UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-3221
Fidelity Charles Street Trust
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | September 30 |
Date of reporting period: | September 30, 2004 |
Item 1. Reports to Stockholders
Fidelity®
Asset Manager: Aggressive®
Annual Report
September 30, 2004
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of the fund's investments. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Indedendent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
(Recycle graphic) This report is printed on recycled paper using soy-based inks.
Annual Report
The 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. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
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.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.
With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:
First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.
Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.
Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.
For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended September 30, 2004 | Past 1 | Past 5 | Life of |
Fidelity® Asset Manager: Aggressive ® | 11.79% | 2.12% | 2.55% |
A From September 24, 1999
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity® Asset Manager: Aggressive® on September 24, 1999, when the fund started. The chart shows how the value of your investment would have grown, and also shows how the Standard & Poor's 500SM Index did over the same period.
Annual Report
Management's Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Aggressive®
U.S. equity markets were an up-and-down proposition during the year ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.
The fund gained 11.79% for the year, while the Fidelity Asset Manager: Aggressive Composite Index and the LipperSM Flexible Portfolio Funds Average rose 12.35% and 10.08%, respectively. It paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt in a supportive environment for riskier assets. However, overweighting cash during the first half of the period hurt amid an upturn in bonds - the main reason the fund lagged its index. Good stock picking and some well-timed sector shifts helped the fund's equities edge the S&P 500. We did well in the lagging health care and consumer staples sectors, where some large holdings, namely biotechnology giant Genentech and natural-food chain Whole Foods Market, were standout performers. Owning more of the right names in technology, including cell phone giant Motorola, also helped, though overweighting the sector hurt relative performance. An emphasis on weak media stocks, such as Univision, disappointed, as did some tech stocks that hit the skids, including hard disk drive maker Seagate Technology and semiconductor equipment manufacturer Teradyne. In fixed income, we focused exclusively on strong-performing high-yield bonds, which allowed us to easily outpace the investment-grade component of the composite index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 968.00 | $ 4.67 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,020.19 | $ 4.81 |
* Expenses are equal to the Fund's annualized expense ratio of .95%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Annual Report
Investment Changes
Top Ten Stocks as of September 30, 2004 | ||
% of fund's net assets | % of fund's net assets | |
Genentech, Inc. | 3.6 | 2.7 |
Univision Communications, Inc. Class A | 2.5 | 2.2 |
Seagate Technology | 2.4 | 0.2 |
Research in Motion Ltd. | 2.1 | 0.0 |
SBC Communications, Inc. | 2.0 | 1.2 |
KLA-Tencor Corp. | 1.7 | 0.4 |
KDDI Corp. | 1.7 | 2.0 |
Teradyne, Inc. | 1.7 | 1.1 |
FedEx Corp. | 1.6 | 1.4 |
Dell, Inc. | 1.5 | 0.8 |
20.8 | ||
Market Sectors as of September 30, 2004 | ||
(stocks only) | % of fund's net assets | % of fund's net assets |
Information Technology | 26.6 | 18.1 |
Health Care | 14.1 | 16.0 |
Consumer Discretionary | 12.5 | 15.9 |
Financials | 8.9 | 10.0 |
Materials | 5.0 | 6.2 |
Telecommunication Services | 4.7 | 3.8 |
Industrials | 4.3 | 4.5 |
Energy | 3.7 | 6.7 |
Consumer Staples | 2.4 | 3.1 |
Utilities | 0.1 | 0.1 |
Asset Allocation (% of fund's net assets) | |||||||
As of September 30, 2004 * | As of March 31, 2004 ** | ||||||
 | Stock class and |  | Stock class and | ||||
 | Bond class 9.4% |  | Bond class 9.5% | ||||
 | Short-term |  | Short-term | ||||
* Foreign | 23.0% | ** Foreign | 19.9% | ||||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Investments September 30, 2004
Showing Percentage of Net Assets
Common Stocks - 82.3% | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - 12.5% | |||
Auto Components - 0.2% | |||
NOK Corp. | 25,000 | $ 768,007 | |
Hotels, Restaurants & Leisure - 2.2% | |||
McDonald's Corp. | 99,300 | 2,783,379 | |
Royal Caribbean Cruises Ltd. | 40,500 | 1,765,800 | |
Starbucks Corp. (a) | 74,100 | 3,368,586 | |
7,917,765 | |||
Household Durables - 1.5% | |||
Beazer Homes USA, Inc. | 6,000 | 641,340 | |
D.R. Horton, Inc. | 17,700 | 586,047 | |
Daito Trust Construction Co. | 27,300 | 1,106,639 | |
George Wimpey PLC | 71,800 | 523,023 | |
Lennar Corp.: | |||
Class A | 19,460 | 926,296 | |
Class B | 5,420 | 237,396 | |
Maytag Corp. | 22,400 | 411,488 | |
Sharp Corp. | 50,000 | 688,934 | |
5,121,163 | |||
Internet & Catalog Retail - 0.5% | |||
Amazon.com, Inc. (a) | 11,100 | 453,546 | |
eBay, Inc. (a) | 11,500 | 1,057,310 | |
Senshukai Co. Ltd. | 42,000 | 350,811 | |
1,861,667 | |||
Media - 6.9% | |||
British Sky Broadcasting Group PLC (BSkyB) sponsored ADR | 24,400 | 853,024 | |
Cablevision Systems Corp. - NY Group Class A (a) | 16,800 | 340,704 | |
Clear Channel Communications, Inc. | 12,300 | 383,391 | |
Comcast Corp. Class A (special) (a) | 4,700 | 131,224 | |
EchoStar Communications Corp. Class A (a) | 43,228 | 1,345,255 | |
Fox Entertainment Group, Inc. Class A (a) | 12,300 | 341,202 | |
Lamar Advertising Co. Class A (a) | 12,400 | 515,964 | |
Liberty Media Corp. Class A (a) | 133,310 | 1,162,463 | |
Liberty Media International, Inc. Class A (a) | 33,845 | 1,129,137 | |
News Corp. Ltd.: | |||
ADR | 28,900 | 949,943 | |
sponsored ADR | 5,312 | 166,425 | |
Playboy Enterprises, Inc. Class B (non-vtg.) (a) | 164,500 | 1,651,580 | |
Radio One, Inc.: | |||
Class A (a) | 24,100 | 344,389 | |
Class D (non-vtg.) (a) | 54,200 | 771,266 | |
The DIRECTV Group, Inc. (a) | 49,699 | 874,205 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - continued | |||
Media - continued | |||
Time Warner, Inc. (a) | 187,800 | $ 3,031,092 | |
Univision Communications, Inc. Class A (a) | 274,500 | 8,676,945 | |
Viacom, Inc. Class B (non-vtg.) | 50,700 | 1,701,492 | |
24,369,701 | |||
Multiline Retail - 0.1% | |||
Barneys, Inc. warrants 4/1/08 (a) | 30 | 1,830 | |
Nordstrom, Inc. | 10,400 | 397,696 | |
399,526 | |||
Specialty Retail - 0.8% | |||
Home Depot, Inc. | 64,900 | 2,544,080 | |
Yamada Denki Co. Ltd. | 9,300 | 321,200 | |
2,865,280 | |||
Textiles Apparel & Luxury Goods - 0.3% | |||
NIKE, Inc. Class B | 11,500 | 906,200 | |
TOTAL CONSUMER DISCRETIONARY | 44,209,309 | ||
CONSUMER STAPLES - 2.4% | |||
Beverages - 0.3% | |||
Robert Mondavi Corp. Class A (a) | 13,300 | 520,961 | |
The Coca-Cola Co. | 12,400 | 496,620 | |
1,017,581 | |||
Food & Staples Retailing - 1.2% | |||
Rite Aid Corp. (a) | 39,000 | 137,280 | |
Whole Foods Market, Inc. | 49,000 | 4,203,710 | |
4,340,990 | |||
Food Products - 0.7% | |||
Bunge Ltd. | 14,900 | 595,702 | |
McCormick & Co., Inc. (non-vtg.) | 47,200 | 1,620,848 | |
Tyson Foods, Inc. Class A | 7,800 | 124,956 | |
2,341,506 | |||
Personal Products - 0.2% | |||
Avon Products, Inc. | 20,400 | 891,072 | |
TOTAL CONSUMER STAPLES | 8,591,149 | ||
ENERGY - 3.7% | |||
Energy Equipment & Services - 2.8% | |||
BJ Services Co. | 32,100 | 1,682,361 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
ENSCO International, Inc. | 91,740 | $ 2,997,146 | |
GlobalSantaFe Corp. | 12,400 | 380,060 | |
Grant Prideco, Inc. (a) | 4,800 | 98,352 | |
Nabors Industries Ltd. (a) | 5,200 | 246,220 | |
Noble Corp. (a) | 83,200 | 3,739,840 | |
Pride International, Inc. (a) | 25,700 | 508,603 | |
Transocean, Inc. (a) | 8,800 | 314,864 | |
9,967,446 | |||
Oil & Gas - 0.9% | |||
Chesapeake Energy Corp. | 12,900 | 204,207 | |
Cross Timbers Royalty Trust | 99 | 3,285 | |
Teekay Shipping Corp. | 22,200 | 956,598 | |
Total SA sponsored ADR | 9,900 | 1,011,483 | |
Valero Energy Corp. | 9,900 | 794,079 | |
2,969,652 | |||
TOTAL ENERGY | 12,937,098 | ||
FINANCIALS - 8.9% | |||
Capital Markets - 2.4% | |||
3i Group PLC | 25,800 | 259,701 | |
Ameritrade Holding Corp. (a) | 60,450 | 726,005 | |
Apollo Investment Corp. | 84,800 | 1,199,920 | |
Charles Schwab Corp. | 96,100 | 883,159 | |
Daiwa Securities Group, Inc. | 41,000 | 260,105 | |
Goldman Sachs Group, Inc. | 24,600 | 2,293,704 | |
JAFCO Co. Ltd. | 8,000 | 421,722 | |
Merrill Lynch & Co., Inc. | 31,700 | 1,576,124 | |
Morgan Stanley | 11,500 | 566,950 | |
Nomura Holdings, Inc. | 24,000 | 309,840 | |
8,497,230 | |||
Commercial Banks - 3.3% | |||
Mitsubishi Tokyo Financial Group, Inc. (MTFG) | 394 | 3,285,960 | |
Mizuho Financial Group, Inc. | 722 | 2,716,728 | |
Sumitomo Mitsui Financial Group, Inc. | 372 | 2,130,061 | |
UFJ Holdings, Inc. (a) | 197 | 864,813 | |
Wells Fargo & Co. | 43,900 | 2,617,757 | |
11,615,319 | |||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
FINANCIALS - continued | |||
Insurance - 1.4% | |||
ACE Ltd. | 53,900 | $ 2,159,234 | |
Axis Capital Holdings Ltd. | 13,100 | 340,600 | |
Millea Holdings, Inc. | 138 | 1,781,050 | |
Sun Life Financial, Inc. | 8,000 | 242,140 | |
XL Capital Ltd. Class A | 5,800 | 429,142 | |
4,952,166 | |||
Real Estate - 1.0% | |||
Alexandria Real Estate Equities, Inc. | 11,800 | 775,496 | |
Apartment Investment & Management Co. Class A | 15,300 | 532,134 | |
Friedman, Billings, Ramsey Group, Inc. Class A | 61,400 | 1,172,740 | |
LNR Property Corp. | 5,600 | 346,696 | |
Mitsubishi Estate Co. Ltd. | 16,000 | 167,235 | |
New York Mortgage Trust, Inc. | 68,300 | 638,605 | |
3,632,906 | |||
Thrifts & Mortgage Finance - 0.8% | |||
Countrywide Financial Corp. | 9,828 | 387,125 | |
Fannie Mae | 10,100 | 640,340 | |
Freddie Mac | 400 | 26,096 | |
Golden West Financial Corp., Delaware | 11,500 | 1,275,925 | |
Sovereign Bancorp, Inc. | 22,400 | 488,768 | |
2,818,254 | |||
TOTAL FINANCIALS | 31,515,875 | ||
HEALTH CARE - 14.1% | |||
Biotechnology - 5.6% | |||
Biogen Idec, Inc. (a) | 87,100 | 5,327,907 | |
Genentech, Inc. (a) | 242,900 | 12,732,789 | |
Millennium Pharmaceuticals, Inc. (a) | 116,400 | 1,595,844 | |
19,656,540 | |||
Health Care Equipment & Supplies - 4.7% | |||
Biomet, Inc. | 41,190 | 1,930,987 | |
Fisher Scientific International, Inc. (a) | 43,460 | 2,535,022 | |
Guidant Corp. | 3,900 | 257,556 | |
Medtronic, Inc. | 35,400 | 1,837,260 | |
St. Jude Medical, Inc. (a) | 44,900 | 3,379,623 | |
Stryker Corp. | 11,600 | 557,728 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - continued | |||
Synthes, Inc. | 4,883 | $ 533,383 | |
Zimmer Holdings, Inc. (a) | 68,500 | 5,414,240 | |
16,445,799 | |||
Health Care Providers & Services - 1.2% | |||
HCA, Inc. | 10,730 | 409,350 | |
Health Management Associates, Inc. Class A | 9,300 | 189,999 | |
Tenet Healthcare Corp. (a) | 29,300 | 316,147 | |
UnitedHealth Group, Inc. | 47,000 | 3,465,780 | |
4,381,276 | |||
Pharmaceuticals - 2.6% | |||
Barr Pharmaceuticals, Inc. (a) | 46,900 | 1,943,067 | |
Johnson & Johnson | 6,800 | 383,044 | |
Merck & Co., Inc. | 29,700 | 980,100 | |
Merck KGaA | 24,412 | 1,397,717 | |
Pfizer, Inc. | 92,600 | 2,833,560 | |
Roche Holding AG (participation certificate) | 14,623 | 1,515,093 | |
9,052,581 | |||
TOTAL HEALTH CARE | 49,536,196 | ||
INDUSTRIALS - 4.3% | |||
Aerospace & Defense - 0.0% | |||
Rockwell Collins, Inc. | 4,900 | 181,986 | |
Air Freight & Logistics - 2.2% | |||
FedEx Corp. | 66,650 | 5,711,239 | |
Ryder System, Inc. | 9,700 | 456,288 | |
United Parcel Service, Inc. Class B | 11,200 | 850,304 | |
Yamato Transport Co. Ltd. | 48,000 | 661,813 | |
7,679,644 | |||
Airlines - 0.1% | |||
JetBlue Airways Corp. (a) | 12,450 | 260,454 | |
Commercial Services & Supplies - 1.7% | |||
Adecco SA sponsored ADR | 26,300 | 325,594 | |
Cintas Corp. | 16,300 | 685,252 | |
Corinthian Colleges, Inc. (a) | 13,600 | 183,328 | |
Hudson Highland Group, Inc. (a) | 3,427 | 100,034 | |
Monster Worldwide, Inc. (a) | 35,100 | 864,864 | |
Robert Half International, Inc. | 94,570 | 2,437,069 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INDUSTRIALS - continued | |||
Commercial Services & Supplies - continued | |||
Societe Generale de Surveillance Holding SA (SGS) (Reg.) | 496 | $ 272,889 | |
Waste Management, Inc. | 46,100 | 1,260,374 | |
6,129,404 | |||
Machinery - 0.3% | |||
Caterpillar, Inc. | 9,870 | 794,042 | |
THK Co. Ltd. | 17,000 | 286,308 | |
1,080,350 | |||
TOTAL INDUSTRIALS | 15,331,838 | ||
INFORMATION TECHNOLOGY - 26.6% | |||
Communications Equipment - 4.3% | |||
Alcatel SA sponsored ADR (a) | 49,700 | 582,981 | |
Avaya, Inc. (a) | 26,000 | 362,440 | |
Belden CDT, Inc. | 27,850 | 607,130 | |
Cisco Systems, Inc. (a) | 121,700 | 2,202,770 | |
Comverse Technology, Inc. (a) | 19,900 | 374,717 | |
Juniper Networks, Inc. (a) | 67,200 | 1,585,920 | |
Motorola, Inc. | 41,800 | 754,072 | |
Nokia Corp. sponsored ADR | 76,500 | 1,049,580 | |
Research in Motion Ltd. (a) | 96,200 | 7,345,281 | |
SafeNet, Inc. (a) | 9,799 | 258,498 | |
15,123,389 | |||
Computers & Peripherals - 6.8% | |||
Dell, Inc. (a) | 152,400 | 5,425,440 | |
Diebold, Inc. | 2,500 | 116,750 | |
EMC Corp. (a) | 417,300 | 4,815,642 | |
Emulex Corp. (a) | 149,600 | 1,723,392 | |
Hutchinson Technology, Inc. (a) | 50,100 | 1,339,173 | |
QLogic Corp. (a) | 59,895 | 1,773,491 | |
Seagate Technology | 617,260 | 8,345,355 | |
Sun Microsystems, Inc. (a) | 67,500 | 272,700 | |
23,811,943 | |||
Electronic Equipment & Instruments - 2.1% | |||
Amphenol Corp. Class A (a) | 54,100 | 1,853,466 | |
Celestica, Inc. (sub. vtg.) (a) | 6,600 | 83,955 | |
Flextronics International Ltd. (a) | 14,800 | 196,100 | |
Molex, Inc. | 114,656 | 3,419,042 | |
Nichicon Corp. | 59,700 | 661,434 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
Electronic Equipment & Instruments - continued | |||
Solectron Corp. (a) | 65,900 | $ 326,205 | |
Tech Data Corp. (a) | 4,100 | 158,055 | |
Vishay Intertechnology, Inc. (a) | 59,060 | 761,874 | |
7,460,131 | |||
Internet Software & Services - 2.2% | |||
Homestore, Inc. (a) | 157,400 | 363,594 | |
Yahoo Japan Corp. (a)(e) | 650 | 2,894,797 | |
Yahoo Japan Corp. New (a)(e) | 650 | 2,871,166 | |
Yahoo!, Inc. (a) | 53,120 | 1,801,299 | |
7,930,856 | |||
IT Services - 0.6% | |||
Affiliated Computer Services, Inc. Class A (a) | 6,600 | 367,422 | |
Ceridian Corp. (a) | 57,600 | 1,060,416 | |
DST Systems, Inc. (a) | 12,900 | 573,663 | |
Pegasus Solutions, Inc. (a) | 12,746 | 151,932 | |
2,153,433 | |||
Semiconductors & Semiconductor Equipment - 8.6% | |||
Agere Systems, Inc. Class B (a) | 67,200 | 68,544 | |
Altera Corp. (a) | 263,400 | 5,154,738 | |
Analog Devices, Inc. | 94,600 | 3,668,588 | |
ASML Holding NV (NY Shares) (a) | 18,500 | 238,095 | |
Intel Corp. | 11,220 | 225,073 | |
Intersil Corp. Class A | 36,200 | 576,666 | |
KLA-Tencor Corp. (a) | 147,310 | 6,110,419 | |
Marvell Technology Group Ltd. (a) | 24,900 | 650,637 | |
Microchip Technology, Inc. | 10,400 | 279,136 | |
Micron Technology, Inc. (a) | 35,400 | 425,862 | |
Novellus Systems, Inc. (a) | 8,100 | 215,379 | |
Samsung Electronics Co. Ltd. | 12,490 | 4,967,796 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 25,121 | 179,364 | |
Teradyne, Inc. (a) | 438,070 | 5,870,138 | |
Texas Instruments, Inc. | 49,300 | 1,049,104 | |
Xilinx, Inc. | 20,700 | 558,900 | |
30,238,439 | |||
Software - 2.0% | |||
BEA Systems, Inc. (a) | 229,500 | 1,585,845 | |
BMC Software, Inc. (a) | 10,400 | 164,424 | |
Microsoft Corp. | 141,400 | 3,909,710 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
Nippon System Development Co. Ltd. | 10,100 | $ 168,356 | |
Oracle Corp. (a) | 103,400 | 1,166,352 | |
6,994,687 | |||
TOTAL INFORMATION TECHNOLOGY | 93,712,878 | ||
MATERIALS - 5.0% | |||
Chemicals - 1.5% | |||
BOC Group PLC | 3,400 | 54,463 | |
Dow Chemical Co. | 70,750 | 3,196,485 | |
Lyondell Chemical Co. | 82,800 | 1,859,688 | |
Praxair, Inc. | 6,000 | 256,440 | |
5,367,076 | |||
Containers & Packaging - 0.3% | |||
Pactiv Corp. (a) | 34,900 | 811,425 | |
Sealed Air Corp. (a) | 5,200 | 241,020 | |
1,052,445 | |||
Metals & Mining - 3.2% | |||
Alcan, Inc. | 4,352 | 208,675 | |
Alcoa, Inc. | 59,700 | 2,005,323 | |
Inco Ltd. (a) | 44,480 | 1,741,480 | |
Newmont Mining Corp. | 32,100 | 1,461,513 | |
Nippon Steel Corp. | 100,000 | 238,128 | |
Nucor Corp. | 15,800 | 1,443,646 | |
Peabody Energy Corp. | 15,100 | 898,450 | |
Phelps Dodge Corp. | 34,100 | 3,138,223 | |
11,135,438 | |||
TOTAL MATERIALS | 17,554,959 | ||
TELECOMMUNICATION SERVICES - 4.7% | |||
Diversified Telecommunication Services - 2.2% | |||
Philippine Long Distance Telephone Co. sponsored ADR (a) | 14,800 | 370,592 | |
PT Indosat Tbk sponsored ADR | 14,600 | 350,400 | |
SBC Communications, Inc. | 272,400 | 7,068,780 | |
7,789,772 | |||
Wireless Telecommunication Services - 2.5% | |||
KDDI Corp. | 1,250 | 6,078,164 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - continued | |||
Nextel Communications, Inc. Class A (a) | 109,100 | $ 2,600,944 | |
NTT DoCoMo, Inc. | 109 | 185,258 | |
8,864,366 | |||
TOTAL TELECOMMUNICATION SERVICES | 16,654,138 | ||
UTILITIES - 0.1% | |||
Multi-Utilities & Unregulated Power - 0.1% | |||
Equitable Resources, Inc. | 6,200 | 336,722 | |
TOTAL COMMON STOCKS (Cost $268,810,822) | 290,380,162 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Granite Broadcasting Corp. 12.75% pay-in-kind (a) | 50 | 22,750 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $32,750) | 22,750 | ||
Nonconvertible Bonds - 9.4% | ||||
Principal Amount | ||||
CONSUMER DISCRETIONARY - 2.3% | ||||
Auto Components - 0.1% | ||||
Delco Remy International, Inc. 9.375% 4/15/12 | $ 110,000 | 108,350 | ||
Tenneco Automotive, Inc. 10.25% 7/15/13 | 65,000 | 74,100 | ||
Visteon Corp.: | ||||
7% 3/10/14 | 70,000 | 66,588 | ||
8.25% 8/1/10 | 100,000 | 105,500 | ||
354,538 | ||||
Hotels, Restaurants & Leisure - 0.6% | ||||
Chumash Casino & Resort Enterprise 9% 7/15/10 (f)(i) | 65,000 | 72,150 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 125,000 | 119,375 | ||
Host Marriott LP 7.125% 11/1/13 | 120,000 | 125,700 | ||
Mandalay Resort Group: | ||||
9.375% 2/15/10 | 95,000 | 108,538 | ||
10.25% 8/1/07 | 80,000 | 90,600 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM MIRAGE: | ||||
6% 10/1/09 | $ 115,000 | $ 116,150 | ||
6% 10/1/09 (f) | 145,000 | 146,450 | ||
6.75% 9/1/12 (f) | 110,000 | 113,718 | ||
6.875% 2/6/08 | 25,000 | 27,188 | ||
8.5% 9/15/10 | 105,000 | 119,438 | ||
Mohegan Tribal Gaming Authority 6.375% 7/15/09 | 135,000 | 140,063 | ||
MTR Gaming Group, Inc. 9.75% 4/1/10 | 30,000 | 32,700 | ||
NCL Corp. Ltd. 10.625% 7/15/14 (f) | 135,000 | 141,413 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 75,000 | 84,375 | ||
Royal Caribbean Cruises Ltd. 6.875% 12/1/13 | 150,000 | 159,000 | ||
Seneca Gaming Corp. 7.25% 5/1/12 (f) | 60,000 | 61,800 | ||
Speedway Motorsports, Inc.: | ||||
6.75% 6/1/13 | 65,000 | 67,763 | ||
6.75% 6/1/13 (f) | 130,000 | 135,525 | ||
Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11 | 10,000 | 10,975 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (d) | 185,000 | 93,425 | ||
Town Sports International, Inc. 9.625% 4/15/11 | 75,000 | 76,313 | ||
Venetian Casino Resort LLC/Las Vegas Sands, Inc. | 70,000 | 80,325 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 100,000 | 105,750 | ||
2,228,734 | ||||
Household Durables - 0.4% | ||||
Beazer Homes USA, Inc.: | ||||
6.5% 11/15/13 | 55,000 | 56,100 | ||
8.375% 4/15/12 | 35,000 | 38,675 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6.5% 1/15/14 | 15,000 | 15,375 | ||
8.875% 4/1/12 | 115,000 | 128,800 | ||
KB Home: | ||||
7.75% 2/1/10 | 175,000 | 189,875 | ||
8.625% 12/15/08 | 40,000 | 45,200 | ||
Meritage Homes Corp. 7% 5/1/14 | 80,000 | 82,400 | ||
Standard Pacific Corp.: | ||||
5.125% 4/1/09 | 60,000 | 59,700 | ||
6.875% 5/15/11 | 20,000 | 21,000 | ||
Technical Olympic USA, Inc.: | ||||
7.5% 3/15/11 | 60,000 | 61,500 | ||
10.375% 7/1/12 | 100,000 | 112,750 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
WCI Communities, Inc. 7.875% 10/1/13 | $ 145,000 | $ 153,338 | ||
William Lyon Homes, Inc.: | ||||
7.5% 2/15/14 | 70,000 | 71,400 | ||
10.75% 4/1/13 | 190,000 | 218,500 | ||
1,254,613 | ||||
Media - 0.8% | ||||
AMC Entertainment, Inc.: | ||||
8% 3/1/14 (f) | 170,000 | 159,800 | ||
9.5% 2/1/11 | 61,000 | 62,373 | ||
Cablevision Systems Corp.: | ||||
5.66% 4/1/09 (f)(h) | 240,000 | 249,600 | ||
8% 4/15/12 (f) | 230,000 | 239,200 | ||
Cinemark, Inc. 0% 3/15/14 (d) | 165,000 | 113,438 | ||
Corus Entertainment, Inc. 8.75% 3/1/12 | 150,000 | 165,375 | ||
CSC Holdings, Inc. 7.25% 7/15/08 | 55,000 | 57,338 | ||
EchoStar DBS Corp.: | ||||
5.75% 10/1/08 | 220,000 | 220,550 | ||
6.625% 10/1/14 (f) | 100,000 | 99,130 | ||
Granite Broadcasting Corp. 9.75% 12/1/10 | 25,000 | 22,875 | ||
Gray Television, Inc. 9.25% 12/15/11 | 175,000 | 196,438 | ||
Houghton Mifflin Co. 9.875% 2/1/13 | 95,000 | 99,750 | ||
Innova S. de R.L. 9.375% 9/19/13 | 265,000 | 289,513 | ||
Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 25,000 | 27,375 | ||
LBI Media Holdings, Inc. 0% 10/15/13 (d) | 150,000 | 108,000 | ||
LBI Media, Inc. 10.125% 7/15/12 | 55,000 | 61,463 | ||
PanAmSat Corp. 9% 8/15/14 (f) | 240,000 | 250,200 | ||
PEI Holdings, Inc. 11% 3/15/10 | 66,000 | 76,395 | ||
Sinclair Broadcast Group, Inc. 8% 3/15/12 | 145,000 | 150,438 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 250,000 | 257,500 | ||
2,906,751 | ||||
Multiline Retail - 0.0% | ||||
Barneys, Inc. 9% 4/1/08 | 130,000 | 135,525 | ||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 9% 6/15/12 | 260,000 | 272,350 | ||
Blockbuster, Inc. 9% 9/1/12 (f) | 30,000 | 30,975 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 100,000 | 99,500 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 100,000 | 105,500 | ||
United Rentals North America, Inc.: | ||||
6.5% 2/15/12 | 170,000 | 163,200 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
United Rentals North America, Inc.: - continued | ||||
7% 2/15/14 | $ 75,000 | $ 66,938 | ||
7.75% 11/15/13 | 185,000 | 172,975 | ||
911,438 | ||||
Textiles Apparel & Luxury Goods - 0.1% | ||||
Levi Strauss & Co. 12.25% 12/15/12 | 180,000 | 190,800 | ||
Samsonite Corp. 8.875% 6/1/11 (f) | 70,000 | 73,150 | ||
263,950 | ||||
TOTAL CONSUMER DISCRETIONARY | 8,055,549 | |||
CONSUMER STAPLES - 0.4% | ||||
Food & Staples Retailing - 0.2% | ||||
Jean Coutu Group, Inc.: | ||||
7.625% 8/1/12 (f) | 40,000 | 40,700 | ||
8.5% 8/1/14 (f) | 70,000 | 69,300 | ||
Rite Aid Corp.: | ||||
6% 12/15/05 (f) | 75,000 | 75,563 | ||
6.875% 8/15/13 | 85,000 | 74,163 | ||
8.125% 5/1/10 | 25,000 | 26,125 | ||
9.25% 6/1/13 | 65,000 | 66,625 | ||
9.5% 2/15/11 | 80,000 | 87,600 | ||
Stater Brothers Holdings, Inc.: | ||||
5.38% 6/15/10 (h) | 80,000 | 81,200 | ||
8.125% 6/15/12 | 90,000 | 94,050 | ||
615,326 | ||||
Food Products - 0.2% | ||||
Del Monte Corp.: | ||||
9.25% 5/15/11 | 15,000 | 16,575 | ||
8.625% 12/15/12 | 190,000 | 211,850 | ||
Dole Food Co., Inc. 7.25% 6/15/10 | 45,000 | 45,788 | ||
Smithfield Foods, Inc.: | ||||
7.625% 2/15/08 | 135,000 | 144,113 | ||
7.75% 5/15/13 | 30,000 | 32,400 | ||
8% 10/15/09 | 15,000 | 16,463 | ||
Swift & Co. 10.125% 10/1/09 | 75,000 | 82,875 | ||
United Agriculture Products, Inc. 8.25% 12/15/11 (f) | 65,000 | 69,875 | ||
619,939 | ||||
TOTAL CONSUMER STAPLES | 1,235,265 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
ENERGY - 0.6% | ||||
Energy Equipment & Services - 0.1% | ||||
Hanover Compressor Co.: | ||||
0% 3/31/07 | $ 100,000 | $ 84,000 | ||
8.625% 12/15/10 | 20,000 | 21,700 | ||
9% 6/1/14 | 60,000 | 65,850 | ||
Parker Drilling Co.: | ||||
6.54% 9/1/10 (f)(h) | 100,000 | 100,250 | ||
9.625% 10/1/13 | 50,000 | 55,250 | ||
Pride International, Inc. 7.375% 7/15/14 (f) | 15,000 | 16,519 | ||
SESI LLC 8.875% 5/15/11 | 70,000 | 75,775 | ||
419,344 | ||||
Oil & Gas - 0.5% | ||||
Belden & Blake Corp. 8.75% 7/15/12 (f) | 170,000 | 180,200 | ||
Chesapeake Energy Corp.: | ||||
8.125% 4/1/11 | 65,000 | 71,094 | ||
9% 8/15/12 | 35,000 | 40,031 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 105,000 | 103,950 | ||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 (f) | 50,000 | 50,415 | ||
5.6% 10/15/14 (f) | 60,000 | 60,456 | ||
General Maritime Corp. 10% 3/15/13 | 235,000 | 266,725 | ||
Newfield Exploration Co. 6.625% 9/1/14 (f) | 110,000 | 114,400 | ||
Overseas Shipholding Group, Inc. 8.25% 3/15/13 | 145,000 | 160,225 | ||
Range Resources Corp. 7.375% 7/15/13 | 40,000 | 42,200 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 230,000 | 230,000 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 215,000 | 245,100 | ||
The Coastal Corp.: | ||||
6.375% 2/1/09 | 40,000 | 38,100 | ||
6.5% 6/1/08 | 145,000 | 140,650 | ||
7.75% 6/15/10 | 110,000 | 110,000 | ||
1,853,546 | ||||
TOTAL ENERGY | 2,272,890 | |||
FINANCIALS - 1.1% | ||||
Capital Markets - 0.1% | ||||
BCP Caylux Holdings Luxembourg SCA | 305,000 | 329,400 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
FINANCIALS - continued | ||||
Diversified Financial Services - 0.7% | ||||
Ahold Finance USA, Inc.: | ||||
6.25% 5/1/09 | $ 160,000 | $ 167,200 | ||
8.25% 7/15/10 | 20,000 | 22,400 | ||
Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (f) | 80,000 | 81,200 | ||
Gerdau AmeriSteel Corp./GUSAP Partners | 185,000 | 209,975 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. | 160,000 | 176,800 | ||
Ispat Inland ULC 9.75% 4/1/14 | 220,000 | 242,000 | ||
Jostens Holding Corp. 0% 12/1/13 (d) | 185,000 | 126,725 | ||
Jostens IH Corp. 7.625% 10/1/12 (f) | 50,000 | 50,250 | ||
Leucadia National Corp. 7% 8/15/13 | 140,000 | 139,300 | ||
Midland Funding Corp. II 11.75% 7/23/05 | 27,532 | 29,390 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 50,000 | 53,565 | ||
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 10,000 | 10,950 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 80,000 | 82,000 | ||
Qwest Capital Funding, Inc.: | ||||
7% 8/3/09 | 145,000 | 133,400 | ||
7.25% 2/15/11 | 235,000 | 209,150 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 110,000 | 111,650 | ||
Stone Container Finance Co. 7.375% 7/15/14 (f) | 50,000 | 52,500 | ||
TRW Automotive Acquisition Corp. 9.375% 2/15/13 | 20,000 | 22,700 | ||
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 40,000 | 36,900 | ||
UAP Holding Corp. 0% 7/15/12 (d)(f) | 70,000 | 53,900 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 165,000 | 192,225 | ||
Western Financial Bank 9.625% 5/15/12 | 190,000 | 214,700 | ||
2,418,880 | ||||
Insurance - 0.1% | ||||
Crum & Forster Holdings Corp. 10.375% 6/15/13 | 170,000 | 179,350 | ||
Provident Companies, Inc. 7% 7/15/18 | 15,000 | 14,588 | ||
UnumProvident Corp.: | ||||
6.75% 12/15/28 | 35,000 | 31,850 | ||
7.375% 6/15/32 | 35,000 | 33,863 | ||
7.625% 3/1/11 | 130,000 | 138,775 | ||
398,426 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
FINANCIALS - continued | ||||
Real Estate - 0.2% | ||||
American Real Estate Partners/American Real Estate Finance Corp. 8.125% 6/1/12 (f) | $ 215,000 | $ 226,288 | ||
La Quinta Properties, Inc. 7% 8/15/12 (f) | 130,000 | 137,475 | ||
Omega Healthcare Investors, Inc. 7% 4/1/14 (f) | 80,000 | 81,200 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 40,000 | 43,400 | ||
8.625% 1/15/12 | 70,000 | 77,875 | ||
566,238 | ||||
TOTAL FINANCIALS | 3,712,944 | |||
HEALTH CARE - 0.5% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Fisher Scientific International, Inc.: | ||||
6.75% 8/15/14 (f) | 40,000 | 42,000 | ||
8% 9/1/13 | 80,000 | 89,400 | ||
8.125% 5/1/12 | 25,000 | 27,875 | ||
PerkinElmer, Inc. 8.875% 1/15/13 | 70,000 | 79,100 | ||
238,375 | ||||
Health Care Providers & Services - 0.4% | ||||
AmerisourceBergen Corp.: | ||||
7.25% 11/15/12 | 200,000 | 216,000 | ||
8.125% 9/1/08 | 45,000 | 49,838 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 (f) | 20,000 | 21,900 | ||
9.5% 8/15/10 | 130,000 | 143,650 | ||
Genesis HealthCare Corp. 8% 10/15/13 | 175,000 | 189,875 | ||
Mariner Health Care, Inc. 8.25% 12/15/13 (f) | 295,000 | 314,175 | ||
PacifiCare Health Systems, Inc. 10.75% 6/1/09 | 62,000 | 71,145 | ||
Psychiatric Solutions, Inc. 10.625% 6/15/13 | 100,000 | 113,250 | ||
Tenet Healthcare Corp.: | ||||
6.375% 12/1/11 | 140,000 | 124,950 | ||
6.5% 6/1/12 | 30,000 | 26,700 | ||
7.375% 2/1/13 | 245,000 | 227,850 | ||
1,499,333 | ||||
Pharmaceuticals - 0.0% | ||||
Biovail Corp. yankee 7.875% 4/1/10 | 145,000 | 147,900 | ||
TOTAL HEALTH CARE | 1,885,608 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.1% | ||||
Bombardier, Inc. 6.3% 5/1/14 (f) | $ 120,000 | $ 103,637 | ||
Orbital Sciences Corp. 9% 7/15/11 | 165,000 | 183,150 | ||
Primus International, Inc. 10.5% 4/15/09 (f) | 70,000 | 70,700 | ||
357,487 | ||||
Airlines - 0.2% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 130,000 | 113,750 | ||
6.977% 11/23/22 | 7,666 | 6,669 | ||
7.324% 4/15/11 | 30,000 | 23,400 | ||
7.377% 5/23/19 | 135,702 | 77,350 | ||
7.379% 5/23/16 | 98,761 | 56,294 | ||
7.8% 4/1/08 | 80,000 | 66,800 | ||
8.608% 10/1/12 | 45,000 | 38,025 | ||
AMR Corp.: | ||||
9% 8/1/12 | 120,000 | 74,400 | ||
10.2% 3/15/20 | 30,000 | 17,700 | ||
Continental Airlines, Inc.: | ||||
7.875% 7/2/18 | 59,970 | 56,072 | ||
8% 12/15/05 | 35,000 | 32,025 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.748% 9/15/18 | 7,744 | 5,886 | ||
6.795% 2/2/20 | 27,941 | 22,353 | ||
6.9% 7/2/18 | 52,208 | 40,200 | ||
6.954% 2/2/11 | 12,383 | 9,164 | ||
7.73% 9/15/12 | 11,701 | 8,425 | ||
7.82% 4/15/15 | 25,158 | 18,869 | ||
8.307% 10/2/19 | 17,988 | 14,391 | ||
8.321% 11/1/06 | 5,000 | 4,650 | ||
Delta Air Lines, Inc. 7.9% 12/15/09 | 85,000 | 24,650 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.379% 5/18/10 | 20,017 | 18,315 | ||
7.779% 1/2/12 | 25,045 | 8,766 | ||
Northwest Airlines Corp. 10% 2/1/09 | 120,000 | 84,000 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.068% 7/2/17 | 20,255 | 16,204 | ||
7.67% 1/2/15 | 85,052 | 68,041 | ||
906,399 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
INDUSTRIALS - continued | ||||
Building Products - 0.1% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | $ 70,000 | $ 77,350 | ||
Nortek, Inc. 8.5% 9/1/14 (f) | 120,000 | 125,400 | ||
202,750 | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 120,000 | 113,400 | ||
6.375% 4/15/11 | 95,000 | 93,100 | ||
9.25% 9/1/12 | 95,000 | 106,163 | ||
Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 25,000 | 25,625 | ||
338,288 | ||||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 10.25% 10/15/11 (f) | 80,000 | 88,400 | ||
Machinery - 0.2% | ||||
Dresser, Inc. 9.375% 4/15/11 | 110,000 | 120,725 | ||
Invensys PLC 9.875% 3/15/11 (f) | 325,000 | 333,938 | ||
Navistar International Corp. 7.5% 6/15/11 | 90,000 | 96,075 | ||
SPX Corp.: | ||||
6.25% 6/15/11 | 10,000 | 9,750 | ||
7.5% 1/1/13 | 95,000 | 96,544 | ||
657,032 | ||||
Marine - 0.1% | ||||
OMI Corp. 7.625% 12/1/13 | 225,000 | 232,875 | ||
Road & Rail - 0.0% | ||||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 125,000 | 127,500 | ||
TFM SA de CV yankee: | ||||
10.25% 6/15/07 | 10,000 | 10,275 | ||
11.75% 6/15/09 | 60,000 | 60,300 | ||
198,075 | ||||
TOTAL INDUSTRIALS | 2,981,306 | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc.: | ||||
5.5% 11/15/08 | 145,000 | 144,275 | ||
6.45% 3/15/29 | 100,000 | 80,500 | ||
224,775 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
INFORMATION TECHNOLOGY - continued | ||||
Electronic Equipment & Instruments - 0.1% | ||||
Celestica, Inc. 7.875% 7/1/11 | $ 160,000 | $ 166,800 | ||
Flextronics International Ltd. 6.5% 5/15/13 | 130,000 | 132,600 | ||
299,400 | ||||
IT Services - 0.1% | ||||
Electronic Data Systems Corp. 6% 8/1/13 | 65,000 | 65,560 | ||
Iron Mountain, Inc. 8.625% 4/1/13 | 185,000 | 201,650 | ||
267,210 | ||||
Office Electronics - 0.2% | ||||
Xerox Corp.: | ||||
6.875% 8/15/11 | 315,000 | 329,175 | ||
7.125% 6/15/10 | 80,000 | 84,800 | ||
7.2% 4/1/16 | 45,000 | 46,125 | ||
7.625% 6/15/13 | 135,000 | 145,800 | ||
9.75% 1/15/09 | 45,000 | 52,425 | ||
658,325 | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Freescale Semiconductor, Inc.: | ||||
4.38% 7/15/09 (f)(h) | 100,000 | 103,000 | ||
6.875% 7/15/11 (f) | 135,000 | 140,063 | ||
7.125% 7/15/14 (f) | 40,000 | 41,600 | ||
284,663 | ||||
TOTAL INFORMATION TECHNOLOGY | 1,734,373 | |||
MATERIALS - 2.0% | ||||
Chemicals - 0.7% | ||||
Berry Plastics Corp. 10.75% 7/15/12 | 95,000 | 107,350 | ||
Borden US Finance Corp./Nova Scotia Finance ULC: | ||||
6.43% 7/15/10 (f)(h) | 80,000 | 81,800 | ||
9% 7/15/14 (f) | 95,000 | 100,463 | ||
Equistar Chemicals LP/Equistar Funding Corp.: | ||||
8.75% 2/15/09 | 35,000 | 37,713 | ||
10.125% 9/1/08 | 20,000 | 22,450 | ||
10.625% 5/1/11 | 320,000 | 363,200 | ||
HMP Equity Holdings Corp. 0% 5/15/08 | 110,000 | 69,300 | ||
Huntsman ICI Chemicals LLC 10.125% 7/1/09 | 185,000 | 194,250 | ||
Huntsman ICI Holdings LLC 0% 12/31/09 | 90,000 | 47,700 | ||
Huntsman International LLC 9.875% 3/1/09 | 90,000 | 98,325 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Huntsman LLC: | ||||
8.8% 7/15/11 (f)(h) | $ 130,000 | $ 137,150 | ||
11.5% 7/15/12 (f) | 70,000 | 77,000 | ||
Lubrizol Corp.: | ||||
4.625% 10/1/09 | 50,000 | 50,009 | ||
5.5% 10/1/14 | 50,000 | 49,658 | ||
Lyondell Chemical Co.: | ||||
9.5% 12/15/08 | 185,000 | 200,956 | ||
9.625% 5/1/07 | 115,000 | 124,200 | ||
9.875% 5/1/07 | 140,000 | 147,532 | ||
10.875% 5/1/09 | 170,000 | 179,988 | ||
Millennium America, Inc.: | ||||
9.25% 6/15/08 | 220,000 | 240,625 | ||
9.25% 6/15/08 (f) | 30,000 | 32,813 | ||
NOVA Chemicals Corp.: | ||||
6.5% 1/15/12 | 40,000 | 41,500 | ||
7.4% 4/1/09 | 40,000 | 43,000 | ||
Pliant Corp.: | ||||
0% 6/15/09 (d) | 35,000 | 29,575 | ||
11.125% 9/1/09 | 40,000 | 41,400 | ||
2,517,957 | ||||
Construction Materials - 0.1% | ||||
Texas Industries, Inc. 10.25% 6/15/11 | 175,000 | 200,813 | ||
Containers & Packaging - 0.3% | ||||
Anchor Glass Container Corp. 11% 2/15/13 | 155,000 | 175,150 | ||
BWAY Corp. 10% 10/15/10 | 110,000 | 118,800 | ||
Crown European Holdings SA: | ||||
9.5% 3/1/11 | 35,000 | 39,025 | ||
10.875% 3/1/13 | 150,000 | 174,750 | ||
Graphic Packaging International, Inc.: | ||||
8.5% 8/15/11 | 40,000 | 44,400 | ||
9.5% 8/15/13 | 40,000 | 45,600 | ||
Owens-Brockway Glass Container, Inc.: | ||||
8.25% 5/15/13 | 125,000 | 133,125 | ||
8.875% 2/15/09 | 200,000 | 217,000 | ||
Owens-Illinois, Inc.: | ||||
7.35% 5/15/08 | 45,000 | 46,463 | ||
7.5% 5/15/10 | 220,000 | 226,600 | ||
1,220,913 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
MATERIALS - continued | ||||
Metals & Mining - 0.4% | ||||
AK Steel Corp.: | ||||
7.75% 6/15/12 | $ 140,000 | $ 136,850 | ||
7.875% 2/15/09 | 45,000 | 44,550 | ||
Allegheny Technologies, Inc. 8.375% 12/15/11 | 245,000 | 260,925 | ||
Century Aluminum Co. 7.5% 8/15/14 (f) | 90,000 | 94,500 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (d) | 25,000 | 21,000 | ||
0% 6/1/13 (d) | 200,000 | 158,000 | ||
CSN Islands VII Corp. 10.75% 9/12/08 (f) | 60,000 | 66,525 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (f) | 15,000 | 15,038 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 80,000 | 76,700 | ||
10.125% 2/1/10 | 80,000 | 90,400 | ||
International Steel Group, Inc. 6.5% 4/15/14 (f) | 150,000 | 150,000 | ||
Peabody Energy Corp. 6.875% 3/15/13 | 100,000 | 107,250 | ||
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (f) | 105,000 | 104,475 | ||
1,326,213 | ||||
Paper & Forest Products - 0.5% | ||||
Abitibi-Consolidated, Inc.: | ||||
5.38% 6/15/11 (h) | 130,000 | 131,138 | ||
7.75% 6/15/11 | 95,000 | 98,206 | ||
Bowater, Inc. 4.88% 3/15/10 (h) | 90,000 | 90,000 | ||
Buckeye Technologies, Inc. 8.5% 10/1/13 | 110,000 | 118,250 | ||
Georgia-Pacific Corp.: | ||||
8% 1/15/14 | 225,000 | 256,500 | ||
8% 1/15/24 | 35,000 | 39,594 | ||
8.125% 5/15/11 | 50,000 | 57,750 | ||
9.5% 12/1/11 | 70,000 | 87,500 | ||
Norske Skog Canada Ltd.: | ||||
7.375% 3/1/14 | 50,000 | 52,000 | ||
8.625% 6/15/11 | 185,000 | 200,263 | ||
Stone Container Corp. 8.375% 7/1/12 | 205,000 | 227,550 | ||
Tembec Industries, Inc.: | ||||
7.75% 3/15/12 | 75,000 | 75,750 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Tembec Industries, Inc.: - continued | ||||
8.5% 2/1/11 | $ 200,000 | $ 210,000 | ||
yankee 8.625% 6/30/09 | 65,000 | 66,950 | ||
1,711,451 | ||||
TOTAL MATERIALS | 6,977,347 | |||
TELECOMMUNICATION SERVICES - 0.6% | ||||
Diversified Telecommunication Services - 0.4% | ||||
Alaska Communications Systems Holdings, Inc. | 35,000 | 33,075 | ||
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 140,000 | 155,050 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 35,000 | 28,000 | ||
GCI, Inc. 7.25% 2/15/14 | 190,000 | 185,725 | ||
NTL Cable PLC: | ||||
6.61% 10/15/12 (f)(h) | 60,000 | 61,500 | ||
8.75% 4/15/14 (f) | 210,000 | 226,800 | ||
Qwest Communications International, Inc. | 55,000 | 52,113 | ||
Qwest Corp.: | ||||
7.875% 9/1/11 (f) | 35,000 | 36,575 | ||
9.125% 3/15/12 (f) | 120,000 | 132,000 | ||
Qwest Services Corp.: | ||||
14% 12/15/10 (f)(h) | 105,000 | 123,113 | ||
14.5% 12/15/14 (f)(h) | 150,000 | 181,500 | ||
Telenet Group Holding NV 0% 6/15/14 (d)(f) | 280,000 | 205,800 | ||
U.S. West Communications: | ||||
7.2% 11/10/26 | 20,000 | 17,450 | ||
7.5% 6/15/23 | 85,000 | 77,563 | ||
1,516,264 | ||||
Wireless Telecommunication Services - 0.2% | ||||
DirecTV Holdings LLC/DirecTV Financing, Inc. | 105,000 | 119,963 | ||
Millicom International Cellular SA 10% 12/1/13 (f) | 165,000 | 165,000 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 35,000 | 34,213 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Nextel Communications, Inc.: - continued | ||||
6.875% 10/31/13 | $ 250,000 | $ 259,063 | ||
Rogers Wireless, Inc. 9.625% 5/1/11 | 130,000 | 144,625 | ||
722,864 | ||||
TOTAL TELECOMMUNICATION SERVICES | 2,239,128 | |||
UTILITIES - 0.6% | ||||
Electric Utilities - 0.1% | ||||
AES Gener SA 7.5% 3/25/14 (f) | 160,000 | 160,800 | ||
Nevada Power Co. 6.5% 4/15/12 (f) | 15,000 | 15,450 | ||
Sierra Pacific Power Co. 6.25% 4/15/12 (f) | 55,000 | 56,100 | ||
TECO Energy, Inc.: | ||||
7% 5/1/12 | 115,000 | 120,319 | ||
7.2% 5/1/11 | 135,000 | 143,438 | ||
496,107 | ||||
Gas Utilities - 0.1% | ||||
Sonat, Inc.: | ||||
6.625% 2/1/08 | 65,000 | 63,375 | ||
6.75% 10/1/07 | 45,000 | 44,944 | ||
7.625% 7/15/11 | 50,000 | 48,813 | ||
Tennessee Gas Pipeline Co. 7% 3/15/27 | 40,000 | 41,600 | ||
198,732 | ||||
Multi-Utilities & Unregulated Power - 0.4% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 180,000 | 184,275 | ||
8.75% 6/15/08 | 85,000 | 91,800 | ||
8.75% 5/15/13 (f) | 195,000 | 218,888 | ||
8.875% 2/15/11 | 90,000 | 99,788 | ||
9.375% 9/15/10 | 52,000 | 58,565 | ||
9.5% 6/1/09 | 10,000 | 11,138 | ||
CMS Energy Corp.: | ||||
7.5% 1/15/09 | 15,000 | 15,694 | ||
7.75% 8/1/10 | 20,000 | 21,175 | ||
8.5% 4/15/11 | 75,000 | 81,844 | ||
8.9% 7/15/08 | 100,000 | 108,875 | ||
9.875% 10/15/07 | 30,000 | 33,188 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value (Note 1) | |||
UTILITIES - continued | ||||
Multi-Utilities & Unregulated Power - continued | ||||
NRG Energy, Inc. 8% 12/15/13 (f) | $ 300,000 | $ 321,000 | ||
Sierra Pacific Resources 8.625% 3/15/14 (f) | 70,000 | 75,600 | ||
1,321,830 | ||||
TOTAL UTILITIES | 2,016,669 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $32,375,824) | 33,111,079 | |||
U.S. Treasury Obligations - 0.3% | ||||
U.S. Treasury Bills, yield at date of purchase 1.34% to 1.65% 10/14/04 to 12/9/04 (g) | 900,000 | 898,100 | ||
Money Market Funds - 9.5% | |||
Shares | |||
Fidelity Cash Central Fund, 1.74% (b) | 28,724,907 | 28,724,907 | |
Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c) | 4,681,303 | 4,681,303 | |
TOTAL MONEY MARKET FUNDS (Cost $33,406,210) | 33,406,210 | ||
TOTAL INVESTMENT PORTFOLIO - 101.5% (Cost $335,523,712) | 357,818,301 | ||
NET OTHER ASSETS - (1.5)% | (5,218,157) | ||
NET ASSETS - 100% | $ 352,600,144 | ||
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
50 S&P 500 Index Contracts | Dec. 2004 | $ 13,936,250 | $ (145,925) | ||
The face value of futures purchased as a percentage of net assets - 4.0% |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $8,016,618 or 2.3% of net assets. |
(g) 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 $898,100. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
AAA,AA,A | 0.0% |
BBB | 0.0% |
BB | 3.2% |
B | 5.4% |
CCC,CC,C | 0.8% |
Not Rated | 0.0% |
Equities | 86.3% |
Short-Term Investments and Net Other Assets | 4.3% |
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. 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: |
United States of America | 77.0% |
Japan | 8.4% |
Cayman Islands | 3.6% |
Canada | 3.5% |
Korea (South) | 1.4% |
Bermuda | 1.2% |
Others (individually less than 1%) | 4.9% |
100.0% |
Income Tax Information |
At September 30, 2004, the fund had a capital loss carryforward of approximately $167,301,000 of which $116,801,000 and $50,500,000 will expire on September 30, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
September 30, 2004 | ||
Assets | ||
Investment in securities, at value (including securities loaned of $3,527,909) (cost $335,523,712) - See accompanying schedule | $ 357,818,301 | |
Cash | 2,842 | |
Receivable for investments sold | 130,960 | |
Receivable for fund shares sold | 5,981,431 | |
Dividends receivable | 181,200 | |
Interest receivable | 706,975 | |
Prepaid expenses | 140 | |
Other receivables | 29,148 | |
Total assets | 364,850,997 | |
Liabilities | ||
Payable for investments purchased | $ 1,360,146 | |
Payable for fund shares redeemed | 5,888,912 | |
Accrued management fee | 168,070 | |
Payable for daily variation on futures contracts | 3,750 | |
Other affiliated payables | 93,949 | |
Other payables and accrued expenses | 54,723 | |
Collateral on securities loaned, at value | 4,681,303 | |
Total liabilities | 12,250,853 | |
Net Assets | $ 352,600,144 | |
Net Assets consist of: | ||
Paid in capital | $ 497,013,192 | |
Undistributed net investment income | 916,426 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (167,478,602) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 22,149,128 | |
Net Assets, for 34,259,677 shares outstanding | $ 352,600,144 | |
Net Asset Value, offering price and redemption price per share ($352,600,144 ÷ 34,259,677 shares) | $ 10.29 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Year ended September 30, 2004 | ||
Investment Income | ||
Dividends | $ 2,167,019 | |
Interest | 2,606,589 | |
Security lending | 29,506 | |
Total income | 4,803,114 | |
Expenses | ||
Management fee | $ 1,936,139 | |
Transfer agent fees | 956,181 | |
Accounting and security lending fees | 126,398 | |
Non-interested trustees' compensation | 1,625 | |
Custodian fees and expenses | 41,275 | |
Registration fees | 33,543 | |
Audit | 36,818 | |
Legal | 4,284 | |
Miscellaneous | 23,826 | |
Total expenses before reductions | 3,160,089 | |
Expense reductions | (88,378) | 3,071,711 |
Net investment income (loss) | 1,731,403 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 47,471,505 | |
Foreign currency transactions | (34,089) | |
Futures contracts | 118,550 | |
Total net realized gain (loss) | 47,555,966 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (19,212,596) | |
Assets and liabilities in foreign currencies | (1,502) | |
Futures contracts | (145,925) | |
Total change in net unrealized appreciation (depreciation) | (19,360,023) | |
Net gain (loss) | 28,195,943 | |
Net increase (decrease) in net assets resulting from operations | $ 29,927,346 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ 1,731,403 | $ 1,118,270 |
Net realized gain (loss) | 47,555,966 | (21,909,561) |
Change in net unrealized appreciation (depreciation) | (19,360,023) | 79,635,426 |
Net increase (decrease) in net assets resulting | 29,927,346 | 58,844,135 |
Distributions to shareholders from net investment income | (1,838,362) | (1,488,138) |
Share transactions | 207,765,550 | 103,536,414 |
Reinvestment of distributions | 1,804,616 | 1,457,065 |
Cost of shares redeemed | (135,413,272) | (62,170,812) |
Net increase (decrease) in net assets resulting from share transactions | 74,156,894 | 42,822,667 |
Total increase (decrease) in net assets | 102,245,878 | 100,178,664 |
Net Assets | ||
Beginning of period | 250,354,266 | 150,175,602 |
End of period (including undistributed net investment income of $916,426 and undistributed net investment income of $868,060, respectively) | $ 352,600,144 | $ 250,354,266 |
Other Information Shares | ||
Sold | 20,328,726 | 12,700,671 |
Issued in reinvestment of distributions | 180,462 | 207,559 |
Redeemed | (13,277,879) | (7,996,252) |
Net increase (decrease) | 7,231,309 | 4,911,978 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended September 30, | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 9.26 | $ 6.79 | $ 9.57 | $ 15.32 | $ 10.22 |
Income from Investment Operations | |||||
Net investment income (loss) B | .05 | .05 | .08 D | .20 | .19 |
Net realized and unrealized gain (loss) | 1.04 | 2.49 | (2.64) D | (5.22) | 4.98 |
Total from investment operations | 1.09 | 2.54 | (2.56) | (5.02) | 5.17 |
Distributions from net investment income | (.06) | (.07) | (.22) | (.13) | (.02) |
Distributions from net realized gain | - | - | - | (.60) | (.05) |
Total distributions | (.06) | (.07) | (.22) | (.73) | (.07) |
Net asset value, end of period | $ 10.29 | $ 9.26 | $ 6.79 | $ 9.57 | $ 15.32 |
Total Return A | 11.79% | 37.74% | (27.58)% | (33.98)% | 50.84% |
Ratios to Average Net Assets C | |||||
Expenses before expense reductions | .94% | 1.03% | .97% | .89% | .96% |
Expenses net of voluntary waivers, if any | .94% | 1.03% | .97% | .89% | .96% |
Expenses net of all reductions | .91% | 1.00% | .88% | .85% | .90% |
Net investment income (loss) | .52% | .63% | .87% D | 1.55% | 1.32% |
Supplemental Data | |||||
Net assets, end of period | $ 352,600 | $ 250,354 | $ 150,176 | $ 264,317 | $ 565,258 |
Portfolio turnover rate | 86% | 131% | 240% | 255% | 338% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended September 30, 2004
1. Significant Accounting Policies.
Fidelity Asset Manager: Aggressive (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is 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 financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
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.
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period. Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), market discount, capital loss carryforwards, and losses deferred due to wash sales and excise tax regulations.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 39,325,461 | |
Unrealized depreciation | (17,437,120) | |
Net unrealized appreciation (depreciation) | 21,888,341 | |
Undistributed ordinary income | 999,625 | |
Capital loss carryforward | (167,301,060) | |
Cost for federal income tax purposes | $ 335,929,960 |
The tax character of distributions paid was as follows:
September 30, | September 30, | |
Ordinary Income | $ 1,838,362 | $ 1,488,138 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
Futures Contracts. The fund may use futures contracts to manage its exposure to the stock market. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Annual Report
Notes to Financial Statements - continued
2. 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.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $310,802,352 and $266,925,108, respectively.
4. 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 .30% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .58% of the fund's average net assets.
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .28% of average net assets.
Accounting and Security Lending Fees. FSC 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.
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $261,811 for the period.
Annual Report
4. Fees and Other Transactions with Affiliates - continued
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 $11,188 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund 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. During the period, there were no borrowings on this line of credit.
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.
7. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $87,844 for the period. In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $534.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Aggressive:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Aggressive (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager: Aggressive as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/DELOITTE & TOUCHE LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
November 12, 2004
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (74)** | |
Year of Election or Appointment: 1981 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc. | |
Abigail P. Johnson (42)** | |
Year of Election or Appointment: 2001 Senior Vice President of Asset Manager: Aggressive (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds. | |
Laura B. Cronin (50) | |
Year of Election or Appointment: 2003 Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002). | |
Robert L. Reynolds (52) | |
Year of Election or Appointment: 2003 Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). | |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.
Annual Report
Non-Interested Trustees:
Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
J. Michael Cook (62) | |
Year of Election or Appointment: 2001 Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater. | |
Ralph F. Cox (72) | |
Year of Election or Appointment: 1991 Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin. | |
Robert M. Gates (61) | |
Year of Election or Appointment: 1997 Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure Internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy. | |
George H. Heilmeier (68) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services, 1998), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002). | |
Donald J. Kirk (71) | |
Year of Election or Appointment: 1987 Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations). | |
Marie L. Knowles (57) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (60) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations. | |
Marvin L. Mann (71) | |
Year of Election or Appointment: 1993 Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama. | |
William O. McCoy (70) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998). | |
William S. Stavropoulos (65) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Annual Report
Trustees and Officers - continued
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Dennis J. Dirks (56) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). | |
Peter S. Lynch (61) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston. | |
Cornelia M. Small (60) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
Kenneth L. Wolfe (65) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004). | |
Bart A. Grenier (45) | |
Year of Election or Appointment: 2001 Vice President of Asset Manager: Aggressive. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000). | |
Richard C. Habermann (64) | |
Year of Election or Appointment: 1999 Vice President of Asset Manager: Aggressive. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Senior Vice President of FMR and FMR Co., Inc (2001). | |
Matthew J. Conti (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Aggressive. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003). | |
Harry W. Lange (52) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Aggressive. Mr. Lange also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Lange managed a variety of Fidelity funds. Mr. Lange also serves as Vice President of FMR (2000) and FMR Co., Inc. (2001). | |
Jeffrey Moore (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Aggressive. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager. | |
Eric D. Roiter (55) | |
Year of Election or Appointment: 1999 Secretary of Asset Manager: Aggressive. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003). | |
Stuart Fross (45) | |
Year of Election or Appointment: 2003 Assistant Secretary of Asset Manager: Aggressive. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR. | |
Christine Reynolds (46) | |
Year of Election or Appointment: 2004 President, Treasurer, and Anti-Money Laundering (AML) officer of Asset Manager: Aggressive. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
Timothy F. Hayes (53) | |
Year of Election or Appointment: 2002 Chief Financial Officer of Asset Manager: Aggressive. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998). | |
Kenneth A. Rathgeber (57) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Asset Manager: Aggressive. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
John R. Hebble (46) | |
Year of Election or Appointment: 2003 Deputy Treasurer of Asset Manager: Aggressive. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003). | |
Kimberley H. Monasterio (40) | |
Year of Election or Appointment: 2004 Deputy Treasurer of Asset Manager: Aggressive. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
John H. Costello (58) | |
Year of Election or Appointment: 1999 Assistant Treasurer of Asset Manager: Aggressive. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Francis V. Knox, Jr. (57) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager: Aggressive. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002). | |
Peter L. Lydecker (50) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager: Aggressive. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (49) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager: Aggressive. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Kenneth B. Robins (35) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager: Aggressive. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Thomas J. Simpson (46) | |
Year of Election or Appointment: 2000 Assistant Treasurer of Asset Manager: Aggressive. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995). | |
Annual Report
Distributions
The fund designates 48% of the dividend distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 55% of the dividend distributed during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.* | ||
# of | % of | |
Affirmative | 7,568,144,945.96 | 76.551 |
Against | 1,665,604,684.78 | 16.847 |
Abstain | 460,998,830.31 | 4.663 |
Broker | 191,690,954.58 | 1.939 |
TOTAL | 9,886,439,415.63 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees.* | ||
# of | % of | |
J. Michael Cook | ||
Affirmative | 9,359,102,098.49 | 94.666 |
Withheld | 527,337,317.14 | 5.334 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ralph F. Cox | ||
Affirmative | 9,333,369,952.29 | 94.406 |
Withheld | 553,069,463.34 | 5.594 |
TOTAL | 9,886,439,415.63 | 100.000 |
Laura B. Cronin | ||
Affirmative | 9,355,534,364.24 | 94.630 |
Withheld | 530,905,051.39 | 5.370 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,352,106,353.30 | 94.595 |
Withheld | 534,333,062.33 | 5.405 |
TOTAL | 9,886,439,415.63 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,360,572,048.31 | 94.681 |
Withheld | 525,867,367.32 | 5.319 |
TOTAL | 9,886,439,415.63 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 9,327,059,416.89 | 94.342 |
Withheld | 559,379,998.74 | 5.658 |
TOTAL | 9,886,439,415.63 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,323,731,909.04 | 94.308 |
Withheld | 562,707,506.59 | 5.692 |
TOTAL | 9,886,439,415.63 | 100.000 |
Donald J. Kirk | ||
Affirmative | 9,343,833,406.30 | 94.512 |
Withheld | 542,606,009.33 | 5.488 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,362,664,343.97 | 94.702 |
Withheld | 523,775,071.66 | 5.298 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,368,801,700.35 | 94.764 |
Withheld | 517,637,715.28 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,342,116,785.91 | 94.494 |
Withheld | 544,322,629.72 | 5.506 |
TOTAL | 9,886,439,415.63 | 100.000 |
William O. McCoy | ||
Affirmative | 9,348,114,851.10 | 94.555 |
Withheld | 538,324,564.53 | 5.445 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,368,829,274.86 | 94.764 |
Withheld | 517,610,140.77 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 9,355,225,708.91 | 94.627 |
Withheld | 531,213,706.72 | 5.373 |
TOTAL | 9,886,439,415.63 | 100.000 |
Dennis J. Dirks** | ||
Affirmative | 9,363,252,671.04 | 94.708 |
Withheld | 523,186,744.59 | 5.292 |
TOTAL | 9,886,439,415.63 | 100.000 |
Cornelia M. Small** | ||
Affirmative | 9,357,897,300.73 | 94.654 |
Withheld | 528,542,114.90 | 5.346 |
TOTAL | 9,886,439,415.63 | 100.000 |
* Denotes trust-wide proposals and voting results. | ||
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
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Annual Report
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Annual Report
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Annual Report
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Annual Report
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AGG-UANN-1104
1.792129.101
Spartan®
Investment Grade Bond
Fund
Annual Report
September 30, 2004
(2_fidelity_logos)(Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
(Recycle graphic) This report is printed on recycled paper using soy-based inks.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
Commencing with the fiscal quarter ending December 31, 2004, the 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 website at http://www.sec.gov. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's website at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.
With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:
First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.
Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.
Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.
For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended September 30, 2004 | Past 1 | Past 5 | Past 10 |
Spartan® Inv. Grade Bond Fund | 4.08% | 7.55% | 7.70% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Spartan® Investment Grade Bond Fund on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Lehman Brothers® Aggregate Bond Index did over the same period.
Annual Report
Management's Discussion of Fund Performance
Comments from Kevin Grant, Portfolio Manager of Fidelity® Spartan Investment Grade Bond Fund
A recovering U.S. economy and potentially higher interest rates led many to forecast flat-to-negative returns for investment-grade bonds in 2004. But performance exceeded expectations during the 12 months that ended September 30, 2004. The Lehman Brothers® Aggregate Bond Index - a measure of the overall taxable bond market - reeled off five consecutive monthly gains from November 2003 through March 2004. Bonds tumbled in the spring, though, falling about 3.00% combined in April and May, when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes by the Federal Reserve Board. The Lehman Brothers Aggregate Bond index rose 3.68% for the 12 months overall. Corporate bonds and mortgage securities fared best, as the Lehman Brothers Credit Bond and Mortgage-Backed Securities indexes rose 4.44% and 4.36%, respectively. Treasuries - - the most interest-rate-sensitive bond category - fared less well, but the Lehman Brothers U.S. Treasury Index still posted a 2.55% advance for the year.
For the 12 months ending September 30, 2004, the fund gained 4.08%, compared to 3.68% for the Lehman Brothers Aggregate Bond Index and 3.23% for the LipperSM Intermediate Investment Grade Debt Funds Average. The fund benefited most from its weighting in mortgage securities and also from security selection among corporate bonds with lower-investment-grade ratings. During the year's second quarter, a focus on premium mortgage bonds helped the fund. I was able to buy these bonds when they were very cheap, priced for the worst possible prepayment environment. When the market environment improved, they performed very well and helped the fund. In the third quarter, I sold some of the fund's stake in premium mortgages after the market began pricing these securities more fairly. Instead, I moved assets into lower-coupon mortgages because those had become the cheaper part of the market. As the bond market began to rally, these lower-coupon bonds started to perform very well - another decision that worked to the fund's benefit.
Note to shareholders: Jeffery Moore will become Portfolio Manager of Spartan Investment Grade Bond Fund on December 1, 2004.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 1,009.90 | $ 2.51 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,022.47 | $ 2.53 |
* Expenses are equal to the Fund's annualized expense ratio of .50%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Annual Report
Investment Changes
Quality Diversification (% of fund's net assets) | |||||||
As of September 30, 2004 * | As of March 31, 2004 ** | ||||||
| U.S. Government | | U.S. Government | ||||
 | AAA 9.6% |  | AAA 9.2% | ||||
 | AA 3.2% |  | AA 3.9% | ||||
| A 16.1% |  | A 15.1% | ||||
 | BBB 20.8% |  | BBB 19.6% | ||||
 | BB and Below 0.7% |  | BB and Below 1.5% | ||||
 | Not Rated 0.9% |  | Not Rated 1.0% | ||||
 | Short-Term |  | Short-Term | ||||
We have used ratings from Moody's Investors Services®, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition. |
Average Years to Maturity as of September 30, 2004 | ||
6 months ago | ||
Years | 5.3 | 5.9 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of September 30, 2004 | ||
6 months ago | ||
Years | 4.5 | 4.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of September 30, 2004 * | As of March 31, 2004 ** | ||||||
| Corporate Bonds 27.8% | | Corporate Bonds 30.1% | ||||
| U.S. Government | | U.S. Government | ||||
| Asset-Backed | | Asset-Backed | ||||
| CMOs and | | CMOs and | ||||
| Other Investments 1.9% | | Other Investments 1.4% | ||||
| Short-Term | | Short-Term | ||||
* Foreign investments | 11.3% | ** Foreign investments | 9.0% | ||||
* Futures and Swaps | 6.6% | ** Futures and Swaps | 4.1% | ||||
(dagger) Short-Term Investments and Net Other Assets are not included in the pie chart.
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund.
Annual Report
Investments September 30, 2004
Showing Percentage of Net Assets
Nonconvertible Bonds - 27.3% | ||||
Principal | Value (Note 1) | |||
CONSUMER DISCRETIONARY - 3.1% | ||||
Auto Components - 0.4% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
4.05% 6/4/08 | $ 1,910 | $ 1,927 | ||
4.75% 1/15/08 | 8,490 | 8,744 | ||
10,671 | ||||
Automobiles - 0.2% | ||||
General Motors Corp. 7.2% 1/15/11 | 3,600 | 3,813 | ||
Media - 2.3% | ||||
AOL Time Warner, Inc.: | ||||
6.875% 5/1/12 | 3,700 | 4,128 | ||
7.625% 4/15/31 | 2,180 | 2,509 | ||
7.7% 5/1/32 | 4,500 | 5,233 | ||
British Sky Broadcasting Group PLC (BSkyB) yankee 8.2% 7/15/09 | 6,975 | 8,128 | ||
Cox Communications, Inc.: | ||||
4.625% 6/1/13 | 4,800 | 4,426 | ||
7.125% 10/1/12 | 4,105 | 4,454 | ||
7.75% 11/1/10 | 6,210 | 6,921 | ||
Liberty Media Corp. 8.25% 2/1/30 | 3,900 | 4,329 | ||
News America Holdings, Inc. 8% 10/17/16 | 5,400 | 6,602 | ||
TCI Communications, Inc. 9.8% 2/1/12 | 4,400 | 5,610 | ||
Time Warner Entertainment Co. LP: | ||||
8.875% 10/1/12 | 750 | 922 | ||
10.15% 5/1/12 | 500 | 649 | ||
Viacom, Inc. 7.7% 7/30/10 | 1,730 | 2,013 | ||
55,924 | ||||
Multiline Retail - 0.1% | ||||
The May Department Stores Co. 3.95% 7/15/07 (a) | 1,295 | 1,305 | ||
Specialty Retail - 0.1% | ||||
Boise Cascade Corp. 7.5% 2/1/08 | 1,920 | 2,131 | ||
TOTAL CONSUMER DISCRETIONARY | 73,844 | |||
CONSUMER STAPLES - 0.4% | ||||
Tobacco - 0.4% | ||||
Altria Group, Inc. 7% 11/4/13 | 9,235 | 9,635 | ||
ENERGY - 1.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 2,835 | 2,778 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
ENERGY - continued | ||||
Oil & Gas - 1.3% | ||||
Anadarko Petroleum Corp. 5% 10/1/12 | $ 1,500 | $ 1,543 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | 3,555 | 3,605 | ||
Duke Energy Field Services LLC 7.875% 8/16/10 | 5,400 | 6,356 | ||
EnCana Corp. 6.5% 8/15/34 | 1,235 | 1,320 | ||
Enterprise Products Operating LP: | ||||
4.625% 10/15/09 (a)(b) | 960 | 968 | ||
5.6% 10/15/14 (a)(b) | 680 | 685 | ||
Louis Dreyfus Natural Gas Corp. 6.875% 12/1/07 | 3,000 | 3,272 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (a) | 5,200 | 6,122 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 6,770 | 7,430 | ||
7.5% 1/15/31 | 910 | 915 | ||
32,216 | ||||
TOTAL ENERGY | 34,994 | |||
FINANCIALS - 15.9% | ||||
Capital Markets - 1.7% | ||||
Amvescap PLC: | ||||
5.9% 1/15/07 | 1,840 | 1,942 | ||
yankee 6.6% 5/15/05 | 6,765 | 6,920 | ||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (c) | 2,400 | 2,350 | ||
4.25% 9/4/12 (c) | 2,835 | 2,866 | ||
Credit Suisse First Boston (USA), Inc. 4.7% 6/1/09 | 3,435 | 3,535 | ||
Goldman Sachs Group, Inc.: | ||||
5.7% 9/1/12 | 3,690 | 3,899 | ||
6.6% 1/15/12 | 8,325 | 9,297 | ||
Morgan Stanley: | ||||
4.75% 4/1/14 | 5,960 | 5,770 | ||
6.6% 4/1/12 | 4,340 | 4,840 | ||
41,419 | ||||
Commercial Banks - 1.2% | ||||
Export-Import Bank of Korea: | ||||
4.125% 2/10/09 (a) | 1,320 | 1,320 | ||
5.25% 2/10/14 (a) | 4,825 | 4,889 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 4,800 | 4,753 | ||
4.75% 7/20/09 | 2,350 | 2,404 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Korea Development Bank: - continued | ||||
5.75% 9/10/13 | $ 9,313 | $ 9,818 | ||
Popular North America, Inc. 6.125% 10/15/06 | 3,325 | 3,512 | ||
Wells Fargo Bank NA, San Francisco 7.55% 6/21/10 | 2,200 | 2,578 | ||
29,274 | ||||
Consumer Finance - 4.5% | ||||
American General Finance Corp.: | ||||
2.75% 6/15/08 | 305 | 295 | ||
4% 3/15/11 | 5,500 | 5,374 | ||
4.625% 5/15/09 | 7,300 | 7,496 | ||
Capital One Bank: | ||||
4.875% 5/15/08 | 4,370 | 4,526 | ||
6.5% 6/13/13 | 4,660 | 5,096 | ||
Ford Motor Credit Co.: | ||||
6.5% 1/25/07 | 8,140 | 8,622 | ||
7.375% 10/28/09 | 12,470 | 13,659 | ||
General Electric Capital Corp.: | ||||
6% 6/15/12 | 2,500 | 2,747 | ||
6.125% 2/22/11 | 14,500 | 15,989 | ||
General Motors Acceptance Corp.: | ||||
5.625% 5/15/09 | 655 | 668 | ||
6.125% 2/1/07 | 655 | 688 | ||
6.875% 9/15/11 | 8,375 | 8,786 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 9,910 | 10,923 | ||
6.375% 11/27/12 | 3,370 | 3,734 | ||
6.75% 5/15/11 | 5,160 | 5,808 | ||
7% 5/15/12 | 2,045 | 2,340 | ||
MBNA America Bank NA 6.625% 6/15/12 | 4,320 | 4,800 | ||
MBNA Corp. 7.5% 3/15/12 | 5,360 | 6,197 | ||
107,748 | ||||
Diversified Financial Services - 5.8% | ||||
Ameritech Capital Funding Corp. euro 6.25% 5/18/09 | 2,255 | 2,424 | ||
Bellsouth Capital Funding Corp. 7.875% 2/15/30 | 1,375 | 1,661 | ||
Cadbury Schweppes U.S. Finance LLC 5.125% 10/1/13 (a) | 2,120 | 2,153 | ||
Deutsche Telekom International Finance BV: | ||||
5.25% 7/22/13 | 3,270 | 3,346 | ||
8.25% 6/15/05 | 2,890 | 3,002 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Deutsche Telekom International Finance BV: - continued | ||||
8.5% 6/15/10 | $ 1,315 | $ 1,576 | ||
8.75% 6/15/30 | 5,645 | 7,297 | ||
Duke Capital LLC 4.331% 11/16/06 | 1,395 | 1,420 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 1,900 | 2,018 | ||
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (a) | 1,260 | 1,327 | ||
Hutchison Whampoa International 03/33 Ltd.: | ||||
6.25% 1/24/14 (a) | 6,260 | 6,424 | ||
7.45% 11/24/33 (a) | 1,800 | 1,865 | ||
International Lease Finance Corp. 4.375% 11/1/09 | 2,800 | 2,823 | ||
J.P. Morgan Chase & Co. 4.875% 3/15/14 | 3,990 | 3,953 | ||
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (a) | 6,715 | 6,928 | ||
NiSource Finance Corp. 7.875% 11/15/10 | 3,505 | 4,142 | ||
Pemex Project Funding Master Trust: | ||||
6.125% 8/15/08 | 4,000 | 4,200 | ||
7.375% 12/15/14 | 14,500 | 15,805 | ||
Petronas Capital Ltd. 7% 5/22/12 (a) | 18,165 | 20,693 | ||
Sprint Capital Corp.: | ||||
7.625% 1/30/11 | 3,700 | 4,275 | ||
8.375% 3/15/12 | 2,520 | 3,052 | ||
Telecom Italia Capital: | ||||
4% 11/15/08 (a) | 5,700 | 5,732 | ||
4.95% 9/30/14 (a)(b) | 3,180 | 3,107 | ||
Tyco International Group SA yankee: | ||||
6.375% 10/15/11 | 2,700 | 2,986 | ||
6.75% 2/15/11 | 12,825 | 14,429 | ||
Verizon Global Funding Corp.: | ||||
7.25% 12/1/10 | 4,980 | 5,742 | ||
7.375% 9/1/12 | 6,435 | 7,515 | ||
139,895 | ||||
Insurance - 0.5% | ||||
Aegon NV 4.75% 6/1/13 | 6,900 | 6,837 | ||
Assurant, Inc. 5.625% 2/15/14 | 1,830 | 1,878 | ||
Travelers Property Casualty Corp.: | ||||
5% 3/15/13 | 1,710 | 1,700 | ||
6.375% 3/15/33 | 2,200 | 2,254 | ||
12,669 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
FINANCIALS - continued | ||||
Real Estate - 1.5% | ||||
Boston Properties, Inc. 6.25% 1/15/13 | $ 2,522 | $ 2,721 | ||
Camden Property Trust 5.875% 6/1/07 | 2,400 | 2,539 | ||
CarrAmerica Realty Corp. 5.25% 11/30/07 | 2,805 | 2,936 | ||
CenterPoint Properties Trust 5.75% 8/15/09 | 3,065 | 3,280 | ||
EOP Operating LP: | ||||
4.75% 3/15/14 | 4,800 | 4,633 | ||
7.75% 11/15/07 | 1,210 | 1,351 | ||
Gables Realty LP: | ||||
5.75% 7/15/07 | 5,500 | 5,808 | ||
6.8% 3/15/05 | 765 | 777 | ||
Healthcare Realty Trust, Inc. 5.125% 4/1/14 | 3,585 | 3,470 | ||
Merry Land & Investment Co., Inc. 7.25% 6/15/05 | 3,150 | 3,247 | ||
Regency Centers LP 6.75% 1/15/12 | 5,055 | 5,618 | ||
36,380 | ||||
Thrifts & Mortgage Finance - 0.7% | ||||
Countrywide Home Loans, Inc.: | ||||
3.25% 5/21/08 | 965 | 949 | ||
4% 3/22/11 | 5,990 | 5,817 | ||
Independence Community Bank Corp. 3.75% 4/1/14 (c) | 2,250 | 2,186 | ||
Washington Mutual Bank 6.875% 6/15/11 | 3,150 | 3,561 | ||
Washington Mutual, Inc. 4.625% 4/1/14 | 4,575 | 4,373 | ||
16,886 | ||||
TOTAL FINANCIALS | 384,271 | |||
INDUSTRIALS - 0.5% | ||||
Aerospace & Defense - 0.4% | ||||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (a) | 4,130 | 3,567 | ||
7.45% 5/1/34 (a) | 60 | 50 | ||
Raytheon Co.: | ||||
5.5% 11/15/12 | 1,915 | 2,006 | ||
6.15% 11/1/08 | 4,000 | 4,352 | ||
9,975 | ||||
Airlines - 0.0% | ||||
Delta Air Lines, Inc. pass thru trust certificates 7.57% 11/18/10 | 1,460 | 1,311 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - 0.1% | ||||
Boise Cascade Office Products Corp. 7.05% 5/15/05 | $ 1,580 | $ 1,621 | ||
TOTAL INDUSTRIALS | 12,907 | |||
INFORMATION TECHNOLOGY - 0.3% | ||||
Communications Equipment - 0.3% | ||||
Motorola, Inc. 8% 11/1/11 | 6,120 | 7,356 | ||
MATERIALS - 0.6% | ||||
Chemicals - 0.1% | ||||
Lubrizol Corp.: | ||||
5.5% 10/1/14 | 815 | 809 | ||
6.5% 10/1/34 | 1,485 | 1,449 | ||
2,258 | ||||
Containers & Packaging - 0.1% | ||||
Sealed Air Corp.: | ||||
5.625% 7/15/13 (a) | 1,020 | 1,049 | ||
6.875% 7/15/33 (a) | 2,140 | 2,284 | ||
3,333 | ||||
Paper & Forest Products - 0.4% | ||||
International Paper Co.: | ||||
4.25% 1/15/09 | 955 | 958 | ||
5.5% 1/15/14 | 2,410 | 2,468 | ||
Weyerhaeuser Co.: | ||||
5.25% 12/15/09 | 2,405 | 2,517 | ||
7.375% 3/15/32 | 2,130 | 2,444 | ||
8,387 | ||||
TOTAL MATERIALS | 13,978 | |||
TELECOMMUNICATION SERVICES - 2.9% | ||||
Diversified Telecommunication Services - 2.4% | ||||
BellSouth Corp. 6.55% 6/15/34 | 11,500 | 12,105 | ||
British Telecommunications PLC: | ||||
8.375% 12/15/10 | 4,545 | 5,481 | ||
8.875% 12/15/30 | 1,500 | 1,971 | ||
France Telecom SA 8.75% 3/1/11 | 7,940 | 9,505 | ||
Koninklijke KPN NV yankee 8% 10/1/10 | 5,580 | 6,636 | ||
KT Corp. 5.875% 6/24/14 (a) | 2,160 | 2,258 | ||
SBC Communications, Inc. 6.45% 6/15/34 | 2,400 | 2,467 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Telefonica Europe BV 7.75% 9/15/10 | $ 4,300 | $ 5,067 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 10,835 | 11,881 | ||
57,371 | ||||
Wireless Telecommunication Services - 0.5% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 (a) | 2,390 | 2,330 | ||
5.5% 3/1/14 (a) | 5,685 | 5,494 | ||
AT&T Wireless Services, Inc.: | ||||
7.875% 3/1/11 | 1,695 | 2,008 | ||
8.75% 3/1/31 | 795 | 1,044 | ||
Cingular Wireless LLC 7.125% 12/15/31 | 1,500 | 1,675 | ||
12,551 | ||||
TOTAL TELECOMMUNICATION SERVICES | 69,922 | |||
UTILITIES - 2.2% | ||||
Electric Utilities - 1.4% | ||||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 2,775 | 2,871 | ||
DTE Energy Co. 7.05% 6/1/11 | 2,665 | 3,008 | ||
Duke Capital LLC 6.75% 2/15/32 | 2,070 | 2,181 | ||
FirstEnergy Corp.: | ||||
5.5% 11/15/06 | 2,920 | 3,039 | ||
6.45% 11/15/11 | 1,190 | 1,298 | ||
Hydro-Quebec yankee 8% 2/1/13 | 250 | 311 | ||
Illinois Power Co. 7.5% 6/15/09 | 4,800 | 5,472 | ||
MidAmerican Energy Holdings, Inc.: | ||||
4.625% 10/1/07 | 2,385 | 2,440 | ||
5.875% 10/1/12 | 1,595 | 1,684 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 5,720 | 6,332 | ||
Pacific Gas & Electric Co.: | ||||
4.2% 3/1/11 | 845 | 835 | ||
6.05% 3/1/34 | 4,060 | 4,132 | ||
Southern California Edison Co. 4.65% 4/1/15 | 290 | 284 | ||
33,887 | ||||
Gas Utilities - 0.2% | ||||
Consolidated Natural Gas Co. 6.85% 4/15/11 | 1,200 | 1,353 | ||
Texas Eastern Transmission Corp. 7.3% 12/1/10 | 3,435 | 3,915 | ||
5,268 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value (Note 1) | |||
UTILITIES - continued | ||||
Multi-Utilities & Unregulated Power - 0.6% | ||||
Constellation Energy Group, Inc. 7% 4/1/12 | $ 2,805 | $ 3,176 | ||
Dominion Resources, Inc.: | ||||
6.25% 6/30/12 | 2,450 | 2,661 | ||
8.125% 6/15/10 | 7,355 | 8,715 | ||
14,552 | ||||
TOTAL UTILITIES | 53,707 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $619,593) | 660,614 | |||
U.S. Government and Government Agency Obligations - 15.0% | ||||
U.S. Government Agency Obligations - 4.9% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 | 9,595 | 9,300 | ||
4.625% 10/15/13 | 35,000 | 35,205 | ||
5.5% 7/18/12 | 8,000 | 8,144 | ||
6% 5/15/11 | 5,875 | 6,488 | ||
6.125% 3/15/12 | 15,969 | 17,791 | ||
6.25% 2/1/11 | 5,425 | 5,990 | ||
Freddie Mac: | ||||
4.5% 1/15/14 | 14,050 | 13,981 | ||
5.25% 11/5/12 | 2,810 | 2,862 | ||
5.875% 3/21/11 | 17,110 | 18,574 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 118,335 | |||
U.S. Treasury Inflation Protected Obligations - 1.0% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.375% 1/15/25 | 12,058 | 12,562 | ||
U.S. Treasury Inflation-Indexed Notes 2% 1/15/14 | 12,301 | 12,596 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 25,158 | |||
U.S. Treasury Obligations - 9.1% | ||||
U.S. Treasury Bonds: | ||||
6.125% 11/15/27 | 17,300 | 20,084 | ||
6.125% 8/15/29 | 23,510 | 27,399 | ||
6.375% 8/15/27 | 15,080 | 18,009 | ||
8% 11/15/21 | 16,000 | 21,993 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal | Value (Note 1) | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Bonds: - continued | ||||
9.875% 11/15/15 | $ 4,860 | $ 7,249 | ||
11.25% 2/15/15 | 1,400 | 2,228 | ||
U.S. Treasury Notes: | ||||
2.75% 7/31/06 | 69,687 | 69,948 | ||
3.125% 5/15/07 | 35,000 | 35,295 | ||
3.375% 12/15/08 | 2,200 | 2,214 | ||
4.75% 5/15/14 | 3,600 | 3,779 | ||
5% 8/15/11 | 11,140 | 11,972 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 220,170 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT (Cost $352,837) | 363,663 | |||
U.S. Government Agency - Mortgage Securities - 32.5% | ||||
Fannie Mae - 30.2% | ||||
4% 10/1/19 (b) | 19,868 | 19,365 | ||
4.5% 10/1/19 (b) | 94,710 | 94,414 | ||
4.5% 7/1/33 to 12/1/33 | 49,899 | 48,178 | ||
5% 10/1/34 (b) | 209,000 | 206,912 | ||
5.5% 1/1/09 to 9/1/34 | 135,700 | 138,239 | ||
5.5% 10/1/34 (b) | 59,659 | 60,479 | ||
6% 4/1/13 to 5/1/32 | 2,621 | 2,737 | ||
6% 10/1/34 (b) | 9,080 | 9,395 | ||
6.5% 12/1/25 to 9/1/32 | 78,102 | 82,019 | ||
6.5% 10/1/34 (b) | 34,244 | 35,913 | ||
7% 5/1/13 to 10/1/32 | 26,444 | 28,084 | ||
7.5% 1/1/26 to 7/1/29 | 4,042 | 4,341 | ||
9.5% 4/1/17 to 10/1/18 | 104 | 117 | ||
TOTAL FANNIE MAE | 730,193 | |||
Freddie Mac - 0.0% | ||||
8.5% 5/1/25 to 8/1/27 | 435 | 479 | ||
Government National Mortgage Association - 2.3% | ||||
5.5% 4/15/29 to 5/15/34 | 12,188 | 12,423 | ||
6% 10/15/08 to 7/15/29 | 1,603 | 1,673 | ||
6.5% 10/15/27 to 6/15/28 | 1,272 | 1,347 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value (Note 1) | |||
Government National Mortgage Association - continued | ||||
6.5% 10/1/34 (b) | $ 1,735 | $ 1,828 | ||
7% 3/15/23 to 1/15/33 | 27,944 | 29,813 | ||
7% 10/1/34 (b) | 7,214 | 7,686 | ||
7.5% 12/15/05 to 10/15/27 | 1,446 | 1,563 | ||
8% 1/15/30 to 6/15/32 | 152 | 165 | ||
8.5% 8/15/29 to 8/15/30 | 193 | 212 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 56,710 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $782,323) | 787,382 | |||
Asset-Backed Securities - 7.3% | ||||
ACE Securities Corp.: | ||||
Series 2003-FM1 Class M2, 3.69% 11/25/32 (c) | 1,920 | 1,953 | ||
Series 2004-HE1: | ||||
Class M1, 2.34% 2/25/34 (c) | 975 | 975 | ||
Class M2, 2.94% 2/25/34 (c) | 1,100 | 1,100 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 2.26% 2/15/12 (a)(c) | 11,700 | 11,707 | ||
Ameriquest Mortgage Securities, Inc. Series 2004-R2: | ||||
Class M1, 2.27% 4/25/34 (c) | 545 | 545 | ||
Class M2, 2.32% 4/25/34 (c) | 425 | 425 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE2 Class A2, 1.98% 4/15/33 (c) | 2,754 | 2,757 | ||
Series 2003-HE7 Class A3, 1.96% 12/15/33 (c) | 4,467 | 4,474 | ||
Bank One Issuance Trust: | ||||
Series 2002-C1 Class C1, 2.72% 12/15/09 (c) | 3,285 | 3,326 | ||
Series 2004-B2 Class B2, 4.37% 4/15/12 | 5,500 | 5,585 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 2.09% 2/28/44 (c) | 3,614 | 3,617 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2002-B1 Class B1, 2.44% 7/15/08 (c) | 5,185 | 5,206 | ||
Series 2003-B1 Class B1, 2.93% 2/17/09 (c) | 7,130 | 7,231 | ||
Series 2003-B2 Class B2, 3.5% 2/17/09 | 3,750 | 3,777 | ||
Series 2003-B4 Class B4, 2.56% 7/15/11 (c) | 3,395 | 3,455 | ||
CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (c) | 1,670 | 1,720 | ||
Chase Credit Card Owner Trust Series 2004-1 Class B, 1.96% 5/15/09 (c) | 1,855 | 1,855 | ||
Asset-Backed Securities - continued | ||||
Principal | Value (Note 1) | |||
Chase Manhattan Auto Owner Trust Series 2001-A Class CTFS, 5.06% 2/15/08 | $ 439 | $ 443 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2000-C2 Class C2, 2.25% 10/15/07 (c) | 7,200 | 7,218 | ||
Series 2002-B1 Class B1, 1.9% 6/25/09 (c) | 3,960 | 3,973 | ||
Series 2003-C1 Class C1, 2.24% 4/7/10 (c) | 2,375 | 2,428 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 2.34% 5/25/34 (c) | 2,300 | 2,300 | ||
Series 2004-3 Class M1, 2.34% 6/25/34 (c) | 650 | 651 | ||
Fieldstone Mortgage Investment Corp. Series 2003-1: | ||||
Class M1, 2.52% 11/25/33 (c) | 700 | 706 | ||
Class M2, 3.59% 11/25/33 (c) | 400 | 409 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 2.39% 3/25/34 (c) | 175 | 175 | ||
Class M4, 2.74% 3/25/34 (c) | 125 | 125 | ||
Class M6, 3.09% 3/25/34 (c) | 175 | 174 | ||
GSAMP Trust Series 2004-FM2: | ||||
Class M1, 2.34% 1/25/34 (c) | 1,500 | 1,500 | ||
Class M2, 2.94% 1/25/34 (c) | 700 | 700 | ||
Class M3, 3.14% 1/25/34 (c) | 700 | 700 | ||
Home Equity Asset Trust: | ||||
Series 2003-2: | ||||
Class A2, 2.22% 8/25/33 (c) | 615 | 617 | ||
Class M1, 2.72% 8/25/33 (c) | 1,595 | 1,614 | ||
Series 2003-4: | ||||
Class M1, 2.64% 10/25/33 (c) | 2,125 | 2,144 | ||
Class M2, 3.74% 10/25/33 (c) | 2,515 | 2,560 | ||
Home Equity Asset Trust NIMS Trust: | ||||
Series 2002-4N Class A, 8% 5/27/33 (a) | 146 | 146 | ||
Series 2003-2N Class A, 8% 9/27/33 (a) | 403 | 405 | ||
Series 2003-5N Class A, 7.5% 1/27/34 (a) | 166 | 167 | ||
Household Home Equity Loan Trust Series 2002-2 Class A, 1.9% 4/20/32 (c) | 2,757 | 2,761 | ||
Long Beach Mortgage Loan Trust Series 2003-3 Class M2, 3.69% 7/25/33 (c) | 2,545 | 2,613 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2001-B2 Class B2, 2.12% 1/15/09 (c) | 24,500 | 24,586 | ||
Series 2003-B2 Class B2, 2.15% 10/15/10 (c) | 625 | 628 | ||
Series 2003-B3 Class B3, 2.135% 1/18/11 (c) | 3,295 | 3,304 | ||
Series 2003-B5 Class B5, 2.13% 2/15/11 (c) | 5,010 | 5,045 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 2.34% 7/25/34 (c) | 925 | 925 | ||
Class M2, 2.39% 7/25/34 (c) | 175 | 175 | ||
Asset-Backed Securities - continued | ||||
Principal | Value (Note 1) | |||
Meritage Mortgage Loan Trust Series 2004-1: - continued | ||||
Class M3, 2.79% 7/25/34 (c) | $ 350 | $ 350 | ||
Class M4, 2.94% 7/25/34 (c) | 235 | 235 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 2.715% 12/27/32 (c) | 885 | 899 | ||
Series 2003-HE1 Class M2, 3.74% 5/25/33 (c) | 2,910 | 2,955 | ||
Series 2003-NC8 Class M1, 2.54% 9/25/33 (c) | 1,330 | 1,335 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 2.615% 1/25/32 (c) | 2,765 | 2,805 | ||
Series 2002-NC1 Class M1, 2.415% 2/25/32 (a)(c) | 1,660 | 1,675 | ||
Series 2002-NC3 Class M1, 2.56% 8/25/32 (c) | 723 | 729 | ||
Series 2003-NC2 Class M2, 3.84% 2/25/33 (c) | 1,430 | 1,463 | ||
National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/24/10 (a)(e) | 3,540 | 1,392 | ||
New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (c) | 2,249 | 2,253 | ||
Nissan Auto Lease Trust Series 2003-A Class A3B, 2.57% 6/15/09 | 4,800 | 4,794 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 2.29% 6/25/34 (c) | 650 | 651 | ||
Class M4, 2.815% 6/25/34 (c) | 1,065 | 1,067 | ||
Sears Credit Account Master Trust II: | ||||
Series 2000-2 Class A, 6.75% 9/16/09 | 6,300 | 6,544 | ||
Series 2002-4 Class A, 1.89% 8/18/09 (c) | 5,500 | 5,506 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 2.47% 6/15/33 (c) | 2,165 | 2,184 | ||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 2.21% 3/15/11 (a)(c) | 4,670 | 4,674 | ||
WFS Financial 2004-3 Owner Trust Class 2004-3 Series A3, 3.3% 3/17/09 | 5,300 | 5,322 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $174,512) | 175,733 | |||
Collateralized Mortgage Obligations - 5.2% | ||||
Private Sponsor - 4.0% | ||||
Bank of America Mortgage Securities, Inc.: | ||||
Series 2003-K: | ||||
Class 1A1, 3.3916% 12/25/33 (c) | 1,332 | 1,333 | ||
Class 2A1, 4.213% 12/25/33 (c) | 3,580 | 3,580 | ||
Series 2003-L Class 2A1, 4.033% 1/25/34 (c) | 6,668 | 6,632 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value (Note 1) | |||
Private Sponsor - continued | ||||
Bank of America Mortgage Securities, Inc.: - continued | ||||
Series 2004-1 Class 2A2, 4.7497% 10/25/34 (c) | $ 5,380 | $ 5,434 | ||
Series 2004-B: | ||||
Class 1A1, 3.447% 3/25/34 (c) | 2,410 | 2,408 | ||
Class 2A2, 4.1558% 3/25/34 (c) | 2,191 | 2,189 | ||
Series 2004-C Class 1A1, 3.4239% 4/25/34 (c) | 4,390 | 4,379 | ||
Series 2004-D: | ||||
Class 1A1, 3.5987% 5/25/34 (c) | 4,944 | 4,944 | ||
Class 2A2, 4.2267% 5/25/34 (c) | 5,522 | 5,524 | ||
Series 2004-G Class 2A7, 4.6636% 8/25/34 (c) | 4,810 | 4,847 | ||
Series 2004-H Class 2A1, 4.5448% 9/25/34 (c) | 5,403 | 5,417 | ||
CS First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR3 Class 6A2, 2.21% 4/25/34 (c) | 1,946 | 1,949 | ||
Series 2004-AR6 Class 9A2, 2.21% 10/25/34 (c) | 2,801 | 2,804 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 828 | 863 | ||
Master Asset Securitization Trust Series 2004-9 Class 7A1, 6.3274% 5/25/17 | 4,435 | 4,613 | ||
Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2587% 8/25/17 (c) | 3,995 | 4,146 | ||
Residential Asset Mortgage Products, Inc. sequential pay: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 2,645 | 2,751 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 936 | 971 | ||
Residential Finance LP/Residential Finance Development Corp. floater: | ||||
Series 2003-B: | ||||
Class B3, 3.1238% 7/10/35 (a)(c) | 4,804 | 4,889 | ||
Class B4, 3.3238% 7/10/35 (a)(c) | 3,627 | 3,691 | ||
Class B5, 3.9238% 7/10/35 (a)(c) | 3,431 | 3,481 | ||
Class B6, 4.4238% 7/10/35 (a)(c) | 1,568 | 1,595 | ||
Series 2003-CB1: | ||||
Class B3, 3.0238% 6/10/35 (a)(c) | 1,650 | 1,681 | ||
Class B4, 3.2238% 6/10/35 (a)(c) | 1,479 | 1,506 | ||
Class B5, 3.8238% 6/10/35 (a)(c) | 1,009 | 1,030 | ||
Class B6, 4.3238% 6/10/35 (a)(c) | 597 | 610 | ||
Series 2004-A Class B5, 3.2738% 2/10/36 (a)(c) | 3,973 | 4,004 | ||
Series 2004-B: | ||||
Class B4, 2.6738% 2/10/36 (a)(c) | 597 | 597 | ||
Class B5, 3.1238% 2/10/36 (a)(c) | 398 | 398 | ||
Class B6, 3.5738% 2/10/36 (a)(c) | 100 | 100 | ||
Series 2004-C: | ||||
Class B4, 2.79% 9/10/36 (c) | 800 | 800 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value (Note 1) | |||
Private Sponsor - continued | ||||
Residential Finance LP/Residential Finance Development Corp. floater: - continued | ||||
Series 2004-C: | ||||
Class B5, 3.19% 9/10/36 (c) | $ 900 | $ 900 | ||
Class B6, 3.59% 9/10/36 (c) | 100 | 100 | ||
Washington Mutual Mortgage Securities Corp. sequential pay: | ||||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 857 | 895 | ||
Series 2004-RA2 Class 2A, 7% 7/25/33 | 1,567 | 1,622 | ||
Wells Fargo Mortgage Backed Securities Trust Series 2004-T Class A1, 3.457% 9/25/34 (c) | 5,321 | 5,310 | ||
TOTAL PRIVATE SPONSOR | 97,993 | |||
U.S. Government Agency - 1.2% | ||||
Fannie Mae: | ||||
planned amortization class Series 1994-81 Class PJ, 8% 7/25/23 | 1,897 | 1,909 | ||
sequential pay Series 1999-10 Class MZ, 6.5% 9/17/38 | 5,917 | 6,373 | ||
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2001-53 Class OH, 6.5% 6/25/30 | 128 | 129 | ||
Freddie Mac planned amortization class Series 2355 Class CD, 6.5% 6/15/30 | 193 | 194 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class Series 1669 Class H, 6.5% 7/15/23 | 10,000 | 10,305 | ||
sequential pay Series 2750 Class ZT, 5% 2/15/34 | 3,011 | 2,677 | ||
Series 2749 Class MZ, 5% 2/15/24 | 212 | 212 | ||
Series 2764 Class ZB, 5% 3/15/33 | 143 | 143 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (c) | 745 | 800 | ||
Ginnie Mae guaranteed REMIC pass thru securities sequential pay Series 2003-59 Class D, 3.654% 10/16/27 | 6,220 | 5,927 | ||
TOTAL U.S. GOVERNMENT AGENCY | 28,669 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $125,944) | 126,662 | |||
Commercial Mortgage Securities - 4.1% | ||||
Principal | Value (Note 1) | |||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 2.2% 4/25/34 (a)(c) | $ 3,280 | $ 3,270 | ||
Class B, 3.74% 4/25/34 (a)(c) | 386 | 385 | ||
Class M1, 2.4% 4/25/34 (a)(c) | 289 | 289 | ||
Class M2, 3.04% 4/25/34 (a)(c) | 289 | 289 | ||
Series 2004-2 Class A, 2.27% 8/25/34 (a)(c) | 2,914 | 2,917 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
floater: | ||||
Series 2003-BA1A Class A1, 2.0375% 4/14/15 (a)(c) | 6,662 | 6,662 | ||
Series 2004-ESA Class A2, 2.0975% 5/14/16 (a)(c) | 2,700 | 2,701 | ||
sequential pay Series 2004-ESA Class A3, 4.741% 5/14/16 (a) | 1,385 | 1,421 | ||
Series 2004-ESA: | ||||
Class B, 4.888% 5/14/16 (a) | 2,525 | 2,585 | ||
Class C, 4.937% 5/14/16 (a) | 25 | 26 | ||
Class D, 4.986% 5/14/16 (a) | 575 | 589 | ||
Class E, 5.064% 5/14/16 (a) | 1,785 | 1,825 | ||
Class F, 5.182% 5/14/16 (a) | 430 | 440 | ||
Chase Commercial Mortgage Securities Corp. Series 2001-245 Class A2, 6.4842% 2/12/16 (a)(c) | 1,950 | 2,147 | ||
COMM floater Series 2002-FL7 Class A2, 1.95% 11/15/14 (a)(c) | 2,459 | 2,459 | ||
Commercial Mortgage pass thru certificates floater Series 2004-CNL: | ||||
Class B, 2.2581% 9/15/14 (b)(c) | 790 | 790 | ||
Class D, 2.4981% 9/15/14 (b)(c) | 245 | 245 | ||
Class E, 2.5581% 9/15/14 (b)(c) | 330 | 330 | ||
Class F, 2.6581% 9/15/14 (b)(c) | 260 | 260 | ||
Class G, 2.8381% 9/15/14 (b)(c) | 595 | 595 | ||
Class H, 2.9381% 9/15/14 (b)(c) | 630 | 630 | ||
Class J, 3.4581% 9/15/14 (b)(c) | 215 | 215 | ||
Class K, 3.8581% 9/15/14 (b)(c) | 340 | 340 | ||
Class L, 4.0581% 9/15/14 (b)(c) | 275 | 275 | ||
Commercial Resecuritization Trust sequential pay Series 1999-ABC1 Class A, 6.74% 1/27/09 (a) | 3,720 | 3,876 | ||
CS First Boston Mortgage Securities Corp.: | ||||
sequential pay: | ||||
Series 1997-C2 Class A2, 6.52% 1/17/35 | 982 | 1,000 | ||
Series 2000-C1 Class A2, 7.545% 4/15/62 | 3,100 | 3,574 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 1,065 | 1,190 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value (Note 1) | |||
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | $ 1,530 | $ 1,698 | ||
DLJ Commercial Mortgage Corp. sequential pay Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 8,000 | 9,272 | ||
Equitable Life Assurance Society of the United States Series 174: | ||||
Class B1, 7.33% 5/15/06 (a) | 1,500 | 1,596 | ||
Class C1, 7.52% 5/15/06 (a) | 1,000 | 1,065 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay: | ||||
Series 2002-83 Class B, 4.6951% 12/16/24 | 2,430 | 2,479 | ||
Series 2003-22 Class B, 3.963% 5/16/32 | 4,210 | 4,148 | ||
Series 2003-36 Class C, 4.254% 2/16/31 | 3,380 | 3,359 | ||
Series 2003-47 Class C, 4.227% 10/16/27 | 6,085 | 6,048 | ||
Series 2003-47 Class XA, 0.2398% 6/16/43 (c)(e) | 18,994 | 1,006 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay: | ||||
Series 2001-LIBA Class A2, 6.615% 2/14/16 (a) | 2,475 | 2,741 | ||
Series 2003-C1 Class A2A, 3.59% 1/10/40 | 3,130 | 3,135 | ||
Series 1998-GLII Class E, 7.1905% 4/13/31 (c) | 490 | 520 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (a) | 6,400 | 5,902 | ||
Mortgage Capital Funding, Inc. sequential pay Series 1998-MC2 Class A2, 6.423% 6/18/30 | 3,010 | 3,261 | ||
Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (a) | 7,000 | 7,538 | ||
Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 3,260 | 3,507 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $96,127) | 98,600 | |||
Foreign Government and Government Agency Obligations - 1.7% | ||||
Chilean Republic 7.125% 1/11/12 | 7,440 | 8,537 | ||
Hong Kong Gov Spl Admin Reg 5.125% 8/1/14 (a) | 8,580 | 8,830 | ||
New Brunswick Province yankee 7.625% 2/15/13 | 500 | 613 | ||
State of Israel 4.625% 6/15/13 | 975 | 938 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value (Note 1) | |||
United Mexican States: | ||||
4.625% 10/8/08 | $ 13,845 | $ 13,983 | ||
7.5% 1/14/12 | 6,400 | 7,190 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT (Cost $38,031) | 40,091 | |||
Supranational Obligations - 0.2% | ||||
Corporacion Andina de Fomento 6.875% 3/15/12 | 3,070 | 3,453 | ||
Fixed-Income Funds - 12.6% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (d) | 3,068,203 | 305,348 | |
Cash Equivalents - 12.0% | |||
Maturity | |||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 1.89%, dated 9/30/04 due 10/1/04) (f) | $ 287,059 | 287,044 | |
Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.77%, dated 9/30/04 due 10/1/04) (f) | 4,123 | 4,123 | |
TOTAL CASH EQUIVALENTS (Cost $291,167) | 291,167 | ||
TOTAL INVESTMENT PORTFOLIO - 117.9% (Cost $2,789,571) | 2,852,713 | ||
NET OTHER ASSETS - (17.9)% | (432,127) | ||
NET ASSETS - 100% | $ 2,420,586 | ||
Swap Agreements | |||||
Expiration | Notional | Value (000s) | |||
Credit Default Swap | |||||
Receive quarterly notional amount multilpied by .43% and pay Bank of America upon default event of Apache Corp., par value of the notional amount of Apache Corp. 6.25% 4/15/12 | Sept. 2014 | $ 2,800 | $ (4) | ||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Devon Energy Corp., par value of the notional amount of Devon Energy Corp. 7.95% 4/15/32 | June 2006 | 1,700 | 7 | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | 2,100 | 3 | ||
Receive quarterly notional amount multiplied by .53% and pay Deutsche Bank upon default event of SBC Communications, Inc., par value of the notional amount of SBC Communications, Inc. 6.25% 3/15/11 | March 2009 | 2,700 | 13 | ||
Receive quarterly notional amount multiplied by .53% and pay Lehman Brothers, Inc., upon default event of SBC Communications, Inc., par value of the notional amount of SBC Communications, Inc. 6.25% 3/15/11 | March 2009 | 1,900 | 8 | ||
Receive quarterly notional amount multiplied by .62% and pay Lehman Brothers, Inc. upon default event of Comcast Cable Communications, Inc., par value of the notional amount of Comcast Cable Communications, Inc. 6.75% 1/30/11 | June 2009 | 4,000 | 7 | ||
Receive quarterly notional amount multiplied by .75% and pay Citibank upon default event of News America, Inc., par value of the notional amount of News America, Inc. 4.75% 3/15/10 | April 2010 | 3,000 | 9 | ||
TOTAL CREDIT DEFAULT SWAP | 18,200 | 43 | |||
Swap Agreements - continued | |||||
Expiration | Notional | Value (000s) | |||
Interest Rate Swap | |||||
Receive quarterly a fixed rate equal to 2.4198% and pay quarterly a floating rate based on 3-month LIBOR with Merrill Lynch, Inc. | Dec. 2005 | $ 25,000 | $ (25) | ||
Receive quarterly a fixed rate equal to 2.5664% and pay quarterly a floating rate based on 3-month LIBOR with Merrill Lynch, Inc. | March 2006 | 5,200 | (7) | ||
Receive quarterly a fixed rate equal to 2.8043% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Sept. 2006 | 20,000 | 5 | ||
Receive quarterly a fixed rate equal to 2.9119% and pay quarterly a floating rate based on 3 Month LIBOR with Bank of America | Oct. 2006 | 40,000 | (12) | ||
Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | July 2014 | 9,660 | 357 | ||
TOTAL INTEREST RATE SWAP | 99,860 | 318 | |||
Swap Agreements - continued | |||||
Expiration | Notional | Value (000s) | |||
Total Return Swap | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc. | Oct. 2004 | $ 5,200 | $ 17 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc. | April 2005 | 5,200 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 55 basis points with Deutsche Bank | Dec. 2004 | 3,800 | 6 | ||
Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America | Nov. 2004 | 4,800 | 20 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 72 basis points with Bank of America | Jan. 2005 | 5,200 | 202 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America | Dec. 2004 | 5,200 | 22 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America | Nov. 2004 | 10,400 | 358 | ||
TOTAL RETURN SWAP | 39,800 | 625 | |||
$ 157,860 | $ 986 | ||||
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $190,963,000 or 7.9% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(d) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(f) Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement/ | Value |
$287,044,000 due 10/1/04 | |
Banc of America Securities LLC. | $ 47,688 |
Bank of America, National Association | 25,433 |
Barclays Capital Inc. | 6,358 |
Bear Stearns & Co. Inc. | 31,156 |
Countrywide Securities Corporation | 5,723 |
Goldman, Sachs & Co. | 31,792 |
Repurchase Agreement/ | Value |
Greenwich Capital Markets, Inc. | $ 5,087 |
J.P. Morgan Securities, Inc. | 19,075 |
Morgan Stanley & Co. Incorporated. | 63,584 |
UBS Securities LLC | 28,894 |
Wachovia Capital Markets, LLC | 22,254 |
$ 287,044 | |
$4,123,000 due 10/1/04 | |
Barclays Capital Inc. | $ 353 |
Bear Stearns & Co. Inc. | 1,024 |
BNP Paribas Securities Corp. | 1,165 |
Merrill Lynch Government Securities, Inc. | 530 |
State Street Bank and Trust Company | 1,051 |
$ 4,123 |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 88.6% |
Cayman Islands | 1.7% |
Netherlands | 1.5% |
United Kingdom | 1.4% |
Mexico | 1.2% |
Korea (South) | 1.1% |
Others (individually less than 1%) | 4.5% |
100.0% |
Income Tax Information |
The fund hereby designates approximately $26,790,000 as a capital gain dividend for the purpose of the dividend paid deduction. |
A total of 11.35% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax (unaudited). The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | September 30, 2004 | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $291,167) (cost $2,789,571) - See accompanying schedule | $ 2,852,713 | |
Cash | 1 | |
Receivable for investments sold | 12,398 | |
Receivable for fund shares sold | 2,233 | |
Interest receivable | 18,502 | |
Swap agreements, at value | 986 | |
Receivable from investment adviser for expense reductions | 218 | |
Total assets | 2,887,051 | |
Liabilities | ||
Payable for investments purchased | $ 9,722 | |
Delayed delivery | 451,924 | |
Payable for fund shares redeemed | 2,998 | |
Distributions payable | 522 | |
Accrued management fee | 1,203 | |
Other affiliated payables | 2 | |
Other payables and accrued expenses | 94 | |
Total liabilities | 466,465 | |
Net Assets | $ 2,420,586 | |
Net Assets consist of: | ||
Paid in capital | $ 2,323,086 | |
Undistributed net investment income | 2,054 | |
Accumulated undistributed net realized gain (loss) on investments | 31,318 | |
Net unrealized appreciation (depreciation) on investments | 64,128 | |
Net Assets, for 223,831 shares outstanding | $ 2,420,586 | |
Net Asset Value, offering price and redemption price per share ($2,420,586 ÷ 223,831 shares) | $ 10.81 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended September 30, 2004 | |
Investment Income | ||
Interest | $ 100,976 | |
Security lending | 39 | |
Total income | 101,015 | |
Expenses | ||
Management fee | $ 14,735 | |
Non-interested trustees' compensation | 15 | |
Miscellaneous | 2 | |
Total expenses before reductions | 14,752 | |
Expense reductions | (2,457) | 12,295 |
Net investment income | 88,720 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 37,340 | |
Swap agreements | 1,624 | |
Total net realized gain (loss) | 38,964 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (33,266) | |
Swap agreements | 807 | |
Delayed delivery commitments | 2 | |
Total change in net unrealized appreciation (depreciation) | (32,457) | |
Net gain (loss) | 6,507 | |
Net increase (decrease) in net assets resulting from operations | $ 95,227 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 88,720 | $ 101,171 |
Net realized gain (loss) | 38,964 | 50,945 |
Change in net unrealized appreciation (depreciation) | (32,457) | 29,303 |
Net increase (decrease) in net assets resulting | 95,227 | 181,419 |
Distributions to shareholders from net investment income | (88,196) | (101,979) |
Distributions to shareholders from net realized gain | (38,580) | (48,541) |
Total distributions | (126,776) | (150,520) |
Share transactions | 667,255 | 1,117,122 |
Reinvestment of distributions | 117,541 | 139,864 |
Cost of shares redeemed | (1,033,133) | (1,331,197) |
Net increase (decrease) in net assets resulting from share transactions | (248,337) | (74,211) |
Total increase (decrease) in net assets | (279,886) | (43,312) |
Net Assets | ||
Beginning of period | 2,700,472 | 2,743,784 |
End of period (including undistributed net investment income of $2,054 and undistributed net investment income of $945, respectively) | $ 2,420,586 | $ 2,700,472 |
Other Information Shares | ||
Sold | 62,110 | 103,241 |
Issued in reinvestment of distributions | 10,944 | 12,989 |
Redeemed | (96,318) | (123,492) |
Net increase (decrease) | (23,264) | (7,262) |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended September 30, | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 10.93 | $ 10.79 | $ 10.62 | $ 10.00 | $ 10.01 |
Income from Investment Operations | |||||
Net investment incomeB | .387 | .402 | .521D | .618 | .640 |
Net realized and unrealized gain (loss) | .042 | .344 | .218D | .634 | (.005) |
Total from investment operations | .429 | .746 | .739 | 1.252 | .635 |
Distributions from net investment income | (.384) | (.406) | (.508) | (.632) | (.645) |
Distributions from net realized gain | (.165) | (.200) | (.061) | - | - |
Total distributions | (.549) | (.606) | (.569) | (.632) | (.645) |
Net asset value, end of period | $ 10.81 | $ 10.93 | $ 10.79 | $ 10.62 | $ 10.00 |
Total ReturnA | 4.08% | 7.13% | 7.23% | 12.89% | 6.63% |
Ratios to Average Net AssetsC | |||||
Expenses before expense reductions | .60% | .60% | .60% | .60% | .60% |
Expenses net of voluntary waivers, if any | .50% | .50% | .50% | .50% | .50% |
Expenses net of all reductions | .50% | .50% | .50% | .50% | .50% |
Net investment income | 3.61% | 3.72% | 4.95%D | 6.02% | 6.50% |
Supplemental Data | |||||
Net assets, end of period | $ 2,421 | $ 2,700 | $ 2,744 | $ 2,441 | $ 1,835 |
Portfolio turnover rate | 188% | 274% | 271% | 223% | 122% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended September 30, 2004
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
Spartan Investment Grade Bond Fund (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among the funds in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. In addition, the fund will treat a portion of the proceeds from shares redeemed as a distribution from realized gain for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, financing transactions and losses deferred due to wash sales.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 70,887 |
Unrealized depreciation | (5,766) |
Net unrealized appreciation (depreciation) | 65,121 |
Undistributed ordinary income | 19,135 |
Undistributed long-term capital gain | 17,097 |
Cost for federal income tax purposes | $ 2,787,592 |
The tax character of distributions paid was as follows:
September 30, 2004 | September 30, 2003 | |
Ordinary Income | $ 102,225 | $ 138,385 |
Long-term Capital Gains | 24,551 | 12,135 |
Total | $ 126,776 | $ 150,520 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in
Annual Report
2. Operating Policies - continued
Repurchase Agreements - continued
segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
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.
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 may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.
Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
Swap Agreements - continued
will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."
Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the
Annual Report
2. Operating Policies - continued
Financing Transactions - continued
securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $457,910 and $488,610, respectively.
4. 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 that is based on an annual rate of .60% of the fund's average net assets. FMR pays all other expenses, except the compensation of the non-interested Trustees and certain exceptions such as interest expense. The management fee paid to FMR by the fund is reduced by an amount equal to the fees and expenses paid by the fund to the non-interested Trustees.
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $5,321 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund 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 is included in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Security Lending - continued
market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. At period end there were no security loans outstanding.
7. Expense Reductions.
FMR agreed to reimburse the fund to the extent annual operating expenses exceeded ..50% of average net assets. Some expenses, for example interest expense, are excluded from this reimbursement. During the period, this reimbursement reduced the fund's expenses by $2,453.
In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's expenses by $4.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Spartan Investment Grade Bond Fund:
We have audited the accompanying statement of assets and liabilities of Spartan Investment Grade Bond Fund (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Spartan Investment Grade Bond Fund as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/DELOITTE & TOUCHE LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
November 12, 2004
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (74)** | |
Year of Election or Appointment: 1981 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc. | |
Abigail P. Johnson (42)** | |
Year of Election or Appointment: 2001 Senior Vice President of Spartan Investment Grade Bond (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds. | |
Laura B. Cronin (50) | |
Year of Election or Appointment: 2003 Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002). | |
Robert L. Reynolds (52) | |
Year of Election or Appointment: 2003 Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). | |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.
Annual Report
Non-Interested Trustees:
Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
J. Michael Cook (62) | |
Year of Election or Appointment: 2001 Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater. | |
Ralph F. Cox (72) | |
Year of Election or Appointment: 1991 Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin. | |
Robert M. Gates (61) | |
Year of Election or Appointment: 1997 Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy. | |
George H. Heilmeier (68) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002). | |
Donald J. Kirk (71) | |
Year of Election or Appointment: 1987 Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations). | |
Marie L. Knowles (57) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (60) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations. | |
Marvin L. Mann (71) | |
Year of Election or Appointment: 1993 Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama. | |
William O. McCoy (70) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998). | |
William S. Stavropoulos (65) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Annual Report
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Dennis J. Dirks (56) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). | |
Peter S. Lynch (61) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston. | |
Cornelia M. Small (60) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
Kenneth L. Wolfe (65) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004). | |
Dwight D. Churchill (50) | |
Year of Election or Appointment: 1997 Vice President of Spartan Investment Grade Bond. He serves as Head of Fidelity's Fixed-Income Division (2000), Vice President of Fidelity's Money Market Funds (2000), Vice President of Fidelity's Bond Funds (1997), and Senior Vice President of FIMM (2000) and FMR (1997). Mr. Churchill joined Fidelity in 1993 as Vice President and Group Leader of Taxable Fixed-Income Investments. | |
Charles S. Morrison (43) | |
Year of Election or Appointment: 2002 Vice President of Spartan Investment Grade Bond. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division. | |
Kevin E. Grant (44) | |
Year of Election or Appointment: 1997 Vice President of Spartan Investment Grade Bond. Mr. Grant serves as Vice President of other funds advised by FMR. | |
Eric D. Roiter (55) | |
Year of Election or Appointment: 1998 Secretary of Spartan Investment Grade Bond. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003). | |
Stuart Fross (45) | |
Year of Election or Appointment: 2003 Assistant Secretary of Spartan Investment Grade Bond. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR. | |
Christine Reynolds (46) | |
Year of Election or Appointment: 2004 President, Treasurer, and Anti-Money Laundering (AML) officer of Spartan Investment Grade Bond. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
Timothy F. Hayes (53) | |
Year of Election or Appointment: 2002 Chief Financial Officer of Spartan Investment Grade Bond. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998). | |
Kenneth A. Rathgeber (57) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Spartan Investment Grade Bond. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
John R. Hebble (46) | |
Year of Election or Appointment: 2003 Deputy Treasurer of Spartan Investment Grade Bond. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003). | |
Kimberley H. Monasterio (40) | |
Year of Election or Appointment: 2004 Deputy Treasurer of Spartan Investment Grade Bond. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
John H. Costello (58) | |
Year of Election or Appointment: 1992 Assistant Treasurer of Spartan Investment Grade Bond. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Francis V. Knox, Jr. (57) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Spartan Investment Grade Bond. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002). | |
Peter L. Lydecker (50) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Spartan Investment Grade Bond. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (49) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Spartan Investment Grade Bond. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Kenneth B. Robins (35) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Spartan Investment Grade Bond. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Thomas J. Simpson (46) | |
Year of Election or Appointment: 1998 Assistant Treasurer of Spartan Investment Grade Bond. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995). | |
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.* | ||
# of | % of | |
Affirmative | 7,568,144,945.96 | 76.551 |
Against | 1,665,604,684.78 | 16.847 |
Abstain | 460,998,830.31 | 4.663 |
Broker | 191,690,954.58 | 1.939 |
TOTAL | 9,886,439,415.63 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees.* | ||
# of | % of | |
J. Michael Cook | ||
Affirmative | 9,359,102,098.49 | 94.666 |
Withheld | 527,337,317.14 | 5.334 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ralph F. Cox | ||
Affirmative | 9,333,369,952.29 | 94.406 |
Withheld | 553,069,463.34 | 5.594 |
TOTAL | 9,886,439,415.63 | 100.000 |
Laura B. Cronin | ||
Affirmative | 9,355,534,364.24 | 94.630 |
Withheld | 530,905,051.39 | 5.370 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,352,106,353.30 | 94.595 |
Withheld | 534,333,062.33 | 5.405 |
TOTAL | 9,886,439,415.63 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,360,572,048.31 | 94.681 |
Withheld | 525,867,367.32 | 5.319 |
TOTAL | 9,886,439,415.63 | 100.000 |
# of | % of | |
Abigail P. Johnson | ||
Affirmative | 9,327,059,416.89 | 94.342 |
Withheld | 559,379,998.74 | 5.658 |
TOTAL | 9,886,439,415.63 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,323,731,909.04 | 94.308 |
Withheld | 562,707,506.59 | 5.692 |
TOTAL | 9,886,439,415.63 | 100.000 |
Donald J. Kirk | ||
Affirmative | 9,343,833,406.30 | 94.512 |
Withheld | 542,606,009.33 | 5.488 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,362,664,343.97 | 94.702 |
Withheld | 523,775,071.66 | 5.298 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,368,801,700.35 | 94.764 |
Withheld | 517,637,715.28 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,342,116,785.91 | 94.494 |
Withheld | 544,322,629.72 | 5.506 |
TOTAL | 9,886,439,415.63 | 100.000 |
William O. McCoy | ||
Affirmative | 9,348,114,851.10 | 94.555 |
Withheld | 538,324,564.53 | 5.445 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,368,829,274.86 | 94.764 |
Withheld | 517,610,140.77 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
# of | % of | |
William S. Stavropoulos | ||
Affirmative | 9,355,225,708.91 | 94.627 |
Withheld | 531,213,706.72 | 5.373 |
TOTAL | 9,886,439,415.63 | 100.000 |
Dennis J. Dirks** | ||
Affirmative | 9,363,252,671.04 | 94.708 |
Withheld | 523,186,744.59 | 5.292 |
TOTAL | 9,886,439,415.63 | 100.000 |
Cornelia M. Small** | ||
Affirmative | 9,357,897,300.73 | 94.654 |
Withheld | 528,542,114.90 | 5.346 |
TOTAL | 9,886,439,415.63 | 100.000 |
* Denotes trust-wide proposals and voting results. | ||
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 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.
Annual 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
Annual Report
Investment Adviser
Fidelity Management & Research
Company
Boston, MA
Investment Sub-Advisers
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Far East) Inc.
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
Fidelity International
Investment Advisors
Fidelity International
Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Shareholder
Servicing Agent
Fidelity Service Company, Inc.
Boston, MA
Custodian
JP Morgan Chase Bank
New York, NY
Fidelity's Taxable Bond Funds
Capital & Income
Floating Rate High Income
Ginnie Mae
Government Income
High Income
Inflation-Protected Bond
Intermediate Bond
Intermediate Government Income
Investment Grade Bond
Mortgage Securities
New Markets Income
Short-Term Bond
Spartan® Government Income
Spartan Investment Grade Bond
Strategic Income
Total Bond
Ultra-Short Bond
U.S. Bond Index
Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
SIG-UANN-1104
1.792132.101
Fidelity®
Asset Manager: Growth®
Annual Report
September 30, 2004
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
(Recycle graphic) This report is printed on recycled paper using soy-based inks.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
Commencing with the fiscal quarter ending December 31, 2004, the 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. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.
With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:
First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.
Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.
Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.
For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended September 30, 2004 | Past 1 | Past 5 | Past 10 |
Fidelity® Asset Manager: Growth ® | 6.99% | 0.69% | 7.75% |
$10,000 Over 10 years
Let's say hypothetically that $10,000 was invested in Fidelity® Asset Manager: Growth® on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Standard & Poor's 500 Index did over the same period.
Annual Report
Management's Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Growth®
U.S. equity markets were an up-and-down proposition during the 12 months ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.
The fund gained 6.99% for the year, while the Fidelity Asset Manager: Growth Composite Index and the LipperSM Flexible Portfolio Funds Average rose 10.68% and 10.08%, respectively. Relative to the index, weak stock selection overall more than offset favorable asset allocation and solid results within the fixed-income subportfolio. In an environment that favored riskier assets, it paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt. However, overweighting cash during the first half of the period curbed performance in the face of a strong bond market. The fund's equity investments trailed the S&P 500 by more than five percentage points, largely due to some poor picks in health care, namely drug wholesaler Cardinal Health and big drug makers such as Merck. Also, in media, radio broadcaster Clear Channel Communications hurt a lot. Conversely, underweighting weak technology stocks helped, as did overweighting retailers Home Depot and pharmacy chain CVS, and energy holdings such as driller Transocean. In fixed income, we benefited mainly from focusing on corporate bonds that staged nice rallies, and our high-yield and investment-grade holdings easily beat the Lehman Brothers Aggregate Bond Index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 972.40 | $ 4.14 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,020.75 | $ 4.25 |
* Expenses are equal to the Fund's annualized expense ratio of .84%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Annual Report
Investment Changes
Top Ten Stocks as of September 30, 2004 | ||
% of fund's | % of fund's net assets | |
American International Group, Inc. | 4.0 | 4.0 |
Microsoft Corp. | 3.7 | 3.1 |
Home Depot, Inc. | 3.4 | 2.9 |
Pfizer, Inc. | 2.9 | 2.7 |
SBC Communications, Inc. | 2.9 | 2.2 |
Fannie Mae | 2.7 | 2.8 |
Cardinal Health, Inc. | 2.5 | 4.6 |
Clear Channel Communications, Inc. | 2.4 | 3.4 |
Wyeth | 2.4 | 1.9 |
General Electric Co. | 2.3 | 2.2 |
29.2 | ||
Market Sectors as of September 30, 2004 | ||
(stocks only) | % of fund's | % of fund's net assets |
Financials | 18.7 | 18.4 |
Health Care | 11.5 | 14.1 |
Information Technology | 10.1 | 8.5 |
Consumer Discretionary | 8.1 | 9.0 |
Consumer Staples | 5.4 | 6.8 |
Telecommunication Services | 5.3 | 5.2 |
Industrials | 5.2 | 4.5 |
Energy | 3.4 | 4.0 |
Materials | 1.1 | 0.9 |
Utilities | 0.8 | 0.8 |
Asset Allocation (% of fund's net assets) | |||||||
As of September 30, 2004* | As of March 31, 2004** | ||||||
| Stock class and | | Stock class and | ||||
| Bond class 16.4% | | Bond class 17.4% | ||||
| Short-term class 9.7% | | Short-term class 6.5% | ||||
* Foreign investments | 10.2% | ** Foreign investments | 10.8% | ||||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable. The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Annual Report
Investments September 30, 2004
Showing Percentage of Net Assets
Common Stocks - 69.5% | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - 8.1% | |||
Auto Components - 0.0% | |||
Aisin Seiki Co. Ltd. | 50,400 | $ 1,246 | |
Automobiles - 0.2% | |||
Fiat Spa (a)(f) | 317,400 | 2,293 | |
Honda Motor Co. Ltd. | 48,500 | 2,363 | |
Toyota Motor Corp. | 96,500 | 3,685 | |
8,341 | |||
Hotels, Restaurants & Leisure - 0.4% | |||
Enterprise Inns PLC | 115,700 | 1,195 | |
McDonald's Corp. | 315,100 | 8,832 | |
Rank Group PLC | 443,100 | 2,244 | |
12,271 | |||
Household Durables - 0.2% | |||
LG Electronics, Inc. | 39,780 | 2,287 | |
Techtronic Industries Co. Ltd. | 2,241,000 | 4,412 | |
6,699 | |||
Media - 3.3% | |||
Clear Channel Communications, Inc. | 2,810,149 | 87,592 | |
McGraw-Hill Companies, Inc. | 17,000 | 1,355 | |
News Corp. Ltd. sponsored ADR | 417,500 | 13,080 | |
NRJ Group | 137,500 | 2,736 | |
SKY Perfect Communications, Inc. | 92 | 108 | |
Taylor Nelson Sofres PLC | 658,600 | 2,649 | |
Time Warner, Inc. (a) | 472,182 | 7,621 | |
Tv Asahi Corp. | 2,395 | 4,680 | |
119,821 | |||
Multiline Retail - 0.0% | |||
Barneys, Inc. warrants 4/1/08 (a) | 710 | 43 | |
Specialty Retail - 3.7% | |||
Fast Retailing Co. Ltd. | 26,200 | 1,784 | |
Home Depot, Inc. | 3,139,800 | 123,080 | |
Office Depot, Inc. (a) | 60,100 | 903 | |
Ross Stores, Inc. | 14,379 | 337 | |
Staples, Inc. | 124,400 | 3,710 | |
TJX Companies, Inc. | 142,400 | 3,138 | |
132,952 | |||
Textiles Apparel & Luxury Goods - 0.3% | |||
Adidas-Salomon AG | 19,900 | 2,780 | |
Arena Brands Holding Corp. Class B (m) | 5,556 | 58 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - continued | |||
Textiles Apparel & Luxury Goods - continued | |||
Louis Vuitton Moet Hennessy (LVMH) | 35,800 | $ 2,393 | |
The Swatch Group AG (Reg.) | 132,045 | 3,643 | |
8,874 | |||
TOTAL CONSUMER DISCRETIONARY | 290,247 | ||
CONSUMER STAPLES - 5.4% | |||
Beverages - 0.7% | |||
PepsiCo, Inc. | 237,205 | 11,540 | |
Pernod-Ricard | 40,000 | 5,318 | |
The Coca-Cola Co. | 226,550 | 9,073 | |
25,931 | |||
Food & Staples Retailing - 2.9% | |||
CVS Corp. | 1,278,400 | 53,859 | |
Safeway, Inc. (a) | 984,600 | 19,013 | |
Wal-Mart Stores, Inc. | 575,600 | 30,622 | |
103,494 | |||
Food Products - 0.1% | |||
Barry Callebaut AG | 7,141 | 1,348 | |
People's Food Holdings Ltd. | 2,133,000 | 1,469 | |
2,817 | |||
Household Products - 0.2% | |||
Kimberly-Clark Corp. | 36,500 | 2,358 | |
Procter & Gamble Co. | 80,500 | 4,357 | |
6,715 | |||
Personal Products - 0.7% | |||
Alberto-Culver Co. | 542,855 | 23,603 | |
Estee Lauder Companies, Inc. Class A | 39,800 | 1,664 | |
25,267 | |||
Tobacco - 0.8% | |||
Altria Group, Inc. | 657,980 | 30,951 | |
TOTAL CONSUMER STAPLES | 195,175 | ||
ENERGY - 3.4% | |||
Energy Equipment & Services - 1.9% | |||
Diamond Offshore Drilling, Inc. (f) | 553,800 | 18,270 | |
ENSCO International, Inc. | 392,500 | 12,823 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
GlobalSantaFe Corp. | 560,773 | $ 17,188 | |
Nabors Industries Ltd. (a) | 56,600 | 2,680 | |
Transocean, Inc. (a) | 525,600 | 18,806 | |
69,767 | |||
Oil & Gas - 1.5% | |||
BP PLC | 293,000 | 2,809 | |
Canadian Natural Resources Ltd. | 194,800 | 7,797 | |
ChevronTexaco Corp. | 423,800 | 22,733 | |
EnCana Corp. | 163,500 | 7,561 | |
ENI Spa | 145,500 | 3,268 | |
Exxon Mobil Corp. | 72,680 | 3,513 | |
Total SA Series B | 25,900 | 5,292 | |
52,973 | |||
TOTAL ENERGY | 122,740 | ||
FINANCIALS - 18.7% | |||
Capital Markets - 2.8% | |||
Bear Stearns Companies, Inc. | 25,600 | 2,462 | |
Collins Stewart Tullett PLC | 316,700 | 2,296 | |
Greenhill & Co., Inc. | 100 | 2 | |
JAFCO Co. Ltd. | 41,000 | 2,161 | |
Julius Baer Holding AG (Bearer) | 14,364 | 3,951 | |
Lehman Brothers Holdings, Inc. | 80,300 | 6,402 | |
Man Group PLC | 90,500 | 1,950 | |
Merrill Lynch & Co., Inc. | 434,300 | 21,593 | |
Morgan Stanley | 1,091,300 | 53,801 | |
UBS AG (Reg.) | 96,691 | 6,800 | |
101,418 | |||
Commercial Banks - 3.0% | |||
Banca Intesa Spa | 652,000 | 2,479 | |
Bank of America Corp. | 1,497,850 | 64,902 | |
HSBC Holdings PLC (United Kingdom) (Reg.) | 235,200 | 3,754 | |
Societe Generale Series A | 42,500 | 3,766 | |
SouthTrust Corp. | 203,857 | 8,493 | |
Sumitomo Mitsui Financial Group, Inc. | 518 | 2,966 | |
Synovus Financial Corp. | 248,800 | 6,506 | |
UFJ Holdings, Inc. (a) | 892 | 3,916 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Wachovia Corp. | 211,900 | $ 9,949 | |
Wells Fargo & Co. | 43,900 | 2,618 | |
109,349 | |||
Consumer Finance - 0.4% | |||
MBNA Corp. | 472,800 | 11,915 | |
SFCG Co. Ltd. | 5,620 | 1,106 | |
13,021 | |||
Diversified Financial Services - 2.8% | |||
Citigroup, Inc. | 1,521,333 | 67,121 | |
ING Groep NV (Certificaten Van Aandelen) | 111,300 | 2,814 | |
J.P. Morgan Chase & Co. | 771,078 | 30,635 | |
100,570 | |||
Insurance - 6.2% | |||
AFLAC, Inc. | 52,200 | 2,047 | |
AMBAC Financial Group, Inc. | 165,100 | 13,200 | |
American International Group, Inc. | 2,100,900 | 142,836 | |
Hartford Financial Services Group, Inc. | 447,000 | 27,683 | |
MBIA, Inc. | 157,400 | 9,162 | |
MetLife, Inc. | 497,000 | 19,209 | |
PartnerRe Ltd. | 60,000 | 3,281 | |
St. Paul Travelers Companies, Inc. | 141,273 | 4,670 | |
222,088 | |||
Thrifts & Mortgage Finance - 3.5% | |||
Fannie Mae | 1,503,886 | 95,346 | |
Greenpoint Financial Corp. | 80,600 | 3,729 | |
MGIC Investment Corp. | 221,500 | 14,741 | |
New York Community Bancorp, Inc. | 471,833 | 9,691 | |
Sovereign Bancorp, Inc. | 32,100 | 700 | |
124,207 | |||
TOTAL FINANCIALS | 670,653 | ||
HEALTH CARE - 11.5% | |||
Biotechnology - 0.4% | |||
Actelion Ltd. (Reg.) (a) | 69,574 | 7,153 | |
CSL Ltd. | 232,213 | 4,800 | |
QIAGEN NV (a) | 179,700 | 2,058 | |
14,011 | |||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - 0.4% | |||
Baxter International, Inc. | 248,000 | $ 7,976 | |
Medtronic, Inc. | 69,600 | 3,612 | |
Thermo Electron Corp. (a) | 76,000 | 2,054 | |
13,642 | |||
Health Care Providers & Services - 2.6% | |||
Cardinal Health, Inc. | 2,040,820 | 89,327 | |
Henry Schein, Inc. (a) | 46,100 | 2,872 | |
Service Corp. International (SCI) (a) | 169,105 | 1,050 | |
93,249 | |||
Pharmaceuticals - 8.1% | |||
Barr Pharmaceuticals, Inc. (a) | 37,500 | 1,554 | |
Johnson & Johnson | 793,800 | 44,715 | |
Merck & Co., Inc. | 619,080 | 20,430 | |
Novartis AG (Reg.) | 134,823 | 6,292 | |
Novo Nordisk AS Series B | 58,800 | 3,223 | |
Pfizer, Inc. | 3,445,400 | 105,429 | |
Recordati Spa | 66,314 | 1,317 | |
Roche Holding AG (participation certificate) | 79,670 | 8,255 | |
Schering-Plough Corp. | 690,380 | 13,159 | |
Shire Pharmaceuticals Group PLC | 240,900 | 2,301 | |
Wyeth | 2,273,600 | 85,033 | |
291,708 | |||
TOTAL HEALTH CARE | 412,610 | ||
INDUSTRIALS - 5.2% | |||
Aerospace & Defense - 0.6% | |||
Lockheed Martin Corp. | 135,300 | 7,547 | |
Northrop Grumman Corp. | 80,400 | 4,288 | |
United Technologies Corp. | 111,300 | 10,393 | |
22,228 | |||
Air Freight & Logistics - 0.0% | |||
Ryder System, Inc. | 28,700 | 1,350 | |
Building Products - 0.0% | |||
BPB PLC | 200,900 | 1,558 | |
Commercial Services & Supplies - 0.4% | |||
Adecco SA | 30,026 | 1,495 | |
Aramark Corp. Class B | 108,500 | 2,619 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INDUSTRIALS - continued | |||
Commercial Services & Supplies - continued | |||
Capita Group PLC | 264,000 | $ 1,574 | |
ChoicePoint, Inc. (a) | 162,578 | 6,934 | |
12,622 | |||
Electrical Equipment - 0.1% | |||
ABB Ltd. (Switzerland) (Reg.) (a) | 422,600 | 2,586 | |
Furukawa Electric Co. Ltd. (a) | 365,000 | 1,433 | |
4,019 | |||
Industrial Conglomerates - 3.4% | |||
General Electric Co. | 2,489,740 | 83,605 | |
Siemens AG (Reg.) | 10,400 | 766 | |
Tyco International Ltd. | 1,231,600 | 37,761 | |
122,132 | |||
Machinery - 0.5% | |||
FKI PLC | 498,900 | 1,085 | |
Ingersoll-Rand Co. Ltd. Class A | 229,900 | 15,626 | |
16,711 | |||
Road & Rail - 0.2% | |||
CSX Corp. | 78,000 | 2,590 | |
Norfolk Southern Corp. | 43,700 | 1,300 | |
Union Pacific Corp. | 41,400 | 2,426 | |
6,316 | |||
TOTAL INDUSTRIALS | 186,936 | ||
INFORMATION TECHNOLOGY - 10.1% | |||
Communications Equipment - 1.8% | |||
Alcatel SA (RFD) (a) | 153,300 | 1,798 | |
Cisco Systems, Inc. (a) | 2,101,400 | 38,035 | |
Comverse Technology, Inc. (a) | 360,700 | 6,792 | |
Motorola, Inc. | 969,000 | 17,481 | |
64,106 | |||
Computers & Peripherals - 1.5% | |||
Dell, Inc. (a) | 936,400 | 33,336 | |
Diebold, Inc. | 57,600 | 2,690 | |
Hewlett-Packard Co. | 814,400 | 15,270 | |
Sun Microsystems, Inc. (a) | 450,600 | 1,820 | |
53,116 | |||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
Electronic Equipment & Instruments - 0.7% | |||
Flextronics International Ltd. (a) | 382,200 | $ 5,064 | |
Hon Hai Precision Industries Co. Ltd. | 547,000 | 1,884 | |
Hoya Corp. | 18,600 | 1,953 | |
Jabil Circuit, Inc. (a) | 185,100 | 4,257 | |
Sanmina-SCI Corp. (a) | 404,700 | 2,853 | |
Solectron Corp. (a) | 1,388,600 | 6,874 | |
Yageo Corp. (a) | 3,122,000 | 1,172 | |
24,057 | |||
Internet Software & Services - 0.0% | |||
Softbank Corp. | 42,000 | 1,951 | |
IT Services - 0.7% | |||
Affiliated Computer Services, Inc. Class A (a) | 178,800 | 9,954 | |
First Data Corp. | 335,400 | 14,590 | |
24,544 | |||
Semiconductors & Semiconductor Equipment - 1.3% | |||
Analog Devices, Inc. | 62,100 | 2,408 | |
ASM International NV (Netherlands) (a)(f) | 132,400 | 1,772 | |
ASML Holding NV (a) | 182,500 | 2,349 | |
ASML Holding NV (NY Shares) (a) | 345,500 | 4,447 | |
Intel Corp. | 1,084,440 | 21,754 | |
KLA-Tencor Corp. (a) | 24,000 | 996 | |
Lam Research Corp. (a) | 120,175 | 2,629 | |
Linear Technology Corp. | 34,800 | 1,261 | |
Novellus Systems, Inc. (a) | 26,200 | 697 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 480,204 | 3,429 | |
Tokyo Electron Ltd. | 54,700 | 2,670 | |
United Microelectronics Corp. sponsored ADR (a)(f) | 901,885 | 3,048 | |
Xilinx, Inc. | 23,700 | 640 | |
48,100 | |||
Software - 4.1% | |||
BEA Systems, Inc. (a) | 676,800 | 4,677 | |
Dassault Systemes SA | 61,900 | 2,896 | |
Microsoft Corp. | 4,748,308 | 131,291 | |
Nintendo Co. Ltd. | 16,700 | 2,046 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
Temenos Group AG (a) | 54,297 | $ 414 | |
VERITAS Software Corp. (a) | 342,100 | 6,089 | |
147,413 | |||
TOTAL INFORMATION TECHNOLOGY | 363,287 | ||
MATERIALS - 1.0% | |||
Chemicals - 0.3% | |||
Dow Chemical Co. | 193,500 | 8,742 | |
Construction Materials - 0.1% | |||
HeidelbergCement AG | 56,082 | 2,612 | |
Metals & Mining - 0.3% | |||
Alcan, Inc. | 165,300 | 7,926 | |
BHP Billiton PLC | 197,300 | 2,079 | |
Rio Tinto PLC (Reg.) | 74,300 | 2,018 | |
12,023 | |||
Paper & Forest Products - 0.3% | |||
Aracruz Celulose SA sponsored ADR | 190,200 | 6,299 | |
Bowater, Inc. | 46,300 | 1,768 | |
International Paper Co. | 34,900 | 1,410 | |
Votorantim Celulose e Papel SA sponsored ADR | 73,700 | 2,546 | |
12,023 | |||
TOTAL MATERIALS | 35,400 | ||
TELECOMMUNICATION SERVICES - 5.3% | |||
Diversified Telecommunication Services - 4.7% | |||
BellSouth Corp. | 706,700 | 19,166 | |
Deutsche Telekom AG (Reg.) (a) | 284,700 | 5,313 | |
Qwest Communications International, Inc. (a) | 3,919,000 | 13,050 | |
SBC Communications, Inc. | 3,942,700 | 102,313 | |
Telefonica SA | 169,300 | 2,539 | |
Verizon Communications, Inc. | 643,700 | 25,349 | |
167,730 | |||
Wireless Telecommunication Services - 0.6% | |||
KDDI Corp. | 508 | 2,470 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - continued | |||
Nextel Communications, Inc. Class A (a) | 414,300 | $ 9,877 | |
Vodafone Group PLC | 3,780,800 | 9,116 | |
21,463 | |||
TOTAL TELECOMMUNICATION SERVICES | 189,193 | ||
UTILITIES - 0.8% | |||
Electric Utilities - 0.7% | |||
Entergy Corp. | 88,200 | 5,346 | |
FirstEnergy Corp. | 278,000 | 11,420 | |
PG&E Corp. (a) | 276,900 | 8,418 | |
25,184 | |||
Gas Utilities - 0.0% | |||
NiSource, Inc. | 62,300 | 1,309 | |
Multi-Utilities & Unregulated Power - 0.1% | |||
Public Service Enterprise Group, Inc. | 32,300 | 1,376 | |
TOTAL UTILITIES | 27,869 | ||
TOTAL COMMON STOCKS (Cost $2,580,876) | 2,494,110 | ||
Preferred Stocks - 0.1% | |||
Convertible Preferred Stocks - 0.1% | |||
MATERIALS - 0.1% | |||
Paper & Forest Products - 0.1% | |||
International Paper Capital Trust 2.625% | 56,000 | 2,807 | |
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Granite Broadcasting Corp. 12.75% pay-in-kind (a) | 1,120 | 510 | |
TOTAL PREFERRED STOCKS (Cost $3,582) | 3,317 | ||
Corporate Bonds - 10.9% | |||
Principal | Value (Note 1) | ||
Convertible Bonds - 0.4% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Specialty Retail - 0.1% | |||
Gap, Inc. 5.75% 3/15/09 (g) | $ 1,930 | $ 2,364 | |
FINANCIALS - 0.3% | |||
Diversified Financial Services - 0.3% | |||
Tyco International Group SA yankee 3.125% 1/15/23 | 7,880 | 11,780 | |
INFORMATION TECHNOLOGY - 0.0% | |||
Communications Equipment - 0.0% | |||
CIENA Corp. 3.75% 2/1/08 | 1,130 | 956 | |
TOTAL CONVERTIBLE BONDS | 15,100 | ||
Nonconvertible Bonds - 10.5% | |||
CONSUMER DISCRETIONARY - 2.2% | |||
Auto Components - 0.1% | |||
DaimlerChrysler NA Holding Corp.: | |||
4.75% 1/15/08 | 945 | 973 | |
7.2% 9/1/09 | 250 | 281 | |
7.75% 1/18/11 | 135 | 157 | |
Delco Remy International, Inc. 9.375% 4/15/12 | 595 | 586 | |
Stoneridge, Inc. 11.5% 5/1/12 | 690 | 783 | |
Tenneco Automotive, Inc.: | |||
10.25% 7/15/13 | 505 | 576 | |
11.625% 10/15/09 | 825 | 870 | |
Visteon Corp.: | |||
7% 3/10/14 | 590 | 561 | |
8.25% 8/1/10 | 660 | 696 | |
5,483 | |||
Automobiles - 0.0% | |||
Ford Motor Co. 7.45% 7/16/31 | 825 | 809 | |
General Motors Corp. 8.25% 7/15/23 | 965 | 1,015 | |
1,824 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
Chumash Casino & Resort Enterprise 9% 7/15/10 (g)(n) | 940 | 1,043 | |
Friendly Ice Cream Corp. 8.375% 6/15/12 | 1,105 | 1,055 | |
Host Marriott LP 7.125% 11/1/13 | 1,745 | 1,828 | |
Mandalay Resort Group: | |||
9.375% 2/15/10 | 170 | 194 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
CONSUMER DISCRETIONARY - continued | |||
Hotels, Restaurants & Leisure - continued | |||
Mandalay Resort Group: - continued | |||
10.25% 8/1/07 | $ 670 | $ 759 | |
MGM MIRAGE: | |||
6% 10/1/09 (g) | 1,360 | 1,374 | |
6.75% 9/1/12 (g) | 1,000 | 1,034 | |
6.875% 2/6/08 | 190 | 207 | |
Mohegan Tribal Gaming Authority 6.375% 7/15/09 | 1,095 | 1,136 | |
MTR Gaming Group, Inc. 9.75% 4/1/10 | 720 | 785 | |
NCL Corp. Ltd. 10.625% 7/15/14 (g) | 1,215 | 1,273 | |
Park Place Entertainment Corp. 7.875% 3/15/10 | 2,420 | 2,723 | |
Royal Caribbean Cruises Ltd. 6.875% 12/1/13 | 1,970 | 2,088 | |
Seneca Gaming Corp. 7.25% 5/1/12 (g) | 790 | 814 | |
Speedway Motorsports, Inc.: | |||
6.75% 6/1/13 | 600 | 626 | |
6.75% 6/1/13 (g) | 160 | 167 | |
Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11 | 360 | 395 | |
Town Sports International Holdings, Inc. 0% 2/1/14 (e) | 700 | 354 | |
Town Sports International, Inc. 9.625% 4/15/11 | 1,210 | 1,231 | |
Venetian Casino Resort LLC/Las Vegas Sands, Inc. 11% 6/15/10 | 970 | 1,113 | |
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 1,350 | 1,428 | |
21,627 | |||
Household Durables - 0.4% | |||
Beazer Homes USA, Inc.: | |||
6.5% 11/15/13 | 975 | 995 | |
8.375% 4/15/12 | 405 | 448 | |
K. Hovnanian Enterprises, Inc. 8.875% 4/1/12 | 1,530 | 1,714 | |
KB Home 7.75% 2/1/10 | 1,775 | 1,926 | |
Meritage Homes Corp. 7% 5/1/14 | 830 | 855 | |
Standard Pacific Corp.: | |||
5.125% 4/1/09 | 740 | 736 | |
6.875% 5/15/11 | 1,035 | 1,087 | |
Technical Olympic USA, Inc.: | |||
7.5% 3/15/11 | 750 | 769 | |
10.375% 7/1/12 | 205 | 231 | |
WCI Communities, Inc. 7.875% 10/1/13 | 1,060 | 1,121 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
CONSUMER DISCRETIONARY - continued | |||
Household Durables - continued | |||
William Lyon Homes, Inc.: | |||
7.5% 2/15/14 | $ 890 | $ 908 | |
10.75% 4/1/13 | 1,640 | 1,886 | |
12,676 | |||
Media - 0.7% | |||
AMC Entertainment, Inc.: | |||
8% 3/1/14 (g) | 860 | 808 | |
9.5% 2/1/11 | 882 | 902 | |
AOL Time Warner, Inc. 7.625% 4/15/31 | 535 | 616 | |
Cablevision Systems Corp.: | |||
5.66% 4/1/09 (g)(j) | 2,650 | 2,756 | |
8% 4/15/12 (g) | 1,340 | 1,394 | |
Cinemark, Inc. 0% 3/15/14 (e) | 1,205 | 828 | |
Continental Cablevision, Inc. 9% 9/1/08 | 900 | 1,055 | |
Corus Entertainment, Inc. 8.75% 3/1/12 | 980 | 1,080 | |
Cox Communications, Inc. 7.125% 10/1/12 | 200 | 217 | |
CSC Holdings, Inc. 7.25% 7/15/08 | 480 | 500 | |
EchoStar DBS Corp.: | |||
5.75% 10/1/08 | 1,555 | 1,559 | |
6.625% 10/1/14 (g)(h) | 940 | 932 | |
Granite Broadcasting Corp. 9.75% 12/1/10 | 450 | 412 | |
Gray Television, Inc. 9.25% 12/15/11 | 1,000 | 1,123 | |
Houghton Mifflin Co. 9.875% 2/1/13 | 640 | 672 | |
Innova S. de R.L. 9.375% 9/19/13 | 1,060 | 1,158 | |
Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 230 | 252 | |
LBI Media, Inc. 10.125% 7/15/12 | 1,205 | 1,347 | |
Liberty Media Corp. 8.25% 2/1/30 | 400 | 444 | |
PanAmSat Corp. 9% 8/15/14 (g) | 2,515 | 2,622 | |
PEI Holdings, Inc. 11% 3/15/10 | 667 | 772 | |
Sinclair Broadcast Group, Inc. 8% 3/15/12 | 1,525 | 1,582 | |
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 1,985 | 2,045 | |
25,076 | |||
Multiline Retail - 0.0% | |||
Barneys, Inc. 9% 4/1/08 | 710 | 740 | |
Specialty Retail - 0.3% | |||
Asbury Automotive Group, Inc. 9% 6/15/12 | 1,320 | 1,383 | |
Blockbuster, Inc. 9% 9/1/12 (g) | 325 | 336 | |
NBC Acquisition Corp. 0% 3/15/13 (e) | 1,730 | 1,211 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - continued | |||
Nebraska Book Co., Inc. 8.625% 3/15/12 | $ 1,200 | $ 1,194 | |
Sonic Automotive, Inc. 8.625% 8/15/13 | 1,225 | 1,292 | |
United Rentals North America, Inc.: | |||
6.5% 2/15/12 | 785 | 754 | |
7% 2/15/14 | 150 | 134 | |
7.75% 11/15/13 | 3,220 | 3,011 | |
9,315 | |||
Textiles Apparel & Luxury Goods - 0.1% | |||
Levi Strauss & Co. 12.25% 12/15/12 | 1,555 | 1,648 | |
Samsonite Corp. 8.875% 6/1/11 (g) | 760 | 794 | |
2,442 | |||
TOTAL CONSUMER DISCRETIONARY | 79,183 | ||
CONSUMER STAPLES - 0.3% | |||
Food & Staples Retailing - 0.1% | |||
Jean Coutu Group, Inc.: | |||
7.625% 8/1/12 (g) | 300 | 305 | |
8.5% 8/1/14 (g) | 650 | 644 | |
Rite Aid Corp.: | |||
6% 12/15/05 (g) | 1,475 | 1,486 | |
6.875% 8/15/13 | 150 | 131 | |
8.125% 5/1/10 | 215 | 225 | |
9.25% 6/1/13 | 40 | 41 | |
9.5% 2/15/11 | 710 | 777 | |
Stater Brothers Holdings, Inc.: | |||
5.38% 6/15/10 (j) | 890 | 903 | |
8.125% 6/15/12 | 590 | 617 | |
5,129 | |||
Food Products - 0.2% | |||
ConAgra Foods, Inc. 6.75% 9/15/11 | 200 | 225 | |
Del Monte Corp.: | 315 | 351 | |
9.25% 5/15/11 | 2,115 | 2,337 | |
Dole Food Co., Inc. 7.25% 6/15/10 | 1,185 | 1,206 | |
Smithfield Foods, Inc.: | |||
7.625% 2/15/08 | 410 | 438 | |
7.75% 5/15/13 | 355 | 383 | |
8% 10/15/09 | 165 | 181 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
CONSUMER STAPLES - continued | |||
Food Products - continued | |||
Swift & Co. 10.125% 10/1/09 | $ 750 | $ 829 | |
United Agriculture Products, Inc. 8.25% 12/15/11 (g) | 610 | 656 | |
6,606 | |||
Tobacco - 0.0% | |||
Philip Morris Companies, Inc. 7.75% 1/15/27 | 400 | 423 | |
TOTAL CONSUMER STAPLES | 12,158 | ||
ENERGY - 0.8% | |||
Energy Equipment & Services - 0.1% | |||
Hanover Compressor Co.: | |||
0% 3/31/07 | 1,990 | 1,672 | |
8.625% 12/15/10 | 340 | 369 | |
9% 6/1/14 | 690 | 757 | |
Parker Drilling Co.: | |||
6.54% 9/1/10 (g)(j) | 980 | 982 | |
9.625% 10/1/13 | 340 | 376 | |
Pride International, Inc. 7.375% 7/15/14 (g) | 95 | 105 | |
SESI LLC 8.875% 5/15/11 | 930 | 1,007 | |
5,268 | |||
Oil & Gas - 0.7% | |||
Amerada Hess Corp.: | |||
6.65% 8/15/11 | 55 | 61 | |
7.125% 3/15/33 | 135 | 145 | |
7.375% 10/1/09 | 195 | 219 | |
Belden & Blake Corp. 8.75% 7/15/12 (g) | 320 | 339 | |
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g) | 370 | 375 | |
Chesapeake Energy Corp. 9% 8/15/12 | 310 | 355 | |
El Paso Production Holding Co. 7.75% 6/1/13 | 560 | 554 | |
Empresa Nacional de Petroleo 6.75% 11/15/12 (g) | 325 | 362 | |
Enterprise Products Operating LP: | |||
4% 10/15/07 (g)(h) | 270 | 271 | |
4.625% 10/15/09 (g)(h) | 540 | 544 | |
5.6% 10/15/14 (g)(h) | 540 | 544 | |
General Maritime Corp. 10% 3/15/13 | 2,635 | 2,991 | |
Kerr-McGee Corp. 7.875% 9/15/31 | 525 | 621 | |
Newfield Exploration Co. 6.625% 9/1/14 (g) | 1,010 | 1,050 | |
Overseas Shipholding Group, Inc. 8.25% 3/15/13 | 2,220 | 2,453 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
ENERGY - continued | |||
Oil & Gas - continued | |||
Range Resources Corp. 7.375% 7/15/13 | $ 1,085 | $ 1,145 | |
Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (g) | 575 | 677 | |
Ship Finance International Ltd. 8.5% 12/15/13 | 3,900 | 3,900 | |
Teekay Shipping Corp. 8.875% 7/15/11 | 2,660 | 3,032 | |
The Coastal Corp.: | |||
6.375% 2/1/09 | 675 | 643 | |
6.5% 6/1/08 | 385 | 373 | |
7.75% 6/15/10 | 1,545 | 1,545 | |
7.75% 10/15/35 | 155 | 133 | |
9.625% 5/15/12 | 405 | 424 | |
Williams Companies, Inc.: | |||
7.125% 9/1/11 | 740 | 812 | |
7.5% 1/15/31 | 370 | 372 | |
23,940 | |||
TOTAL ENERGY | 29,208 | ||
FINANCIALS - 1.8% | |||
Capital Markets - 0.1% | |||
Bank of New York Co., Inc.: | |||
3.4% 3/15/13 (j) | 295 | 289 | |
4.25% 9/4/12 (j) | 290 | 293 | |
BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (g) | 2,275 | 2,457 | |
Goldman Sachs Group, Inc. 5.25% 10/15/13 | 200 | 201 | |
Morgan Stanley 4.75% 4/1/14 | 1,400 | 1,355 | |
4,595 | |||
Commercial Banks - 0.1% | |||
Bank of America Corp.: | |||
7.4% 1/15/11 | 1,526 | 1,778 | |
7.8% 2/15/10 | 1,424 | 1,673 | |
Export-Import Bank of Korea: | |||
4.125% 2/10/09 (g) | 100 | 100 | |
5.25% 2/10/14 (g) | 400 | 405 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Korea Development Bank: | |||
3.875% 3/2/09 | $ 700 | $ 693 | |
4.75% 7/20/09 | 255 | 261 | |
4,910 | |||
Consumer Finance - 0.2% | |||
Capital One Bank: | |||
4.875% 5/15/08 | 350 | 363 | |
6.5% 6/13/13 | 325 | 355 | |
Ford Motor Credit Co. 7.875% 6/15/10 | 500 | 558 | |
General Motors Acceptance Corp. 7.75% 1/19/10 | 1,570 | 1,725 | |
Household Finance Corp.: | |||
5.875% 2/1/09 | 55 | 59 | |
6.375% 10/15/11 | 600 | 661 | |
6.375% 11/27/12 | 310 | 343 | |
6.75% 5/15/11 | 100 | 113 | |
Household International, Inc. 8.875% 2/15/08 | 700 | 755 | |
MBNA Corp. 6.25% 1/17/07 | 315 | 334 | |
5,266 | |||
Diversified Financial Services - 0.9% | |||
Ahold Finance USA, Inc.: | |||
6.25% 5/1/09 | 1,110 | 1,160 | |
8.25% 7/15/10 | 1,365 | 1,529 | |
Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (g) | 640 | 650 | |
Deutsche Telekom International Finance BV 8.75% 6/15/30 | 900 | 1,163 | |
Financement Quebec 5% 10/25/12 | 440 | 456 | |
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 1,650 | 1,873 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (g) | 1,405 | 1,553 | |
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (g) | 300 | 311 | |
Ispat Inland ULC 9.75% 4/1/14 | 2,010 | 2,211 | |
J.P. Morgan Chase & Co. 6.75% 2/1/11 | 1,300 | 1,463 | |
Jostens Holding Corp. 0% 12/1/13 (e) | 815 | 558 | |
Jostens IH Corp. 7.625% 10/1/12 (g)(h) | 390 | 392 | |
Leucadia National Corp. 7% 8/15/13 | 890 | 886 | |
Midland Funding Corp. II 11.75% 7/23/05 | 465 | 496 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g) | $ 1,050 | $ 1,083 | |
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 930 | 996 | |
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 160 | 175 | |
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 480 | 492 | |
NiSource Finance Corp. 7.875% 11/15/10 | 85 | 100 | |
Petronas Capital Ltd.: | |||
7% 5/22/12 (g) | 300 | 342 | |
7.875% 5/22/22 (g) | 600 | 719 | |
Prime Property Funding II 6.25% 5/15/07 (g) | 370 | 396 | |
Qwest Capital Funding, Inc.: | |||
7% 8/3/09 | 1,505 | 1,385 | |
7.25% 2/15/11 | 1,235 | 1,099 | |
7.75% 8/15/06 | 1,465 | 1,470 | |
Rabobank Capital Funding Trust II 5.26% 12/31/49 (g)(j) | 725 | 731 | |
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 825 | 837 | |
Sprint Capital Corp. 8.375% 3/15/12 | 175 | 212 | |
Stone Container Finance Co. 7.375% 7/15/14 (g) | 460 | 483 | |
Telecom Italia Capital: | |||
4% 11/15/08 (g) | 245 | 246 | |
5.25% 11/15/13 (g) | 170 | 173 | |
TRW Automotive Acquisition Corp. 9.375% 2/15/13 | 170 | 193 | |
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 2,000 | 1,845 | |
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 975 | 1,136 | |
Verizon Global Funding Corp. 7.25% 12/1/10 | 875 | 1,009 | |
Western Financial Bank 9.625% 5/15/12 | 2,480 | 2,802 | |
32,625 | |||
Insurance - 0.2% | |||
Crum & Forster Holdings Corp. 10.375% 6/15/13 | 1,630 | 1,720 | |
Oil Insurance Ltd. 5.15% 8/15/33 (g)(j) | 275 | 280 | |
Principal Life Global Funding I 5.125% 6/28/07 (g) | 800 | 837 | |
Provident Companies, Inc. 7% 7/15/18 | 125 | 122 | |
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(j) | 235 | 231 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
FINANCIALS - continued | |||
Insurance - continued | |||
UnumProvident Corp.: | |||
6.75% 12/15/28 | $ 315 | $ 287 | |
7.375% 6/15/32 | 315 | 305 | |
7.625% 3/1/11 | 1,130 | 1,206 | |
4,988 | |||
Real Estate - 0.3% | |||
American Real Estate Partners/American Real Estate Finance Corp. 8.125% 6/1/12 (g) | 1,775 | 1,868 | |
CarrAmerica Realty Corp. 5.25% 11/30/07 | 275 | 288 | |
CenterPoint Properties Trust: | |||
4.75% 8/1/10 | 250 | 253 | |
5.25% 7/15/11 | 350 | 357 | |
EOP Operating LP: | |||
6.763% 6/15/07 | 700 | 754 | |
7.75% 11/15/07 | 1,250 | 1,396 | |
Gables Realty LP 5.75% 7/15/07 | 200 | 211 | |
La Quinta Properties, Inc. 7% 8/15/12 (g) | 1,010 | 1,068 | |
Mack-Cali Realty LP 7.25% 3/15/09 | 250 | 280 | |
Omega Healthcare Investors, Inc. 7% 4/1/14 (g) | 980 | 995 | |
Senior Housing Properties Trust: | |||
7.875% 4/15/15 | 780 | 846 | |
8.625% 1/15/12 | 1,400 | 1,558 | |
Simon Property Group LP 4.875% 8/15/10 (g) | 525 | 532 | |
10,406 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Countrywide Home Loans, Inc. 4% 3/22/11 | 200 | 194 | |
Independence Community Bank Corp. 3.75% 4/1/14 (j) | 200 | 194 | |
Washington Mutual, Inc. 4.625% 4/1/14 | 400 | 382 | |
770 | |||
TOTAL FINANCIALS | 63,560 | ||
HEALTH CARE - 0.4% | |||
Health Care Equipment & Supplies - 0.1% | |||
Fisher Scientific International, Inc.: | |||
6.75% 8/15/14 (g) | 330 | 347 | |
8% 9/1/13 | 1,265 | 1,414 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - continued | |||
Fisher Scientific International, Inc.: - continued | |||
8.125% 5/1/12 | $ 235 | $ 262 | |
PerkinElmer, Inc. 8.875% 1/15/13 | 2,450 | 2,769 | |
4,792 | |||
Health Care Providers & Services - 0.3% | |||
Concentra Operating Corp.: | |||
9.125% 6/1/12 (g) | 215 | 235 | |
9.5% 8/15/10 | 550 | 608 | |
Genesis HealthCare Corp. 8% 10/15/13 | 570 | 618 | |
Mariner Health Care, Inc. 8.25% 12/15/13 (g) | 1,735 | 1,848 | |
PacifiCare Health Systems, Inc. 10.75% 6/1/09 | 983 | 1,128 | |
Psychiatric Solutions, Inc. 10.625% 6/15/13 | 800 | 906 | |
Tenet Healthcare Corp.: | |||
6.375% 12/1/11 | 2,045 | 1,825 | |
6.5% 6/1/12 | 260 | 231 | |
7.375% 2/1/13 | 1,500 | 1,395 | |
8,794 | |||
Pharmaceuticals - 0.0% | |||
Biovail Corp. yankee 7.875% 4/1/10 | 1,455 | 1,484 | |
TOTAL HEALTH CARE | 15,070 | ||
INDUSTRIALS - 1.0% | |||
Aerospace & Defense - 0.1% | |||
Bombardier, Inc.: | |||
6.3% 5/1/14 (g) | 1,185 | 1,023 | |
7.45% 5/1/34 (g) | 460 | 387 | |
Orbital Sciences Corp. 9% 7/15/11 | 745 | 827 | |
Primus International, Inc. 10.5% 4/15/09 (g) | 780 | 788 | |
3,025 | |||
Airlines - 0.3% | |||
American Airlines, Inc. pass thru trust certificates: | |||
6.817% 5/23/11 | 2,085 | 1,824 | |
6.977% 11/23/22 | 142 | 123 | |
7.324% 4/15/11 | 375 | 293 | |
7.377% 5/23/19 | 1,640 | 935 | |
7.379% 5/23/16 | 1,109 | 632 | |
7.8% 4/1/08 | 995 | 831 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
INDUSTRIALS - continued | |||
Airlines - continued | |||
American Airlines, Inc. pass thru trust certificates: - continued | |||
8.608% 10/1/12 | $ 260 | $ 220 | |
AMR Corp. 9% 8/1/12 | 1,460 | 905 | |
Continental Airlines, Inc.: | |||
7.875% 7/2/18 | 1,329 | 1,243 | |
8% 12/15/05 | 5 | 5 | |
Continental Airlines, Inc. pass thru trust certificates: | |||
6.748% 9/15/18 | 101 | 77 | |
6.795% 2/2/20 | 326 | 261 | |
6.9% 7/2/18 | 679 | 523 | |
6.954% 2/2/11 | 152 | 113 | |
7.461% 4/1/13 | 261 | 201 | |
7.73% 9/15/12 | 253 | 182 | |
7.82% 4/15/15 | 324 | 243 | |
8.307% 10/2/19 | 1,408 | 1,126 | |
8.321% 11/1/06 | 550 | 512 | |
Delta Air Lines, Inc.: | |||
7.9% 12/15/09 | 655 | 190 | |
10% 8/15/08 | 270 | 86 | |
Delta Air Lines, Inc. pass thru trust certificates: | |||
7.57% 11/18/10 | 605 | 543 | |
7.779% 1/2/12 | 451 | 158 | |
Northwest Airlines, Inc. pass thru trust certificates: | |||
7.068% 7/2/17 | 405 | 324 | |
7.67% 1/2/15 | 1,178 | 942 | |
12,492 | |||
Building Products - 0.1% | |||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 985 | 1,088 | |
Nortek, Inc. 8.5% 9/1/14 (g) | 1,140 | 1,191 | |
2,279 | |||
Commercial Services & Supplies - 0.1% | |||
Allied Waste North America, Inc.: | |||
5.75% 2/15/11 | 310 | 293 | |
6.375% 4/15/11 | 985 | 965 | |
9.25% 9/1/12 | 420 | 469 | |
Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 2,080 | 2,132 | |
3,859 | |||
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
INDUSTRIALS - continued | |||
Construction & Engineering - 0.0% | |||
Amsted Industries, Inc. 10.25% 10/15/11 (g) | $ 1,700 | $ 1,879 | |
Machinery - 0.2% | |||
Dresser, Inc. 9.375% 4/15/11 | 2,590 | 2,843 | |
Invensys PLC 9.875% 3/15/11 (g) | 3,045 | 3,129 | |
Navistar International Corp. 7.5% 6/15/11 | 360 | 384 | |
SPX Corp.: | |||
6.25% 6/15/11 | 65 | 63 | |
7.5% 1/1/13 | 945 | 960 | |
7,379 | |||
Marine - 0.1% | |||
OMI Corp. 7.625% 12/1/13 | 1,825 | 1,889 | |
Road & Rail - 0.1% | |||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 1,030 | 1,051 | |
TFM SA de CV yankee: | |||
10.25% 6/15/07 | 460 | 473 | |
11.75% 6/15/09 | 1,655 | 1,663 | |
3,187 | |||
TOTAL INDUSTRIALS | 35,989 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
Communications Equipment - 0.0% | |||
Lucent Technologies, Inc.: | |||
5.5% 11/15/08 | 1,005 | 1,000 | |
6.45% 3/15/29 | 385 | 310 | |
1,310 | |||
Computers & Peripherals - 0.0% | |||
NCR Corp. 7.125% 6/15/09 | 765 | 848 | |
Electronic Equipment & Instruments - 0.1% | |||
Celestica, Inc. 7.875% 7/1/11 | 1,730 | 1,804 | |
Flextronics International Ltd. 6.5% 5/15/13 | 2,030 | 2,071 | |
3,875 | |||
IT Services - 0.1% | |||
Electronic Data Systems Corp. 6% 8/1/13 | 630 | 635 | |
Iron Mountain, Inc. 8.625% 4/1/13 | 720 | 785 | |
1,420 | |||
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
INFORMATION TECHNOLOGY - continued | |||
Office Electronics - 0.2% | |||
Xerox Corp.: | |||
6.875% 8/15/11 | $ 2,715 | $ 2,837 | |
7.125% 6/15/10 | 1,780 | 1,887 | |
7.2% 4/1/16 | 315 | 323 | |
7.625% 6/15/13 | 615 | 664 | |
9.75% 1/15/09 | 390 | 454 | |
6,165 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Freescale Semiconductor, Inc.: | |||
4.38% 7/15/09 (g)(j) | 910 | 937 | |
6.875% 7/15/11 (g) | 1,260 | 1,307 | |
7.125% 7/15/14 (g) | 310 | 322 | |
Micron Technology, Inc. 6.5% 9/30/05 (m) | 5,000 | 4,975 | |
7,541 | |||
TOTAL INFORMATION TECHNOLOGY | 21,159 | ||
MATERIALS - 1.9% | |||
Chemicals - 0.7% | |||
Berry Plastics Corp. 10.75% 7/15/12 | 1,285 | 1,452 | |
Borden US Finance Corp./Nova Scotia Finance ULC: | |||
6.43% 7/15/10 (g)(j) | 740 | 757 | |
9% 7/15/14 (g) | 895 | 946 | |
Equistar Chemicals LP/Equistar Funding Corp.: | |||
8.75% 2/15/09 | 625 | 673 | |
10.125% 9/1/08 | 695 | 780 | |
10.625% 5/1/11 | 2,350 | 2,667 | |
HMP Equity Holdings Corp. 0% 5/15/08 | 1,500 | 945 | |
Huntsman ICI Chemicals LLC 10.125% 7/1/09 | 1,505 | 1,580 | |
Huntsman ICI Holdings LLC 0% 12/31/09 | 745 | 395 | |
Huntsman LLC: | |||
8.8% 7/15/11 (g)(j) | 1,500 | 1,583 | |
11.5% 7/15/12 (g) | 750 | 825 | |
Lubrizol Corp.: | |||
4.625% 10/1/09 | 620 | 620 | |
5.5% 10/1/14 | 525 | 521 | |
6.5% 10/1/34 | 150 | 146 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
MATERIALS - continued | |||
Chemicals - continued | |||
Lyondell Chemical Co.: | |||
9.5% 12/15/08 | $ 2,020 | $ 2,194 | |
9.625% 5/1/07 | 1,185 | 1,280 | |
9.875% 5/1/07 | 1,580 | 1,665 | |
10.875% 5/1/09 | 1,875 | 1,985 | |
Millennium America, Inc.: | |||
9.25% 6/15/08 | 1,140 | 1,247 | |
9.25% 6/15/08 (g) | 935 | 1,023 | |
NOVA Chemicals Corp.: | |||
6.5% 1/15/12 | 315 | 327 | |
7.4% 4/1/09 | 315 | 339 | |
Pliant Corp.: | |||
0% 6/15/09 (e) | 580 | 490 | |
11.125% 9/1/09 | 340 | 352 | |
24,792 | |||
Construction Materials - 0.1% | |||
Texas Industries, Inc. 10.25% 6/15/11 | 2,140 | 2,456 | |
Containers & Packaging - 0.2% | |||
Anchor Glass Container Corp. 11% 2/15/13 | 1,250 | 1,413 | |
BWAY Corp. 10% 10/15/10 | 665 | 718 | |
Crown European Holdings SA: | |||
9.5% 3/1/11 | 145 | 162 | |
10.875% 3/1/13 | 1,290 | 1,503 | |
Graphic Packaging International, Inc. 8.5% 8/15/11 | 740 | 821 | |
Owens-Brockway Glass Container, Inc.: | |||
8.25% 5/15/13 | 795 | 847 | |
8.875% 2/15/09 | 910 | 987 | |
Owens-Illinois, Inc.: | |||
7.35% 5/15/08 | 1,270 | 1,311 | |
7.5% 5/15/10 | 1,390 | 1,432 | |
Sealed Air Corp. 5.625% 7/15/13 (g) | 70 | 72 | |
9,266 | |||
Metals & Mining - 0.4% | |||
AK Steel Corp.: | |||
7.75% 6/15/12 | 860 | 841 | |
7.875% 2/15/09 | 645 | 639 | |
Allegheny Technologies, Inc. 8.375% 12/15/11 | 1,335 | 1,422 | |
Century Aluminum Co. 7.5% 8/15/14 (g) | 725 | 761 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Compass Minerals International, Inc. 0% 6/1/13 (e) | $ 2,550 | $ 2,015 | |
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g) | 175 | 193 | |
CSN Islands VII Corp. 10.75% 9/12/08 (g) | 1,395 | 1,547 | |
CSN Islands VIII Corp. 9.75% 12/16/13 (g) | 525 | 526 | |
Freeport-McMoRan Copper & Gold, Inc.: | |||
6.875% 2/1/14 | 365 | 350 | |
10.125% 2/1/10 | 1,160 | 1,311 | |
International Steel Group, Inc. 6.5% 4/15/14 (g) | 1,485 | 1,485 | |
Peabody Energy Corp. 6.875% 3/15/13 | 780 | 837 | |
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (g) | 1,370 | 1,363 | |
13,290 | |||
Paper & Forest Products - 0.5% | |||
Abitibi-Consolidated, Inc.: | |||
5.38% 6/15/11 (j) | 940 | 948 | |
7.75% 6/15/11 | 940 | 972 | |
Boise Cascade Corp. 7.68% 3/29/06 | 705 | 748 | |
Bowater, Inc. 4.88% 3/15/10 (j) | 1,110 | 1,110 | |
Buckeye Technologies, Inc. 8.5% 10/1/13 | 920 | 989 | |
Georgia-Pacific Corp.: | |||
8% 1/15/14 | 1,905 | 2,172 | |
8% 1/15/24 | 310 | 351 | |
8.875% 2/1/10 | 60 | 70 | |
9.5% 12/1/11 | 980 | 1,225 | |
International Paper Co.: | |||
4.25% 1/15/09 | 70 | 70 | |
5.5% 1/15/14 | 180 | 184 | |
Norske Skog Canada Ltd.: | |||
7.375% 3/1/14 | 500 | 520 | |
8.625% 6/15/11 | 1,585 | 1,716 | |
Stone Container Corp. 9.75% 2/1/11 | 2,725 | 3,025 | |
Tembec Industries, Inc.: | |||
7.75% 3/15/12 | 610 | 616 | |
8.5% 2/1/11 | 1,085 | 1,139 | |
yankee 8.625% 6/30/09 | 725 | 747 | |
16,602 | |||
TOTAL MATERIALS | 66,406 | ||
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
TELECOMMUNICATION SERVICES - 0.7% | |||
Diversified Telecommunication Services - 0.5% | |||
Alaska Communications Systems Holdings, Inc. 9.375% 5/15/09 | $ 295 | $ 279 | |
BellSouth Corp. 6.55% 6/15/34 | 300 | 316 | |
British Telecommunications PLC 8.875% 12/15/30 | 425 | 558 | |
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 1,870 | 2,071 | |
Eschelon Operating Co. 8.375% 3/15/10 | 405 | 324 | |
France Telecom SA 8.75% 3/1/11 | 415 | 497 | |
GCI, Inc. 7.25% 2/15/14 | 1,510 | 1,476 | |
KT Corp. 5.875% 6/24/14 (g) | 235 | 246 | |
NTL Cable PLC: | |||
6.61% 10/15/12 (g)(j) | 740 | 759 | |
8.75% 4/15/14 (g) | 1,625 | 1,755 | |
Qwest Communications International, Inc. 7.25% 2/15/11 (g) | 930 | 881 | |
Qwest Corp.: | |||
7.875% 9/1/11 (g) | 325 | 340 | |
9.125% 3/15/12 (g) | 765 | 842 | |
Qwest Services Corp.: | |||
14% 12/15/10 (g)(j) | 975 | 1,143 | |
14.5% 12/15/14 (g)(j) | 577 | 698 | |
SBC Communications, Inc.: | |||
5.875% 2/1/12 | 100 | 107 | |
6.45% 6/15/34 | 600 | 617 | |
Telenet Group Holding NV 0% 6/15/14 (e)(g) | 1,895 | 1,393 | |
TELUS Corp. yankee 8% 6/1/11 | 940 | 1,101 | |
U.S. West Communications: | |||
7.2% 11/10/26 | 210 | 183 | |
7.5% 6/15/23 | 935 | 853 | |
16,439 | |||
Wireless Telecommunication Services - 0.2% | |||
America Movil SA de CV: | |||
4.125% 3/1/09 (g) | 190 | 185 | |
5.5% 3/1/14 (g) | 175 | 169 | |
AT&T Wireless Services, Inc. 7.875% 3/1/11 | 250 | 296 | |
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | 125 | 143 | |
Millicom International Cellular SA 10% 12/1/13 (g) | 2,345 | 2,345 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - continued | |||
Nextel Communications, Inc.: | |||
5.95% 3/15/14 | $ 310 | $ 303 | |
6.875% 10/31/13 | 2,105 | 2,181 | |
Rogers Wireless, Inc. 9.625% 5/1/11 | 2,905 | 3,232 | |
8,854 | |||
TOTAL TELECOMMUNICATION SERVICES | 25,293 | ||
UTILITIES - 0.8% | |||
Electric Utilities - 0.3% | |||
AES Gener SA 7.5% 3/25/14 (g) | 1,570 | 1,578 | |
Duke Capital LLC: | |||
4.37% 3/1/09 | 190 | 192 | |
6.25% 2/15/13 | 500 | 538 | |
6.75% 2/15/32 | 605 | 637 | |
Exelon Generation Co. LLC 5.35% 1/15/14 | 400 | 409 | |
FirstEnergy Corp. 7.375% 11/15/31 | 775 | 870 | |
Illinois Power Co. 7.5% 6/15/09 | 550 | 627 | |
MidAmerican Energy Holdings, Inc.: | |||
4.625% 10/1/07 | 275 | 281 | |
5.875% 10/1/12 | 400 | 422 | |
Monongahela Power Co. 5% 10/1/06 | 265 | 274 | |
Nevada Power Co. 6.5% 4/15/12 (g) | 115 | 118 | |
Progress Energy, Inc. 7.1% 3/1/11 | 585 | 661 | |
Sierra Pacific Power Co. 6.25% 4/15/12 (g) | 470 | 479 | |
TECO Energy, Inc.: | |||
7% 5/1/12 | 825 | 863 | |
7.2% 5/1/11 | 1,355 | 1,440 | |
9,389 | |||
Gas Utilities - 0.1% | |||
Sonat, Inc.: | |||
6.75% 10/1/07 | 780 | 779 | |
7.625% 7/15/11 | 1,905 | 1,860 | |
Tennessee Gas Pipeline Co. 7% 3/15/27 | 315 | 328 | |
2,967 | |||
Multi-Utilities & Unregulated Power - 0.4% | |||
AES Corp.: | |||
7.75% 3/1/14 | 940 | 962 | |
Corporate Bonds - continued | |||
Principal | Value (Note 1) | ||
Nonconvertible Bonds - continued | |||
UTILITIES - continued | |||
Multi-Utilities & Unregulated Power - continued | |||
AES Corp.: - continued | |||
8.375% 8/15/07 | $ 550 | $ 551 | |
8.75% 6/15/08 | 1,399 | 1,511 | |
8.875% 2/15/11 | 1,891 | 2,097 | |
9.375% 9/15/10 | 537 | 605 | |
9.5% 6/1/09 | 300 | 334 | |
CMS Energy Corp.: | |||
7.5% 1/15/09 | 335 | 350 | |
7.75% 8/1/10 | 255 | 270 | |
8.5% 4/15/11 | 400 | 437 | |
8.9% 7/15/08 | 305 | 332 | |
9.875% 10/15/07 | 1,295 | 1,433 | |
Constellation Energy Group, Inc. 6.35% 4/1/07 | 405 | 433 | |
Dominion Resources, Inc.: | |||
6.25% 6/30/12 | 1,145 | 1,244 | |
8.125% 6/15/10 | 100 | 118 | |
NRG Energy, Inc. 8% 12/15/13 (g) | 2,820 | 3,017 | |
Sierra Pacific Resources 8.625% 3/15/14 (g) | 780 | 842 | |
14,536 | |||
TOTAL UTILITIES | 26,892 | ||
TOTAL NONCONVERTIBLE BONDS | 374,918 | ||
TOTAL CORPORATE BONDS (Cost $370,265) | 390,018 | ||
U.S. Government and Government Agency Obligations - 2.1% | |||
U.S. Government Agency Obligations - 1.0% | |||
Fannie Mae: | |||
2.15% 4/13/06 | 3,600 | 3,576 | |
2.375% 12/15/05 | 3,000 | 2,997 | |
2.5% 6/15/06 | 12,100 | 12,058 | |
3% 3/2/07 | 3,500 | 3,501 | |
3.125% 7/15/06 | 4,095 | 4,125 | |
Freddie Mac: | |||
2.7% 3/16/07 | 2,625 | 2,607 | |
U.S. Government and Government Agency Obligations - continued | |||
Principal | Value (Note 1) | ||
U.S. Government Agency Obligations - continued | |||
Freddie Mac: - continued | |||
2.875% 5/15/07 | $ 1,500 | $ 1,494 | |
5.25% 11/5/12 | 3,905 | 3,977 | |
5.875% 3/21/11 | 2,715 | 2,947 | |
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 37,282 | ||
U.S. Treasury Inflation Protected Obligations - 0.2% | |||
U.S. Treasury Inflation-Indexed Bonds 3.375% 4/15/32 | 2,348 | 2,976 | |
U.S. Treasury Inflation-Indexed Notes: | |||
2% 1/15/14 | 3,383 | 3,464 | |
4.25% 1/15/10 | 1,689 | 1,960 | |
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 8,400 | ||
U.S. Treasury Obligations - 0.9% | |||
U.S. Treasury Bills, yield at date of purchase 1.34% to 1.65% 10/14/04 to 12/9/04 (i) | 10,000 | 9,975 | |
U.S. Treasury Bonds: | |||
6.25% 5/15/30 | 2,500 | 2,967 | |
7.875% 2/15/21 | 8,560 | 11,583 | |
U.S. Treasury Notes: | |||
2.5% 5/31/06 | 4,000 | 4,002 | |
6.5% 2/15/10 | 1,852 | 2,125 | |
TOTAL U.S. TREASURY OBLIGATIONS | 30,652 | ||
TOTAL U.S. GOVERNMENT AND (Cost $76,170) | 76,334 | ||
U.S. Government Agency - Mortgage Securities - 2.0% | |||
Fannie Mae - 1.7% | |||
4% 6/1/18 to 6/1/19 | 5,798 | 5,659 | |
4.5% 5/1/19 to 10/1/33 | 12,358 | 12,092 | |
5% 3/1/18 to 7/1/34 | 12,317 | 12,296 | |
5.5% 7/1/16 to 10/1/34 | 21,324 | 21,669 | |
6% 1/1/09 to 1/1/34 | 3,363 | 3,510 | |
6.5% 12/1/10 to 11/1/33 | 3,380 | 3,556 | |
7% 11/1/07 to 6/1/32 | 2,607 | 2,771 | |
U.S. Government Agency - Mortgage Securities - continued | |||
Principal | Value (Note 1) | ||
Fannie Mae - continued | |||
7.5% 5/1/27 to 11/1/31 | $ 1,191 | $ 1,278 | |
8% 6/1/10 | 7 | 7 | |
TOTAL FANNIE MAE | 62,838 | ||
Freddie Mac - 0.0% | |||
5% 11/1/33 | 192 | 191 | |
7.5% 4/1/22 to 4/1/32 | 486 | 522 | |
8% 7/1/25 to 4/1/27 | 124 | 135 | |
TOTAL FREDDIE MAC | 848 | ||
Government National Mortgage Association - 0.3% | |||
6% 6/15/08 to 9/15/10 | 250 | 263 | |
6.5% 9/15/08 to 9/15/34 | 7,522 | 7,958 | |
7% 1/15/28 to 11/15/31 | 970 | 1,036 | |
7.5% 10/15/22 to 8/15/28 | 257 | 279 | |
8% 5/15/25 | 36 | 39 | |
8.5% 10/15/29 to 4/15/30 | 93 | 103 | |
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 9,678 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $71,921) | 73,364 | ||
Asset-Backed Securities - 0.4% | |||
Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33 | 310 | 308 | |
ACE Securities Corp. Series 2004-OP1: | |||
Class M1, 2.36% 4/25/34 (j) | 160 | 160 | |
Class M2, 2.89% 4/25/34 (j) | 230 | 230 | |
AmeriCredit Automobile Receivables Trust: | |||
Series 2003-AM Class A4B, 2.1563% 11/6/09 (j) | 230 | 231 | |
Series 2003-BX Class A4B, 1.92% 1/6/10 (j) | 150 | 151 | |
Ameriquest Mortgage Securities, Inc.: | |||
Series 2002-AR1 Class M2, 2.915% 9/25/32 (j) | 65 | 65 | |
Series 2003-3 Class M1, 2.64% 3/25/33 (j) | 275 | 276 | |
Amortizing Residential Collateral Trust: | |||
Series 2002-BC6 Class A2, 2.19% 8/25/32 (j) | 217 | 217 | |
Series 2002-BC7 Class M1, 2.415% 10/25/32 (j) | 1,550 | 1,562 | |
Asset-Backed Securities - continued | |||
Principal | Value (Note 1) | ||
Argent Securities, Inc. Series 2003-W3 Class M2, 3.64% 9/25/33 (j) | $ 375 | $ 386 | |
Asset Backed Securities Corp. Home Equity Loan Trust | |||
Class A2, 1.98% 4/15/33 (j) | 230 | 230 | |
Class M1, 2.5% 4/15/33 (j) | 325 | 328 | |
Associates Automobile Receivables Trust Series 2000-1 | 305 | 307 | |
Bayview Financial Asset Trust Series 2000-F Class A, 2.14% 9/28/43 (j) | 675 | 677 | |
Capital One Auto Finance Trust Series 2003-A Class A4B, 2.04% 1/15/10 (j) | 440 | 442 | |
Capital One Master Trust Series 2002-3A Class B, 4.55% 2/15/08 | 1,800 | 1,814 | |
Capital One Multi-Asset Execution Trust: | |||
Series 2002-B1 Class B1, 2.44% 7/15/08 (j) | 600 | 602 | |
Series 2003-B1 Class B1, 2.93% 2/17/09 (j) | 520 | 527 | |
Series 2003-B2 Class B2, 3.5% 2/17/09 | 275 | 277 | |
CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (j) | 120 | 124 | |
Countrywide Home Loans, Inc. Series 2002-6 Class AV1, 2.27% 5/25/33 (j) | 427 | 428 | |
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class C, 6.667% 6/28/38 (g) | 315 | 325 | |
Fieldstone Mortgage Investment Corp. Series 2004-2 | 345 | 345 | |
First USA Secured Note Trust Series 2001-3 Class C, 2.86% 11/19/08 (g)(j) | 425 | 428 | |
Home Equity Asset Trust Series 2003-2: | |||
Class A2, 2.22% 8/25/33 (j) | 51 | 51 | |
Class M1, 2.72% 8/25/33 (j) | 130 | 132 | |
Home Equity Asset Trust NIMS Trust Series 2003-2N Class A, 8% 9/27/33 (g) | 29 | 29 | |
Household Private Label Credit Card Master Note Trust I | 325 | 328 | |
Long Beach Mortgage Loan Trust Series 2003-3: | |||
Class M1, 2.59% 7/25/33 (j) | 355 | 358 | |
Class M2, 3.69% 7/25/33 (j) | 180 | 185 | |
MBNA Credit Card Master Note Trust: | |||
Series 2001-B1 Class B1, 2.135% 10/15/08 (j) | 150 | 150 | |
Series 2001-B2 Class B2, 2.12% 1/15/09 (j) | 150 | 151 | |
Series 2002-B2 Class B2, 2.14% 10/15/09 (j) | 150 | 151 | |
Morgan Stanley ABS Capital I, Inc.: | |||
Series 2002-HE3 Class M1, 2.715% 12/27/32 (j) | 70 | 71 | |
Asset-Backed Securities - continued | |||
Principal | Value (Note 1) | ||
Morgan Stanley ABS Capital I, Inc.: - continued | |||
Series 2003-HE1 Class M2, 3.74% 5/25/33 (j) | $ 210 | $ 213 | |
Series 2003-NC6 Class M2, 3.79% 6/27/33 (j) | 585 | 598 | |
Morgan Stanley Dean Witter Capital I Trust: | |||
Series 2001-AM1 Class M2, 3.015% 2/25/32 (j) | 315 | 318 | |
Series 2002-NC3 Class M1, 2.56% 8/25/32 (j) | 55 | 55 | |
New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (j) | 187 | 187 | |
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 221 | 222 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (g) | 186 | 184 | |
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (j) | 55 | 55 | |
TOTAL ASSET-BACKED SECURITIES (Cost $13,770) | 13,878 | ||
Collateralized Mortgage Obligations - 0.1% | |||
Private Sponsor - 0.0% | |||
Adjustable Rate Mortgage Trust floater Series 2004-1 | 335 | 335 | |
CS First Boston Mortgage Securities Corp. Series 2003-TFLA Class F, 2.2233% 4/15/13 (g)(j) | 145 | 146 | |
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 69 | 72 | |
Merrill Lynch Mortgage Investors, Inc.: | |||
floater Series 2003-A Class 2A1, 2.23% 3/25/28 (j) | 544 | 546 | |
Series 2003-E Class XA1, 1% 10/25/28 (j)(l) | 2,295 | 34 | |
Series 2003-G Class XA1, 1% 1/25/29 (l) | 2,035 | 31 | |
Series 2003-H Class XA1, 1% 1/25/29 (g)(l) | 1,798 | 28 | |
Residential Asset Mortgage Products, Inc. sequential pay | 277 | 288 | |
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: | |||
Class B3, 3.0238% 6/10/35 (g)(j) | 118 | 120 | |
Class B4, 3.2238% 6/10/35 (g)(j) | 103 | 105 | |
Class B5, 3.8238% 6/10/35 (g)(j) | 69 | 70 | |
Class B6, 4.3238% 6/10/35 (g)(j) | 44 | 45 | |
Collateralized Mortgage Obligations - continued | |||
Principal | Value (Note 1) | ||
Private Sponsor - continued | |||
Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (g)(l) | $ 7,823 | $ 79 | |
Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 70 | 73 | |
TOTAL PRIVATE SPONSOR | 1,972 | ||
U.S. Government Agency - 0.1% | |||
Fannie Mae planned amortization class: | |||
Series 1999-54 Class PH, 6.5% 11/18/29 | 800 | 849 | |
Series 1999-57 Class PH, 6.5% 12/25/29 | 700 | 738 | |
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2002-64 Class PC, 5.5% 12/25/26 | 270 | 276 | |
Freddie Mac Multi-class participation certificates guaranteed: | |||
planned amortization class Series 2435 Class EL, 6% 9/15/27 | 3 | 3 | |
sequential pay Series 2750 Class ZT, 5% 2/15/34 | 252 | 224 | |
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (j) | 55 | 59 | |
TOTAL U.S. GOVERNMENT AGENCY | 2,149 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,848) | 4,121 | ||
Commercial Mortgage Securities - 0.5% | |||
Asset Securitization Corp.: | |||
sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29 | 168 | 175 | |
Series 1997-D5 Class PS1, 1.7348% 2/14/43 (j)(l) | 3,638 | 212 | |
Banc of America Large Loan, Inc. floater Series 2003-BBA2: | |||
Class A3, 2.08% 11/15/15 (g)(j) | 180 | 180 | |
Class C, 2.23% 11/15/15 (g)(j) | 35 | 35 | |
Class D, 2.31% 11/15/15 (g)(j) | 60 | 60 | |
Class F, 2.66% 11/15/15 (g)(j) | 40 | 40 | |
Class H, 3.16% 11/15/15 (g)(j) | 35 | 35 | |
Class J, 3.71% 11/15/15 (g)(j) | 40 | 41 | |
Class K, 4.36% 11/15/15 (g)(j) | 35 | 35 | |
Commercial Mortgage Securities - continued | |||
Principal | Value (Note 1) | ||
Bayview Commercial Asset Trust floater: | |||
Series 2003-1 Class A, 2.42% 8/25/33 (g)(j) | $ 356 | $ 359 | |
Series 2004-2 Class A, 2.27% 8/25/34 (g)(j) | 317 | 317 | |
Bear Stearns Commercial Mortgage Securities, Inc. | |||
Class C, 4.937% 5/14/16 (g) | 170 | 174 | |
Class D, 4.986% 5/14/16 (g) | 65 | 67 | |
Class E, 5.064% 5/14/16 (g) | 195 | 199 | |
Class F, 5.182% 5/14/16 (g) | 45 | 46 | |
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 1.0056% 8/1/24 (g)(j) | 359 | 319 | |
CBM Funding Corp. sequential pay Series 1996-1: | |||
Class A3PI, 7.08% 11/1/07 | 620 | 657 | |
Class B, 7.48% 2/1/08 | 770 | 851 | |
Chase Commercial Mortgage Securities Corp.: | |||
Series 1999-2: | |||
Class E, 7.734% 1/15/32 | 110 | 125 | |
Class F, 7.734% 1/15/32 | 60 | 67 | |
Series 2001-245 Class A2, 6.4842% 2/12/16 (g)(j) | 135 | 149 | |
COMM floater Series 2002-FL7 Class A2, 1.95% 11/15/14 (g)(j) | 204 | 204 | |
Commercial Mortgage pass thru certificates floater | |||
Class D, 2.4981% 9/15/14 (h)(j) | 25 | 25 | |
Class E, 2.5581% 9/15/14 (h)(j) | 35 | 35 | |
Class F, 2.6581% 9/15/14 (h)(j) | 25 | 25 | |
Class G, 2.8381% 9/15/14 (h)(j) | 60 | 60 | |
Class H, 2.9381% 9/15/14 (h)(j) | 65 | 65 | |
Class J, 3.4581% 9/15/14 (h)(j) | 20 | 20 | |
Class K, 3.8581% 9/15/14 (h)(j) | 35 | 35 | |
Class L, 4.0581% 9/15/14 (h)(j) | 30 | 30 | |
CS First Boston Mortgage Securities Corp.: | |||
Series 1997-C2 Class D, 7.27% 1/17/35 | 1,380 | 1,542 | |
Series 1998-C1 Class D, 7.17% 5/17/40 | 175 | 196 | |
Series 2003-C3 Class ASP, 2.0628% 5/15/38 (g)(j)(l) | 4,444 | 329 | |
Series 2004-C1 Class ASP, 1.2148% 1/15/37 (g)(j)(l) | 2,945 | 126 | |
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | 1,445 | 1,603 | |
First Union National Bank-Chase Manhattan Bank | 675 | 754 | |
Commercial Mortgage Securities - continued | |||
Principal | Value (Note 1) | ||
FMAC Loan Receivables Trust weighted average coupon | $ 361 | $ 0 | |
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay: | |||
Series 2002-26 Class C, 5.996% 2/16/24 (j) | 540 | 581 | |
Series 2003-87 Class C, 5.3178% 8/16/32 (j) | 500 | 522 | |
Ginnie Mae guaranteed REMIC pass thru securities: | |||
sequential pay Series 2003-47 Class C, 4.227% 10/16/27 | 480 | 477 | |
Series 2003-47 Class XA, 0.2398% 6/16/43 (j)(l) | 1,500 | 79 | |
GMAC Commercial Mortgage Securities, Inc. sequential pay Series 1997-C2 Class A3, 6.566% 4/15/29 | 295 | 318 | |
Greenwich Capital Commercial Funding Corp.: | |||
Series 2002-C1 Class SWDB, 5.857% 11/11/19 (g) | 445 | 452 | |
Series 2003-C1 Class XP, 2.3678% 7/5/35 (g)(j)(l) | 2,249 | 193 | |
GS Mortgage Securities Corp. II: | |||
sequential pay: | |||
Series 1998-GLII Class A2, 6.562% 4/13/31 | 470 | 510 | |
Series 2001-LIBA Class A2, 6.615% 2/14/16 (g) | 220 | 244 | |
Series 1998-GLII Class E, 7.1905% 4/13/31 (j) | 430 | 456 | |
J.P. Morgan Commercial Mortgage Finance Corp. sequential pay Series 1999-C7 Class A2, 6.507% 10/15/35 | 520 | 570 | |
LB Commercial Conduit Mortgage Trust: | |||
Series 1998-C1 Class B, 6.59% 2/18/30 | 440 | 480 | |
Series 1999-C1 Class B, 6.93% 6/15/31 | 95 | 106 | |
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A | 360 | 332 | |
LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (g) | 261 | 263 | |
Morgan Stanley Capital I, Inc. sequential pay Series 1999-WF1 Class A2, 6.21% 11/15/31 | 115 | 124 | |
Morgan Stanley Dean Witter Capital I Trust Series 2003-HQ2 Class X2, 1.626% 3/12/35 (g)(j)(l) | 2,686 | 176 | |
Salomon Brothers Mortgage Securities VII, Inc. sequential pay Series 2000-C3 Class A2, 6.592% 12/18/33 | 360 | 402 | |
Thirteen Affiliates of General Growth Properties, Inc. Series 1: | |||
Class D2, 6.992% 11/15/07 (g) | 1,410 | 1,537 | |
Class E2, 7.224% 11/15/07 (g) | 840 | 914 | |
Trizechahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (g) | 350 | 376 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $17,927) | 18,304 | ||
Foreign Government and Government Agency Obligations - 0.2% | |||
Principal | Value (Note 1) | ||
Chilean Republic 7.125% 1/11/12 | $ 1,900 | $ 2,180 | |
State of Israel 4.625% 6/15/13 | 355 | 341 | |
United Mexican States: | |||
6.75% 9/27/34 | 610 | 600 | |
7.5% 4/8/33 | 1,250 | 1,314 | |
8% 9/24/22 | 700 | 789 | |
TOTAL FOREIGN GOVERNMENT AND (Cost $4,869) | 5,224 | ||
Floating Rate Loans - 0.3% | |||
CONSUMER DISCRETIONARY - 0.2% | |||
Hotels, Restaurants & Leisure - 0.1% | |||
Hilton Head Communications LP Tranche B term loan 6% 3/31/08 (j) | 1,800 | 1,748 | |
Wyndham International, Inc. term loan: | |||
6.5% 6/30/06 (j) | 2,493 | 2,474 | |
7.5% 4/1/06 (j) | 508 | 506 | |
4,728 | |||
Media - 0.1% | |||
Century Cable Holdings LLC Tranche B term loan 6.75% 12/31/09 (j) | 900 | 887 | |
NTL Investment Holdings Ltd. Tranche B term loan 4.6267% 6/13/12 (j) | 400 | 404 | |
1,291 | |||
TOTAL CONSUMER DISCRETIONARY | 6,019 | ||
UTILITIES - 0.1% | |||
Electric Utilities - 0.1% | |||
Allegheny Energy Supply Co. LLC Tranche C term loan 5.704% 6/8/11 (j) | 1,493 | 1,511 | |
Astoria Energy LLC term loan: | |||
6.9906% 4/15/12 (j) | 1,710 | 1,736 | |
10.725% 4/15/12 (j) | 830 | 853 | |
4,100 | |||
Floating Rate Loans - continued | |||
Principal | Value (Note 1) | ||
UTILITIES - continued | |||
Multi-Utilities & Unregulated Power - 0.0% | |||
Riverside Energy Center LLC: | |||
term loan 6.02% 6/24/11 (j) | $ 1,676 | $ 1,684 | |
Credit-Linked Deposit 6.02% 6/24/11 (j) | 74 | 75 | |
1,759 | |||
TOTAL UTILITIES | 5,859 | ||
TOTAL FLOATING RATE LOANS (Cost $11,400) | 11,878 | ||
Fixed-Income Funds - 0.2% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (k) | 54,161 | 5,390 | |
Money Market Funds - 14.6% | |||
Fidelity Cash Central Fund, 1.74% (b) | 489,408,341 | 489,408 | |
Fidelity Money Market Central Fund, 1.74% (b) | 8,056,119 | 8,056 | |
Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c) | 25,410,231 | 25,410 | |
TOTAL MONEY MARKET FUNDS (Cost $522,874) | 522,874 | ||
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $3,682,898) | 3,618,812 | ||
NET OTHER ASSETS - (0.9)% | (30,937) | ||
NET ASSETS - 100% | $ 3,587,875 | ||
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
579 S&P 500 Index Contracts | Dec. 2004 | $ 161,382 | $ (1,690) | ||
The face value of futures purchased as a percentage of net assets - 4.5% |
Swap Agreements | |||||
Expiration | Notional | Value | |||
Total Return Swap | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc. | Oct. 2004 | $ 1,000 | $ 3 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc. | April 2005 | 1,000 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Deutsche Bank | May 2005 | 1,000 | 1 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc. | Nov. 2004 | 5,000 | 5 | ||
Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America | Nov. 2004 | 1,380 | 6 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America | Dec. 2004 | 700 | 3 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America | Nov. 2004 | 1,000 | 35 | ||
$ 11,080 | $ 53 | ||||
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - issuer filed for bankruptcy or is in default of interest payments. |
(e) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security or a portion of the security is on loan at period end. |
(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 period end, the value of these securities amounted to $91,928,000 or 2.6% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $9,975,000. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(m) 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 $5,033,000 or 0.1% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition | Acquisition |
Arena Brands Holding Corp. Class B | 6/18/97 | $ 224 |
Micron Technology, Inc. 6.5% 9/30/05 | 7/15/99 - 9/12/02 | $ 4,192 |
(n) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
U.S. Government and | 3.9% |
AAA,AA,A | 1.0% |
BBB | 1.3% |
BB | 3.6% |
B | 4.9% |
CCC,CC,C | 1.2% |
Not Rated | 0.4% |
Equities | 74.1% |
Short-Term Investments and | 9.6% |
100.0% |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. Percentages are adjusted for the effect of futures contracts, if applicable. The percentages are based on the combined long-term debt holdings of the fund and its pro-rata share of the fixed-income central fund. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 89.8% |
Canada | 1.2% |
United Kingdom | 1.2% |
Switzerland | 1.1% |
Others (individually less than 1%) | 6.7% |
100.0% |
Income Tax Information |
At September 30, 2004, the fund had a capital loss carryforward of approximately $525,116,000 of which $287,983,000 and $237,133,000 will expire on September 30, 2010 and 2011, respectively. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | September 30, 2004 | |
Assets | ||
Investment in securities, at value (including securities loaned of $24,699) (cost $3,682,898) - See accompanying schedule | $ 3,618,812 | |
Cash | 531 | |
Foreign currency held at value (cost $12,265) | 12,061 | |
Receivable for investments sold | 18,748 | |
Receivable for fund shares sold | 2,986 | |
Dividends receivable | 2,672 | |
Interest receivable | 9,478 | |
Swap agreements, at value | 53 | |
Prepaid expenses | 2 | |
Other affiliated receivables | 22 | |
Other receivables | 142 | |
Total assets | 3,665,507 | |
Liabilities | ||
Payable for investments purchased | $ 27,662 | |
Delayed delivery | 2,964 | |
Payable for fund shares redeemed | 18,718 | |
Accrued management fee | 1,750 | |
Payable for daily variation on futures contracts | 43 | |
Other affiliated payables | 844 | |
Other payables and accrued expenses | 241 | |
Collateral on securities loaned, at value | 25,410 | |
Total liabilities | 77,632 | |
Net Assets | $ 3,587,875 | |
Net Assets consist of: | ||
Paid in capital | $ 4,140,787 | |
Undistributed net investment income | 50,838 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (537,830) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (65,920) | |
Net Assets, for 254,493 shares outstanding | $ 3,587,875 | |
Net Asset Value, offering price and redemption price per share ($3,587,875 ÷ 254,493 shares) | $ 14.10 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended September 30, 2004 | |
Investment Income | ||
Dividends | $ 42,733 | |
Interest | 53,270 | |
Security lending | 92 | |
Total income | 96,095 | |
Expenses | ||
Management fee | $ 21,315 | |
Transfer agent fees | 7,909 | |
Accounting and security lending fees | 1,108 | |
Non-interested trustees' compensation | 21 | |
Appreciation in deferred trustee compensation account | 9 | |
Custodian fees and expenses | 145 | |
Registration fees | 46 | |
Audit | 84 | |
Legal | 17 | |
Miscellaneous | 205 | |
Total expenses before reductions | 30,859 | |
Expense reductions | (420) | 30,439 |
Net investment income (loss) | 65,656 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 149,873 | |
Foreign currency transactions | (121) | |
Futures contracts | 15,851 | |
Swap agreements | 346 | |
Total net realized gain (loss) | 165,949 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 11,531 | |
Assets and liabilities in foreign currencies | (198) | |
Futures contracts | 2,898 | |
Swap agreements | 58 | |
Total change in net unrealized appreciation (depreciation) | 14,289 | |
Net gain (loss) | 180,238 | |
Net increase (decrease) in net assets resulting from operations | $ 245,894 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ 65,656 | $ 84,792 |
Net realized gain (loss) | 165,949 | (41,216) |
Change in net unrealized appreciation (depreciation) | 14,289 | 629,944 |
Net increase (decrease) in net assets resulting | 245,894 | 673,520 |
Distributions to shareholders from net investment income | (80,434) | (98,119) |
Share transactions | 437,912 | 404,289 |
Reinvestment of distributions | 79,098 | 96,342 |
Cost of shares redeemed | (615,150) | (677,813) |
Net increase (decrease) in net assets resulting from share transactions | (98,140) | (177,182) |
Total increase (decrease) in net assets | 67,320 | 398,219 |
Net Assets | ||
Beginning of period | 3,520,555 | 3,122,336 |
End of period (including undistributed net investment income of $50,838 and undistributed net investment income of $66,010, respectively) | $ 3,587,875 | $ 3,520,555 |
Other Information Shares | ||
Sold | 30,708 | 31,982 |
Issued in reinvestment of distributions | 5,626 | 7,942 |
Redeemed | (43,138) | (54,887) |
Net increase (decrease) | (6,804) | (14,963) |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended September 30, | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | |||||
Net asset value, | $ 13.47 | $ 11.30 | $ 13.48 | $ 20.33 | $ 19.05 |
Income from Investment Operations | |||||
Net investment income (loss) B | .25 | .32 | .37 D | .42 | .48 |
Net realized and unrealized gain (loss) | .69 | 2.21 | (2.13) D | (4.25) | 2.35 |
Total from investment operations | .94 | 2.53 | (1.76) | (3.83) | 2.83 |
Distributions from net investment income | (.31) | (.36) | (.42) | (.46) | (.45) |
Distributions from net realized gain | - | - | - | (2.56) | (1.10) |
Total distributions | (.31) | (.36) | (.42) | (3.02) | (1.55) |
Net asset value, | $ 14.10 | $ 13.47 | $ 11.30 | $ 13.48 | $ 20.33 |
Total Return A | 6.99% | 22.74% | (13.71)% | (20.93)% | 15.50% |
Ratios to Average Net Assets C | |||||
Expenses before expense reductions | .83% | .84% | .84% | .81% | .80% |
Expenses net of voluntary waivers, if any | .83% | .84% | .84% | .81% | .80% |
Expenses net of all reductions | .82% | .83% | .81% | .78% | .77% |
Net investment income (loss) | 1.77% | 2.53% | 2.73% D | 2.62% | 2.46% |
Supplemental Data | |||||
Net assets, end of period | $ 3,588 | $ 3,521 | $ 3,122 | $ 3,916 | $ 5,256 |
Portfolio turnover rate | 67% | 72% | 101% | 143% | 197% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended September 30, 2004
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
Fidelity Asset Manager: Growth (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
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.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
1. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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 the funds in the trust.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, prior period premium and discount on debt securities, market discount, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 225,517 | |
Unrealized depreciation | (303,563) | |
Net unrealized appreciation (depreciation) | (78,046) | |
Undistributed ordinary income | 50,272 | |
Capital loss carryforward | (525,116) | |
Cost for federal income tax purposes | $ 3,696,858 |
The tax character of distributions paid was as follows:
September 30, 2004 | September 30, 2003 | |
Ordinary Income | $ 80,434 | $ 98,119 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
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 the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in 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
Annual Report
2. Operating Policies - continued
Loans and Other Direct Debt Instruments - continued
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 may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.
Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
Swap Agreements - continued
the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."
Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an
adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,829,102 and $2,041,307, respectively.
4. 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 .30% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .58% of the fund's average net assets.
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .21% of average net assets.
Accounting and Security Lending Fees. FSC maintains the fund's accounting 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.
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $5,526 for the period.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $54 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund 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. During the period, there were no borrowings on this line of credit.
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Security Lending - continued
other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.
7. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $387 for the period. In addition, through arrangements with the fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody and transfer agent expenses by $9 and $24, respectively.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Growth:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Growth (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager: Growth as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/DELOITTE & TOUCHE LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
November 12, 2004
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (74)** | |
Year of Election or Appointment: 1981 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc. | |
Abigail P. Johnson (42)** | |
Year of Election or Appointment: 2001 Senior Vice President of Asset Manager: Growth (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds. | |
Laura B. Cronin (50) | |
Year of Election or Appointment: 2003 Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002). | |
Robert L. Reynolds (52) | |
Year of Election or Appointment: 2003 Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). | |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.
Annual Report
Non-Interested Trustees:
Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
J. Michael Cook (62) | |
Year of Election or Appointment: 2001 Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater. | |
Ralph F. Cox (72) | |
Year of Election or Appointment: 1991 Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin. | |
Robert M. Gates (61) | |
Year of Election or Appointment: 1997 Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy. | |
George H. Heilmeier (68) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002). | |
Donald J. Kirk (71) | |
Year of Election or Appointment: 1987 Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations). | |
Marie L. Knowles (57) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (60) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations. | |
Marvin L. Mann (71) | |
Year of Election or Appointment: 1993 Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama. | |
William O. McCoy (70) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998). | |
William S. Stavropoulos (65) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Annual Report
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Dennis J. Dirks (56) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). | |
Peter S. Lynch (61) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston. | |
Cornelia M. Small (60) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
Kenneth L. Wolfe (65) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004). | |
Bart A. Grenier (45) | |
Year of Election or Appointment: 2001 Vice President of Asset Manager: Growth. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000). | |
Charles S. Morrison (43) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Growth. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division. | |
David L. Murphy (56) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Growth. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002) and Vice President of certain Asset Allocation Funds (2003). He serves as Senior Vice President (2000) and Money Market Group Leader (2002) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003) and a Vice President of FMR (2000). Previously, Mr. Murphy served as Bond Group Leader (2000-2002) and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). Mr. Murphy joined Fidelity in 1989 as a portfolio manager in the Bond Group.] | |
Richard C. Habermann (64) | |
Year of Election or Appointment: 1996 Vice President of Asset Manager: Growth. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Senior Vice President of FMR and FMR Co., Inc. (2001). | |
Jeffrey Moore (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Growth. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager. | |
Charles A. Mangum (40) | |
Year of Election or Appointment: 2001 Vice President of Asset Manager: Growth. Mr. Mangum also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Mangum managed a variety of Fidelity funds. Mr. Mangum also serves as Senior Vice President of FMR and FMR Co., Inc. (2001). | |
Matthew J. Conti (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Growth. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003). | |
James K. Miller (40) | |
Year of Election or Appointment: 2004 Vice President of Asset Manager: Growth. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller managed a variety of Fidelity funds. | |
Eric D. Roiter (55) | |
Year of Election or Appointment: 1998 Secretary of Asset Manager: Growth. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003). | |
Stuart Fross (45) | |
Year of Election or Appointment: 2003 Assistant Secretary of Asset Manager: Growth. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR. | |
Christine Reynolds (46) | |
Year of Election or Appointment: 2004 President, Treasurer, and Anti-Money Laundering (AML) officer of Asset Manager: Growth. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
Timothy F. Hayes (53) | |
Year of Election or Appointment: 2002 Chief Financial Officer of Asset Manager: Growth. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998). | |
Kenneth A. Rathgeber (57) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Asset Manager: Growth. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
John R. Hebble (46) | |
Year of Election or Appointment: 2003 Deputy Treasurer of Asset Manager: Growth. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003). | |
Kimberley H. Monasterio (40) | |
Year of Election or Appointment: 2004 Deputy Treasurer of Asset Manager: Growth. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
John H. Costello (58) | |
Year of Election or Appointment: 1991 Assistant Treasurer of Asset Manager: Growth. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Francis V. Knox, Jr. (57) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager: Growth. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002). | |
Peter L. Lydecker (50) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager: Growth. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (49) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager: Growth. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Kenneth B. Robins (35) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager: Growth. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Thomas J. Simpson (46) | |
Year of Election or Appointment: 2000 Assistant Treasurer of Asset Manager: Growth. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995). | |
Annual Report
Distributions
The fund designates 48% of the dividends distributed during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 54% of the dividend distributed during the fiscal year as amounts which may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code.
The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.* | ||
# of | % of | |
Affirmative | 7,568,144,945.96 | 76.551 |
Against | 1,665,604,684.78 | 16.847 |
Abstain | 460,998,830.31 | 4.663 |
Broker | 191,690,954.58 | 1.939 |
TOTAL | 9,886,439,415.63 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees.* | ||
# of | % of | |
J. Michael Cook | ||
Affirmative | 9,359,102,098.49 | 94.666 |
Withheld | 527,337,317.14 | 5.334 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ralph F. Cox | ||
Affirmative | 9,333,369,952.29 | 94.406 |
Withheld | 553,069,463.34 | 5.594 |
TOTAL | 9,886,439,415.63 | 100.000 |
Laura B. Cronin | ||
Affirmative | 9,355,534,364.24 | 94.630 |
Withheld | 530,905,051.39 | 5.370 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,352,106,353.30 | 94.595 |
Withheld | 534,333,062.33 | 5.405 |
TOTAL | 9,886,439,415.63 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,360,572,048.31 | 94.681 |
Withheld | 525,867,367.32 | 5.319 |
TOTAL | 9,886,439,415.63 | 100.000 |
# of | % of | |
Abigail P. Johnson | ||
Affirmative | 9,327,059,416.89 | 94.342 |
Withheld | 559,379,998.74 | 5.658 |
TOTAL | 9,886,439,415.63 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,323,731,909.04 | 94.308 |
Withheld | 562,707,506.59 | 5.692 |
TOTAL | 9,886,439,415.63 | 100.000 |
Donald J. Kirk | ||
Affirmative | 9,343,833,406.30 | 94.512 |
Withheld | 542,606,009.33 | 5.488 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,362,664,343.97 | 94.702 |
Withheld | 523,775,071.66 | 5.298 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,368,801,700.35 | 94.764 |
Withheld | 517,637,715.28 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,342,116,785.91 | 94.494 |
Withheld | 544,322,629.72 | 5.506 |
TOTAL | 9,886,439,415.63 | 100.000 |
William O. McCoy | ||
Affirmative | 9,348,114,851.10 | 94.555 |
Withheld | 538,324,564.53 | 5.445 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,368,829,274.86 | 94.764 |
Withheld | 517,610,140.77 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
# of | % of | |
William S. Stavropoulos | ||
Affirmative | 9,355,225,708.91 | 94.627 |
Withheld | 531,213,706.72 | 5.373 |
TOTAL | 9,886,439,415.63 | 100.000 |
Dennis J. Dirks** | ||
Affirmative | 9,363,252,671.04 | 94.708 |
Withheld | 523,186,744.59 | 5.292 |
TOTAL | 9,886,439,415.63 | 100.000 |
Cornelia M. Small** | ||
Affirmative | 9,357,897,300.73 | 94.654 |
Withheld | 528,542,114.90 | 5.346 |
TOTAL | 9,886,439,415.63 | 100.000 |
* Denotes trust-wide proposals and voting results. | ||
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 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.
Annual 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
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Buying shares
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Overnight Express
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Attn: Distribution Services
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Fidelity Investments
Attn: Distribution Services
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General Correspondence
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(letter_graphic)For Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
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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
Annual Report
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For directions and hours,
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Annual Report
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Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Annual Report
Investment Adviser
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Fidelity's Asset Allocation Funds
Asset ManagerSM
Asset Manager: Aggressive®
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Asset Manager: Income®
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Income, 2000, 2005, 2010, 2015, 2020, 2025, 2030, 2035, 2040
Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.
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AMG-UANN-1104
1.792130.101
Fidelity®
Asset Manager: Income®
Annual Report
September 30, 2004
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of the fund's investments. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
(Recycle graphic) This report is printed on recycled paper using soy-based inks.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
Commencing with the fiscal quarter ending December 31, 2004, the 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 website at http://www.sec.gov. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's website at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.
With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:
First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.
Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.
Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.
For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended September 30, 2004 | Past 1 | Past 5 | Past 10 |
Fidelity® Asset Manager: Income® | 5.80% | 4.79% | 7.16% |
$10,000 Over 10 years
Let's say hypothetically that $10,000 was invested in Fidelity ® Asset Manager: Income® Fund on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Lehman Brothers® Aggregate Bond Index did over the same period.
Annual Report
Management's Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset Manager: Income®
U.S. equity markets were an up-and-down proposition during the year ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.
The fund gained 5.80% for the year, versus 4.93% for the Fidelity Asset Manager: Income Composite Index and 9.01% for the LipperSM Income Funds Average. It paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt in a supportive environment for riskier assets. Our average peer, however, remained much heavier in equities. Overweighting cash during the first half of the period also curbed performance in a strong bond market. The fund's equity investments trailed the S&P 500 by roughly two percentage points, mainly as a result of overweighting two airline stocks - AMR, the parent of American Airlines, and Continental - that were plagued by spiking fuel prices. We also overstayed our welcome in weak semiconductor stocks such as Agere Systems and Intersil. Conversely, tech equipment holdings such as Ericsson and cellular service providers such as Nextel contributed amid improving demand for wireless communications. Some good picks in health care and energy also helped, led by specialty drug maker Sepracor and oil tanker operator OMI. In fixed income, we benefited mainly from focusing on corporate bonds that staged nice rallies, and our high-yield and investment-grade holdings easily beat the Lehman Brothers Aggregate Bond Index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 998.50 | $ 3.20 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,021.76 | $ 3.24 |
* Expenses are equal to the Fund's annualized expense ratio of .64%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Annual Report
Investment Changes
Top Five Bond Issuers as of September 30, 2004 | ||
(with maturities greater than one year) | % of fund's | % of fund's net assets |
Fannie Mae | 17.8 | 7.6 |
U.S. Treasury Obligations | 5.3 | 12.3 |
Freddie Mac | 1.3 | 1.0 |
Bank of America Corp. | 0.7 | 0.0 |
Financement Quebec | 0.6 | 0.0 |
25.7 | ||
Quality Diversification (% of fund's net assets) | |||||||
As of September 30, 2004* | As of March 31, 2004** | ||||||
| U.S. Government and | | U.S. Government and | ||||
| AAA,AA,A 7.6% | | AAA,AA,A 6.9% | ||||
| BBB 5.8% | | BBB 5.7% | ||||
| BB and Below 3.2% | | BB and Below 3.8% | ||||
| Not Rated 0.2% | | Not Rated 0.0% | ||||
| Equities 25.3% | | Equities 22.9% | ||||
| Short-Term | | Short-Term | ||||
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable. |
Top Five Stocks as of September 30, 2004 | ||
% of fund's | % of fund's net assets | |
Exxon Mobil Corp. | 0.5 | 0.0 |
Microsoft Corp. | 0.5 | 0.0 |
Nextel Communications, Inc. Class A | 0.5 | 0.0 |
OMI Corp. | 0.5 | 0.2 |
Micron Technology, Inc. | 0.4 | 0.0 |
2.4 | ||
Asset Allocation (% of fund's net assets) | |||||||
As of September 30, 2004* | As of March 31, 2004** | ||||||
| Stock class and |  | Stock class and | ||||
| Bond class 43.2% | | Bond class 39.7% | ||||
| Short-term class 31.6% | | Short-term class 37.4% | ||||
* Foreign investments | 8.6% | ** Foreign investments | 8.7% | ||||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable. The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund. |
Annual Report
Investments September 30, 2004
Showing Percentage of Net Assets
Common Stocks - 20.3% | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - 1.8% | |||
Hotels, Restaurants & Leisure - 0.6% | |||
Fairmont Hotels & Resorts, Inc. | 50,000 | $ 1,371 | |
Four Seasons Hotels, Inc. | 30,000 | 1,923 | |
Hilton Hotels Corp. | 130,000 | 2,449 | |
Starwood Hotels & Resorts Worldwide, Inc. unit | 50,000 | 2,321 | |
8,064 | |||
Household Durables - 0.7% | |||
D.R. Horton, Inc. | 150,000 | 4,967 | |
Ryland Group, Inc. | 50,000 | 4,633 | |
9,600 | |||
Media - 0.0% | |||
Gemstar-TV Guide International, Inc. (a) | 100,000 | 565 | |
Multiline Retail - 0.0% | |||
Barneys, Inc. warrants 4/1/08 (a) | 420 | 26 | |
Specialty Retail - 0.5% | |||
Dixons Group PLC | 1,000,000 | 3,094 | |
Lowe's Companies, Inc. | 56,200 | 3,054 | |
6,148 | |||
TOTAL CONSUMER DISCRETIONARY | 24,403 | ||
CONSUMER STAPLES - 0.3% | |||
Food & Staples Retailing - 0.1% | |||
Safeway, Inc. (a) | 50,000 | 966 | |
Whole Foods Market, Inc. | 10,000 | 858 | |
1,824 | |||
Personal Products - 0.2% | |||
Gillette Co. | 50,000 | 2,087 | |
TOTAL CONSUMER STAPLES | 3,911 | ||
ENERGY - 2.1% | |||
Energy Equipment & Services - 0.2% | |||
Schlumberger Ltd. (NY Shares) | 50,000 | 3,366 | |
Oil & Gas - 1.9% | |||
ChevronTexaco Corp. | 30,000 | 1,609 | |
ConocoPhillips | 25,000 | 2,071 | |
Exxon Mobil Corp. | 150,000 | 7,250 | |
Frontline Ltd. (NY Shares) | 90,000 | 4,247 | |
Golar LNG Ltd. (Nasdaq) (a) | 100,000 | 1,564 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
ENERGY - continued | |||
Oil & Gas - continued | |||
OMI Corp. | 400,000 | $ 6,408 | |
Ship Finance International Ltd. | 6,000 | 121 | |
Tsakos Energy Navigation Ltd. | 70,000 | 2,461 | |
25,731 | |||
TOTAL ENERGY | 29,097 | ||
FINANCIALS - 0.6% | |||
Capital Markets - 0.2% | |||
Goldman Sachs Group, Inc. | 20,000 | 1,865 | |
Knight Trading Group, Inc. (a) | 100,000 | 923 | |
2,788 | |||
Commercial Banks - 0.1% | |||
Silicon Valley Bancshares (a) | 35,100 | 1,305 | |
Consumer Finance - 0.1% | |||
MBNA Corp. | 43,900 | 1,106 | |
Insurance - 0.1% | |||
Scottish Re Group Ltd. | 50,000 | 1,059 | |
Thrifts & Mortgage Finance - 0.1% | |||
W Holding Co., Inc. | 116,900 | 2,221 | |
TOTAL FINANCIALS | 8,479 | ||
HEALTH CARE - 2.6% | |||
Biotechnology - 1.5% | |||
Celgene Corp. (a) | 40,000 | 2,329 | |
Gilead Sciences, Inc. (a) | 150,000 | 5,607 | |
ImClone Systems, Inc. (a) | 20,000 | 1,057 | |
MedImmune, Inc. (a) | 80,000 | 1,896 | |
Millennium Pharmaceuticals, Inc. (a) | 155,400 | 2,131 | |
Myogen, Inc. | 150,000 | 1,215 | |
ONYX Pharmaceuticals, Inc. (a) | 40,000 | 1,720 | |
OSI Pharmaceuticals, Inc. (a) | 15,000 | 922 | |
Pharmion Corp. | 60,000 | 3,102 | |
Protein Design Labs, Inc. (a) | 60,000 | 1,175 | |
21,154 | |||
Health Care Equipment & Supplies - 0.3% | |||
Alcon, Inc. | 30,000 | 2,406 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - continued | |||
Dade Behring Holdings, Inc. (a) | 20,000 | $ 1,114 | |
Illumina, Inc. (a) | 88,400 | 522 | |
4,042 | |||
Health Care Providers & Services - 0.3% | |||
UnitedHealth Group, Inc. | 60,000 | 4,424 | |
Pharmaceuticals - 0.5% | |||
Elan Corp. PLC sponsored ADR (a) | 130,000 | 3,042 | |
Sepracor, Inc. (a) | 80,000 | 3,902 | |
6,944 | |||
TOTAL HEALTH CARE | 36,564 | ||
INDUSTRIALS - 3.2% | |||
Aerospace & Defense - 0.6% | |||
Embraer - Empresa Brasileira de Aeronautica SA sponsored ADR | 80,000 | 2,112 | |
L-3 Communications Holdings, Inc. | 50,000 | 3,350 | |
Rockwell Collins, Inc. | 75,000 | 2,786 | |
8,248 | |||
Air Freight & Logistics - 0.5% | |||
CNF, Inc. | 27,100 | 1,111 | |
FedEx Corp. | 50,000 | 4,285 | |
United Parcel Service, Inc. Class B | 20,000 | 1,518 | |
6,914 | |||
Airlines - 0.6% | |||
AMR Corp. (a) | 605,806 | 4,441 | |
JetBlue Airways Corp. (a) | 100,000 | 2,092 | |
Northwest Airlines Corp. (a)(e) | 300,000 | 2,463 | |
8,996 | |||
Commercial Services & Supplies - 1.0% | |||
Career Education Corp. (a) | 130,000 | 3,696 | |
Labor Ready, Inc. (a) | 150,000 | 2,103 | |
Monster Worldwide, Inc. (a) | 220,200 | 5,426 | |
Robert Half International, Inc. | 80,000 | 2,062 | |
13,287 | |||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INDUSTRIALS - continued | |||
Industrial Conglomerates - 0.3% | |||
3M Co. | 15,000 | $ 1,200 | |
General Electric Co. | 100,000 | 3,358 | |
4,558 | |||
Machinery - 0.2% | |||
Cummins, Inc. | 40,300 | 2,978 | |
TOTAL INDUSTRIALS | 44,981 | ||
INFORMATION TECHNOLOGY - 6.3% | |||
Communications Equipment - 1.5% | |||
CIENA Corp. (a) | 1,000,000 | 1,980 | |
Juniper Networks, Inc. (a) | 150,000 | 3,540 | |
Powerwave Technologies, Inc. (a) | 300,000 | 1,848 | |
QUALCOMM, Inc. | 100,000 | 3,904 | |
Research in Motion Ltd. (a) | 56,800 | 4,337 | |
Sonus Networks, Inc. (a) | 150,000 | 845 | |
Telefonaktiebolaget LM Ericsson ADR (a) | 148,700 | 4,645 | |
21,099 | |||
Computers & Peripherals - 0.7% | |||
Avid Technology, Inc. (a) | 20,000 | 937 | |
M-Systems Flash Disk Pioneers Ltd. (a) | 165,700 | 2,737 | |
Network Appliance, Inc. (a) | 100,000 | 2,300 | |
PalmOne, Inc. (a) | 70,000 | 2,131 | |
SanDisk Corp. (a) | 50,000 | 1,456 | |
9,561 | |||
Electronic Equipment & Instruments - 0.1% | |||
Hon Hai Precision Industries Co. Ltd. | 459,999 | 1,584 | |
Internet Software & Services - 0.5% | |||
Akamai Technologies, Inc. (a) | 85,700 | 1,204 | |
Blue Coat Systems, Inc. (a) | 136,000 | 1,958 | |
Google, Inc. Class A | 20,000 | 2,592 | |
Yahoo!, Inc. (a) | 50,000 | 1,696 | |
7,450 | |||
Semiconductors & Semiconductor Equipment - 2.4% | |||
Agere Systems, Inc. Class B (a) | 1,000,000 | 1,020 | |
Altera Corp. (a) | 60,000 | 1,174 | |
Applied Materials, Inc. (a) | 70,000 | 1,154 | |
ASML Holding NV (NY Shares) (a) | 40,000 | 515 | |
Credence Systems Corp. (a) | 100,000 | 720 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - continued | |||
Cree, Inc. (a) | 80,000 | $ 2,442 | |
Intel Corp. | 75,000 | 1,505 | |
Intersil Corp. Class A | 144,000 | 2,294 | |
Lam Research Corp. (a) | 40,000 | 875 | |
Marvell Technology Group Ltd. (a) | 120,000 | 3,136 | |
Mattson Technology, Inc. (a) | 150,000 | 1,154 | |
Micron Technology, Inc. (a) | 500,000 | 6,015 | |
PMC-Sierra, Inc. (a) | 200,000 | 1,762 | |
Silicon Image, Inc. (a) | 200,000 | 2,528 | |
Silicon Laboratories, Inc. (a) | 60,000 | 1,985 | |
Skyworks Solutions, Inc. (a) | 200,000 | 1,900 | |
Trident Microsystems, Inc. (a) | 8,200 | 83 | |
Ultratech, Inc. (a) | 100,000 | 1,567 | |
Volterra Semiconductor Corp. (e) | 100,000 | 1,243 | |
33,072 | |||
Software - 1.1% | |||
BEA Systems, Inc. (a) | 400,000 | 2,764 | |
Microsoft Corp. | 250,000 | 6,913 | |
Red Hat, Inc. (a) | 50,000 | 612 | |
THQ, Inc. (a) | 100,000 | 1,946 | |
VERITAS Software Corp. (a) | 200,000 | 3,560 | |
15,795 | |||
TOTAL INFORMATION TECHNOLOGY | 88,561 | ||
MATERIALS - 1.4% | |||
Chemicals - 0.3% | |||
Georgia Gulf Corp. | 27,800 | 1,240 | |
Lyondell Chemical Co. | 150,000 | 3,369 | |
4,609 | |||
Containers & Packaging - 0.3% | |||
Smurfit-Stone Container Corp. (a) | 175,000 | 3,390 | |
Metals & Mining - 0.6% | |||
Inco Ltd. (a) | 60,000 | 2,349 | |
Kinross Gold Corp. (a) | 200,000 | 1,358 | |
Massey Energy Co. | 50,000 | 1,447 | |
Peabody Energy Corp. | 20,000 | 1,190 | |
Phelps Dodge Corp. | 25,000 | 2,301 | |
8,645 | |||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
MATERIALS - continued | |||
Paper & Forest Products - 0.2% | |||
Votorantim Celulose e Papel SA sponsored ADR | 80,000 | $ 2,764 | |
TOTAL MATERIALS | 19,408 | ||
TELECOMMUNICATION SERVICES - 2.0% | |||
Diversified Telecommunication Services - 0.8% | |||
Philippine Long Distance Telephone Co. sponsored ADR (a)(e) | 100,000 | 2,504 | |
PT Indosat Tbk sponsored ADR | 100,000 | 2,400 | |
SBC Communications, Inc. | 100,000 | 2,595 | |
Verizon Communications, Inc. | 100,000 | 3,938 | |
11,437 | |||
Wireless Telecommunication Services - 1.2% | |||
America Movil SA de CV sponsored ADR | 100,000 | 3,903 | |
American Tower Corp. Class A (a) | 175,700 | 2,697 | |
Nextel Communications, Inc. Class A (a) | 275,000 | 6,556 | |
Nextel Partners, Inc. Class A (a) | 200,000 | 3,316 | |
16,472 | |||
TOTAL TELECOMMUNICATION SERVICES | 27,909 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Progress Energy, Inc. warrants 12/31/07 (a) | 9,200 | 0 | |
TOTAL COMMON STOCKS (Cost $262,095) | 283,313 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Porsche AG (non-vtg.) | 3,000 | 1,952 | |
Media - 0.0% | |||
Granite Broadcasting Corp. 12.75% pay-in-kind (a) | 160 | 73 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS (Cost $1,642) | 2,025 | ||
Nonconvertible Bonds - 11.9% | ||||
Principal Amount (000s) | Value (Note 1) | |||
CONSUMER DISCRETIONARY - 1.6% | ||||
Auto Components - 0.3% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
4.75% 1/15/08 | $ 2,655 | $ 2,734 | ||
7.2% 9/1/09 | 300 | 338 | ||
7.75% 1/18/11 | 300 | 349 | ||
Delco Remy International, Inc. 9.375% 4/15/12 | 90 | 89 | ||
Stoneridge, Inc. 11.5% 5/1/12 | 105 | 119 | ||
Tenneco Automotive, Inc. 11.625% 10/15/09 | 150 | 158 | ||
Visteon Corp.: | ||||
7% 3/10/14 | 115 | 109 | ||
8.25% 8/1/10 | 130 | 137 | ||
4,033 | ||||
Automobiles - 0.3% | ||||
Ford Motor Co. 7.45% 7/16/31 | 1,565 | 1,535 | ||
General Motors Corp. 8.25% 7/15/23 | 1,980 | 2,083 | ||
3,618 | ||||
Hotels, Restaurants & Leisure - 0.3% | ||||
Chumash Casino & Resort Enterprise 9% 7/15/10 (f)(l) | 205 | 228 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 215 | 205 | ||
Host Marriott LP 7.125% 11/1/13 | 255 | 267 | ||
Mandalay Resort Group: | ||||
9.375% 2/15/10 | 30 | 34 | ||
10.25% 8/1/07 | 120 | 136 | ||
MGM MIRAGE: | ||||
6% 10/1/09 (f) | 220 | 222 | ||
6.75% 9/1/12 (f) | 160 | 165 | ||
6.875% 2/6/08 | 40 | 44 | ||
8.5% 9/15/10 | 140 | 159 | ||
Mohegan Tribal Gaming Authority 6.375% 7/15/09 | 200 | 208 | ||
MTR Gaming Group, Inc. 9.75% 4/1/10 | 120 | 131 | ||
NCL Corp. Ltd. 10.625% 7/15/14 (f) | 200 | 210 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 135 | 152 | ||
Royal Caribbean Cruises Ltd. 6.875% 12/1/13 | 445 | 472 | ||
Seneca Gaming Corp. 7.25% 5/1/12 (f) | 110 | 113 | ||
Speedway Motorsports, Inc.: | ||||
6.75% 6/1/13 | 105 | 109 | ||
6.75% 6/1/13 (f) | 30 | 31 | ||
Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11 | 55 | 60 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (d) | 60 | 30 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Town Sports International, Inc. 9.625% 4/15/11 | $ 195 | $ 198 | ||
Venetian Casino Resort LLC/Las Vegas Sands, Inc. 11% 6/15/10 | 125 | 143 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 235 | 249 | ||
3,566 | ||||
Household Durables - 0.1% | ||||
Beazer Homes USA, Inc.: | ||||
6.5% 11/15/13 | 130 | 133 | ||
8.375% 4/15/12 | 60 | 66 | ||
K. Hovnanian Enterprises, Inc. 8.875% 4/1/12 | 85 | 95 | ||
KB Home 7.75% 2/1/10 | 270 | 293 | ||
Meritage Homes Corp. 7% 5/1/14 | 120 | 124 | ||
Standard Pacific Corp. 6.875% 5/15/11 | 55 | 58 | ||
Technical Olympic USA, Inc.: | ||||
7.5% 3/15/11 | 190 | 195 | ||
9% 7/1/10 | 125 | 138 | ||
WCI Communities, Inc. 7.875% 10/1/13 | 160 | 169 | ||
William Lyon Homes, Inc.: | ||||
7.5% 2/15/14 | 140 | 143 | ||
10.75% 4/1/13 | 360 | 414 | ||
1,828 | ||||
Media - 0.5% | ||||
AMC Entertainment, Inc.: | ||||
8% 3/1/14 (f) | 120 | 113 | ||
9.5% 2/1/11 | 126 | 129 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 950 | 1,093 | ||
Cablevision Systems Corp.: | ||||
5.66% 4/1/09 (f)(i) | 385 | 400 | ||
8% 4/15/12 (f) | 275 | 286 | ||
Cinemark, Inc. 0% 3/15/14 (d) | 380 | 261 | ||
Continental Cablevision, Inc. 9% 9/1/08 | 300 | 352 | ||
Corus Entertainment, Inc. 8.75% 3/1/12 | 140 | 154 | ||
Cox Communications, Inc. 7.125% 10/1/12 | 700 | 760 | ||
CSC Holdings, Inc. 7.25% 7/15/08 | 85 | 89 | ||
EchoStar DBS Corp.: | ||||
5.75% 10/1/08 | 300 | 301 | ||
6.625% 10/1/14 (f)(g) | 160 | 159 | ||
Granite Broadcasting Corp. 9.75% 12/1/10 | 65 | 59 | ||
Gray Television, Inc. 9.25% 12/15/11 | 140 | 157 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Houghton Mifflin Co. 9.875% 2/1/13 | $ 130 | $ 137 | ||
Innova S. de R.L. 9.375% 9/19/13 | 479 | 523 | ||
Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 40 | 44 | ||
LBI Media, Inc. 10.125% 7/15/12 | 195 | 218 | ||
Liberty Media Corp. 8.25% 2/1/30 | 1,000 | 1,110 | ||
PanAmSat Corp. 9% 8/15/14 (f) | 420 | 438 | ||
PEI Holdings, Inc. 11% 3/15/10 | 101 | 117 | ||
Sinclair Broadcast Group, Inc. 8% 3/15/12 | 120 | 125 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 320 | 330 | ||
7,355 | ||||
Multiline Retail - 0.0% | ||||
Barneys, Inc. 9% 4/1/08 | 420 | 438 | ||
Specialty Retail - 0.1% | ||||
Asbury Automotive Group, Inc. 9% 6/15/12 | 270 | 283 | ||
Blockbuster, Inc. 9% 9/1/12 (f) | 55 | 57 | ||
Boise Cascade Corp. 7.5% 2/1/08 | 135 | 150 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 170 | 169 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 175 | 185 | ||
United Rentals North America, Inc.: | ||||
6.5% 2/15/12 | 125 | 120 | ||
7% 2/15/14 | 25 | 22 | ||
7.75% 11/15/13 | 460 | 430 | ||
1,416 | ||||
Textiles Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. 12.25% 12/15/12 | 280 | 297 | ||
Samsonite Corp. 8.875% 6/1/11 (f) | 110 | 115 | ||
412 | ||||
TOTAL CONSUMER DISCRETIONARY | 22,666 | |||
CONSUMER STAPLES - 0.2% | ||||
Food & Staples Retailing - 0.0% | ||||
Jean Coutu Group, Inc.: | ||||
7.625% 8/1/12 (f) | 50 | 51 | ||
8.5% 8/1/14 (f) | 110 | 109 | ||
Rite Aid Corp.: | ||||
6% 12/15/05 (f) | 230 | 232 | ||
6.875% 8/15/13 | 25 | 22 | ||
8.125% 5/1/10 | 40 | 42 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Rite Aid Corp.: - continued | ||||
9.25% 6/1/13 | $ 5 | $ 5 | ||
9.5% 2/15/11 | 50 | 55 | ||
Stater Brothers Holdings, Inc.: | ||||
5.38% 6/15/10 (i) | 130 | 132 | ||
8.125% 6/15/12 | 90 | 94 | ||
742 | ||||
Food Products - 0.1% | ||||
ConAgra Foods, Inc. 6.75% 9/15/11 | 300 | 338 | ||
Del Monte Corp.: | ||||
8.625% 12/15/12 | 65 | 72 | ||
9.25% 5/15/11 | 310 | 343 | ||
Dole Food Co., Inc. 7.25% 6/15/10 | 85 | 86 | ||
Smithfield Foods, Inc.: | ||||
7.625% 2/15/08 | 65 | 69 | ||
7.75% 5/15/13 | 75 | 81 | ||
8% 10/15/09 | 25 | 27 | ||
Swift & Co. 10.125% 10/1/09 | 110 | 122 | ||
United Agriculture Products, Inc. 8.25% 12/15/11 (f) | 60 | 65 | ||
1,203 | ||||
Tobacco - 0.1% | ||||
Philip Morris Companies, Inc. 7.75% 1/15/27 | 900 | 951 | ||
TOTAL CONSUMER STAPLES | 2,896 | |||
ENERGY - 0.8% | ||||
Energy Equipment & Services - 0.1% | ||||
Hanover Compressor Co.: | ||||
0% 3/31/07 | 190 | 160 | ||
8.625% 12/15/10 | 50 | 54 | ||
9% 6/1/14 | 100 | 110 | ||
Parker Drilling Co.: | ||||
6.54% 9/1/10 (f)(i) | 160 | 160 | ||
9.625% 10/1/13 | 75 | 83 | ||
Pride International, Inc. 7.375% 7/15/14 (f) | 20 | 22 | ||
SESI LLC 8.875% 5/15/11 | 140 | 152 | ||
741 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
ENERGY - continued | ||||
Oil & Gas - 0.7% | ||||
Amerada Hess Corp.: | ||||
6.65% 8/15/11 | $ 90 | $ 99 | ||
7.125% 3/15/33 | 235 | 252 | ||
7.375% 10/1/09 | 355 | 399 | ||
Belden & Blake Corp. 8.75% 7/15/12 (f) | 245 | 260 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (f) | 810 | 821 | ||
Chesapeake Energy Corp.: | ||||
8.125% 4/1/11 | 100 | 109 | ||
9% 8/15/12 | 50 | 57 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (f) | 475 | 530 | ||
Enterprise Products Operating LP: | ||||
4% 10/15/07 (f)(g) | 605 | 608 | ||
4.625% 10/15/09 (f)(g) | 300 | 302 | ||
5.6% 10/15/14 (f)(g) | 235 | 237 | ||
General Maritime Corp. 10% 3/15/13 | 340 | 386 | ||
Kerr-McGee Corp. 7.875% 9/15/31 | 950 | 1,123 | ||
Newfield Exploration Co. 6.625% 9/1/14 (f) | 160 | 166 | ||
Overseas Shipholding Group, Inc. 8.25% 3/15/13 | 330 | 365 | ||
Plains Exploration & Production Co.: | ||||
Series B, 8.75% 7/1/12 | 90 | 101 | ||
8.75% 7/1/12 | 15 | 17 | ||
Range Resources Corp. 7.375% 7/15/13 | 155 | 164 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (f) | 610 | 718 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 545 | 545 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 350 | 399 | ||
The Coastal Corp.: | ||||
6.375% 2/1/09 | 95 | 90 | ||
6.5% 6/1/08 | 50 | 49 | ||
7.75% 6/15/10 | 260 | 260 | ||
7.75% 10/15/35 | 180 | 155 | ||
9.625% 5/15/12 | 735 | 770 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 875 | 960 | ||
7.5% 1/15/31 | 350 | 352 | ||
10,294 | ||||
TOTAL ENERGY | 11,035 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
FINANCIALS - 5.4% | ||||
Capital Markets - 0.3% | ||||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (i) | $ 360 | $ 353 | ||
4.25% 9/4/12 (i) | 415 | 420 | ||
BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (f) | 420 | 454 | ||
Goldman Sachs Group, Inc. 5.25% 10/15/13 | 800 | 805 | ||
Morgan Stanley 4.75% 4/1/14 | 2,600 | 2,517 | ||
4,549 | ||||
Commercial Banks - 0.9% | ||||
Bank of America Corp.: | ||||
7.4% 1/15/11 | 4,240 | 4,941 | ||
7.8% 2/15/10 | 3,560 | 4,182 | ||
Export-Import Bank of Korea: | ||||
4.125% 2/10/09 (f) | 170 | 170 | ||
5.25% 2/10/14 (f) | 615 | 623 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 1,250 | 1,238 | ||
4.75% 7/20/09 | 540 | 553 | ||
Wachovia Corp. 6.15% 3/15/09 | 500 | 543 | ||
12,250 | ||||
Consumer Finance - 0.7% | ||||
Capital One Bank: | ||||
4.875% 5/15/08 | 650 | 673 | ||
6.5% 6/13/13 | 470 | 514 | ||
Ford Motor Credit Co. 7.875% 6/15/10 | 1,000 | 1,115 | ||
General Electric Capital Corp. 3.5% 5/1/08 | 500 | 500 | ||
General Motors Acceptance Corp. 7.75% 1/19/10 | 2,680 | 2,945 | ||
Household Finance Corp.: | ||||
6.375% 10/15/11 | 650 | 716 | ||
6.375% 11/27/12 | 455 | 504 | ||
6.75% 5/15/11 | 350 | 394 | ||
Household International, Inc. 8.875% 2/15/08 | 1,225 | 1,320 | ||
MBNA Corp. 6.25% 1/17/07 | 580 | 614 | ||
9,295 | ||||
Diversified Financial Services - 2.0% | ||||
Ahold Finance USA, Inc.: | ||||
6.25% 5/1/09 | 50 | 52 | ||
8.25% 7/15/10 | 410 | 459 | ||
Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (f) | 120 | 122 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Deutsche Telekom International Finance BV 8.75% 6/15/30 | $ 1,400 | $ 1,810 | ||
Financement Quebec 5% 10/25/12 | 8,275 | 8,569 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 340 | 386 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (f) | 185 | 204 | ||
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (f) | 300 | 311 | ||
Ispat Inland ULC 9.75% 4/1/14 | 300 | 330 | ||
J.P. Morgan Chase & Co. 6.75% 2/1/11 | 3,450 | 3,881 | ||
Jostens Holding Corp. 0% 12/1/13 (d) | 120 | 82 | ||
Jostens IH Corp. 7.625% 10/1/12 (f) | 70 | 70 | ||
Leucadia National Corp. 7% 8/15/13 | 130 | 129 | ||
Midland Funding Corp. II 11.75% 7/23/05 | 91 | 97 | ||
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (f) | 2,030 | 2,094 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 130 | 139 | ||
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 30 | 33 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 85 | 87 | ||
Petronas Capital Ltd.: | ||||
7% 5/22/12 (f) | 1,650 | 1,880 | ||
7.875% 5/22/22 (f) | 1,100 | 1,317 | ||
Prime Property Funding II 6.25% 5/15/07 (f) | 435 | 465 | ||
Qwest Capital Funding, Inc.: | ||||
7% 8/3/09 | 230 | 212 | ||
7.75% 8/15/06 | 240 | 241 | ||
Rabobank Capital Funding Trust II 5.26% 12/31/49 (f)(i) | 1,215 | 1,226 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 125 | 127 | ||
Sprint Capital Corp. 8.375% 3/15/12 | 275 | 333 | ||
Stone Container Finance Co. 7.375% 7/15/14 (f) | 80 | 84 | ||
Telecom Italia Capital: | ||||
4% 11/15/08 (f) | 420 | 422 | ||
5.25% 11/15/13 (f) | 270 | 275 | ||
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 295 | 272 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 320 | 373 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Verizon Global Funding Corp. 7.25% 12/1/10 | $ 1,300 | $ 1,499 | ||
Western Financial Bank 9.625% 5/15/12 | 475 | 537 | ||
28,118 | ||||
Insurance - 0.3% | ||||
Crum & Forster Holdings Corp. 10.375% 6/15/13 | 225 | 237 | ||
Oil Insurance Ltd. 5.15% 8/15/33 (f)(i) | 650 | 661 | ||
Principal Life Global Funding I 5.125% 6/28/07 (f) | 1,800 | 1,883 | ||
Provident Companies, Inc. 7% 7/15/18 | 25 | 24 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (f)(i) | 525 | 517 | ||
UnumProvident Corp.: | ||||
6.75% 12/15/28 | 55 | 50 | ||
7.375% 6/15/32 | 55 | 53 | ||
7.625% 3/1/11 | 200 | 214 | ||
3,639 | ||||
Real Estate - 0.7% | ||||
American Real Estate Partners/American Real Estate Finance Corp. 8.125% 6/1/12 (f) | 250 | 263 | ||
CarrAmerica Realty Corp. 5.25% 11/30/07 | 500 | 523 | ||
CenterPoint Properties Trust: | ||||
4.75% 8/1/10 | 1,200 | 1,216 | ||
5.25% 7/15/11 | 900 | 918 | ||
EOP Operating LP: | ||||
6.763% 6/15/07 | 1,300 | 1,401 | ||
7.75% 11/15/07 | 2,860 | 3,194 | ||
Gables Realty LP 5.75% 7/15/07 | 250 | 264 | ||
La Quinta Properties, Inc. 7% 8/15/12 (f) | 190 | 201 | ||
Mack-Cali Realty LP 7.25% 3/15/09 | 200 | 224 | ||
Omega Healthcare Investors, Inc. 7% 4/1/14 (f) | 140 | 142 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 130 | 141 | ||
8.625% 1/15/12 | 245 | 273 | ||
Simon Property Group LP 4.875% 8/15/10 (f) | 1,115 | 1,130 | ||
9,890 | ||||
Thrifts & Mortgage Finance - 0.5% | ||||
Abbey National PLC 6.69% 10/17/05 | 5,000 | 5,190 | ||
Countrywide Home Loans, Inc. 4% 3/22/11 | 300 | 291 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
FINANCIALS - continued | ||||
Thrifts & Mortgage Finance - continued | ||||
Independence Community Bank Corp. 3.75% 4/1/14 (i) | $ 370 | $ 359 | ||
Washington Mutual, Inc. 4.625% 4/1/14 | 1,200 | 1,147 | ||
6,987 | ||||
TOTAL FINANCIALS | 74,728 | |||
HEALTH CARE - 0.2% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Fisher Scientific International, Inc.: | ||||
6.75% 8/15/14 (f) | 60 | 63 | ||
8% 9/1/13 | 175 | 196 | ||
8.125% 5/1/12 | 40 | 45 | ||
PerkinElmer, Inc. 8.875% 1/15/13 | 385 | 435 | ||
739 | ||||
Health Care Providers & Services - 0.1% | ||||
AmerisourceBergen Corp.: | ||||
7.25% 11/15/12 | 45 | 49 | ||
8.125% 9/1/08 | 70 | 78 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 (f) | 30 | 33 | ||
9.5% 8/15/10 | 80 | 88 | ||
Genesis HealthCare Corp. 8% 10/15/13 | 85 | 92 | ||
Mariner Health Care, Inc. 8.25% 12/15/13 (f) | 260 | 277 | ||
PacifiCare Health Systems, Inc. 10.75% 6/1/09 | 173 | 199 | ||
Psychiatric Solutions, Inc. 10.625% 6/15/13 | 70 | 79 | ||
Tenet Healthcare Corp.: | ||||
6.375% 12/1/11 | 455 | 406 | ||
6.5% 6/1/12 | 45 | 40 | ||
7.375% 2/1/13 | 390 | 363 | ||
1,704 | ||||
Pharmaceuticals - 0.0% | ||||
Biovail Corp. yankee 7.875% 4/1/10 | 230 | 235 | ||
TOTAL HEALTH CARE | 2,678 | |||
INDUSTRIALS - 0.5% | ||||
Aerospace & Defense - 0.1% | ||||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (f) | 385 | 333 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
Bombardier, Inc.: - continued | ||||
7.45% 5/1/34 (f) | $ 1,220 | $ 1,026 | ||
Orbital Sciences Corp. 9% 7/15/11 | 95 | 105 | ||
Primus International, Inc. 10.5% 4/15/09 (f) | 110 | 111 | ||
1,575 | ||||
Airlines - 0.2% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 300 | 263 | ||
6.977% 11/23/22 | 23 | 20 | ||
7.324% 4/15/11 | 55 | 43 | ||
7.377% 5/23/19 | 184 | 105 | ||
7.379% 5/23/16 | 160 | 91 | ||
7.8% 4/1/08 | 145 | 121 | ||
8.608% 10/1/12 | 85 | 72 | ||
AMR Corp. 9% 8/1/12 | 205 | 127 | ||
Continental Airlines, Inc. 7.875% 7/2/18 | 180 | 168 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.748% 9/15/18 | 15 | 12 | ||
6.795% 2/2/20 | 47 | 37 | ||
6.9% 7/2/18 | 114 | 88 | ||
6.954% 2/2/11 | 21 | 16 | ||
7.73% 9/15/12 | 35 | 25 | ||
7.82% 4/15/15 | 44 | 33 | ||
8.307% 10/2/19 | 45 | 36 | ||
8.321% 11/1/06 | 15 | 14 | ||
Delta Air Lines, Inc. 7.9% 12/15/09 | 110 | 32 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.57% 11/18/10 | 1,135 | 1,019 | ||
7.779% 1/2/12 | 63 | 22 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.068% 7/2/17 | 57 | 45 | ||
7.67% 1/2/15 | 162 | 129 | ||
2,518 | ||||
Building Products - 0.0% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 155 | 171 | ||
Nortek, Inc. 8.5% 9/1/14 (f) | 180 | 188 | ||
359 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | $ 100 | $ 95 | ||
6.375% 4/15/11 | 145 | 142 | ||
9.25% 9/1/12 | 105 | 117 | ||
Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 260 | 267 | ||
621 | ||||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 10.25% 10/15/11 (f) | 230 | 254 | ||
Machinery - 0.1% | ||||
Dresser, Inc. 9.375% 4/15/11 | 405 | 444 | ||
Invensys PLC 9.875% 3/15/11 (f) | 515 | 529 | ||
Navistar International Corp. 7.5% 6/15/11 | 60 | 64 | ||
SPX Corp.: | ||||
6.25% 6/15/11 | 15 | 15 | ||
7.5% 1/1/13 | 155 | 158 | ||
1,210 | ||||
Marine - 0.0% | ||||
OMI Corp. 7.625% 12/1/13 | 370 | 383 | ||
Road & Rail - 0.0% | ||||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 345 | 352 | ||
TFM SA de CV yankee: | ||||
10.25% 6/15/07 | 35 | 36 | ||
11.75% 6/15/09 | 130 | 131 | ||
519 | ||||
TOTAL INDUSTRIALS | 7,439 | |||
INFORMATION TECHNOLOGY - 0.3% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc.: | ||||
5.5% 11/15/08 | 150 | 149 | ||
6.45% 3/15/29 | 75 | 60 | ||
209 | ||||
Computers & Peripherals - 0.1% | ||||
NCR Corp. 7.125% 6/15/09 | 895 | 993 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
INFORMATION TECHNOLOGY - continued | ||||
Electronic Equipment & Instruments - 0.1% | ||||
Celestica, Inc. 7.875% 7/1/11 | $ 340 | $ 354 | ||
Flextronics International Ltd. 6.5% 5/15/13 | 500 | 510 | ||
864 | ||||
IT Services - 0.0% | ||||
Electronic Data Systems Corp. 6% 8/1/13 | 105 | 106 | ||
Iron Mountain, Inc. 8.625% 4/1/13 | 35 | 38 | ||
144 | ||||
Office Electronics - 0.1% | ||||
Xerox Corp.: | ||||
6.875% 8/15/11 | 470 | 491 | ||
7.125% 6/15/10 | 350 | 371 | ||
7.2% 4/1/16 | 70 | 72 | ||
7.625% 6/15/13 | 195 | 211 | ||
9.75% 1/15/09 | 70 | 82 | ||
1,227 | ||||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Freescale Semiconductor, Inc.: | ||||
4.38% 7/15/09 (f)(i) | 150 | 155 | ||
6.875% 7/15/11 (f) | 205 | 213 | ||
7.125% 7/15/14 (f) | 60 | 62 | ||
430 | ||||
TOTAL INFORMATION TECHNOLOGY | 3,867 | |||
MATERIALS - 0.9% | ||||
Chemicals - 0.4% | ||||
Berry Plastics Corp. 10.75% 7/15/12 | 210 | 237 | ||
Borden US Finance Corp./Nova Scotia Finance ULC: | ||||
6.43% 7/15/10 (f)(i) | 120 | 123 | ||
9% 7/15/14 (f) | 155 | 164 | ||
Equistar Chemicals LP/Equistar Funding Corp.: | ||||
8.75% 2/15/09 | 115 | 124 | ||
10.125% 9/1/08 | 105 | 118 | ||
10.625% 5/1/11 | 410 | 465 | ||
HMP Equity Holdings Corp. 0% 5/15/08 | 205 | 129 | ||
Huntsman ICI Chemicals LLC 10.125% 7/1/09 | 345 | 362 | ||
Huntsman ICI Holdings LLC 0% 12/31/09 | 120 | 64 | ||
Huntsman International LLC 9.875% 3/1/09 | 155 | 169 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Huntsman LLC: | ||||
8.8% 7/15/11 (f)(i) | $ 220 | $ 232 | ||
11.5% 7/15/12 (f) | 120 | 132 | ||
Lubrizol Corp.: | ||||
4.625% 10/1/09 | 485 | 485 | ||
5.5% 10/1/14 | 270 | 268 | ||
6.5% 10/1/34 | 340 | 332 | ||
Lyondell Chemical Co.: | ||||
9.5% 12/15/08 | 400 | 435 | ||
9.625% 5/1/07 | 180 | 194 | ||
9.875% 5/1/07 | 225 | 237 | ||
10.875% 5/1/09 | 280 | 296 | ||
Millennium America, Inc.: | ||||
9.25% 6/15/08 | 265 | 290 | ||
9.25% 6/15/08 (f) | 70 | 77 | ||
NOVA Chemicals Corp.: | ||||
6.5% 1/15/12 | 60 | 62 | ||
7.4% 4/1/09 | 60 | 65 | ||
Pliant Corp. 0% 6/15/09 (d) | 165 | 139 | ||
5,199 | ||||
Construction Materials - 0.0% | ||||
Texas Industries, Inc. 10.25% 6/15/11 | 280 | 321 | ||
Containers & Packaging - 0.1% | ||||
Anchor Glass Container Corp. 11% 2/15/13 | 235 | 266 | ||
BWAY Corp. 10% 10/15/10 | 105 | 113 | ||
Crown European Holdings SA: | ||||
9.5% 3/1/11 | 20 | 22 | ||
10.875% 3/1/13 | 195 | 227 | ||
Graphic Packaging International, Inc. 8.5% 8/15/11 | 100 | 111 | ||
Owens-Brockway Glass Container, Inc.: | ||||
8.25% 5/15/13 | 190 | 202 | ||
8.875% 2/15/09 | 85 | 92 | ||
Owens-Illinois, Inc.: | ||||
7.35% 5/15/08 | 335 | 346 | ||
7.5% 5/15/10 | 285 | 294 | ||
Sealed Air Corp. 5.625% 7/15/13 (f) | 105 | 108 | ||
1,781 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
MATERIALS - continued | ||||
Metals & Mining - 0.1% | ||||
AK Steel Corp.: | ||||
7.75% 6/15/12 | $ 225 | $ 220 | ||
7.875% 2/15/09 | 70 | 69 | ||
Allegheny Technologies, Inc. 8.375% 12/15/11 | 215 | 229 | ||
Century Aluminum Co. 7.5% 8/15/14 (f) | 135 | 142 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (d) | 35 | 29 | ||
0% 6/1/13 (d) | 135 | 107 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (f) | 260 | 287 | ||
CSN Islands VII Corp. 10.75% 9/12/08 (f) | 180 | 200 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (f) | 70 | 70 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 55 | 53 | ||
10.125% 2/1/10 | 180 | 203 | ||
International Steel Group, Inc. 6.5% 4/15/14 (f) | 185 | 185 | ||
Peabody Energy Corp. 6.875% 3/15/13 | 120 | 129 | ||
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (f) | 190 | 189 | ||
2,112 | ||||
Paper & Forest Products - 0.3% | ||||
Abitibi-Consolidated, Inc.: | ||||
5.38% 6/15/11 (i) | 175 | 177 | ||
7.75% 6/15/11 | 120 | 124 | ||
Boise Cascade Corp. 7.68% 3/29/06 | 830 | 881 | ||
Bowater, Inc. 4.88% 3/15/10 (i) | 150 | 150 | ||
Buckeye Technologies, Inc. 8.5% 10/1/13 | 135 | 145 | ||
Georgia-Pacific Corp.: | ||||
8% 1/15/14 | 300 | 342 | ||
8% 1/15/24 | 170 | 192 | ||
8.875% 2/1/10 | 5 | 6 | ||
9.5% 12/1/11 | 140 | 175 | ||
International Paper Co.: | ||||
4.25% 1/15/09 | 120 | 120 | ||
5.5% 1/15/14 | 305 | 312 | ||
Norske Skog Canada Ltd.: | ||||
7.375% 3/1/14 | 70 | 73 | ||
8.625% 6/15/11 | 235 | 254 | ||
Stone Container Corp.: | ||||
8.375% 7/1/12 | 100 | 111 | ||
9.75% 2/1/11 | 225 | 250 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
Tembec Industries, Inc.: | ||||
7.75% 3/15/12 | $ 90 | $ 91 | ||
8.5% 2/1/11 | 175 | 184 | ||
yankee 8.625% 6/30/09 | 115 | 118 | ||
3,705 | ||||
TOTAL MATERIALS | 13,118 | |||
TELECOMMUNICATION SERVICES - 0.9% | ||||
Diversified Telecommunication Services - 0.7% | ||||
Alaska Communications Systems Holdings, Inc. 9.375% 5/15/09 | 50 | 47 | ||
BellSouth Corp. 6.55% 6/15/34 | 500 | 526 | ||
British Telecommunications PLC 8.875% 12/15/30 | 850 | 1,117 | ||
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 245 | 271 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 55 | 44 | ||
France Telecom SA 8.75% 3/1/11 | 660 | 790 | ||
GCI, Inc. 7.25% 2/15/14 | 280 | 274 | ||
KT Corp. 5.875% 6/24/14 (f) | 505 | 528 | ||
NTL Cable PLC: | ||||
6.61% 10/15/12 (f)(i) | 100 | 103 | ||
8.75% 4/15/14 (f) | 400 | 432 | ||
Qwest Communications International, Inc. 7.25% 2/15/11 (f) | 125 | 118 | ||
Qwest Corp.: | ||||
7.875% 9/1/11 (f) | 55 | 57 | ||
9.125% 3/15/12 (f) | 130 | 143 | ||
Qwest Services Corp.: | ||||
14% 12/15/10 (f)(i) | 160 | 188 | ||
14.5% 12/15/14 (f)(i) | 138 | 167 | ||
SBC Communications, Inc.: | ||||
5.875% 2/1/12 | 500 | 534 | ||
6.45% 6/15/34 | 1,300 | 1,337 | ||
Telenet Group Holding NV 0% 6/15/14 (d)(f) | 275 | 202 | ||
TELUS Corp. yankee 8% 6/1/11 | 1,775 | 2,080 | ||
U.S. West Communications: | ||||
7.2% 11/10/26 | 30 | 26 | ||
7.5% 6/15/23 | 135 | 123 | ||
9,107 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 0.2% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 (f) | $ 335 | $ 327 | ||
5.5% 3/1/14 (f) | 305 | 295 | ||
AT&T Wireless Services, Inc. 7.875% 3/1/11 | 600 | 711 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | 165 | 189 | ||
Millicom International Cellular SA 10% 12/1/13 (f) | 625 | 625 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 50 | 49 | ||
6.875% 10/31/13 | 435 | 451 | ||
Rogers Wireless, Inc. 9.625% 5/1/11 | 355 | 395 | ||
3,042 | ||||
TOTAL TELECOMMUNICATION SERVICES | 12,149 | |||
UTILITIES - 1.1% | ||||
Electric Utilities - 0.7% | ||||
AES Gener SA 7.5% 3/25/14 (f) | 235 | 236 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 305 | 308 | ||
6.25% 2/15/13 | 1,000 | 1,076 | ||
6.75% 2/15/32 | 1,475 | 1,554 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 650 | 664 | ||
FirstEnergy Corp. 7.375% 11/15/31 | 1,355 | 1,522 | ||
Illinois Power Co. 7.5% 6/15/09 | 580 | 661 | ||
MidAmerican Energy Holdings, Inc.: | ||||
4.625% 10/1/07 | 315 | 322 | ||
5.875% 10/1/12 | 545 | 575 | ||
Monongahela Power Co. 5% 10/1/06 | 375 | 388 | ||
Nevada Power Co. 6.5% 4/15/12 (f) | 25 | 26 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 1,065 | 1,202 | ||
Sierra Pacific Power Co. 6.25% 4/15/12 (f) | 80 | 82 | ||
TECO Energy, Inc.: | ||||
7% 5/1/12 | 130 | 136 | ||
7.2% 5/1/11 | 275 | 292 | ||
9,044 | ||||
Gas Utilities - 0.0% | ||||
Sonat, Inc.: | ||||
6.625% 2/1/08 | 250 | 244 | ||
6.75% 10/1/07 | 110 | 110 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Sonat, Inc.: - continued | ||||
7.625% 7/15/11 | $ 200 | $ 195 | ||
Tennessee Gas Pipeline Co. 7% 3/15/27 | 60 | 62 | ||
611 | ||||
Multi-Utilities & Unregulated Power - 0.4% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 170 | 174 | ||
8.375% 8/15/07 | 65 | 65 | ||
8.75% 6/15/08 | 300 | 324 | ||
8.875% 2/15/11 | 269 | 298 | ||
9.375% 9/15/10 | 89 | 100 | ||
9.5% 6/1/09 | 76 | 85 | ||
CMS Energy Corp.: | ||||
7.5% 1/15/09 | 80 | 84 | ||
8.5% 4/15/11 | 70 | 76 | ||
8.9% 7/15/08 | 205 | 223 | ||
9.875% 10/15/07 | 90 | 100 | ||
Constellation Energy Group, Inc. 6.35% 4/1/07 | 660 | 706 | ||
Dominion Resources, Inc. 6.25% 6/30/12 | 2,185 | 2,373 | ||
NRG Energy, Inc. 8% 12/15/13 (f) | 490 | 524 | ||
Sierra Pacific Resources 8.625% 3/15/14 (f) | 120 | 130 | ||
5,262 | ||||
TOTAL UTILITIES | 14,917 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $158,768) | 165,493 | |||
U.S. Government and Government Agency Obligations - 13.3% | ||||
U.S. Government Agency Obligations - 7.7% | ||||
Fannie Mae: | ||||
2.15% 4/13/06 | 6,250 | 6,209 | ||
2.375% 12/15/05 | 27,000 | 26,975 | ||
2.5% 6/15/06 | 32,300 | 32,187 | ||
3% 3/2/07 | 10,000 | 10,002 | ||
3.125% 7/15/06 | 11,835 | 11,921 | ||
Freddie Mac: | ||||
2.7% 3/16/07 | 3,600 | 3,575 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
U.S. Government Agency Obligations - continued | ||||
Freddie Mac: - continued | ||||
2.875% 5/15/07 | $ 2,000 | $ 1,992 | ||
5.25% 11/5/12 | 5,985 | 6,096 | ||
5.875% 3/21/11 | 5,760 | 6,253 | ||
Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06 | 1,482 | 1,568 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.63% 8/1/14 | 1,000 | 1,040 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 107,818 | |||
U.S. Treasury Inflation Protected Obligations - 1.7% | ||||
U.S. Treasury Inflation-Indexed Bonds 3.375% 4/15/32 | 6,403 | 8,118 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
2% 1/15/14 | 11,276 | 11,546 | ||
4.25% 1/15/10 | 3,377 | 3,920 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 23,584 | |||
U.S. Treasury Obligations - 3.9% | ||||
U.S. Treasury Bills, yield at date of purchase 1.44% to 1.65% 11/4/04 to 12/9/04 (h) | 4,250 | 4,238 | ||
U.S. Treasury Bonds: | ||||
6.25% 5/15/30 | 5,250 | 6,231 | ||
7.875% 2/15/21 | 15,260 | 20,649 | ||
U.S. Treasury Notes: | ||||
2.5% 5/31/06 | 14,000 | 14,006 | ||
6.5% 2/15/10 | 8,205 | 9,415 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 54,539 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $184,072) | 185,941 | |||
U.S. Government Agency - Mortgage Securities - 11.7% | ||||
Fannie Mae - 11.3% | ||||
4% 6/1/18 to 5/1/19 | 8,984 | 8,773 | ||
4.5% 10/1/18 to 10/1/33 | 36,201 | 35,516 | ||
5% 7/1/18 to 7/1/34 | 26,283 | 26,259 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
Fannie Mae - continued | ||||
5.5% 12/1/13 to 9/1/34 | $ 60,270 | $ 61,247 | ||
6% 4/1/09 to 1/1/34 | 1,712 | 1,788 | ||
6.5% 5/1/13 to 8/1/34 | 19,065 | 20,043 | ||
7% 1/1/13 to 2/1/29 | 2,702 | 2,872 | ||
7.5% 10/1/09 to 11/1/31 | 1,087 | 1,165 | ||
11.5% 11/1/15 | 59 | 67 | ||
TOTAL FANNIE MAE | 157,730 | |||
Freddie Mac - 0.0% | ||||
5% 11/1/33 | 96 | 96 | ||
7.5% 8/1/28 to 8/1/31 | 162 | 174 | ||
8.5% 3/1/22 to 5/1/22 | 4 | 5 | ||
12% 11/1/19 | 22 | 25 | ||
TOTAL FREDDIE MAC | 300 | |||
Government National Mortgage Association - 0.4% | ||||
6.5% 11/15/08 to 3/15/29 | 2,126 | 2,254 | ||
7% 3/15/28 to 9/15/32 | 1,849 | 1,973 | ||
7.5% 5/15/22 to 8/15/28 | 542 | 586 | ||
8.5% 8/15/29 to 11/15/29 | 309 | 340 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 5,153 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $161,172) | 163,183 | |||
Asset-Backed Securities - 1.7% | ||||
Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33 | 493 | 490 | ||
ACE Securities Corp. Series 2004-OP1: | ||||
Class M1, 2.36% 4/25/34 (i) | 280 | 280 | ||
Class M2, 2.89% 4/25/34 (i) | 395 | 396 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2003-AM Class A4B, 2.1563% 11/6/09 (i) | 300 | 302 | ||
Series 2003-BX Class A4B, 1.92% 1/6/10 (i) | 200 | 201 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2002-AR1 Class M2, 2.915% 9/25/32 (i) | 105 | 106 | ||
Series 2003-3 Class M1, 2.64% 3/25/33 (i) | 330 | 331 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
Amortizing Residential Collateral Trust: | ||||
Series 2002-BC6 Class A2, 2.19% 8/25/32 (i) | $ 434 | $ 434 | ||
Series 2002-BC7 Class M1, 2.415% 10/25/32 (i) | 1,790 | 1,803 | ||
Argent Securities, Inc. Series 2003-W3 Class M2, 3.64% 9/25/33 (i) | 3,000 | 3,084 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE2: | ||||
Class A2, 1.98% 4/15/33 (i) | 277 | 278 | ||
Class M1, 2.5% 4/15/33 (i) | 390 | 394 | ||
Associates Automobile Receivables Trust Series 2000-1 Class B, 7.83% 8/15/07 | 368 | 371 | ||
Bayview Financial Asset Trust Series 2000-F Class A, 2.14% 9/28/43 (i) | 2,025 | 2,030 | ||
Capital One Auto Finance Trust Series 2003-A Class A4B, 2.04% 1/15/10 (i) | 580 | 583 | ||
Capital One Master Trust Series 2002-3A Class B, 4.55% 2/15/08 | 1,800 | 1,814 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2002-B1 Class B1, 2.44% 7/15/08 (i) | 690 | 693 | ||
Series 2003-B1 Class B1, 2.93% 2/17/09 (i) | 685 | 695 | ||
Series 2003-B2 Class B2, 3.5% 2/17/09 | 360 | 363 | ||
CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (i) | 160 | 165 | ||
Chase Credit Card Master Trust Series 2003-6 Class B, 2.11% 2/15/11 (i) | 565 | 568 | ||
Countrywide Home Loans, Inc. Series 2002-6 Class AV1, 2.27% 5/25/33 (i) | 522 | 523 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class C, 6.667% 6/28/38 (f) | 415 | 428 | ||
Fieldstone Mortgage Investment Corp. Series 2004-2 Class M2, 2.99% 7/25/34 (i) | 605 | 605 | ||
First USA Secured Note Trust Series 2001-3 Class C, 2.86% 11/19/08 (f)(i) | 690 | 695 | ||
Home Equity Asset Trust Series 2003-4: | ||||
Class M1, 2.64% 10/25/33 (i) | 215 | 217 | ||
Class M2, 3.74% 10/25/33 (i) | 255 | 260 | ||
Home Equity Asset Trust NIMS Trust Series 2003-2N Class A, 8% 9/27/33 (f) | 48 | 48 | ||
Household Private Label Credit Card Master Note Trust I Series 2002-3 Class B, 2.85% 9/15/09 (i) | 510 | 515 | ||
Long Beach Mortgage Loan Trust Series 2003-3: | ||||
Class M1, 2.59% 7/25/33 (i) | 470 | 474 | ||
Class M2, 3.69% 7/25/33 (i) | 240 | 246 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
MBNA Credit Card Master Note Trust: | ||||
Series 2001-B1 Class B1, 2.135% 10/15/08 (i) | $ 500 | $ 501 | ||
Series 2001-B2 Class B2, 2.12% 1/15/09 (i) | 500 | 502 | ||
Series 2002-B2 Class B2, 2.14% 10/15/09 (i) | 500 | 502 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 2.715% 12/27/32 (i) | 115 | 117 | ||
Series 2003-HE1 Class M2, 3.74% 5/25/33 (i) | 345 | 350 | ||
Series 2003-NC6 Class M2, 3.79% 6/27/33 (i) | 800 | 818 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-AM1 Class M2, 3.015% 2/25/32 (i) | 410 | 413 | ||
Series 2002-NC3 Class M1, 2.56% 8/25/32 (i) | 90 | 91 | ||
New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (i) | 225 | 225 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 286 | 287 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (f) | 244 | 242 | ||
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (i) | 110 | 110 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $23,325) | 23,550 | |||
Collateralized Mortgage Obligations - 0.5% | ||||
Private Sponsor - 0.2% | ||||
Adjustable Rate Mortgage Trust floater Series 2004-1 Clas 9A2, 2.24% 1/25/34 (i) | 745 | 745 | ||
CS First Boston Mortgage Securities Corp. Series 2003-TFLA Class F, 2.2233% 4/15/13 (f)(i) | 230 | 232 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 115 | 120 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2003-A Class 2A1, 2.23% 3/25/28 (i) | 709 | 711 | ||
Series 2003-E Class XA1, 1% 10/25/28 (i)(k) | 3,700 | 55 | ||
Series 2003-G Class XA1, 1% 1/25/29 (k) | 3,313 | 51 | ||
Series 2003-H Class XA1, 1% 1/25/29 (f)(k) | 2,993 | 47 | ||
Residential Asset Mortgage Products, Inc. sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31 | 448 | 466 | ||
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: | ||||
Class B3, 3.0238% 6/10/35 (f)(i) | 171 | 175 | ||
Class B4, 3.2238% 6/10/35 (f)(i) | 152 | 155 | ||
Class B5, 3.8238% 6/10/35 (f)(i) | 103 | 105 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
Private Sponsor - continued | ||||
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: - continued | ||||
Class B6, 4.3238% 6/10/35 (f)(i) | $ 64 | $ 65 | ||
Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (f)(k) | 12,611 | 127 | ||
Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 98 | 103 | ||
TOTAL PRIVATE SPONSOR | 3,157 | |||
U.S. Government Agency - 0.3% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 900 | 955 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 800 | 844 | ||
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class: | ||||
Series 2001-7 Class PQ, 6% 10/25/15 | 887 | 907 | ||
Series 2002-64 Class PC, 5.5% 12/25/26 | 450 | 459 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class Series 2435 Class EL, 6% 9/15/27 | 6 | 6 | ||
sequential pay Series 2750 Class ZT, 5% 2/15/34 | 453 | 403 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (i) | 85 | 91 | ||
TOTAL U.S. GOVERNMENT AGENCY | 3,665 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $6,497) | 6,822 | |||
Commercial Mortgage Securities - 2.3% | ||||
Asset Securitization Corp.: | ||||
sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29 | 657 | 687 | ||
Series 1997-D5 Class PS1, 1.7348% 2/14/43 (i)(k) | 6,665 | 388 | ||
Banc of America Large Loan, Inc. floater Series 2003-BBA2: | ||||
Class A3, 2.08% 11/15/15 (f)(i) | 295 | 295 | ||
Class C, 2.23% 11/15/15 (f)(i) | 60 | 60 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
Banc of America Large Loan, Inc. floater Series 2003-BBA2: - continued | ||||
Class D, 2.31% 11/15/15 (f)(i) | $ 95 | $ 96 | ||
Class F, 2.66% 11/15/15 (f)(i) | 70 | 71 | ||
Class H, 3.16% 11/15/15 (f)(i) | 60 | 60 | ||
Class J, 3.71% 11/15/15 (f)(i) | 65 | 66 | ||
Class K, 4.36% 11/15/15 (f)(i) | 55 | 56 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2003-1 Class A, 2.42% 8/25/33 (f)(i) | 524 | 528 | ||
Series 2004-2 Class A, 2.27% 8/25/34 (f)(i) | 673 | 674 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA: | ||||
Class C, 4.937% 5/14/16 (f) | 370 | 379 | ||
Class D, 4.986% 5/14/16 (f) | 135 | 138 | ||
Class E, 5.064% 5/14/16 (f) | 415 | 424 | ||
Class F, 5.182% 5/14/16 (f) | 100 | 102 | ||
CBM Funding Corp. sequential pay Series 1996-1: | ||||
Class A3PI, 7.08% 11/1/07 | 545 | 577 | ||
Class B, 7.48% 2/1/08 | 680 | 751 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 205 | 233 | ||
Class F, 7.734% 1/15/32 | 110 | 123 | ||
Series 2001-245 Class A2, 6.4842% 2/12/16 (f)(i) | 250 | 275 | ||
COMM floater Series 2002-FL7: | ||||
Class A2, 1.95% 11/15/14 (f)(i) | 247 | 247 | ||
Class D, 2.17% 11/15/14 (f)(i) | 150 | 150 | ||
Commercial Mortgage pass thru certificates floater Series 2004-CNL: | ||||
Class D, 2.4981% 9/15/14 (g)(i) | 55 | 55 | ||
Class E, 2.5581% 9/15/14 (g)(i) | 75 | 75 | ||
Class F, 2.6581% 9/15/14 (g)(i) | 60 | 60 | ||
Class G, 2.8381% 9/15/14 (g)(i) | 140 | 140 | ||
Class H, 2.9381% 9/15/14 (g)(i) | 145 | 145 | ||
Class J, 3.4581% 9/15/14 (g)(i) | 50 | 50 | ||
Class K, 3.8581% 9/15/14 (g)(i) | 80 | 80 | ||
Class L, 4.0581% 9/15/14 (g)(i) | 65 | 65 | ||
CS First Boston Mortgage Securities Corp.: | ||||
sequential pay: | ||||
Series 1998-C1 Class A1B, 6.48% 5/17/40 | 645 | 703 | ||
Series 2003-C4 Class A3, 4.7% 8/15/36 (i) | 320 | 327 | ||
Series 1997-C2 Class D, 7.27% 1/17/35 | 1,220 | 1,364 | ||
Series 1998-C1 Class D, 7.17% 5/17/40 | 205 | 230 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
CS First Boston Mortgage Securities Corp.: - continued | ||||
Series 2003-C3 Class ASP, 2.0628% 5/15/38 (f)(i)(k) | $ 6,520 | $ 483 | ||
Series 2004-C1 Class ASP, 1.2148% 1/15/37 (f)(i)(k) | 5,155 | 220 | ||
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | 1,500 | 1,665 | ||
DLJ Commercial Mortgage Corp. sequential pay Series 1999-CG2 Class A1A, 6.88% 6/10/32 | 865 | 916 | ||
Equitable Life Assurance Society of the United States Series 174: | ||||
Class B1, 7.33% 5/15/06 (f) | 1,000 | 1,064 | ||
Class C1, 7.52% 5/15/06 (f) | 700 | 746 | ||
First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust Series 1999-C2 Class C, 6.944% 6/15/31 | 525 | 586 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay: | ||||
Series 2002-26 Class C, 5.996% 2/16/24 (i) | 610 | 656 | ||
Series 2003-87 Class C, 5.3178% 8/16/32 (i) | 1,000 | 1,043 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay Series 2003-47 Class C, 4.227% 10/16/27 | 645 | 641 | ||
Series 2003-47 Class XA, 0.2398% 6/16/43 (i)(k) | 2,015 | 107 | ||
GMAC Commercial Mortgage Securities, Inc. sequential pay Series 1997-C2 Class A3, 6.566% 4/15/29 | 605 | 651 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2002-C1 Class SWDB, 5.857% 11/11/19 (f) | 555 | 564 | ||
Series 2003-C1 Class XP, 2.3678% 7/5/35 (f)(i)(k) | 3,317 | 284 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay: | ||||
Series 1998-GLII Class A2, 6.562% 4/13/31 | 130 | 141 | ||
Series 2001-LIBA Class A2, 6.615% 2/14/16 (f) | 415 | 460 | ||
Series 1998-GLII Class E, 7.1905% 4/13/31 (i) | 350 | 371 | ||
J.P. Morgan Commercial Mortgage Finance Corp. sequential pay: | ||||
Series 1998-C6 Class A3, 6.613% 1/15/30 | 1,100 | 1,190 | ||
Series 1999-C7 Class A2, 6.507% 10/15/35 | 380 | 417 | ||
LB Commercial Conduit Mortgage Trust: | ||||
Series 1998-C1 Class B, 6.59% 2/18/30 | 360 | 393 | ||
Series 1999-C1 Class B, 6.93% 6/15/31 | 159 | 177 | ||
LB-UBS Commercial Mortgage Trust sequential pay: | ||||
Series 2001-C3 Class A1, 6.058% 6/15/20 | 1,497 | 1,599 | ||
Series 2003-C5 Class A2, 3.478% 7/15/27 | 1,000 | 993 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (f) | 700 | 646 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) | |||
LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (f) | $ 239 | $ 241 | ||
Morgan Stanley Capital I, Inc.: | ||||
sequential pay Series 1999-WF1 Class A2, 6.21% 11/15/31 | 160 | 173 | ||
Series 1999-RM1 Class E, 7.2138% 12/15/31 (i) | 824 | 920 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2003-HQ2 Class X2, 1.626% 3/12/35 (f)(i)(k) | 3,570 | 234 | ||
Salomon Brothers Mortgage Securities VII, Inc. sequential pay Series 2000-C3 Class A2, 6.592% 12/18/33 | 480 | 536 | ||
Thirteen Affiliates of General Growth Properties, Inc.: | ||||
sequential pay Series 1 Class A2, 6.602% 11/15/07 (f) | 1,150 | 1,238 | ||
Series 1: | ||||
Class D2, 6.992% 11/15/07 (f) | 1,100 | 1,199 | ||
Class E2, 7.224% 11/15/07 (f) | 660 | 718 | ||
Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
Class C4, 6.893% 5/15/16 (f) | 800 | 909 | ||
Class E3, 7.253% 3/15/13 (f) | 540 | 581 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $31,481) | 32,436 | |||
Foreign Government and Government Agency Obligations - 0.6% | ||||
Chilean Republic: | ||||
5.625% 7/23/07 | 300 | 316 | ||
7.125% 1/11/12 | 2,065 | 2,370 | ||
State of Israel 4.625% 6/15/13 | 510 | 491 | ||
United Mexican States: | ||||
6.75% 9/27/34 | 840 | 827 | ||
7.5% 4/8/33 | 2,600 | 2,734 | ||
8% 9/24/22 | 800 | 902 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $7,160) | 7,640 | |||
Fixed-Income Funds - 0.6% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (j) | 83,198 | 8,280 | |
Money Market Funds - 32.7% | |||
Shares | Value (Note 1) | ||
Fidelity Cash Central Fund, 1.74% (b) | 318,573,356 | $ 318,573 | |
Fidelity Money Market Central Fund, 1.74% (b) | 135,550,134 | 135,550 | |
Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c) | 2,665,600 | 2,666 | |
TOTAL MONEY MARKET FUNDS (Cost $456,789) | 456,789 | ||
Cash Equivalents - 5.2% | |||
Maturity | |||
Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.72%, dated 9/30/04 due 10/1/04) | $ 71,930 | 71,927 | |
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $1,373,211) | 1,407,399 | ||
NET OTHER ASSETS - (0.9)% | (12,399) | ||
NET ASSETS - 100% | $ 1,395,000 | ||
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
246 S&P 500 Index Contracts | Dec. 2004 | $ 68,566 | $ (718) | ||
The face value of futures purchased as a percentage of net assets - 4.9% |
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Total Return Swap | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc. | Oct. 2004 | $ 2,000 | $ 7 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc. | April 2005 | 2,000 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Deutsche Bank | May 2005 | 4,000 | 5 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc. | Nov. 2004 | 10,000 | 10 | ||
Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America | Nov. 2004 | 2,485 | 10 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America | Dec. 2004 | 1,900 | 8 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America | Nov. 2004 | 3,000 | 103 | ||
$ 25,385 | $ 143 | ||||
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(e) Security or a portion of the security is on loan at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $46,195,000 or 3.3% of net assets. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $4,238,000. |
(i) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(j) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(l) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
Income Tax Information |
At September 30, 2004, the fund had a capital loss carryforward of approximately $6,868,000 all of which will expire on September 30, 2010. |
Annual Report
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | September 30, 2004 | |
Assets | ||
Investment in securities, at value (including securities loaned of $2,518 and repurchase agreements of $71,927) (cost $1,373,211) - See accompanying schedule | $ 1,407,399 | |
Cash | 132 | |
Foreign currency held at value (cost $317) | 317 | |
Receivable for investments sold | 3,697 | |
Receivable for fund shares sold | 2,649 | |
Dividends receivable | 195 | |
Interest receivable | 6,087 | |
Swap agreements, at value | 143 | |
Prepaid expenses | 1 | |
Other receivables | 88 | |
Total assets | 1,420,708 | |
Liabilities | ||
Payable for investments purchased | $ 10,280 | |
Delayed delivery | 1,967 | |
Payable for fund shares redeemed | 9,973 | |
Accrued management fee | 492 | |
Payable for daily variation on futures contracts | 18 | |
Other affiliated payables | 198 | |
Other payables and accrued expenses | 114 | |
Collateral on securities loaned, at value | 2,666 | |
Total liabilities | 25,708 | |
Net Assets | $ 1,395,000 | |
Net Assets consist of: | ||
Paid in capital | $ 1,365,403 | |
Undistributed net investment income | 4,666 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (8,682) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 33,613 | |
Net Assets, for 113,901 shares outstanding | $ 1,395,000 | |
Net Asset Value, offering price and redemption price per share ($1,395,000 ÷ 113,901 shares) | $ 12.25 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended September 30, 2004 | |
Investment Income | ||
Dividends | $ 2,464 | |
Interest | 27,213 | |
Security lending | 37 | |
Total income | 29,714 | |
Expenses | ||
Management fee | $ 5,138 | |
Transfer agent fees | 1,719 | |
Accounting and security lending fees | 404 | |
Non-interested trustees' compensation | 7 | |
Custodian fees and expenses | 64 | |
Registration fees | 86 | |
Audit | 63 | |
Legal | 6 | |
Miscellaneous | 70 | |
Total expenses before reductions | 7,557 | |
Expense reductions | (220) | 7,337 |
Net investment income (loss) | 22,377 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 42,170 | |
Foreign currency transactions | (71) | |
Futures contracts | 2,702 | |
Swap agreements | 803 | |
Total net realized gain (loss) | 45,604 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (5,726) | |
Futures contracts | (413) | |
Swap agreements | 150 | |
Total change in net unrealized appreciation (depreciation) | (5,989) | |
Net gain (loss) | 39,615 | |
Net increase (decrease) in net assets resulting from operations | $ 61,992 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ 22,377 | $ 22,714 |
Net realized gain (loss) | 45,604 | 8,865 |
Change in net unrealized appreciation (depreciation) | (5,989) | 79,429 |
Net increase (decrease) in net assets resulting | 61,992 | 111,008 |
Distributions to shareholders from net investment income | (22,235) | (22,996) |
Share transactions | 697,430 | 389,005 |
Reinvestment of distributions | 21,050 | 21,757 |
Cost of shares redeemed | (334,219) | (376,917) |
Net increase (decrease) in net assets resulting from share transactions | 384,261 | 33,845 |
Total increase (decrease) in net assets | 424,018 | 121,857 |
Net Assets | ||
Beginning of period | 970,982 | 849,125 |
End of period (including undistributed net investment income of $4,666 and undistributed net investment income of $3,989, respectively) | $ 1,395,000 | $ 970,982 |
Other Information Shares | ||
Sold | 57,313 | 34,315 |
Issued in reinvestment of distributions | 1,739 | 1,963 |
Redeemed | (27,452) | (33,996) |
Net increase (decrease) | 31,600 | 2,282 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended September 30, | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 11.80 | $ 10.61 | $ 11.13 | $ 12.24 | $ 12.15 |
Income from Investment Operations | |||||
Net investment income (loss)B | .23 | .30 | .43 | .59 | .65 |
Net realized and unrealized gain (loss) | .45 | 1.19 | (.52) | (.87) | .30 |
Total from investment operations | .68 | 1.49 | (.09) | (.28) | .95 |
Distributions from net investment income | (.23) | (.30) | (.43) | (.61) | (.65) |
Distributions from net realized gain | - | - | - | (.22) | (.21) |
Total distributions | (.23) | (.30) | (.43) | (.83) | (.86) |
Net asset value, end of period | $ 12.25 | $ 11.80 | $ 10.61 | $ 11.13 | $ 12.24 |
Total ReturnA | 5.80% | 14.26% | (.92)% | (2.40)% | 8.10% |
Ratios to Average Net AssetsC | |||||
Expenses before expense | .63% | .64% | .64% | .64% | .65% |
Expenses net of voluntary | .63% | .64% | .64% | .64% | .65% |
Expenses net of all reductions | .61% | .61% | .63% | .62% | .62% |
Net investment income (loss) | 1.86% | 2.69% | 3.90% | 5.10% | 5.36% |
Supplemental Data | |||||
Net assets, end of period | $ 1,395 | $ 971 | $ 849 | $ 916 | $ 818 |
Portfolio turnover rate | 232% | 276% | 164% | 164% | 140% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended September 30, 2004
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
Fidelity Asset Manager: Income (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
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.
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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 the funds in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
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, prior period premium and discount on debt securities, market discount, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 45,739 | |
Unrealized depreciation | (13,545) | |
Net unrealized appreciation (depreciation) | 32,194 | |
Undistributed ordinary income | 4,272 | |
Capital loss carryforward | (6,868) | |
Cost for federal income tax purposes | $ 1,375,205 |
The tax character of distributions paid was as follows:
September 30, 2004 | September 30, 2003 | |
Ordinary Income | $ 22,235 | $ 22,996 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
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
Annual Report
Notes to Financial Statements - continued
2. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
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 and bond markets and to fluctuations in interest rates and currency values. Buying futures tends to increase the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in 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 may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses,
Annual Report
2. Operating Policies - continued
Swap Agreements - continued
respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.
Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."
Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of
Annual Report
Notes to Financial Statements - continued
2. Operating Policies - continued
Financing Transactions - continued
mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $757,041 and $687,395, respectively.
4. 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 .30% of the fund's average net assets and a group fee rate that averaged .13% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .43% of the fund's average net assets.
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .14% of average net assets.
Accounting and Security Lending Fees. FSC 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.
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $5,110 for the period.
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 $57 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund 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. During the period, there were no borrowings on this line of credit.
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.
7. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $210 for the period. In addition, through arrangements with the fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody and transfer agent expenses by $4 and $6, respectively.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager: Income:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager: Income (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager: Income as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/DELOITTE & TOUCHE LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
November 12, 2004
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (74)** | |
Year of Election or Appointment: 1981 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc. | |
Abigail P. Johnson (42)** | |
Year of Election or Appointment: 2001 Senior Vice President of Asset Manager: Income (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds. | |
Laura B. Cronin (50) | |
Year of Election or Appointment: 2003 Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002). | |
Robert L. Reynolds (52) | |
Year of Election or Appointment: 2003 Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). | |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.
Annual Report
Non-Interested Trustees:
Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
J. Michael Cook (62) | |
Year of Election or Appointment: 2001 Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/consulting), Chairman of the Deloitte & Touche Foundation, and a member of the Board of Deloitte Touche Tohmatsu. He currently serves as a Director of Comcast (telecommunications, 2002), International Flavors & Fragrances, Inc. (2000), The Dow Chemical Company (2000), and Northrop Grumman Corporation (global defense technology, 2003). He is a Member of the Diversity Advisory Council of Marakon (2003) and the Advisory Council of the Public Company Accounting Oversight Board (PCAOB), Chairman Emeritus of the Board of Catalyst (a leading organization for the advancement of women in business), and is Chairman of the Accountability Advisory Council to the Comptroller General of the United States. He also serves as a Member of the Advisory Board of the Graduate School of Business of the University of Florida, his alma mater. | |
Ralph F. Cox (72) | |
Year of Election or Appointment: 1991 Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin. | |
Robert M. Gates (61) | |
Year of Election or Appointment: 1997 Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy. | |
George H. Heilmeier (68) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences and The Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002). | |
Donald J. Kirk (71) | |
Year of Election or Appointment: 1987 Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations). | |
Marie L. Knowles (57) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (60) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. He was most recently Senior Vice President and Group Executive of Worldwide Sales and Services. From 1993 to 1995, he was Chairman of IBM World Trade Corporation, and from 1994 to 1998 was a member of IBM's Corporate Executive Committee. Mr. Lautenbach serves as Co-Chairman and a Director of Covansys, Inc. (global provider of business and technology solutions, 2000). In addition, he is a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida (1999). He also is a member of the Council on Foreign Relations. | |
Marvin L. Mann (71) | |
Year of Election or Appointment: 1993 Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama. | |
William O. McCoy (70) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998). | |
William S. Stavropoulos (65) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Annual Report
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Dennis J. Dirks (56) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). | |
Peter S. Lynch (61) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston. | |
Cornelia M. Small (60) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
Kenneth L. Wolfe (65) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004). | |
Bart A. Grenier (45) | |
Year of Election or Appointment: 2001 Vice President of Asset Manager: Income. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000). | |
Charles S. Morrison (43) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Income. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division. | |
David L. Murphy (56) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Income. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002) and Vice President of certain Asset Allocation Funds (2003). He serves as Senior Vice President (2000) and Money Market Group Leader (2002) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003) and a Vice President of FMR (2000). Previously, Mr. Murphy served as Bond Group Leader (2000-2002) and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). Mr. Murphy joined Fidelity in 1989 as a portfolio manager in the Bond Group. | |
Richard C. Habermann (64) | |
Year of Election or Appointment: 1996 Vice President of Asset Manager: Income. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Vice President of FMR and FMR Co., Inc. (2001). | |
Robert Bertelson (44) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Income. Prior to assuming his current responsibilities, Mr. Bertelson managed a variety of Fidelity funds. Mr. Bertelson also serves as Vice President of FMR (1999) and FMR Co., Inc. (2001). | |
Matthew J. Conti (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Income. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003). | |
James K. Miller (40) | |
Year of Election or Appointment: 2004 Vice President of Asset Manager: Income. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller managed a variety of Fidelity funds. | |
Jeffrey Moore (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager: Income. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager. | |
Eric D. Roiter (55) | |
Year of Election or Appointment: 1998 Secretary of Asset Manager: Income. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003). | |
Stuart Fross (45) | |
Year of Election or Appointment: 2003 Assistant Secretary of Asset Manager: Income. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR. | |
Christine Reynolds (46) | |
Year of Election or Appointment: 2004 President, Treasurer, and Anti-Money Laundering (AML) officer of Asset Manager: Income. Ms. Reynolds also serves as President, Treasurer, and AML officer of other Fidelity funds (2004) and is a Vice President (2003) and an employee (2002) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
Timothy F. Hayes (53) | |
Year of Election or Appointment: 2002 Chief Financial Officer of Asset Manager: Income. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998). | |
Kenneth A. Rathgeber (57) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Asset Manager: Income. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
John R. Hebble (46) | |
Year of Election or Appointment: 2003 Deputy Treasurer of Asset Manager: Income. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003). | |
Kimberley H. Monasterio (40) | |
Year of Election or Appointment: 2004 Deputy Treasurer of Asset Manager: Income. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
John H. Costello (58) | |
Year of Election or Appointment: 1992 Assistant Treasurer of Asset Manager: Income. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Francis V. Knox, Jr. (57) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager: Income. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002). | |
Peter L. Lydecker (50) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager: Income. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (49) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager: Income. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Kenneth B. Robins (35) | |
Year of Election or Appointment:2004 Assistant Treasurer of Asset Manager: Income. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Thomas J. Simpson (46) | |
Year of Election or Appointment: 2000 Assistant Treasurer of Asset Manager: Income. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995). | |
Annual Report
Distributions
A total of 11.86% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates 3.00% of the dividends distributed between October 2003 and December 2003, inclusive, and 5.00% of the dividends distributed between February 2004 and September 2004, inclusive, as qualifying for the dividends-received deduction for corporate shareholders.
A percentage of the dividends distributed during the fiscal year as designated by the fund may be taken into account as a dividend for purposes of the maximum rate under section 1(h)(11) of the Internal Revenue Code as shown below.
Ex-Date | Percentage |
October 2003 | 7% |
November & December 2003 | 3% |
February through September 2004 | 12% |
The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.* | ||
# of | % of | |
Affirmative | 7,568,144,945.96 | 76.551 |
Against | 1,665,604,684.78 | 16.847 |
Abstain | 460,998,830.31 | 4.663 |
Broker | 191,690,954.58 | 1.939 |
TOTAL | 9,886,439,415.63 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees.* | ||
# of | % of | |
J. Michael Cook | ||
Affirmative | 9,359,102,098.49 | 94.666 |
Withheld | 527,337,317.14 | 5.334 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ralph F. Cox | ||
Affirmative | 9,333,369,952.29 | 94.406 |
Withheld | 553,069,463.34 | 5.594 |
TOTAL | 9,886,439,415.63 | 100.000 |
Laura B. Cronin | ||
Affirmative | 9,355,534,364.24 | 94.630 |
Withheld | 530,905,051.39 | 5.370 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,352,106,353.30 | 94.595 |
Withheld | 534,333,062.33 | 5.405 |
TOTAL | 9,886,439,415.63 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,360,572,048.31 | 94.681 |
Withheld | 525,867,367.32 | 5.319 |
TOTAL | 9,886,439,415.63 | 100.000 |
# of | % of | |
Abigail P. Johnson | ||
Affirmative | 9,327,059,416.89 | 94.342 |
Withheld | 559,379,998.74 | 5.658 |
TOTAL | 9,886,439,415.63 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,323,731,909.04 | 94.308 |
Withheld | 562,707,506.59 | 5.692 |
TOTAL | 9,886,439,415.63 | 100.000 |
Donald J. Kirk | ||
Affirmative | 9,343,833,406.30 | 94.512 |
Withheld | 542,606,009.33 | 5.488 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,362,664,343.97 | 94.702 |
Withheld | 523,775,071.66 | 5.298 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,368,801,700.35 | 94.764 |
Withheld | 517,637,715.28 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,342,116,785.91 | 94.494 |
Withheld | 544,322,629.72 | 5.506 |
TOTAL | 9,886,439,415.63 | 100.000 |
William O. McCoy | ||
Affirmative | 9,348,114,851.10 | 94.555 |
Withheld | 538,324,564.53 | 5.445 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,368,829,274.86 | 94.764 |
Withheld | 517,610,140.77 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
# of | % of | |
William S. Stavropoulos | ||
Affirmative | 9,355,225,708.91 | 94.627 |
Withheld | 531,213,706.72 | 5.373 |
TOTAL | 9,886,439,415.63 | 100.000 |
Dennis J. Dirks** | ||
Affirmative | 9,363,252,671.04 | 94.708 |
Withheld | 523,186,744.59 | 5.292 |
TOTAL | 9,886,439,415.63 | 100.000 |
Cornelia M. Small** | ||
Affirmative | 9,357,897,300.73 | 94.654 |
Withheld | 528,542,114.90 | 5.346 |
TOTAL | 9,886,439,415.63 | 100.000 |
* Denotes trust-wide proposals and voting results. | ||
Annual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 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.
Annual 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
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Investments Money
Management, Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Far East) Inc.
Fidelity Investments Japan Limited
Fidelity International Investment
Advisors
Fidelity International Investment
Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Shareholder
Servicing Agent
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
Fidelity's Asset Allocation Funds
Asset ManagerSM
Asset Manager: Aggressive®
Asset Manager: Growth®
Asset Manager: Income®
Fidelity Freedom Funds® -
Income, 2000, 2005, 2010, 2015, 2020, 2025, 2030, 2035, 2040
Please carefully consider the funds' investment objectives, risks, charges and expenses before investing. For this and other information, call 1-800-544-6666 for a free prospectus. Read it carefully before you invest or send money.
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
(for the deaf and hearing impaired)
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
AMI-UANN-1104
1.792131.101
Fidelity®
Asset ManagerSM
Annual Report
September 30, 2004
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
(Recycle graphic) This report is printed on recycled paper using soy-based inks.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
Commencing with the fiscal quarter ending December 31, 2004, the 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. The 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 the fund's portfolio holdings, view the fund's most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Many of you have read or heard news stories recently that were critical of mutual funds and made allegations that the mutual fund industry has been less than forthright. I find these reports unsettling and not necessarily an accurate picture of the overall industry, and I would like you to know where we at Fidelity stand.
With specific regard to allegations that certain mutual fund companies were violating the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities, I want to say two things:
First, Fidelity does not have agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not to say that someone could not deceive the company through fraudulent acts. But I underscore that we have no so-called "agreements" which would permit this illegal practice.
Second, Fidelity has been on record for years opposing predatory short-term trading which adversely affects other shareholders in a mutual fund. In fact, in the 1980s, we began charging a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. What's more, several years ago we took the industry lead in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. It is reasonable to assume that another structure can be developed that would alter the system to make it much more difficult for predatory traders to operate. This, however, will only be achieved through close cooperation among regulators, legislators and the industry.
Certainly no industry is perfect, and there have been instances of unethical and illegal activity from time to time within the mutual fund industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. Clearly, every system can be improved. We applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings. But we remain concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems.
For more than 57 years, Fidelity Investments has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Many of them were family and friends. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended September 30, 2004 | Past 1 | Past 5 | Past 10 |
Fidelity® Asset ManagerSM | 6.00% | 3.37% | 8.18% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Asset Manager SM on September 30, 1994. The chart shows how the value of your investment would have grown, and also shows how the Standard and Poor's 500 SM Index did over the same period.
Annual Report
Management's Discussion of Fund Performance
Comments from Richard Habermann, Portfolio Manager of Fidelity® Asset ManagerSM
U.S. equity markets were an up-and-down proposition during the 12 months ending September 30, 2004. The Standard & Poor's 500SM Index registered five consecutive months of gains from October 2003 through February 2004. An improving economy and better corporate profits were key contributors to the broad market rally. But equities mostly trended lower from there, as surging oil prices, Federal Reserve Board interest rate hikes and concerns about job growth pressured stocks. Still, many equity benchmarks posted solid gains for the year overall. The S&P 500® returned 13.87%, the Dow Jones Industrial AverageSM rose 10.96% and the NASDAQ Composite® Index advanced 6.71%. Meanwhile, investment-grade bond performance exceeded expectations, with the Lehman Brothers® Aggregate Bond Index climbing 3.68%. Bonds reeled off five consecutive monthly gains from November 2003 through March 2004 before tumbling in the spring when an increase in employment levels led to unease about the direction of interest rates. However, bonds rose in each of the final four months of the period, despite three rate hikes. Most spread sectors - - including corporate and mortgage securities - handily outpaced Treasuries, the most interest-rate-sensitive bond category.
The fund gained 6.00% for the year, while the Fidelity Asset Manager Composite Index
and the LipperSM Flexible Portfolio Funds Average rose 8.51% and 10.08%, respectively. Relative to the index, weak stock selection overall more than offset favorable asset allocation and solid results within the fixed-income subportfolio. In an environment that favored riskier assets, it paid to overweight stocks and high-yield bonds, both of which outperformed investment-grade debt. Our average peer, however, was even more aggressive in equities. Overweighting cash during the first half of the period also curbed performance in the face of a strong bond market. The fund's equity investments trailed the S&P 500 by more than five percentage points, largely due to some poor picks in health care, namely drug wholesaler Cardinal Health and big drug makers such as Merck. Also, in media, radio broadcaster Clear Channel Communications hurt a lot. Conversely, underweighting weak technology stocks helped, as did overweighting retailers Home Depot and pharmacy chain CVS, and energy holdings such as driller Transocean. In fixed income, we benefited mainly from focusing on corporate bonds that staged nice rallies, and our high-yield and investment-grade holdings easily beat the Lehman Brothers Aggregate Bond Index. The strategic cash portion of the fund topped its benchmark as well.
The views expressed in this statement reflect those of the portfolio manager only through the end of the period of the report as stated on the cover and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (April 1, 2004 to September 30, 2004).
Actual Expenses
The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Beginning | Ending | Expenses Paid | |
Actual | $ 1,000.00 | $ 983.00 | $ 3.72 |
Hypothetical (5% return per year before expenses) | $ 1,000.00 | $ 1,021.20 | $ 3.80 |
*Expenses are equal to the Fund's annualized expense ratio of .75%; multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period).
Annual Report
Investment Changes
Top Five Stocks as of September 30, 2004 | ||
% of fund's | % of fund's net assets | |
American International Group, Inc. | 2.9 | 2.9 |
Microsoft Corp. | 2.7 | 2.3 |
Home Depot, Inc. | 2.5 | 2.1 |
Pfizer, Inc. | 2.1 | 2.0 |
SBC Communications, Inc. | 2.1 | 1.6 |
12.3 | ||
Top Five Bond Issuers as of September 30, 2004 | ||
(with maturities greater than one year) | % of fund's | % of fund's net assets |
Fannie Mae | 9.4 | 5.6 |
U.S. Treasury Obligations | 3.1 | 2.8 |
Freddie Mac | 1.2 | 0.8 |
Government National Mortgage Association | 0.5 | 0.7 |
Thirteen Affiliates of General Growth Properties, Inc. | 0.3 | 0.3 |
14.5 | ||
Top Five Market Sectors as of September 30, 2004 | ||
% of fund's | % of fund's net assets | |
Financials | 17.4 | 16.7 |
Health Care | 8.4 | 10.3 |
Consumer Discretionary | 8.0 | 9.7 |
Information Technology | 7.5 | 7.0 |
Industrials | 4.6 | 4.4 |
Asset Allocation (% of fund's net assets) | |||||||
As of September 30, 2004* | As of March 31, 2004 ** | ||||||
| Stock class 53.4% |  | Stock class 56.0% | ||||
| Bond class 32.0% | | Bond class 29.9% | ||||
| Short-term class 14.6% | | Short-term class 14.1% | ||||
* Foreign | 7.1% | ** Foreign | 8.5% | ||||
Asset allocations in the pie charts reflect the categorization of assets as defined in the fund's prospectus in effect as of the time periods indicated above. Financial Statement categorizations conform to accounting standards and will differ from the pie chart. Percentages are adjusted for the effect of futures contracts and swap contracts, if applicable.
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central fund.
Annual Report
Investments September 30, 2004
Showing Percentage of Net Assets
Common Stocks - 49.5% | |||
Shares | Value (Note 1) (000s) | ||
CONSUMER DISCRETIONARY - 5.8% | |||
Auto Components - 0.0% | |||
Aisin Seiki Co. Ltd. | 88,000 | $ 2,176 | |
Bridgestone Corp. | 111,000 | 2,063 | |
NOK Corp. | 17,500 | 538 | |
Sanden Corp. | 131,000 | 863 | |
5,640 | |||
Automobiles - 0.1% | |||
Honda Motor Co. Ltd. | 67,400 | 3,284 | |
Hyundai Motor Co. Ltd. | 36,860 | 1,700 | |
Renault SA | 21,400 | 1,752 | |
Toyota Motor Corp. | 225,100 | 8,597 | |
15,333 | |||
Hotels, Restaurants & Leisure - 0.2% | |||
H.I.S. Co. Ltd. | 64,700 | 2,041 | |
McDonald's Corp. | 686,300 | 19,237 | |
William Hill PLC | 162,000 | 1,566 | |
22,844 | |||
Household Durables - 0.1% | |||
Casio Computer Co. Ltd. | 66,000 | 779 | |
HTL International Holdings Ltd. | 1,371,000 | 1,009 | |
Koninklijke Philips Electronics NV | 15,900 | 364 | |
Koninklijke Philips Electronics NV (NY Shares) | 27,000 | 619 | |
Matsushita Electric Industrial Co. Ltd. | 84,000 | 1,127 | |
Merry Electronics Co. Ltd. | 638,577 | 1,382 | |
Rinnai Corp. | 27,700 | 846 | |
SEB SA | 11,061 | 1,070 | |
Sony Corp. | 9,700 | 334 | |
Sumitomo Forestry Co. Ltd. | 140,000 | 1,309 | |
Techtronic Industries Co. Ltd. | 1,450,000 | 2,855 | |
11,694 | |||
Internet & Catalog Retail - 0.0% | |||
N Brown Group PLC | 334,700 | 676 | |
Leisure Equipment & Products - 0.0% | |||
Fuji Photo Film Co. Ltd. | 28,000 | 921 | |
Media - 2.4% | |||
Asahi Broadcasting Corp. | 2,480 | 154 | |
British Sky Broadcasting Group PLC (BSkyB) | 165,100 | 1,434 | |
Clear Channel Communications, Inc. | 6,151,591 | 191,745 | |
ITV PLC | 557,158 | 1,088 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Media - continued | |||
Maiden Group PLC | 118,700 | $ 500 | |
McGraw-Hill Companies, Inc. | 37,200 | 2,964 | |
Mediaset Spa | 143,500 | 1,631 | |
Modern Times Group AB (MTG) (B Shares) (a) | 40,650 | 760 | |
News Corp. Ltd. | 309,665 | 2,545 | |
News Corp. Ltd. sponsored ADR | 918,500 | 28,777 | |
NRJ Group | 145,271 | 2,891 | |
PT Multimedia SGPS SA | 41,700 | 931 | |
Publishing & Broadcasting Ltd. | 143,029 | 1,426 | |
Reuters Group PLC | 206,600 | 1,166 | |
Television Broadcasts Ltd. | 170,000 | 761 | |
Time Warner, Inc. (a) | 1,034,850 | 16,702 | |
Tv Asahi Corp. | 549 | 1,073 | |
Vivendi Universal SA (a) | 66,400 | 1,708 | |
Wolters Kluwer NV (Certificaten Van Aandelen) | 76,400 | 1,287 | |
259,543 | |||
Multiline Retail - 0.1% | |||
Barneys, Inc. warrants 4/1/08 (a) | 1,630 | 99 | |
Don Quijote Co. Ltd. | 27,400 | 1,594 | |
Hyundai Department Store Co. Ltd. | 15,480 | 437 | |
Next PLC | 86,500 | 2,560 | |
Ryohin Keikaku Co. Ltd. | 36,000 | 1,557 | |
Shinsegae Co. Ltd. | 4,130 | 1,099 | |
The Warehouse Group Ltd. | 163,300 | 468 | |
7,814 | |||
Specialty Retail - 2.8% | |||
Bookoff Corp. | 32,000 | 475 | |
Dixons Group PLC | 822,800 | 2,546 | |
Esprit Holdings Ltd. | 477,000 | 2,423 | |
Fast Retailing Co. Ltd. | 24,200 | 1,647 | |
Giordano International Ltd. | 1,276,000 | 704 | |
Home Depot, Inc. | 6,895,400 | 270,300 | |
JB Hi-Fi Ltd. | 236,064 | 529 | |
Nishimatsuya Chain Co. Ltd. | 19,000 | 610 | |
Office Depot, Inc. (a) | 130,800 | 1,966 | |
Ross Stores, Inc. | 31,400 | 736 | |
Shimachu Co. Ltd. | 27,000 | 653 | |
Staples, Inc. | 272,500 | 8,126 | |
TJX Companies, Inc. | 311,800 | 6,872 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - continued | |||
USS Co. Ltd. | 24,220 | $ 1,829 | |
Wyevale Garden Centres PLC | 116,000 | 748 | |
300,164 | |||
Textiles Apparel & Luxury Goods - 0.1% | |||
Adidas-Salomon AG | 15,300 | 2,138 | |
Arena Brands Holding Corp. Class B (m) | 130,444 | 1,350 | |
Billabong International Ltd. | 143,800 | 999 | |
Bulgari Spa | 321,700 | 3,205 | |
Ted Baker PLC | 358,600 | 2,719 | |
10,411 | |||
TOTAL CONSUMER DISCRETIONARY | 635,040 | ||
CONSUMER STAPLES - 3.9% | |||
Beverages - 0.5% | |||
Fosters Group Ltd. | 272,800 | 939 | |
Lion Nathan Ltd. | 185,300 | 995 | |
PepsiCo, Inc. | 520,370 | 25,316 | |
Pernod-Ricard | 38,500 | 5,118 | |
Southcorp Ltd. (a) | 200,100 | 491 | |
The Coca-Cola Co. | 492,850 | 19,739 | |
52,598 | |||
Food & Staples Retailing - 2.1% | |||
Aeon Co. Ltd. | 18,600 | 300 | |
Aeon Co. Ltd. New (a) | 18,600 | 297 | |
Circle K Sunkus Co. Ltd. (a) | 52,600 | 1,276 | |
CVS Corp. | 2,806,800 | 118,250 | |
Ito Yokado Ltd. | 35,700 | 1,227 | |
Lawson, Inc. | 35,300 | 1,226 | |
Safeway, Inc. (a) | 2,115,000 | 40,841 | |
Wal-Mart Stores, Inc. | 1,263,700 | 67,229 | |
Woolworths Ltd. | 50,400 | 500 | |
231,146 | |||
Food Products - 0.0% | |||
People's Food Holdings Ltd. | 1,061,000 | 731 | |
Pulmuone Co. Ltd. | 13,040 | 549 | |
1,280 | |||
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
CONSUMER STAPLES - continued | |||
Household Products - 0.2% | |||
Kimberly-Clark Corp. | 80,400 | $ 5,193 | |
Procter & Gamble Co. | 177,100 | 9,585 | |
14,778 | |||
Personal Products - 0.5% | |||
Alberto-Culver Co. | 1,184,400 | 51,498 | |
Amorepacific Corp. | 6,070 | 1,173 | |
Estee Lauder Companies, Inc. Class A | 87,600 | 3,662 | |
Hengan International Group Co. Ltd. | 162,000 | 83 | |
Kose Corp. | 21,200 | 813 | |
57,229 | |||
Tobacco - 0.6% | |||
Altria Group, Inc. | 1,417,100 | 66,660 | |
TOTAL CONSUMER STAPLES | 423,691 | ||
ENERGY - 2.3% | |||
Energy Equipment & Services - 1.4% | |||
Diamond Offshore Drilling, Inc. (f) | 1,212,700 | 40,007 | |
ENSCO International, Inc. | 854,500 | 27,917 | |
GlobalSantaFe Corp. | 1,227,986 | 37,638 | |
Nabors Industries Ltd. (a) | 123,100 | 5,829 | |
Transocean, Inc. (a) | 1,150,900 | 41,179 | |
152,570 | |||
Oil & Gas - 0.9% | |||
BP PLC | 86,000 | 825 | |
BP PLC sponsored ADR | 193,100 | 11,109 | |
ChevronTexaco Corp. | 922,400 | 49,478 | |
China Petroleum & Chemical Corp. (H Shares) | 756,000 | 310 | |
CNOOC Ltd. sponsored ADR | 21,600 | 1,136 | |
ENI Spa | 236,300 | 5,307 | |
Exxon Mobil Corp. | 158,700 | 7,670 | |
GS Holdings Corp. (a) | 13,394 | 287 | |
Nippon Oil Corp. | 176,000 | 1,112 | |
Royal Dutch Petroleum Co. (Hague Registry) | 91,800 | 4,737 | |
Shell Transport & Trading Co. PLC: | |||
ADR | 83,200 | 3,703 | |
(Reg.) | 90,200 | 669 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
ENERGY - continued | |||
Oil & Gas - continued | |||
Total SA: | |||
Series B | 5,400 | $ 1,103 | |
sponsored ADR | 127,800 | 13,057 | |
100,503 | |||
TOTAL ENERGY | 253,073 | ||
FINANCIALS - 13.7% | |||
Capital Markets - 1.8% | |||
Bear Stearns Companies, Inc. | 56,000 | 5,386 | |
Credit Suisse Group (Reg.) | 48,886 | 1,561 | |
D. Carnegie & Co. AB | 108,000 | 1,069 | |
DAB Bank AG (a) | 307,000 | 1,863 | |
Greenhill & Co., Inc. | 200 | 5 | |
JAFCO Co. Ltd. | 15,700 | 828 | |
Lehman Brothers Holdings, Inc. | 175,400 | 13,983 | |
Macquarie Bank Ltd. | 23,000 | 608 | |
Mediobanca Spa | 79,100 | 1,047 | |
Merrill Lynch & Co., Inc. | 959,100 | 47,686 | |
Mitsubishi Securities Co. Ltd. | 113,000 | 1,091 | |
Morgan Stanley | 2,400,900 | 118,364 | |
Nomura Holdings, Inc. | 37,000 | 478 | |
UBS AG (NY Shares) | 44,200 | 3,109 | |
197,078 | |||
Commercial Banks - 2.3% | |||
ABN-AMRO Holding NV | 163,300 | 3,717 | |
Australia & New Zealand Banking Group Ltd. | 218,000 | 3,018 | |
Banca Intesa Spa | 501,688 | 1,907 | |
Banco Bilbao Vizcaya Argentaria SA | 227,700 | 3,142 | |
Bank of America Corp. | 3,290,220 | 142,565 | |
BNP Paribas SA | 53,900 | 3,486 | |
Capitalia Spa | 456,800 | 1,681 | |
Chinatrust Financial Holding Co. | 744,900 | 803 | |
DBS Group Holdings Ltd. | 49,000 | 465 | |
Hana Bank | 39,140 | 931 | |
HSBC Holdings PLC: | |||
(Hong Kong) (Reg.) | 58,000 | 926 | |
sponsored ADR | 71,000 | 5,666 | |
Kookmin Bank (a) | 14,780 | 468 | |
Korea Exchange Bank (a) | 72,830 | 423 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Mitsubishi Tokyo Financial Group, Inc. (MTFG) | 304 | $ 2,535 | |
Mizuho Financial Group, Inc. | 803 | 3,022 | |
National Australia Bank | 50,912 | 998 | |
Nishi-Nippon Bank Ltd. | 271,900 | 1,055 | |
Nordea Bank AB | 200,500 | 1,639 | |
Oversea-Chinese Banking Corp. Ltd. | 116,000 | 964 | |
Royal Bank of Scotland Group PLC | 96,100 | 2,779 | |
Shinhan Financial Group Co. Ltd. | 39,600 | 684 | |
SouthTrust Corp. | 446,538 | 18,603 | |
St. George Bank Ltd. | 33,400 | 531 | |
Sumitomo Mitsui Financial Group, Inc. | 278 | 1,592 | |
Synovus Financial Corp. | 542,500 | 14,186 | |
Taishin Financial Holdings Co. Ltd. | 2,220,744 | 1,791 | |
UFJ Holdings, Inc. (a) | 429 | 1,883 | |
Wachovia Corp. | 464,300 | 21,799 | |
Wells Fargo & Co. | 96,200 | 5,736 | |
Westpac Banking Corp. | 62,900 | 812 | |
249,807 | |||
Consumer Finance - 0.3% | |||
Aeon Credit Service Ltd. | 14,700 | 839 | |
Aiful Corp. | 9,900 | 973 | |
MBNA Corp. | 1,035,300 | 26,090 | |
Nippon Shinpan Co. Ltd. | 229,000 | 676 | |
Omc Card, Inc. (a) | 134,000 | 1,399 | |
ORIX Corp. | 18,800 | 1,931 | |
SFCG Co. Ltd. | 9,600 | 1,890 | |
STB Leasing Co. Ltd. | 23,700 | 455 | |
34,253 | |||
Diversified Financial Services - 2.0% | |||
Citigroup, Inc. | 3,312,066 | 146,128 | |
Deutsche Boerse AG | 65,346 | 3,309 | |
Fortis | 114,600 | 2,731 | |
ING Groep NV (Certificaten Van Aandelen) | 139,700 | 3,532 | |
J.P. Morgan Chase & Co. | 1,689,930 | 67,141 | |
222,841 | |||
Insurance - 4.7% | |||
AFLAC, Inc. | 114,000 | 4,470 | |
Allianz AG (Reg.) | 24,000 | 2,414 | |
AMBAC Financial Group, Inc. | 360,100 | 28,790 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
American International Group, Inc. | 4,609,869 | $ 313,413 | |
Amlin PLC | 1,254,100 | 3,517 | |
AMP Ltd. | 139,800 | 634 | |
AXA SA | 139,400 | 2,827 | |
Cathay Financial Holding Co. Ltd. | 231,000 | 435 | |
Fuji Fire & Marine Insurance Co. Ltd. | 134,000 | 425 | |
Great Eastern Holdings Ltd. | 49,000 | 340 | |
Hartford Financial Services Group, Inc. | 977,380 | 60,529 | |
MBIA, Inc. | 347,500 | 20,228 | |
MetLife, Inc. | 1,084,200 | 41,904 | |
Millea Holdings, Inc. | 161 | 2,078 | |
PartnerRe Ltd. | 130,700 | 7,148 | |
Promina Group Ltd. | 330,038 | 1,088 | |
Prudential PLC | 163,600 | 1,336 | |
QBE Insurance Group Ltd. | 113,059 | 1,078 | |
Skandia Foersaekrings AB | 528,600 | 2,092 | |
St. Paul Travelers Companies, Inc. | 371,333 | 12,276 | |
507,022 | |||
Real Estate - 0.1% | |||
CapitaLand Ltd. | 496,000 | 527 | |
Cheung Kong Holdings Ltd. | 55,000 | 471 | |
Henderson Land Development Co. Ltd. | 139,000 | 665 | |
Japan Retail Fund Investment Corp. | 137 | 1,027 | |
Mitsubishi Estate Co. Ltd. | 73,000 | 763 | |
Sumitomo Realty & Development Co. Ltd. | 74,000 | 790 | |
Sun Hung Kai Properties Ltd. | 94,000 | 886 | |
Westfield Group unit (a) | 122,900 | 1,361 | |
Wharf Holdings Ltd. | 253,000 | 852 | |
7,342 | |||
Thrifts & Mortgage Finance - 2.5% | |||
Fannie Mae | 3,296,000 | 208,966 | |
Greenpoint Financial Corp. | 176,400 | 8,160 | |
MGIC Investment Corp. | 481,800 | 32,064 | |
New York Community Bancorp, Inc. | 1,036,266 | 21,285 | |
Sovereign Bancorp, Inc. | 70,400 | 1,536 | |
272,011 | |||
TOTAL FINANCIALS | 1,490,354 | ||
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
HEALTH CARE - 8.0% | |||
Biotechnology - 0.0% | |||
CSL Ltd. | 83,960 | $ 1,736 | |
Global Bio-Chem Technology Group Co. Ltd. | 680,000 | 519 | |
Global Bio-Chem Technology Group Co. Ltd. warrants 5/31/07 (a) | 85,000 | 6 | |
2,261 | |||
Health Care Equipment & Supplies - 0.3% | |||
Axis Shield PLC (a) | 249,267 | 869 | |
Baxter International, Inc. | 542,300 | 17,440 | |
Coloplast AS Series B | 18,300 | 1,771 | |
Corin Group PLC | 153,580 | 779 | |
Medtronic, Inc. | 152,100 | 7,894 | |
Phonak Holding AG | 87,423 | 2,812 | |
ResMed, Inc. CHESS Depositary Interests (a) | 142,600 | 691 | |
Terumo Corp. | 33,700 | 769 | |
Thermo Electron Corp. (a) | 166,400 | 4,496 | |
37,521 | |||
Health Care Providers & Services - 1.9% | |||
Alfresa Holdings Corp. | 7,200 | 253 | |
Cardinal Health, Inc. | 4,475,780 | 195,905 | |
DCA Group Ltd. (f) | 242,233 | 562 | |
Fresenius Medical Care AG | 32,800 | 2,515 | |
Henry Schein, Inc. (a) | 101,300 | 6,312 | |
Ramsay Health Care Ltd. | 108,500 | 490 | |
Service Corp. International (SCI) (a) | 370,009 | 2,298 | |
Sonic Healthcare Ltd. | 94,800 | 687 | |
209,022 | |||
Pharmaceuticals - 5.8% | |||
AstraZeneca PLC (United Kingdom) | 34,300 | 1,411 | |
Barr Pharmaceuticals, Inc. (a) | 82,100 | 3,401 | |
Chugai Pharmaceutical Co. Ltd. | 86,200 | 1,245 | |
GlaxoSmithKline PLC sponsored ADR | 164,600 | 7,198 | |
Johnson & Johnson | 1,729,300 | 97,411 | |
Merck & Co., Inc. | 1,347,620 | 44,471 | |
Novartis AG sponsored ADR | 79,200 | 3,696 | |
Novo Nordisk AS Series B | 52,100 | 2,856 | |
Pfizer, Inc. | 7,555,800 | 231,207 | |
Recordati Spa | 163,212 | 3,241 | |
Roche Holding AG (participation certificate) | 47,250 | 4,896 | |
Sanofi-Aventis | 55,000 | 4,027 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Schering-Plough Corp. | 1,514,007 | $ 28,857 | |
Shire Pharmaceuticals Group PLC | 153,500 | 1,466 | |
Takeda Pharamaceutical Co. Ltd. | 54,800 | 2,490 | |
Tong Ren Tang Technologies Co. Ltd. (H Shares) | 218,000 | 475 | |
Wyeth | 4,989,600 | 186,611 | |
Yamanouchi Pharmaceutical Co. Ltd. | 66,400 | 2,148 | |
627,107 | |||
TOTAL HEALTH CARE | 875,911 | ||
INDUSTRIALS - 3.8% | |||
Aerospace & Defense - 0.5% | |||
BAE Systems PLC | 1,064,100 | 4,334 | |
Lockheed Martin Corp. | 296,900 | 16,561 | |
Northrop Grumman Corp. | 176,500 | 9,413 | |
United Technologies Corp. | 242,400 | 22,635 | |
52,943 | |||
Air Freight & Logistics - 0.1% | |||
Ryder System, Inc. | 62,900 | 2,959 | |
Yamato Transport Co. Ltd. | 132,000 | 1,820 | |
4,779 | |||
Commercial Services & Supplies - 0.2% | |||
Accord Customer Care Solutions Ltd. (a) | 1,146,000 | 480 | |
Aramark Corp. Class B | 246,000 | 5,938 | |
ChoicePoint, Inc. (a) | 356,156 | 15,190 | |
Diamond Lease Co. Ltd. | 26,500 | 935 | |
Fullcast Co. Ltd. | 224 | 456 | |
Riso Kyoiku Co. Ltd. (f) | 401 | 245 | |
Riso Kyoiku Co. Ltd. New (a)(f) | 802 | 433 | |
Sumisho Lease Co. Ltd. | 14,800 | 535 | |
24,212 | |||
Construction & Engineering - 0.0% | |||
United Group Ltd. | 304,200 | 1,320 | |
Industrial Conglomerates - 2.5% | |||
General Electric Co. | 5,420,260 | 182,012 | |
Hutchison Whampoa Ltd. | 132,000 | 1,033 | |
Hutchison Whampoa Ltd. ADR | 17,700 | 696 | |
LG Corp. | 24,875 | 329 | |
Siemens AG (Reg.) | 25,700 | 1,894 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
INDUSTRIALS - continued | |||
Industrial Conglomerates - continued | |||
Tyco International Ltd. | 2,678,500 | $ 82,123 | |
Wesfarmers Ltd. | 29,000 | 675 | |
268,762 | |||
Machinery - 0.3% | |||
Bradken Ltd. | 251,400 | 591 | |
Ingersoll-Rand Co. Ltd. Class A | 507,600 | 34,502 | |
Koyo Seiko Co. Ltd. | 57,000 | 640 | |
35,733 | |||
Road & Rail - 0.2% | |||
ComfortDelgro Corp. Ltd. | 592,000 | 460 | |
CSX Corp. | 169,800 | 5,637 | |
East Japan Railway Co. | 571 | 2,958 | |
Hamakyorex Co. Ltd. | 15,500 | 518 | |
Norfolk Southern Corp. | 95,400 | 2,837 | |
Union Pacific Corp. | 91,200 | 5,344 | |
17,754 | |||
Trading Companies & Distributors - 0.0% | |||
Hagemeyer NV (a)(f) | 631,000 | 1,177 | |
Mitsui & Co. Ltd. | 119,000 | 998 | |
2,175 | |||
Transportation Infrastructure - 0.0% | |||
Adsteam Marine Ltd. | 416,800 | 443 | |
Cosco Pacific Ltd. | 596,000 | 994 | |
Macquarie Airports Fund | 640,400 | 1,207 | |
2,644 | |||
TOTAL INDUSTRIALS | 410,322 | ||
INFORMATION TECHNOLOGY - 7.1% | |||
Communications Equipment - 1.3% | |||
Cisco Systems, Inc. (a) | 4,611,714 | 83,472 | |
Comverse Technology, Inc. (a) | 795,900 | 14,987 | |
Motorola, Inc. | 2,119,800 | 38,241 | |
TANDBERG Television ASA (a) | 896,604 | 6,717 | |
Telefonaktiebolaget LM Ericsson (B Shares) (a) | 914,400 | 2,857 | |
146,274 | |||
Computers & Peripherals - 1.1% | |||
Dell, Inc. (a) | 2,056,500 | 73,211 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Computers & Peripherals - continued | |||
Diebold, Inc. | 125,900 | $ 5,880 | |
Fujitsu Ltd. | 76,000 | 440 | |
Hewlett-Packard Co. | 1,798,900 | 33,729 | |
High Tech Computer Corp. | 118,800 | 453 | |
Sun Microsystems, Inc. (a) | 986,700 | 3,986 | |
117,699 | |||
Electronic Equipment & Instruments - 0.4% | |||
Flextronics International Ltd. (a) | 829,600 | 10,992 | |
Hon Hai Precision Industries Co. Ltd. | 50,799 | 175 | |
Hoya Corp. | 18,900 | 1,984 | |
Interflex Co. Ltd. | 21,427 | 447 | |
Jabil Circuit, Inc. (a) | 401,400 | 9,232 | |
Kingboard Chemical Holdings Ltd. | 230,000 | 472 | |
Kingboard Chemical Holdings Ltd. warrants 12/31/06 (a) | 23,000 | 0 | |
Nippon Chemi-con Corp. | 190,000 | 941 | |
Sanmina-SCI Corp. (a) | 877,700 | 6,188 | |
Solectron Corp. (a) | 3,028,900 | 14,993 | |
45,424 | |||
Internet Software & Services - 0.0% | |||
Easynet Group PLC (a) | 551,100 | 734 | |
Softbank Corp. | 14,500 | 673 | |
1,407 | |||
IT Services - 0.5% | |||
Affiliated Computer Services, Inc. Class A (a) | 393,000 | 21,878 | |
First Data Corp. | 730,200 | 31,764 | |
Nomura Research Institute Ltd. | 8,300 | 669 | |
54,311 | |||
Office Electronics - 0.1% | |||
Canon, Inc. | 73,000 | 3,443 | |
Konica Minolta Holdings, Inc. | 80,500 | 1,103 | |
Ricoh Co. Ltd. | 102,000 | 1,924 | |
6,470 | |||
Semiconductors & Semiconductor Equipment - 0.8% | |||
Analog Devices, Inc. | 135,200 | 5,243 | |
ASML Holding NV (NY Shares) (a) | 92,700 | 1,193 | |
Intel Corp. | 2,375,900 | 47,661 | |
KLA-Tencor Corp. (a) | 51,900 | 2,153 | |
Lam Research Corp. (a) | 263,400 | 5,763 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Semiconductors & Semiconductor Equipment - continued | |||
Linear Technology Corp. | 77,050 | $ 2,792 | |
Novellus Systems, Inc. (a) | 56,700 | 1,508 | |
Samsung Electronics Co. Ltd. | 8,210 | 3,265 | |
Shinko Electric Industries Co.Ltd. | 29,800 | 902 | |
Taiwan Semiconductor Manufacturing Co. Ltd. sponsored ADR | 1,047,271 | 7,478 | |
United Microelectronics Corp. sponsored ADR (a) | 2,164,062 | 7,315 | |
Xilinx, Inc. | 52,800 | 1,426 | |
86,699 | |||
Software - 2.9% | |||
BEA Systems, Inc. (a) | 1,490,652 | 10,300 | |
F-Secure Oyj (a) | 627,050 | 1,279 | |
Microsoft Corp. | 10,360,765 | 286,475 | |
NDS Group PLC sponsored ADR (a) | 84,500 | 2,282 | |
Nintendo Co. Ltd. | 9,500 | 1,164 | |
VERITAS Software Corp. (a) | 752,666 | 13,397 | |
314,897 | |||
TOTAL INFORMATION TECHNOLOGY | 773,181 | ||
MATERIALS - 0.5% | |||
Chemicals - 0.2% | |||
BASF AG | 44,500 | 2,623 | |
Dow Chemical Co. | 423,810 | 19,148 | |
Rhodia SA (a)(f) | 638,000 | 889 | |
Syngenta AG (Switzerland) | 11,622 | 1,111 | |
Toray Industries, Inc. | 212,000 | 983 | |
24,754 | |||
Containers & Packaging - 0.0% | |||
Amcor Ltd. | 83,800 | 438 | |
Fuji Seal, Inc. | 22,400 | 959 | |
Rengo Co. Ltd. | 23,000 | 100 | |
1,497 | |||
Metals & Mining - 0.2% | |||
Alcan, Inc. | 368,100 | 17,650 | |
BHP Billiton Ltd. | 311,700 | 3,234 | |
BHP Billiton PLC | 226,900 | 2,391 | |
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Thyssenkrupp AG | 68,000 | $ 1,327 | |
Yanzhou Coal Mining Co. Ltd. (H Shares) (a) | 544,000 | 705 | |
25,307 | |||
Paper & Forest Products - 0.1% | |||
Bowater, Inc. | 99,000 | 3,781 | |
Carter Holt Harvey Ltd. | 239,850 | 366 | |
International Paper Co. | 78,200 | 3,160 | |
7,307 | |||
TOTAL MATERIALS | 58,865 | ||
TELECOMMUNICATION SERVICES - 3.7% | |||
Diversified Telecommunication Services - 3.4% | |||
Belgacom SA | 65,600 | 2,353 | |
BellSouth Corp. | 1,545,200 | 41,906 | |
BT Group PLC | 775,400 | 2,555 | |
China Telecom Corp. Ltd. sponsored ADR | 24,220 | 782 | |
Completel Europe NV (a) | 58,321 | 1,874 | |
Deutsche Telekom AG (Reg.) (a) | 136,100 | 2,540 | |
France Telecom SA | 48,428 | 1,211 | |
PCCW Ltd. (a) | 664,000 | 439 | |
Portugal Telecom SGPS SA sponsored ADR | 123,600 | 1,360 | |
Qwest Communications International, Inc. (a) | 8,586,100 | 28,592 | |
SBC Communications, Inc. | 8,645,600 | 224,353 | |
TDC AS | 81,500 | 2,887 | |
Telecom Corp. of New Zealand Ltd. | 290,800 | 1,161 | |
Verizon Communications, Inc. | 1,400,900 | 55,167 | |
367,180 | |||
Wireless Telecommunication Services - 0.3% | |||
Far EasTone Telecommunications Co. Ltd. | 623,150 | 589 | |
KDDI Corp. | 277 | 1,347 | |
Millicom International Cellular SA unit (a) | 103,400 | 1,847 | |
Nextel Communications, Inc. Class A (a) | 911,400 | 21,728 | |
Telecom Italia Mobile Spa (TIM) | 445,000 | 2,401 | |
Vodafone Group PLC | 2,254,800 | 5,436 | |
Vodafone Group PLC sponsored ADR | 46,800 | 1,128 | |
34,476 | |||
TOTAL TELECOMMUNICATION SERVICES | 401,656 | ||
Common Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
UTILITIES - 0.7% | |||
Electric Utilities - 0.6% | |||
Entergy Corp. | 194,700 | $ 11,801 | |
FirstEnergy Corp. | 608,000 | 24,977 | |
Fortum Oyj | 133,600 | 1,869 | |
PG&E Corp. (a) | 611,200 | 18,580 | |
Scottish Power PLC | 367,400 | 2,813 | |
Tokyo Electric Power Co. | 78,300 | 1,687 | |
61,727 | |||
Gas Utilities - 0.0% | |||
Hong Kong & China Gas Co. Ltd. | 367,000 | 685 | |
NiSource, Inc. | 136,600 | 2,870 | |
3,555 | |||
Multi-Utilities & Unregulated Power - 0.1% | |||
Public Service Enterprise Group, Inc. | 70,800 | 3,016 | |
RWE AG | 72,600 | 3,474 | |
6,490 | |||
TOTAL UTILITIES | 71,772 | ||
TOTAL COMMON STOCKS (Cost $5,204,863) | 5,393,865 | ||
Preferred Stocks - 0.1% | |||
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
ITV PLC | 119,544 | 91 | |
MATERIALS - 0.1% | |||
Paper & Forest Products - 0.1% | |||
International Paper Capital Trust 2.625% | 122,900 | 6,160 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 6,251 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Porsche AG (non-vtg.) | 1,930 | 1,256 | |
Preferred Stocks - continued | |||
Shares | Value (Note 1) (000s) | ||
Nonconvertible Preferred Stocks - continued | |||
CONSUMER DISCRETIONARY - continued | |||
Household Durables - 0.0% | |||
LG Electronics, Inc. | 11,440 | $ 350 | |
Media - 0.0% | |||
Granite Broadcasting Corp. 12.75% pay-in-kind (a) | 2,670 | 1,215 | |
TOTAL CONSUMER DISCRETIONARY | 2,821 | ||
HEALTH CARE - 0.0% | |||
Health Care Equipment & Supplies - 0.0% | |||
Fresenius AG | 16,800 | 1,376 | |
Health Care Providers & Services - 0.0% | |||
Fresenius Medical Care AG | 19,200 | 1,047 | |
TOTAL HEALTH CARE | 2,423 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Samsung Electronics Co. Ltd. | 2,660 | 696 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 5,940 | ||
TOTAL PREFERRED STOCKS (Cost $12,492) | 12,191 | ||
Corporate Bonds - 12.3% | ||||
Principal Amount (000s) | ||||
Convertible Bonds - 0.3% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Specialty Retail - 0.1% | ||||
Gap, Inc. 5.75% 3/15/09 (g) | $ 4,359 | 5,340 | ||
FINANCIALS - 0.2% | ||||
Diversified Financial Services - 0.2% | ||||
Tyco International Group SA yankee 3.125% 1/15/23 | 17,040 | 25,473 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Convertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - 0.0% | ||||
Communications Equipment - 0.0% | ||||
CIENA Corp. 3.75% 2/1/08 | $ 2,490 | $ 2,107 | ||
TOTAL CONVERTIBLE BONDS | 32,920 | |||
Nonconvertible Bonds - 12.0% | ||||
CONSUMER DISCRETIONARY - 2.0% | ||||
Auto Components - 0.2% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
4.75% 1/15/08 | 11,480 | 11,823 | ||
7.2% 9/1/09 | 2,000 | 2,251 | ||
7.75% 1/18/11 | 2,500 | 2,907 | ||
Delco Remy International, Inc. 9.375% 4/15/12 | 1,470 | 1,448 | ||
Stoneridge, Inc. 11.5% 5/1/12 | 1,620 | 1,839 | ||
Tenneco Automotive, Inc. 10.25% 7/15/13 | 1,180 | 1,345 | ||
Visteon Corp.: | ||||
7% 3/10/14 | 1,370 | 1,303 | ||
8.25% 8/1/10 | 1,540 | 1,625 | ||
24,541 | ||||
Automobiles - 0.2% | ||||
Ford Motor Co. 7.45% 7/16/31 | 9,045 | 8,869 | ||
General Motors Corp. 8.25% 7/15/23 | 10,395 | 10,935 | ||
19,804 | ||||
Hotels, Restaurants & Leisure - 0.4% | ||||
Chumash Casino & Resort Enterprise 9% 7/15/10 (g)(n) | 2,170 | 2,409 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 2,700 | 2,579 | ||
Host Marriott LP 7.125% 11/1/13 | 4,155 | 4,352 | ||
Mandalay Resort Group: | ||||
9.375% 2/15/10 | 395 | 451 | ||
10.25% 8/1/07 | 1,575 | 1,784 | ||
MGM MIRAGE: | ||||
6% 10/1/09 (g) | 3,220 | 3,252 | ||
6.75% 9/1/12 (g) | 2,370 | 2,450 | ||
6.875% 2/6/08 | 440 | 479 | ||
Mohegan Tribal Gaming Authority 6.375% 7/15/09 | 2,580 | 2,677 | ||
MTR Gaming Group, Inc. 9.75% 4/1/10 | 1,650 | 1,799 | ||
NCL Corp. Ltd. 10.625% 7/15/14 (g) | 2,875 | 3,012 | ||
Park Place Entertainment Corp. 7.875% 3/15/10 | 1,900 | 2,138 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Royal Caribbean Cruises Ltd. 6.875% 12/1/13 | $ 3,485 | $ 3,694 | ||
Seneca Gaming Corp. 7.25% 5/1/12 (g) | 1,970 | 2,029 | ||
Speedway Motorsports, Inc.: | ||||
6.75% 6/1/13 | 1,460 | 1,522 | ||
6.75% 6/1/13 (g) | 380 | 396 | ||
Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11 | 580 | 637 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (e) | 1,725 | 871 | ||
Town Sports International, Inc. 9.625% 4/15/11 | 2,825 | 2,874 | ||
Venetian Casino Resort LLC/Las Vegas Sands, Inc. 11% 6/15/10 | 2,720 | 3,121 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 3,355 | 3,548 | ||
46,074 | ||||
Household Durables - 0.3% | ||||
Beazer Homes USA, Inc.: | ||||
6.5% 11/15/13 | 905 | 923 | ||
8.375% 4/15/12 | 2,590 | 2,862 | ||
K. Hovnanian Enterprises, Inc. 8.875% 4/1/12 | 4,060 | 4,547 | ||
KB Home 7.75% 2/1/10 | 4,265 | 4,628 | ||
Meritage Homes Corp. 7% 5/1/14 | 2,060 | 2,122 | ||
Standard Pacific Corp.: | ||||
5.125% 4/1/09 | 1,840 | 1,831 | ||
6.875% 5/15/11 | 1,160 | 1,218 | ||
Technical Olympic USA, Inc.: | ||||
7.5% 3/15/11 | 1,870 | 1,917 | ||
10.375% 7/1/12 | 515 | 581 | ||
WCI Communities, Inc. 7.875% 10/1/13 | 2,590 | 2,739 | ||
William Lyon Homes, Inc.: | ||||
7.5% 2/15/14 | 2,265 | 2,310 | ||
10.75% 4/1/13 | 3,805 | 4,376 | ||
30,054 | ||||
Media - 0.6% | ||||
AMC Entertainment, Inc.: | ||||
8% 3/1/14 (g) | 1,280 | 1,203 | ||
9.5% 2/1/11 | 2,127 | 2,175 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 5,850 | 6,733 | ||
Cablevision Systems Corp.: | ||||
5.66% 4/1/09 (g)(j) | 6,545 | 6,807 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Cablevision Systems Corp.: - continued | ||||
8% 4/15/12 (g) | $ 2,250 | $ 2,340 | ||
Cinemark, Inc. 0% 3/15/14 (e) | 3,000 | 2,063 | ||
Continental Cablevision, Inc. 9% 9/1/08 | 2,650 | 3,107 | ||
Corus Entertainment, Inc. 8.75% 3/1/12 | 1,960 | 2,161 | ||
Cox Communications, Inc. 7.125% 10/1/12 | 3,425 | 3,716 | ||
CSC Holdings, Inc. 7.25% 7/15/08 | 1,135 | 1,183 | ||
EchoStar DBS Corp.: | ||||
5.75% 10/1/08 | 3,900 | 3,910 | ||
6.625% 10/1/14 (g) | 2,240 | 2,221 | ||
Granite Broadcasting Corp. 9.75% 12/1/10 | 1,080 | 988 | ||
Gray Television, Inc. 9.25% 12/15/11 | 2,385 | 2,677 | ||
Houghton Mifflin Co. 9.875% 2/1/13 | 1,460 | 1,533 | ||
Innova S. de R.L. 9.375% 9/19/13 | 2,680 | 2,928 | ||
Insight Midwest LP/Insight Capital, Inc. 10.5% 11/1/10 | 540 | 591 | ||
LBI Media, Inc. 10.125% 7/15/12 | 2,815 | 3,146 | ||
Liberty Media Corp. 8.25% 2/1/30 | 4,000 | 4,440 | ||
PanAmSat Corp. 9% 8/15/14 (g) | 5,990 | 6,245 | ||
PEI Holdings, Inc. 11% 3/15/10 | 1,525 | 1,765 | ||
Sinclair Broadcast Group, Inc. 8% 3/15/12 | 3,665 | 3,802 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 4,815 | 4,959 | ||
70,693 | ||||
Multiline Retail - 0.0% | ||||
Barneys, Inc. 9% 4/1/08 | 1,630 | 1,699 | ||
Specialty Retail - 0.2% | ||||
Asbury Automotive Group, Inc. 9% 6/15/12 | 3,125 | 3,273 | ||
Blockbuster, Inc. 9% 9/1/12 (g) | 780 | 805 | ||
NBC Acquisition Corp. 0% 3/15/13 (e) | 4,270 | 2,989 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 2,970 | 2,955 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 3,060 | 3,228 | ||
United Rentals North America, Inc.: | ||||
6.5% 2/15/12 | 1,865 | 1,790 | ||
7% 2/15/14 | 345 | 308 | ||
7.75% 11/15/13 | 6,770 | 6,330 | ||
21,678 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Textiles Apparel & Luxury Goods - 0.1% | ||||
Levi Strauss & Co. 12.25% 12/15/12 | $ 3,655 | $ 3,874 | ||
Samsonite Corp. 8.875% 6/1/11 (g) | 1,895 | 1,980 | ||
5,854 | ||||
TOTAL CONSUMER DISCRETIONARY | 220,397 | |||
CONSUMER STAPLES - 0.3% | ||||
Food & Staples Retailing - 0.1% | ||||
Jean Coutu Group, Inc.: | ||||
7.625% 8/1/12 (g) | 700 | 712 | ||
8.5% 8/1/14 (g) | 1,550 | 1,535 | ||
Rite Aid Corp.: | ||||
6% 12/15/05 (g) | 3,305 | 3,330 | ||
6.875% 8/15/13 | 385 | 336 | ||
8.125% 5/1/10 | 510 | 533 | ||
9.25% 6/1/13 | 310 | 318 | ||
9.5% 2/15/11 | 750 | 821 | ||
Stater Brothers Holdings, Inc.: | ||||
5.38% 6/15/10 (j) | 2,220 | 2,253 | ||
8.125% 6/15/12 | 1,480 | 1,547 | ||
11,385 | ||||
Food Products - 0.2% | ||||
ConAgra Foods, Inc. 6.75% 9/15/11 | 2,500 | 2,813 | ||
Del Monte Corp.: | ||||
9.25% 5/15/11 | 4,625 | 5,111 | ||
8.625% 12/15/12 | 725 | 808 | ||
Dole Food Co., Inc. 7.25% 6/15/10 | 3,770 | 3,836 | ||
Smithfield Foods, Inc.: | ||||
7.625% 2/15/08 | 965 | 1,030 | ||
7.75% 5/15/13 | 810 | 875 | ||
8% 10/15/09 | 390 | 428 | ||
Swift & Co. 10.125% 10/1/09 | 1,880 | 2,077 | ||
United Agriculture Products, Inc. 8.25% 12/15/11 (g) | 1,440 | 1,548 | ||
18,526 | ||||
Tobacco - 0.0% | ||||
Philip Morris Companies, Inc. 7.75% 1/15/27 | 6,000 | 6,338 | ||
TOTAL CONSUMER STAPLES | 36,249 | |||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - 1.0% | ||||
Energy Equipment & Services - 0.1% | ||||
Hanover Compressor Co.: | ||||
0% 3/31/07 | $ 6,325 | $ 5,313 | ||
8.625% 12/15/10 | 2,300 | 2,496 | ||
9% 6/1/14 | 920 | 1,010 | ||
Parker Drilling Co.: | ||||
6.54% 9/1/10 (g)(j) | 2,330 | 2,336 | ||
9.625% 10/1/13 | 750 | 829 | ||
Pride International, Inc. 7.375% 7/15/14 (g) | 215 | 237 | ||
SESI LLC 8.875% 5/15/11 | 2,810 | 3,042 | ||
15,263 | ||||
Oil & Gas - 0.9% | ||||
Amerada Hess Corp.: | ||||
6.65% 8/15/11 | 640 | 707 | ||
7.125% 3/15/33 | 1,660 | 1,782 | ||
7.375% 10/1/09 | 1,909 | 2,145 | ||
Belden & Blake Corp. 8.75% 7/15/12 (g) | 740 | 784 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (g) | 4,040 | 4,097 | ||
Chesapeake Energy Corp. 9% 8/15/12 | 730 | 835 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 1,380 | 1,366 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (g) | 3,750 | 4,181 | ||
Enterprise Products Operating LP: | ||||
4% 10/15/07 (g) | 2,940 | 2,956 | ||
4.625% 10/15/09 (g) | 2,100 | 2,117 | ||
5.6% 10/15/14 (g) | 1,865 | 1,879 | ||
General Maritime Corp. 10% 3/15/13 | 5,460 | 6,197 | ||
Kerr-McGee Corp. 7.875% 9/15/31 | 4,650 | 5,498 | ||
Newfield Exploration Co. 6.625% 9/1/14 (g) | 2,390 | 2,486 | ||
Overseas Shipholding Group, Inc. 8.25% 3/15/13 | 5,105 | 5,641 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,615 | 2,759 | ||
Ras Laffan Liquid Natural Gas Co. Ltd. yankee 8.294% 3/15/14 (g) | 5,560 | 6,545 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 9,420 | 9,420 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 6,690 | 7,627 | ||
The Coastal Corp.: | ||||
6.375% 2/1/09 | 1,055 | 1,005 | ||
6.5% 6/1/08 | 885 | 858 | ||
7.75% 6/15/10 | 3,530 | 3,530 | ||
7.75% 10/15/35 | 1,655 | 1,423 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil & Gas - continued | ||||
The Coastal Corp.: - continued | ||||
9.625% 5/15/12 | $ 6,590 | $ 6,903 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 8,050 | 8,835 | ||
7.5% 1/15/31 | 2,950 | 2,965 | ||
94,541 | ||||
TOTAL ENERGY | 109,804 | |||
FINANCIALS - 3.5% | ||||
Capital Markets - 0.3% | ||||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (j) | 3,715 | 3,638 | ||
4.25% 9/4/12 (j) | 3,570 | 3,609 | ||
BCP Caylux Holdings Luxembourg SCA 9.625% 6/15/14 (g) | 5,630 | 6,080 | ||
Goldman Sachs Group, Inc. 5.25% 10/15/13 | 4,000 | 4,027 | ||
Morgan Stanley: | ||||
4.75% 4/1/14 | 5,600 | 5,421 | ||
6.6% 4/1/12 | 11,865 | 13,231 | ||
36,006 | ||||
Commercial Banks - 0.4% | ||||
Bank of America Corp.: | ||||
7.4% 1/15/11 | 7,450 | 8,683 | ||
7.8% 2/15/10 | 10,000 | 11,748 | ||
Export-Import Bank of Korea: | ||||
4.125% 2/10/09 (g) | 1,215 | 1,215 | ||
5.25% 2/10/14 (g) | 4,545 | 4,605 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 5,750 | 5,694 | ||
4.75% 7/20/09 | 2,725 | 2,788 | ||
Wachovia Corp. 6.15% 3/15/09 | 4,500 | 4,888 | ||
39,621 | ||||
Consumer Finance - 0.5% | ||||
Capital One Bank: | ||||
4.875% 5/15/08 | 2,700 | 2,796 | ||
6.5% 6/13/13 | 3,750 | 4,101 | ||
Ford Motor Credit Co. 7.875% 6/15/10 | 5,000 | 5,577 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
General Motors Acceptance Corp. 7.75% 1/19/10 | $ 16,160 | $ 17,758 | ||
Household Finance Corp.: | ||||
5.875% 2/1/09 | 675 | 728 | ||
6.375% 10/15/11 | 6,200 | 6,834 | ||
6.375% 11/27/12 | 3,805 | 4,216 | ||
6.75% 5/15/11 | 1,125 | 1,266 | ||
Household International, Inc. 8.875% 2/15/08 | 6,625 | 7,141 | ||
MBNA Corp. 6.25% 1/17/07 | 2,775 | 2,939 | ||
53,356 | ||||
Diversified Financial Services - 1.4% | ||||
Ahold Finance USA, Inc.: | ||||
6.25% 5/1/09 | 4,635 | 4,844 | ||
8.25% 7/15/10 | 3,195 | 3,578 | ||
Cellu Tissue Holdings, Inc. 9.75% 3/15/10 (g) | 1,580 | 1,604 | ||
Deutsche Telekom International Finance BV 8.75% 6/15/30 | 8,800 | 11,375 | ||
Financement Quebec 5% 10/25/12 | 4,700 | 4,867 | ||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | 3,955 | 4,489 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 10.5% 9/1/10 (g) | 3,405 | 3,763 | ||
Hutchison Whampoa International 03/33 Ltd. 7.45% 11/24/33 (g) | 1,800 | 1,865 | ||
Ispat Inland ULC 9.75% 4/1/14 | 4,950 | 5,445 | ||
J.P. Morgan Chase & Co. 6.75% 2/1/11 | 14,500 | 16,313 | ||
Jostens Holding Corp. 0% 12/1/13 (e) | 1,965 | 1,346 | ||
Jostens IH Corp. 7.625% 10/1/12 (g) | 930 | 935 | ||
Leucadia National Corp. 7% 8/15/13 | 2,200 | 2,189 | ||
Midland Funding Corp. II 11.75% 7/23/05 | 1,077 | 1,150 | ||
Mizuho Financial Group Cayman Ltd. 5.79% 4/15/14 (g) | 11,805 | 12,180 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 2,225 | 2,384 | ||
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 385 | 422 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,145 | 1,174 | ||
NiSource Finance Corp. 7.875% 11/15/10 | 1,045 | 1,235 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Petronas Capital Ltd.: | ||||
7% 5/22/12 (g) | $ 2,000 | $ 2,278 | ||
7.875% 5/22/22 (g) | 6,000 | 7,185 | ||
Prime Property Funding II 6.25% 5/15/07 (g) | 3,990 | 4,268 | ||
Qwest Capital Funding, Inc.: | ||||
7% 8/3/09 | 3,520 | 3,238 | ||
7.25% 2/15/11 | 2,855 | 2,541 | ||
7.75% 8/15/06 | 4,200 | 4,216 | ||
Rabobank Capital Funding Trust II 5.26% 12/31/49 (g)(j) | 8,360 | 8,434 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 2,010 | 2,040 | ||
Sprint Capital Corp. 8.375% 3/15/12 | 1,900 | 2,301 | ||
Stone Container Finance Co. 7.375% 7/15/14 (g) | 1,090 | 1,145 | ||
Telecom Italia Capital: | ||||
4% 11/15/08 (g) | 2,510 | 2,524 | ||
5.25% 11/15/13 (g) | 2,060 | 2,099 | ||
TRW Automotive Acquisition Corp. 9.375% 2/15/13 | 395 | 448 | ||
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 4,677 | 4,315 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 2,245 | 2,615 | ||
Verizon Global Funding Corp. 7.25% 12/1/10 | 10,303 | 11,880 | ||
Western Financial Bank 9.625% 5/15/12 | 5,820 | 6,577 | ||
149,262 | ||||
Insurance - 0.3% | ||||
Crum & Forster Holdings Corp. 10.375% 6/15/13 | 4,025 | 4,246 | ||
Oil Insurance Ltd. 5.15% 8/15/33 (g)(j) | 2,700 | 2,745 | ||
Principal Life Global Funding I 5.125% 6/28/07 (g) | 16,000 | 16,733 | ||
Provident Companies, Inc. 7% 7/15/18 | 300 | 292 | ||
QBE Insurance Group Ltd. 5.647% 7/1/23 (g)(j) | 2,525 | 2,487 | ||
UnumProvident Corp.: | ||||
6.75% 12/15/28 | 750 | 683 | ||
7.375% 6/15/32 | 750 | 726 | ||
7.625% 3/1/11 | 2,675 | 2,856 | ||
30,768 | ||||
Real Estate - 0.5% | ||||
American Real Estate Partners/American Real Estate Finance Corp. 8.125% 6/1/12 (g) | 3,530 | 3,715 | ||
CarrAmerica Realty Corp. 5.25% 11/30/07 | 3,500 | 3,664 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate - continued | ||||
CenterPoint Properties Trust: | ||||
4.75% 8/1/10 | $ 1,500 | $ 1,520 | ||
5.25% 7/15/11 | 3,750 | 3,825 | ||
EOP Operating LP: | ||||
6.763% 6/15/07 | 8,075 | 8,700 | ||
7.75% 11/15/07 | 14,045 | 15,683 | ||
Gables Realty LP 5.75% 7/15/07 | 1,000 | 1,056 | ||
La Quinta Properties, Inc. 7% 8/15/12 (g) | 2,355 | 2,490 | ||
Mack-Cali Realty LP 7.25% 3/15/09 | 2,350 | 2,630 | ||
Omega Healthcare Investors, Inc. 7% 4/1/14 (g) | 2,450 | 2,487 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 1,800 | 1,953 | ||
8.625% 1/15/12 | 2,830 | 3,148 | ||
Simon Property Group LP 4.875% 8/15/10 (g) | 5,685 | 5,762 | ||
56,633 | ||||
Thrifts & Mortgage Finance - 0.1% | ||||
Countrywide Home Loans, Inc. 4% 3/22/11 | 3,000 | 2,913 | ||
Independence Community Bank Corp. 3.75% 4/1/14 (j) | 2,300 | 2,234 | ||
Washington Mutual, Inc. 4.625% 4/1/14 | 7,000 | 6,691 | ||
11,838 | ||||
TOTAL FINANCIALS | 377,484 | |||
HEALTH CARE - 0.4% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Fisher Scientific International, Inc.: | ||||
6.75% 8/15/14 (g) | 770 | 809 | ||
8% 9/1/13 | 3,085 | 3,447 | ||
8.125% 5/1/12 | 575 | 641 | ||
PerkinElmer, Inc. 8.875% 1/15/13 | 5,495 | 6,209 | ||
11,106 | ||||
Health Care Providers & Services - 0.3% | ||||
AmerisourceBergen Corp. 7.25% 11/15/12 | 3,430 | 3,704 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 (g) | 540 | 591 | ||
9.5% 8/15/10 | 1,320 | 1,459 | ||
Genesis HealthCare Corp. 8% 10/15/13 | 1,370 | 1,486 | ||
Mariner Health Care, Inc. 8.25% 12/15/13 (g) | 4,630 | 4,931 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
PacifiCare Health Systems, Inc. 10.75% 6/1/09 | $ 2,014 | $ 2,311 | ||
Psychiatric Solutions, Inc. 10.625% 6/15/13 | 3,035 | 3,437 | ||
Tenet Healthcare Corp.: | ||||
6.375% 12/1/11 | 5,070 | 4,525 | ||
6.5% 6/1/12 | 620 | 552 | ||
7.375% 2/1/13 | 3,735 | 3,474 | ||
26,470 | ||||
Pharmaceuticals - 0.0% | ||||
Biovail Corp. yankee 7.875% 4/1/10 | 2,805 | 2,861 | ||
TOTAL HEALTH CARE | 40,437 | |||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.1% | ||||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (g) | 4,160 | 3,593 | ||
7.45% 5/1/34 (g) | 5,620 | 4,728 | ||
Orbital Sciences Corp. 9% 7/15/11 | 1,900 | 2,109 | ||
Primus International, Inc. 10.5% 4/15/09 (g) | 1,940 | 1,959 | ||
12,389 | ||||
Airlines - 0.3% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 5,000 | 4,375 | ||
6.977% 11/23/22 | 337 | 293 | ||
7.324% 4/15/11 | 915 | 714 | ||
7.377% 5/23/19 | 3,899 | 2,223 | ||
7.379% 5/23/16 | 2,648 | 1,509 | ||
7.8% 4/1/08 | 2,380 | 1,987 | ||
8.608% 10/1/12 | 620 | 524 | ||
10.18% 1/2/13 | 1,200 | 672 | ||
AMR Corp. 9% 8/1/12 | 3,470 | 2,151 | ||
Continental Airlines, Inc.: | ||||
7.875% 7/2/18 | 3,188 | 2,981 | ||
8% 12/15/05 | 35 | 32 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.748% 9/15/18 | 236 | 180 | ||
6.795% 2/2/20 | 801 | 641 | ||
6.9% 7/2/18 | 1,443 | 1,111 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Continental Airlines, Inc. pass thru trust certificates: - continued | ||||
6.954% 2/2/11 | $ 370 | $ 274 | ||
7.461% 4/1/13 | 631 | 486 | ||
7.73% 9/15/12 | 627 | 452 | ||
7.82% 4/15/15 | 783 | 587 | ||
8.307% 10/2/19 | 2,973 | 2,378 | ||
8.321% 11/1/06 | 1,320 | 1,228 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 | 1,020 | 296 | ||
10% 8/15/08 | 645 | 206 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.57% 11/18/10 | 6,255 | 5,617 | ||
7.779% 11/18/05 | 270 | 103 | ||
7.779% 1/2/12 | 1,110 | 389 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.068% 7/2/17 | 988 | 791 | ||
7.67% 1/2/15 | 2,922 | 2,337 | ||
34,537 | ||||
Building Products - 0.0% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 2,335 | 2,580 | ||
Nortek, Inc. 8.5% 9/1/14 (g) | 2,710 | 2,832 | ||
5,412 | ||||
Commercial Services & Supplies - 0.1% | ||||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 1,840 | 1,739 | ||
6.375% 4/15/11 | 1,445 | 1,416 | ||
9.25% 9/1/12 | 915 | 1,023 | ||
Browning-Ferris Industries, Inc. 6.375% 1/15/08 | 3,360 | 3,444 | ||
7,622 | ||||
Construction & Engineering - 0.0% | ||||
Amsted Industries, Inc. 10.25% 10/15/11 (g) | 2,860 | 3,160 | ||
Machinery - 0.2% | ||||
Dresser, Inc. 9.375% 4/15/11 | 5,150 | 5,652 | ||
Invensys PLC 9.875% 3/15/11 (g) | 7,515 | 7,722 | ||
Navistar International Corp. 7.5% 6/15/11 | 890 | 950 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
SPX Corp.: | ||||
6.25% 6/15/11 | $ 145 | $ 141 | ||
7.5% 1/1/13 | 2,320 | 2,358 | ||
16,823 | ||||
Marine - 0.0% | ||||
OMI Corp. 7.625% 12/1/13 | 4,755 | 4,921 | ||
Road & Rail - 0.1% | ||||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 2,515 | 2,565 | ||
TFM SA de CV yankee: | ||||
10.25% 6/15/07 | 495 | 509 | ||
11.75% 6/15/09 | 3,960 | 3,980 | ||
7,054 | ||||
TOTAL INDUSTRIALS | 91,918 | |||
INFORMATION TECHNOLOGY - 0.4% | ||||
Communications Equipment - 0.0% | ||||
Lucent Technologies, Inc.: | ||||
5.5% 11/15/08 | 2,510 | 2,497 | ||
6.45% 3/15/29 | 895 | 720 | ||
3,217 | ||||
Electronic Equipment & Instruments - 0.1% | ||||
Celestica, Inc. 7.875% 7/1/11 | 3,490 | 3,638 | ||
Flextronics International Ltd. 6.5% 5/15/13 | 4,900 | 4,998 | ||
8,636 | ||||
IT Services - 0.1% | ||||
Electronic Data Systems Corp. 6% 8/1/13 | 1,490 | 1,503 | ||
Iron Mountain, Inc. 8.625% 4/1/13 | 1,710 | 1,864 | ||
3,367 | ||||
Office Electronics - 0.1% | ||||
Xerox Corp.: | ||||
6.875% 8/15/11 | 6,430 | 6,719 | ||
7.125% 6/15/10 | 2,270 | 2,406 | ||
7.2% 4/1/16 | 735 | 753 | ||
7.625% 6/15/13 | 720 | 778 | ||
9.75% 1/15/09 | 925 | 1,078 | ||
11,734 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Freescale Semiconductor, Inc.: | ||||
4.38% 7/15/09 (g)(j) | $ 2,160 | $ 2,225 | ||
6.875% 7/15/11 (g) | 3,000 | 3,113 | ||
7.125% 7/15/14 (g) | 725 | 754 | ||
Micron Technology, Inc. 6.5% 9/30/05 (m) | 8,000 | 7,960 | ||
14,052 | ||||
TOTAL INFORMATION TECHNOLOGY | 41,006 | |||
MATERIALS - 1.6% | ||||
Chemicals - 0.6% | ||||
Berry Plastics Corp. 10.75% 7/15/12 | 3,025 | 3,418 | ||
Borden US Finance Corp./Nova Scotia Finance ULC: | ||||
6.43% 7/15/10 (g)(j) | 1,760 | 1,800 | ||
9% 7/15/14 (g) | 2,110 | 2,231 | ||
Equistar Chemicals LP/Equistar Funding Corp.: | ||||
8.75% 2/15/09 | 1,460 | 1,573 | ||
10.125% 9/1/08 | 1,650 | 1,852 | ||
10.625% 5/1/11 | 5,700 | 6,470 | ||
HMP Equity Holdings Corp. 0% 5/15/08 | 3,615 | 2,277 | ||
Huntsman ICI Chemicals LLC 10.125% 7/1/09 | 5,730 | 6,017 | ||
Huntsman ICI Holdings LLC 0% 12/31/09 | 1,830 | 970 | ||
Huntsman LLC: | ||||
8.8% 7/15/11 (g)(j) | 3,740 | 3,946 | ||
11.5% 7/15/12 (g) | 1,860 | 2,046 | ||
Lubrizol Corp.: | ||||
4.625% 10/1/09 | 2,990 | 2,991 | ||
5.5% 10/1/14 | 1,940 | 1,927 | ||
6.5% 10/1/34 | 1,655 | 1,614 | ||
Lyondell Chemical Co.: | ||||
9.5% 12/15/08 | 6,525 | 7,088 | ||
9.625% 5/1/07 | 2,940 | 3,175 | ||
9.875% 5/1/07 | 2,178 | 2,295 | ||
10.875% 5/1/09 | 4,635 | 4,907 | ||
Millennium America, Inc.: | ||||
9.25% 6/15/08 | 4,960 | 5,425 | ||
9.25% 6/15/08 (g) | 980 | 1,072 | ||
NOVA Chemicals Corp. 6.5% 1/15/12 | 735 | 763 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
NOVA Chemicals Corp. 7.4% 4/1/09 | $ 740 | $ 796 | ||
Pliant Corp.: | ||||
0% 6/15/09 (e) | 1,410 | 1,191 | ||
11.125% 9/1/09 | 830 | 859 | ||
66,703 | ||||
Construction Materials - 0.1% | ||||
Texas Industries, Inc. 10.25% 6/15/11 | 5,975 | 6,856 | ||
Containers & Packaging - 0.2% | ||||
Anchor Glass Container Corp. 11% 2/15/13 | 2,815 | 3,181 | ||
BWAY Corp. 10% 10/15/10 | 1,510 | 1,631 | ||
Crown European Holdings SA: | ||||
9.5% 3/1/11 | 350 | 390 | ||
10.875% 3/1/13 | 3,155 | 3,676 | ||
Graphic Packaging International, Inc. 8.5% 8/15/11 | 1,770 | 1,965 | ||
Owens-Brockway Glass Container, Inc.: | ||||
8.25% 5/15/13 | 960 | 1,022 | ||
8.875% 2/15/09 | 2,360 | 2,561 | ||
Owens-Illinois, Inc.: | ||||
7.35% 5/15/08 | 5,080 | 5,245 | ||
7.5% 5/15/10 | 3,155 | 3,250 | ||
Sealed Air Corp. 5.625% 7/15/13 (g) | 900 | 925 | ||
23,846 | ||||
Metals & Mining - 0.3% | ||||
AK Steel Corp.: | ||||
7.75% 6/15/12 | 2,105 | 2,058 | ||
7.875% 2/15/09 | 1,555 | 1,539 | ||
Allegheny Technologies, Inc. 8.375% 12/15/11 | 3,215 | 3,424 | ||
Century Aluminum Co. 7.5% 8/15/14 (g) | 1,685 | 1,769 | ||
Compass Minerals International, Inc. 0% 6/1/13 (e) | 6,290 | 4,969 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (g) | 2,185 | 2,412 | ||
CSN Islands VII Corp. 10.75% 9/12/08 (g) | 3,405 | 3,775 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (g) | 1,260 | 1,263 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 885 | 848 | ||
10.125% 2/1/10 | 2,790 | 3,153 | ||
International Steel Group, Inc. 6.5% 4/15/14 (g) | 3,055 | 3,055 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Peabody Energy Corp. 6.875% 3/15/13 | $ 1,800 | $ 1,931 | ||
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 (g) | 3,405 | 3,388 | ||
33,584 | ||||
Paper & Forest Products - 0.4% | ||||
Abitibi-Consolidated, Inc.: | ||||
5.38% 6/15/11 (j) | 2,315 | 2,335 | ||
7.75% 6/15/11 | 2,315 | 2,393 | ||
Boise Cascade Corp. 7.68% 3/29/06 | 7,590 | 8,057 | ||
Bowater, Inc. 4.88% 3/15/10 (j) | 2,760 | 2,760 | ||
Buckeye Technologies, Inc. 8.5% 10/1/13 | 2,225 | 2,392 | ||
Georgia-Pacific Corp.: | ||||
8% 1/15/14 | 4,985 | 5,683 | ||
8% 1/15/24 | 730 | 826 | ||
8.875% 2/1/10 | 160 | 187 | ||
9.5% 12/1/11 | 2,330 | 2,913 | ||
International Paper Co.: | ||||
4.25% 1/15/09 | 885 | 888 | ||
5.5% 1/15/14 | 2,225 | 2,278 | ||
Norske Skog Canada Ltd.: | ||||
7.375% 3/1/14 | 1,230 | 1,279 | ||
8.625% 6/15/11 | 3,785 | 4,097 | ||
Stone Container Corp. 9.75% 2/1/11 | 5,580 | 6,194 | ||
Tembec Industries, Inc.: | ||||
7.75% 3/15/12 | 1,475 | 1,490 | ||
8.5% 2/1/11 | 2,635 | 2,767 | ||
yankee 8.625% 6/30/09 | 1,720 | 1,772 | ||
48,311 | ||||
TOTAL MATERIALS | 179,300 | |||
TELECOMMUNICATION SERVICES - 0.9% | ||||
Diversified Telecommunication Services - 0.6% | ||||
Alaska Communications Systems Holdings, Inc. 9.375% 5/15/09 | 725 | 685 | ||
BellSouth Corp. 6.55% 6/15/34 | 5,000 | 5,263 | ||
British Telecommunications PLC 8.875% 12/15/30 | 4,300 | 5,649 | ||
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 2,895 | 3,206 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Eschelon Operating Co. 8.375% 3/15/10 | $ 1,015 | $ 812 | ||
France Telecom SA 8.75% 3/1/11 | 3,945 | 4,722 | ||
GCI, Inc. 7.25% 2/15/14 | 5,175 | 5,059 | ||
KT Corp. 5.875% 6/24/14 (g) | 2,535 | 2,650 | ||
NTL Cable PLC: | ||||
6.61% 10/15/12 (g)(j) | 1,820 | 1,866 | ||
8.75% 4/15/14 (g) | 3,935 | 4,250 | ||
Qwest Communications International, Inc. 7.25% 2/15/11 (g) | 2,230 | 2,113 | ||
Qwest Corp.: | ||||
7.875% 9/1/11 (g) | 765 | 799 | ||
9.125% 3/15/12 (g) | 1,795 | 1,975 | ||
Qwest Services Corp.: | ||||
14% 12/15/10 (g)(j) | 2,260 | 2,650 | ||
14.5% 12/15/14 (g)(j) | 792 | 958 | ||
SBC Communications, Inc.: | ||||
5.875% 2/1/12 | 1,250 | 1,335 | ||
6.45% 6/15/34 | 7,625 | 7,839 | ||
Telenet Group Holding NV 0% 6/15/14 (e)(g) | 4,600 | 3,381 | ||
TELUS Corp. yankee 8% 6/1/11 | 10,700 | 12,538 | ||
U.S. West Communications 7.5% 6/15/23 | 2,300 | 2,099 | ||
69,849 | ||||
Wireless Telecommunication Services - 0.3% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 (g) | 2,315 | 2,257 | ||
5.5% 3/1/14 (g) | 2,090 | 2,020 | ||
AT&T Wireless Services, Inc. 7.875% 3/1/11 | 4,000 | 4,739 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc. 8.375% 3/15/13 | 290 | 331 | ||
Millicom International Cellular SA 10% 12/1/13 (g) | 5,625 | 5,625 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 730 | 714 | ||
6.875% 10/31/13 | 6,085 | 6,306 | ||
Rogers Wireless, Inc. 9.625% 5/1/11 | 5,910 | 6,575 | ||
28,567 | ||||
TOTAL TELECOMMUNICATION SERVICES | 98,416 | |||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
UTILITIES - 1.1% | ||||
Electric Utilities - 0.5% | ||||
AES Gener SA 7.5% 3/25/14 (g) | $ 1,915 | $ 1,925 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 2,330 | 2,349 | ||
6.25% 2/15/13 | 3,000 | 3,228 | ||
6.75% 2/15/32 | 7,580 | 7,987 | ||
Exelon Generation Co. LLC 5.35% 1/15/14 | 4,350 | 4,442 | ||
FirstEnergy Corp. 7.375% 11/15/31 | 7,030 | 7,895 | ||
Illinois Power Co. 7.5% 6/15/09 | 5,330 | 6,076 | ||
MidAmerican Energy Holdings, Inc.: | ||||
4.625% 10/1/07 | 2,645 | 2,706 | ||
5.875% 10/1/12 | 3,485 | 3,679 | ||
Monongahela Power Co. 5% 10/1/06 | 3,250 | 3,363 | ||
Nevada Power Co. 6.5% 4/15/12 (g) | 265 | 273 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 5,820 | 6,571 | ||
Sierra Pacific Power Co. 6.25% 4/15/12 (g) | 1,135 | 1,158 | ||
TECO Energy, Inc.: | ||||
7% 5/1/12 | 1,985 | 2,077 | ||
7.2% 5/1/11 | 3,365 | 3,575 | ||
57,304 | ||||
Gas Utilities - 0.1% | ||||
Sonat, Inc.: | ||||
6.625% 2/1/08 | 4,090 | 3,988 | ||
6.75% 10/1/07 | 3,000 | 2,996 | ||
7.625% 7/15/11 | 3,280 | 3,202 | ||
Tennessee Gas Pipeline Co. 7% 3/15/27 | 740 | 770 | ||
10,956 | ||||
Multi-Utilities & Unregulated Power - 0.5% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 3,100 | 3,174 | ||
8.375% 8/15/07 | 2,235 | 2,241 | ||
8.75% 6/15/08 | 3,298 | 3,562 | ||
8.875% 2/15/11 | 4,413 | 4,893 | ||
9.375% 9/15/10 | 1,250 | 1,408 | ||
9.5% 6/1/09 | 691 | 770 | ||
CMS Energy Corp.: | ||||
7.5% 1/15/09 | 720 | 753 | ||
7.75% 8/1/10 | 2,805 | 2,970 | ||
8.5% 4/15/11 | 450 | 491 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities & Unregulated Power - continued | ||||
CMS Energy Corp.: - continued | ||||
8.9% 7/15/08 | $ 545 | $ 593 | ||
9.875% 10/15/07 | 2,035 | 2,251 | ||
Constellation Energy Group, Inc. 6.35% 4/1/07 | 6,020 | 6,441 | ||
Dominion Resources, Inc.: | ||||
6.25% 6/30/12 | 8,105 | 8,802 | ||
8.125% 6/15/10 | 1,280 | 1,517 | ||
NRG Energy, Inc. 8% 12/15/13 (g) | 6,823 | 7,301 | ||
Sierra Pacific Resources 8.625% 3/15/14 (g) | 1,900 | 2,052 | ||
49,219 | ||||
TOTAL UTILITIES | 117,479 | |||
TOTAL NONCONVERTIBLE BONDS | 1,312,490 | |||
TOTAL CORPORATE BONDS (Cost $1,273,542) | 1,345,410 | |||
U.S. Government and Government Agency Obligations - 7.4% | ||||
U.S. Government Agency Obligations - 4.0% | ||||
Fannie Mae: | ||||
2.15% 4/13/06 | 32,000 | 31,788 | ||
2.375% 12/15/05 | 50,000 | 49,954 | ||
2.5% 6/15/06 | 128,100 | 127,651 | ||
3% 3/2/07 | 25,000 | 25,005 | ||
3.125% 7/15/06 | 64,580 | 65,047 | ||
Financing Corp. - coupon STRIPS: | ||||
0% 8/8/05 | 5,482 | 5,376 | ||
0% 11/30/05 | 1,666 | 1,618 | ||
Freddie Mac: | ||||
2.7% 3/16/07 | 22,150 | 21,995 | ||
2.875% 5/15/07 | 20,000 | 19,924 | ||
5.25% 11/5/12 | 41,275 | 42,038 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
U.S. Government Agency Obligations - continued | ||||
Freddie Mac: - continued | ||||
5.875% 3/21/11 | $ 29,480 | $ 32,002 | ||
U.S. Department of Housing and Urban Development Government guaranteed participation certificates Series 1996-A, 7.57% 8/1/13 | 10,090 | 10,485 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 432,883 | |||
U.S. Treasury Inflation Protected Obligations - 0.9% | ||||
U.S. Treasury Inflation-Indexed Bonds 3.375% 4/15/32 | 36,281 | 45,999 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
2% 1/15/14 | 32,803 | 33,588 | ||
4.25% 1/15/10 | 17,675 | 20,513 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 100,100 | |||
U.S. Treasury Obligations - 2.5% | ||||
U.S. Treasury Bills, yield at date of purchase 1.34% to 1.65% 10/14/04 to 12/9/04 (i) | 28,500 | 28,431 | ||
U.S. Treasury Bonds: | ||||
6.25% 5/15/30 | 25,000 | 29,672 | ||
7.875% 2/15/21 | 98,000 | 132,610 | ||
U.S. Treasury Notes: | ||||
2.5% 5/31/06 | 55,000 | 55,024 | ||
6.5% 2/15/10 | 21,360 | 24,509 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 270,246 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $794,922) | 803,229 | |||
U.S. Government Agency - Mortgage Securities - 7.0% | ||||
Fannie Mae - 6.4% | ||||
4% 6/1/18 to 9/1/19 | 78,796 | 76,925 | ||
4% 9/1/19 (h) | 5,000 | 4,873 | ||
4.5% 5/1/18 to 10/1/33 | 125,745 | 123,035 | ||
5% 2/1/18 to 10/1/34 (h) | 144,686 | 144,961 | ||
5.5% 2/1/11 to 10/1/34 (h) | 183,010 | 186,591 | ||
6% 4/1/09 to 8/1/33 | 22,631 | 23,614 | ||
6.5% 2/1/12 to 8/1/34 | 90,392 | 94,991 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Fannie Mae - continued | ||||
7% 11/1/05 to 2/1/33 | $ 27,692 | $ 29,373 | ||
7.5% 2/1/22 to 11/1/31 | 9,029 | 9,683 | ||
8% 6/1/29 | 4 | 4 | ||
TOTAL FANNIE MAE | 694,050 | |||
Freddie Mac - 0.1% | ||||
5% 11/1/33 | 474 | 471 | ||
6% 10/1/23 to 9/1/25 | 2,365 | 2,458 | ||
7.5% 11/1/16 to 6/1/32 | 4,617 | 4,966 | ||
8% 10/1/27 | 24 | 27 | ||
8.5% 2/1/19 to 8/1/22 | 22 | 24 | ||
TOTAL FREDDIE MAC | 7,946 | |||
Government National Mortgage Association - 0.5% | ||||
6% 10/15/08 to 12/15/10 | 4,170 | 4,382 | ||
6.5% 12/15/07 to 8/15/27 | 20,488 | 21,731 | ||
7% 6/15/24 to 12/15/33 | 24,336 | 25,969 | ||
7.5% 3/15/22 to 8/15/28 | 5,172 | 5,588 | ||
8% 4/15/24 to 12/15/25 | 322 | 354 | ||
8.5% 3/15/05 to 11/15/31 | 918 | 1,009 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 59,033 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $748,820) | 761,029 | |||
Asset-Backed Securities - 1.5% | ||||
Accredited Mortgage Loan Trust Series 2003-2 Class A1, 4.23% 10/25/33 | 3,801 | 3,777 | ||
ACE Securities Corp. Series 2004-OP1: | ||||
Class M1, 2.36% 4/25/34 (j) | 1,950 | 1,952 | ||
Class M2, 2.89% 4/25/34 (j) | 2,750 | 2,755 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2003-AM Class A4B, 2.1563% 11/6/09 (j) | 2,895 | 2,912 | ||
Series 2003-BX Class A4B, 1.92% 1/6/10 (j) | 1,870 | 1,882 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2002-AR1 Class M2, 2.915% 9/25/32 (j) | 800 | 804 | ||
Series 2003-3 Class M1, 2.64% 3/25/33 (j) | 3,445 | 3,460 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Amortizing Residential Collateral Trust: | ||||
Series 2002-BC6 Class A2, 2.19% 8/25/32 (j) | $ 2,168 | $ 2,171 | ||
Series 2002-BC7 Class M1, 2.415% 10/25/32 (j) | 14,953 | 15,065 | ||
Argent Securities, Inc. Series 2003-W3 Class M2, 3.64% 9/25/33 (j) | 2,000 | 2,056 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2003-HE2: | ||||
Class A2, 1.98% 4/15/33 (j) | 2,868 | 2,872 | ||
Class M1, 2.5% 4/15/33 (j) | 4,055 | 4,093 | ||
Associates Automobile Receivables Trust Series 2000-1 Class B, 7.83% 8/15/07 | 3,821 | 3,850 | ||
Atherton Franchise Loan Funding LLP Series 1998-A Class E, 8.25% 5/15/20 (d)(g) | 2,047 | 41 | ||
Bayview Financial Asset Trust Series 2000-F Class A, 2.14% 9/28/43 (j) | 8,101 | 8,119 | ||
Capital One Auto Finance Trust Series 2003-A Class A4B, 2.04% 1/15/10 (j) | 5,485 | 5,510 | ||
Capital One Master Trust Series 2002-3A Class B, 4.55% 2/15/08 | 16,000 | 16,121 | ||
Capital One Multi-Asset Execution Trust: | ||||
Series 2002-B1 Class B1, 2.44% 7/15/08 (j) | 5,780 | 5,804 | ||
Series 2003-B1 Class B1, 2.93% 2/17/09 (j) | 6,530 | 6,622 | ||
Series 2003-B2 Class B2, 3.5% 2/17/09 | 3,435 | 3,460 | ||
CDC Mortgage Capital Trust Series 2003-HE2 Class M2, 3.74% 10/25/33 (j) | 1,495 | 1,540 | ||
Chase Credit Card Master Trust Series 2003-6 Class B, 2.11% 2/15/11 (j) | 4,305 | 4,331 | ||
Countrywide Home Loans, Inc. Series 2002-6 Class AV1, 2.27% 5/25/33 (j) | 5,457 | 5,468 | ||
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class C, 6.667% 6/28/38 (g) | 3,995 | 4,124 | ||
Fieldstone Mortgage Investment Corp. Series 2004-2 Class M2, 2.99% 7/25/34 (j) | 4,160 | 4,160 | ||
First USA Secured Note Trust Series 2001-3 Class C, 2.86% 11/19/08 (g)(j) | 5,230 | 5,267 | ||
Home Equity Asset Trust Series 2003-2: | ||||
Class A2, 2.22% 8/25/33 (j) | 634 | 635 | ||
Class M1, 2.72% 8/25/33 (j) | 1,650 | 1,670 | ||
Home Equity Asset Trust NIMS Trust Series 2003-2N Class A, 8% 9/27/33 (g) | 361 | 363 | ||
Household Private Label Credit Card Master Note Trust I Series 2002-3 Class B, 2.85% 9/15/09 (j) | 3,910 | 3,948 | ||
Long Beach Mortgage Loan Trust Series 2003-3: | ||||
Class M1, 2.59% 7/25/33 (j) | 4,425 | 4,460 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Long Beach Mortgage Loan Trust Series 2003-3: - continued | ||||
Class M2, 3.69% 7/25/33 (j) | $ 2,265 | $ 2,326 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2001-B1 Class B1, 2.135% 10/15/08 (j) | 2,750 | 2,757 | ||
Series 2001-B2 Class B2, 2.12% 1/15/09 (j) | 2,750 | 2,760 | ||
Series 2002-B2 Class B2, 2.14% 10/15/09 (j) | 2,750 | 2,762 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 2.715% 12/27/32 (j) | 825 | 838 | ||
Series 2003-HE1 Class M2, 3.74% 5/25/33 (j) | 2,610 | 2,650 | ||
Series 2003-NC6 Class M2, 3.79% 6/27/33 (j) | 7,295 | 7,459 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2002-NC3 Class M1, 2.56% 8/25/32 (j) | 670 | 676 | ||
New Century Home Equity Loan Trust Series 2003-2 Class A2, 2.27% 1/25/33 (j) | 2,334 | 2,338 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 2,778 | 2,787 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (g) | 2,315 | 2,291 | ||
Sears Credit Account Master Trust II Series 2000-2 Class A, 6.75% 9/16/09 | 2,500 | 2,597 | ||
Structured Asset Securities Corp. Series 2004-GEL1 Class A, 2.2% 2/25/34 (j) | 715 | 715 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $162,644) | 162,248 | |||
Collateralized Mortgage Obligations - 0.4% | ||||
Private Sponsor - 0.2% | ||||
Adjustable Rate Mortgage Trust floater Series 2004-1 Clas 9A2, 2.24% 1/25/34 (j) | 3,665 | 3,665 | ||
CS First Boston Mortgage Securities Corp. Series 2003-TFLA Class F, 2.2233% 4/15/13 (g)(j) | 1,775 | 1,788 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 782 | 815 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2003-A Class 2A1, 2.23% 3/25/28 (j) | 6,825 | 6,846 | ||
Series 2003-E Class XA1, 1% 10/25/28 (j)(l) | 28,165 | 422 | ||
Series 2003-G Class XA1, 1% 1/25/29 (l) | 24,853 | 383 | ||
Series 2003-H Class XA1, 1% 1/25/29 (g)(l) | 21,946 | 347 | ||
Residential Asset Mortgage Products, Inc. sequential pay Series 2003-SL1 Class A31, 7.125% 4/25/31 | 3,401 | 3,537 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Private Sponsor - continued | ||||
Residential Finance LP/Residential Finance Development Corp. floater Series 2003-CB1: | ||||
Class B3, 3.0238% 6/10/35 (g)(j) | $ 1,454 | $ 1,481 | ||
Class B4, 3.2238% 6/10/35 (g)(j) | 1,303 | 1,326 | ||
Class B5, 3.8238% 6/10/35 (g)(j) | 886 | 905 | ||
Class B6, 4.3238% 6/10/35 (g)(j) | 529 | 540 | ||
Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (g)(l) | 96,005 | 964 | ||
Washington Mutual Mortgage Securities Corp. sequential pay Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 773 | 807 | ||
TOTAL PRIVATE SPONSOR | 23,826 | |||
U.S. Government Agency - 0.2% | ||||
Fannie Mae planned amortization class: | ||||
Series 1999-54 Class PH, 6.5% 11/18/29 | 8,575 | 9,095 | ||
Series 1999-57 Class PH, 6.5% 12/25/29 | 6,978 | 7,360 | ||
Fannie Mae guaranteed REMIC pass thru certificates planned amortization class Series 2002-64 Class PC, 5.5% 12/25/26 | 4,225 | 4,312 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class Series 2435 Class EL, 6% 9/15/27 | 41 | 41 | ||
sequential pay Series 2750 Class ZT, 5% 2/15/34 | 3,058 | 2,718 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8703% 10/16/23 (j) | 655 | 704 | ||
TOTAL U.S. GOVERNMENT AGENCY | 24,230 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $45,144) | 48,056 | |||
Commercial Mortgage Securities - 2.3% | ||||
Asset Securitization Corp.: | ||||
sequential pay Series 1995-MD4 Class A1, 7.1% 8/13/29 | 1,547 | 1,618 | ||
Series 1997-D5 Class PS1, 1.7348% 2/14/43 (j)(l) | 52,717 | 3,065 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Banc of America Large Loan, Inc. floater Series 2003-BBA2: | ||||
Class A3, 2.08% 11/15/15 (g)(j) | $ 2,240 | $ 2,240 | ||
Class C, 2.23% 11/15/15 (g)(j) | 460 | 462 | ||
Class D, 2.31% 11/15/15 (g)(j) | 715 | 719 | ||
Class F, 2.66% 11/15/15 (g)(j) | 510 | 514 | ||
Class H, 3.16% 11/15/15 (g)(j) | 460 | 463 | ||
Class J, 3.71% 11/15/15 (g)(j) | 475 | 482 | ||
Class K, 4.36% 11/15/15 (g)(j) | 430 | 434 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2003-1 Class A, 2.42% 8/25/33 (g)(j) | 4,458 | 4,494 | ||
Series 2004-2 Class A, 2.27% 8/25/34 (g)(j) | 3,409 | 3,412 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2004-ESA: | ||||
Class C, 4.937% 5/14/16 (g) | 1,855 | 1,900 | ||
Class D, 4.986% 5/14/16 (g) | 675 | 691 | ||
Class E, 5.064% 5/14/16 (g) | 2,095 | 2,142 | ||
Class F, 5.182% 5/14/16 (g) | 505 | 516 | ||
Berkeley Federal Bank & Trust FSB Series 1994-1 Class B, 1.0056% 8/1/24 (g)(j) | 634 | 565 | ||
CBM Funding Corp. sequential pay Series 1996-1: | ||||
Class A3PI, 7.08% 11/1/07 | 5,145 | 5,452 | ||
Class B, 7.48% 2/1/08 | 9,885 | 10,921 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,383 | 1,571 | ||
Class F, 7.734% 1/15/32 | 750 | 838 | ||
Series 2001-245 Class A2, 6.4842% 2/12/16 (g)(j) | 1,695 | 1,866 | ||
COMM floater Series 2002-FL7 Class A2, 1.95% 11/15/14 (g)(j) | 2,561 | 2,561 | ||
Commercial Mortgage pass thru certificates floater Series 2004-CNL: | ||||
Class D, 2.4981% 9/15/14 (h)(j) | 270 | 270 | ||
Class E, 2.5581% 9/15/14 (h)(j) | 370 | 370 | ||
Class F, 2.6581% 9/15/14 (h)(j) | 290 | 290 | ||
Class G, 2.8381% 9/15/14 (h)(j) | 665 | 665 | ||
Class H, 2.9381% 9/15/14 (h)(j) | 705 | 705 | ||
Class J, 3.4581% 9/15/14 (h)(j) | 240 | 240 | ||
Class K, 3.8581% 9/15/14 (h)(j) | 380 | 380 | ||
Class L, 4.0581% 9/15/14 (h)(j) | 305 | 305 | ||
CS First Boston Mortgage Securities Corp.: | ||||
Series 1997-C2 Class D, 7.27% 1/17/35 | 11,870 | 13,267 | ||
Series 1998-C1 Class D, 7.17% 5/17/40 | 1,825 | 2,047 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
CS First Boston Mortgage Securities Corp.: - continued | ||||
Series 2003-C3 Class ASP, 2.0628% 5/15/38 (g)(j)(l) | $ 55,632 | $ 4,124 | ||
Series 2004-C1 Class ASP, 1.2148% 1/15/37 (g)(j)(l) | 35,585 | 1,517 | ||
Deutsche Mortgage & Asset Receiving Corp. sequential pay Series 1998-C1 Class D, 7.231% 6/15/31 | 13,215 | 14,665 | ||
DLJ Commercial Mortgage Corp. sequential pay Series 1999-CG2 Class A1A, 6.88% 6/10/32 | 7,043 | 7,461 | ||
Equitable Life Assurance Society of the United States Series 174: | ||||
Class B1, 7.33% 5/15/06 (g) | 10,400 | 11,062 | ||
Class C1, 7.52% 5/15/06 (g) | 8,000 | 8,522 | ||
Class D1, 7.77% 5/15/06 (g) | 6,800 | 7,222 | ||
First Union National Bank-Chase Manhattan Bank Commercial Mortgage Trust Series 1999-C2 Class C, 6.944% 6/15/31 | 5,500 | 6,142 | ||
FMAC Loan Receivables Trust weighted average coupon Series 1997-A Class E, 0% 4/15/19 (d)(g)(j) | 1,061 | 0 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay: | ||||
Series 2002-26 Class C, 5.996% 2/16/24 (j) | 4,700 | 5,055 | ||
Series 2003-87 Class C, 5.3178% 8/16/32 (j) | 3,500 | 3,652 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay Series 2003-47 Class C, 4.227% 10/16/27 | 5,575 | 5,541 | ||
Series 2003-47 Class XA, 0.2398% 6/16/43 (j)(l) | 17,409 | 922 | ||
GMAC Commercial Mortgage Securities, Inc. sequential pay Series 1997-C2 Class A3, 6.566% 4/15/29 | 3,175 | 3,418 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2002-C1 Class SWDB, 5.857% 11/11/19 (g) | 5,715 | 5,811 | ||
Series 2003-C1 Class XP, 2.3678% 7/5/35 (g)(j)(l) | 28,148 | 2,412 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay: | ||||
Series 1998-GLII Class A2, 6.562% 4/13/31 | 4,250 | 4,608 | ||
Series 2001-LIBA Class A2, 6.615% 2/14/16 (g) | 2,550 | 2,825 | ||
Series 1998-GLII Class E, 7.1905% 4/13/31 (j) | 3,323 | 3,527 | ||
J.P. Morgan Commercial Mortgage Finance Corp. sequential pay: | ||||
Series 1998-C6 Class A3, 6.613% 1/15/30 | 8,950 | 9,683 | ||
Series 1999-C7 Class A2, 6.507% 10/15/35 | 4,655 | 5,105 | ||
LB Commercial Conduit Mortgage Trust Series 1999-C1 Class B, 6.93% 6/15/31 | 3,600 | 4,014 | ||
LB-UBS Commercial Mortgage Trust sequential pay Series 2001-C3 Class A1, 6.058% 6/15/20 | 13,564 | 14,490 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (g) | $ 4,840 | $ 4,463 | ||
LTC Commercial Mortgage pass thru certificates sequential pay Series 1998-1 Class A, 6.029% 5/28/30 (g) | 2,155 | 2,176 | ||
Morgan Stanley Capital I, Inc. sequential pay Series 1999-WF1 Class A2, 6.21% 11/15/31 | 1,275 | 1,378 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2003-HQ2 Class X2, 1.626% 3/12/35 (g)(j)(l) | 31,393 | 2,058 | ||
Salomon Brothers Mortgage Securities VII, Inc. sequential pay Series 2000-C3 Class A2, 6.592% 12/18/33 | 4,220 | 4,715 | ||
Structured Asset Securities Corp. Series 1996-CFL Class H, 7.75% 2/25/28 (g) | 1,000 | 1,091 | ||
Thirteen Affiliates of General Growth Properties, Inc.: | ||||
sequential pay Series 1 Class A2, 6.602% 11/15/07 (g) | 11,530 | 12,416 | ||
Series 1: | ||||
Class D2, 6.992% 11/15/07 (g) | 11,380 | 12,408 | ||
Class E2, 7.224% 11/15/07 (g) | 6,760 | 7,355 | ||
Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
Class C4, 6.893% 5/15/16 (g) | 200 | 227 | ||
Class E3, 7.253% 3/15/13 (g) | 4,835 | 5,201 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $241,753) | 250,731 | |||
Foreign Government and Government Agency Obligations - 0.5% | ||||
Chilean Republic 7.125% 1/11/12 | 14,895 | 17,092 | ||
State of Israel 4.625% 6/15/13 | 4,440 | 4,271 | ||
United Mexican States: | ||||
6.75% 9/27/34 | 8,150 | 8,020 | ||
7.5% 4/8/33 | 14,800 | 15,562 | ||
8% 9/24/22 | 5,900 | 6,652 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $48,640) | 51,597 | |||
Floating Rate Loans - 0.3% | ||||
Principal Amount (000s) | Value (Note 1) (000s) | |||
CONSUMER DISCRETIONARY - 0.1% | ||||
Hotels, Restaurants & Leisure - 0.1% | ||||
Hilton Head Communications LP Tranche B term loan 6% 3/31/08 (j) | $ 4,250 | $ 4,128 | ||
Wyndham International, Inc. term loan: | ||||
6.5% 6/30/06 (j) | 5,900 | 5,856 | ||
7.5% 4/1/06 (j) | 1,125 | 1,122 | ||
11,106 | ||||
Media - 0.0% | ||||
Century Cable Holdings LLC Tranche B term loan 6.75% 12/31/09 (j) | 2,200 | 2,167 | ||
NTL Investment Holdings Ltd. Tranche B term loan 4.6267% 6/13/12 (j) | 850 | 859 | ||
3,026 | ||||
TOTAL CONSUMER DISCRETIONARY | 14,132 | |||
UTILITIES - 0.2% | ||||
Electric Utilities - 0.1% | ||||
Allegheny Energy Supply Co. LLC Tranche C term loan 5.704% 6/8/11 (j) | 3,682 | 3,728 | ||
Astoria Energy LLC term loan: | ||||
6.9906% 4/15/12 (j) | 4,180 | 4,243 | ||
10.725% 4/15/12 (j) | 2,050 | 2,106 | ||
10,077 | ||||
Multi-Utilities & Unregulated Power - 0.1% | ||||
Riverside Energy Center LLC: | ||||
term loan 6.02% 6/24/11 (j) | 4,117 | 4,138 | ||
Credit-Linked Deposit 6.02% 6/24/11 (j) | 183 | 184 | ||
4,322 | ||||
TOTAL UTILITIES | 14,399 | |||
TOTAL FLOATING RATE LOANS (Cost $27,329) | 28,531 | |||
Fixed-Income Funds - 0.1% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (k) | 172,096 | 17,127 | |
Money Market Funds - 19.9% | |||
Shares | Value (Note 1) (000s) | ||
Fidelity Cash Central Fund, 1.74% (b) | 1,741,649,000 | $ 1,741,649 | |
Fidelity Money Market Central Fund, 1.74% (b) | 425,013,442 | 425,013 | |
Fidelity Securities Lending Cash Central Fund, 1.71% (b)(c) | 2,741,115 | 2,741 | |
TOTAL MONEY MARKET FUNDS (Cost $2,169,403) | 2,169,403 | ||
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements (Collateralized by U.S. Treasury Obligations, in a joint trading account at 1.77%, dated 9/30/04 due 10/1/04) | $ 3,445 | 3,445 | |
TOTAL INVESTMENT PORTFOLIO - 101.3% (Cost $10,750,125) | 11,046,862 | ||
NET OTHER ASSETS - (1.3)% | (143,549) | ||
NET ASSETS - 100% | $ 10,903,313 | ||
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
1,668 S&P 500 Index Contracts | Dec. 2004 | $ 464,913 | $ (4,868) | ||
The face value of futures purchased as a percentage of net assets - 4.3% |
Swap Agreements | |||||
Expiration | Notional | Value | |||
Total Return Swap | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 65 basis points with Lehman Brothers, Inc. | Oct. 2004 | $ 9,500 | $ 31 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 40 basis points with Lehman Brothers, Inc. | April 2005 | 9,500 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Deutsche Bank | May 2005 | 20,000 | 28 | ||
Receive monthly a return equal to Lehman Brothers CMBS Erisa Eligible and pay monthly a floating rate based on 1-month LIBOR minus 45 basis points with Lehman Brothers, Inc. | Nov. 2004 | 30,000 | 29 | ||
Receive monthly a return equal to Lehman Brothers Commercial Mortgage-Backed Securities AAA Daily Index and pay monthly a floating rate based on 1-month LIBOR minus 32 basis points with Bank of America | Nov. 2004 | 16,180 | 67 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 70 basis points with Bank of America | Dec. 2004 | 10,000 | 43 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10Yr Commercial Mortgage-Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 80 basis points with Bank of America | Nov. 2004 | 10,000 | 344 | ||
TOTAL SWAP AGREEMENTS | $ 105,180 | $ 542 | |||
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - issuer filed for bankruptcy or is in default of interest payments. |
(e) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security or a portion of the security is on loan at period end. |
(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 period end, the value of these securities amounted to $412,971,000 or 3.8% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $28,431,000. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete listing of the fund's holdings as of its most recent fiscal year end is available upon request. |
(l) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
(m) 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 $9,310,000 or 0.1% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Arena Brands Holding Corp. Class B | 6/18/97 | $ 5,269 |
Micron Technology, Inc. 6.5% 9/30/05 | 7/15/99 - 8/8/02 | $ 6,618 |
(n) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (ratings are unaudited): |
U.S. Government and | 14.5% |
AAA,AA,A | 5.1% |
BBB | 4.2% |
BB | 2.9% |
B | 3.6% |
CCC,CC,C | 0.8% |
Not Rated | 0.4% |
Equities | 53.9% |
Short-Term Investments and | 14.6% |
100.0% |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Percentages are adjusted for the effect of futures contracts, if applicable. |
Income Tax Information |
At September 30, 2004, the fund had a capital loss carryforward of approximately $20,324,000 all of which will expire on September 30, 2010. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | September 30, 2004 | |
Assets | ||
Investment in securities, at value (including securities loaned of $2,605 and repurchase agreements of $3,445) (cost $10,750,125) - See accompanying schedule | $ 11,046,862 | |
Cash | 503 | |
Foreign currency held at value (cost $4,432) | 4,383 | |
Receivable for investments sold | 22,859 | |
Receivable for fund shares sold | 4,613 | |
Dividends receivable | 5,876 | |
Interest receivable | 40,583 | |
Swap agreements, at value | 542 | |
Prepaid expenses | 7 | |
Other affiliated receivables | 66 | |
Other receivables | 270 | |
Total assets | 11,126,564 | |
Liabilities | ||
Payable for investments purchased | $ 84,405 | |
Delayed delivery | 10,752 | |
Payable for fund shares redeemed | 117,637 | |
Accrued management fee | 4,868 | |
Payable for daily variation on futures contracts | 125 | |
Other affiliated payables | 2,184 | |
Other payables and accrued expenses | 539 | |
Collateral on securities loaned, at value | 2,741 | |
Total liabilities | 223,251 | |
Net Assets | $ 10,903,313 | |
Net Assets consist of: | ||
Paid in capital | $ 10,597,642 | |
Undistributed net investment income | 69,579 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (56,412) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 292,504 | |
Net Assets, for 699,707 shares outstanding | $ 10,903,313 | |
Net Asset Value, offering price and redemption price per share ($10,903,313 ÷ 699,707 shares) | $ 15.58 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended September 30, 2004 | |
Investment Income | ||
Dividends | $ 93,982 | |
Interest | 225,725 | |
Security lending | 142 | |
Total income | 319,849 | |
Expenses | ||
Management fee | $ 58,938 | |
Transfer agent fees | 21,487 | |
Accounting and security lending fees | 1,425 | |
Non-interested trustees' compensation | 62 | |
Appreciation in deferred trustee compensation account | 23 | |
Custodian fees and expenses | 403 | |
Registration fees | 69 | |
Audit | 187 | |
Legal | 46 | |
Interest | 2 | |
Miscellaneous | 517 | |
Total expenses before reductions | 83,159 | |
Expense reductions | (844) | 82,315 |
Net investment income (loss) | 237,534 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 85,890 | |
Foreign currency transactions | (500) | |
Futures contracts | 45,625 | |
Swap agreements | 2,318 | |
Total net realized gain (loss) | 133,333 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 275,136 | |
Assets and liabilities in foreign currencies | (44) | |
Futures contracts | 3,753 | |
Swap agreements | 602 | |
Total change in net unrealized appreciation (depreciation) | 279,447 | |
Net gain (loss) | 412,780 | |
Net increase (decrease) in net assets resulting from operations | $ 650,314 | |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ 237,534 | $ 290,597 |
Net realized gain (loss) | 133,333 | 246,887 |
Change in net unrealized appreciation | 279,447 | 1,166,409 |
Net increase (decrease) in net assets resulting | 650,314 | 1,703,893 |
Distributions to shareholders from net investment income | (193,241) | (295,818) |
Share transactions | 1,305,615 | 1,175,842 |
Reinvestment of distributions | 187,749 | 287,120 |
Cost of shares redeemed | (1,859,651) | (1,652,666) |
Net increase (decrease) in net assets resulting from share transactions | (366,287) | (189,704) |
Total increase (decrease) in net assets | 90,786 | 1,218,371 |
Net Assets | ||
Beginning of period | 10,812,527 | 9,594,156 |
End of period (including undistributed net investment income of $69,579 and undistributed net investment income of $26,209, respectively) | $ 10,903,313 | $ 10,812,527 |
Other Information Shares | ||
Sold | 83,085 | 82,291 |
Issued in reinvestment of distributions | 11,877 | 20,163 |
Redeemed | (118,489) | (116,816) |
Net increase (decrease) | (23,527) | (14,362) |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended September 30, | 2004 | 2003 | 2002 | 2001 | 2000 |
Selected Per-Share Data | |||||
Net asset value, beginning of period | $ 14.95 | $ 13.01 | $ 14.72 | $ 19.11 | $ 17.28 |
Income from Investment Operations | |||||
Net investment income (loss) B | .33 | .40 | .49 D | .59 | .61 |
Net realized and unrealized gain (loss) | .57 | 1.95 | (1.62) D | (3.03) | 2.53 |
Total from investment | .90 | 2.35 | (1.13) | (2.44) | 3.14 |
Distributions from net investment income | (.27) | (.41) | (.58) | (.61) | (.58) |
Distributions from net realized gain | - | - | - | (1.34) | (.73) |
Total distributions | (.27) | (.41) | (.58) | (1.95) | (1.31) |
Net asset value, | $ 15.58 | $ 14.95 | $ 13.01 | $ 14.72 | $ 19.11 |
Total Return A | 6.00% | 18.26% | (8.17)% | (13.63)% | 18.73% |
Ratios to Average Net Assets C | |||||
Expenses before expense reductions | .74% | .75% | .75% | .73% | .73% |
Expenses net of voluntary waivers, if any | .74% | .75% | .75% | .73% | .73% |
Expenses net of all reductions | .73% | .74% | .73% | .71% | .71% |
Net investment income (loss) | 2.12% | 2.82% | 3.31% D | 3.51% | 3.32% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $ 10,903 | $ 10,813 | $ 9,594 | $ 11,177 | $ 13,570 |
Portfolio turnover rate | 78% | 120% | 129% | 133% | 109% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C Expense ratios reflect operating expenses of the fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the fund during periods when reimbursements or reductions occur. Expenses net of any voluntary waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the fund.
D Effective October 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended September 30, 2004
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
Fidelity Asset Manager (the fund) is a fund of Fidelity Charles Street Trust (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
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.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
1. Significant Accounting Policies - continued
Foreign Currency - continued
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. Security transactions are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. 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 the funds in the trust.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), non-interested Trustees must defer receipt of a portion of, and may elect to defer receipt of an additional portion of, their annual compensation. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of the fund or are invested in a cross-section of other Fidelity funds, and are marked-to-market. Deferred amounts remain in the fund until distributed in accordance with the Plan.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. Foreign taxes are provided for based on the fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests. Distributions are recorded on the ex-dividend date.
Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), prior period premium and discount on debt securities, market discount, non-taxable dividends, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 742,961 |
Unrealized depreciation | (484,937) |
Net unrealized appreciation (depreciation) | 258,024 |
Undistributed ordinary income | 68,025 |
Capital loss carryforward | (20,324) |
Cost for federal income tax purposes | $ 10,788,838 |
The tax character of distributions paid was as follows:
September 30, | September 30, | |
Ordinary Income | $ 193,241 | $ 295,818 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (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. These accounts are then invested in repurchase agreements that are collateralized by U.S. Treasury or Government obligations. The fund may also invest directly with institutions, in repurchase agreements that are
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
Repurchase Agreements - continued
collateralized by commercial paper obligations and corporate obligations. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Collateral is marked-to-market daily and maintained at a value at least equal to the principal amount of the repurchase agreement (including accrued interest).
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 the fund's exposure to the underlying instrument, while selling futures tends to decrease the fund's exposure to the underlying instrument or hedge other fund investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counter-parties do not perform under the contracts' terms. Gains (losses) are realized upon the expiration or closing of the futures contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
Restricted Securities. The fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in 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.
Annual Report
2. Operating Policies - continued
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 may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact the fund.
Total return swaps are agreements to exchange the return generated by one instrument for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, the fund will receive a payment from the counterparty. To the extent it is less, the fund will make a payment to the counterparty. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts
as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount
of the underlying instrument, at par, if a credit event occurs during the term of the swap. The fund may enter into credit default swaps in which the fund or its counterparty act as guarantors. By acting as the guarantor of a swap, the fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the fund's custodian in
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
Swap Agreements - continued
compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the fund's Schedule of Investments under the caption "Swap Agreements."
Financing Transactions. To earn additional income, the fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, the fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $4,445,483 and $5,072,165, respectively.
4. 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 .25% of the fund's average net assets and a group fee rate that averaged .28% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .53% of the fund's average net assets.
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the fund's transfer, dividend disbursing and shareholder servicing agent. FSC receives account fees and asset-based fees that vary according to account size and type of account. FSC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the transfer agent fees were equivalent to an annual rate of .19% of average net assets.
Accounting and Security Lending Fees. FSC 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.
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Central Funds seek preservation of capital and current income and do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $28,783 for the period.
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 $124 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund 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. During the period, there were no borrowings on this line of credit.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.
7. Bank Borrowings.
The fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period amounted to $13,293. The weighted average interest rate was 1.54%. At period end, there were no bank borrowings outstanding.
8. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $770 for the period. In addition, through arrangements with the fund's custodian and transfer agent, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody and transfer agent expenses by $6 and $68, respectively.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Charles Street Trust and Shareholders of Fidelity Asset Manager:
We have audited the accompanying statement of assets and liabilities of Fidelity Asset Manager (the Fund), a fund of Fidelity Charles Street Trust, including the portfolio of investments, as of September 30, 2004, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2004, by correspondence with the custodian and brokers; where replies were not received from brokers, we performed other auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Asset Manager as of September 30, 2004, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and its financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/DELOITTE & TOUCHE LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
November 12, 2004
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy, each of the Trustees oversees 299 funds advised by FMR or an affiliate. Mr. McCoy oversees 301 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. In any event, each non-interested Trustee shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Interested Trustees*:
The fund's Statement of Additional Information ( SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Correspondence intended for each Trustee who is an "interested person" (as defined in the 1940 Act) may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (74)** | |
Year of Election or Appointment: 1981 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as Chief Executive Officer, Chairman, and a Director of FMR Corp.; a Director and Chairman of the Board and of the Executive Committee of FMR; Chairman and a Director of Fidelity Management & Research (Far East) Inc.; Chairman (1998) and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001) and a Director (2000) of FMR Co., Inc. | |
Abigail P. Johnson (42)** | |
Year of Election or Appointment: 2001 Senior Vice President of Asset Manager (2001). Ms. Johnson also serves as Senior Vice President of other Fidelity funds (2001). She is President and a Director of FMR (2001), Fidelity Investments Money Management, Inc. (2001), FMR Co., Inc. (2001), and a Director of FMR Corp. Previously, Ms. Johnson managed a number of Fidelity funds. | |
Laura B. Cronin (50) | |
Year of Election or Appointment: 2003 Ms. Cronin is an Executive Vice President (2002) and Chief Financial Officer (2002) of FMR Corp. and is a member of the Fidelity Management Committee (2003). Previously, Ms. Cronin served as Vice President of Finance of FMR (1997-1999), and Chief Financial Officer of FMR (1999-2001), Fidelity Personal Investments (2001), and Fidelity Brokerage Company (2001-2002). | |
Robert L. Reynolds (52) | |
Year of Election or Appointment: 2003 Mr. Reynolds is a Director (2003) and Chief Operating Officer (2002) of FMR Corp. and is the head of the Fidelity Management Committee (2003). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). | |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
** Edward C. Johnson 3d, Trustee, is Abigail P. Johnson's father.
Annual Report
Non-Interested Trustees:
Correspondence intended for each non-interested Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
J. Michael Cook (62) | |
Year of Election or Appointment: 2001 Prior to Mr. Cook's retirement in May 1999, he served as Chairman and Chief Executive Officer of Deloitte & Touche LLP (accounting/ | |
Ralph F. Cox (72) | |
Year of Election or Appointment: 1991 Mr. Cox is President of RABAR Enterprises (management consulting for the petroleum industry). Prior to February 1994, he was President of Greenhill Petroleum Corporation (petroleum exploration and production). Until March 1990, Mr. Cox was President and Chief Operating Officer of Union Pacific Resources Company (exploration and production). He is a Director of CH2M Hill Companies (engineering), and Abraxas Petroleum (petroleum exploration and production, 1999). In addition, he is a member of advisory boards of Texas A&M University and the University of Texas at Austin. | |
Robert M. Gates (61) | |
Year of Election or Appointment: 1997 Dr. Gates is President of Texas A&M University (2002). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001), and Brinker International (restaurant management, 2003). He also serves as a member of the Advisory Board of VoteHere.net (secure Internet voting, 2001). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). Dr. Gates also is a Trustee of the Forum for International Policy. | |
George H. Heilmeier (68) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), INET Technologies Inc. (telecommunications network surveillance, 2001), Teletech Holdings (customer management services), and HRL Laboratories (private research and development, 2004). He is Chairman of the General Motors Technology Advisory Committee and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE) (2000). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), and Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002). | |
Donald J. Kirk (71) | |
Year of Election or Appointment: 1987 Mr. Kirk is a Governor of the American Stock Exchange (2001), a Trustee and former Chairman of the Board of Trustees of the Greenwich Hospital Association, a Director of the Yale-New Haven Health Services Corp. (1998), and a Director Emeritus and former Chairman of the Board of Directors of National Arts Strategies Inc. (leadership education for arts and culture). Mr. Kirk was an Executive-in-Residence (1995-2000) and a Professor (1987-1995) at Columbia University Graduate School of Business. Prior to 1987, he was Chairman of the Financial Accounting Standards Board. Previously, Mr. Kirk served as a Governor of the National Association of Securities Dealers, Inc. (1996-2002), a member and Vice Chairman of the Public Oversight Board of the American Institute of Certified Public Accountants' SEC Practice Section (1995-2002), a Director of General Re Corporation (reinsurance, 1987-1998) and as a Director of Valuation Research Corp. (appraisals and valuations). | |
Marie L. Knowles (57) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (60) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, | |
Marvin L. Mann (71) | |
Year of Election or Appointment: 1993 Mr. Mann is Chairman of the non-interested Trustees (2001). He is Chairman Emeritus of Lexmark International, Inc. (computer peripherals), where he served as CEO until April 1998, retired as Chairman May 1999, and remains a member of the Board. Prior to 1991, he held the positions of Vice President of International Business Machines Corporation (IBM) and President and General Manager of various IBM divisions and subsidiaries. He is a member of the Executive Committee of the Independent Director's Council of the Investment Company Institute. In addition, Mr. Mann is a member of the President's Cabinet at the University of Alabama and the Board of Visitors of the Culverhouse College of Commerce and Business Administration at the University of Alabama. | |
William O. McCoy (70) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Liberty Corporation (holding company), Duke Realty Corporation (real estate), and Progress Energy, Inc. (electric utility). He is also a partner of Franklin Street Partners (private investment management firm) and a member of the Research Triangle Foundation Board. In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors (1994-1998) for the University of North Carolina at Chapel Hill and currently serves on the Board of Directors of the University of North Carolina Health Care System and the Board of Visitors of the Kenan-Flagler Business School (University of North Carolina at Chapel Hill). He also served as Vice President of Finance for the University of North Carolina (16-school system, 1995-1998). | |
William S. Stavropoulos (65) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman of the Board (2000), CEO (2002), a position he previously held from 1995-2000, Chairman of the Executive Committee (2000), and a Member of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, and Maersk Inc. (industrial conglomerate, 2002). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Annual Report
Trustees and Officers - continued
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Dirks, Ms. Small, and Mr. Wolfe may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments,
82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Dennis J. Dirks (56) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). | |
Peter S. Lynch (61) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Charles Street Trust. Vice Chairman and a Director of FMR, and Vice Chairman (2001) and a Director (2000) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). Prior to May 31, 1990, he was a Director of FMR and Executive Vice President of FMR (a position he held until March 31, 1991), Vice President of Fidelity® Magellan® Fund and FMR Growth Group Leader, and Managing Director of FMR Corp. Mr. Lynch was also Vice President of Fidelity Investments Corporate Services. In addition, he serves as a Trustee of Boston College, Massachusetts Eye & Ear Infirmary, Historic Deerfield, John F. Kennedy Library, and the Museum of Fine Arts of Boston. | |
Cornelia M. Small (60) | |
Year of Election or Appointment: 2004 Member of the Adivisory Board of Fidelity Charles Street Trust. Ms. Small is a member (2000) and Chairperson (2002) of the Investment Committee, and a member (2002) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1998). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
Kenneth L. Wolfe (65) | |
Year of Election or Appointment: 2004 Member of the Advisory Board of Fidelity Charles Street Trust. Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003), Bausch & Lomb, Inc., and Revlon Inc. (2004). | |
Bart A. Grenier (45) | |
Year of Election or Appointment: 2001 Vice President of Asset Manager. Mr. Grenier also serves as Vice President of certain Equity Funds (2001), a position he previously held from 1999 to 2000, and Vice President of certain High Income Funds (2002). He is Senior Vice President of FMR (1999) and FMR Co., Inc. (2001), and President and Director of Strategic Advisers, Inc. (2002). He also heads Fidelity's Asset Allocation Group (2000), Fidelity's Growth and Income Group (2001), Fidelity's Value Group (2001), and Fidelity's High Income Division (2001). Previously, Mr. Grenier served as President of Fidelity Ventures (2000), Vice President of certain High Income Funds (1997-2000), High Income Division Head (1997-2000), Group Leader of the Income-Growth and Asset Allocation-Income Groups (1996-2000), and Assistant Equity Division Head (1997-2000). | |
Charles S. Morrison (43) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager. Mr. Morrison also serves as Vice President of Fidelity's Bond Funds (2002), and Vice President of certain Asset Allocation and Balanced Funds (2002). He serves as Vice President (2002) and Bond Group Leader (2002) of Fidelity Investments Fixed Income Division. Mr. Morrison is also Vice President of FIMM (2002) and FMR (2002). Mr. Morrison joined Fidelity in 1987 as a Corporate Bond Analyst in the Fixed Income Research Division. | |
David L. Murphy (56) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002) and Vice President of certain Asset Allocation Funds (2003). He serves as Senior Vice President (2000) and Money Market Group Leader (2002) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of FIMM (2003) and a Vice President of FMR (2000). Previously, Mr. Murphy served as Bond Group Leader (2000-2002) and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). Mr. Murphy joined Fidelity in 1989 as a portfolio manager in the Bond Group. | |
Richard C. Habermann (64) | |
Year of Election or Appointment: 1996 Vice President of Asset Manager. Mr. Habermann serves as Vice President of other funds advised by FMR. Mr. Habermann also serves as Senior Vice President of FMR Co., Inc. (2001). | |
Jeffrey Moore (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager. Mr. Moore also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Moore served as a fixed-income analyst and portfolio manager. | |
Charles Mangum (40) | |
Year of Election or Appointment: 2001 Vice President of Asset Manager. Mr. Mangum is also Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Mangum managed a variety of Fidelity funds. Mr. Mangum also serves as Vice President of FMR (2003) and FMR Co., Inc. (2001). | |
Mathew J. Conti (38) | |
Year of Election or Appointment: 2002 Vice President of Asset Manager. Mr. Conti also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Conti managed a variety of Fidelity funds. Mr. Conti also serves as Vice President of FMR (2003) and FMR Co., Inc. (2003). | |
James K. Miller (40) | |
Year of Election or Appointment: 2004 Vice President of Asset Manager. Mr. Miller also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. Miller managed a variety of Fidelity funds. | |
Eric D. Roiter (55) | |
Year of Election or Appointment: 1998 Secretary of Asset Manager. He also serves as Secretary of other Fidelity funds (1998); Vice President, General Counsel, and Clerk of FMR Co., Inc. (2001) and FMR (1998); Vice President and Clerk of FDC (1998); Assistant Clerk of Fidelity Management & Research (U.K.) Inc. (2001) and Fidelity Management & Research (Far East) Inc. (2001); and Assistant Secretary of Fidelity Investments Money Management, Inc. (2001). Prior to joining Fidelity, Mr. Roiter was with the law firm of Debevoise & Plimpton, as an associate (1981-1984) and as a partner (1985-1997), and served as an Assistant General Counsel of the U.S. Securities and Exchange Commission (1979-1981). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003). | |
Stuart Fross (45) | |
Year of Election or Appointment: 2003 Assistant Secretary of Asset Manager. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003) and is an employee of FMR. | |
Christine Reynolds (46) | |
Year of Election or Appointment: 2004 President, Treasurer, and Anti-Money Laundering (AML) officer of | |
Timothy F. Hayes (53) | |
Year of Election or Appointment: 2002 Chief Financial Officer of Asset Manager. Mr. Hayes also serves as Chief Financial Officer of other Fidelity funds (2002). Recently he was appointed President of Fidelity Service Company (2003) where he also serves as a Director. Mr. Hayes also serves as President of Fidelity Investments Operations Group (FIOG, 2002), which includes Fidelity Pricing and Cash Management Services Group (FPCMS), where he was appointed President in 1998. Previously, Mr. Hayes served as Chief Financial Officer of Fidelity Investments Corporate Systems and Service Group (1998) and Fidelity Systems Company (1997-1998). | |
Kenneth A. Rathgeber (57) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Asset Manager. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004) and Executive Vice President of Risk Oversight for Fidelity Investments (2002). Previously, he served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
John R. Hebble (46) | |
Year of Election or Appointment: 2003 Deputy Treasurer of Asset Manager. Mr. Hebble also serves as Deputy Treasurer of other Fidelity funds (2003), and is an employee of FMR. Before joining Fidelity Investments, Mr. Hebble worked at Deutsche Asset Management where he served as Director of Fund Accounting (2002-2003) and Assistant Treasurer of the Scudder Funds (1998-2003). | |
Kimberley H. Monasterio (40) | |
Year of Election or Appointment: 2004 Deputy Treasurer of Asset Manager. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
John H. Costello (58) | |
Year of Election or Appointment: 1988 Assistant Treasurer of Asset Manager. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Francis V. Knox, Jr. (57) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager. Mr. Knox also serves as Assistant Treasurer of other Fidelity funds (2002), and is a Vice President and an employee of FMR. Previously, Mr. Knox served as Vice President of Investment & Advisor Compliance (1990-2001), and Compliance Officer of Fidelity Management & Research (U.K.) Inc. (1992-2002), Fidelity Management & Research (Far East) Inc. (1991-2002), and FMR Corp. (1995-2002). | |
Peter L. Lydecker (50) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (49) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Asset Manager. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee | |
Kenneth B. Robins (35) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Asset Manager. Mr. Robins also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Thomas J. Simpson (46) | |
Year of Election or Appointment: 2000 Assistant Treasurer of Asset Manager. Mr. Simpson is Assistant Treasurer of other Fidelity funds (2000) and an employee of FMR (1996). Prior to joining FMR, Mr. Simpson was Vice President and Fund Controller of Liberty Investment Services (1987-1995). | |
Annual Report
Distributions
A total of 5.67% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates 29%, 37%, and 37% of the dividends distributed in December, March, and June, respectively during the fiscal year as qualifying for the dividends-received deduction for corporate shareholders.
The fund designates 39% of the dividends distributed in March, and June, respectively during the fiscal year as amounts which may be taken into account
as a dividend for purposes of the maximum rate under section 1(h)(11) of the
Internal Revenue Code.
The fund will notify shareholders in January 2005 of amounts for use in preparing 2004 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on September 15, 2004. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval.* | ||
# of | % of | |
Affirmative | 7,568,144,945.96 | 76.551 |
Against | 1,665,604,684.78 | 16.847 |
Abstain | 460,998,830.31 | 4.663 |
Broker | 191,690,954.58 | 1.939 |
TOTAL | 9,886,439,415.63 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees.* | ||
# of | % of | |
J. Michael Cook | ||
Affirmative | 9,359,102,098.49 | 94.666 |
Withheld | 527,337,317.14 | 5.334 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ralph F. Cox | ||
Affirmative | 9,333,369,952.29 | 94.406 |
Withheld | 553,069,463.34 | 5.594 |
TOTAL | 9,886,439,415.63 | 100.000 |
Laura B. Cronin | ||
Affirmative | 9,355,534,364.24 | 94.630 |
Withheld | 530,905,051.39 | 5.370 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,352,106,353.30 | 94.595 |
Withheld | 534,333,062.33 | 5.405 |
TOTAL | 9,886,439,415.63 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,360,572,048.31 | 94.681 |
Withheld | 525,867,367.32 | 5.319 |
TOTAL | 9,886,439,415.63 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 9,327,059,416.89 | 94.342 |
Withheld | 559,379,998.74 | 5.658 |
TOTAL | 9,886,439,415.63 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,323,731,909.04 | 94.308 |
Withheld | 562,707,506.59 | 5.692 |
TOTAL | 9,886,439,415.63 | 100.000 |
Donald J. Kirk | ||
Affirmative | 9,343,833,406.30 | 94.512 |
Withheld | 542,606,009.33 | 5.488 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,362,664,343.97 | 94.702 |
Withheld | 523,775,071.66 | 5.298 |
TOTAL | 9,886,439,415.63 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,368,801,700.35 | 94.764 |
Withheld | 517,637,715.28 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,342,116,785.91 | 94.494 |
Withheld | 544,322,629.72 | 5.506 |
TOTAL | 9,886,439,415.63 | 100.000 |
William O. McCoy | ||
Affirmative | 9,348,114,851.10 | 94.555 |
Withheld | 538,324,564.53 | 5.445 |
TOTAL | 9,886,439,415.63 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,368,829,274.86 | 94.764 |
Withheld | 517,610,140.77 | 5.236 |
TOTAL | 9,886,439,415.63 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 9,355,225,708.91 | 94.627 |
Withheld | 531,213,706.72 | 5.373 |
TOTAL | 9,886,439,415.63 | 100.000 |
Dennis J. Dirks** | ||
Affirmative | 9,363,252,671.04 | 94.708 |
Withheld | 523,186,744.59 | 5.292 |
TOTAL | 9,886,439,415.63 | 100.000 |
Cornelia M. Small** | ||
Affirmative | 9,357,897,300.73 | 94.654 |
Withheld | 528,542,114.90 | 5.346 |
TOTAL | 9,886,439,415.63 | 100.000 |
* Denotes trust-wide proposals and voting results. | ||
Annual Report
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Investments Money
Management, Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Far East) Inc.
Fidelity Investments Japan Limited
Fidelity International Investment
Advisors
Fidelity International Investment
Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Shareholder
Servicing Agent
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
Fidelity's Asset Allocation Funds
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Asset Manager: Income®
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FAA-UANNPRO-1104
1.792137.101
Item 2. Code of Ethics
As of the end of the period, September 30, 2004, Fidelity Charles Street Trust (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles and Donald J. Kirk are each audit committee financial experts, as defined in Item 3 of Form N-CSR. Ms. Knowles and Mr. Kirk are each independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
(a) Audit Fees.
For the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Audit Fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for Fidelity Asset Manager, Fidelity Asset Manager: Growth, Fidelity Asset Manager: Income, Fidelity Asset Manager: Aggressive and Spartan Investment Grade Bond Fund (the funds) and for all funds in the Fidelity Group of Funds are shown in the table below.
Fund | 2004A | 2003A |
Fidelity Asset Manager | $120,000 | $110,000 |
Fidelity Asset Manager: Growth | $64,000 | $62,000 |
Fidelity Asset Manager: Income | $64,000 | $57,000 |
Fidelity Asset Manager: Aggressive | $32,000 | $33,000 |
Spartan Investment Grade Bond Fund | $50,000 | $44,000 |
All funds in the Fidelity Group of Funds audited by Deloitte Entities | $4,300,000 | $3,900,000 |
A | Aggregate amounts may reflect rounding. |
(b) Audit-Related Fees.
In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Audit-Related Fees billed by Deloitte Entities for services rendered for assurance and related services to each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Fund | 2004A | 2003 A, B |
Fidelity Asset Manager | $0 | $0 |
Fidelity Asset Manager: Growth | $0 | $0 |
Fidelity Asset Manager: Income | $0 | $0 |
Fidelity Asset Manager: Aggressive | $0 | $0 |
Spartan Investment Grade Bond Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Audit-Related Fees that were billed by Deloitte Entities that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the funds ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of each fund that are reasonably related to the performance of the audit or review of the fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Billed By | 2004 A | 2003A, B |
Deloitte Entities | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.
(c) Tax Fees.
In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Tax Fees billed by Deloitte Entities for professional services rendered for tax compliance, tax advice, and tax planning for each fund is shown in the table below.
Fund | 2004A | 2003A, B |
Fidelity Asset Manager | $4,400 | $4,200 |
Fidelity Asset Manager: Growth | $4,400 | $4,200 |
Fidelity Asset Manager: Income | $4,400 | $4,200 |
Fidelity Asset Manager: Aggressive | $2,600 | $2,400 |
Spartan Investment Grade Bond Fund | $3,600 | $3,400 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Tax Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of each fund is shown in the table below.
Billed By | 2004A | 2003A, B |
Deloitte Entities | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d) All Other Fees.
In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Other Fees billed by Deloitte Entities for all other non-audit services rendered to the funds is shown in the table below.
Fund | 2004A | 2003A, B |
Fidelity Asset Manager | $0 | $0 |
Fidelity Asset Manager: Growth | $0 | $0 |
Fidelity Asset Manager: Income | $0 | $0 |
Fidelity Asset Manager: Aggressive | $0 | $0 |
Spartan Investment Grade Bond Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
In each of the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate Other Fees billed by Deloitte Entities that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund is shown in the table below.
Billed By | 2004A | 2003A, B |
Deloitte Entities | $790,000 | $490,000 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.
(e) (1) | Audit Committee Pre-Approval Policies and Procedures: |
The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the funds. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.
All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.
(e) (2) | Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: |
Audit-Related Fees:
There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of each fund.
There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
Tax Fees:
There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of each fund.
There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
All Other Fees:
There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of each fund.
There were no amounts, including amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time, that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended September 30, 2004 and September 30, 2003 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of each fund.
(f) According to Deloitte Entities for the fiscal year ended September 30, 2004, the percentage of hours spent on the audit of each fund's financial statements for the most recent fiscal year that were attributed to work performed by persons who are not full-time, permanent employees of Deloitte Entities is as follows:
Fund | 2004 |
Fidelity Asset Manager | 0% |
Fidelity Asset Manager: Growth | 0% |
Fidelity Asset Manager: Income | 0% |
Fidelity Asset Manager: Aggressive | 0% |
Spartan Investment Grade Bond Fund | 0% |
(g) For the fiscal years ended September 30, 2004 and September 30, 2003, the aggregate fees billed by Deloitte Entities of $1,750,000A and $1,250,000A,B for non-audit services rendered on behalf of the funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.
2004A | 2003A,B | |
Covered Services | $800,000 | $500,000 |
Non-Covered Services | $950,000 | $750,000 |
A | Aggregate amounts may reflect rounding. |
B | Includes amounts related to non-audit services prior to May 6, 2003 that would have been subject to pre-approval if the SEC rules relating to the pre-approval of non-audit services had been in effect at that time. |
(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the funds, taking into account representations from Deloitte Entities, in accordance with Independence Standards Board Standard No.1, regarding its independence from the funds and their related entities.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 9. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 10. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the trust's second fiscal half-year that has materially affected, or is reasonably likely to materially affect, the trust's internal control over financial reporting.
Item 11. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Charles Street Trust
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | November 17, 2004 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | November 17, 2004 |
By: | /s/Timothy F. Hayes |
Timothy F. Hayes | |
Chief Financial Officer | |
Date: | November 17, 2004 |