432	.23
Class K	138,874	.05
	$ 18,580,306

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $237,298 for the period.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $229,205,663 in return for its 3,665,748 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

On February 20, 2009, the Fund redeemed in-kind 5,759,631 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $518,408,300 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 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 $51,623 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation

Semiannual Report

Notes to Financial Statements - continued

8. Security Lending - continued

to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $171,433. 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 $1,511,733.

9. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of Puritan's operating expenses. During the period, this reimbursement reduced the class' expenses by $4,485.

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 $97,166 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $28,433. During the period, credits reduced each class' transfer agent expense as noted in the table below.

	Transfer Agent expense reduction
Puritan	$ 39,207

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net investment income
Puritan	$ 275,631,060	$ 690,834,669
Class K	8,038,609	703
Total	$ 283,669,669	$ 690,835,372

Semiannual Report

10. Distributions to Shareholders - continued

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net realized gain
Puritan	$ 18,038,081	$ 2,042,154,277
Class K	356,426	-
Total	$ 18,394,507	$ 2,042,154,277

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

11. Share Transactions.

Transactions for each class of shares were as follows:

	Shares		Dollars
	Six months ended February 28, 2009	Year ended August 31, 2008 A	Six months ended February 28, 2009	Year ended August 31, 2008 A
Puritan
Shares sold	55,114,638	100,604,414	$ 742,458,077	$ 1,863,774,728
Conversion to Class K	(74,629,734)	(504,580)	(977,664,148)	(8,618,229)
Reinvestment of distributions	20,041,735	134,689,399	279,869,329	2,624,144,864
Shares redeemed	(150,476,741)	(232,505,275)	(2,021,231,674)	(4,289,044,484)
Net increase (decrease)	(149,950,102)	2,283,958	$ (1,976,568,416)	$ 190,256,879
Class K
Shares sold	3,169,653	5,496	$ 40,360,333	$ 100,133
Conversion from Puritan	74,630,262	504,580	977,664,148	8,618,229
Reinvestment of distributions	649,748	42	8,395,035	703
Shares redeemed	(4,393,485)	(1,008)	(55,682,427)	(17,286)
Net increase (decrease)	74,056,178	509,110	$ 970,737,089	$ 8,701,779

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

Semiannual Report

Notes to Financial Statements - continued

12. Other.

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

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

Semiannual Report

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Puritan Fund (a fund of Fidelity Puritan Trust) at February 28, 2009, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Puritan Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 28, 2009

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

For mutual fund and brokerage trading.

For quotes.*

For account balances and holdings.

To review orders and mutual
fund activity.

To change your PIN.

To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Visit Fidelity

For directions and hours, 
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

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

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Semiannual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)

Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)

For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)

For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Research & Analysis Company

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

Fidelity Investments Money Management, Inc.

Fidelity Investments Japan Limited

FIL Investment Advisers

FIL Investment Advisers
(U.K.) Ltd.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan), Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JP Morgan Chase Bank

New York, NY

The Fidelity Telephone Connection

Mutual Fund 24-Hour Service

Exchanges/Redemptions
and Account Assistance 1-800-544-6666

Product Information 1-800-544-6666

Retirement Accounts 1-800-544-4774 (8 a.m. - 9 p.m.)

TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)

Fidelity Automated Service
Telephone (FAST^®) 1-800-544-5555

Automated line for quickest service

PUR-USAN-0409
1.789289.105

Fidelity®
Puritan®
Fund -
Class K

Semiannual Report

February 28, 2009

(2_fidelity_logos) (Registered_Trademark)

Contents

Chairman's Message	<Click Here>	Ned Johnson's message to shareholders.
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>

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

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

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

All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.

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

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

NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE

Neither the fund nor Fidelity Distributors Corporation is a bank.

Semiannual Report

Chairman's Message

(photo_of_Edward_C_Johnson_3d)

Dear Shareholder:

The stresses on the world's capital markets have shown few signs of abating thus far in 2009. Although government programs may eventually rekindle economic growth, corporate earnings are still weaker than we would like to see them, and the valuations of many securities remain at historically low levels. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.

One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.

You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best-performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).

A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.

We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.

Sincerely,

/s/Edward C. Johnson 3d

Edward C. Johnson 3d

Semiannual 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 (September 1, 2008 to February 28, 2009).

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.

Semiannual Report

Shareholder Expense Example - continued

	Annualized Expense Ratio	Beginning Account Value September 1, 2008	Ending Account Value February 28, 2009	Expenses Paid During Period* September 1, 2008 to February 28, 2009
Puritan	.67%
Actual		$ 1,000.00	$ 702.40	$ 2.83
HypotheticalA		$ 1,000.00	$ 1,021.47	$ 3.36
Class K	.49%
Actual		$ 1,000.00	$ 703.20	$ 2.07
HypotheticalA		$ 1,000.00	$ 1,022.36	$ 2.46

^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 181/365 (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.

Semiannual Report

Investment Changes (Unaudited)

The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.

Top Five Stocks as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
Exxon Mobil Corp.	2.4	2.1
Verizon Communications, Inc.	1.5	0.8
Wal-Mart Stores, Inc.	1.3	1.3
Chevron Corp.	1.3	0.0
Genentech, Inc.	1.2	0.8
	7.7
Top Five Bond Issuers as of February 28, 2009
(with maturities greater than one year)	% of fund's net assets	% of fund's net assets 6 months ago
Fannie Mae	15.5	9.5
Freddie Mac	4.7	3.8
U.S. Treasury Obligations	3.9	3.7
Government National Mortgage Association	3.2	2.3
Citigroup, Inc	0.5	0.1
	27.8
Top Five Market Sectors as of February 28, 2009
	% of fund's net assets	% of fund's net assets 6 months ago
Information Technology	11.4	13.3
Financials	10.7	11.9
Health Care	10.5	10.5
Energy	9.3	10.1
Consumer Discretionary	7.9	8.4

Asset Allocation (% of fund's net assets)
As of February 28, 2009 *			As of August 31, 2008 **
	Stocks 52.3%			Stocks 61.4%
	Bonds 50.6%			Bonds 39.8%
	Convertible Securities 0.7%			Convertible Securities 0.7%
	Other Investments 1.5%			Other Investments 1.4%
	Short-Term Investments and Net Other Assets† (5.1)%			Short-Term Investments and Net Other Assets† (3.3)%
* Foreign investments		6.5%	** Foreign investments		9.2%

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

Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.

A holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com.

Semiannual Report

Investments February 28, 2009

Showing Percentage of Net Assets

Common Stocks - 52.3%
	Shares		Value (000s)
CONSUMER DISCRETIONARY - 5.4%
Auto Components - 0.1%
Johnson Controls, Inc.	1,180,900		$ 13,439
The Goodyear Tire & Rubber Co. (a)	1,300,800		5,776
			19,215
Hotels, Restaurants & Leisure - 1.1%
Darden Restaurants, Inc.	781,900		21,221
Las Vegas Sands Corp. (a)	50		0*
Las Vegas Sands Corp. unit	127,900		4,860
McDonald's Corp.	1,424,900		74,451
Penn National Gaming, Inc. (a)	651,300		12,433
Starwood Hotels & Resorts Worldwide, Inc.	1,005,600		11,655
Vail Resorts, Inc. (a)(e)	435,400		8,220
Wendy's/Arby's Group, Inc.	3,272,700		14,825
			147,665
Household Durables - 0.3%
Mohawk Industries, Inc. (a)	369,500		8,347
Pulte Homes, Inc.	3,200,700		29,382
Whirlpool Corp.	174,683		3,883
			41,612
Internet & Catalog Retail - 0.2%
Amazon.com, Inc.	393,700		25,508
Media - 1.9%
Comcast Corp. Class A (special) (non-vtg.)	5,210,800		63,311
Grupo Televisa SA de CV (CPO) sponsored ADR	2,312,600		28,144
News Corp. Class B (e)	1,962,896		12,288
Playboy Enterprises, Inc. Class B (non-vtg.) (a)(e)	895,600		1,263
The DIRECTV Group, Inc. (a)	1,900,500		37,896
The Walt Disney Co.	3,512,190		58,899
Time Warner, Inc.	7,180,360		54,786
Vertis Holdings, Inc. (a)	30,518		0*
			256,587
Multiline Retail - 0.0%
Macy's, Inc.	675,200		5,314
Specialty Retail - 1.7%
Advance Auto Parts, Inc.	289,700		11,081
Best Buy Co., Inc.	1,184,200		34,129
Home Depot, Inc.	1,381,200		28,853
J. Crew Group, Inc. (a)(e)	304,537		3,429
Lowe's Companies, Inc.	2,636,000		41,754
Lumber Liquidators, Inc. (a)	100,000		958
Common Stocks - continued
	Shares		Value (000s)
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Sherwin-Williams Co.	249,400		$ 11,460
Staples, Inc.	3,052,100		48,681
Tiffany & Co., Inc. (e)	682,300		12,991
TJX Companies, Inc.	1,568,500		34,930
Urban Outfitters, Inc. (a)	244,200		4,063
			232,329
Textiles, Apparel & Luxury Goods - 0.1%
NIKE, Inc. Class B	263,300		10,935
Polo Ralph Lauren Corp. Class A	229,100		7,897
			18,832
TOTAL CONSUMER DISCRETIONARY			747,062
CONSUMER STAPLES - 4.6%
Beverages - 0.8%
Molson Coors Brewing Co. Class B	359,400		12,662
PepsiCo, Inc.	718,700		34,598
The Coca-Cola Co.	1,567,900		64,049
			111,309
Food & Staples Retailing - 1.5%
Costco Wholesale Corp.	286,200		12,118
CVS Caremark Corp.	543,200		13,982
Wal-Mart Stores, Inc.	3,689,900		181,691
			207,791
Food Products - 0.1%
Lindt & Spruengli AG (participation certificate)	7,104		11,196
Marine Harvest ASA (a)	26,391,400		6,310
			17,506
Household Products - 1.3%
Colgate-Palmolive Co.	503,500		30,301
Energizer Holdings, Inc. (a)	202,300		8,535
Procter & Gamble Co.	2,990,522		144,053
			182,889
Common Stocks - continued
	Shares		Value (000s)
CONSUMER STAPLES - continued
Tobacco - 0.9%
British American Tobacco PLC sponsored ADR	444,400		$ 22,682
Philip Morris International, Inc.	2,806,440		93,932
			116,614
TOTAL CONSUMER STAPLES			636,109
ENERGY - 6.7%
Energy Equipment & Services - 0.4%
Noble Corp.	424,400		10,436
Schlumberger Ltd. (NY Shares)	353,280		13,446
Smith International, Inc.	521,200		11,195
Transocean Ltd. (a)	347,900		20,794
			55,871
Oil, Gas & Consumable Fuels - 6.3%
Arch Coal, Inc.	292,100		4,060
BP PLC sponsored ADR	333,200		12,782
Chesapeake Energy Corp.	1,358,217		21,243
Chevron Corp.	2,888,900		175,385
ConocoPhillips	2,074,100		77,468
Denbury Resources, Inc. (a)	470,400		6,059
Exxon Mobil Corp.	4,833,524		328,187
Frontier Oil Corp.	350,100		4,779
Hess Corp.	616,500		33,716
Occidental Petroleum Corp.	1,506,358		78,135
Petrohawk Energy Corp. (a)	1,387,900		23,622
Petroleo Brasileiro SA - Petrobras sponsored ADR	744,300		20,639
Quicksilver Resources, Inc. (a)	94,300		566
Range Resources Corp.	237,408		8,445
Southwestern Energy Co. (a)	1,382,400		39,772
Ultra Petroleum Corp. (a)	556,300		19,548
Valero Energy Corp.	1,147,800		22,244
			876,650
TOTAL ENERGY			932,521
FINANCIALS - 5.6%
Capital Markets - 2.1%
Bank of New York Mellon Corp.	2,519,100		55,848
Credit Suisse Group sponsored ADR	1,018,100		24,597
EFG International	698,520		4,847
Common Stocks - continued
	Shares		Value (000s)
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.	756,000		$ 68,856
Julius Baer Holding Ltd.	148,473		3,422
KKR Private Equity Investors, LP (a)	923,600		2,078
KKR Private Equity Investors, LP Restricted Depositary Units (a)(g)	977,300		2,199
Morgan Stanley	4,850,100		94,771
Nomura Holdings, Inc.	874,900		3,614
Nomura Holdings, Inc. sponsored ADR	1,149,400		4,701
State Street Corp.	1,013,967		25,623
The Blackstone Group LP	1,542,800		7,513
			298,069
Commercial Banks - 0.6%
KeyCorp	1,657,500		11,619
Standard Chartered PLC (United Kingdom)	510,460		4,810
Wells Fargo & Co.	6,035,840		73,034
			89,463
Diversified Financial Services - 1.4%
Bank of America Corp.	8,313,125		32,837
CIT Group, Inc. (e)	1,901,400		4,658
Citigroup, Inc.	7,614,892		11,422
JPMorgan Chase & Co.	6,130,423		140,080
MSCI, Inc. Class A (a)	87,200		1,374
			190,371
Insurance - 1.4%
ACE Ltd.	1,242,222		45,354
Berkshire Hathaway, Inc. Class B (a)	12,060		30,922
Fidelity National Financial, Inc. Class A	775,600		12,852
MetLife, Inc.	1,313,900		24,255
The Chubb Corp.	482,200		18,825
The First American Corp.	512,600		11,877
The Travelers Companies, Inc.	1,113,800		40,264
Unum Group	909,100		9,255
			193,604
Real Estate Investment Trusts - 0.1%
Simon Property Group, Inc.	359,100		11,886
Thrifts & Mortgage Finance - 0.0%
Washington Mutual, Inc.	281,428		7
TOTAL FINANCIALS			783,400
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - 9.0%
Biotechnology - 2.6%
Alexion Pharmaceuticals, Inc. (a)	811,000		$ 27,736
Amgen, Inc. (a)	1,099,900		53,818
Biogen Idec, Inc. (a)	153,900		7,086
Cephalon, Inc. (a)	360,612		23,653
CSL Ltd.	2,481,857		57,396
Genentech, Inc. (a)	1,871,800		160,132
Gilead Sciences, Inc. (a)	399,900		17,916
United Therapeutics Corp. (a)(e)	149,400		10,026
			357,763
Health Care Equipment & Supplies - 0.6%
Baxter International, Inc.	1,327,400		67,578
C.R. Bard, Inc.	255,600		20,514
			88,092
Health Care Providers & Services - 0.7%
BMP Sunstone Corp. warrants 8/19/12 (a)(p)	59,000		19
Medco Health Solutions, Inc. (a)	1,100,000		44,638
UnitedHealth Group, Inc.	2,894,100		56,869
			101,526
Life Sciences Tools & Services - 0.6%
AMAG Pharmaceuticals, Inc. (a)(e)	181,518		4,910
Illumina, Inc. (a)	962,160		30,144
Millipore Corp. (a)	200,000		11,012
QIAGEN NV (a)	1,506,900		24,141
Waters Corp. (a)	490,758		17,284
			87,491
Pharmaceuticals - 4.5%
Abbott Laboratories	1,469,700		69,576
Allergan, Inc.	576,900		22,349
Auxilium Pharmaceuticals, Inc. (a)(e)	944,100		25,934
Elan Corp. PLC sponsored ADR (a)	1,439,548		8,896
Johnson & Johnson	1,756,400		87,820
Merck & Co., Inc.	3,676,800		88,979
Pfizer, Inc.	10,737,000		132,172
Schering-Plough Corp.	1,840,100		31,999
ULURU, Inc. (a)(f)	3,769,949		754
Common Stocks - continued
	Shares		Value (000s)
HEALTH CARE - continued
Pharmaceuticals - continued
Wyeth	3,460,900		$ 141,274
XenoPort, Inc. (a)	331,253		6,920
			616,673
TOTAL HEALTH CARE			1,251,545
INDUSTRIALS - 5.1%
Aerospace & Defense - 2.1%
DigitalGlobe, Inc. (g)	15,842		40
Honeywell International, Inc.	3,380,000		90,685
Lockheed Martin Corp.	485,100		30,615
Northrop Grumman Corp.	956,200		35,724
Precision Castparts Corp.	361,400		20,032
Raytheon Co.	935,100		37,376
United Technologies Corp.	1,746,000		71,289
			285,761
Air Freight & Logistics - 0.5%
United Parcel Service, Inc. Class B	1,675,900		69,014
Airlines - 0.1%
Delta Air Lines, Inc. (a)	2,016,131		10,141
Building Products - 0.1%
Masco Corp.	2,326,973		11,984
Electrical Equipment - 0.3%
Acuity Brands, Inc.	282,800		6,482
AMETEK, Inc.	271,400		7,181
Cooper Industries Ltd. Class A	988,300		20,843
First Solar, Inc. (a)	72,500		7,666
			42,172
Industrial Conglomerates - 0.6%
General Electric Co.	5,761,900		49,034
McDermott International, Inc. (a)	1,141,600		13,459
Siemens AG sponsored ADR	456,400		23,103
Textron, Inc.	8,100		46
			85,642
Machinery - 1.2%
Cummins, Inc.	1,302,200		27,086
Danaher Corp.	948,000		48,120
Deere & Co.	647,300		17,794
Eaton Corp.	166,400		6,015
Common Stocks - continued
	Shares		Value (000s)
INDUSTRIALS - continued
Machinery - continued
Ingersoll-Rand Co. Ltd. Class A	791,100		$ 11,218
Navistar International Corp. (a)	831,500		23,448
PACCAR, Inc.	950,000		23,817
Parker Hannifin Corp.	316,900		10,575
			168,073
Professional Services - 0.1%
Manpower, Inc.	416,100		11,601
Road & Rail - 0.1%
Union Pacific Corp.	453,556		17,017
TOTAL INDUSTRIALS			701,405
INFORMATION TECHNOLOGY - 10.7%
Communications Equipment - 1.6%
Cisco Systems, Inc. (a)	8,486,600		123,650
QUALCOMM, Inc.	2,968,300		99,230
			222,880
Computers & Peripherals - 2.7%
Apple, Inc. (a)	1,335,500		119,274
Hewlett-Packard Co.	4,463,402		129,573
International Business Machines Corp.	1,320,900		121,562
			370,409
Electronic Equipment & Components - 0.6%
Amphenol Corp. Class A	1,123,224		28,552
Arrow Electronics, Inc. (a)	884,400		14,708
Avnet, Inc. (a)	897,300		15,496
Flextronics International Ltd. (a)	4,360,700		8,983
Ingram Micro, Inc. Class A (a)	1,195,800		13,022
Tyco Electronics Ltd.	818,556		7,760
			88,521
Internet Software & Services - 0.9%
Alibaba.com Ltd. (a)	806,000		687
China Finance Online Co. Ltd. ADR (a)	212,160		1,861
eBay, Inc. (a)	1,457,700		15,845
Google, Inc. Class A (sub. vtg.) (a)	303,500		102,580
			120,973
IT Services - 1.4%
Accenture Ltd. Class A	1,773,100		51,757
Cognizant Technology Solutions Corp. Class A (a)	867,100		15,955
Common Stocks - continued
	Shares		Value (000s)
INFORMATION TECHNOLOGY - continued
IT Services - continued
MasterCard, Inc. Class A	368,600		$ 58,250
Visa, Inc.	1,223,800		69,402
			195,364
Semiconductors & Semiconductor Equipment - 1.8%
Applied Materials, Inc.	4,163,000		38,341
Applied Micro Circuits Corp. (a)	1,269,100		4,581
Cree, Inc. (a)	861,800		16,926
Intel Corp.	6,309,040		80,377
Intersil Corp. Class A	1,590,200		16,077
Lam Research Corp. (a)	703,700		13,764
Marvell Technology Group Ltd. (a)	2,375,100		17,837
Novellus Systems, Inc. (a)	782,500		9,977
Skyworks Solutions, Inc. (a)	986,900		6,415
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR	2,445,200		18,437
Texas Instruments, Inc.	2,391,900		34,324
			257,056
Software - 1.7%
Activision Blizzard, Inc. (a)	478,800		4,802
CA, Inc.	1,258,200		21,326
Microsoft Corp.	4,487,813		72,478
Nintendo Co. Ltd.	2,037		574
Oracle Corp. (a)	6,427,000		99,876
Symantec Corp. (a)	2,627,100		36,333
			235,389
TOTAL INFORMATION TECHNOLOGY			1,490,592
MATERIALS - 2.0%
Chemicals - 1.2%
Airgas, Inc.	1,091,300		33,601
Albemarle Corp.	1,264,200		24,462
Celanese Corp. Class A	1,151,581		9,835
E.I. du Pont de Nemours & Co.	1,571,300		29,478
FMC Corp.	119,000		4,811
Monsanto Co.	540,100		41,193
Nalco Holding Co.	858,700		9,763
Solutia, Inc. (a)	190,000		713
Terra Industries, Inc.	636,300		16,410
			170,266
Common Stocks - continued
	Shares		Value (000s)
MATERIALS - continued
Containers & Packaging - 0.0%
Rock-Tenn Co. Class A	271,800		$ 7,504
Metals & Mining - 0.8%
Anglo American PLC ADR	688,500		4,868
ArcelorMittal SA (NY Shares) Class A (e)	350,300		6,771
Barrick Gold Corp.	686,700		20,755
Commercial Metals Co.	559,100		5,708
Freeport-McMoRan Copper & Gold, Inc. Class B	924,200		28,114
Newcrest Mining Ltd.	1,050,589		20,658
Nucor Corp.	439,600		14,793
Stillwater Mining Co. (a)	1,012,100		3,198
			104,865
TOTAL MATERIALS			282,635
TELECOMMUNICATION SERVICES - 2.1%
Diversified Telecommunication Services - 1.9%
AT&T, Inc.	1,627,236		38,679
Qwest Communications International, Inc.	5,924,300		20,083
Verizon Communications, Inc.	7,141,795		203,755
			262,517
Wireless Telecommunication Services - 0.2%
Sprint Nextel Corp. (a)	8,146,700		26,803
TOTAL TELECOMMUNICATION SERVICES			289,320
UTILITIES - 1.1%
Electric Utilities - 0.9%
Entergy Corp.	320,300		21,585
Exelon Corp.	991,300		46,809
FirstEnergy Corp.	774,800		32,975
FPL Group, Inc.	455,500		20,648
Portland General Electric Co.	13,771		226
			122,243
Gas Utilities - 0.1%
Questar Corp.	687,300		19,815
Common Stocks - continued
	Shares		Value (000s)
UTILITIES - continued
Independent Power Producers & Energy Traders - 0.1%
NRG Energy, Inc. (a)	480,500		$ 9,081
TOTAL UTILITIES			151,139
TOTAL COMMON STOCKS (Cost $9,009,015)		7,265,728
Preferred Stocks - 0.2%
Convertible Preferred Stocks - 0.2%
ENERGY - 0.1%
Oil, Gas & Consumable Fuels - 0.1%
Chesapeake Energy Corp. 4.50%	56,300		3,272
El Paso Corp. 4.99% (g)	8,100		4,982
			8,254
FINANCIALS - 0.1%
Commercial Banks - 0.1%
Wells Fargo & Co. 7.50%	22,600		10,396
Insurance - 0.0%
American International Group, Inc. Series A, 8.50%	800,000		3,688
TOTAL FINANCIALS			14,084
INFORMATION TECHNOLOGY - 0.0%
Internet Software & Services - 0.0%
wetpaint.com, Inc. Series C (p)	497,017		994
UTILITIES - 0.0%
Electric Utilities - 0.0%
AES Trust III 6.75%	126,300		4,049
TOTAL CONVERTIBLE PREFERRED STOCKS			27,381
Nonconvertible Preferred Stocks - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
Preferred Blocker, Inc. 7.00% (g)	4,406		705
Preferred Stocks - continued
	Shares		Value (000s)
Nonconvertible Preferred Stocks - continued
TELECOMMUNICATION SERVICES - 0.0%
Diversified Telecommunication Services - 0.0%
PTV, Inc. Series A, 10.00%	187		$ 0*
TOTAL NONCONVERTIBLE PREFERRED STOCKS			705
TOTAL PREFERRED STOCKS (Cost $102,339)		28,086

Corporate Bonds - 14.3%
	Principal Amount (000s)
Convertible Bonds - 0.5%
CONSUMER DISCRETIONARY - 0.1%
Media - 0.1%
Liberty Media Corp.:
3.5% 1/15/31	$ 512		224
3.5% 1/15/31 (g)	3,785		1,653
Regal Entertainment Group 6.25% 3/15/11 (g)	4,580		4,076
Virgin Media, Inc. 6.5% 11/15/16 (g)	10,000		5,388
			11,341
Specialty Retail - 0.0%
United Auto Group, Inc. 3.5% 4/1/26	10,340		6,679
TOTAL CONSUMER DISCRETIONARY			18,020
CONSUMER STAPLES - 0.1%
Food & Staples Retailing - 0.1%
The Great Atlantic & Pacific Tea Co. 6.75% 12/15/12	17,480		8,565
ENERGY - 0.2%
Oil, Gas & Consumable Fuels - 0.2%
Chesapeake Energy Corp. 2.5% 5/15/37	43,570		26,456
FINANCIALS - 0.0%
Real Estate Investment Trusts - 0.0%
Vornado Realty LP 3.625% 11/15/26	5,900		4,720
INDUSTRIALS - 0.0%
Marine - 0.0%
Horizon Lines, Inc. 4.25% 8/15/12 (g)	6,209		2,980
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Convertible Bonds - continued
INFORMATION TECHNOLOGY - 0.0%
Semiconductors & Semiconductor Equipment - 0.0%
Advanced Micro Devices, Inc. 6% 5/1/15 (g)	$ 6,000		$ 2,190
Spansion, Inc. 2.25% 6/15/16 (d)(g)	1,480		7
			2,197
TELECOMMUNICATION SERVICES - 0.1%
Diversified Telecommunication Services - 0.1%
Qwest Communications International, Inc. 3.5% 11/15/25	9,500		8,681
TOTAL CONVERTIBLE BONDS			71,619
Nonconvertible Bonds - 13.8%
CONSUMER DISCRETIONARY - 1.8%
Auto Components - 0.1%
DaimlerChrysler NA Holding Corp.:
5.75% 9/8/11	3,297		3,104
5.875% 3/15/11	1,224		1,165
The Goodyear Tire & Rubber Co.:
7.857% 8/15/11	5,355		4,284
8.625% 12/1/11	3,117		2,502
9% 7/1/15	5,030		3,672
			14,727
Automobiles - 0.0%
Ford Motor Co.:
7.125% 11/15/25	165		26
7.4% 11/1/46	1,040		156
7.45% 7/16/31	14,650		2,747
7.5% 8/1/26	470		71
7.75% 6/15/43	1,735		260
8.875% 1/15/22	890		142
8.9% 1/15/32	400		67
General Motors Corp. 8.375% 7/15/33	7,970		1,056
			4,525
Diversified Consumer Services - 0.1%
Education Management LLC/Education Management Finance Corp.:
8.75% 6/1/14	1,945		1,848
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Diversified Consumer Services - continued
Education Management LLC/Education Management Finance Corp.: - continued
10.25% 6/1/16	$ 2,110		$ 1,962
Mac-Gray Corp. 7.625% 8/15/15	5,400		4,968
			8,778
Hotels, Restaurants & Leisure - 0.2%
Chukchansi Economic Development Authority:
6.095% 11/15/12 (g)(m)	1,140		188
8% 11/15/13 (g)	1,890		312
McDonald's Corp. 5.35% 3/1/18	1,378		1,421
MGM Mirage, Inc.:
6.625% 7/15/15	1,505		602
7.5% 6/1/16	1,555		603
7.625% 1/15/17	6,865		2,815
13% 11/15/13 (g)	12,000		9,240
OSI Restaurant Partners, Inc. 10% 6/15/15	2,420		532
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (g)	1,080		805
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g)	2,270		1,317
Six Flags Operations, Inc. 12.25% 7/15/16 (g)	3,060		1,698
Six Flags, Inc. 9.625% 6/1/14	6,858		1,269
Station Casinos, Inc.:
6% 4/1/12 (d)	7,405		2,370
7.75% 8/15/16 (d)	1,735		555
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g)	1,736		1,042
			24,769
Household Durables - 0.0%
Fortune Brands, Inc.:
5.125% 1/15/11	2,498		2,462
5.875% 1/15/36	1,500		1,036
K. Hovnanian Enterprises, Inc. 11.5% 5/1/13	300		234
			3,732
Media - 1.1%
AOL Time Warner, Inc.:
6.75% 4/15/11	1,109		1,125
6.875% 5/1/12	1,438		1,450
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
CanWest Media, Inc. 8% 9/15/12	$ 8,625		$ 1,251
Charter Communications Holdings I LLC/Charter Communications Holdings I Capital Corp. 11% 10/1/15 (d)	17,730		1,507
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. Series B, 10.25% 9/15/10	7,240		5,901
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:
8% 4/30/12 (g)	1,500		1,339
8.375% 4/30/14 (g)	10,000		8,625
Clear Channel Communications, Inc.:
4.4% 5/15/11	1,800		180
5% 3/15/12	4,405		374
6.25% 3/15/11	2,510		276
Comcast Cable Communications, Inc. 6.75% 1/30/11	301		312
Comcast Corp.:
4.95% 6/15/16	1,107		989
5.5% 3/15/11	225		228
5.7% 5/15/18	5,309		4,906
5.85% 1/15/10	36		36
6.45% 3/15/37	4,155		3,568
COX Communications, Inc.:
4.625% 1/15/10	1,261		1,250
4.625% 6/1/13	2,632		2,380
CSC Holdings, Inc. 8.5% 4/15/14 (g)	3,630		3,521
EchoStar Communications Corp.:
6.625% 10/1/14	3,000		2,715
7.125% 2/1/16	5,000		4,525
7.75% 5/31/15	3,705		3,450
Kabel Deutschland GmbH 10.625% 7/1/14	375		377
Lamar Media Corp.:
6.625% 8/15/15	2,080		1,342
6.625% 8/15/15	2,500		1,644
7.25% 1/1/13	1,585		1,236
LBI Media, Inc. 8.5% 8/1/17 (g)	6,320		1,896
Liberty Media Corp.:
5.7% 5/15/13	2,055		1,554
8.25% 2/1/30	10,280		5,985
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Media - continued
Muzak LLC/Muzak Finance Corp. 10% 2/15/09 (d)	$ 5,455		$ 3,328
News America Holdings, Inc. 7.75% 12/1/45	18,112		15,729
News America, Inc.:
4.75% 3/15/10	144		140
5.3% 12/15/14	516		486
6.2% 12/15/34	5,885		4,472
6.9% 3/1/19 (g)	1,724		1,632
Nexstar Broadcasting, Inc. 7% 1/15/14	8,000		2,320
Nexstar Finance Holdings LLC/Nexstar Finance Holdings, Inc. 11.375% 4/1/13	4,033		1,089
Nielsen Finance LLC/Nielsen Finance Co.:
10% 8/1/14	9,095		7,526
11.625% 2/1/14 (g)	1,800		1,611
Radio One, Inc. 8.875% 7/1/11	4,005		1,202
Rainbow National Services LLC:
8.75% 9/1/12 (g)	4,000		3,920
10.375% 9/1/14 (g)	7,775		7,697
The Reader's Digest Association, Inc. 9% 2/15/17	9,530		667
Time Warner Cable, Inc.:
5.4% 7/2/12	1,440		1,385
6.2% 7/1/13	1,369		1,326
6.75% 7/1/18	691		655
7.3% 7/1/38	1,848		1,686
8.75% 2/14/19	2,359		2,518
Time Warner, Inc.:
5.875% 11/15/16	3,605		3,378
6.5% 11/15/36	3,295		2,820
TL Acquisitions, Inc. 10.5% 1/15/15 (g)	23,565		11,134
Vertis, Inc. 13.5% 4/1/14 pay-in-kind	573		6
Videotron Ltd.:
9.125% 4/15/18 (g)	3,045		3,075
9.125% 4/15/18 (g)	2,520		2,545
			146,289
Multiline Retail - 0.0%
Macy's Retail Holdings, Inc. 7.875% 7/15/15	1,382		991
Specialty Retail - 0.3%
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12	7,125		7,143
Home Depot, Inc. 2.0463% 12/16/09 (m)	2,520		2,447
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER DISCRETIONARY - continued
Specialty Retail - continued
Michaels Stores, Inc. 10% 11/1/14	$ 7,940		$ 2,700
Sally Holdings LLC 9.25% 11/15/14	2,050		1,953
Staples, Inc. 9.75% 1/15/14	20,087		21,075
Toys 'R' US, Inc. 7.875% 4/15/13	6,585		2,239
			37,557
Textiles, Apparel & Luxury Goods - 0.0%
Levi Strauss & Co. 8.875% 4/1/16	6,000		4,500
TOTAL CONSUMER DISCRETIONARY			245,868
CONSUMER STAPLES - 0.6%
Beverages - 0.2%
Anheuser-Busch Companies, Inc. 6.45% 9/1/37	43		37
Anheuser-Busch InBev Worldwide, Inc. 8.2% 1/15/39 (g)	8,200		7,950
Constellation Brands, Inc.:
7.25% 9/1/16	2,795		2,634
7.25% 5/15/17	2,400		2,274
Diageo Capital PLC:
5.2% 1/30/13	3,201		3,258
5.75% 10/23/17	1,105		1,101
FBG Finance Ltd. 5.125% 6/15/15 (g)	1,730		1,469
PepsiCo, Inc. 7.9% 11/1/18	6,140		7,379
			26,102
Food & Staples Retailing - 0.1%
CVS Caremark Corp.:
2.5025% 6/1/10 (m)	1,353		1,312
6.036% 12/10/28 (g)	1,352		1,032
6.302% 6/1/37 (m)	2,791		1,716
Rite Aid Corp. 10.375% 7/15/16	9,795		6,073
Wal-Mart Stores, Inc. 6.2% 4/15/38	6,660		6,907
			17,040
Food Products - 0.1%
Cargill, Inc. 6% 11/27/17 (g)	417		389
Dean Foods Co. 7% 6/1/16	8,335		7,918
General Mills, Inc. 5.65% 2/15/19	934		933
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
CONSUMER STAPLES - continued
Food Products - continued
Kraft Foods, Inc.:
5.625% 11/1/11	$ 2,156		$ 2,253
6.75% 2/19/14	318		339
			11,832
Personal Products - 0.0%
Avon Products, Inc. 4.8% 3/1/13	1,054		1,028
Tobacco - 0.2%
Altria Group, Inc.:
9.25% 8/6/19	5,910		6,024
9.7% 11/10/18	16,293		17,059
Philip Morris International, Inc.:
4.875% 5/16/13	1,054		1,065
6.375% 5/16/38	2,900		2,852
Reynolds American, Inc.:
6.75% 6/15/17	1,724		1,456
7.25% 6/15/37	6,485		4,721
			33,177
TOTAL CONSUMER STAPLES			89,179
ENERGY - 2.0%
Energy Equipment & Services - 0.1%
DCP Midstream LLC 9.75% 3/15/19 (g)	4,276		4,145
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g)	5,420		3,062
Noble Drilling Corp. 5.875% 6/1/13	639		620
Transocean Ltd. 5.25% 3/15/13	2,042		2,023
Weatherford International Ltd.:
4.95% 10/15/13	1,026		874
5.15% 3/15/13	1,341		1,186
			11,910
Oil, Gas & Consumable Fuels - 1.9%
Arch Western Finance LLC 6.75% 7/1/13	4,960		4,613
BW Group Ltd. 6.625% 6/28/17 (g)	1,742		915
Canadian Natural Resources Ltd.:
5.15% 2/1/13	2,650		2,534
5.7% 5/15/17	683		603
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g)	2,429		2,415
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Chaparral Energy, Inc.:
8.5% 12/1/15	$ 3,100		$ 651
8.875% 2/1/17	10,890		2,287
Chesapeake Energy Corp.:
6.5% 8/15/17	14,280		11,281
9.5% 2/15/15	5,440		5,093
Colorado Interstate Gas Co. 5.95% 3/15/15	7,000		6,188
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (g)	5,990		2,246
ConocoPhillips:
4.75% 2/1/14	621		628
5.75% 2/1/19	7,588		7,425
6.5% 2/1/39	3,908		3,788
Devon Energy Corp. 5.625% 1/15/14	1,381		1,392
Drummond Co., Inc. 7.375% 2/15/16 (g)	8,000		4,560
Duke Capital LLC:
6.25% 2/15/13	589		584
6.75% 2/15/32	2,454		1,916
Duke Energy Field Services:
5.375% 10/15/15 (g)	720		591
6.45% 11/3/36 (g)	8,320		5,861
6.875% 2/1/11	1,363		1,360
7.875% 8/16/10	611		618
El Paso Natural Gas Co. 5.95% 4/15/17	551		471
Empresa Nacional de Petroleo 6.75% 11/15/12 (g)	998		1,002
Enbridge Energy Partners LP:
5.875% 12/15/16	1,064		912
6.5% 4/15/18	1,398		1,219
9.875% 3/1/19	1,726		1,792
EnCana Holdings Finance Corp. 5.8% 5/1/14	1,702		1,652
Energy Partners Ltd. 9.75% 4/15/14	10,970		3,181
Enterprise Products Operating LP:
4.625% 10/15/09	1,147		1,141
5.6% 10/15/14	1,152		1,070
5.65% 4/1/13	410		392
EXCO Resources, Inc. 7.25% 1/15/11	5,585		4,440
Forest Oil Corp.:
7.25% 6/15/19	9,250		7,354
8.5% 2/15/14 (g)	2,955		2,682
Gazstream SA 5.625% 7/22/13 (g)	647		579
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Gulf South Pipeline Co. LP 5.75% 8/15/12 (g)	$ 2,276		$ 2,067
Kinder Morgan Energy Partners LP 5.125% 11/15/14	10,945		10,316
Lukoil International Finance BV 6.656% 6/7/22 (g)	720		490
Mariner Energy, Inc. 8% 5/15/17	2,100		1,355
Massey Energy Co. 6.875% 12/15/13	10,565		9,297
Nakilat, Inc. 6.067% 12/31/33 (g)	883		576
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (g)	3,700		2,352
Nexen, Inc.:
5.05% 11/20/13	2,265		2,057
5.2% 3/10/15	535		459
5.875% 3/10/35	2,365		1,612
6.4% 5/15/37	4,230		2,985
NGPL PipeCo LLC 6.514% 12/15/12 (g)	2,099		2,029
Peabody Energy Corp. 7.875% 11/1/26	7,925		6,657
Pemex Project Funding Master Trust 3.2963% 6/15/10 (g)(m)	734		708
Petrohawk Energy Corp. 9.125% 7/15/13	17,000		15,980
Petroleos Mexicanos 8% 5/3/19 (g)	3,438		3,378
Petroleum Development Corp. 12% 2/15/18	4,240		2,629
Plains All American Pipeline LP:
6.125% 1/15/17	1,880		1,601
6.65% 1/15/37	4,780		3,493
7.75% 10/15/12	1,389		1,399
Plains Exploration & Production Co.:
7% 3/15/17	4,400		3,718
7.625% 6/1/18	7,415		6,340
7.75% 6/15/15	6,000		5,430
Range Resources Corp. 7.375% 7/15/13	1,330		1,277
Ras Laffan Liquid Natural Gas Co. Ltd. 8.294% 3/15/14 (g)	1,760		1,813
Ras Laffan Liquid Natural Gas Co. Ltd. III:
5.832% 9/30/16 (g)	791		692
6.332% 9/30/27 (g)	5,710		4,462
Rockies Express Pipeline LLC 6.25% 7/15/13 (g)	1,603		1,560
SandRidge Energy, Inc. 8.625% 4/1/15 pay-in-kind (m)	6,610		4,462
Ship Finance International Ltd. 8.5% 12/15/13	10,070		7,502
Source Gas LLC 5.9% 4/1/17 (g)	2,088		1,565
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
ENERGY - continued
Oil, Gas & Consumable Fuels - continued
Southwestern Energy Co. 7.5% 2/1/18 (g)	$ 3,340		$ 3,156
Stone Energy Corp. 6.75% 12/15/14	5,580		2,567
Suncor Energy, Inc.:
6.1% 6/1/18	6,842		5,639
6.85% 6/1/39	6,550		4,765
Talisman Energy, Inc. yankee 6.25% 2/1/38	2,650		1,810
Teekay Corp. 8.875% 7/15/11	10,030		9,529
Tennessee Gas Pipeline Co. 8% 2/1/16 (g)	825		811
TEPPCO Partners LP 5.9% 4/15/13	1,908		1,723
Texas Eastern Transmission LP 6% 9/15/17 (g)	948		886
TransCanada PipeLines Ltd. 6.35% 5/15/67 (m)	1,397		845
Williams Companies, Inc.:
6.375% 10/1/10 (g)	4,195		4,132
7.625% 7/15/19	2,985		2,791
8.125% 3/15/12	6,285		6,191
XTO Energy, Inc.:
5% 1/31/15	1,031		957
5.65% 4/1/16	707		664
5.9% 8/1/12	2,623		2,600
6.5% 12/15/18	5,000		4,880
			259,643
TOTAL ENERGY			271,553
FINANCIALS - 3.3%
Capital Markets - 0.7%
Bear Stearns Companies, Inc.:
1.2625% 10/22/10 (m)	1,379		1,327
1.346% 8/21/09 (m)	689		678
1.3525% 7/16/09 (m)	339		335
2.4556% 9/9/09 (m)	749		737
3.25% 3/25/09	404		404
4.245% 1/7/10	717		703
4.5% 10/28/10	1,080		1,072
5.3% 10/30/15	689		635
5.85% 7/19/10	2,220		2,239
6.95% 8/10/12	11,066		11,454
BlackRock, Inc. 6.25% 9/15/17	1,810		1,721
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
Goldman Sachs Group, Inc.:
5.25% 10/15/13	$ 3,478		$ 3,217
5.45% 11/1/12	2,220		2,140
5.95% 1/18/18	2,350		2,101
6.15% 4/1/18	1,161		1,055
6.6% 1/15/12	1,008		1,011
6.75% 10/1/37	8,835		6,282
6.875% 1/15/11	161		163
7.5% 2/15/19	11,036		10,931
Janus Capital Group, Inc. 6.5% 6/15/12	1,653		1,116
JPMorgan Chase Capital XX 6.55% 9/29/36	11,345		8,024
Lazard Group LLC:
6.85% 6/15/17	2,262		1,690
7.125% 5/15/15	811		616
Merrill Lynch & Co., Inc.:
5.45% 2/5/13	3,781		3,375
6.15% 4/25/13	652		573
6.4% 8/28/17	1,830		1,440
6.875% 4/25/18	2,591		2,156
Morgan Stanley:
1.6475% 1/9/12 (m)	6,662		5,475
1.6975% 1/9/14 (m)	2,947		1,975
4.75% 4/1/14	468		392
5.05% 1/21/11	1,794		1,769
5.25% 11/2/12	144		135
5.45% 1/9/17	140		121
5.95% 12/28/17	324		286
6.6% 4/1/12	3,370		3,346
6.625% 4/1/18	806		744
6.75% 4/15/11	4,992		5,012
Northern Trust Corp. 5.5% 8/15/13	168		174
Nuveen Investments, Inc. 10.5% 11/15/15 (g)	6,070		1,396
Scotland International Finance No. 2 BV 7.7% 8/15/10 (g)	576		578
The Bank of New York, Inc. 4.95% 11/1/12	2,277		2,290
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Capital Markets - continued
UBS AG Stamford Branch:
5.75% 4/25/18	$ 2,418		$ 2,114
5.875% 12/20/17	1,760		1,559
			94,561
Commercial Banks - 0.6%
American Express Bank FSB:
5.5% 4/16/13	2,410		2,281
6% 9/13/17	366		324
ANZ National International Ltd. 6.2% 7/19/13 (g)	647		626
Bank of America NA 6% 10/15/36	2,235		1,537
Bank One Corp.:
5.25% 1/30/13	548		532
7.875% 8/1/10	407		420
BB&T Corp. 6.5% 8/1/11	732		746
Chase Manhattan Corp. 7.875% 6/15/10	915		936
Credit Suisse First Boston 6% 2/15/18	9,961		9,037
Credit Suisse First Boston New York Branch 5% 5/15/13	10,815		10,441
DBS Bank Ltd. (Singapore) 1.4544% 5/16/17 (g)(m)	3,570		2,820
Export-Import Bank of Korea:
5.125% 2/14/11	1,720		1,663
5.25% 2/10/14 (g)	333		299
5.5% 10/17/12	1,329		1,258
Fifth Third Bancorp:
4.5% 6/1/18	73		46
8.25% 3/1/38	1,237		896
HBOS PLC 6.75% 5/21/18 (g)	408		328
HSBC Holdings PLC:
1.6125% 10/6/16 (m)	868		696
6.5% 5/2/36	6,610		5,847
6.5% 9/15/37	8,400		7,311
JPMorgan Chase Bank 6% 10/1/17	1,234		1,168
KeyBank NA:
5.8% 7/1/14	660		588
7% 2/1/11	662		654
Korea Development Bank:
3.875% 3/2/09	2,108		2,108
4.625% 9/16/10	1,080		1,051
4.75% 7/20/09	552		549
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Commercial Banks - continued
Manufacturers & Traders Trust Co. 2.935% 4/1/13 (g)(m)	$ 547		$ 458
National City Bank, Cleveland:
4.15% 8/1/09	1,123		1,115
4.5% 3/15/10	1,734		1,723
PNC Funding Corp.:
1.3144% 1/31/12 (m)	3,525		2,804
7.5% 11/1/09	1,194		1,190
Rabobank Capital Funding Trust II 5.26% (g)(m)	335		144
Santander Issuances SA Unipersonal:
1.885% 6/20/16 (g)(m)	2,649		1,995
5.805% 6/20/16 (g)(m)	2,477		1,734
Sovereign Bank 2.88% 8/1/13 (m)	1,242		926
Standard Chartered Bank 6.4% 9/26/17 (g)	2,577		2,061
UniCredit Luxembourg Finance SA 5.584% 1/13/17 (g)(m)	1,728		778
Union Planters Corp. 7.75% 3/1/11	353		343
UnionBanCal Corp. 5.25% 12/16/13	390		364
Wachovia Bank NA 4.875% 2/1/15	829		740
Wachovia Corp.:
1.2244% 10/15/11 (m)	2,366		2,099
1.255% 4/23/12 (m)	320		276
2.2525% 12/1/09 (m)	640		632
5.625% 10/15/16	2,003		1,781
5.75% 6/15/17	1,728		1,621
Wells Fargo & Co.:
4.2% 1/15/10	1,552		1,550
5.625% 12/11/17	1,847		1,753
Wells Fargo Bank NA, San Francisco 6.45% 2/1/11	342		346
			80,595
Consumer Finance - 0.6%
American Express Credit Corp. 5.875% 5/2/13	343		315
Capital One Financial Corp. 2.4694% 9/10/09 (m)	1,931		1,859
Discover Financial Services:
2.6288% 6/11/10 (m)	2,370		2,100
6.45% 6/12/17	6,200		4,690
Ford Motor Credit Co. LLC:
5.5444% 4/15/09 (m)	17,355		15,967
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Consumer Finance - continued
Ford Motor Credit Co. LLC: - continued
8% 12/15/16	$ 11,965		$ 5,564
12% 5/15/15	6,990		4,159
General Electric Capital Corp. 5.625% 9/15/17	17,812		15,524
GMAC LLC:
7% 2/1/12 (g)	5,945		3,537
7.5% 12/31/13 (g)	1,762		740
8% 11/1/31 (g)	12,581		5,661
Household Finance Corp.:
6.375% 10/15/11	1,096		1,067
7% 5/15/12	276		274
HSBC Finance Corp.:
5.25% 1/14/11	771		757
5.25% 1/15/14	621		581
MBNA America Bank NA 7.125% 11/15/12 (g)	409		392
MBNA Corp. 7.5% 3/15/12	948		875
Nissan Motor Acceptance Corp. 4.625% 3/8/10 (g)	2,501		2,350
ORIX Corp. 5.48% 11/22/11	227		157
SLM Corp.:
1.3194% 7/26/10 (m)	20,263		16,696
1.3894% 10/25/11 (m)	5,381		3,770
2.1963% 3/15/11 (m)	66		50
4.5% 7/26/10	2,889		2,284
Systems 2001 Asset Trust LLC 7.156% 12/15/11��(g)	244		208
			89,577
Diversified Financial Services - 0.7%
Bank of America Corp. 7.4% 1/15/11	5,103		4,738
BP Capital Markets PLC 5.25% 11/7/13	13,466		14,308
BTM Curacao Holding NV 1.8975% 12/19/16 (g)(m)	1,709		1,320
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13	9,335		7,375
CIT Group, Inc.:
1.3866% 6/8/09 (m)	690		660
4.75% 12/15/10	484		368
5.4% 2/13/12	1,447		1,092
Citigroup, Inc.:
1.3356% 5/18/11 (m)	1,656		1,385
5.3% 10/17/12	8,973		7,959
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Diversified Financial Services - continued
Citigroup, Inc.: - continued
5.5% 4/11/13	$ 6,263		$ 5,671
6.125% 5/15/18	4,915		4,238
6.5% 1/18/11	770		726
6.5% 8/19/13	12,925		12,050
CME Group, Inc. 5.75% 2/15/14	2,601		2,618
GlaxoSmithKline Capital, Inc. 5.65% 5/15/18	12,399		12,765
Hilcorp Energy I LP/Hilcorp Finance Co.:
7.75% 11/1/15 (g)	5,200		3,978
9% 6/1/16 (g)	5,690		4,524
ILFC E-Capital Trust I 5.9% 12/21/65 (g)(m)	1,765		353
International Lease Finance Corp.:
5.4% 2/15/12	1,688		1,089
6.375% 3/25/13	886		514
6.625% 11/15/13	1,603		914
JPMorgan Chase & Co.:
4.891% 9/1/15 (m)	1,608		1,291
5.6% 6/1/11	1,824		1,860
5.75% 1/2/13	1,306		1,290
6.75% 2/1/11	221		226
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g)	165		153
NSG Holdings II, LLC 7.75% 12/15/25 (g)	6,750		5,400
Prime Property Funding, Inc.:
5.125% 6/1/15 (g)	642		424
5.5% 1/15/14 (g)	409		280
5.7% 4/15/17 (g)	999		640
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)	1,908		1,402
ZFS Finance USA Trust I 6.15% 12/15/65 (g)(m)	1,369		602
ZFS Finance USA Trust II 6.45% 12/15/65 (g)(m)	2,951		1,201
ZFS Finance USA Trust IV 5.875% 5/9/32 (g)(m)	1,473		568
			103,982
Insurance - 0.2%
Assurant, Inc.:
5.625% 2/15/14	1,126		930
6.75% 2/15/34	1,159		724
Axis Capital Holdings Ltd. 5.75% 12/1/14	329		254
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Insurance - continued
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(m)	$ 878		$ 544
HUB International Holdings, Inc. 9% 12/15/14 (g)	3,710		2,430
Jackson National Life Global Funding 5.375% 5/8/13 (g)	444		406
Liberty Mutual Group, Inc. 6.5% 3/15/35 (g)	350		213
MetLife, Inc.:
5% 6/15/15	686		637
6.125% 12/1/11	583		584
7.717% 2/15/19	6,959		6,715
Metropolitan Life Global Funding I:
4.625% 8/19/10 (g)	1,944		1,893
5.125% 4/10/13 (g)	329		314
Monumental Global Funding II 5.65% 7/14/11 (g)	973		982
Monumental Global Funding III 5.5% 4/22/13 (g)	1,297		1,143
Pacific Life Global Funding 5.15% 4/15/13 (g)	1,995		1,946
Prudential Financial, Inc.:
5.15% 1/15/13	1,277		1,142
5.4% 6/13/35	266		157
5.5% 3/15/16	250		209
5.7% 12/14/36	226		138
8.875% 6/15/68 (m)	1,751		998
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(m)	1,969		925
Symetra Financial Corp. 6.125% 4/1/16 (g)	3,053		2,406
The St. Paul Travelers Companies, Inc. 8.125% 4/15/10	736		748
USI Holdings Corp. 5.1125% 11/15/14 (g)(m)	2,920		1,387
			27,825
Real Estate Investment Trusts - 0.4%
AMB Property LP 5.9% 8/15/13	1,520		1,053
Arden Realty LP 5.2% 9/1/11	789		795
AvalonBay Communities, Inc.:
4.95% 3/15/13	216		191
5.5% 1/15/12	1,410		1,314
6.625% 9/15/11	482		465
Brandywine Operating Partnership LP:
4.5% 11/1/09	1,819		1,753
5.625% 12/15/10	2,403		2,123
5.75% 4/1/12	1,095		602
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
BRE Properties, Inc.:
4.875% 5/15/10	$ 1,522		$ 1,432
5.75% 9/1/09	360		358
Camden Property Trust:
4.375% 1/15/10	871		784
5.375% 12/15/13	387		317
5.875% 11/30/12	1,743		1,499
Colonial Properties Trust 4.75% 2/1/10	3,330		3,184
CPG Partners LP 6% 1/15/13	599		532
Developers Diversified Realty Corp.:
4.625% 8/1/10	1,775		1,253
5% 5/3/10	1,320		924
5.25% 4/15/11	1,433		705
5.375% 10/15/12	757		363
Duke Realty LP:
4.625% 5/15/13	369		248
5.25% 1/15/10	267		255
5.4% 8/15/14	325		222
5.5% 3/1/16	2,930		1,829
5.625% 8/15/11	4,312		3,674
5.875% 8/15/12	67		51
Equity One, Inc.:
6% 9/15/17	503		332
6.25% 1/15/17	291		198
Federal Realty Investment Trust:
5.4% 12/1/13	243		185
6% 7/15/12	1,728		1,422
6.2% 1/15/17	365		277
Hospitality Properties Trust 5.625% 3/15/17	707		394
HRPT Properties Trust:
5.75% 11/1/15	524		346
6.25% 6/15/17	726		449
6.65% 1/15/18	364		232
Liberty Property LP:
5.125% 3/2/15	500		363
5.5% 12/15/16	876		604
Mack-Cali Realty LP:
5.05% 4/15/10	478		449
7.25% 3/15/09	1,718		1,715
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Real Estate Investment Trusts - continued
Mack-Cali Realty LP: - continued
7.75% 2/15/11	$ 575		$ 541
Omega Healthcare Investors, Inc. 7% 1/15/16	4,090		3,712
Rouse Co.:
3.625% 3/15/09 (d)	10,830		3,520
5.375% 11/26/13 (d)	4,960		1,488
Rouse Co. LP/TRC, Inc. 6.75% 5/1/13 (d)(g)	3,675		1,103
Senior Housing Properties Trust 8.625% 1/15/12	5,910		5,260
Simon Property Group LP:
4.6% 6/15/10	646		619
4.875% 8/15/10	397		380
5% 3/1/12	214		184
5.375% 6/1/11	366		341
5.6% 9/1/11	1,601		1,488
5.75% 5/1/12	746		649
7.75% 1/20/11	484		463
Tanger Properties LP 6.15% 11/15/15	14		10
Washington (REIT) 5.95% 6/15/11	2,143		1,867
			54,517
Real Estate Management & Development - 0.0%
ERP Operating LP 5.5% 10/1/12	261		238
Post Apartment Homes LP:
5.45% 6/1/12	798		670
6.3% 6/1/13	1,412		1,158
Regency Centers LP:
4.95% 4/15/14	360		263
5.25% 8/1/15	1,257		872
5.875% 6/15/17	622		432
			3,633
Thrifts & Mortgage Finance - 0.1%
Countrywide Financial Corp.:
1.6863% 3/24/09 (m)	1,360		1,357
4.5% 6/15/10	282		274
5.8% 6/7/12	1,718		1,574
Countrywide Home Loans, Inc.:
4.125% 9/15/09	2,267		2,246
6.25% 4/15/09	358		359
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
FINANCIALS - continued
Thrifts & Mortgage Finance - continued
Independence Community Bank Corp.:
3.585% 6/20/13 (m)	$ 1,793		$ 1,291
3.75% 4/1/14 (m)	2,485		1,665
4.9% 9/23/10	999		934
World Savings Bank FSB 4.125% 12/15/09	306		304
			10,004
TOTAL FINANCIALS			464,694
HEALTH CARE - 1.1%
Biotechnology - 0.0%
Amgen, Inc. 5.85% 6/1/17	1,741		1,777
Health Care Equipment & Supplies - 0.2%
Accellent, Inc. 10.5% 12/1/13	9,830		7,127
Biomet, Inc.:
10% 10/15/17	6,820		6,820
11.625% 10/15/17	7,320		6,771
Fresenius US Finance II, Inc. 9% 7/15/15 (g)	3,140		3,203
			23,921
Health Care Providers & Services - 0.9%
Cardinal Health 409, Inc. 9.5% 4/15/15 pay-in-kind (m)	5,075		1,269
Community Health Systems, Inc. 8.875% 7/15/15	6,435		6,081
Coventry Health Care, Inc.:
5.95% 3/15/17	1,030		673
6.3% 8/15/14	2,132		1,552
DaVita, Inc. 6.625% 3/15/13	20,205		19,700
HCA, Inc.:
8.75% 9/1/10	9,235		9,189
9.25% 11/15/16	25,720		23,598
9.875% 2/15/17 (g)	850		816
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14	9,000		8,640
Rural/Metro Corp. 9.875% 3/15/15	4,835		3,868
Sun Healthcare Group, Inc. 9.125% 4/15/15	7,630		6,981
Surgical Care Affiliates LLC 8.875% 7/15/15 pay-in-kind (g)(m)	4,360		2,616
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
HEALTH CARE - continued
Health Care Providers & Services - continued
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13	$ 6,460		$ 5,426
Tenet Healthcare Corp.:
6.5% 6/1/12	2,005		1,754
7.375% 2/1/13	1,250		1,063
9.25% 2/1/15	9,420		7,465
9.875% 7/1/14	4,690		3,717
United Surgical Partners International, Inc. 8.875% 5/1/17	10,745		8,112
US Oncology Holdings, Inc. 8.3344% 3/15/12 pay-in-kind (m)	8,242		4,093
Viant Holdings, Inc. 10.125% 7/15/17 (g)	10,489		5,245
			121,858
Pharmaceuticals - 0.0%
AstraZeneca PLC 6.45% 9/15/37	1,853		1,957
Bristol-Myers Squibb Co. 5.45% 5/1/18	1,728		1,763
Novartis Capital Corp. 4.125% 2/10/14	1,727		1,743
Roche Holdings, Inc. 5% 3/1/14 (g)	3,501		3,541
Teva Pharmaceutical Finance LLC 5.55% 2/1/16	564		555
			9,559
TOTAL HEALTH CARE			157,115
INDUSTRIALS - 0.9%
Aerospace & Defense - 0.1%
BAE Systems Holdings, Inc.:
4.75% 8/15/10 (g)	1,556		1,552
6.4% 12/15/11 (g)	482		499
Bombardier, Inc.:
6.3% 5/1/14 (g)	10,420		6,981
7.45% 5/1/34 (g)	2,340		1,369
DRS Technologies, Inc.:
6.625% 2/1/16	3,760		3,746
7.625% 2/1/18	1,830		1,810
			15,957
Airlines - 0.2%
American Airlines, Inc. pass-thru trust certificates:
6.855% 10/15/10	44		43
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Airlines - continued
American Airlines, Inc. pass-thru trust certificates: - continued
6.978% 10/1/12	$ 243		$ 225
7.024% 4/15/11	1,667		1,617
7.858% 4/1/13	3,201		2,769
AMR Corp. 10.2% 3/15/20	3,445		1,843
Continental Airlines, Inc.:
pass-thru trust certificates:
8.388% 5/1/22	98		63
9.798% 4/1/21	6,354		3,447
6.648% 9/15/17	1,902		1,502
6.82% 5/1/18	130		99
6.9% 7/2/19	512		412
7.056% 3/15/11	1,036		1,005
7.339% 4/19/14	2,050		1,312
Delta Air Lines, Inc.:
7.9% 12/15/09 (a)	27,035		541
8.3% 12/15/29 (a)	15,711		314
10.375% 2/1/11 (a)	8,640		173
Delta Air Lines, Inc. pass-thru trust certificates:
6.821% 8/10/22	222		161
7.57% 11/18/10	6,419		5,873
7.779% 1/2/12	1,541		1,309
U.S. Airways pass-thru trust certificates:
6.85% 7/30/19	1,336		962
8.36% 7/20/20	910		701
United Air Lines, Inc. pass-thru trust certificates:
Class 1A, 6.636% 1/2/24	333		238
6.071% 9/1/14	214		207
6.201% 3/1/10	136		129
6.602% 9/1/13	386		365
			25,310
Building Products - 0.0%
Masco Corp. 2.3988% 3/12/10 (m)	2,670		2,395
Masonite International Corp. 11% 4/6/15 (d)	6,000		120
Nortek, Inc. 10% 12/1/13	10,880		4,243
			6,758
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INDUSTRIALS - continued
Commercial Services & Supplies - 0.2%
ARAMARK Corp. 8.5% 2/1/15	$ 7,670		$ 6,980
Browning-Ferris Industries, Inc. 9.25% 5/1/21	1,350		1,378
Cenveo Corp. 10.5% 8/15/16 (g)	2,590		1,580
Iron Mountain, Inc.:
6.625% 1/1/16	7,000		6,510
7.75% 1/15/15	5,930		5,886
8.625% 4/1/13	370		370
			22,704
Electrical Equipment - 0.1%
Sensus Metering Systems, Inc. 8.625% 12/15/13	11,608		9,519
Industrial Conglomerates - 0.2%
Covidien International Finance SA:
5.15% 10/15/10	1,489		1,525
5.45% 10/15/12	3,609		3,693
6% 10/15/17	1,726		1,738
6.55% 10/15/37	3,560		3,539
General Electric Co. 5.25% 12/6/17	19,778		18,203
			28,698
Machinery - 0.0%
Atlas Copco AB 5.6% 5/22/17 (g)	360		342
Commercial Vehicle Group, Inc. 8% 7/1/13	1,730		606
			948
Professional Services - 0.0%
FTI Consulting, Inc.:
7.625% 6/15/13	920		918
7.75% 10/1/16	1,800		1,778
			2,696
Road & Rail - 0.0%
Kansas City Southern Railway Co. 8% 6/1/15	2,450		2,230
Trading Companies & Distributors - 0.1%
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind	9,330		6,998
TOTAL INDUSTRIALS			121,818
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - 0.4%
Communications Equipment - 0.1%
Cisco Systems, Inc.:
4.95% 2/15/19	$ 2,070		$ 2,001
5.9% 2/15/39	331		308
Lucent Technologies, Inc. 6.45% 3/15/29	10,065		3,422
Nortel Networks Corp.:
10.125% 7/15/13 (d)	7,880		1,024
10.75% 7/15/16 (d)(g)	4,900		662
			7,417
Electronic Equipment & Components - 0.1%
Itron, Inc. 7.75% 5/15/12	860		761
Tyco Electronics Group SA:
5.95% 1/15/14	1,738		1,504
6% 10/1/12	2,284		2,013
6.55% 10/1/17	1,390		1,048
7.125% 10/1/37	1,952		1,274
			6,600
IT Services - 0.1%
Lender Processing Services, Inc. 8.125% 7/1/16	1,760		1,760
SunGard Data Systems, Inc.:
4.875% 1/15/14	12,355		9,853
10.625% 5/15/15 (g)	8,415		7,132
			18,745
Office Electronics - 0.0%
Xerox Corp. 5.5% 5/15/12	944		875
Semiconductors & Semiconductor Equipment - 0.1%
Avago Technologies Finance Ltd. 10.125% 12/1/13	8,150		6,866
Freescale Semiconductor, Inc.:
8.875% 12/15/14	10,770		1,831
9.875% 12/15/14 pay-in-kind (m)	32,920		1,463
National Semiconductor Corp.:
2.2463% 6/15/10 (m)	2,354		2,045
6.15% 6/15/12	874		685
NXP BV 7.875% 10/15/14	8,000		1,560
Spansion LLC 11.25% 1/15/16 (d)(g)	7,320		174
			14,624
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
INFORMATION TECHNOLOGY - continued
Software - 0.0%
Open Solutions, Inc. 9.75% 2/1/15 (g)	$ 1,300		$ 208
TOTAL INFORMATION TECHNOLOGY			48,469
MATERIALS - 0.7%
Chemicals - 0.1%
Agrium, Inc. 7.125% 5/23/36	5,105		4,468
Airgas, Inc. 7.125% 10/1/18 (g)	2,190		2,015
E.I. du Pont de Nemours & Co. 5% 1/15/13	278		284
Georgia Gulf Corp.:
9.5% 10/15/14	6,440		837
10.75% 10/15/16	885		27
Koppers, Inc. 9.875% 10/15/13	722		673
Lubrizol Corp. 8.875% 2/1/19	547		561
MacDermid, Inc. 9.5% 4/15/17 (g)	740		292
Momentive Performance Materials, Inc.:
9.75% 12/1/14	3,670		1,431
10.875% 12/1/14 pay-in-kind (m)	199		47
			10,635
Construction Materials - 0.0%
CRH America, Inc. 6% 9/30/16	1,080		771
Containers & Packaging - 0.2%
Berry Plastics Holding Corp. 8.875% 9/15/14	10,450		6,166
BWAY Corp. 10% 10/15/10	840		785
Crown Americas LLC/Crown Americas Capital Corp.:
7.625% 11/15/13	4,000		4,010
7.75% 11/15/15	4,000		4,030
Owens-Brockway Glass Container, Inc. 6.75% 12/1/14	2,390		2,271
Owens-Illinois, Inc.:
7.5% 5/15/10	770		782
7.8% 5/15/18	350		336
Pactiv Corp.:
5.875% 7/15/12	1,009		938
6.4% 1/15/18	1,030		840
Sealed Air Corp. 6.95% 5/15/09 (g)	383		385
			20,543
Metals & Mining - 0.4%
BHP Billiton Financial USA Ltd. 5.125% 3/29/12	1,164		1,190
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
MATERIALS - continued
Metals & Mining - continued
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g)	$ 1,179		$ 1,214
FMG Finance Property Ltd. 10.625% 9/1/16 (g)	7,000		5,880
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/1/17	13,725		11,735
Noranda Aluminium Holding Corp. 8.345% 11/15/14 pay-in-kind (m)	3,500		525
Nucor Corp.:
5.85% 6/1/18	5,135		5,120
6.4% 12/1/37	4,120		3,948
Rio Tinto Finance Ltd.:
5.875% 7/15/13	7,256		6,596
6.5% 7/15/18	6,714		5,932
7.125% 7/15/28	7,050		5,789
Steel Dynamics, Inc.:
7.375% 11/1/12	3,005		2,584
7.75% 4/15/16 (g)	8,205		6,359
United States Steel Corp.:
5.65% 6/1/13	874		715
6.65% 6/1/37	4,975		3,289
Vale Overseas Ltd. 6.25% 1/23/17	1,368		1,317
			62,193
Paper & Forest Products - 0.0%
Catalyst Paper Corp. 7.375% 3/1/14	4,268		1,494
International Paper Co.:
5.85% 10/30/12	88		78
7.4% 6/15/14	1,525		1,227
			2,799
TOTAL MATERIALS			96,941
TELECOMMUNICATION SERVICES - 1.7%
Diversified Telecommunication Services - 1.1%
AT&T Broadband Corp. 8.375% 3/15/13	1,523		1,625
AT&T, Inc.:
5.8% 2/15/19	5,178		5,028
6.3% 1/15/38	9,775		8,781
6.7% 11/15/13	691		731
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
AT&T, Inc.: - continued
6.8% 5/15/36	$ 13,429		$ 12,968
BellSouth Capital Funding Corp. 7.875% 2/15/30	1,845		1,852
BellSouth Corp. 6.55% 6/15/34	4,075		3,775
British Telecommunications PLC:
8.625% 12/15/10	1,601		1,668
9.125% 12/15/30	3,080		2,937
Deutsche Telekom International Financial BV:
5.25% 7/22/13	1,443		1,448
6.75% 8/20/18	4,408		4,509
Intelsat Corp. 9.25% 8/15/14 (g)	5,190		4,879
Intelsat Ltd. 11.25% 6/15/16	14,660		13,854
Level 3 Financing, Inc. 9.25% 11/1/14	8,960		5,690
SBC Communications, Inc.:
5.1% 9/15/14	1,278		1,267
5.875% 2/1/12	1,610		1,664
5.875% 8/15/12	576		598
Sprint Capital Corp.:
6.875% 11/15/28	12,338		6,817
6.9% 5/1/19	17,010		11,057
8.375% 3/15/12	7,330		5,937
Telecom Italia Capital SA:
4% 1/15/10	2,881		2,831
4.95% 9/30/14	1,890		1,628
5.25% 10/1/15	9,507		8,020
6.999% 6/4/18	6,391		5,768
7.2% 7/18/36	3,550		2,878
7.721% 6/4/38	1,777		1,530
Telefonica Emisiones SAU:
1.555% 2/4/13 (m)	1,416		1,217
6.421% 6/20/16	684		695
7.045% 6/20/36	8,220		8,380
Telefonos de Mexico SA de CV 4.75% 1/27/10	3,654		3,691
Verizon Communications, Inc.:
6.1% 4/15/18	1,909		1,890
6.25% 4/1/37	3,729		3,432
6.4% 2/15/38	6,365		5,972
6.9% 4/15/38	8,315		8,268
Verizon Global Funding Corp. 7.25% 12/1/10	1,615		1,705
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
TELECOMMUNICATION SERVICES - continued
Diversified Telecommunication Services - continued
Verizon New England, Inc. 6.5% 9/15/11	$ 525		$ 540
Verizon New York, Inc. 6.875% 4/1/12	1,563		1,597
			157,127
Wireless Telecommunication Services - 0.6%
America Movil SAB de CV:
4.125% 3/1/09	716		716
5.625% 11/15/17	1,066		991
Cricket Communications, Inc.:
9.375% 11/1/14	660		602
10% 7/15/15 (g)	4,320		3,974
Crown Castle International Corp. 9% 1/15/15	2,955		2,881
Digicel Group Ltd.:
8.875% 1/15/15 (g)	13,560		9,899
9.25% 9/1/12 (g)	4,120		3,708
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 7.625% 5/15/16	8,200		7,872
Intelsat Jackson Holdings Ltd.:
9.5% 6/15/16 (g)	6,745		6,189
11.5% 6/15/16 (g)	665		617
Intelsat Subsidiary Holding Co. Ltd.:
8.5% 1/15/13 (g)	2,055		1,957
8.875% 1/15/15 (g)	9,980		9,281
8.875% 1/15/15 (g)	870		807
Orascom Telecom Finance SCA 7.875% 2/8/14 (g)	1,510		906
Rogers Communications, Inc. 6.8% 8/15/18	4,480		4,485
Verizon Wireless Capital LLC:
5.55% 2/1/14 (g)	7,589		7,545
8.5% 11/15/18 (g)	7,074		7,963
Vodafone Group PLC:
5% 12/16/13	1,353		1,357
5.5% 6/15/11	1,626		1,649
7.75% 2/15/10	1,089		1,132
			74,531
TOTAL TELECOMMUNICATION SERVICES			231,658
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - 1.3%
Electric Utilities - 0.9%
AmerenUE 6.4% 6/15/17	$ 1,760		$ 1,717
Appalachian Power Co. 6.375% 4/1/36	6,000		5,263
Cleveland Electric Illuminating Co.:
5.65% 12/15/13	2,423		2,307
8.875% 11/15/18	6,537		7,222
Commonwealth Edison Co. 5.4% 12/15/11	1,027		1,044
Duke Energy Carolinas LLC:
6.05% 4/15/38	2,510		2,592
7% 11/15/18	3,449		3,939
EDP Finance BV:
5.375% 11/2/12 (g)	1,175		1,155
6% 2/2/18 (g)	2,160		2,006
Enel Finance International SA:
5.7% 1/15/13 (g)	491		486
6.8% 9/15/37 (g)	10,928		8,765
Energy Future Holdings 10.875% 11/1/17	23,170		13,786
Exelon Corp.:
4.9% 6/15/15	1,885		1,618
6.75% 5/1/11	392		392
FirstEnergy Corp. 6.45% 11/15/11	1,163		1,162
Florida Power Corp.:
5.65% 6/15/18	2,710		2,780
6.4% 6/15/38	6,435		6,764
FPL Group Capital, Inc. 7.875% 12/15/15	911		1,030
Illinois Power Co. 6.125% 11/15/17	243		229
Intergen NV 9% 6/30/17 (g)	9,645		9,066
IPALCO Enterprises, Inc. 7.25% 4/1/16 (g)	3,625		3,335
Jersey Central Power & Light Co. 7.35% 2/1/19	1,039		1,043
Mirant Americas Generation LLC 8.3% 5/1/11	6,000		5,865
Nevada Power Co.:
6.5% 5/15/18	5,100		4,815
6.5% 8/1/18	925		873
Oncor Electric Delivery Co. 6.375% 5/1/12	1,609		1,608
Oncor Electric Delivery Co. LLC 5.95% 9/1/13 (g)	2,131		2,091
Pacific Gas & Electric Co. 5.8% 3/1/37	3,230		3,111
PacifiCorp 6% 1/15/39	710		702
PECO Energy Co. 5.6% 10/15/13	6,150		6,304
Pennsylvania Electric Co. 6.05% 9/1/17	450		412
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Electric Utilities - continued
Pepco Holdings, Inc.:
4% 5/15/10	$ 1,314		$ 1,284
6.125% 6/1/17	353		313
6.45% 8/15/12	2,198		2,146
PPL Capital Funding, Inc. 6.7% 3/30/67 (m)	3,512		2,107
Progress Energy, Inc. 7.1% 3/1/11	1,994		2,048
Sierra Pacific Power Co. 5.45% 9/1/13	919		889
Tampa Electric Co. 6.15% 5/15/37	3,871		3,267
West Penn Power Co. 5.95% 12/15/17 (g)	185		164
Wisconsin Electric Power Co. 6.25% 12/1/15	1,775		1,886
			117,586
Gas Utilities - 0.0%
Southern Natural Gas Co. 5.9% 4/1/17 (g)	260		222
Texas Eastern Transmission Corp. 7.3% 12/1/10	1,827		1,890
			2,112
Independent Power Producers & Energy Traders - 0.2%
AES Corp. 7.75% 10/15/15	4,660		4,078
Constellation Energy Group, Inc. 7% 4/1/12	3,797		3,696
Duke Capital LLC 5.668% 8/15/14	1,211		1,118
Enron Corp.:
6.4% 7/15/06 (d)	3,600		9
6.625% 11/15/05 (d)	2,155		5
6.75% 9/1/04 (d)	1,425		7
9.125% 4/1/03 (d)	4,315		11
Exelon Generation Co. LLC 5.35% 1/15/14	900		831
NRG Energy, Inc. 7.375% 2/1/16	13,560		12,679
Reliant Energy, Inc. 6.75% 12/15/14	9,645		8,584
			31,018
Multi-Utilities - 0.2%
CenterPoint Energy, Inc. 5.95% 2/1/17	1,053		859
Dominion Resources, Inc.:
4.75% 12/15/10	2,316		2,330
6.3% 9/30/66 (m)	12,212		7,205
7.5% 6/30/66 (m)	2,999		1,949
DTE Energy Co. 7.05% 6/1/11	580		585
KeySpan Corp. 7.625% 11/15/10	291		303
Corporate Bonds - continued
	Principal Amount (000s)		Value (000s)
Nonconvertible Bonds - continued
UTILITIES - continued
Multi-Utilities - continued
MidAmerican Energy Holdings, Co.:
5.875% 10/1/12	$ 1,721		$ 1,773
6.5% 9/15/37	6,515		6,282
National Grid PLC 6.3% 8/1/16	870		831
NiSource Finance Corp.:
5.25% 9/15/17	497		366
5.4% 7/15/14	794		623
5.45% 9/15/20	2,082		1,426
6.4% 3/15/18	912		716
6.8% 1/15/19	4,000		3,137
7.875% 11/15/10	602		590
Wisconsin Energy Corp. 6.25% 5/15/67 (m)	3,636		2,218
WPS Resources Corp. 6.11% 12/1/66 (m)	520		276
			31,469
TOTAL UTILITIES			182,185
TOTAL NONCONVERTIBLE BONDS			1,909,480
TOTAL CORPORATE BONDS (Cost $2,408,069)		1,981,099
U.S. Government and Government Agency Obligations - 5.4%
U.S. Government Agency Obligations - 1.9%
Fannie Mae:
3.375% 5/19/11	173,673		180,537
3.625% 8/15/11	14,335		15,051
4.375% 7/17/13	20,070		21,541
6% 5/15/11 (j)	38,785		42,444
Freddie Mac 5.25% 7/18/11 (j)	1,950		2,113
Tennessee Valley Authority 5.375% 4/1/56	5,573		6,045
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS			267,731
U.S. Treasury Inflation Protected Obligations - 3.0%
U.S. Treasury Inflation-Indexed Notes:
0.625% 4/15/13	11,940		11,618
U.S. Government and Government Agency Obligations - continued
	Principal Amount (000s)		Value (000s)
U.S. Treasury Inflation Protected Obligations - continued
U.S. Treasury Inflation-Indexed Notes: - continued
1.625% 1/15/15 (j)	$ 33,042		$ 31,835
1.625% 1/15/18	12,046		11,471
2% 4/15/12	7,369		7,414
2% 1/15/14 (j)	154,758		154,090
2% 1/15/14 (j)	15,969		15,900
2.375% 1/15/27	46,928		45,505
2.5% 7/15/16	140,585		140,945
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS			418,778
U.S. Treasury Obligations - 0.5%
U.S. Treasury Bills, yield at date of purchase 0.01% to 0.1% 3/12/09 to 4/2/09	23,250		23,248
U.S. Treasury Notes:
1.875% 2/28/14	2,772		2,753
3.75% 11/15/18	11,123		11,786
3.875% 5/15/18	24,000		25,710
TOTAL U.S. TREASURY OBLIGATIONS			63,497
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $750,415)		750,006
U.S. Government Agency - Mortgage Securities - 8.0%
Fannie Mae - 4.9%
4.5% 2/1/39 to 3/1/39 (i)	33,000		33,114
5% 12/1/25 to 10/1/38	168,833		172,197
5% 3/12/39 (h)	40,000		40,694
5% 3/12/39 (h)	49,000		49,850
5% 3/12/39 (h)	33,000		33,572
5.5% 1/1/33 to 7/1/38 (i)	186,662		192,002
5.593% 7/1/37 (m)	1,476		1,523
6% 6/1/30 to 7/1/37	105,112		109,367
6% 3/12/39 (h)(i)	2,000		2,066
6% 4/13/39 (h)	2,000		2,061
6.013% 4/1/36 (m)	1,116		1,160
6.118% 4/1/36 (m)	2,536		2,638
6.243% 6/1/36 (m)	399		405
U.S. Government Agency - Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Fannie Mae - continued
6.328% 4/1/36 (m)	$ 1,104		$ 1,149
6.5% 11/1/29 to 1/1/36 (i)	41,472		43,781
TOTAL FANNIE MAE			685,579
Freddie Mac - 1.2%
5% 3/1/19 to 7/1/38	120,770		123,416
5.694% 10/1/35 (m)	716		746
5.86% 6/1/36 (m)	1,266		1,313
5.977% 6/1/36 (m)	1,152		1,196
6% 11/1/33 to 9/1/35	9,676		10,072
6.101% 6/1/36 (m)	1,232		1,282
6.5% 11/1/34 to 3/1/36	22,183		23,388
TOTAL FREDDIE MAC			161,413
Government National Mortgage Association - 1.9%
5.5% 9/20/38	572		588
5.5% 3/18/39 (h)	6,000		6,153
5.5% 3/18/39 (h)	44,000		45,192
5.5% 3/18/39 (h)	3,000		3,076
5.5% 3/18/39 (h)	61,000		62,652
5.5% 3/18/39 (h)	44,000		45,192
5.5% 3/18/39 (h)	4,000		4,102
5.5% 3/18/39 (h)	4,000		4,102
5.5% 3/18/39 (h)	68,000		69,842
6% 2/15/34	14,157		14,758
6.5% 3/15/34	7,761		8,161
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION			263,818
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,091,460)		1,110,810
Asset-Backed Securities - 1.1%
Accredited Mortgage Loan Trust:
Series 2004-4 Class A2D, 0.8238% 1/25/35 (m)	77		27
Series 2005-1 Class M1, 0.9438% 4/25/35 (m)	1,416		835
ACE Securities Corp. Series 2006-NC2:
Class M7, 1.2238% 7/25/36 (m)	633		5
Class M8, 1.3238% 7/25/36 (m)	314		2
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
ACE Securities Corp. Series 2006-NC2: - continued
Class M9, 2.1738% 7/25/36 (m)	$ 207		$ 1
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-HS1:
Class M1, 1.5988% 6/25/33 (m)	0*		0*
Class M2, 3.0988% 6/25/33 (m)	94		66
Series 2004-HE1 Class M1, 0.9738% 2/25/34 (m)	225		200
Series 2004-OP1 Class M1, 0.9938% 4/25/34 (m)	472		205
Series 2005-HE2 Class M2, 0.9238% 4/25/35 (m)	199		163
Series 2005-SD1 Class A1, 0.8738% 11/25/50 (m)	26		24
Series 2006-HE2:
Class M3, 0.8138% 5/25/36 (m)	275		8
Class M4, 0.8738% 5/25/36 (m)	233		5
Class M5, 0.9138% 5/25/36 (m)	338		5
Series 2006-OP1:
Class M4, 0.8438% 4/25/36 (m)	129		5
Class M5, 0.8638% 4/25/36 (m)	123		4
Advanta Business Card Master Trust:
Series 2006-A6 Class A6, 0.5% 9/20/13 (m)	3,170		2,291
Series 2006-A7 Class A7, 0.49% 10/20/12 (m)	3,470		2,776
Series 2006-C1 Class C1, 0.95% 10/20/14 (m)	903		63
Series 2007-A1 Class A, 0.52% 1/20/15 (m)	2,330		1,734
Series 2007-A4 Class A4, 0.5% 4/22/13 (m)	3,311		2,450
Series 2007-B1 Class B, 0.72% 12/22/14 (m)	1,912		287
ALG Student Loan Trust I Series 2006-1 Class A1, 1.1938% 10/28/18 (g)(m)	742		732
American Express Credit Account Master Trust Series 2004-C Class C, 0.9613% 2/15/12 (g)(m)	188		171
AmeriCredit Automobile Receivables Trust Series 2005-1 Class C, 4.73% 7/6/10	429		426
Ameriquest Mortgage Securities, Inc. Series 2006-M3:
Class A2A, 0.5238% 10/25/36 (m)	112		108
Class M7, 1.3238% 10/25/36 (m)	136		0*
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
Series 2003-10 Class M1, 1.1738% 12/25/33 (m)	123		78
Series 2004-R10 Class M1, 1.1738% 11/25/34 (m)	515		229
Series 2004-R11 Class M1, 1.1338% 11/25/34 (m)	443		217
Series 2004-R2:
Class M1, 0.9038% 4/25/34 (m)	195		149
Class M3, 1.0238% 4/25/34 (m)	128		49
Series 2005-R1 Class M1, 0.9238% 3/25/35 (m)	715		417
Series 2005-R10 Class A2B, 0.6938% 12/25/35 (m)	649		445
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Ameriquest Mortgage Securities, Inc. pass-thru certificates: - continued
Series 2005-R2 Class M1, 0.9238% 4/25/35 (m)	$ 1,567		$ 902
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 0.8038% 6/25/32 (m)	137		69
Argent Securities, Inc.:
Series 2006-M1 Class M7, 1.4738% 7/25/36 (m)	574		2
Series 2006-M2 Class M7, 1.3738% 9/25/36 (m)	525		0*
Argent Securities, Inc. pass-thru certificates:
Series 2003-W7 Class A2, 0.7794% 3/1/34 (m)	36		7
Series 2004-W11 Class M2, 1.1738% 11/25/34 (m)	426		158
Series 2004-W5 Class M1, 1.0738% 4/25/34 (m)	516		303
Series 2004-W7:
Class M1, 1.0238% 5/25/34 (m)	451		143
Class M2, 1.0738% 5/25/34 (m)	394		213
Series 2006-W4 Class A2C, 0.6338% 5/25/36 (m)	1,178		415
Asset Backed Funding Corp. Series 2006-OPT2 Class M7, 1.2538% 10/25/36 (m)	989		12
Asset Backed Funding Corp. Trust Series 2005-HE1 Class M1, 0.8938% 12/25/34 (m)	1,089		527
Asset Backed Securities Corp. Home Equity Loan Trust:
Series 2003-HE3 Class M1, 1.7063% 6/15/33 (m)	185		82
Series 2003-HE6 Class M1, 1.1238% 11/25/33 (m)	407		212
Series 2004-HE2 Class M1, 1.0238% 4/25/34 (m)	2,026		878
Series 2004-HE3:
Class M1, 1.0138% 6/25/34 (m)	179		71
Class M2, 1.5938% 6/25/34 (m)	316		198
Series 2004-HE6 Class A2, 0.8338% 6/25/34 (m)	316		122
Series 2006-HE6:
Class M7, 1.2738% 11/25/36 (m)	313		4
Class M9, 2.6238% 11/25/36 (m)	835		4
Axon Financial Funding Ltd. Series 2007-1A Class A1, 5.96% 4/4/17 (d)(g)(m)	2,584		0*
Bank of America Credit Card Master Trust Series 2006-HE7 Class B4, 0.535% 3/15/12 (m)	2,606		2,343
Bayview Financial Acquisition Trust Series 2004-C Class A1, 1.0388% 5/28/44 (m)	246		150
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 1.0838% 2/28/44 (m)	488		304
Bear Stearns Asset Backed Securities I Trust:
Series 2005-3 Class A1, 0.9238% 9/25/35 (m)	83		60
Series 2005-FR1 Class M1, 0.9738% 6/25/35 (m)	735		334
Series 2005-HE2 Class M1, 0.9738% 2/25/35 (m)	1,159		384
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Bear Stearns Asset Backed Securities I Trust: - continued
Series 2007-HE3 Class 1A1, 0.5938% 4/25/37 (m)	$ 397		$ 304
Bear Stearns Asset Backed Securities Trust Series 2006-3 Class A1, 0.6238% 8/25/36 (m)	2,314		1,975
Brazos Higher Education Authority, Inc. Series 2006-2 Class A9, 1.4763% 12/26/24 (m)	1,744		1,559
C-BASS Trust Series 2006-CB7 Class A2, 0.5338% 10/25/36 (m)	592		509
Capital Auto Receivables Asset Trust Series 2005-1 Class B, 0.83% 6/15/10 (m)	479		471
Capital One Auto Finance Trust Series 2006-C Class A3B, 0.465% 7/15/11 (m)	290		270
Capital One Multi-Asset Execution Trust Series 2007-C3 Class C3, 0.745% 4/15/13 (g)(m)	2,208		1,589
Capital Trust Ltd. Series 2004-1:
Class A2, 0.92% 7/20/39 (g)(m)	347		87
Class B, 1.22% 7/20/39 (g)(m)	200		28
Class C, 1.57% 7/20/39 (g)(m)	258		23
Carrington Mortgage Loan Trust:
Series 2006-FRE1 Class M1, 0.7738% 7/25/36 (m)	4,366		210
Series 2006-NC2 Class M7, 1.3238% 6/25/36 (m)	323		6
Series 2006-NC4 Class M1, 0.7738% 10/25/36 (m)	2,570		101
Series 2006-RFC1 Class M9, 2.3438% 5/25/36 (m)	141		4
Series 2007-RFC1 Class A3, 0.6138% 12/25/36 (m)	1,368		331
Cendant Timeshare Receivables Funding LLC Series 2005 1A Class 2A2, 0.65% 5/20/17 (g)(m)	207		150
Chase Issuance Trust Series 2004-3 Class C, 0.9313% 6/15/12 (m)	403		363
CIT Equipment Collateral Trust Series 2006-VT2 Class D, 5.46% 4/20/14	259		129
Citigroup Mortgage Loan Trust:
Series 2003-HE4 Class A, 0.8838% 12/25/33 (g)(m)	290		197
Series 2005-HE4 Class A2C, 0.7438% 10/25/35 (m)	4,764		4,060
Series 2006-AMC1 Class M7, 0.82% 9/25/36 (m)	574		7
Series 2006-WF2 Class A2B, 5.735% 5/25/36	696		683
Series 2007-AMC4 Class M1, 0.7438% 5/25/37 (m)	581		22
CNH Wholesale Master Note Trust Series 2006-1A:
Class A, 0.515% 7/15/12 (g)(m)	993		978
Class B, 0.735% 7/15/12 (g)(m)	993		937
Countrywide Asset-Backed Certificates Trust:
Series 2007-5 Class 2A1, 0.5738% 4/25/29 (m)	10,474		9,065
Series 2007-BC2 Class 2A1, 0.5638% 6/25/37 (m)	385		328
Countrywide Home Loan Trust Series 2006-13 Class N, 7% 8/25/37 (g)	251		0*
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Countrywide Home Loans, Inc.:
Series 2002-6 Class AV1, 1.3338% 5/25/33 (m)	$ 39		$ 21
Series 2004-3:
Class 3A4, 0.7238% 8/25/34 (m)	145		78
Class M1, 0.9738% 6/25/34 (m)	502		330
Class M4, 1.4438% 4/25/34 (m)	121		57
Series 2004-4:
Class A, 0.8438% 8/25/34 (m)	32		15
Class M2, 1.0038% 6/25/34 (m)	446		295
Series 2005-1:
Class M1, 0.8938% 8/25/35 (m)	389		281
Class MV2, 0.9138% 7/25/35 (m)	1,073		749
Series 2005-3 Class MV1, 0.8938% 8/25/35 (m)	1,882		1,640
Series 2005-AB1 Class A2, 0.6838% 8/25/35 (m)	360		298
CPS Auto Receivables Trust Series 2004-D Class A2, 3.86% 12/15/11 (g)	116		106
Discover Card Master Trust I:
Series 2006-1 Class B1, 0.605% 8/16/11 (m)	1,615		1,602
Series 2006-2 Class B1, 0.575% 1/17/12 (m)	2,208		1,978
Series 2007-1 Class B, 0.555% 8/15/12 (m)	2,208		1,725
Fannie Mae subordinate REMIC pass-thru certificates Series 2004-T5 Class AB3, 0.8983% 5/28/35 (m)	30		15
Fieldstone Mortgage Investment Corp.:
Series 2004-3 Class M5, 2.6488% 8/25/34 (m)	221		55
Series 2006-3 Class 2A3, 0.6338% 11/25/36 (m)	3,417		963
First Franklin Mortgage Loan Trust:
Series 2004-FF2 Class M3, 1.2988% 3/25/34 (m)	17		9
Series 2005-FF9 Class A3, 0.7538% 10/25/35 (m)	5,224		4,031
Series 2006-FF12 Class A2, 0.5138% 9/25/36 (m)	370		339
Series 2006-FF14 Class A2, 0.5338% 10/25/36 (m)	3,646		2,951
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (g)	134		132
Ford Credit Floorplan Master Owner Trust:
Series 2006-3 Class B, 0.905% 6/15/11 (m)	1,537		1,076
Series 2006-4 Class B, 1.005% 6/15/13 (m)	587		296
Fremont Home Loan Trust:
Series 2004-1:
Class M1, 1.1488% 2/25/34 (m)	55		16
Class M2, 1.2238% 2/25/34 (m)	94		60
Series 2004-A Class M1, 1.2988% 1/25/34 (m)	912		487
Series 2005-A:
Class M1, 0.9038% 1/25/35 (m)	79		73
Class M2, 0.9338% 1/25/35 (m)	1,333		487
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Fremont Home Loan Trust: - continued
Series 2005-A:
Class M3, 0.9638% 1/25/35 (m)	$ 720		$ 308
Class M4, 1.1538% 1/25/35 (m)	276		135
Series 2006-A:
Class M4, 0.8738% 5/25/36 (m)	687		9
Class M5, 0.9738% 5/25/36 (m)	368		5
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.6288% 9/25/30 (g)(m)	1,788		1,205
GE Business Loan Trust Series 2003-1 Class A, 0.8913% 4/15/31 (g)(m)	273		169
GE Capital Credit Card Master Note Trust:
Series 2006-1:
Class B, 0.5713% 9/17/12 (m)	676		473
Class C, 0.7013% 9/17/12 (m)	525		341
Series 2007-1 Class C, 0.7313% 3/15/13 (m)	3,603		2,378
GSAMP Trust:
Series 2002-HE Class M1, 2.345% 11/20/32 (m)	473		230
Series 2003-FM1 Class M1, 1.7% 3/20/33 (m)	909		551
Series 2004-AR1 Class M1, 1.1238% 6/25/34 (m)	1,665		633
Series 2004-FM1 Class M1, 1.4488% 11/25/33 (m)	309		166
Series 2004-FM2 Class M1, 1.2238% 1/25/34 (m)	796		458
Series 2004-HE1 Class M1, 1.0238% 5/25/34 (m)	436		142
Series 2007-HE1 Class M1, 0.7238% 3/25/47 (m)	691		33
GSR Mortgage Loan Trust:
Series 2004-OPT Class A1, 0.8138% 11/25/34 (m)	12		6
Series 2005-MTR1 Class A1, 0.6138% 10/25/35 (m)	269		249
Series 2006-FM1 Class M3, 0.8238% 4/25/36 (m)	327		4
Guggenheim Structured Real Estate Funding Ltd.:
Series 2005-1 Class C, 1.5538% 5/25/30 (g)(m)	501		225
Series 2006-3:
Class B, 0.8738% 9/25/46 (g)(m)	497		80
Class C, 1.0238% 9/25/46 (g)(m)	1,159		139
Helios Finance L.P. Series 2007-S1 Class B1, 1.17% 10/20/14 (g)(m)	2,674		1,364
Home Equity Asset Trust:
Series 2002-3 Class A5, 1.3538% 2/25/33 (m)	0*		0*
Series 2003-3 Class M1, 1.7638% 8/25/33 (m)	759		346
Series 2003-4 Class M1, 1.6738% 10/25/33 (m)	225		100
Series 2003-5:
Class A2, 1.1738% 12/25/33 (m)	25		7
Class M1, 1.5238% 12/25/33 (m)	260		156
Series 2003-7 Class A2, 1.2338% 3/25/34 (m)	1		0*
Series 2003-8 Class M1, 1.5538% 4/25/34 (m)	395		183
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Home Equity Asset Trust: - continued
Series 2004-3 Class M2, 2.1738% 8/25/34 (m)	$ 258		$ 157
Series 2004-7 Class A3, 0.8638% 1/25/35 (m)	0*		0*
Series 2005-1 Class M1, 0.9038% 5/25/35 (m)	990		885
Series 2005-3 Class M1, 0.8838% 8/25/35 (m)	677		605
Series 2005-5 Class 2A2, 0.7238% 11/25/35 (m)	303		268
Series 2006-1 Class 2A3, 0.6988% 4/25/36 (m)	2,771		1,913
Series 2006-7 Class M4, 0.8538% 1/25/37 (m)	871		4
Household Home Equity Loan Trust Series 2004-1 Class M, 0.8794% 9/20/33 (m)	214		130
HSBC Credit Card Master Note Trust I Series 2006-1 Class B, 0.6013% 6/15/12 (m)	1,708		1,517
HSBC Home Equity Loan Trust:
Series 2005-2:
Class M1, 0.8194% 1/20/35 (m)	587		310
Class M2, 0.8494% 1/20/35 (m)	440		216
Series 2005-3 Class A1, 0.6194% 1/20/35 (m)	309		165
Series 2006-2:
Class M1, 0.74% 3/20/36 (m)	484		253
Class M2, 0.76% 3/20/36 (m)	800		393
Series 2006-3 Class A1V, 0.55% 3/20/36 (m)	528		504
Series 2007-2 Class A3V, 0.69% 7/21/36 (m)	440		194
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.6638% 1/25/37 (m)	940		282
JPMorgan Mortgage Acquisition Trust:
Series 2006-NC2 Class M2, 0.7738% 7/25/36 (m)	2,355		64
Series 2007-CH1:
Class AV4, 0.6038% 11/25/36 (m)	944		401
Class MV1, 0.7038% 11/25/36 (m)	767		78
Keycorp Student Loan Trust:
Series 1999-A Class A2, 4.0988% 12/27/09 (m)	842		654
Series 2006-A Class 2A1, 1.4963% 9/27/21 (m)	572		557
Lancer Funding Ltd. Series 2006-1A Class A3, 3.1125% 4/6/46 (g)(m)	204		2
Long Beach Mortgage Loan Trust:
Series 2003-2 Class M1, 1.7038% 6/25/33 (m)	1,611		725
Series 2004-2:
Class M1, 1.0038% 6/25/34 (m)	472		249
Class M2, 1.5538% 6/25/34 (m)	335		256
Series 2006-2 Class 2A2, 0.6038% 3/25/36 (m)	362		356
Series 2006-9 Class M4, 0.8438% 11/25/36 (m)	276		1
MASTR Asset Backed Securities Trust:
Series 2006-AM3 Class M1, 0.7338% 10/25/36 (m)	341		12
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
MASTR Asset Backed Securities Trust: - continued
Series 2006-NC2 Class M7, 1.2238% 9/25/36 (m)	$ 160		$ 0*
Series 2007-HE1 Class M1, 0.7738% 5/25/37 (m)	596		25
Merna Reinsurance Ltd. Series 2007-1 Class B, 3.2088% 6/30/12 (g)(m)	3,365		3,080
Merrill Lynch Mortgage Investors Trust:
Series 2003-HE1 Class M1, 1.1738% 7/25/34 (m)	452		290
Series 2003-OPT1 Class M1, 1.1238% 7/25/34 (m)	124		86
Series 2006-FM1 Class A2B, 0.5838% 4/25/37 (m)	1,975		1,400
Series 2006-OPT1 Class A1A, 0.7338% 6/25/35 (m)	1,289		593
Morgan Stanley ABS Capital I Trust:
Series 2002-HE3 Class M1, 2.1238% 12/27/32 (m)	33		19
Series 2003-NC7 Class M1, 1.5238% 6/25/33 (m)	400		226
Series 2003-NC8 Class M1, 1.5238% 9/25/33 (m)	309		179
Series 2004-HE6 Class A2, 0.8138% 8/25/34 (m)	44		8
Series 2004-NC2 Class M1, 1.2988% 12/25/33 (m)	782		376
Series 2005-HE1 Class M2, 0.9438% 12/25/34 (m)	370		179
Series 2005-HE2 Class M1, 0.8738% 1/25/35 (m)	335		114
Series 2005-NC1 Class M1, 0.9138% 1/25/35 (m)	303		103
Series 2005-NC2 Class B1, 1.6438% 3/25/35 (m)	388		187
Series 2006-HE3 Class B1, 1.3738% 4/25/36 (m)	172		0*
Series 2006-HE6 Class A2A, 0.5138% 9/25/36 (m)	417		394
Series 2006-NC4:
Class M4, 0.8238% 6/25/36 (m)	258		3
Class M6, 0.9238% 6/25/36 (m)	129		1
Series 2007-HE2:
Class A2A, 0.5138% 1/25/37 (m)	86		69
Class M1, 0.7238% 1/25/37 (m)	3,030		72
Series 2007-HE4 Class A2A, 0.5838% 2/25/37 (m)	84		56
Series 2007-NC3 Class A2A, 0.5338% 5/25/37 (m)	45		36
Morgan Stanley Dean Witter Capital I Trust:
Series 2001-NC4 Class M1, 1.9738% 1/25/32 (m)	20		6
Series 2002-AM3 Class A3, 1.4538% 2/25/33 (m)	78		64
Series 2002-HE2 Class M1, 1.9738% 8/25/32 (m)	493		278
Series 2002-NC1 Class M1, 1.6738% 2/25/32 (g)(m)	421		242
Series 2002-NC3:
Class A3, 1.1538% 8/25/32 (m)	26		5
Class M1, 1.5538% 8/25/32 (m)	48		22
Series 2003-NC1 Class M1, 2.0488% 11/25/32 (m)	310		152
Morgan Stanley Home Equity Loans Trust:
Series 2006-3 Class M5, 0.8838% 4/25/36 (m)	258		3
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Morgan Stanley Home Equity Loans Trust: - continued
Series 2007-2 Class A1, 0.5738% 4/25/37 (m)	$ 687		$ 522
Morgan Stanley IXIS Real Estate Capital Trust Series 2006-2 Class A1, 0.5238% 11/25/36 (m)	267		246
National Collegiate Student Loan Trust:
Series 2006-3 Class A1, 0.5038% 9/25/19 (m)	954		896
Series 2006-4 Class A1, 0.5038% 3/25/25 (m)	777		694
New Century Home Equity Loan Trust:
Series 2003-6 Class M1, 1.5538% 1/25/34 (m)	887		496
Series 2005-4 Class M2, 0.9838% 9/25/35 (m)	1,083		161
Series 2005-D Class M2, 0.9438% 2/25/36 (m)	226		15
Nomura Home Equity Loan Trust:
Series 2006-AF1 Class A1, 6.032% 10/25/36	201		175
Series 2006-FM2 Class M7, 1.2738% 7/25/36 (m)	738		4
Series 2006-HE2 Class A2, 0.5938% 3/25/36 (m)	632		572
Ocala Funding LLC:
Series 2005-1A Class A, 1.97% 3/20/10 (g)(m)	430		150
Series 2006-1A Class A, 1.87% 3/20/11 (g)(m)	893		357
Option One Mortgage Loan Trust:
Series 2004-3 Class M3, 1.1238% 11/25/34 (m)	261		164
Series 2007-5 Class 2A1, 0.5638% 5/25/37 (m)	147		130
Series 2007-6 Class 2A1, 0.5338% 7/25/37 (m)	205		184
Park Place Securities, Inc.:
Series 2004-WCW1:
Class M2, 1.1538% 9/25/34 (m)	211		121
Class M3, 1.7238% 9/25/34 (m)	405		91
Class M4, 1.9238% 9/25/34 (m)	519		55
Series 2004-WCW2 Class M3, 1.0238% 7/25/35 (m)	304		50
Series 2004-WHQ2 Class M1, 1.0638% 2/25/35 (m)	883		646
Series 2004-WWF1:
Class M2, 1.1538% 2/25/35 (m)	1,221		717
Class M3, 1.2138% 2/25/35 (m)	151		61
Series 2005-WCH1:
Class M2, 0.9938% 1/25/35 (m)	586		335
Class M3, 1.0338% 1/25/35 (m)	363		144
Class M4, 1.3038% 1/25/35 (m)	1,120		173
Series 2005-WHQ2:
Class M7, 1.7238% 5/25/35 (m)	1,328		52
Class M9, 2.3538% 5/25/35 (m)	449		13
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
People's Choice Financial Realty Mortgage Securities Trust Series 2006-1:
Class 1A1, 0.5438% 9/25/36 (m)	$ 1,548		$ 1,479
Class M4, 0.8338% 9/25/36 (m)	1,295		8
Class M5, 0.8638% 9/25/36 (m)	645		3
Providian Master Note Trust Series 2006-C1A Class C1, 1.005% 3/16/15 (g)(m)	2,758		1,186
Residential Asset Securities Corp. Series 2007-KS2 Class AI1, 0.5438% 2/25/37 (m)	300		264
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.2738% 4/25/33 (m)	4		1
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2688% 3/25/35 (m)	1,435		682
Securitized Asset Backed Receivables LLC Trust:
Series 2006-FR4 Class A2A, 0.5538% 8/25/36 (m)	995		618
Series 2007-NC1 Class A2A, 0.5238% 12/25/36 (m)	632		500
Sierra Receivables Funding Co. Series 2007-1A Class A2, 0.92% 3/20/19 (g)(m)	815		612
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.9463% 6/15/33 (m)	966		435
Soundview Home Loan Trust Series 2006-WF1 Class A1F, 5.998% 10/25/36	138		136
Sovereign Dealer Floor Plan Master LLC Series 2006-1:
Class B, 0.635% 8/15/11 (g)(m)	1,313		1,116
Class C, 0.835% 8/15/11 (g)(m)	599		449
Specialty Underwriting & Residential Finance Trust Series 2003-BC3 Class M2, 2.0738% 8/25/34 (m)	178		116
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.6238% 9/25/34 (m)	69		28
Structured Asset Securities Corp.:
Series 2004-GEL1 Class A, 0.8338% 2/25/34 (m)	104		46
Series 2006-BC3 Class M7, 1.2738% 10/25/36 (m)	2		0*
Series 2007-BC4 Class A3, 0.6394% 11/25/37 (m)	8,864		7,243
Series 2007-GEL1 Class A2, 0.6638% 1/25/37 (g)(m)	993		289
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-OSI Class A2, 0.5638% 6/25/37 (m)	1,217		922
Superior Wholesale Inventory Financing Trust:
Series 2004-A10:
Class A, 0.5613% 9/15/11 (m)	3,992		3,214
Class B, 0.7413% 9/15/11 (m)	2,986		1,194
Series 2007-AE1:
Class A, 0.555% 1/15/12 (m)	743		520
Asset-Backed Securities - continued
	Principal Amount (000s)		Value (000s)
Superior Wholesale Inventory Financing Trust: - continued
Series 2007-AE1:
Class B, 0.755% 1/15/12 (m)	$ 646		$ 259
Class C, 1.055% 1/15/12 (m)	803		241
Swift Master Auto Receivables Trust Series 2007-1 Class A, 0.555% 6/15/12 (m)	2,182		1,571
Terwin Mortgage Trust:
Series 2003-4HE Class A1, 0.9038% 9/25/34 (m)	22		5
Series 2003-6HE Class A1, 0.9438% 11/25/33 (m)	28		9
Turquoise Card Backed Securities PLC:
Series 2006-1A Class C, 0.785% 5/16/11 (g)(m)	2,148		2,043
Series 2006-2:
Class B, 0.605% 10/17/11 (m)	2,600		2,275
Class C, 0.805% 10/17/11 (m)	2,443		1,974
Series 2007-1 Class C, 0.8313% 6/15/12 (m)	2,785		1,792
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (g)	674		0*
WaMu Asset-Backed Certificates Series 2006-HE3:
Class M4, 0.8538% 10/25/36 (m)	458		8
Class M7, 1.2738% 10/25/36 (m)	331		4
WaMu Master Note Trust:
Series 2006-A3A Class A3, 0.485% 9/16/13 (g)(m)	4,170		3,972
Series 2006-C2A Class C2, 0.955% 8/15/15 (g)(m)	5,315		2,309
Series 2006-C3A Class C3A, 0.835% 10/15/13 (g)(m)	3,720		3,002
Series 2007-A4A Class A4, 5.2% 10/15/14 (g)	2,615		2,340
Series 2007-C1 Class C1, 0.855% 5/15/14 (g)(m)	3,237		1,904
Wells Fargo Home Equity Trust:
Series 2004-3 Class A, 4.5% 11/27/34 (a)(g)	6		0*
Series 2006-2 Class A2, 0.5738% 7/25/36 (m)	842		761
Series 2007-2 Class A1, 0.5638% 4/25/37 (m)	543		448
WFS Financial Owner Trust Series 2005-1 Class C, 3.82% 8/17/12	14		14
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0594% 10/25/44 (g)(m)	1,358		163
TOTAL ASSET-BACKED SECURITIES (Cost $167,287)		149,518
Collateralized Mortgage Obligations - 0.8%
	Principal Amount (000s)		Value (000s)
Private Sponsor - 0.7%
Arkle Master Issuer PLC floater:
Series 2006-1A Class 3C, 1.6275% 2/17/52 (g)(m)	$ 508		$ 381
Series 2006-2A:
Class 2B, 1.3575% 2/17/52 (g)(m)	1,789		1,669
Class 2M, 1.4375% 2/17/52 (g)(m)	1,216		1,093
Arran Residential Mortgages Funding No. 1 PLC floater Series 2006-1A Class DB, 1.7838% 4/12/56 (g)(m)	1,142		485
Banc of America Mortgage Securities, Inc.:
Series 2003-H Class 2A3, 5.2046% 9/25/33 (m)	508		404
Series 2003-J Class 2A2, 5.2918% 11/25/33 (m)	410		332
Series 2003-K Class 1A1, 5.2035% 12/25/33 (m)	51		42
Series 2003-L Class 2A1, 5.3147% 1/25/34 (m)	829		644
Series 2004-1 Class 2A2, 4.6723% 10/25/34 (m)	1,247		970
Series 2004-A:
Class 2A1, 5.1951% 2/25/34 (m)	280		229
Class 2A2, 5.1951% 2/25/34 (m)	1,014		826
Series 2004-B:
Class 1A1, 6.433% 3/25/34 (m)	57		43
Class 2A2, 4.0864% 3/25/34 (m)	453		339
Series 2004-C Class 1A1, 5.971% 4/25/34 (m)	101		80
Series 2004-D Class 2A1, 3.6163% 5/25/34 (m)	160		123
Series 2004-F Class 2A6, 4.1429% 7/25/34 (m)	671		656
Series 2004-J Class 2A1, 4.7597% 11/25/34 (m)	560		436
Series 2004-L Class 2A1, 4.3695% 1/25/35 (m)	647		494
Series 2005-H Class 1A1, 5.3329% 9/25/35 (m)	158		114
Bayview Commercial Asset Trust Series 2006-3A Class IO, 2.3908% 10/25/36 (g)(m)(o)	43,449		3,628
Bear Stearns Adjustable Rate Mortgage Trust Series 2003-6 Class 1A2, 4.9867% 8/25/33 (m)	1,348		919
Bear Stearns Alt-A Trust floater:
Series 2005-1 Class A1, 0.7538% 1/25/35 (m)	2,336		1,154
Series 2005-2 Class 1A1, 0.7238% 3/25/35 (m)	433		240
Series 2005-5 Class 1A1, 0.6938% 7/25/35 (m)	551		279
Chase Mortgage Finance Trust:
Series 2007-A1 Class 1A5, 4.9685% 2/25/37 (m)	628		471
Series 2007-A2 Class 2A1, 5.1795% 7/25/37 (m)	6,364		5,148
Citigroup Mortgage Loan Trust Series 2004-UST1:
Class A3, 4.9419% 8/25/34 (m)	1,442		1,167
Class A4, 4.399% 8/25/34 (m)	1,327		1,062
Countrywide Alternative Loan Trust planned amortization class Series 2003-5T2 Class A2, 0.8738% 5/25/33 (m)	78		74
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Countrywide Home Loans, Inc. Series 2003-46 Class 4A1, 4.698% 1/19/34 (m)	$ 13,150		$ 10,211
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater:
Series 2004-1 Class 9A2, 0.8738% 1/25/34 (m)	44		22
Series 2004-2 Class 7A3, 0.8738% 2/25/35 (m)	96		45
Series 2004-4 Class 5A2, 0.8738% 3/25/35 (m)	21		9
Series 2005-1 Class 5A2, 0.8038% 5/25/35 (m)	352		168
Series 2005-10:
Class 5A1, 0.7338% 1/25/36 (m)	558		267
Class 5A2, 0.7938% 1/25/36 (m)	251		101
Series 2005-2:
Class 6A2, 0.7538% 6/25/35 (m)	88		39
Class 6M2, 0.9538% 6/25/35 (m)	1,120		274
Series 2005-3 Class 8A2, 0.7138% 7/25/35 (m)	416		211
Series 2005-4 Class 7A2, 0.7038% 8/25/35 (m)	132		65
Series 2005-8 Class 7A2, 0.7538% 11/25/35 (m)	328		186
Credit Suisse First Boston Mortgage Securities Corp. floater:
Series 2004-AR4 Class 5A2, 1.2138% 5/25/34 (m)	12		7
Series 2004-AR5 Class 11A2, 1.2138% 6/25/34 (m)	25		13
Series 2004-AR6 Class 9A2, 1.2138% 10/25/34 (m)	120		60
Series 2004-AR7 Class 6A2, 1.2338% 8/25/34 (m)	36		16
Series 2004-AR8 Class 8A2, 0.8538% 9/25/34 (m)	23		13
Deutsche Alt-A Securities Mortgage Loan Trust floater Series 2007-BAR1 Class A3, 0.6338% 3/25/37 (m)	2,608		1,355
DSLA Mortgage Loan Trust Series 2006-AR2 Class 2AB1, 0.5563% 9/19/36 (m)	539		439
First Horizon Mortgage pass-thru Trust:
floater Series 2004-FL1 Class 2A1, 2.15% 12/25/34 (m)	43		27
Series 2004-AR5 Class 2A1, 5.1001% 10/25/34 (m)	2,314		1,781
Fosse Master Issuer PLC floater Series 2006-1A:
Class B2, 1.3025% 10/18/54 (g)(m)	2,170		1,665
Class C2, 1.6125% 10/18/54 (g)(m)	727		364
Class M2, 1.3925% 10/18/54 (g)(m)	1,247		806
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 1.7213% 11/20/56 (g)(m)	1,862		870
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 1.8238% 10/11/41 (g)(m)	2,364		1,024
Granite Master Issuer PLC floater:
Series 2006-1A Class C2, 1.07% 12/20/54 (g)(m)	4,563		319
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Granite Master Issuer PLC floater: - continued
Series 2006-2 Class C1, 0.94% 12/20/54 (m)	$ 4,063		$ 406
Series 2006-3 Class C2, 0.97% 12/20/54 (m)	853		53
Series 2006-4:
Class B1, 0.56% 12/20/54 (m)	2,283		457
Class C1, 0.85% 12/20/54 (m)	1,396		98
Class M1, 0.64% 12/20/54 (m)	601		90
Series 2007-1:
Class 1C1, 0.77% 12/20/54 (m)	1,410		141
Class 1M1, 0.62% 12/20/54 (m)	917		138
Class 2C1, 0.9% 12/20/54 (m)	644		64
Class 2M1, 0.72% 12/20/54 (m)	1,178		188
Series 2007-2 Class 2C1, 0.8913% 12/17/54 (m)	1,632		163
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.5925% 1/20/44 (m)	327		82
GSR Mortgage Loan Trust:
Series 2004-11 Class 1A1, 4.9133% 9/25/34 (m)	290		193
Series 2007-AR2 Class 2A1, 4.8324% 4/25/35 (m)	570		392
Harborview Mortgage Loan Trust floater Series 2005-2 Class 2A1A, 0.6863% 5/19/35 (m)	323		145
Holmes Master Issuer PLC floater Series 2006-1A Class 2C, 1.4844% 7/15/40 (g)(m)	462		324
Home Equity Loan Trust floater Series 2007-FRE1 Class 2AV1, 0.6038% 4/25/37 (m)	1,485		846
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 0.9238% 10/25/34 (m)	119		67
Impac CMB Trust floater:
Series 2004-11 Class 2A2, 1.2138% 3/25/35 (m)	199		118
Series 2005-1:
Class M4, 1.2238% 4/25/35 (m)	24		4
Class M5, 1.2438% 4/25/35 (m)	24		3
Class M6, 1.2938% 4/25/35 (m)	38		5
Series 2005-3 Class A1, 0.7138% 8/25/35 (m)	472		239
Series 2005-4 Class 1B1, 1.6894% 5/25/35 (m)	147		5
Series 2005-6 Class 1M3, 1.0838% 10/25/35 (m)	128		10
JPMorgan Mortgage Trust:
sequential payer Series 2006-A5 Class 3A5, 5.9482% 8/25/36 (m)	1,917		1,144
Series 2004-A1 Class 2A1, 4.4964% 2/25/34 (m)	1,131		930
Series 2004-A3 Class 4A1, 4.2896% 7/25/34 (m)	2,966		2,444
Series 2004-A5 Class 2A1, 4.6116% 12/25/34 (m)	1,884		1,533
Series 2006-A2 Class 5A1, 5.1373% 11/25/33 (m)	5,097		4,374
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 0.8669% 9/26/45 (g)(m)	$ 377		$ 192
MASTR Adjustable Rate Mortgages Trust:
floater Series 2005-1 Class 1A1, 0.7438% 3/25/35 (m)	56		35
Series 2007-3 Class 22A2, 0.6838% 5/25/47 (m)	1,083		523
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6438% 2/25/37 (m)	1,363		572
Merrill Lynch Floating Trust floater Series 2006-1:
Class B, 0.625% 6/15/22 (g)(m)	158		87
Class C, 0.645% 6/15/22 (g)(m)	967		483
Class D, 0.655% 6/15/22 (g)(m)	372		167
Class E, 0.665% 6/15/22 (g)(m)	595		238
Class F, 0.695% 6/15/22 (g)(m)	1,073		375
Class G, 0.765% 6/15/22 (g)(m)	223		67
Class H, 0.785% 6/15/22 (g)(m)	447		112
Class J, 0.825% 6/15/22 (g)(m)	521		104
Merrill Lynch Mortgage Investors Trust:
floater:
Series 2003-A Class 2A1, 0.8638% 3/25/28 (m)	169		98
Series 2003-B Class A1, 0.8138% 4/25/28 (m)	180		105
Series 2003-D Class A, 0.7838% 8/25/28 (m)	152		98
Series 2003-E Class A2, 2.0813% 10/25/28 (m)	254		152
Series 2003-F Class A2, 3.805% 10/25/28 (m)	204		122
Series 2004-A Class A2, 3.715% 4/25/29 (m)	235		145
Series 2004-B Class A2, 2.8388% 6/25/29 (m)	179		106
Series 2004-C Class A2, 2.15% 7/25/29 (m)	207		123
Series 2004-D Class A2, 3.4625% 9/25/29 (m)	176		104
Series 2004-E:
Class A2B, 3.825% 11/25/29 (m)	417		266
Class A2D, 4.015% 11/25/29 (m)	60		35
Series 2004-G Class A2, 3.48% 11/25/29 (m)	201		122
Series 2005-A Class A2, 3.3525% 2/25/30 (m)	195		117
Series 2005-B Class A2, 2.7988% 7/25/30 (m)	595		371
Series 2006-MLN1 Class M4, 0.8338% 7/25/37 (m)	1,237		6
Series 2004-A4 Class A1, 4.2286% 8/25/34 (m)	1,978		1,513
Series 2005-A2:
Class A2, 4.4861% 2/25/35 (m)	1,228		966
Class A7, 4.4861% 2/25/35 (m)	2,175		1,407
Series 2006-A6 Class A4, 5.3897% 10/25/33 (m)	1,962		1,599
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
MortgageIT Trust floater:
Series 2004-2:
Class A1, 0.8438% 12/25/34 (m)	$ 215		$ 140
Class A2, 0.9238% 12/25/34 (m)	290		202
Series 2005-2 Class 1A1, 0.7338% 5/25/35 (m)	245		162
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.7638% 7/25/35 (m)	2,472		1,210
Option One Mortgage Loan Trust floater Series 2007-CP1 Class M1, 0.7738% 3/25/37 (m)	1,855		87
Permanent Financing No. 8 PLC floater Class 3C, 2.7094% 6/10/42 (m)	1,558		1,055
Permanent Master Issuer PLC floater Series 2006-1 Class 2C, 1.4944% 7/17/42 (m)	396		293
Provident Funding Mortgage Loan Trust Series 2005-2 Class 3A, 4.5836% 10/25/35 (m)	923		736
RESI Finance LP/RESI Finance DE Corp. floater:
Series 2003-B Class B5, 2.7988% 7/10/35 (g)(m)	1,035		504
Series 2003-CB1 Class B3, 1.8988% 6/10/35 (g)(m)	798		427
Series 2004-A:
Class B4, 1.6488% 2/10/36 (g)(m)	609		211
Class B5, 2.1488% 2/10/36 (g)(m)	406		130
Series 2004-B:
Class B4, 1.5488% 2/10/36 (g)(m)	264		73
Class B5, 1.9988% 2/10/36 (g)(m)	204		51
Class B6, 2.4488% 2/10/36 (g)(m)	71		15
Series 2004-C:
Class B4, 1.3988% 9/10/36 (g)(m)	339		100
Class B5, 1.7988% 9/10/36 (g)(m)	381		102
Class B6, 2.1988% 9/10/36 (g)(m)	84		18
Residential Accredit Loans, Inc. floater Series 2006-QO7 Class 3A1, 0.5738% 9/25/46 (m)	1,312		1,011
Residential Asset Mortgage Products, Inc.:
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31	186		164
Series 2005-AR5 Class 1A1, 5.3771% 9/19/35 (m)	190		139
Residential Funding Mortgage Securities I, Inc. Series 2004-SA1 Class A2, 4.272% 7/25/34 (m)	1,093		888
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.9238% 6/25/33 (g)(m)	208		156
ResMAE Mortgage Loan Trust floater Series 2006-1 Class A2A, 0.5738% 2/25/36 (g)(m)	47		46
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Sequoia Mortgage Trust floater:
Series 2003-5 Class A2, 3.7963% 9/20/33 (m)	$ 341		$ 208
Series 2004-1 Class A, 1.8888% 2/20/34 (m)	122		78
Series 2004-10 Class A4, 4.5188% 11/20/34 (m)	176		109
Series 2004-12 Class 1A2, 2.1538% 1/20/35 (m)	532		327
Series 2004-3 Class A, 3.885% 5/20/34 (m)	167		102
Series 2004-4 Class A, 4.4388% 5/20/34 (m)	638		397
Series 2004-5 Class A3, 2.9113% 6/20/34 (m)	250		153
Series 2004-6:
Class A3A, 2.1613% 6/20/35 (m)	192		123
Class A3B, 2.3038% 7/20/34 (m)	37		23
Series 2004-7:
Class A3A, 1.9138% 8/20/34 (m)	194		116
Class A3B, 2.1388% 7/20/34 (m)	24		14
Series 2004-8 Class A2, 2.15% 9/20/34 (m)	481		311
Series 2005-1 Class A2, 1.8388% 2/20/35 (m)	322		200
Series 2005-2 Class A2, 2.03% 3/20/35 (m)	403		242
Series 2005-3 Class A1, 0.67% 5/20/35 (m)	196		105
Soundview Home Equity Loan Trust floater Series 2006-EQ1 Class M7, 1.2738% 9/25/36 (m)	399		5
Structured Asset Securities Corp.:
floater Series 2004-NP1 Class A, 0.8738% 9/25/33 (g)(m)	72		30
Series 2003-15A Class 4A, 5.4533% 4/25/33 (m)	999		810
Series 2003-20 Class 1A1, 5.5% 7/25/33	646		553
TBW Mortgage-Backed pass-thru certificates floater Series 2006-4 Class A3, 0.5894% 9/25/36 (m)	2,485		1,267
WaMu Mortgage pass-thru certificates:
floater:
Series 2006-AR11 Class C1B1, 0.5538% 9/25/46 (m)	115		110
Series 2006-AR7 Class C1B1, 0.5338% 7/25/46 (m)	47		45
Series 2003-AR10 Class A7, 4.669% 10/25/33 (m)	8,573		5,383
Series 2003-AR8 Class A, 4.2743% 8/25/33 (m)	984		792
Series 2004-AR7 Class A6, 3.9389% 7/25/34 (m)	322		319
Series 2005-AR3 Class A2, 4.6384% 3/25/35 (m)	2,827		2,274
Wells Fargo Mortgage Backed Securities Trust:
Series 2004-EE Class 2A2, 4.1875% 12/25/34 (m)	1,027		818
Series 2004-H Class A1, 4.5322% 6/25/34 (m)	2,535		2,063
Series 2004-W:
Class A1, 4.5429% 11/25/34 (m)	935		746
Collateralized Mortgage Obligations - continued
	Principal Amount (000s)		Value (000s)
Private Sponsor - continued
Wells Fargo Mortgage Backed Securities Trust: - continued
Series 2004-W:
Class A9, 4.5429% 11/25/34 (m)	$ 2,569		$ 1,616
Series 2005-AR10 Class 2A2, 4.2192% 6/25/35 (m)	796		621
Series 2005-AR12:
Class 2A5, 4.313% 7/25/35 (m)	9,940		6,488
Class 2A6, 4.313% 7/25/35 (m)	663		506
Series 2005-AR3 Class 2A1, 4.4106% 3/25/35 (m)	1,319		1,015
TOTAL PRIVATE SPONSOR			104,814
U.S. Government Agency - 0.1%
Fannie Mae subordinate REMIC pass-thru certificates sequential payer Series 2002-57 Class BT, 6% 11/25/31	7,951		8,072
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $117,205)		112,886
Commercial Mortgage Securities - 0.4%
Banc of America Commercial Mortgage, Inc. sequential payer Series 2007-1 Class A2, 5.381% 1/15/49	2,565		1,989
Banc of America Large Loan, Inc. floater:
Series 2005-MIB1:
Class F, 0.9313% 3/15/22 (g)(m)	467		210
Class G, 0.9913% 3/15/22 (g)(m)	303		115
Series 2006-BIX1:
Class F, 0.765% 10/15/19 (g)(m)	1,203		541
Class G, 0.785% 10/15/19 (g)(m)	820		287
Bayview Commercial Asset Trust floater:
Series 2003-2 Class M1, 1.3238% 12/25/33 (g)(m)	80		46
Series 2004-1:
Class A, 0.8338% 4/25/34 (g)(m)	1,044		783
Class B, 2.3738% 4/25/34 (g)(m)	116		44
Class M1, 1.0338% 4/25/34 (g)(m)	94		59
Class M2, 1.6738% 4/25/34 (g)(m)	85		44
Series 2004-2:
Class A, 0.9038% 8/25/34 (g)(m)	790		632
Class M1, 1.0538% 8/25/34 (g)(m)	179		112
Series 2004-3:
Class A1, 0.8438% 1/25/35 (g)(m)	1,590		1,153
Class A2, 0.8938% 1/25/35 (g)(m)	229		160
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2004-3:
Class M1, 0.9738% 1/25/35 (g)(m)	$ 275		$ 179
Class M2, 1.4738% 1/25/35 (g)(m)	178		98
Series 2005-2A:
Class A1, 0.7838% 8/25/35 (g)(m)	1,164		815
Class M1, 0.9038% 8/25/35 (g)(m)	86		35
Class M2, 0.9538% 8/25/35 (g)(m)	142		57
Class M3, 0.9738% 8/25/35 (g)(m)	79		28
Class M4, 1.0838% 8/25/35 (g)(m)	72		22
Series 2005-3A:
Class A1, 0.7938% 11/25/35 (g)(m)	635		412
Class A2, 0.8738% 11/25/35 (g)(m)	411		267
Class M1, 0.9138% 11/25/35 (g)(m)	75		29
Class M2, 0.9638% 11/25/35 (g)(m)	95		36
Class M3, 0.9838% 11/25/35 (g)(m)	85		30
Class M4, 1.0738% 11/25/35 (g)(m)	106		37
Series 2005-4A:
Class A2, 0.8638% 1/25/36 (g)(m)	1,492		858
Class B1, 1.8738% 1/25/36 (g)(m)	129		45
Class M1, 0.9238% 1/25/36 (g)(m)	481		277
Class M2, 0.9438% 1/25/36 (g)(m)	144		79
Class M3, 0.9738% 1/25/36 (g)(m)	211		105
Class M4, 1.0838% 1/25/36 (g)(m)	117		55
Class M5, 1.1238% 1/25/36 (g)(m)	117		52
Class M6, 1.1738% 1/25/36 (g)(m)	124		52
Series 2006-1:
Class A2, 0.8338% 4/25/36 (g)(m)	232		153
Class M1, 0.8538% 4/25/36 (g)(m)	83		42
Class M2, 0.8738% 4/25/36 (g)(m)	88		39
Class M3, 0.8938% 4/25/36 (g)(m)	75		32
Class M4, 0.9938% 4/25/36 (g)(m)	43		23
Class M5, 1.0338% 4/25/36 (g)(m)	42		16
Class M6, 1.1138% 4/25/36 (g)(m)	83		43
Series 2006-2A:
Class A1, 0.7038% 7/25/36 (g)(m)	2,278		1,822
Class A2, 0.7538% 7/25/36 (g)(m)	206		165
Class B1, 1.3438% 7/25/36 (g)(m)	77		15
Class B3, 3.1738% 7/25/36 (g)(m)	116		23
Class M1, 0.7838% 7/25/36 (g)(m)	216		108
Class M2, 0.8038% 7/25/36 (g)(m)	152		73
Class M3, 0.8238% 7/25/36 (g)(m)	126		57
Class M4, 0.8938% 7/25/36 (g)(m)	85		34
Class M5, 0.9438% 7/25/36 (g)(m)	105		37
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2006-2A:
Class M6, 1.0138% 7/25/36 (g)(m)	$ 156		$ 55
Series 2006-3A:
Class B1, 1.2738% 10/25/36 (g)(m)	133		41
Class B2, 1.8238% 10/25/36 (g)(m)	96		28
Class B3, 3.0738% 10/25/36 (g)(m)	157		35
Class M4, 0.9038% 10/25/36 (g)(m)	147		64
Class M5, 0.9538% 10/25/36 (g)(m)	176		71
Class M6, 1.0338% 10/25/36 (g)(m)	345		130
Series 2006-4A:
Class A1, 0.7038% 12/25/36 (g)(m)	636		432
Class A2, 0.7438% 12/25/36 (g)(m)	2,865		1,988
Class B1, 1.1738% 12/25/36 (g)(m)	100		20
Class B2, 1.7238% 12/25/36 (g)(m)	104		48
Class B3, 2.9238% 12/25/36 (g)(m)	174		77
Class M1, 0.7638% 12/25/36 (g)(m)	207		133
Class M2, 0.7838% 12/25/36 (g)(m)	139		88
Class M3, 0.8138% 12/25/36 (g)(m)	141		59
Class M4, 0.8738% 12/25/36 (g)(m)	169		68
Class M5, 0.9138% 12/25/36 (g)(m)	155		62
Class M6, 0.9938% 12/25/36 (g)(m)	139		77
Series 2007-1:
Class A2, 0.7438% 3/25/37 (g)(m)	539		310
Class B1, 1.1438% 3/25/37 (g)(m)	176		62
Class B2, 1.6238% 3/25/37 (g)(m)	127		40
Class B3, 3.8238% 3/25/37 (g)(m)	343		100
Class M1, 0.7438% 3/25/37 (g)(m)	154		83
Class M2, 0.7638% 3/25/37 (g)(m)	115		60
Class M3, 0.7938% 3/25/37 (g)(m)	103		51
Class M4, 0.8438% 3/25/37 (g)(m)	85		41
Class M5, 0.8938% 3/25/37 (g)(m)	128		58
Class M6, 0.9738% 3/25/37 (g)(m)	179		72
Series 2007-2A:
Class A1, 0.7438% 7/25/37 (g)(m)	478		289
Class A2, 0.7938% 7/25/37 (g)(m)	447		276
Class B1, 2.0738% 7/25/37 (g)(m)	140		44
Class B2, 2.7238% 7/25/37 (g)(m)	121		38
Class B3, 3.8238% 7/25/37 (g)(m)	137		41
Class M1, 0.8438% 7/25/37 (g)(m)	159		86
Class M2, 0.8838% 7/25/37 (g)(m)	89		46
Class M3, 0.9638% 7/25/37 (g)(m)	91		45
Class M4, 1.1238% 7/25/37 (g)(m)	174		73
Class M5, 1.2238% 7/25/37 (g)(m)	154		61
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Bayview Commercial Asset Trust floater: - continued
Series 2007-2A:
Class M6, 1.4738% 7/25/37 (g)(m)	$ 196		$ 72
Series 2007-3:
Class A2, 0.7638% 7/25/37 (g)(m)	792		589
Class B1, 1.4238% 7/25/37 (g)(m)	128		61
Class B2, 2.0738% 7/25/37 (g)(m)	316		151
Class B3, 4.4738% 7/25/37 (g)(m)	172		79
Class M1, 0.7838% 7/25/37 (g)(m)	114		66
Class M2, 0.8138% 7/25/37 (g)(m)	122		68
Class M3, 0.8438% 7/25/37 (g)(m)	188		99
Class M4, 0.9738% 7/25/37 (g)(m)	296		155
Class M5, 1.0738% 7/25/37 (g)(m)	157		81
Class M6, 1.2738% 7/25/37 (g)(m)	120		61
Series 2007-4A:
Class B1, 3.0238% 9/25/37 (g)(m)	175		56
Class B2, 3.9238% 9/25/37 (g)(m)	622		182
Class M1, 1.4238% 9/25/37 (g)(m)	167		84
Class M2, 1.5238% 9/25/37 (g)(m)	167		75
Class M4, 2.0738% 9/25/37 (g)(m)	418		167
Class M5, 2.2238% 9/25/37 (g)(m)	418		157
Class M6, 2.4238% 9/25/37 (g)(m)	419		147
Bear Stearns Commercial Mortgage Securities Trust floater:
Series 2006-BBA7:
Class G, 0.9013% 3/15/19 (g)(m)	611		349
Class H, 1.1113% 3/15/19 (g)(m)	411		185
Class J, 1.3113% 3/15/19 (g)(m)	309		124
Series 2007-BBA8:
Class D, 0.705% 3/15/22 (g)(m)	317		197
Class E, 0.755% 3/15/22 (g)(m)	1,645		965
Class F, 0.805% 3/15/22 (g)(m)	1,009		565
Class G, 0.855% 3/15/22 (g)(m)	259		141
Class H, 1.005% 3/15/22 (g)(m)	317		143
Class J, 1.155% 3/15/22 (g)(m)	317		127
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 0.0538% 8/1/24 (g)(m)	595		295
C-BASS Trust floater Series 2006-SC1 Class A, 0.7438% 5/25/36 (g)(m)	831		361
Citigroup Commercial Mortgage Trust:
floater Series 2006-FL2:
Class G, 0.785% 11/15/36 (g)(m)	337		105
Class H, 0.825% 11/15/36 (g)(m)	270		81
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Citigroup Commercial Mortgage Trust: - continued
sequential payer Series 2006-C5 Class A4, 5.431% 10/15/49	$ 6,330		$ 4,222
COMM pass-thru certificates floater:
Series 2005-F10A:
Class D, 0.765% 4/15/17 (g)(m)	721		341
Class E, 0.825% 4/15/17 (g)(m)	230		107
Class F, 0.865% 4/15/17 (g)(m)	130		58
Class G, 1.005% 4/15/17 (g)(m)	130		56
Class H, 1.075% 4/15/17 (g)(m)	130		53
Class J, 1.305% 4/15/17 (g)(m)	100		45
Series 2005-FL11:
Class F, 0.9113% 11/15/17 (g)(m)	295		99
Class G, 0.9613% 11/15/17 (g)(m)	205		64
Credit Suisse Commercial Mortgage Trust sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (m)	6,455		4,801
Credit Suisse Mortgage Capital Certificates floater Series 2007-TFL1:
Class C:
0.6313% 2/15/22 (g)(m)	1,416		425
0.7313% 2/15/22 (g)(m)	506		126
Class F, 0.7813% 2/15/22 (g)(m)	1,011		222
First Chicago/Lennar Trust I Series 1997-CHL1 Class E, 8.0047% 4/29/39 (g)(m)	451		451
Ginnie Mae guaranteed REMIC pass-thru securities sequential payer Series 2003-47 Class C, 4.227% 10/16/27	6,524		6,555
GMAC Commercial Mortgage Securities, Inc. Series 2004-C3 Class X2, 0.6604% 12/10/41 (m)(o)	4,326		51
GS Mortgage Securities Corp. II floater Series 2006-FL8A Class F, 0.885% 6/6/20 (g)(m)	634		361
JPMorgan Chase Commercial Mortgage Securities Trust:
floater Series 2006-FLA2:
Class D, 0.6913% 11/15/18 (g)(m)	175		82
Class E, 0.7413% 11/15/18 (g)(m)	248		112
Class F, 0.7913% 11/15/18 (g)(m)	372		164
Class G, 0.8213% 11/15/18 (g)(m)	324		136
Class H, 0.9613% 11/15/18 (g)(m)	248		99
Series 2005-LDP3 Class A3, 4.959% 8/15/42	6,840		5,545
LB Multi-family Mortgage Trust Series 1991-4 Class A1, 7.0935% 4/25/21 (g)(m)	136		99
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA:
Class F, 0.795% 9/15/21 (g)(m)	$ 868		$ 357
Class G, 0.815% 9/15/21 (g)(m)	1,714		627
Class H, 0.855% 9/15/21 (g)(m)	442		153
Morgan Stanley Capital I Trust:
floater:
Series 2006-XLF Class C, 1.662% 7/15/19 (g)(m)	625		62
Series 2007-XCLA Class A1, 0.662% 7/17/17 (g)(m)	2,080		1,144
Series 2007-XLCA Class B, 0.9613% 7/17/17 (g)(m)	1,184		107
Series 2007-XLFA:
Class D, 0.652% 10/15/20 (g)(m)	507		127
Class E, 0.712% 10/15/20 (g)(m)	634		127
Class F, 0.762% 10/15/20 (g)(m)	380		68
Class G, 0.802% 10/15/20 (g)(m)	470		71
Class H, 0.892% 10/15/20 (g)(m)	296		30
Class J, 1.042% 10/15/20 (g)(m)	338		27
Class MHRO, 1.152% 10/15/20 (g)(m)	137		15
Class MJPM, 1.462% 10/15/20 (g)(m)	46		4
Class MSTR, 1.162% 10/15/20 (g)(m)	85		12
Class NHRO, 1.352% 10/15/20 (g)(m)	200		18
Class NSTR, 1.312% 10/15/20 (g)(m)	79		9
Series 2007-XLC1:
Class C, 1.0613% 7/17/17 (g)(m)	1,616		129
Class D, 1.1613% 7/17/17 (g)(m)	761		53
Class E, 1.2613% 7/17/17 (g)(m)	618		37
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 0.9525% 3/24/18 (g)(m)	133		109
Wachovia Bank Commercial Mortgage Trust:
floater:
Series 2005-WL5A Class K, 1.655% 1/15/18 (g)(m)	969		533
Series 2006-WL7A:
Class E, 0.735% 9/15/21 (g)(m)	1,058		434
Class F, 0.795% 8/11/18 (g)(m)	1,426		428
Class G, 0.815% 8/11/18 (g)(m)	1,351		338
Class J, 0.9331% 8/11/18 (g)(m)	300		108
Class X1A, 0.0239% 9/15/21 (g)(m)(o)	2,149		0*
Series 2007-WHL8:
Class AP1, 1.155% 6/15/20 (g)(m)	71		18
Class AP2, 1.255% 6/15/20 (g)(m)	116		23
Commercial Mortgage Securities - continued
	Principal Amount (000s)		Value (000s)
Wachovia Bank Commercial Mortgage Trust: - continued
floater:
Series 2007-WHL8:
Class F, 0.935% 6/15/20 (g)(m)	$ 2,255		$ 722
Class LXR2, 1.255% 6/15/20 (g)(m)	1,537		231
sequential payer Series 2007-C32 Class A2, 5.7357% 6/15/49 (m)	2,090		1,501
Series 2006-C23 Class A5, 5.416% 1/15/45 (m)	5,005		3,348
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $67,939)		59,009
Municipal Securities - 0.1%
Montgomery County Gen. Oblig. Series A, 5% 1/1/13	3,800		4,250
North Carolina Gen. Oblig. Series A, 5.5% 3/1/13	3,400		3,880
Ohio Gen. Oblig. (Common Schools Proj.) Series E, 5% 9/15/12	3,910		4,342
TOTAL MUNICIPAL SECURITIES (Cost $12,076)		12,472
Foreign Government and Government Agency Obligations - 0.0%
Chilean Republic 7.125% 1/11/12 (Cost $1,972)	1,794		1,958
Supranational Obligations - 0.0%
Corporacion Andina de Fomento:
5.2% 5/21/13	143		126
6.875% 3/15/12	232		222
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $350)		348
Floating Rate Loans - 1.5%
CONSUMER DISCRETIONARY - 0.4%
Automobiles - 0.1%
AM General LLC term loan 6.2269% 4/17/12 (m)	15,438		8,568
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
CONSUMER DISCRETIONARY - continued
Hotels, Restaurants & Leisure - 0.0%
Fantasy Springs Resort Casino term loan 9.72% 8/6/12 (m)	$ 7,650		$ 3,825
Southwest Sports Group, Inc. Tranche B, term loan 4% 12/22/10 (m)	7,000		3,640
			7,465
Media - 0.2%
Charter Communications Operating LLC Tranche B 1LN, term loan 3.2114% 3/6/14 (m)	17,411		13,755
Discovery Communications, Inc. term loan 3.4588% 5/14/14 (m)	1,527		1,412
Hicks Sports Group LLC Tranche 2LN, term loan 7% 12/22/11 (m)	11,000		2,200
Idearc, Inc. term loan 3.4179% 11/17/14 (m)	13,456		4,709
Newsday LLC term loan 9.75% 8/1/13 (m)	7,000		6,318
Tribune Co. term loan 7.0838% 6/4/09 (d)(m)	1,188		297
			28,691
Multiline Retail - 0.1%
Dollar General Corp. Tranche B2, term loan 3.2288% 7/6/14 (m)	13,000		10,725
Specialty Retail - 0.0%
GNC Corp. term loan 3.7064% 9/16/13 (m)	786		574
Textiles, Apparel & Luxury Goods - 0.0%
Levi Strauss & Co. term loan 2.705% 4/4/14 (m)	1,560		874
TOTAL CONSUMER DISCRETIONARY			56,897
CONSUMER STAPLES - 0.0%
Household Products - 0.0%
KIK Custom Products, Inc. Tranche 2LN, term loan 5.4769% 11/30/14 (m)	12,000		1,800
ENERGY - 0.0%
Oil, Gas & Consumable Fuels - 0.0%
Antero Resources Corp. Tranche 2LN, term loan 5.94% 4/12/14 (m)	11,000		5,500
Venoco, Inc. Tranche 2LN, term loan 5.25% 5/7/14 (m)	603		278
			5,778
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
FINANCIALS - 0.1%
Diversified Financial Services - 0.1%
LandSource Communities Development LLC Tranche 2LN, term loan 10.55% 2/27/14 (d)(m)	$ 1,120		$ 11
MGM Holdings II, Inc.:
term loan 4.7088% 4/8/12 (m)	6,965		3,064
Tranche B, term loan 4.2491% 4/8/12 (m)	9,473		4,168
Tempus Public Foundation Generation Holdings LLC Tranche 2LN, term loan 5.7088% 12/15/14 (m)	10,000		6,600
			13,843
HEALTH CARE - 0.3%
Health Care Providers & Services - 0.3%
Concentra Operating Corp. Tranche 2LN, term loan 6.96% 6/25/15 (m)	18,825		2,609
Genoa Healthcare Group LLC Tranche 2, term loan 10.75% 2/4/13 (m)	2,500		1,200
Golden Gate National Senior Care LLC:
Tranche 1, term loan 3.2288% 3/14/11 (m)	11,389		9,795
Tranche 2, term loan 8.2288% 9/14/11 (m)	16,000		10,400
Rural/Metro Corp.:
Credit-Linked Deposit 4.01% 3/4/11 (m)	2,285		1,982
term loan 6.279% 3/4/11 (m)	3,605		3,128
Sheridan Healthcare, Inc. Tranche 2LN, term loan 6.8325% 6/15/15 (m)	17,840		9,812
			38,926
Pharmaceuticals - 0.0%
Graceway Pharmaceuticals LLC Tranche B 2LN, term loan 7.9588% 5/3/13 (m)	15,000		3,975
TOTAL HEALTH CARE			42,901
INDUSTRIALS - 0.2%
Aerospace & Defense - 0.0%
McKechnie Aerospace Holdings Ltd. Tranche 2LN, term loan 5.48% 5/11/15 pay-in-kind (m)	110		47
Airlines - 0.1%
Delta Air Lines, Inc. Tranche 2LN, term loan 3.695% 4/30/14 (m)	8,443		4,095
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
INDUSTRIALS - continued
Airlines - continued
Northwest Airlines, Inc. term loan 2.45% 12/31/10 (m)	$ 10,712		$ 9,373
US Airways Group, Inc. term loan 2.9788% 3/23/14 (m)	4,720		2,148
			15,616
Commercial Services & Supplies - 0.0%
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 7.125% 2/7/15 (m)	985		246
Machinery - 0.1%
Dresser, Inc. Tranche 2LN, term loan 6.9875% 5/4/15 pay-in-kind (m)	10,990		4,396
Navistar International Corp.:
term loan 3.7288% 1/19/12 (m)	352		250
Credit-Linked Deposit 4.1256% 1/19/12 (m)	128		91
			4,737
TOTAL INDUSTRIALS			20,646
INFORMATION TECHNOLOGY - 0.2%
Communications Equipment - 0.1%
IPC Systems, Inc. Tranche 2LN, term loan 6.7088% 5/31/15 (m)	6,000		900
SafeNet, Inc. Tranche 2LN, term loan 7.66% 4/12/15 (m)	7,500		2,925
			3,825
Electronic Equipment & Components - 0.0%
Texas Competitive Electric Holdings Co. LLC:
Tranche B2, term loan 3.9515% 10/10/14 (m)	2,805		1,711
Tranche B3, term loan 3.9515% 10/10/14 (m)	3,000		1,830
			3,541
Software - 0.1%
Kronos, Inc. Tranche 2LN, term loan 7.2088% 6/11/15 (m)	33,730		15,179
Serena Software, Inc. term loan 3.1038% 3/10/13 (m)	288		158
SS&C Technologies, Inc. term loan 3.4271% 11/23/12 (m)	447		326
			15,663
TOTAL INFORMATION TECHNOLOGY			23,029
Floating Rate Loans - continued
	Principal Amount (000s)		Value (000s)
MATERIALS - 0.0%
Containers & Packaging - 0.0%
Anchor Glass Container Corp. term loan 6.8255% 6/20/14 (m)	$ 7,314		$ 6,144
TELECOMMUNICATION SERVICES - 0.2%
Diversified Telecommunication Services - 0.2%
Intelsat Ltd. Tranche B, term loan 3.925% 7/3/13 (m)	19,628		17,763
Paetec Communications, Inc. Tranche B, term loan 2.9788% 2/28/13 (m)	443		323
Wind Telecomunicazioni SpA term loan 8.3925% 12/21/11 pay-in-kind (m)	20,492		13,851
			31,937
UTILITIES - 0.1%
Electric Utilities - 0.0%
Bicent Power LLC Tranche 2LN, term loan 5.46% 12/31/14 (m)	810		486
Independent Power Producers & Energy Traders - 0.1%
Nebraska Energy, Inc. Tranche 2LN, term loan 5.9663% 5/1/14 (m)	12,970		8,171
TOTAL UTILITIES			8,657
TOTAL FLOATING RATE LOANS (Cost $353,119)		211,632
Bank Notes - 0.0%
National City Bank, Cleveland 2.3025% 3/1/13 (m) (Cost $458)	576		449

Preferred Securities - 0.0%
FINANCIALS - 0.0%
Diversified Financial Services - 0.0%
ING Groep NV 5.775% (m)	620		196
MUFG Capital Finance 1 Ltd. 6.346% (m)	2,727		1,708
			1,904
TOTAL PREFERRED SECURITIES (Cost $2,022)		1,904
Fixed-Income Funds - 14.6%
	Shares		Value (000s)
Fidelity 1-3 Year Duration Securitized Bond Central Fund (n)	1,499,285		$ 106,344
Fidelity Commercial Mortgage-Backed Securities Central Fund (n)	3,129,512		212,807
Fidelity Corporate Bond 1-10 Year Central Fund (n)	5,209,658		462,253
Fidelity Mortgage Backed Securities Central Fund (n)	12,481,630		1,247,789
TOTAL FIXED-INCOME FUNDS (Cost $2,234,427)		2,029,193
Money Market Funds - 3.6%
Fidelity Cash Central Fund, 0.59% (b)	482,470,269		482,470
Fidelity Securities Lending Cash Central Fund, 0.66% (b)(c)	20,750,850		20,751
TOTAL MONEY MARKET FUNDS (Cost $503,221)		503,221
Cash Equivalents - 0.2%
	Maturity Amount (000s)
Investments in repurchase agreements in a joint trading account at:
0.25%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	$ 18,188		18,188
0.26%, dated 2/27/09 due 3/2/09 (Collateralized by U.S. Treasury Obligations) #	5,753		5,753
TOTAL CASH EQUIVALENTS (Cost $23,941)		23,941
TOTAL INVESTMENT PORTFOLIO - 102.5% (Cost $16,845,315)			14,242,260
NET OTHER ASSETS - (2.5)%			(348,690)
NET ASSETS - 100%		$ 13,893,570

Swap Agreements
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps
Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon credit event of JPMorgan Mortgage Acquisition Corp., par value of the notional amount of JPMorgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36 (Rating-C) (k)	Sept. 2036	$ 4,600	$ (4,445)
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon credit event of Residential Asset Mortgage Products, Inc., par value of the notional amount of Residential Asset Mortgage, Inc. Series 2006-RS5, 7.17% 9/25/36 (Rating-C) (k)	Oct. 2036	1,293	(1,248)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (l)	Sept. 2037	13,300	(12,835)
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-Caa1) (l)	Sept. 2037	10,900	(10,519)
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-Caa1) (l)	Sept. 2037	2,500	(2,413)
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 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (l)	Sept. 2037	10,900	(10,519)
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-Caa1) (l)	Sept. 2037	10,600	(10,229)
Swap Agreements - continued
	Expiration Date	Notional Amount (000s)	Value (000s)
Credit Default Swaps - continued
Receive monthly a fixed rate of .15% multiplied by the notional amount and pay to UBS upon each credit event of one of the issues of ABX AA 07-1 Index, par value of the proportional notional amount (Rating-Caa1) (l)	Sept. 2037	$ 9,100	$ (8,780)
Receive monthly notional amount multiplied by 1.45% and pay UBS upon credit event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36 (Rating-C) (k)	August 2036	8,500	(8,467)
Receive monthly notional amount multiplied by 3% and pay UBS upon credit event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 (Rating-Ca) (k)	August 2035	2,700	(2,535)
TOTAL CREDIT DEFAULT SWAPS		$ 74,393	$ (71,990)
Interest Rate Swaps
Receive semi-annually a fixed rate equal to 4.947% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	March 2012	100,000	10,255
Receive semi-annually a fixed rate equal to 5.458% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2017	50,000	8,662
Receive semi-annually a fixed rate equal to 5.61% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston	June 2012	95,500	11,103
TOTAL INTEREST RATE SWAPS		$ 245,500	$ 30,020
		$ 319,893	$ (41,970)

Legend

(a) Non-income producing

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

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

(d) Non-income producing - Issuer 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 $433,955,000 or 3.1% of net assets.

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

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

(j) Security or a portion of the security has been segregated as collateral for swap agreements. At the period end, the value of securities pledged amounted to $75,098,000, of which $18,013,000 is segregated at the custodian for terminated contracts with Lehman Brothers Special Financing, Inc.

(k) Represents a credit default swap contract in which the fund has sold protection on the underlying reference entity. For the underlying reference entity, ratings disclosed are from Moody's Investor Services, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. Any underlying reference entity which is Not Rated (NR) by Moody's or S&P is designated as such. All ratings are as of the report date and do not reflect subsequent changes.

(l) Represents a tradable index of credit default swaps on home equity asset-backed debt securities. In addition, the swap represents a contract in which the fund has sold protection on the underlying securities within the index. Ratings represent a weighted average of the ratings of all securities included in the index. Ratings used in the weighted average are from Moody's Investor Services, Inc., or S&P where Moody's ratings are not available. All ratings are as of the report date and do not reflect subsequent changes.

(m) The coupon rate shown on floating or adjustable rate securities represents the rate 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 held as of the end of the period.

(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,013,000 or 0.0% of net assets.

Additional information on each holding is as follows:

Security	Acquisition Date	Acquisition Cost (000s)
BMP Sunstone Corp. warrants 8/19/12	8/17/07	$ 7
wetpaint.com, Inc. Series C	5/14/08	$ 5,000

* Amount represents less than $1,000.

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

Repurchase Agreement / Counterparty	Value (Amounts in thousands)
$18,188,000 due 3/02/09 at 0.25%
BNP Paribas Securities Corp.	$ 9,775
Barclays Capital, Inc.	2,360
Citigroup Global Markets, Inc.	1,349
HSBC Securities (USA), Inc.	674
J.P. Morgan Securities, Inc.	1,333
Societe Generale, New York Branch	2,697
	$ 18,188
$5,753,000 due 3/02/09 at 0.26%
BNP Paribas Securities Corp.	$ 2,839
Banc of America Securities LLC	1,059
Barclays Capital, Inc.	1,510
Deutsche Bank Securities, Inc.	345
	$ 5,753

Affiliated Central Funds

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

Fund	Income earned (Amounts in thousands)
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 2,875
Fidelity Cash Central Fund	4,445
Fidelity Commercial Mortgage-Backed Securities Central Fund	8,023
Fidelity Corporate Bond 1-10 Year Central Fund	28,419
Fidelity Mortgage Backed Securities Central Fund	34,817
Fidelity Securities Lending Cash Central Fund	1,512
Fidelity Ultra-Short Central Fund	3,239
Total	$ 83,330

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

Fund (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Value, end of period	% ownership, end of period
Fidelity 1-3 Year Duration Securitized Bond Central Fund	$ 196,835	$ 2,875	$ 71,853	$ 106,344	13.1%
Fidelity Commercial Mortgage-Backed Securities Central Fund	315,814	8,023	41,246	212,807	9.1%
Fidelity Corporate Bond 1-10 Year Central Fund	1,064,585	28,505	553,180*	462,253	18.9%
Fidelity Mortgage Backed Securities Central Fund	1,308,960	34,818	119,687	1,247,789	17.0%
Fidelity Ultra-Short Central Fund	455,384	-	383,267*	-	0.0%
Total	$ 3,341,578	$ 74,221	$ 1,169,233	$ 2,029,193

*Includes the value of shares redeemed through in-kind contributions. See Note 6 of the Notes to Financial Statements.

Other Affiliated Issuers

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

Affiliate (Amounts in thousands)	Value, beginning of period	Purchases	Sales Proceeds	Dividend Income	Value, end of period
ULURU, Inc.	$ 5,614	$ -	$ 55	$ -	$ 754

Other Information

The following is a summary of the inputs used, as of February 28, 2009, involving the Fund's assets carried at 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 tables 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	$ 14,242,260	$ 9,679,709	$ 4,511,045	$ 51,506
Other Financial Instruments*	$ (41,508)	$ -	$ 9,180	$ (50,688)

*Other financial instruments include Swap Agreements and Forward Commitments.

The following is a reconciliation of assets for which Level 3 inputs were used in determining value:

(Amounts in thousands)	Investments in Securities	Other Financial Instruments
Beginning Balance	$ 6,438	$ (30,439)
Total Realized Gain (Loss)	412	-*
Total Unrealized Gain (Loss)	(20,188)	11,324
Cost of Purchases	38,637	-
Proceeds of Sales	(2,591)	-
Amortization/Accretion	(603)	-
Transfer in/out of Level 3	29,401	(31,573)
Ending Balance	$ 51,506	$ (50,688)

* The realized gain (loss) for derivative instruments is not included in the rollforward. For the period, the realized gain (loss) on these instruments totaled $(958,000).

The information used in the above reconciliation represents fiscal year to date activity for any Investment Securities or Other Financial Instruments identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represents either the beginning value (for transfers in), or the ending value (for transfers out) of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period.

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

U.S. Government and U.S. Government Agency Obligations	27.4%
AAA,AA,A	8.6%
BBB	5.1%
BB	2.6%
B	4.6%
CCC,CC,C	1.9%
D	0.0%†
Not Rated	0.3%
Equities	52.5%
Short-Term Investments and Net Other Assets	(3.0)%
	100.0%

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

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

^† Amount represents less than 0.1%.

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

Semiannual Report

Financial Statements

Statement of Assets and Liabilities

Amounts in thousands (except per-share amounts)	February 28, 2009
Assets
Investment in securities, at value (including securities loaned of $20,141 and repurchase agreements of $23,941) - See accompanying schedule: Unaffiliated issuers (cost $14,092,011)	$ 11,709,092
Fidelity Central Funds (cost $2,737,648)	2,532,414
Other affiliated issuers (cost $15,656)	754
Total Investments (cost $16,845,315)		$ 14,242,260
Commitment to sell securities on a delayed delivery basis	(254,992)
Receivable for securities sold on a delayed delivery basis	255,454	462
Receivable for investments sold, regular delivery		151,111
Cash		206
Receivable for swap agreements		65
Receivable for fund shares sold		10,964
Dividends receivable		17,703
Interest receivable		67,969
Distributions receivable from Fidelity Central Funds		11,672
Prepaid expenses		170
Other receivables		619
Unrealized appreciation on swap agreements		30,020
Total assets		14,533,221
Liabilities
Payable for investments purchased Regular delivery	$ 109,449
Delayed delivery	385,770
Payable for swap agreements	22,738
Payable for fund shares redeemed	19,873
Unrealized depreciation on swap agreements	71,990
Accrued management fee	5,138
Other affiliated payables	3,206
Other payables and accrued expenses	736
Collateral on securities loaned, at value	20,751
Total liabilities		639,651
Net Assets		$ 13,893,570
Net Assets consist of:
Paid in capital		$ 19,347,194
Undistributed net investment income		98,420
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions		(2,916,872)
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies		(2,635,172)
Net Assets		$ 13,893,570

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

Semiannual Report

Financial Statements - continued

Statement of Assets and Liabilities - continued

Amounts in thousands (except per-share amounts)	February 28, 2009
Puritan: Net Asset Value, offering price and redemption price per share ($13,015,003 ÷ 1,104,548 shares)		$ 11.78
Class K: Net Asset Value, offering price and redemption price per share ($878,567 ÷ 74,565 shares)		$ 11.78

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

Semiannual Report

Statement of Operations

Amounts in thousands	Six months ended February 28, 2009
Investment Income
Dividends		$ 117,347
Interest		123,860
Income from Fidelity Central Funds		83,330
Total income		324,537
Expenses
Management fee	$ 34,154
Transfer agent fees	18,580
Accounting and security lending fees	930
Custodian fees and expenses	124
Independent trustees' compensation	53
Depreciation in deferred trustee compensation account	(8)
Registration fees	66
Audit	135
Legal	57
Miscellaneous	672
Total expenses before reductions	54,763
Expense reductions	(169)	54,594
Net investment income (loss)		269,943
Realized and Unrealized Gain (Loss) Net realized gain (loss) on:
Investment securities:
Unaffiliated issuers	(2,631,660)
Fidelity Central Funds	(243,124)
Other affiliated issuers	(313)
Foreign currency transactions	78
Futures contracts	(26,789)
Swap agreements	130
Total net realized gain (loss)		(2,901,678)
Change in net unrealized appreciation (depreciation) on: Investment securities	(3,616,450)
Assets and liabilities in foreign currencies	(84)
Swap agreements	22,791
Delayed delivery commitments	440
Total change in net unrealized appreciation (depreciation)		(3,593,303)
Net gain (loss)		(6,494,981)
Net increase (decrease) in net assets resulting from operations		$ (6,225,038)

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

Semiannual Report

Financial Statements - continued

Statement of Changes in Net Assets

Amounts in thousands	Six months ended February 28, 2009	Year ended August 31, 2008
Increase (Decrease) in Net Assets
Operations
Net investment income (loss)	$ 269,943	$ 647,822
Net realized gain (loss)	(2,901,678)	771,383
Change in net unrealized appreciation (depreciation)	(3,593,303)	(3,177,660)
Net increase (decrease) in net assets resulting from operations	(6,225,038)	(1,758,455)
Distributions to shareholders from net investment income	(283,670)	(690,835)
Distributions to shareholders from net realized gain	(18,395)	(2,042,154)
Total distributions	(302,065)	(2,732,989)
Share transactions - net increase (decrease)	(1,005,832)	198,958
Total increase (decrease) in net assets	(7,532,935)	(4,292,486)
Net Assets
Beginning of period	21,426,505	25,718,991
End of period (including undistributed net investment income of $98,420 and undistributed net investment income of $112,147, respectively)	$ 13,893,570	$ 21,426,505

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

Semiannual Report

Financial Highlights - Puritan

	Six months ended February 28,	Years ended August 31,
	2009	2008	2007	2006 G	2006 I	2005 I	2004 I
Selected Per-Share Data
Net asset value, beginning of period	$ 17.07	$ 20.54	$ 19.69	$ 19.34	$ 19.13	$ 18.44	$ 16.96
Income from Investment Operations
Net investment income (loss) D	.22	.50	.59	.06	.55	.47	.45
Net realized and unrealized gain (loss)	(5.26)	(1.80)	1.70	.29	.80	1.39	1.79
Total from investment operations	(5.04)	(1.30)	2.29	.35	1.35	1.86	2.24
Distributions from net investment income	(.23)	(.55)	(.59)	-	(.55)	(.45)	(.46)
Distributions from net realized gain	(.02)	(1.62)	(.85)	-	(.59)	(.72)	(.30)
Total distributions	(.25) K	(2.17)	(1.44)	-	(1.14)	(1.17)	(.76)
Net asset value, end of period	$ 11.78	$ 17.07	$ 20.54	$ 19.69	$ 19.34	$ 19.13	$ 18.44
Total Return B, C	(29.76)%	(7.35)%	12.18%	1.81%	7.36%	10.51%	13.43%
Ratios to Average Net Assets E, H
Expenses before reductions	.67% A	.61%	.60%	.63% A	.62%	.63%	.65%
Expenses net of fee waivers, if any	.67% A	.61%	.60%	.62% A	.62%	.63%	.65%
Expenses net of all reductions	.67% A	.60%	.59%	.62% A	.61%	.62%	.64%
Net investment income (loss)	3.27% A	2.72%	2.91%	3.97% A	2.90%	2.53%	2.46%
Supplemental Data
Net assets, end of period (in millions)	$ 13,015	$ 21,418	$ 25,719	$ 23,955	$ 23,558	$ 24,276	$ 22,054
Portfolio turnover rate F	137% A	115%	70% J	78% A	44%	75%	67%
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I For the period ended July 31. J Portfolio turnover rate excludes securities received or delivered in-kind. K Total distributions of $.247 per share is comprised of distributions from net investment income of $.232 and distributions from net realized gain of $.015 per share.

Semiannual Report

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

Financial Highlights - Class K

	Six months ended February 28,	Year ended August 31,
	2009	2008 G
Selected Per-Share Data
Net asset value, beginning of period	$ 17.07	$ 18.22
Income from Investment Operations
Net investment income (loss) D	.22	.14
Net realized and unrealized gain (loss)	(5.25)	(1.16)
Total from investment operations	(5.03)	(1.02)
Distributions from net investment income	(.25)	(.13)
Distributions from net realized gain	(.02)	-
Total distributions	(.26) I	(.13)
Net asset value, end of period	$ 11.78	$ 17.07
Total Return B, C	(29.68)%	(5.60)%
Ratios to Average Net Assets E, H
Expenses before reductions	.49% A	.48% A
Expenses net of fee waivers, if any	.49% A	.48% A
Expenses net of all reductions	.49% A	.48% A
Net investment income (loss)	3.45% A	3.21% A
Supplemental Data
Net assets, end of period (in millions)	$ 879	$ 9
Portfolio turnover rate F	137% A	115%

^A Annualized ^B Total returns for periods of less than one year are not annualized. ^C Total returns would have been lower had certain expenses not been reduced during the periods shown. ^D Calculated based on average shares outstanding during the period. ^E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. ^F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. ^G For the period May 9, 2008 (commencement of sale of shares) to August 31, 2008. ^H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. ^I Total distributions of $.262 per share is comprised of distributions from net investment income of $.247 and distributions from net realized gain of $.015 per share.

Semiannual Report

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

Notes to Financial Statements

For the period ended February 28, 2009

1. Organization.

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

2. Investments in Fidelity Central Funds.

The Fund may invest in Fidelity Central Funds, which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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 their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity 1-3 Year Duration Securitized Bond Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements

Semiannual Report

Notes to Financial Statements - continued

2. Investments in Fidelity Central Funds - continued

Fidelity Central Fund	Investment Manager	Investment Objective	Investment Practices
Fidelity Commercial Mortgage-Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade commercial mortgage-backed securities and repurchase agreements for those securities.	Futures Repurchase Agreements Restricted Securities Swap Agreements
Fidelity Corporate Bond 1-10 Year Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements
Fidelity Mortgage Backed Securities Central Fund	FIMM	Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities.	Delayed Delivery & When Issued Securities Futures 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 SEC's web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request.

3. Significant Accounting Policies.

The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following summarizes the significant accounting policies of the Fund:

Semiannual Report

3. Significant Accounting Policies - continued

Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price. Debt securities, including restricted securities, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.

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

The Fund adopted the provisions of Statement of Financial Accounting Standards No. 157, "Fair Value Measurements" (SFAS 157), effective with the beginning of the Fund's fiscal year. SFAS 157 establishes a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets (level 1 measurements) and the lowest priority to unobservable inputs (level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy under SFAS 157 are described below:

Semiannual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Security Valuation - continued

Level 1	Quoted prices in active markets for identical securities.
Level 2	Prices determined using other significant observable inputs. Observable inputs are inputs that other market participants may use in pricing a security. These may include quoted prices for similar securities, interest rates, prepayment speeds, credit risk and others.
Level 3	Prices determined using significant unobservable inputs. In situations where quoted prices or observable inputs are unavailable or deemed less relevant (for example, when there is little or no market activity for an investment at the end of the period), unobservable inputs may be used. Unobservable inputs reflect the Fund's own assumptions about the factors market participants would use in pricing an investment, and would be based on the best information available.

Changes in valuation techniques may result in transfers in or out of an investment's assigned level within the hierarchy.

The aggregate value by input level, as of February 28, 2009, for the Fund's investments ,as well as a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining value, is included at the end of the Fund's Schedule of Investments.

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

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

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

Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 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

Semiannual Report

3. Significant Accounting Policies - continued

Investment Transactions and Income - continued

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. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though the 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 collectibility of interest is reasonably assured.

Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.

Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.

Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. The Fund is subject to the provisions of FASB Interpretation No. 48, Accounting for

Semiannual Report

Notes to Financial Statements - continued

3. Significant Accounting Policies - continued

Income Tax Information and Distributions to Shareholders - continued

Uncertainties in Income Taxes (FIN 48). FIN 48 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. There are no unrecognized tax benefits in the accompanying financial statements. A Fund's federal tax return is subject to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.

Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.

Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.

Book-tax differences are primarily due to futures transactions, swap agreements, foreign currency transactions, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.

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

Unrealized appreciation	$ 597,407,714
Unrealized depreciation	(3,497,111,691)
Net unrealized appreciation (depreciation)	$ (2,899,703,977)
Cost for federal income tax purposes	$ 17,141,964,128

New Accounting Pronouncement. In March 2008, Statement of Financial Accounting Standards No. 161, Disclosures about Derivative Instruments and Hedging Activities (SFAS 161), was issued and is effective for reporting periods beginning after November 15, 2008. SFAS 161 requires enhanced disclosures to provide information about the reasons the Fund invests in derivative instruments, the accounting treatment and the effect derivatives have on financial performance.

Semiannual Report

4. Operating Policies.

Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.

Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.

Futures Contracts. The Fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms.

Semiannual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

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

Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.

Swap Agreements. The Fund entered into swap agreements, which are contracts between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Certain interest rate swaps include extended effective dates. Gains or losses are realized in the event of an early termination of a swap agreement. Risks of loss may exceed amounts recognized on the Fund's Statement of Assets and Liabilities. Risks of loss may include unfavorable changes in the returns of the underlying instruments or indexes, adverse fluctuations of interest rates, failure of the counterparty to perform under the terms of the agreement and lack of liquidity in the market. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements." Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian bank in accordance with the swap agreement and if required, is identified in the Fund's Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held in the Fund's custodian bank.

The Fund entered into interest rate swap agreements to manage its exposure to interest rate changes. Interest rate swaps represent an agreement between counterparties to exchange cash flows based on the difference between two interest rates (e.g. fixed rate, floating rate), applied to a notional principal amount. Changes in interest rates can have a negative effect on both the value of the Fund's bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.

Semiannual Report

4. Operating Policies - continued

Swap Agreements - continued

The Fund entered into credit default swap agreements to provide a measure of protection against defaults of an issuer ("buyer of protection") and/or to gain credit exposure to an issuer to which it is not otherwise exposed ("seller of protection"). The issuer may be either a single issuer or a "basket" of issuers. As a buyer of protection, the Fund does so when it holds bonds of the issuer or without owning the underlying asset or debt issued by the reference entity. 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 credit worthiness of a reference obligation. Any upfront payments made or received upon entering a credit default swap contract would be amortized or accreted over the life of the swap and recorded as realized gains or losses in the Fund's accompanying Statement of Operations. Periodic payments are made over the life of the contract provided that no credit event occurs. 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 corporate or sovereign issuers, a credit event may be triggered by events such as bankruptcy, failure to pay, obligation acceleration, repudiation/moratorium or restructuring. If a credit event were to occur during the term of the contract, upon notification from the buyer, the seller is obligated to take delivery from the buyer the notional amount of a reference obligation, at par. The difference between the value of the obligation received and the notional amount paid is recorded as a realized loss to the seller. For credit default swaps on asset-backed securities, the reference obligation described represents the security that will be put to the seller. For credit default swaps on corporate or sovereign issuers, under the terms of the agreement, the obligation that is put to the seller is not limited to the specific reference obligation described in the Fund's Schedule of Investments.

The notional amount of credit default swaps is included in the Fund's Schedule of Investments and approximates the maximum potential amount of future payments that the Fund could be required to make if the Fund is the seller of protection and a credit event were to occur. The total notional amount of all credit default swaps open at period end where the Fund is the seller of protection amounted to $74,392,526 representing 0.54% of net assets.

The value of each credit default swap and credit rating disclosed for each reference obligation in the Fund's Schedule of Investments, where the Fund is the seller of protection, are both 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

Semiannual Report

Notes to Financial Statements - continued

4. Operating Policies - continued

Swap Agreements - continued

amount, the payment/performance risk may decrease or increase, respectively. Any current or future declines in the value of the swap may be partially offset by upfront payments received by the Fund as the seller of protection if applicable. 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.

5. Purchases and Sales of Investments.

Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $8,929,845,342 and $9,396,395,142, respectively.

6. Fees and Other Transactions with Affiliates.

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

Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of Puritan. FIIOC receives an asset-based fee of .05% of Class K's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class were as follows:

	Amount	% of Average Net Assets*
Puritan	$ 18,441,432	.23
Class K	138,874	.05
	$ 18,580,306

* Annualized

Semiannual Report

6. Fees and Other Transactions with Affiliates - continued

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

Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $237,298 for the period.

Other Affiliated Transactions. On January 23, 2009, Fidelity Ultra-Short Central Fund ("Ultra-Short"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Trustees on January 15, 2009. Under the plan, Ultra-Short distributed in-kind all of its net assets to its shareholders pro rata at its net asset value (NAV) per share of $62.53 determined as of the close of business on the liquidation date. As a result, the Fund received cash and securities, including accrued interest, of $229,205,663 in return for its 3,665,748 shares of Ultra-Short. This is considered taxable to the Fund for federal income tax purposes.

On February 20, 2009, the Fund redeemed in-kind 5,759,631 shares of Fidelity Corporate Bond 1-10 Year Central Fund, a Fidelity Central Fund in which the Fund invests, valued at $518,408,300 by receiving cash and securities of equal value, including accrued interest. This is considered taxable to the Fund for federal income tax purposes.

7. Committed Line of Credit.

The Fund participates with other funds managed by FMR in a $3.5 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 $51,623 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.

8. Security Lending.

The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation

Semiannual Report

Notes to Financial Statements - continued

8. Security Lending - continued

to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Net income from lending portfolio securities during the period, presented in the Statement of Operations as a component of interest income, amounted to $171,433. 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 $1,511,733.

9. Expense Reductions.

FMR voluntarily agreed to reimburse a portion of Puritan's operating expenses. During the period, this reimbursement reduced the class' expenses by $4,485.

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 $97,166 for the period. In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $28,433. During the period, credits reduced each class' transfer agent expense as noted in the table below.

	Transfer Agent expense reduction
Puritan	$ 39,207

10. Distributions to Shareholders.

Distributions to shareholders of each class were as follows:

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net investment income
Puritan	$ 275,631,060	$ 690,834,669
Class K	8,038,609	703
Total	$ 283,669,669	$ 690,835,372

Semiannual Report

10. Distributions to Shareholders - continued

	Six months ended February 28, 2009	Year ended August 31, 2008A
From net realized gain
Puritan	$ 18,038,081	$ 2,042,154,277
Class K	356,426	-
Total	$ 18,394,507	$ 2,042,154,277

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

11. Share Transactions.

Transactions for each class of shares were as follows:

	Shares		Dollars
	Six months ended February 28, 2009	Year ended August 31, 2008 A	Six months ended February 28, 2009	Year ended August 31, 2008 A
Puritan
Shares sold	55,114,638	100,604,414	$ 742,458,077	$ 1,863,774,728
Conversion to Class K	(74,629,734)	(504,580)	(977,664,148)	(8,618,229)
Reinvestment of distributions	20,041,735	134,689,399	279,869,329	2,624,144,864
Shares redeemed	(150,476,741)	(232,505,275)	(2,021,231,674)	(4,289,044,484)
Net increase (decrease)	(149,950,102)	2,283,958	$ (1,976,568,416)	$ 190,256,879
Class K
Shares sold	3,169,653	5,496	$ 40,360,333	$ 100,133
Conversion from Puritan	74,630,262	504,580	977,664,148	8,618,229
Reinvestment of distributions	649,748	42	8,395,035	703
Shares redeemed	(4,393,485)	(1,008)	(55,682,427)	(17,286)
Net increase (decrease)	74,056,178	509,110	$ 970,737,089	$ 8,701,779

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

Semiannual Report

Notes to Financial Statements - continued

12. Other.

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

In March 2009, the Board of Directors of the Fidelity 1-3 Year Duration Securitized Bond Central Fund ("1-3 Year"), a Fidelity Central Fund in which the Fund invests, approved a Plan of Liquidation and Dissolution. Under the plan, 1-3 Year will distribute in-kind all of its net assets to its shareholders pro rata at the NAV per share of 1-3 Year determined as of the close of business on or about June 19, 2009.

Effective after the close of business on April 17, 2009, the Fidelity Commercial Mortgage-Backed Securities Central Fund ("CMBS"), a Fidelity Central Fund in which the Fund invests, was liquidated pursuant to a Plan of Liquidation and Dissolution approved by its Board of Directors in March 2009. Under the plan, the Fund received in-kind its pro rata portion of CMBS' net assets.

Semiannual Report

Report of Independent Registered Public Accounting Firm

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

In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Puritan Fund (a fund of Fidelity Puritan Trust) at February 28, 2009, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Puritan Fund's management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2009 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

/s/ PricewaterhouseCoopers LLP

PricewaterhouseCoopers LLP

Boston, Massachusetts

April 28, 2009

Semiannual Report

Managing Your Investments

Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.

By Phone

Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.

(phone_graphic)

Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555

Press

For mutual fund and brokerage trading.

For quotes.*

For account balances and holdings.

To review orders and mutual
fund activity.

To change your PIN.

To speak to a Fidelity representative.

By PC

Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.

(computer_graphic)

Fidelity's Web Site
www.fidelity.com

* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.

Semiannual Report

To Visit Fidelity

For directions and hours, 
please call 1-800-544-9797.

Arizona

7001 West Ray Road
Chandler, AZ

15445 N. Scottsdale Road
Scottsdale, AZ

California

815 East Birch Street
Brea, CA

1411 Chapin Avenue
Burlingame, CA

851 East Hamilton Avenue
Campbell, CA

19200 Von Karman Avenue
Irvine, CA

601 Larkspur Landing Circle
Larkspur, CA

2000 Avenue of the Stars
Los Angeles, CA

27101 Puerta Real
Mission Viejo, CA

73-575 El Paseo
Palm Desert, CA

251 University Avenue
Palo Alto, CA

123 South Lake Avenue
Pasadena, CA

16656 Bernardo Ctr. Drive
Rancho Bernardo, CA

1220 Roseville Parkway
Roseville, CA

1740 Arden Way
Sacramento, CA

7676 Hazard Center Drive
San Diego, CA

11943 El Camino Real
San Diego, CA

8 Montgomery Street
San Francisco, CA

3793 State Street
Santa Barbara, CA

1200 Wilshire Boulevard
Santa Monica, CA

398 West El Camino Real
Sunnyvale, CA

111 South Westlake Blvd
Thousand Oaks, CA

21701 Hawthorne Boulevard
Torrance, CA

2001 North Main Street
Walnut Creek, CA

6326 Canoga Avenue
Woodland Hills, CA

Colorado

281 East Flatiron Circle
Broomfield, CO

1625 Broadway
Denver, CO

9185 Westview Road
Lone Tree, CO

Connecticut

48 West Putnam Avenue
Greenwich, CT

265 Church Street
New Haven, CT

300 Atlantic Street
Stamford, CT

29 South Main Street
West Hartford, CT

Delaware

400 Delaware Avenue
Wilmington, DE

Florida

175 East Altamonte Drive
Altamonte Springs, FL

4400 N. Federal Highway
Boca Raton, FL

121 Alhambra Plaza
Coral Gables, FL

2948 N. Federal Highway
Ft. Lauderdale, FL

4671 Town Center Parkway
Jacksonville, FL

8880 Tamiami Trail, North
Naples, FL

230 Royal Palm Way
Palm Beach, FL

3501 PGA Boulevard
Palm Beach Gardens, FL

3550 Tamiami Trail, South
Sarasota, FL

1502 N. Westshore Blvd.
Tampa, FL

2465 State Road 7
Wellington, FL

Georgia

3445 Peachtree Road, N.E.
Atlanta, GA

1000 Abernathy Road
Atlanta, GA

Illinois

One North LaSalle Street
Chicago, IL

401 North Michigan Avenue
Chicago, IL

One Skokie Valley Road
Highland Park, IL

1415 West 22nd Street
Oak Brook, IL

15105 S LaGrange Road
Orland Park, IL

1572 East Golf Road
Schaumburg, IL

Indiana

4729 East 82nd Street
Indianapolis, IN

8480 Keystone Crossing
Indianapolis, IN

Kansas

5400 College Boulevard
Overland Park, KS

Maine

Three Canal Plaza
Portland, ME

Maryland

7315 Wisconsin Avenue
Bethesda, MD

610 York Road
Towson, MD

Massachusetts

801 Boylston Street
Boston, MA

155 Congress Street
Boston, MA

300 Granite Street
Braintree, MA

44 Mall Road
Burlington, MA

238 Main Street
Cambridge, MA

200 Endicott Street
Danvers, MA

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

Semiannual Report

405 Cochituate Road
Framingham, MA

551 Boston Turnpike
Shrewsbury, MA

Michigan

500 E. Eisenhower Pkwy.
Ann Arbor, MI

280 Old N. Woodward Ave.
Birmingham, MI

30200 Northwestern Hwy.
Farmington Hills, MI

43420 Grand River Avenue
Novi, MI

Minnesota

7740 France Avenue South
Edina, MN

8342 3rd Street North
Oakdale, MN

Missouri

1524 South Lindbergh Blvd.
St. Louis, MO

Nevada

2225 Village Walk Drive
Henderson, NV

New Jersey

501 Route 73 South
Marlton, NJ

150 Essex Street
Millburn, NJ

35 Morris Street
Morristown, NJ

396 Route 17, North
Paramus, NJ

3518 Route 1 North
Princeton, NJ

530 Broad Street
Shrewsbury, NJ

New Mexico

2261 Q Street NE
Albuquerque, NM

New York

1130 Franklin Avenue
Garden City, NY

37 West Jericho Turnpike
Huntington Station, NY

1271 Avenue of the Americas
New York, NY

980 Madison Avenue
New York, NY

61 Broadway
New York, NY

350 Park Avenue
New York, NY

200 Fifth Avenue
New York, NY

733 Third Avenue
New York, NY

11 Penn Plaza
New York, NY

2070 Broadway
New York, NY

1075 Northern Blvd.
Roslyn, NY

799 Central Park Avenue
Scarsdale, NY

North Carolina

4611 Sharon Road
Charlotte, NC

7011 Fayetteville Road
Durham, NC

Ohio

3805 Edwards Road
Cincinnati, OH

1324 Polaris Parkway
Columbus, OH

1800 Crocker Road
Westlake, OH

28699 Chagrin Boulevard
Woodmere Village, OH

Oregon

7493 SW Bridgeport Road
Tigard, OR

Pennsylvania

600 West DeKalb Pike
King of Prussia, PA

1735 Market Street
Philadelphia, PA

12001 Perry Highway
Wexford, PA

Rhode Island

10 Memorial Boulevard
Providence, RI

Tennessee

3018 Peoples Street
Johnson City, TN

7628 West Farmington Blvd.
Germantown, TN

2035 Mallory Lane
Franklin, TN

Texas

10000 Research Boulevard
Austin, TX

4001 Northwest Parkway
Dallas, TX

12532 Memorial Drive
Houston, TX

2701 Drexel Drive
Houston, TX

6560 Fannin Street
Houston, TX

1701 Lake Robbins Drive
The Woodlands, TX

6500 N. MacArthur Blvd.
Irving, TX

6005 West Park Boulevard
Plano, TX

14100 San Pedro
San Antonio, TX

1576 East Southlake Blvd.
Southlake, TX

Utah

279 West South Temple
Salt Lake City, UT

Virginia

1861 International Drive
McLean, VA

Washington

10500 NE 8th Street
Bellevue, WA

1518 6th Avenue
Seattle, WA

Washington, DC

1900 K Street, N.W.
Washington, DC

Wisconsin

16020 West Bluemound Road
Brookfield, WI

Semiannual Report

To Write Fidelity

We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.

(letter_graphic)

Making Changes
To Your Account

(such as changing name, address, bank, etc.)

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002

(letter_graphic)

For Non-Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

(letter_graphic)

For Retirement
Accounts

Buying shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003

Selling shares

Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035

Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015

General Correspondence

Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500

Semiannual Report

Investment Adviser

Fidelity Management & Research Company

Boston, MA

Investment Sub-Advisers

FMR Co., Inc.

Fidelity Research & Analysis Company

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

Fidelity Investments Money Management, Inc.

Fidelity Investments Japan Limited

FIL Investment Advisers

FIL Investment Advisers
(U.K.) Ltd.

Fidelity Management & Research
(Hong Kong) Limited

Fidelity Management & Research
(Japan), Inc.

General Distributor

Fidelity Distributors Corporation

Boston, MA

Transfer and Service Agents

Fidelity Investments Institutional
Operations Company, Inc.

Boston, MA

Fidelity Service Company, Inc.

Boston, MA

Custodian

JP Morgan Chase Bank

New York, NY

PUR-K-USAN-0409
1.863168.100

Item 2. Code of Ethics

Not applicable.

Item 3. Audit Committee Financial Expert

Not applicable.

Item 4. Principal Accountant Fees and Services

Not applicable.

Item 5. Audit Committee of Listed Registrants

Not applicable.

Item 6. Investments

(a) Not applicable.

(b) Not applicable

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies

Not applicable.

Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders

There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Puritan Trust's Board of Trustees.

Item 11. Controls and Procedures

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

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

Item 12. Exhibits

(a)	(1)	Not applicable.
(a)	(2)	Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
(a)	(3)	Not applicable.
(b)		Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT.

SIGNATURES

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

Fidelity Puritan Trust

By:	/s/ Kenneth B. Robins
	Kenneth B. Robins
	President and Treasurer
Date:	May 5, 2009

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

By:	/s/ Kenneth B. Robins
	Kenneth B. Robins
	President and Treasurer
Date:	May 5, 2009

By:	/s/ Christine Reynolds
	Christine Reynolds
	Chief Financial Officer
Date:	May 5, 2009