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 811-3785
Fidelity Advisor Series I
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | August 31 |
|
|
Date of reporting period: | February 28, 2014 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Balanced Fund -
Class A, Class T, Class B
and Class C
Semiannual Report
February 28, 2014
(Fidelity Cover Art)
Contents
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. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2013 to February 28, 2014).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .93% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,127.90 | $ 4.91 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.18 | $ 4.66 |
Class T | 1.15% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,126.60 | $ 6.06 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.09 | $ 5.76 |
Class B | 1.77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,122.90 | $ 9.32 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.02 | $ 8.85 |
Class C | 1.69% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,123.30 | $ 8.90 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.41 | $ 8.45 |
Institutional Class | .66% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,129.10 | $ 3.48 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.52 | $ 3.31 |
Class Z | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,130.00 | $ 2.75 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.22 | $ 2.61 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than 0.01%.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.
Top Five Stocks as of February 28, 2014 | ||
| % of fund's | % of fund's net assets |
Google, Inc. Class A | 2.1 | 1.3 |
Apple, Inc. | 2.0 | 2.5 |
JPMorgan Chase & Co. | 1.6 | 1.4 |
Procter & Gamble Co. | 1.3 | 1.4 |
Bank of America Corp. | 1.2 | 1.2 |
| 8.2 | |
Top Five Bond Issuers as of February 28, 2014 | ||
(with maturities greater than one year) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 7.7 | 6.8 |
Fannie Mae | 2.8 | 5.1 |
Freddie Mac | 1.6 | 1.6 |
Ginnie Mae | 1.0 | 1.6 |
Wachovia Bank Commercial Mortgage Trust | 0.4 | 0.4 |
| 13.5 | |
Top Five Market Sectors as of February 28, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 15.8 | 15.7 |
Information Technology | 13.1 | 13.3 |
Health Care | 10.5 | 9.3 |
Consumer Discretionary | 9.3 | 9.0 |
Energy | 8.0 | 8.3 |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2014* | As of August 31, 2013** | ||||||
![]() | Stocks and |
| ![]() | Stocks and |
| ||
![]() | Bonds 25.4% |
| ![]() | Bonds 27.7% |
| ||
![]() | Convertible |
| ![]() | Convertible |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 10.6% |
| ** Foreign investments | 10.0% |
|
Percentages are adjusted for the effect of futures contracts and swaps, if applicable. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Semiannual Report
Investments February 28, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 69.7% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 8.2% | |||
Automobiles - 0.1% | |||
Tesla Motors, Inc. (a) | 5,145 | $ 1,260 | |
Diversified Consumer Services - 0.3% | |||
H&R Block, Inc. | 152,781 | 4,834 | |
Hotels, Restaurants & Leisure - 1.7% | |||
Extended Stay America, Inc. unit | 189,339 | 4,824 | |
McDonald's Corp. | 86,675 | 8,247 | |
Wynn Resorts Ltd. | 21,809 | 5,288 | |
Yum! Brands, Inc. | 111,592 | 8,267 | |
| 26,626 | ||
Internet & Catalog Retail - 0.4% | |||
Liberty Interactive Corp. Series A (a) | 217,597 | 6,354 | |
Media - 3.3% | |||
Comcast Corp. Class A | 39,996 | 2,067 | |
DIRECTV (a) | 98,949 | 7,678 | |
Legend Pictures LLC (a)(l)(m) | 415 | 748 | |
The Madison Square Garden Co. Class A (a) | 62,357 | 3,555 | |
The Walt Disney Co. | 131,689 | 10,642 | |
Time Warner, Inc. | 132,159 | 8,872 | |
Twenty-First Century Fox, Inc. Class A | 310,043 | 10,399 | |
Viacom, Inc. Class B (non-vtg.) | 78,518 | 6,888 | |
| 50,849 | ||
Multiline Retail - 1.1% | |||
Dollar General Corp. (a) | 126,135 | 7,555 | |
Target Corp. | 137,418 | 8,594 | |
| 16,149 | ||
Specialty Retail - 0.6% | |||
TJX Companies, Inc. | 146,480 | 9,003 | |
Textiles, Apparel & Luxury Goods - 0.7% | |||
Fossil Group, Inc. (a) | 29,723 | 3,415 | |
lululemon athletica, Inc. (a)(e) | 52,886 | 2,661 | |
Oxford Industries, Inc. | 16,730 | 1,309 | |
PVH Corp. | 24,019 | 3,037 | |
| 10,422 | ||
TOTAL CONSUMER DISCRETIONARY | 125,497 | ||
CONSUMER STAPLES - 6.6% | |||
Beverages - 1.5% | |||
Anheuser-Busch InBev SA NV | 14,329 | 1,499 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER STAPLES - continued | |||
Beverages - continued | |||
Coca-Cola Icecek A/S | 18,269 | $ 353 | |
Diageo PLC sponsored ADR | 17,969 | 2,259 | |
Embotelladora Andina SA sponsored ADR | 18,311 | 422 | |
Pernod Ricard SA | 19,496 | 2,295 | |
Remy Cointreau SA | 24,604 | 2,089 | |
The Coca-Cola Co. | 373,399 | 14,264 | |
| 23,181 | ||
Food & Staples Retailing - 1.5% | |||
CVS Caremark Corp. | 131,427 | 9,613 | |
Kroger Co. | 168,118 | 7,051 | |
Sysco Corp. | 57,573 | 2,074 | |
Wal-Mart Stores, Inc. | 55,549 | 4,150 | |
| 22,888 | ||
Food Products - 0.6% | |||
Bunge Ltd. | 25,138 | 2,001 | |
ConAgra Foods, Inc. | 54,315 | 1,543 | |
Green Mountain Coffee Roasters, Inc. | 9,740 | 1,069 | |
Mead Johnson Nutrition Co. Class A | 41,589 | 3,392 | |
Nestle SA | 16,652 | 1,258 | |
| 9,263 | ||
Household Products - 1.3% | |||
Procter & Gamble Co. | 253,428 | 19,935 | |
Personal Products - 0.0% | |||
Nu Skin Enterprises, Inc. Class A | 7,139 | 596 | |
Tobacco - 1.7% | |||
Altria Group, Inc. | 233,403 | 8,463 | |
British American Tobacco PLC sponsored ADR | 138,899 | 15,111 | |
Philip Morris International, Inc. | 16,155 | 1,307 | |
Souza Cruz SA | 54,950 | 477 | |
| 25,358 | ||
TOTAL CONSUMER STAPLES | 101,221 | ||
ENERGY - 6.8% | |||
Energy Equipment & Services - 1.2% | |||
C&J Energy Services, Inc. (a) | 67,510 | 1,745 | |
Cameron International Corp. (a) | 58,872 | 3,771 | |
Dril-Quip, Inc. (a) | 13,339 | 1,435 | |
FMC Technologies, Inc. (a) | 52,716 | 2,648 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Halliburton Co. | 88,407 | $ 5,039 | |
Ocean Rig UDW, Inc. (United States) (a) | 42,944 | 748 | |
Oceaneering International, Inc. | 27,829 | 1,992 | |
Pacific Drilling SA (a) | 63,930 | 694 | |
Vantage Drilling Co. (a) | 204,060 | 357 | |
| 18,429 | ||
Oil, Gas & Consumable Fuels - 5.6% | |||
Anadarko Petroleum Corp. | 91,573 | 7,707 | |
BG Group PLC | 74,000 | 1,349 | |
Bill Barrett Corp. (a) | 29,566 | 749 | |
Cabot Oil & Gas Corp. | 122,015 | 4,271 | |
Carrizo Oil & Gas, Inc. (a) | 24,804 | 1,234 | |
Chevron Corp. | 75,576 | 8,716 | |
ConocoPhillips Co. | 150,367 | 9,999 | |
Continental Resources, Inc. (a) | 27,266 | 3,259 | |
EOG Resources, Inc. | 31,055 | 5,882 | |
Exxon Mobil Corp. | 142,891 | 13,756 | |
Kinder Morgan Holding Co. LLC | 67,000 | 2,134 | |
Laredo Petroleum Holdings, Inc. (a) | 33,624 | 877 | |
Marathon Oil Corp. | 116,536 | 3,904 | |
Noble Energy, Inc. | 45,045 | 3,097 | |
ONEOK, Inc. | 37,252 | 2,203 | |
Peabody Energy Corp. | 92,312 | 1,621 | |
Phillips 66 Co. | 94,144 | 7,048 | |
Phillips 66 Partners LP | 11,619 | 532 | |
Spectra Energy Corp. | 80,500 | 3,001 | |
Suncor Energy, Inc. (e) | 40,155 | 1,325 | |
Valero Energy Partners LP | 41,469 | 1,534 | |
Whiting Petroleum Corp. (a) | 25,323 | 1,740 | |
| 85,938 | ||
TOTAL ENERGY | 104,367 | ||
FINANCIALS - 11.8% | |||
Capital Markets - 1.4% | |||
Ameriprise Financial, Inc. | 37,189 | 4,053 | |
BlackRock, Inc. Class A | 11,790 | 3,594 | |
Credit Suisse Group AG | 9,691 | 304 | |
E*TRADE Financial Corp. (a) | 99,621 | 2,238 | |
Evercore Partners, Inc. Class A | 12,200 | 679 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Capital Markets - continued | |||
Invesco Ltd. | 86,009 | $ 2,950 | |
Morgan Stanley | 29,760 | 917 | |
Northern Trust Corp. | 31,405 | 1,942 | |
Oaktree Capital Group LLC Class A | 40,786 | 2,516 | |
The Blackstone Group LP | 66,455 | 2,216 | |
| 21,409 | ||
Commercial Banks - 1.9% | |||
Barclays PLC | 433,841 | 1,828 | |
Erste Group Bank AG | 22,154 | 786 | |
Huntington Bancshares, Inc. | 498,093 | 4,747 | |
Mitsubishi UFJ Financial Group, Inc. | 232,500 | 1,347 | |
Societe Generale Series A | 30,100 | 2,010 | |
SunTrust Banks, Inc. | 73,754 | 2,779 | |
Synovus Financial Corp. | 299,205 | 1,041 | |
U.S. Bancorp | 329,133 | 13,541 | |
| 28,079 | ||
Consumer Finance - 1.6% | |||
Capital One Financial Corp. | 234,434 | 17,214 | |
Discover Financial Services | 48,632 | 2,791 | |
Santander Consumer U.S.A. Holdings, Inc. | 23,700 | 600 | |
SLM Corp. | 169,107 | 4,048 | |
| 24,653 | ||
Diversified Financial Services - 4.0% | |||
Bank of America Corp. | 1,152,391 | 19,049 | |
Berkshire Hathaway, Inc. Class A (a) | 7 | 1,216 | |
Citigroup, Inc. | 242,530 | 11,794 | |
IntercontinentalExchange Group, Inc. | 16,676 | 3,483 | |
JPMorgan Chase & Co. | 436,432 | 24,798 | |
KBC Ancora (a) | 20,348 | 804 | |
McGraw Hill Financial, Inc. | 4,000 | 319 | |
| 61,463 | ||
Insurance - 1.6% | |||
ACE Ltd. | 7,836 | 767 | |
Direct Line Insurance Group PLC | 557,712 | 2,470 | |
esure Group PLC | 159,774 | 721 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 4,100 | 1,703 | |
Marsh & McLennan Companies, Inc. | 95,553 | 4,602 | |
MetLife, Inc. | 207,867 | 10,533 | |
The Travelers Companies, Inc. | 31,346 | 2,628 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
Validus Holdings Ltd. | 7,953 | $ 293 | |
WMI Holdings Corp. (a) | 4,454 | 12 | |
| 23,729 | ||
Real Estate Investment Trusts - 1.1% | |||
Altisource Residential Corp. Class B (e) | 263,010 | 7,517 | |
American Tower Corp. | 64,110 | 5,223 | |
Equity Lifestyle Properties, Inc. | 38,405 | 1,546 | |
Piedmont Office Realty Trust, Inc. Class A | 47,790 | 826 | |
Senior Housing Properties Trust (SBI) | 10,983 | 245 | |
Sun Communities, Inc. | 31,742 | 1,462 | |
| 16,819 | ||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 120,948 | 3,380 | |
Thrifts & Mortgage Finance - 0.0% | |||
Ocwen Financial Corp. (a) | 10,097 | 378 | |
Washington Mutual, Inc. (a) | 130,000 | 0 | |
| 378 | ||
TOTAL FINANCIALS | 179,910 | ||
HEALTH CARE - 10.0% | |||
Biotechnology - 2.7% | |||
Actelion Ltd. | 17,769 | 1,884 | |
Alexion Pharmaceuticals, Inc. (a) | 38,064 | 6,730 | |
Amgen, Inc. | 77,105 | 9,563 | |
Biogen Idec, Inc. (a) | 27,375 | 9,326 | |
CSL Ltd. ADR | 1,000 | 32 | |
Gilead Sciences, Inc. (a) | 153,185 | 12,682 | |
Intercept Pharmaceuticals, Inc. (a) | 1,700 | 698 | |
| 40,915 | ||
Health Care Equipment & Supplies - 1.3% | |||
Boston Scientific Corp. (a) | 488,349 | 6,397 | |
Covidien PLC | 81,058 | 5,832 | |
Edwards Lifesciences Corp. (a) | 17,114 | 1,194 | |
Quidel Corp. (a) | 39,220 | 1,099 | |
Stryker Corp. | 25,829 | 2,073 | |
The Cooper Companies, Inc. | 23,028 | 2,952 | |
| 19,547 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - 1.1% | |||
Brookdale Senior Living, Inc. (a) | 41,664 | $ 1,397 | |
Cigna Corp. | 73,682 | 5,864 | |
HCA Holdings, Inc. (a) | 8,307 | 425 | |
Henry Schein, Inc. (a) | 28,344 | 3,374 | |
McKesson Corp. | 36,982 | 6,548 | |
| 17,608 | ||
Life Sciences Tools & Services - 0.8% | |||
Illumina, Inc. (a) | 25,207 | 4,323 | |
Thermo Fisher Scientific, Inc. | 60,190 | 7,496 | |
| 11,819 | ||
Pharmaceuticals - 4.1% | |||
AbbVie, Inc. | 152,711 | 7,775 | |
Actavis PLC (a) | 36,690 | 8,102 | |
Bristol-Myers Squibb Co. | 179,294 | 9,641 | |
Merck & Co., Inc. | 48,244 | 2,749 | |
Mylan, Inc. (a) | 21,900 | 1,217 | |
Perrigo Co. PLC | 29,320 | 4,821 | |
Pfizer, Inc. | 379,067 | 12,172 | |
Roche Holding AG (participation certificate) | 9,867 | 3,038 | |
Salix Pharmaceuticals Ltd. (a) | 27,785 | 2,999 | |
Shire PLC | 69,638 | 3,852 | |
Valeant Pharmaceuticals International (Canada) (a) | 25,727 | 3,672 | |
Zoetis, Inc. Class A | 65,546 | 2,033 | |
| 62,071 | ||
TOTAL HEALTH CARE | 151,960 | ||
INDUSTRIALS - 6.9% | |||
Aerospace & Defense - 1.5% | |||
Honeywell International, Inc. | 85,714 | 8,095 | |
TransDigm Group, Inc. | 30,268 | 5,392 | |
United Technologies Corp. | 80,341 | 9,402 | |
| 22,889 | ||
Air Freight & Logistics - 0.4% | |||
FedEx Corp. | 41,181 | 5,491 | |
Commercial Services & Supplies - 0.2% | |||
KAR Auction Services, Inc. | 84,397 | 2,630 | |
Electrical Equipment - 2.0% | |||
AMETEK, Inc. | 144,286 | 7,682 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Electrical Equipment - continued | |||
Eaton Corp. PLC | 97,013 | $ 7,248 | |
Hubbell, Inc. Class B | 54,450 | 6,509 | |
Roper Industries, Inc. | 65,213 | 8,844 | |
| 30,283 | ||
Industrial Conglomerates - 0.8% | |||
Danaher Corp. | 166,392 | 12,727 | |
Machinery - 0.7% | |||
Cummins, Inc. | 45,190 | 6,594 | |
Ingersoll-Rand PLC | 70,700 | 4,323 | |
| 10,917 | ||
Professional Services - 0.4% | |||
Verisk Analytics, Inc. (a) | 107,528 | 6,851 | |
Road & Rail - 0.5% | |||
J.B. Hunt Transport Services, Inc. | 98,103 | 7,051 | |
Trading Companies & Distributors - 0.4% | |||
W.W. Grainger, Inc. | 25,491 | 6,501 | |
TOTAL INDUSTRIALS | 105,340 | ||
INFORMATION TECHNOLOGY - 12.9% | |||
Communications Equipment - 1.0% | |||
Cisco Systems, Inc. | 209,809 | 4,574 | |
Juniper Networks, Inc. (a) | 126,499 | 3,383 | |
Polycom, Inc. (a) | 49,261 | 658 | |
QUALCOMM, Inc. | 86,579 | 6,519 | |
| 15,134 | ||
Computers & Peripherals - 2.3% | |||
Apple, Inc. | 56,736 | 29,857 | |
Electronics for Imaging, Inc. (a) | 24,295 | 1,084 | |
NCR Corp. (a) | 105,683 | 3,599 | |
| 34,540 | ||
Electronic Equipment & Components - 0.4% | |||
TE Connectivity Ltd. | 98,630 | 5,778 | |
Internet Software & Services - 4.5% | |||
ChannelAdvisor Corp. (a) | 23,555 | 1,069 | |
Cvent, Inc. | 64,575 | 2,537 | |
Demand Media, Inc. (a) | 6,371 | 31 | |
Demandware, Inc. (a) | 7,450 | 560 | |
eBay, Inc. (a) | 129,961 | 7,638 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Internet Software & Services - continued | |||
Endurance International Group Holdings, Inc. (e) | 79,746 | $ 1,203 | |
Facebook, Inc. Class A (a) | 146,413 | 10,023 | |
Google, Inc. Class A (a) | 26,477 | 32,185 | |
Halogen Software, Inc. | 31,000 | 330 | |
Millennial Media, Inc. (a) | 29,829 | 180 | |
Millennial Media, Inc. (a) | 49,965 | 272 | |
Millennial Media, Inc. (a) | 9,695 | 0 | |
Naver Corp. | 3,152 | 2,415 | |
SPS Commerce, Inc. (a) | 1,220 | 83 | |
Tencent Holdings Ltd. | 46,000 | 3,690 | |
Trulia, Inc. (a)(e) | 45,119 | 1,352 | |
Wix.com Ltd. (a)(e) | 23,233 | 718 | |
Yahoo!, Inc. (a) | 121,102 | 4,683 | |
| 68,969 | ||
IT Services - 0.8% | |||
Cognizant Technology Solutions Corp. Class A (a) | 31,335 | 3,261 | |
Fidelity National Information Services, Inc. | 87,364 | 4,858 | |
FleetCor Technologies, Inc. (a) | 2,442 | 317 | |
Heartland Payment Systems, Inc. | 8,867 | 359 | |
Lionbridge Technologies, Inc. (a) | 44,139 | 316 | |
Quindell PLC (a) | 2,026,900 | 1,146 | |
Visa, Inc. Class A | 11,244 | 2,540 | |
| 12,797 | ||
Semiconductors & Semiconductor Equipment - 0.7% | |||
NXP Semiconductors NV (a) | 189,571 | 10,660 | |
Software - 3.2% | |||
Adobe Systems, Inc. (a) | 61,054 | 4,189 | |
Aspen Technology, Inc. (a) | 16,998 | 798 | |
Autodesk, Inc. (a) | 29,200 | 1,532 | |
CommVault Systems, Inc. (a) | 17,376 | 1,197 | |
Concur Technologies, Inc. (a) | 3,367 | 416 | |
Covisint Corp. | 22,100 | 238 | |
Electronic Arts, Inc. (a) | 223,539 | 6,391 | |
FleetMatics Group PLC (a) | 10,000 | 370 | |
Guidewire Software, Inc. (a) | 38,600 | 2,069 | |
Microsoft Corp. | 491,736 | 18,838 | |
Oracle Corp. | 177,196 | 6,930 | |
Qlik Technologies, Inc. (a) | 17,500 | 534 | |
RealPage, Inc. (a) | 27,900 | 494 | |
salesforce.com, Inc. (a) | 60,799 | 3,792 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
Ubisoft Entertainment SA (a) | 68,445 | $ 1,121 | |
Xero Ltd. (m) | 27,035 | 819 | |
| 49,728 | ||
TOTAL INFORMATION TECHNOLOGY | 197,606 | ||
MATERIALS - 2.6% | |||
Chemicals - 2.1% | |||
Airgas, Inc. | 72,017 | 7,763 | |
Cabot Corp. | 23,428 | 1,268 | |
Eastman Chemical Co. | 40,274 | 3,521 | |
FMC Corp. | 43,395 | 3,349 | |
LyondellBasell Industries NV Class A | 49,543 | 4,364 | |
Monsanto Co. | 48,378 | 5,323 | |
Potash Corp. of Saskatchewan, Inc. | 60,589 | 2,003 | |
Sigma Aldrich Corp. | 27,552 | 2,601 | |
W.R. Grace & Co. (a) | 15,281 | 1,549 | |
| 31,741 | ||
Construction Materials - 0.2% | |||
Vulcan Materials Co. | 44,825 | 3,045 | |
Containers & Packaging - 0.2% | |||
Graphic Packaging Holding Co. (a) | 138,790 | 1,421 | |
Rock-Tenn Co. Class A | 20,524 | 2,291 | |
| 3,712 | ||
Metals & Mining - 0.1% | |||
Carpenter Technology Corp. | 17,565 | 1,039 | |
TOTAL MATERIALS | 39,537 | ||
TELECOMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 1.1% | |||
inContact, Inc. (a) | 76,417 | 689 | |
Verizon Communications, Inc. | 331,798 | 15,787 | |
| 16,476 | ||
Wireless Telecommunication Services - 0.6% | |||
SBA Communications Corp. Class A (a) | 29,927 | 2,848 | |
SoftBank Corp. | 49,200 | 3,729 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - continued | |||
T-Mobile U.S., Inc. (a) | 71,850 | $ 2,191 | |
Vodafone Group PLC sponsored ADR | 24,618 | 1,023 | |
| 9,791 | ||
TOTAL TELECOMMUNICATION SERVICES | 26,267 | ||
UTILITIES - 2.2% | |||
Electric Utilities - 0.8% | |||
American Electric Power Co., Inc. | 56,500 | 2,836 | |
Duke Energy Corp. | 44,489 | 3,153 | |
Edison International | 32,867 | 1,721 | |
Exelon Corp. | 5,600 | 170 | |
NextEra Energy, Inc. | 54,200 | 4,953 | |
| 12,833 | ||
Gas Utilities - 0.2% | |||
National Fuel Gas Co. | 31,336 | 2,354 | |
Independent Power Producers & Energy Traders - 0.3% | |||
NRG Energy, Inc. | 95,130 | 2,765 | |
The AES Corp. | 78,012 | 1,065 | |
| 3,830 | ||
Multi-Utilities - 0.9% | |||
CenterPoint Energy, Inc. | 106,347 | 2,515 | |
Dominion Resources, Inc. | 58,349 | 4,049 | |
NiSource, Inc. | 39,497 | 1,375 | |
PG&E Corp. | 41,575 | 1,832 | |
Sempra Energy | 41,309 | 3,902 | |
| 13,673 | ||
TOTAL UTILITIES | 32,690 | ||
TOTAL COMMON STOCKS (Cost $818,551) |
| ||
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Software - 0.0% | |||
MongoDB, Inc. Series F, 8.00% (m) | 16,802 | 253 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Ambev SA sponsored ADR | 72,650 | $ 523 | |
TOTAL PREFERRED STOCKS (Cost $654) |
|
Corporate Bonds - 7.3% | ||||
| Principal Amount (000s) |
| ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Cobalt International Energy, Inc. 2.625% 12/1/19 | $ 100 | 96 | ||
Nonconvertible Bonds - 7.3% | ||||
CONSUMER DISCRETIONARY - 0.6% | ||||
Automobiles - 0.0% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (f) | 231 | 233 | ||
Diversified Consumer Services - 0.0% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 (f) | 35 | 35 | ||
4.25% 6/15/23 (f) | 249 | 256 | ||
5.75% 6/15/43 (f) | 179 | 197 | ||
| 488 | |||
Media - 0.6% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500 | 659 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 15 | 16 | ||
6.45% 3/15/37 | 238 | 293 | ||
COX Communications, Inc. 3.25% 12/15/22 (f) | 136 | 128 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 440 | 505 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 51 | 49 | ||
4.875% 4/1/43 | 120 | 116 | ||
6.35% 6/1/40 | 236 | 274 | ||
NBCUniversal, Inc.: | ||||
5.15% 4/30/20 | 431 | 493 | ||
6.4% 4/30/40 | 309 | 378 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
News America Holdings, Inc. 7.75% 12/1/45 | $ 621 | $ 854 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 235 | 271 | ||
6.15% 2/15/41 | 186 | 216 | ||
Thomson Reuters Corp. 1.3% 2/23/17 | 122 | 122 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 630 | 655 | ||
4.5% 9/15/42 | 739 | 673 | ||
5.5% 9/1/41 | 165 | 171 | ||
5.85% 5/1/17 | 104 | 118 | ||
5.875% 11/15/40 | 153 | 165 | ||
6.75% 7/1/18 | 439 | 518 | ||
8.25% 4/1/19 | 528 | 665 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 12 | 14 | ||
6.5% 11/15/36 | 232 | 272 | ||
Viacom, Inc.: | ||||
2.5% 9/1/18 | 46 | 47 | ||
3.5% 4/1/17 | 583 | 621 | ||
4.375% 3/15/43 | 148 | 131 | ||
| 8,424 | |||
TOTAL CONSUMER DISCRETIONARY | 9,145 | |||
CONSUMER STAPLES - 0.3% | ||||
Beverages - 0.1% | ||||
Heineken NV: | ||||
1.4% 10/1/17 (f) | 182 | 182 | ||
2.75% 4/1/23 (f) | 191 | 178 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (f) | 285 | 292 | ||
| 652 | |||
Food & Staples Retailing - 0.0% | ||||
CVS Caremark Corp.: | ||||
2.25% 12/5/18 | 282 | 284 | ||
4% 12/5/23 | 282 | 289 | ||
| 573 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - 0.0% | ||||
ConAgra Foods, Inc.: | ||||
1.9% 1/25/18 | $ 131 | $ 131 | ||
3.2% 1/25/23 | 152 | 145 | ||
| 276 | |||
Tobacco - 0.2% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 262 | 246 | ||
4% 1/31/24 | 212 | 212 | ||
4.25% 8/9/42 | 262 | 231 | ||
4.75% 5/5/21 | 300 | 328 | ||
5.375% 1/31/44 | 364 | 380 | ||
9.7% 11/10/18 | 325 | 432 | ||
Reynolds American, Inc.: | ||||
3.25% 11/1/22 | 187 | 178 | ||
4.75% 11/1/42 | 289 | 272 | ||
6.15% 9/15/43 | 143 | 161 | ||
6.75% 6/15/17 | 23 | 27 | ||
7.25% 6/15/37 | 409 | 503 | ||
| 2,970 | |||
TOTAL CONSUMER STAPLES | 4,471 | |||
ENERGY - 1.0% | ||||
Energy Equipment & Services - 0.1% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (f) | 364 | 374 | ||
5.35% 3/15/20 (f) | 327 | 354 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 371 | 389 | ||
5% 10/1/21 | 146 | 155 | ||
6.5% 4/1/20 | 24 | 28 | ||
Transocean, Inc. 5.05% 12/15/16 | 238 | 261 | ||
| 1,561 | |||
Oil, Gas & Consumable Fuels - 0.9% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 16 | 18 | ||
6.375% 9/15/17 | 673 | 779 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | $ 168 | $ 172 | ||
3.875% 3/15/23 | 104 | 101 | ||
Devon Energy Corp. 1.2% 12/15/16 | 409 | 410 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 10 | 11 | ||
6.45% 11/3/36 (f) | 375 | 406 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 7 | 8 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 438 | 454 | ||
Encana Holdings Finance Corp. 5.8% 5/1/14 | 23 | 23 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) | 7 | 8 | ||
Marathon Petroleum Corp. 5.125% 3/1/21 | 215 | 241 | ||
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f) | 357 | 363 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 156 | 179 | ||
6.85% 1/15/40 (f) | 223 | 285 | ||
Nakilat, Inc. 6.067% 12/31/33 (f) | 279 | 300 | ||
Nexen, Inc. 5.2% 3/10/15 | 7 | 7 | ||
Petro-Canada 6.05% 5/15/18 | 150 | 174 | ||
Petrobras Global Finance BV: | ||||
3% 1/15/19 | 64 | 61 | ||
4.375% 5/20/23 | 596 | 540 | ||
5.625% 5/20/43 | 569 | 480 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 354 | 364 | ||
5.375% 1/27/21 | 815 | 817 | ||
5.75% 1/20/20 | 611 | 636 | ||
7.875% 3/15/19 | 399 | 456 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 (f) | 58 | 59 | ||
3.5% 7/18/18 | 463 | 480 | ||
3.5% 1/30/23 | 285 | 266 | ||
4.875% 1/24/22 | 237 | 248 | ||
4.875% 1/18/24 | 131 | 135 | ||
4.875% 1/18/24 (f) | 279 | 286 | ||
5.5% 1/21/21 | 369 | 402 | ||
5.5% 6/27/44 | 648 | 613 | ||
6% 3/5/20 | 21 | 24 | ||
6.375% 1/23/45 (f) | 366 | 385 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos Mexicanos: - continued | ||||
6.5% 6/2/41 | $ 661 | $ 713 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 338 | 357 | ||
5.875% 5/1/42 | 117 | 134 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 173 | 175 | ||
6.125% 1/15/17 | 205 | 233 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 10 | 11 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 69 | 72 | ||
2.95% 9/25/18 | 63 | 65 | ||
4.6% 6/15/21 | 90 | 97 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 395 | 462 | ||
Texas Eastern Transmission LP 6% 9/15/17 (f) | 326 | 368 | ||
Western Gas Partners LP 5.375% 6/1/21 | 393 | 424 | ||
Williams Partners LP 4.3% 3/4/24 | 278 | 279 | ||
| 13,581 | |||
TOTAL ENERGY | 15,142 | |||
FINANCIALS - 3.7% | ||||
Capital Markets - 0.5% | ||||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 145 | 146 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 1,225 | 1,225 | ||
2.625% 1/31/19 | 885 | 890 | ||
2.9% 7/19/18 | 526 | 541 | ||
5.25% 7/27/21 | 96 | 107 | ||
5.625% 1/15/17 | 500 | 554 | ||
5.95% 1/18/18 | 32 | 37 | ||
6% 6/15/20 | 600 | 697 | ||
6.15% 4/1/18 | 36 | 41 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 185 | 195 | ||
6.85% 6/15/17 | 31 | 35 | ||
Morgan Stanley: | ||||
2.125% 4/25/18 | 863 | 868 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Morgan Stanley: - continued | ||||
3.75% 2/25/23 | $ 438 | $ 438 | ||
4.875% 11/1/22 | 365 | 385 | ||
5% 11/24/25 | 93 | 97 | ||
5.45% 1/9/17 | 480 | 534 | ||
5.75% 1/25/21 | 100 | 115 | ||
6.625% 4/1/18 | 600 | 706 | ||
| 7,611 | |||
Commercial Banks - 0.5% | ||||
Bank of America NA 5.3% 3/15/17 | 420 | 465 | ||
Credit Suisse AG 6% 2/15/18 | 664 | 769 | ||
Discover Bank 4.2% 8/8/23 | 259 | 266 | ||
Fifth Third Bancorp 8.25% 3/1/38 | 94 | 132 | ||
HBOS PLC 6.75% 5/21/18 (f) | 180 | 205 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 97 | 117 | ||
KeyBank NA: | ||||
5.45% 3/3/16 | 294 | 321 | ||
5.8% 7/1/14 | 322 | 328 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 259 | 281 | ||
Regions Bank: | ||||
6.45% 6/26/37 | 652 | 722 | ||
7.5% 5/15/18 | 282 | 336 | ||
Regions Financial Corp.: | ||||
2% 5/15/18 | 382 | 376 | ||
5.75% 6/15/15 | 73 | 77 | ||
7.75% 11/10/14 | 229 | 240 | ||
Royal Bank of Scotland Group PLC: | ||||
6% 12/19/23 | 490 | 505 | ||
6.1% 6/10/23 | 470 | 488 | ||
6.125% 12/15/22 | 694 | 729 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 1,200 | 1,214 | ||
3.676% 6/15/16 | 160 | 171 | ||
4.48% 1/16/24 | 30 | 31 | ||
| 7,773 | |||
Consumer Finance - 0.4% | ||||
American Express Credit Corp. 1.3% 7/29/16 | 357 | 361 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: | ||||
3.85% 11/21/22 | $ 462 | $ 456 | ||
5.2% 4/27/22 | 42 | 45 | ||
6.45% 6/12/17 | 1,019 | 1,155 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 239 | 239 | ||
1.7% 5/9/16 | 561 | 569 | ||
2.875% 10/1/18 | 400 | 411 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 289 | 292 | ||
2.95% 5/9/16 | 185 | 194 | ||
3.5% 6/29/15 | 192 | 200 | ||
6% 8/7/19 | 1,000 | 1,185 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 314 | 313 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (f) | 476 | 476 | ||
1.625% 10/2/15 (f) | 122 | 123 | ||
1.875% 8/9/16 (f) | 92 | 93 | ||
2.125% 10/2/17 (f) | 134 | 135 | ||
2.875% 8/9/18 (f) | 163 | 167 | ||
| 6,414 | |||
Diversified Financial Services - 0.8% | ||||
Bank of America Corp.: | ||||
2.6% 1/15/19 | 448 | 454 | ||
3.3% 1/11/23 | 947 | 922 | ||
3.875% 3/22/17 | 1,060 | 1,137 | ||
4.1% 7/24/23 | 352 | 362 | ||
5.65% 5/1/18 | 205 | 234 | ||
5.75% 12/1/17 | 615 | 701 | ||
6.5% 8/1/16 | 300 | 338 | ||
Barclays Bank PLC 2.5% 2/20/19 | 200 | 202 | ||
BP Capital Markets PLC: | ||||
3.814% 2/10/24 | 359 | 363 | ||
4.742% 3/11/21 | 300 | 335 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 568 | 569 | ||
3.953% 6/15/16 | 397 | 422 | ||
4.05% 7/30/22 | 151 | 153 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Citigroup, Inc.: - continued | ||||
4.75% 5/19/15 | $ 544 | $ 570 | ||
5.5% 9/13/25 | 142 | 153 | ||
6.125% 5/15/18 | 212 | 246 | ||
Five Corners Funding Trust 4.419% 11/15/23 (f) | 360 | 368 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 720 | 712 | ||
2% 8/15/17 | 300 | 305 | ||
3.15% 7/5/16 | 430 | 452 | ||
3.25% 9/23/22 | 503 | 495 | ||
4.35% 8/15/21 | 420 | 453 | ||
4.5% 1/24/22 | 134 | 145 | ||
4.95% 3/25/20 | 661 | 740 | ||
JPMorgan Chase Bank 6% 10/1/17 | 250 | 288 | ||
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (f) | 216 | 215 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 96 | 102 | ||
5.15% 3/15/20 | 141 | 158 | ||
| 11,594 | |||
Insurance - 0.5% | ||||
Allstate Corp. 6.2% 5/16/14 | 264 | 267 | ||
American International Group, Inc.: | ||||
4.875% 9/15/16 | 257 | 281 | ||
4.875% 6/1/22 | 107 | 118 | ||
5.6% 10/18/16 | 318 | 354 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 376 | 393 | ||
3.5% 9/30/15 | 151 | 157 | ||
5% 9/30/20 | 133 | 150 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(i) | 12 | 12 | ||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | 408 | 456 | ||
5.375% 3/15/17 | 6 | 7 | ||
Liberty Mutual Group, Inc.: | ||||
5% 6/1/21 (f) | 421 | 450 | ||
6.5% 3/15/35 (f) | 327 | 375 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 233 | 254 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f) | $ 199 | $ 217 | ||
MetLife, Inc.: | ||||
3.048% 12/15/22 | 313 | 304 | ||
4.368% 9/15/23 | 305 | 324 | ||
4.75% 2/8/21 | 137 | 152 | ||
6.75% 6/1/16 | 290 | 328 | ||
Metropolitan Life Global Funding I: | ||||
3% 1/10/23 (f) | 223 | 214 | ||
5.125% 6/10/14 (f) | 255 | 258 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 203 | 296 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (f) | 441 | 431 | ||
6% 2/10/20 (f) | 409 | 466 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 51 | 52 | ||
4.5% 11/16/21 | 200 | 219 | ||
4.75% 9/17/15 | 500 | 531 | ||
5.8% 11/16/41 | 262 | 302 | ||
6.2% 11/15/40 | 134 | 161 | ||
7.375% 6/15/19 | 120 | 149 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 38 | 41 | ||
Unum Group: | ||||
5.625% 9/15/20 | 270 | 301 | ||
5.75% 8/15/42 | 458 | 493 | ||
7.125% 9/30/16 | 19 | 22 | ||
| 8,535 | |||
Real Estate Investment Trusts - 0.4% | ||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 | 108 | 112 | ||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 101 | 97 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 160 | 166 | ||
4.2% 12/15/23 | 360 | 372 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 432 | 434 | ||
BRE Properties, Inc. 5.5% 3/15/17 | 113 | 125 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 135 | 127 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Camden Property Trust: - continued | ||||
4.25% 1/15/24 | $ 304 | $ 311 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 7/15/22 | 247 | 259 | ||
4.75% 4/15/18 | 313 | 341 | ||
7.5% 4/1/17 | 203 | 236 | ||
9.625% 3/15/16 | 106 | 123 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 180 | 172 | ||
3.875% 10/15/22 | 310 | 304 | ||
4.375% 6/15/22 | 207 | 212 | ||
5.95% 2/15/17 | 57 | 64 | ||
6.5% 1/15/18 | 285 | 328 | ||
6.75% 3/15/20 | 12 | 14 | ||
8.25% 8/15/19 | 127 | 159 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 400 | 384 | ||
5.375% 10/15/15 | 47 | 50 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 95 | 111 | ||
HCP, Inc. 3.75% 2/1/16 | 201 | 212 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 147 | 148 | ||
4.7% 9/15/17 | 48 | 53 | ||
HRPT Properties Trust 5.75% 11/1/15 | 50 | 52 | ||
Retail Opportunity Investments Partnership LP 5% 12/15/23 | 67 | 69 | ||
Simon Property Group LP: | ||||
2.75% 2/1/23 | 232 | 220 | ||
2.8% 1/30/17 | 82 | 86 | ||
4.125% 12/1/21 | 229 | 244 | ||
UDR, Inc. 5.5% 4/1/14 | 498 | 500 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 68 | 65 | ||
| 6,150 | |||
Real Estate Management & Development - 0.6% | ||||
BioMed Realty LP: | ||||
3.85% 4/15/16 | 390 | 411 | ||
4.25% 7/15/22 | 163 | 162 | ||
6.125% 4/15/20 | 126 | 144 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | $ 359 | $ 351 | ||
4.95% 4/15/18 | 197 | 213 | ||
5.7% 5/1/17 | 1,000 | 1,102 | ||
6% 4/1/16 | 86 | 94 | ||
7.5% 5/15/15 | 44 | 47 | ||
Digital Realty Trust LP: | ||||
4.5% 7/15/15 | 172 | 179 | ||
5.25% 3/15/21 | 201 | 212 | ||
ERP Operating LP: | ||||
4.625% 12/15/21 | 540 | 585 | ||
4.75% 7/15/20 | 265 | 293 | ||
5.375% 8/1/16 | 117 | 129 | ||
5.75% 6/15/17 | 567 | 644 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 185 | 174 | ||
4.125% 6/15/22 | 177 | 179 | ||
4.4% 2/15/24 | 418 | 425 | ||
4.75% 10/1/20 | 394 | 422 | ||
5.125% 3/2/15 | 7 | 7 | ||
5.5% 12/15/16 | 12 | 13 | ||
6.625% 10/1/17 | 281 | 325 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 252 | 255 | ||
3.15% 5/15/23 | 426 | 383 | ||
4.5% 4/18/22 | 108 | 109 | ||
7.75% 8/15/19 | 23 | 28 | ||
Mid-America Apartments LP 4.3% 10/15/23 | 73 | 74 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 70 | 66 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | 57 | 59 | ||
5.7% 4/15/17 (f) | 94 | 102 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 114 | 124 | ||
Regency Centers LP 5.25% 8/1/15 | 124 | 131 | ||
Tanger Properties LP: | ||||
3.875% 12/1/23 | 160 | 160 | ||
6.125% 6/1/20 | 478 | 560 | ||
Ventas Realty LP 1.55% 9/26/16 | 250 | 253 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | $ 227 | $ 228 | ||
4% 4/30/19 | 114 | 122 | ||
| 8,765 | |||
TOTAL FINANCIALS | 56,842 | |||
HEALTH CARE - 0.3% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.15% 11/15/41 | 350 | 367 | ||
Health Care Providers & Services - 0.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 178 | 168 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 378 | 411 | ||
Express Scripts, Inc. 3.125% 5/15/16 | 357 | 373 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 38 | 39 | ||
4.125% 9/15/20 | 259 | 276 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 59 | 56 | ||
2.875% 3/15/23 | 463 | 441 | ||
WellPoint, Inc. 3.3% 1/15/23 | 172 | 166 | ||
| 1,930 | |||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 102 | 102 | ||
2.4% 2/1/19 | 65 | 65 | ||
4.15% 2/1/24 | 99 | 102 | ||
| 269 | |||
Pharmaceuticals - 0.1% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 358 | 361 | ||
2.9% 11/6/22 | 368 | 355 | ||
Mylan, Inc. 1.35% 11/29/16 | 120 | 121 | ||
Perrigo Co. PLC 2.3% 11/8/18 (f) | 200 | 200 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 120 | 120 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 57 | $ 57 | ||
3.25% 2/1/23 | 138 | 133 | ||
| 1,347 | |||
TOTAL HEALTH CARE | 3,913 | |||
INDUSTRIALS - 0.0% | ||||
Aerospace & Defense - 0.0% | ||||
BAE Systems Holdings, Inc.: | ||||
4.95% 6/1/14 (f) | 18 | 18 | ||
6.375% 6/1/19 (f) | 309 | 362 | ||
| 380 | |||
Airlines - 0.0% | ||||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | 13 | 14 | ||
6.9% 7/2/19 | 4 | 4 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 9 | 10 | ||
8.36% 1/20/19 | 7 | 8 | ||
| 36 | |||
TOTAL INDUSTRIALS | 416 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Electronic Equipment & Components - 0.0% | ||||
Tyco Electronics Group SA 2.375% 12/17/18 | 74 | 74 | ||
IT Services - 0.0% | ||||
Xerox Corp. 4.25% 2/15/15 | 12 | 12 | ||
TOTAL INFORMATION TECHNOLOGY | 86 | |||
MATERIALS - 0.2% | ||||
Chemicals - 0.0% | ||||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 343 | 361 | ||
4.25% 11/15/20 | 186 | 199 | ||
| 560 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | $ 15 | $ 17 | ||
Metals & Mining - 0.2% | ||||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 211 | 213 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (f) | 360 | 363 | ||
4.5% 8/13/23 (f) | 500 | 518 | ||
5.625% 10/18/43 (f) | 254 | 259 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 356 | 360 | ||
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 200 | 200 | ||
6.25% 1/23/17 | 503 | 563 | ||
| 2,476 | |||
TOTAL MATERIALS | 3,053 | |||
TELECOMMUNICATION SERVICES - 0.5% | ||||
Diversified Telecommunication Services - 0.5% | ||||
AT&T, Inc.: | ||||
5.55% 8/15/41 | 1,223 | 1,288 | ||
6.3% 1/15/38 | 398 | 454 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 28 | 30 | ||
6% 4/1/17 | 70 | 77 | ||
6.15% 9/15/19 | 226 | 243 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 236 | 264 | ||
7.995% 6/1/36 | 175 | 187 | ||
Verizon Communications, Inc.: | ||||
2.5% 9/15/16 | 1,100 | 1,142 | ||
6.25% 4/1/37 | 187 | 217 | ||
6.4% 9/15/33 | 346 | 411 | ||
6.55% 9/15/43 | 2,538 | 3,108 | ||
| 7,421 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 0.0% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | $ 276 | $ 285 | ||
3.125% 7/16/22 | 255 | 241 | ||
| 526 | |||
TOTAL TELECOMMUNICATION SERVICES | 7,947 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.4% | ||||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 147 | 147 | ||
2.95% 12/15/22 | 140 | 134 | ||
Dayton Power & Light Co. 1.875% 9/15/16 (f) | 119 | 121 | ||
Duke Capital LLC 5.668% 8/15/14 | 16 | 16 | ||
Duke Energy Corp. 3.95% 10/15/23 | 55 | 56 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (f) | 273 | 311 | ||
6.4% 9/15/20 (f) | 569 | 665 | ||
Edison International 3.75% 9/15/17 | 226 | 242 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 299 | 301 | ||
4.25% 3/15/23 | 528 | 518 | ||
7.375% 11/15/31 | 411 | 473 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 649 | 716 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 255 | 260 | ||
3.75% 11/15/20 | 49 | 51 | ||
Monongahela Power Co. 4.1% 4/15/24 (f) | 131 | 136 | ||
Nevada Power Co. 6.5% 5/15/18 | 165 | 196 | ||
Northeast Utilities: | ||||
1.45% 5/1/18 | 96 | 94 | ||
2.8% 5/1/23 | 435 | 410 | ||
NV Energy, Inc. 6.25% 11/15/20 | 115 | 136 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 240 | 246 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 207 | 200 | ||
| 5,429 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - 0.0% | ||||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | $ 122 | $ 129 | ||
Independent Power Producers & Energy Traders - 0.0% | ||||
PSEG Power LLC 2.75% 9/15/16 | 90 | 94 | ||
Multi-Utilities - 0.3% | ||||
Ameren Illinois Co. 6.125% 11/15/17 | 165 | 191 | ||
Dominion Resources, Inc.: | ||||
2.5469% 9/30/66 (i) | 635 | 586 | ||
7.5% 6/30/66 (i) | 26 | 28 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 (f) | 523 | 522 | ||
2% 11/15/18 (f) | 403 | 401 | ||
National Grid PLC 6.3% 8/1/16 | 183 | 205 | ||
NiSource Finance Corp.: | ||||
4.45% 12/1/21 | 155 | 164 | ||
5.25% 2/15/43 | 357 | 361 | ||
5.4% 7/15/14 | 11 | 11 | ||
5.45% 9/15/20 | 468 | 531 | ||
5.8% 2/1/42 | 199 | 216 | ||
5.95% 6/15/41 | 396 | 438 | ||
6.4% 3/15/18 | 58 | 68 | ||
6.8% 1/15/19 | 677 | 810 | ||
PG&E Corp. 2.4% 3/1/19 | 55 | 55 | ||
Puget Energy, Inc. 6% 9/1/21 | 48 | 55 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 376 | 386 | ||
2.875% 10/1/22 | 154 | 147 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (i) | 21 | 21 | ||
| 5,196 | |||
TOTAL UTILITIES | 10,848 | |||
TOTAL NONCONVERTIBLE BONDS | 111,863 | |||
TOTAL CORPORATE BONDS (Cost $105,432) |
| |||
U.S. Treasury Obligations - 7.8% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 4/17/14 to 5/29/14 (h) | $ 1,555 | $ 1,555 | ||
U.S. Treasury Bonds: | ||||
3.625% 8/15/43 | 5,634 | 5,673 | ||
3.625% 2/15/44 | 2,000 | 2,013 | ||
3.75% 11/15/43 | 102 | 105 | ||
U.S. Treasury Notes: | ||||
0.25% 7/31/15 | 3,230 | 3,233 | ||
0.5% 7/31/17 | 2,063 | 2,035 | ||
0.625% 12/15/16 | 4,412 | 4,414 | ||
0.875% 11/30/16 | 1,254 | 1,263 | ||
0.875% 4/30/17 | 9 | 9 | ||
0.875% 1/31/18 | 9,947 | 9,857 | ||
0.875% 7/31/19 | 5,971 | 5,721 | ||
1% 5/31/18 | 5,583 | 5,525 | ||
1.25% 10/31/18 | 22,092 | 21,935 | ||
1.375% 7/31/18 | 7,186 | 7,205 | ||
1.375% 9/30/18 | 5,036 | 5,036 | ||
1.5% 12/31/18 | 2,258 | 2,262 | ||
1.5% 1/31/19 | 14,672 | 14,679 | ||
1.75% 5/31/16 | 5,530 | 5,694 | ||
1.75% 5/15/23 | 350 | 326 | ||
2% 2/28/21 | 7,013 | 6,953 | ||
2% 2/15/23 | 3,074 | 2,943 | ||
2.125% 1/31/21 | 3,922 | 3,926 | ||
2.75% 11/15/23 | 6,910 | 6,983 | ||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $119,606) |
| |||
U.S. Government Agency - Mortgage Securities - 1.0% | ||||
| ||||
Fannie Mae - 0.8% | ||||
2.303% 6/1/36 (i) | 8 | 9 | ||
2.536% 6/1/42 (i) | 51 | 53 | ||
2.643% 7/1/37 (i) | 18 | 19 | ||
2.949% 11/1/40 (i) | 26 | 27 | ||
2.959% 9/1/41 (i) | 30 | 31 | ||
3% 1/1/43 to 1/1/44 | 1,000 | 972 | ||
3% 3/1/44 (g) | 500 | 486 | ||
3.093% 10/1/41 (i) | 19 | 20 | ||
3.224% 7/1/41 (i) | 48 | 51 | ||
3.345% 10/1/41 (i) | 26 | 28 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
3.5% 8/1/42 to 10/1/43 | $ 5,633 | $ 5,645 | ||
3.5% 3/1/44 (g) | 2,400 | 2,433 | ||
3.55% 7/1/41 (i) | 51 | 54 | ||
4% 12/1/41 to 12/1/43 | 491 | 516 | ||
4% 3/1/44 (g) | 600 | 629 | ||
4% 3/1/44 (g) | 500 | 524 | ||
4.5% 12/1/23 | 13 | 14 | ||
6% 11/1/35 to 8/1/37 | 436 | 487 | ||
TOTAL FANNIE MAE | 11,998 | |||
Freddie Mac - 0.2% | ||||
3.064% 10/1/35 (i) | 21 | 22 | ||
3.23% 4/1/41 (i) | 36 | 38 | ||
3.249% 9/1/41 (i) | 27 | 29 | ||
3.281% 6/1/41 (i) | 39 | 41 | ||
3.464% 5/1/41 (i) | 38 | 40 | ||
3.5% 6/1/42 to 10/1/43 | 2,076 | 2,078 | ||
3.622% 6/1/41 (i) | 48 | 51 | ||
3.695% 5/1/41 (i) | 45 | 48 | ||
5% 11/1/40 | 330 | 363 | ||
TOTAL FREDDIE MAC | 2,710 | |||
Ginnie Mae - 0.0% | ||||
4% 11/20/40 to 1/20/41 | 200 | 212 | ||
4% 3/1/44 (g) | 500 | 530 | ||
5.5% 6/15/35 | 137 | 154 | ||
TOTAL GINNIE MAE | 896 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $15,715) |
| |||
Asset-Backed Securities - 0.2% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6255% 4/25/35 (i) | 30 | 27 | ||
Ally Master Owner Trust: | ||||
Series 2011-3 Class A2, 1.81% 5/15/16 | 280 | 281 | ||
Series 2012-3 Class A2, 1.21% 6/15/17 | 370 | 372 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2055% 12/25/33 (i) | $ 3 | $ 2 | ||
Series 2004-R2 Class M3, 0.9805% 4/25/34 (i) | 4 | 2 | ||
Series 2005-R2 Class M1, 0.6055% 4/25/35 (i) | 48 | 47 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9355% 3/25/34 (i) | 2 | 2 | ||
Series 2004-W11 Class M2, 1.2055% 11/25/34 (i) | 25 | 23 | ||
Series 2004-W7 Class M1, 0.9805% 5/25/34 (i) | 27 | 25 | ||
Series 2006-W4 Class A2C, 0.3155% 5/25/36 (i) | 55 | 17 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9805% 4/25/34 (i) | 91 | 85 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 360 | 362 | ||
Capital Trust Ltd. Series 2004-1 Class C, 1.254% 7/20/39 (f)(i) | 7 | 3 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.2955% 12/25/36 (i) | 82 | 47 | ||
CFC LLC: | ||||
Series 2013-1A Class A, 1.65% 7/17/17 (f) | 54 | 54 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (f) | 303 | 304 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3 Class M4, 1.6105% 4/25/34 (i) | 4 | 3 | ||
Series 2004-4 Class M2, 0.9505% 6/25/34 (i) | 19 | 18 | ||
Series 2004-7 Class AF5, 5.37% 1/25/35 | 135 | 142 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9224% 5/28/35 (i) | 2 | 2 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3305% 8/25/34 (i) | 13 | 10 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9805% 3/25/34 (i) | 1 | 0* | ||
Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17 | 700 | 702 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.8905% 1/25/35 (i) | 43 | 35 | ||
Class M4, 1.1755% 1/25/35 (i) | 16 | 6 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(i) | 106 | 88 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.5845% 4/15/31 (f)(i) | 3 | 2 | ||
Series 2006-2A: | ||||
Class A, 0.3345% 11/15/34 (f)(i) | 28 | 26 | ||
Class B, 0.4345% 11/15/34 (f)(i) | 10 | 9 | ||
Class C, 0.5345% 11/15/34 (f)(i) | 17 | 14 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 0.9045% 11/15/34 (f)(i) | $ 6 | $ 5 | ||
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7055% 9/25/46 (f)(i) | 30 | 30 | ||
Home Equity Asset Trust: | ||||
Series 2003-3 Class M1, 1.4455% 8/25/33 (i) | 24 | 23 | ||
Series 2003-5 Class A2, 0.8555% 12/25/33 (i) | 1 | 1 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3455% 1/25/37 (i) | 56 | 28 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2855% 11/25/36 (i) | 51 | 50 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.5759% 12/27/29 (i) | 14 | 14 | ||
Series 2006-A Class 2C, 1.3959% 3/27/42 (i) | 43 | 7 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4555% 5/25/37 (i) | 22 | 0* | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1305% 7/25/34 (i) | 3 | 3 | ||
Series 2006-FM1 Class A2B, 0.2655% 4/25/37 (i) | 28 | 27 | ||
Series 2006-OPT1 Class A1A, 0.6755% 6/25/35 (i) | 49 | 47 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8355% 8/25/34 (i) | 3 | 3 | ||
Series 2005-NC1 Class M1, 0.8155% 1/25/35 (i) | 18 | 17 | ||
Series 2005-NC2 Class B1, 1.3255% 3/25/35 (i) | 11 | 5 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6655% 9/25/35 (i) | 65 | 54 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.654% 3/20/10 (d)(f)(i) | 25 | 0 | ||
Series 2006-1A Class A, 1.554% 3/20/11 (d)(f)(i) | 53 | 0 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.4055% 9/25/34 (i) | 24 | 22 | ||
Class M4, 1.6055% 9/25/34 (i) | 31 | 17 | ||
Series 2005-WCH1 Class M4, 0.9855% 1/25/36 (i) | 67 | 55 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9555% 4/25/33 (i) | 0* | 0* | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9505% 3/25/35 (i) | 46 | 39 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (i) | 46 | 40 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8805% 9/25/34 (i) | 2 | 2 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0155% 9/25/34 (i) | $ 1 | $ 1 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8029% 4/6/42 (f)(i) | 60 | 14 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0386% 10/25/44 (f)(i) | 81 | 78 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $2,900) |
| |||
Collateralized Mortgage Obligations - 0.3% | ||||
| ||||
Private Sponsor - 0.2% | ||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7155% 1/25/35 (i) | 64 | 63 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5778% 10/25/34 (i) | 30 | 30 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class A1, 0.224% 12/20/54 (f)(i) | 328 | 324 | ||
Class C2, 1.354% 12/20/54 (f)(i) | 271 | 262 | ||
Series 2006-2: | ||||
Class A4, 0.234% 12/20/54 (i) | 93 | 92 | ||
Class C1, 1.094% 12/20/54 (i) | 242 | 229 | ||
Series 2006-3: | ||||
Class A3, 0.234% 12/20/54 (i) | 44 | 43 | ||
Class A7, 0.354% 12/20/54 (i) | 51 | 51 | ||
Class C2, 1.154% 12/20/54 (i) | 50 | 48 | ||
Series 2006-4: | ||||
Class A4, 0.254% 12/20/54 (i) | 150 | 148 | ||
Class B1, 0.334% 12/20/54 (i) | 169 | 164 | ||
Class C1, 0.914% 12/20/54 (i) | 103 | 97 | ||
Class M1, 0.494% 12/20/54 (i) | 44 | 42 | ||
Series 2007-1: | ||||
Class 1C1, 0.754% 12/20/54 (i) | 84 | 79 | ||
Class 1M1, 0.454% 12/20/54 (i) | 54 | 51 | ||
Class 2A1, 0.294% 12/20/54 (i) | 118 | 116 | ||
Class 2C1, 1.014% 12/20/54 (i) | 38 | 36 | ||
Class 2M1, 0.654% 12/20/54 (i) | 70 | 67 | ||
Series 2007-2: | ||||
Class 2C1, 1.0145% 12/17/54 (i) | 97 | 91 | ||
Class 3A1, 0.3345% 12/17/54 (i) | 24 | 24 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6866% 1/20/44 (i) | $ 19 | $ 19 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6892% 8/25/36 (i) | 56 | 47 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3655% 5/25/47 (i) | 25 | 19 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3255% 2/25/37 (i) | 37 | 34 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4455% 7/25/35 (i) | 65 | 63 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5065% 7/10/35 (f)(i) | 14 | 13 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2269% 7/20/34 (i) | 1 | 1 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.4727% 4/25/33 (i) | 9 | 9 | ||
TOTAL PRIVATE SPONSOR | 2,262 | |||
U.S. Government Agency - 0.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2005-38 Class F, 0.4555% 5/25/35 (i) | 51 | 51 | ||
Series 2006-50 Class BF, 0.5555% 6/25/36 (i) | 67 | 67 | ||
Series 2006-82 Class F, 0.7255% 9/25/36 (i) | 89 | 89 | ||
Series 2007-36 Class F, 0.3855% 4/25/37 (i) | 80 | 80 | ||
Series 2011-37 Class FA, 0.6055% 5/25/41 (i) | 241 | 242 | ||
Series 2011-40 Class DF, 0.6055% 5/25/41 (i) | 186 | 186 | ||
Series 2013-62 Class FA, 0.4555% 6/25/43 (i) | 339 | 335 | ||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 7 | 7 | ||
sequential payer: | ||||
Series 2010-74 Class WF, 0.7555% 7/25/34 (i) | 73 | 74 | ||
Series 2012-120 Class FE 0.4555% 2/25/39 (i) | 151 | 150 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2011-3845 Class FA, 0.5745% 4/15/41 (i) | 119 | 119 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 3830 Class FD, 0.5145% 3/15/41 (i) | $ 347 | $ 348 | ||
sequential payer Series 2011-3969 Class AF, 0.6045% 10/15/33 (i) | 154 | 155 | ||
TOTAL U.S. GOVERNMENT AGENCY | 1,903 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,062) |
| |||
Commercial Mortgage Securities - 1.7% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5236% 2/14/43 (i)(k) | 27 | 1 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7192% 5/10/45 (i) | 33 | 34 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 315 | 342 | ||
Series 2006-5 Class A2, 5.317% 9/10/47 | 177 | 178 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 150 | 154 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (i) | 857 | 942 | ||
Series 2005-3 Class A3B, 5.09% 7/10/43 (i) | 233 | 240 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 43 | 5 | ||
Series 2007-3: | ||||
Class A3, 5.6195% 6/10/49 (i) | 124 | 124 | ||
Class A4, 5.6195% 6/10/49 (i) | 156 | 173 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 274 | 296 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.0055% 12/25/33 (f)(i) | 2 | 2 | ||
Series 2005-4A: | ||||
Class A2, 0.5455% 1/25/36 (f)(i) | 45 | 37 | ||
Class B1, 1.5555% 1/25/36 (f)(i) | 4 | 1 | ||
Class M1, 0.6055% 1/25/36 (f)(i) | 14 | 8 | ||
Class M2, 0.6255% 1/25/36 (f)(i) | 4 | 2 | ||
Class M3, 0.6555% 1/25/36 (f)(i) | 6 | 3 | ||
Class M4, 0.7655% 1/25/36 (f)(i) | 4 | 2 | ||
Class M5, 0.8055% 1/25/36 (f)(i) | 4 | 1 | ||
Class M6, 0.8555% 1/25/36 (f)(i) | 4 | 1 | ||
Series 2006-3A Class M4, 0.5855% 10/25/36 (f)(i) | 4 | 1 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-1 Class A2, 0.4255% 3/25/37 (f)(i) | $ 26 | $ 18 | ||
Series 2007-2A: | ||||
Class A1, 0.4255% 7/25/37 (f)(i) | 26 | 21 | ||
Class A2, 0.4755% 7/25/37 (f)(i) | 24 | 17 | ||
Class M1, 0.5255% 7/25/37 (f)(i) | 9 | 3 | ||
Class M2, 0.5655% 7/25/37 (f)(i) | 4 | 1 | ||
Class M3, 0.6455% 7/25/37 (f)(i) | 5 | 0* | ||
Class M4, 0.8055% 7/25/37 (f)(i) | 4 | 0* | ||
Series 2007-3: | ||||
Class A2, 0.4455% 7/25/37 (f)(i) | 28 | 19 | ||
Class M1, 0.4655% 7/25/37 (f)(i) | 5 | 3 | ||
Class M2, 0.4955% 7/25/37 (f)(i) | 5 | 3 | ||
Class M3, 0.5255% 7/25/37 (f)(i) | 8 | 4 | ||
Class M4, 0.6555% 7/25/37 (f)(i) | 13 | 3 | ||
Class M5, 0.7555% 7/25/37 (f)(i) | 7 | 1 | ||
Class M6, 0.9555% 7/25/37 (f)(i) | 2 | 0* | ||
Series 2007-4A: | ||||
Class M1, 1.1055% 9/25/37 (f)(i) | 10 | 1 | ||
Class M2, 1.2055% 9/25/37 (f)(i) | 10 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(i)(k) | 252 | 15 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater Series 2007-BBA8: | ||||
Class E, 0.4545% 3/15/22 (f)(i) | 20 | 20 | ||
Class F, 0.5045% 3/15/22 (f)(i) | 78 | 74 | ||
Class G, 0.5545% 3/15/22 (f)(i) | 20 | 19 | ||
Class H, 0.7045% 3/15/22 (f)(i) | 25 | 22 | ||
Class J, 0.8545% 3/15/22 (f)(i) | 25 | 22 | ||
sequential payer Series 2007-PW16 Class A4, 5.7058% 6/11/40 (i) | 44 | 50 | ||
Series 2006-T22 Class A4, 5.5801% 4/12/38 (i) | 9 | 10 | ||
Series 2007-PW18 Class X2, 0.2966% 6/11/50 (f)(i)(k) | 3,806 | 26 | ||
Series 2007-T28 Class X2, 0.1573% 9/11/42 (f)(i)(k) | 2,337 | 8 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4255% 5/25/36 (f)(i) | 23 | 22 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4233% 5/15/35 (f)(i)(k) | 160 | 2 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 73 | 75 | ||
Class A4, 5.322% 12/11/49 | 2,380 | 2,627 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i) | $ 84 | $ 82 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A Class J, 1.0045% 4/15/17 (f)(i) | 6 | 6 | ||
Series 2006-FL12 Class AJ, 0.2845% 12/15/20 (f)(i) | 26 | 26 | ||
sequential payer Series 2006-C7 Class A1A, 5.741% 6/10/46 (i) | 287 | 313 | ||
Series 2004-LB4A Class A5, 4.84% 10/15/37 | 594 | 599 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (i) | 1 | 1 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (i) | 68 | 76 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5045% 4/15/22 (f)(i) | 268 | 253 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2001-CK6 Class AX, 1.3434% 8/15/36 (i)(k) | 5 | 0* | ||
Series 2001-CKN5 Class AX, 0.6562% 9/15/34 (f)(i)(k) | 0* | 0* | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.3245% 2/15/22 (f)(i) | 56 | 55 | ||
0.4245% 2/15/22 (f)(i) | 30 | 30 | ||
Class F, 0.4745% 2/15/22 (f)(i) | 60 | 59 | ||
Series 2007-C1: | ||||
Class ASP, 0.354% 2/15/40 (i)(k) | 924 | 0* | ||
Class B, 5.487% 2/15/40 (f)(i) | 115 | 16 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 1,194 | 1,309 | ||
Series 2001-1 Class X1, 1.7244% 5/15/33 (f)(i)(k) | 15 | 0* | ||
Series 2007-C1 Class XP, 0.1602% 12/10/49 (i)(k) | 477 | 0* | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.3471% 11/5/21 (f)(i) | 28 | 28 | ||
Series 2006-GG7 Class A4, 5.8197% 7/10/38 (i) | 176 | 193 | ||
Series 2007-GG11 Class A1, 0.2936% 12/10/49 (f)(i)(k) | 1,112 | 2 | ||
GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10 | 10 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (i) | $ 80 | $ 88 | ||
Hilton U.S.A. Trust Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (f) | 100 | 102 | ||
Class DFX, 4.4065% 11/5/30 (f) | 584 | 596 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FL2A: | ||||
Class B, 0.3245% 11/15/18 (f)(i) | 32 | 31 | ||
Class C, 0.3645% 11/15/18 (f)(i) | 23 | 22 | ||
Class D, 0.3845% 11/15/18 (f)(i) | 7 | 6 | ||
Class E, 0.4345% 11/15/18 (f)(i) | 10 | 9 | ||
Class F, 0.4845% 11/15/18 (f)(i) | 14 | 14 | ||
Class G, 0.5145% 11/15/18 (f)(i) | 13 | 12 | ||
Class H, 0.6545% 11/15/18 (f)(i) | 10 | 9 | ||
sequential payer: | ||||
Series 2006-CB16 Class A1A, 5.546% 5/12/45 | 494 | 540 | ||
Series 2006-CB17: | ||||
Class A3, 5.45% 12/12/43 | 4 | 4 | ||
Class A4, 5.429% 12/12/43 | 240 | 259 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 835 | 910 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 31 | 34 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 70 | 77 | ||
Series 2007-CB19 Class A4, 5.7093% 2/12/49 (i) | 1,130 | 1,262 | ||
Series 2007-LD11: | ||||
Class A2, 5.7984% 6/15/49 (i) | 69 | 69 | ||
Class A4, 5.8134% 6/15/49 (i) | 790 | 881 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 554 | 613 | ||
Series 2006-LDP7 Class A4, 5.8726% 4/15/45 (i) | 700 | 765 | ||
Series 2007-CB19: | ||||
Class B, 5.7093% 2/12/49 (i) | 6 | 2 | ||
Class C, 5.7093% 2/12/49 (i) | 17 | 4 | ||
Class D, 5.7093% 2/12/49 (i) | 18 | 3 | ||
Series 2007-LDP10: | ||||
Class CS, 5.466% 1/15/49 (i) | 6 | 1 | ||
Class ES, 5.7261% 1/15/49 (f)(i) | 39 | 2 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8924% 7/15/44 (i) | 58 | 65 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C6 Class A4, 5.372% 9/15/39 | 34 | 37 | ||
Series 2006-C7 Class A2, 5.3% 11/15/38 | 39 | 40 | ||
Series 2007-C1 Class A4, 5.424% 2/15/40 | 550 | 607 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (i) | 93 | 101 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | $ 444 | $ 506 | ||
Class XCP, 0.2771% 9/15/45 (i)(k) | 4,375 | 11 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class H, 0.5545% 9/15/21 (f)(i) | 12 | 12 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2005-LC1 Class F, 5.4207% 1/12/44 (f)(i) | 65 | 58 | ||
Series 2007-C1 Class A4, 5.8409% 6/12/50 (i) | 354 | 398 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.2748% 12/12/49 (i) | 4 | 4 | ||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (i) | 40 | 43 | ||
Class ASB, 5.133% 12/12/49 (i) | 32 | 33 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 63 | 69 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (i) | 550 | 609 | ||
Series 2007-7 Class A4, 5.7439% 6/12/50 (i) | 263 | 293 | ||
Series 2006-4 Class XP, 0.618% 12/12/49 (i)(k) | 770 | 4 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (i) | 75 | 18 | ||
Series 2007-7 Class B, 5.7439% 6/12/50 (i) | 7 | 0* | ||
Series 2007-8 Class A3, 5.8943% 8/12/49 (i) | 65 | 73 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.355% 7/15/19 (f)(i) | 16 | 12 | ||
Series 2007-XLFA: | ||||
Class C, 0.315% 10/15/20 (f)(i) | 43 | 42 | ||
Class D, 0.345% 10/15/20 (f)(i) | 30 | 29 | ||
Class E, 0.405% 10/15/20 (f)(i) | 38 | 36 | ||
Class F, 0.455% 10/15/20 (f)(i) | 23 | 22 | ||
Class G, 0.495% 10/15/20 (f)(i) | 28 | 27 | ||
Class H, 0.585% 10/15/20 (f)(i) | 18 | 16 | ||
Class J, 0.735% 10/15/20 (f)(i) | 10 | 4 | ||
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (i) | 9 | 9 | ||
Series 2006-IQ11 Class A4, 5.6648% 10/15/42 (i) | 20 | 21 | ||
Series 2006-T23 Class A3, 5.8071% 8/12/41 (i) | 38 | 38 | ||
Series 2007-HQ12 Class A2, 5.6007% 4/12/49 (i) | 301 | 304 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (i) | 113 | 125 | ||
Class B, 5.7406% 4/15/49 (i) | 18 | 4 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 643 | $ 817 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-WL7A: | ||||
Class F, 0.4945% 9/15/21 (f)(i) | 65 | 64 | ||
Class G, 0.5145% 9/15/21 (f)(i) | 80 | 79 | ||
Class J, 0.7545% 9/15/21 (f)(i) | 18 | 16 | ||
Series 2007-WHL8: | ||||
Class F, 0.6345% 6/15/20 (f)(i) | 168 | 154 | ||
Class LXR1, 0.8545% 6/15/20 (f)(i) | 9 | 8 | ||
sequential payer: | ||||
Series 2006-C28 Class A4, 5.572% 10/15/48 | 350 | 383 | ||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 288 | 315 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 540 | 595 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 1,070 | 1,169 | ||
Series 2007-C32 Class A3, 5.7499% 6/15/49 (i) | 147 | 163 | ||
Series 2007-C33: | ||||
Class A4, 5.9216% 2/15/51 (i) | 1,100 | 1,214 | ||
Class A5, 5.9216% 2/15/51 (i) | 50 | 56 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 75 | 77 | ||
Series 2005-C22: | ||||
Class B, 5.3811% 12/15/44 (i) | 166 | 163 | ||
Class F, 5.3811% 12/15/44 (f)(i) | 125 | 30 | ||
Series 2006-C26 Class A1A, 6.009% 6/15/45 (i) | 411 | 450 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (i) | 704 | 770 | ||
Series 2007-C30 Class XP, 0.4783% 12/15/43 (f)(i)(k) | 571 | 0* | ||
Series 2007-C31 Class C, 5.672% 4/15/47 (i) | 21 | 17 | ||
Series 2007-C31A Class A2, 5.421% 4/15/47 | 723 | 723 | ||
Series 2007-C32: | ||||
Class D, 5.7499% 6/15/49 (i) | 56 | 25 | ||
Class E, 5.7499% 6/15/49 (i) | 89 | 30 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $23,941) |
| |||
Municipal Securities - 0.5% | ||||
| ||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i) | 100 | 102 | ||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 70 | 94 | ||
Municipal Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
California Gen. Oblig.: - continued | ||||
7.3% 10/1/39 | $ 535 | $ 720 | ||
7.5% 4/1/34 | 465 | 631 | ||
7.6% 11/1/40 | 895 | 1,262 | ||
7.625% 3/1/40 | 150 | 209 | ||
Chicago Gen. Oblig. (Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 80 | 84 | ||
Series 2010 C1, 7.781% 1/1/35 | 395 | 470 | ||
Series 2012 B, 5.432% 1/1/42 | 105 | 93 | ||
Illinois Gen. Oblig.: | ||||
Series 2003, 5.1% 6/1/33 | 1,785 | 1,754 | ||
Series 2010, 4.421% 1/1/15 | 260 | 268 | ||
Series 2010-1, 6.63% 2/1/35 | 320 | 354 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 10 | 11 | ||
6.725% 4/1/35 | 475 | 529 | ||
7.35% 7/1/35 | 220 | 257 | ||
Series 2011: | ||||
4.961% 3/1/16 | 35 | 37 | ||
5.665% 3/1/18 | 265 | 294 | ||
5.877% 3/1/19 | 695 | 780 | ||
Series 2013: | ||||
2.69% 12/1/17 | 110 | 111 | ||
3.14% 12/1/18 | 115 | 115 | ||
TOTAL MUNICIPAL SECURITIES (Cost $7,951) |
| |||
Foreign Government and Government Agency Obligations - 0.2% | ||||
| ||||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (f) | 365 | 372 | ||
5.75% 9/26/23 (f) | 332 | 338 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 355 | 342 | ||
5.625% 1/7/41 | 400 | 393 | ||
United Mexican States: | ||||
4% 10/2/23 | 804 | 814 | ||
4.75% 3/8/44 | 352 | 328 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,617) |
| |||
Bank Notes - 0.0% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fifth Third Bank 4.75% 2/1/15 | $ 250 | $ 260 |
Fixed-Income Funds - 7.2% | |||
Shares |
| ||
Fidelity High Income Central Fund 2 (j) | 302,909 | 36,040 | |
Fidelity Mortgage Backed Securities Central Fund (j) | 685,043 | 73,389 | |
TOTAL FIXED-INCOME FUNDS (Cost $101,619) |
| ||
Money Market Funds - 5.0% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.10% (b) | 69,820,890 | 69,821 | |
Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c) | 6,542,425 | 6,542 | |
TOTAL MONEY MARKET FUNDS (Cost $76,363) |
| ||
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $1,278,664) | 1,542,345 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (14,399) | ||
NET ASSETS - 100% | $ 1,527,946 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) | Value (000s) | |
Fannie Mae | |||
3.5% 3/1/44 | $ (1,000) | $ (1,013) | |
4% 3/1/44 | (100) | (105) | |
4% 3/1/44 | (500) | (524) | |
TOTAL FANNIE MAE | (1,642) | ||
Ginnie Mae | |||
4% 3/1/44 | (200) | (212) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $1,846) | $ (1,854) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
236 CME E-mini S&P 500 Index Contracts (United States) | March 2014 | $ 21,920 | $ 861 |
|
The face value of futures purchased as a percentage of net assets is 1.4% |
Swaps | ||||||||
Credit Default Swaps | ||||||||
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/ | Notional | Value (1) (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
Sell Protection | ||||||||
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 | C | Dec. 2034 | Credit Suisse | 4.25% | $ 29 | $ (28) | $ - | $ (28) |
|
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
|
(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
|
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(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 end of the period, the value of these securities amounted to $18,699,000 or 1.2% 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 period end, the value of securities pledged amounted to $1,155,000. |
(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(l) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(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 $1,820,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Legend Pictures LLC | 9/23/10 | $ 311 |
MongoDB, Inc. Series F, 8.00% | 10/2/13 | $ 281 |
Xero Ltd. | 10/14/13 | $ 411 |
* Amount represents less than $1,000. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 21 |
Fidelity High Income Central Fund 2 | 1,052 |
Fidelity Mortgage Backed Securities Central Fund | 984 |
Fidelity Securities Lending Cash Central Fund | 7 |
Total | $ 2,064 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity High Income Central Fund 2 | $ 31,618 | $ 3,055 | $ - | $ 36,040 | 4.2% |
Fidelity Mortgage Backed Securities Central Fund | 85,122 | 984 | 14,235 | 73,389 | 0.7% |
Total | $ 116,740 | $ 4,039 | $ 14,235 | $ 109,429 |
Other Information |
The following is a summary of the inputs used, as of February 28, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 125,497 | $ 124,749 | $ - | $ 748 |
Consumer Staples | 101,744 | 98,987 | 2,757 | - |
Energy | 104,367 | 104,367 | - | - |
Financials | 179,910 | 176,431 | 3,479 | - |
Health Care | 151,960 | 145,070 | 6,890 | - |
Industrials | 105,340 | 105,340 | - | - |
Information Technology | 197,859 | 196,515 | 1,091 | 253 |
Materials | 39,537 | 39,537 | - | - |
Telecommunication Services | 26,267 | 22,538 | 3,729 | - |
Utilities | 32,690 | 32,690 | - | - |
Corporate Bonds | 111,959 | - | 111,959 | - |
U.S. Government and Government Agency Obligations | 119,345 | - | 119,345 | - |
U.S. Government Agency - Mortgage Securities | 15,604 | - | 15,604 | - |
Asset-Backed Securities | 3,292 | - | 3,165 | 127 |
Collateralized Mortgage Obligations | 4,165 | - | 4,152 | 13 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Commercial Mortgage Securities | $ 25,995 | $ - | $ 25,928 | $ 67 |
Municipal Securities | 8,175 | - | 8,175 | - |
Foreign Government and Government Agency Obligations | 2,587 | - | 2,587 | - |
Bank Notes | 260 | - | 260 | - |
Fixed-Income Funds | 109,429 | 109,429 | - | - |
Money Market Funds | 76,363 | 76,363 | - | - |
Total Investments in Securities: | $ 1,542,345 | $ 1,232,016 | $ 309,121 | $ 1,208 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 861 | $ 861 | $ - | $ - |
Liabilities | ||||
Swaps | $ (28) | $ - | $ (28) | $ - |
Total Derivative Instruments: | $ 833 | $ 861 | $ (28) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (1,854) | $ - | $ (1,854) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swaps (b) | $ - | $ (28) |
Equity Risk | ||
Futures Contracts (a) | 861 | - |
Total Value of Derivatives | $ 861 | $ (28) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited): |
U.S. Government and U.S. Government Agency Obligations | 13.4% |
AAA,AA,A | 3.4% |
BBB | 5.9% |
BB | 0.7% |
B | 1.5% |
CCC,CC,C | 0.5% |
D | 0.0%* |
Not Rated | 0.2% |
Equities | 69.8% |
Short-Term Investments and Net Other Assets | 4.6% |
| 100% |
* Amount represents less than 0.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 89.4% |
United Kingdom | 2.2% |
Ireland | 2.1% |
Netherlands | 1.2% |
Others (Individually Less Than 1%) | 5.1% |
| 100.0% |
The information in the above tables are based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $6,357) - See accompanying schedule: Unaffiliated issuers (cost $1,100,682) | $ 1,356,553 |
|
Fidelity Central Funds (cost $177,982) | 185,792 |
|
Total Investments (cost $1,278,664) |
| $ 1,542,345 |
Cash |
| 56 |
Receivable for investments sold, regular delivery | 10,314 | |
Receivable for TBA sale commitments |
| 1,846 |
Receivable for fund shares sold | 1,751 | |
Dividends receivable | 1,787 | |
Interest receivable | 1,931 | |
Distributions receivable from Fidelity Central Funds | 5 | |
Receivable for daily variation margin for derivative instruments | 44 | |
Prepaid expenses | 2 | |
Other receivables | 42 | |
Total assets | 1,560,123 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 14,241 | |
Delayed delivery | 4,597 | |
TBA sale commitments, at value | 1,854 | |
Payable for swaps | 2 | |
Payable for fund shares redeemed | 3,463 | |
Bi-lateral OTC swaps, at value | 28 | |
Accrued management fee | 497 | |
Distribution and service plan fees payable | 564 | |
Other affiliated payables | 279 | |
Other payables and accrued expenses | 110 | |
Collateral on securities loaned, at value | 6,542 | |
Total liabilities | 32,177 | |
|
|
|
Net Assets | $ 1,527,946 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,234,485 | |
Undistributed net investment income | 4,208 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 24,748 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 264,505 | |
Net Assets | $ 1,527,946 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | February 28, 2014 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 19.19 | |
|
|
|
Maximum offering price per share (100/94.25 of $19.19) | $ 20.36 | |
Class T: | $ 19.36 | |
|
|
|
Maximum offering price per share (100/96.50 of $19.36) | $ 20.06 | |
Class B: | $ 19.19 | |
|
|
|
Class C: | $ 19.09 | |
|
|
|
|
|
|
Institutional Class: | $ 19.49 | |
|
|
|
Class Z: | $ 19.49 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands Six months ended February 28, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 8,447 |
Interest (including $1 from security lending) |
| 4,744 |
Income from Fidelity Central Funds |
| 2,064 |
Total income |
| 15,255 |
|
|
|
Expenses | ||
Management fee | $ 2,853 | |
Transfer agent fees | 1,359 | |
Distribution and service plan fees | 3,238 | |
Accounting and security lending fees | 286 | |
Custodian fees and expenses | 55 | |
Independent trustees' compensation | 3 | |
Registration fees | 83 | |
Audit | 63 | |
Legal | 4 | |
Miscellaneous | 3 | |
Total expenses before reductions | 7,947 | |
Expense reductions | (27) | 7,920 |
Net investment income (loss) | 7,335 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 49,750 | |
Fidelity Central Funds | (94) |
|
Foreign currency transactions | 5 | |
Futures contracts | 1,370 | |
Swaps | (32) |
|
Total net realized gain (loss) |
| 50,999 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 108,473 | |
Assets and liabilities in foreign currencies | 1 | |
Futures contracts | 714 | |
Swaps | 30 | |
Delayed delivery commitments | (28) |
|
Total change in net unrealized appreciation (depreciation) |
| 109,190 |
Net gain (loss) | 160,189 | |
Net increase (decrease) in net assets resulting from operations | $ 167,524 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2014 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 7,335 | $ 13,390 |
Net realized gain (loss) | 50,999 | 72,815 |
Change in net unrealized appreciation (depreciation) | 109,190 | 36,132 |
Net increase (decrease) in net assets resulting | 167,524 | 122,337 |
Distributions to shareholders from net investment income | (6,085) | (12,715) |
Distributions to shareholders from net realized gain | (56,875) | - |
Total distributions | (62,960) | (12,715) |
Share transactions - net increase (decrease) | 117,040 | 50,238 |
Total increase (decrease) in net assets | 221,604 | 159,860 |
|
|
|
Net Assets | ||
Beginning of period | 1,306,342 | 1,146,482 |
End of period (including undistributed net investment income of $4,208 and undistributed net investment income of $2,958, respectively) | $ 1,527,946 | $ 1,306,342 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.84 | $ 16.31 | $ 14.83 | $ 13.29 | $ 12.61 | $ 14.55 |
Income from InvestmentOperations |
|
|
|
|
| |
Net investment income (loss) E | .11 | .22 | .24 | .23 | .24 | .25 |
Net realized and unrealized gain (loss) | 2.11 | 1.52 | 1.48 | 1.55 | .70 | (1.93) |
Total from investment operations | 2.22 | 1.74 | 1.72 | 1.78 | .94 | (1.68) |
Distributions from net investment income | (.10) | (.21) | (.24) | (.23) | (.24) | (.21) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.87) | (.21) | (.24) | (.24) | (.26) I | (.26) |
Net asset value, end of period | $ 19.19 | $ 17.84 | $ 16.31 | $ 14.83 | $ 13.29 | $ 12.61 |
Total Return B, C, D | 12.79% | 10.74% | 11.72% | 13.34% | 7.44% | (11.30)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .93% A | .95% | .98% | 1.00% | 1.00% | 1.06% |
Expenses net of fee waivers, if any | .93% A | .95% | .98% | 1.00% | 1.00% | 1.06% |
Expenses net of all reductions | .92% A | .94% | .98% | .99% | .99% | 1.06% |
Net investment income (loss) | 1.22% A | 1.27% | 1.56% | 1.53% | 1.76% | 2.24% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 328 | $ 270 | $ 249 | $ 215 | $ 203 | $ 213 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.99 | $ 16.44 | $ 14.95 | $ 13.40 | $ 12.70 | $ 14.66 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .09 | .18 | .21 | .20 | .21 | .23 |
Net realized and unrealized gain (loss) | 2.13 | 1.54 | 1.49 | 1.56 | .72 | (1.95) |
Total from investment operations | 2.22 | 1.72 | 1.70 | 1.76 | .93 | (1.72) |
Distributions from net investment income | (.08) | (.17) | (.21) | (.20) | (.21) | (.19) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.85) | (.17) | (.21) | (.21) | (.23) I | (.24) |
Net asset value, end of period | $ 19.36 | $ 17.99 | $ 16.44 | $ 14.95 | $ 13.40 | $ 12.70 |
Total Return B, C, D | 12.66% | 10.55% | 11.44% | 13.09% | 7.32% | (11.54)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.15% A | 1.17% | 1.19% | 1.20% | 1.23% | 1.29% |
Expenses net of fee waivers, if any | 1.15% A | 1.17% | 1.19% | 1.20% | 1.23% | 1.29% |
Expenses net of all reductions | 1.15% A | 1.16% | 1.18% | 1.19% | 1.21% | 1.29% |
Net investment income (loss) | 1.00% A | 1.05% | 1.36% | 1.33% | 1.54% | 2.01% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 924 | $ 821 | $ 737 | $ 673 | $ 619 | $ 621 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.84 | $ 16.30 | $ 14.81 | $ 13.27 | $ 12.58 | $ 14.51 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .04 | .08 | .12 | .11 | .13 | .16 |
Net realized and unrealized gain (loss) | 2.10 | 1.52 | 1.47 | 1.54 | .71 | (1.92) |
Total from investment operations | 2.14 | 1.60 | 1.59 | 1.65 | .84 | (1.76) |
Distributions from net investment income | (.02) | (.06) | (.10) | (.10) | (.13) | (.13) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.04) |
Total distributions | (.79) | (.06) | (.10) | (.11) | (.15) I | (.17) |
Net asset value, end of period | $ 19.19 | $ 17.84 | $ 16.30 | $ 14.81 | $ 13.27 | $ 12.58 |
Total Return B, C, D | 12.29% | 9.85% | 10.78% | 12.42% | 6.66% | (11.98)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.78% | 1.78% | 1.80% | 1.82% | 1.83% |
Expenses net of fee waivers, if any | 1.77% A | 1.78% | 1.78% | 1.80% | 1.82% | 1.83% |
Expenses net of all reductions | 1.76% A | 1.77% | 1.78% | 1.79% | 1.81% | 1.83% |
Net investment income (loss) | .38% A | .44% | .76% | .73% | .94% | 1.46% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 12 | $ 13 | $ 15 | $ 19 | $ 24 | $ 29 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 17.76 | $ 16.24 | $ 14.77 | $ 13.23 | $ 12.55 | $ 14.49 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .04 | .09 | .13 | .12 | .13 | .17 |
Net realized and unrealized gain (loss) | 2.09 | 1.52 | 1.46 | 1.55 | .71 | (1.93) |
Total from investment operations | 2.13 | 1.61 | 1.59 | 1.67 | .84 | (1.76) |
Distributions from net investment income | (.03) | (.09) | (.12) | (.12) | (.15) | (.13) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.80) | (.09) | (.12) | (.13) | (.16) I | (.18) |
Net asset value, end of period | $ 19.09 | $ 17.76 | $ 16.24 | $ 14.77 | $ 13.23 | $ 12.55 |
Total Return B, C, D | 12.33% | 9.93% | 10.81% | 12.59% | 6.69% | (12.02)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.69% A | 1.71% | 1.73% | 1.74% | 1.76% | 1.82% |
Expenses net of fee waivers, if any | 1.69% A | 1.71% | 1.73% | 1.74% | 1.76% | 1.82% |
Expenses net of all reductions | 1.68% A | 1.70% | 1.72% | 1.73% | 1.75% | 1.81% |
Net investment income (loss) | .46% A | .51% | .81% | .79% | 1.00% | 1.48% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 138 | $ 105 | $ 80 | $ 69 | $ 62 | $ 61 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 18.11 | $ 16.55 | $ 15.06 | $ 13.49 | $ 12.79 | $ 14.76 |
Income from InvestmentOperations |
|
|
|
|
| |
Net investment income (loss) D | .14 | .27 | .29 | .28 | .28 | .28 |
Net realized and unrealized gain (loss) | 2.13 | 1.55 | 1.49 | 1.57 | .72 | (1.95) |
Total from investment operations | 2.27 | 1.82 | 1.78 | 1.85 | 1.00 | (1.67) |
Distributions from net investment income | (.12) | (.26) | (.29) | (.27) | (.28) | (.25) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.89) | (.26) | (.29) | (.28) | (.30) H | (.30) |
Net asset value, end of period | $ 19.49 | $ 18.11 | $ 16.55 | $ 15.06 | $ 13.49 | $ 12.79 |
Total Return B, C | 12.91% | 11.08% | 11.96% | 13.69% | 7.81% | (11.07)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .66% A | .68% | .70% | .71% | .73% | .79% |
Expenses net of fee waivers, if any | .66% A | .68% | .70% | .71% | .73% | .79% |
Expenses net of all reductions | .66% A | .67% | .70% | .70% | .72% | .78% |
Net investment income (loss) | 1.49% A | 1.54% | 1.84% | 1.82% | 2.03% | 2.51% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 125 | $ 97 | $ 66 | $ 42 | $ 34 | $ 24 |
Portfolio turnover rate F | 90% A | 124% | 124% | 146% I | 116% | 215%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Total distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share.
I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class Z
| Six months ended | Year ended |
| (Unaudited) | 2013 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 18.11 | $ 18.56 |
Income from Investment Operations |
|
|
Net investment income (loss) D | .15 | .01 |
Net realized and unrealized gain (loss) | 2.14 | (.46) |
Total from investment operations | 2.29 | (.45) |
Distributions from net investment income | (.14) | - |
Distributions from net realized gain | (.77) | - |
Total distributions | (.91) | - |
Net asset value, end of period | $ 19.49 | $ 18.11 |
Total Return B, C | 13.00% | (2.42)% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .52% A | .53% A |
Expenses net of fee waivers, if any | .52% A | .53% A |
Expenses net of all reductions | .52% A | .52% A |
Net investment income (loss) | 1.63% A | .85% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 110 | $ 98 |
Portfolio turnover rate F | 90% A | 124% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2014 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Balanced Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, Institutional Class and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment | Investment | Investment | Expense |
Fidelity High Income Central Fund 2 | FMR Co., Inc. (FMRC) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
| Less than 0.01% |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Swaps | Less than 0.01% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 28, 2014, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 268,218 |
Gross unrealized depreciation | (7,916) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 260,302 |
|
|
Tax cost | $ 1,282,043 |
Semiannual Report
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
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.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Semiannual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swaps | $ (32) | $ 30 |
Equity Risk |
|
|
Futures Contracts | 1,370 | 714 |
Totals (a) | $ 1,338 | $ 744 |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Semiannual Report
4. Derivative Instruments - continued
Swaps - continued
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Credit Default Swaps - continued
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $403,169 and $380,257, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .40% of the Fund's average net assets.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 371 | $ 20 |
Class T | .25% | .25% | 2,200 | 33 |
Class B | .75% | .25% | 62 | 47 |
Class C | .75% | .25% | 605 | 123 |
|
|
| $ 3,238 | $ 223 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 69 |
Class T | 21 |
Class B* | 4 |
Class C* | 10 |
| $ 104 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each applicable class were as follows:
| Amount | % of |
Class A | $ 306 | .21 |
Class T | 799 | .18 |
Class B | 19 | .30 |
Class C | 130 | .21 |
Institutional Class | 105 | .19 |
Class Z | -** | .05 |
| $ 1,359 |
|
* Annualized
** Amount represents twenty-six dollars
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $1. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $7. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
The investment adviser voluntarily agreed to reimburse a portion of the Fund's Class A, Class T, Class C and Institutional Class operating expenses.
During the period, this reimbursement reduced expenses as follows:
| Reimbursement |
Class A | $ 3 |
Class T | 9 |
Class C | 1 |
Institutional Class | 1 |
| $ 14 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
9. Expense Reductions - continued
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $13 for the period.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 1,541 | $ 3,147 |
Class T | 3,617 | 7,824 |
Class B | 12 | 52 |
Class C | 215 | 447 |
Institutional Class | 699 | 1,245 |
Class Z | 1 | - |
Total | $ 6,085 | $ 12,715 |
From net realized gain |
|
|
Class A | $ 11,846 | $ - |
Class T | 35,422 | - |
Class B | 522 | - |
Class C | 4,798 | - |
Institutional Class | 4,283 | - |
Class Z | 4 | - |
Total | $ 56,875 | $ - |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 2,796 | 3,876 | $ 51,933 | $ 66,780 |
Reinvestment of distributions | 705 | 176 | 12,722 | 2,976 |
Shares redeemed | (1,545) | (4,158) | (28,618) | (70,968) |
Net increase (decrease) | 1,956 | (106) | $ 36,037 | $ (1,212) |
Semiannual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class T |
|
|
|
|
Shares sold | 5,744 | 11,028 | $ 107,487 | $ 191,060 |
Reinvestment of distributions | 2,078 | 442 | 37,836 | 7,519 |
Shares redeemed | (5,734) | (10,672) | (107,232) | (185,185) |
Net increase (decrease) | 2,088 | 798 | $ 38,091 | $ 13,394 |
Class B |
|
|
|
|
Shares sold | 29 | 91 | $ 529 | $ 1,597 |
Reinvestment of distributions | 26 | 3 | 475 | 47 |
Shares redeemed | (131) | (330) | (2,422) | (5,668) |
Net increase (decrease) | (76) | (236) | $ (1,418) | $ (4,024) |
Class C |
|
|
|
|
Shares sold | 1,529 | 1,878 | $ 28,249 | $ 32,570 |
Reinvestment of distributions | 257 | 24 | 4,619 | 408 |
Shares redeemed | (444) | (897) | (8,170) | (15,312) |
Net increase (decrease) | 1,342 | 1,005 | $ 24,698 | $ 17,666 |
Institutional Class |
|
|
|
|
Shares sold | 2,087 | 3,287 | $ 39,269 | $ 57,536 |
Reinvestment of distributions | 263 | 70 | 4,817 | 1,210 |
Shares redeemed | (1,295) | (1,941) | (24,459) | (34,432) |
Net increase (decrease) | 1,055 | 1,416 | $ 19,627 | $ 24,314 |
Class Z |
|
|
|
|
Shares sold | - | 5 | $ - | $ 100 |
Reinvestment of distributions | 1 | - | 5 | - |
Net increase (decrease) | 1 | 5 | $ 5 | $ 100 |
A Share transactions for Class Z are for the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Investment Adviser
Fidelity Management &
Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Investments
Money Management, Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(U.K.) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
(Fidelity Investment logo)(registered trademark)
AIG-USAN-0414 1.786777.111
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Balanced Fund -
Institutional Class
Semiannual Report
February 28, 2014
(Fidelity Cover Art)
Contents
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. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2013 to February 28, 2014).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .93% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,127.90 | $ 4.91 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.18 | $ 4.66 |
Class T | 1.15% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,126.60 | $ 6.06 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.09 | $ 5.76 |
Class B | 1.77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,122.90 | $ 9.32 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.02 | $ 8.85 |
Class C | 1.69% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,123.30 | $ 8.90 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.41 | $ 8.45 |
Institutional Class | .66% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,129.10 | $ 3.48 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.52 | $ 3.31 |
Class Z | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,130.00 | $ 2.75 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.22 | $ 2.61 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than 0.01%.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.
Top Five Stocks as of February 28, 2014 | ||
| % of fund's | % of fund's net assets |
Google, Inc. Class A | 2.1 | 1.3 |
Apple, Inc. | 2.0 | 2.5 |
JPMorgan Chase & Co. | 1.6 | 1.4 |
Procter & Gamble Co. | 1.3 | 1.4 |
Bank of America Corp. | 1.2 | 1.2 |
| 8.2 | |
Top Five Bond Issuers as of February 28, 2014 | ||
(with maturities greater than one year) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 7.7 | 6.8 |
Fannie Mae | 2.8 | 5.1 |
Freddie Mac | 1.6 | 1.6 |
Ginnie Mae | 1.0 | 1.6 |
Wachovia Bank Commercial Mortgage Trust | 0.4 | 0.4 |
| 13.5 | |
Top Five Market Sectors as of February 28, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 15.8 | 15.7 |
Information Technology | 13.1 | 13.3 |
Health Care | 10.5 | 9.3 |
Consumer Discretionary | 9.3 | 9.0 |
Energy | 8.0 | 8.3 |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2014* | As of August 31, 2013** | ||||||
![]() | Stocks and |
| ![]() | Stocks and |
| ||
![]() | Bonds 25.4% |
| ![]() | Bonds 27.7% |
| ||
![]() | Convertible |
| ![]() | Convertible |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 10.6% |
| ** Foreign investments | 10.0% |
|
Percentages are adjusted for the effect of futures contracts and swaps, if applicable. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Semiannual Report
Investments February 28, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 69.7% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 8.2% | |||
Automobiles - 0.1% | |||
Tesla Motors, Inc. (a) | 5,145 | $ 1,260 | |
Diversified Consumer Services - 0.3% | |||
H&R Block, Inc. | 152,781 | 4,834 | |
Hotels, Restaurants & Leisure - 1.7% | |||
Extended Stay America, Inc. unit | 189,339 | 4,824 | |
McDonald's Corp. | 86,675 | 8,247 | |
Wynn Resorts Ltd. | 21,809 | 5,288 | |
Yum! Brands, Inc. | 111,592 | 8,267 | |
| 26,626 | ||
Internet & Catalog Retail - 0.4% | |||
Liberty Interactive Corp. Series A (a) | 217,597 | 6,354 | |
Media - 3.3% | |||
Comcast Corp. Class A | 39,996 | 2,067 | |
DIRECTV (a) | 98,949 | 7,678 | |
Legend Pictures LLC (a)(l)(m) | 415 | 748 | |
The Madison Square Garden Co. Class A (a) | 62,357 | 3,555 | |
The Walt Disney Co. | 131,689 | 10,642 | |
Time Warner, Inc. | 132,159 | 8,872 | |
Twenty-First Century Fox, Inc. Class A | 310,043 | 10,399 | |
Viacom, Inc. Class B (non-vtg.) | 78,518 | 6,888 | |
| 50,849 | ||
Multiline Retail - 1.1% | |||
Dollar General Corp. (a) | 126,135 | 7,555 | |
Target Corp. | 137,418 | 8,594 | |
| 16,149 | ||
Specialty Retail - 0.6% | |||
TJX Companies, Inc. | 146,480 | 9,003 | |
Textiles, Apparel & Luxury Goods - 0.7% | |||
Fossil Group, Inc. (a) | 29,723 | 3,415 | |
lululemon athletica, Inc. (a)(e) | 52,886 | 2,661 | |
Oxford Industries, Inc. | 16,730 | 1,309 | |
PVH Corp. | 24,019 | 3,037 | |
| 10,422 | ||
TOTAL CONSUMER DISCRETIONARY | 125,497 | ||
CONSUMER STAPLES - 6.6% | |||
Beverages - 1.5% | |||
Anheuser-Busch InBev SA NV | 14,329 | 1,499 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER STAPLES - continued | |||
Beverages - continued | |||
Coca-Cola Icecek A/S | 18,269 | $ 353 | |
Diageo PLC sponsored ADR | 17,969 | 2,259 | |
Embotelladora Andina SA sponsored ADR | 18,311 | 422 | |
Pernod Ricard SA | 19,496 | 2,295 | |
Remy Cointreau SA | 24,604 | 2,089 | |
The Coca-Cola Co. | 373,399 | 14,264 | |
| 23,181 | ||
Food & Staples Retailing - 1.5% | |||
CVS Caremark Corp. | 131,427 | 9,613 | |
Kroger Co. | 168,118 | 7,051 | |
Sysco Corp. | 57,573 | 2,074 | |
Wal-Mart Stores, Inc. | 55,549 | 4,150 | |
| 22,888 | ||
Food Products - 0.6% | |||
Bunge Ltd. | 25,138 | 2,001 | |
ConAgra Foods, Inc. | 54,315 | 1,543 | |
Green Mountain Coffee Roasters, Inc. | 9,740 | 1,069 | |
Mead Johnson Nutrition Co. Class A | 41,589 | 3,392 | |
Nestle SA | 16,652 | 1,258 | |
| 9,263 | ||
Household Products - 1.3% | |||
Procter & Gamble Co. | 253,428 | 19,935 | |
Personal Products - 0.0% | |||
Nu Skin Enterprises, Inc. Class A | 7,139 | 596 | |
Tobacco - 1.7% | |||
Altria Group, Inc. | 233,403 | 8,463 | |
British American Tobacco PLC sponsored ADR | 138,899 | 15,111 | |
Philip Morris International, Inc. | 16,155 | 1,307 | |
Souza Cruz SA | 54,950 | 477 | |
| 25,358 | ||
TOTAL CONSUMER STAPLES | 101,221 | ||
ENERGY - 6.8% | |||
Energy Equipment & Services - 1.2% | |||
C&J Energy Services, Inc. (a) | 67,510 | 1,745 | |
Cameron International Corp. (a) | 58,872 | 3,771 | |
Dril-Quip, Inc. (a) | 13,339 | 1,435 | |
FMC Technologies, Inc. (a) | 52,716 | 2,648 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Halliburton Co. | 88,407 | $ 5,039 | |
Ocean Rig UDW, Inc. (United States) (a) | 42,944 | 748 | |
Oceaneering International, Inc. | 27,829 | 1,992 | |
Pacific Drilling SA (a) | 63,930 | 694 | |
Vantage Drilling Co. (a) | 204,060 | 357 | |
| 18,429 | ||
Oil, Gas & Consumable Fuels - 5.6% | |||
Anadarko Petroleum Corp. | 91,573 | 7,707 | |
BG Group PLC | 74,000 | 1,349 | |
Bill Barrett Corp. (a) | 29,566 | 749 | |
Cabot Oil & Gas Corp. | 122,015 | 4,271 | |
Carrizo Oil & Gas, Inc. (a) | 24,804 | 1,234 | |
Chevron Corp. | 75,576 | 8,716 | |
ConocoPhillips Co. | 150,367 | 9,999 | |
Continental Resources, Inc. (a) | 27,266 | 3,259 | |
EOG Resources, Inc. | 31,055 | 5,882 | |
Exxon Mobil Corp. | 142,891 | 13,756 | |
Kinder Morgan Holding Co. LLC | 67,000 | 2,134 | |
Laredo Petroleum Holdings, Inc. (a) | 33,624 | 877 | |
Marathon Oil Corp. | 116,536 | 3,904 | |
Noble Energy, Inc. | 45,045 | 3,097 | |
ONEOK, Inc. | 37,252 | 2,203 | |
Peabody Energy Corp. | 92,312 | 1,621 | |
Phillips 66 Co. | 94,144 | 7,048 | |
Phillips 66 Partners LP | 11,619 | 532 | |
Spectra Energy Corp. | 80,500 | 3,001 | |
Suncor Energy, Inc. (e) | 40,155 | 1,325 | |
Valero Energy Partners LP | 41,469 | 1,534 | |
Whiting Petroleum Corp. (a) | 25,323 | 1,740 | |
| 85,938 | ||
TOTAL ENERGY | 104,367 | ||
FINANCIALS - 11.8% | |||
Capital Markets - 1.4% | |||
Ameriprise Financial, Inc. | 37,189 | 4,053 | |
BlackRock, Inc. Class A | 11,790 | 3,594 | |
Credit Suisse Group AG | 9,691 | 304 | |
E*TRADE Financial Corp. (a) | 99,621 | 2,238 | |
Evercore Partners, Inc. Class A | 12,200 | 679 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Capital Markets - continued | |||
Invesco Ltd. | 86,009 | $ 2,950 | |
Morgan Stanley | 29,760 | 917 | |
Northern Trust Corp. | 31,405 | 1,942 | |
Oaktree Capital Group LLC Class A | 40,786 | 2,516 | |
The Blackstone Group LP | 66,455 | 2,216 | |
| 21,409 | ||
Commercial Banks - 1.9% | |||
Barclays PLC | 433,841 | 1,828 | |
Erste Group Bank AG | 22,154 | 786 | |
Huntington Bancshares, Inc. | 498,093 | 4,747 | |
Mitsubishi UFJ Financial Group, Inc. | 232,500 | 1,347 | |
Societe Generale Series A | 30,100 | 2,010 | |
SunTrust Banks, Inc. | 73,754 | 2,779 | |
Synovus Financial Corp. | 299,205 | 1,041 | |
U.S. Bancorp | 329,133 | 13,541 | |
| 28,079 | ||
Consumer Finance - 1.6% | |||
Capital One Financial Corp. | 234,434 | 17,214 | |
Discover Financial Services | 48,632 | 2,791 | |
Santander Consumer U.S.A. Holdings, Inc. | 23,700 | 600 | |
SLM Corp. | 169,107 | 4,048 | |
| 24,653 | ||
Diversified Financial Services - 4.0% | |||
Bank of America Corp. | 1,152,391 | 19,049 | |
Berkshire Hathaway, Inc. Class A (a) | 7 | 1,216 | |
Citigroup, Inc. | 242,530 | 11,794 | |
IntercontinentalExchange Group, Inc. | 16,676 | 3,483 | |
JPMorgan Chase & Co. | 436,432 | 24,798 | |
KBC Ancora (a) | 20,348 | 804 | |
McGraw Hill Financial, Inc. | 4,000 | 319 | |
| 61,463 | ||
Insurance - 1.6% | |||
ACE Ltd. | 7,836 | 767 | |
Direct Line Insurance Group PLC | 557,712 | 2,470 | |
esure Group PLC | 159,774 | 721 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 4,100 | 1,703 | |
Marsh & McLennan Companies, Inc. | 95,553 | 4,602 | |
MetLife, Inc. | 207,867 | 10,533 | |
The Travelers Companies, Inc. | 31,346 | 2,628 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
Validus Holdings Ltd. | 7,953 | $ 293 | |
WMI Holdings Corp. (a) | 4,454 | 12 | |
| 23,729 | ||
Real Estate Investment Trusts - 1.1% | |||
Altisource Residential Corp. Class B (e) | 263,010 | 7,517 | |
American Tower Corp. | 64,110 | 5,223 | |
Equity Lifestyle Properties, Inc. | 38,405 | 1,546 | |
Piedmont Office Realty Trust, Inc. Class A | 47,790 | 826 | |
Senior Housing Properties Trust (SBI) | 10,983 | 245 | |
Sun Communities, Inc. | 31,742 | 1,462 | |
| 16,819 | ||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 120,948 | 3,380 | |
Thrifts & Mortgage Finance - 0.0% | |||
Ocwen Financial Corp. (a) | 10,097 | 378 | |
Washington Mutual, Inc. (a) | 130,000 | 0 | |
| 378 | ||
TOTAL FINANCIALS | 179,910 | ||
HEALTH CARE - 10.0% | |||
Biotechnology - 2.7% | |||
Actelion Ltd. | 17,769 | 1,884 | |
Alexion Pharmaceuticals, Inc. (a) | 38,064 | 6,730 | |
Amgen, Inc. | 77,105 | 9,563 | |
Biogen Idec, Inc. (a) | 27,375 | 9,326 | |
CSL Ltd. ADR | 1,000 | 32 | |
Gilead Sciences, Inc. (a) | 153,185 | 12,682 | |
Intercept Pharmaceuticals, Inc. (a) | 1,700 | 698 | |
| 40,915 | ||
Health Care Equipment & Supplies - 1.3% | |||
Boston Scientific Corp. (a) | 488,349 | 6,397 | |
Covidien PLC | 81,058 | 5,832 | |
Edwards Lifesciences Corp. (a) | 17,114 | 1,194 | |
Quidel Corp. (a) | 39,220 | 1,099 | |
Stryker Corp. | 25,829 | 2,073 | |
The Cooper Companies, Inc. | 23,028 | 2,952 | |
| 19,547 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - 1.1% | |||
Brookdale Senior Living, Inc. (a) | 41,664 | $ 1,397 | |
Cigna Corp. | 73,682 | 5,864 | |
HCA Holdings, Inc. (a) | 8,307 | 425 | |
Henry Schein, Inc. (a) | 28,344 | 3,374 | |
McKesson Corp. | 36,982 | 6,548 | |
| 17,608 | ||
Life Sciences Tools & Services - 0.8% | |||
Illumina, Inc. (a) | 25,207 | 4,323 | |
Thermo Fisher Scientific, Inc. | 60,190 | 7,496 | |
| 11,819 | ||
Pharmaceuticals - 4.1% | |||
AbbVie, Inc. | 152,711 | 7,775 | |
Actavis PLC (a) | 36,690 | 8,102 | |
Bristol-Myers Squibb Co. | 179,294 | 9,641 | |
Merck & Co., Inc. | 48,244 | 2,749 | |
Mylan, Inc. (a) | 21,900 | 1,217 | |
Perrigo Co. PLC | 29,320 | 4,821 | |
Pfizer, Inc. | 379,067 | 12,172 | |
Roche Holding AG (participation certificate) | 9,867 | 3,038 | |
Salix Pharmaceuticals Ltd. (a) | 27,785 | 2,999 | |
Shire PLC | 69,638 | 3,852 | |
Valeant Pharmaceuticals International (Canada) (a) | 25,727 | 3,672 | |
Zoetis, Inc. Class A | 65,546 | 2,033 | |
| 62,071 | ||
TOTAL HEALTH CARE | 151,960 | ||
INDUSTRIALS - 6.9% | |||
Aerospace & Defense - 1.5% | |||
Honeywell International, Inc. | 85,714 | 8,095 | |
TransDigm Group, Inc. | 30,268 | 5,392 | |
United Technologies Corp. | 80,341 | 9,402 | |
| 22,889 | ||
Air Freight & Logistics - 0.4% | |||
FedEx Corp. | 41,181 | 5,491 | |
Commercial Services & Supplies - 0.2% | |||
KAR Auction Services, Inc. | 84,397 | 2,630 | |
Electrical Equipment - 2.0% | |||
AMETEK, Inc. | 144,286 | 7,682 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Electrical Equipment - continued | |||
Eaton Corp. PLC | 97,013 | $ 7,248 | |
Hubbell, Inc. Class B | 54,450 | 6,509 | |
Roper Industries, Inc. | 65,213 | 8,844 | |
| 30,283 | ||
Industrial Conglomerates - 0.8% | |||
Danaher Corp. | 166,392 | 12,727 | |
Machinery - 0.7% | |||
Cummins, Inc. | 45,190 | 6,594 | |
Ingersoll-Rand PLC | 70,700 | 4,323 | |
| 10,917 | ||
Professional Services - 0.4% | |||
Verisk Analytics, Inc. (a) | 107,528 | 6,851 | |
Road & Rail - 0.5% | |||
J.B. Hunt Transport Services, Inc. | 98,103 | 7,051 | |
Trading Companies & Distributors - 0.4% | |||
W.W. Grainger, Inc. | 25,491 | 6,501 | |
TOTAL INDUSTRIALS | 105,340 | ||
INFORMATION TECHNOLOGY - 12.9% | |||
Communications Equipment - 1.0% | |||
Cisco Systems, Inc. | 209,809 | 4,574 | |
Juniper Networks, Inc. (a) | 126,499 | 3,383 | |
Polycom, Inc. (a) | 49,261 | 658 | |
QUALCOMM, Inc. | 86,579 | 6,519 | |
| 15,134 | ||
Computers & Peripherals - 2.3% | |||
Apple, Inc. | 56,736 | 29,857 | |
Electronics for Imaging, Inc. (a) | 24,295 | 1,084 | |
NCR Corp. (a) | 105,683 | 3,599 | |
| 34,540 | ||
Electronic Equipment & Components - 0.4% | |||
TE Connectivity Ltd. | 98,630 | 5,778 | |
Internet Software & Services - 4.5% | |||
ChannelAdvisor Corp. (a) | 23,555 | 1,069 | |
Cvent, Inc. | 64,575 | 2,537 | |
Demand Media, Inc. (a) | 6,371 | 31 | |
Demandware, Inc. (a) | 7,450 | 560 | |
eBay, Inc. (a) | 129,961 | 7,638 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Internet Software & Services - continued | |||
Endurance International Group Holdings, Inc. (e) | 79,746 | $ 1,203 | |
Facebook, Inc. Class A (a) | 146,413 | 10,023 | |
Google, Inc. Class A (a) | 26,477 | 32,185 | |
Halogen Software, Inc. | 31,000 | 330 | |
Millennial Media, Inc. (a) | 29,829 | 180 | |
Millennial Media, Inc. (a) | 49,965 | 272 | |
Millennial Media, Inc. (a) | 9,695 | 0 | |
Naver Corp. | 3,152 | 2,415 | |
SPS Commerce, Inc. (a) | 1,220 | 83 | |
Tencent Holdings Ltd. | 46,000 | 3,690 | |
Trulia, Inc. (a)(e) | 45,119 | 1,352 | |
Wix.com Ltd. (a)(e) | 23,233 | 718 | |
Yahoo!, Inc. (a) | 121,102 | 4,683 | |
| 68,969 | ||
IT Services - 0.8% | |||
Cognizant Technology Solutions Corp. Class A (a) | 31,335 | 3,261 | |
Fidelity National Information Services, Inc. | 87,364 | 4,858 | |
FleetCor Technologies, Inc. (a) | 2,442 | 317 | |
Heartland Payment Systems, Inc. | 8,867 | 359 | |
Lionbridge Technologies, Inc. (a) | 44,139 | 316 | |
Quindell PLC (a) | 2,026,900 | 1,146 | |
Visa, Inc. Class A | 11,244 | 2,540 | |
| 12,797 | ||
Semiconductors & Semiconductor Equipment - 0.7% | |||
NXP Semiconductors NV (a) | 189,571 | 10,660 | |
Software - 3.2% | |||
Adobe Systems, Inc. (a) | 61,054 | 4,189 | |
Aspen Technology, Inc. (a) | 16,998 | 798 | |
Autodesk, Inc. (a) | 29,200 | 1,532 | |
CommVault Systems, Inc. (a) | 17,376 | 1,197 | |
Concur Technologies, Inc. (a) | 3,367 | 416 | |
Covisint Corp. | 22,100 | 238 | |
Electronic Arts, Inc. (a) | 223,539 | 6,391 | |
FleetMatics Group PLC (a) | 10,000 | 370 | |
Guidewire Software, Inc. (a) | 38,600 | 2,069 | |
Microsoft Corp. | 491,736 | 18,838 | |
Oracle Corp. | 177,196 | 6,930 | |
Qlik Technologies, Inc. (a) | 17,500 | 534 | |
RealPage, Inc. (a) | 27,900 | 494 | |
salesforce.com, Inc. (a) | 60,799 | 3,792 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
Ubisoft Entertainment SA (a) | 68,445 | $ 1,121 | |
Xero Ltd. (m) | 27,035 | 819 | |
| 49,728 | ||
TOTAL INFORMATION TECHNOLOGY | 197,606 | ||
MATERIALS - 2.6% | |||
Chemicals - 2.1% | |||
Airgas, Inc. | 72,017 | 7,763 | |
Cabot Corp. | 23,428 | 1,268 | |
Eastman Chemical Co. | 40,274 | 3,521 | |
FMC Corp. | 43,395 | 3,349 | |
LyondellBasell Industries NV Class A | 49,543 | 4,364 | |
Monsanto Co. | 48,378 | 5,323 | |
Potash Corp. of Saskatchewan, Inc. | 60,589 | 2,003 | |
Sigma Aldrich Corp. | 27,552 | 2,601 | |
W.R. Grace & Co. (a) | 15,281 | 1,549 | |
| 31,741 | ||
Construction Materials - 0.2% | |||
Vulcan Materials Co. | 44,825 | 3,045 | |
Containers & Packaging - 0.2% | |||
Graphic Packaging Holding Co. (a) | 138,790 | 1,421 | |
Rock-Tenn Co. Class A | 20,524 | 2,291 | |
| 3,712 | ||
Metals & Mining - 0.1% | |||
Carpenter Technology Corp. | 17,565 | 1,039 | |
TOTAL MATERIALS | 39,537 | ||
TELECOMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 1.1% | |||
inContact, Inc. (a) | 76,417 | 689 | |
Verizon Communications, Inc. | 331,798 | 15,787 | |
| 16,476 | ||
Wireless Telecommunication Services - 0.6% | |||
SBA Communications Corp. Class A (a) | 29,927 | 2,848 | |
SoftBank Corp. | 49,200 | 3,729 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - continued | |||
T-Mobile U.S., Inc. (a) | 71,850 | $ 2,191 | |
Vodafone Group PLC sponsored ADR | 24,618 | 1,023 | |
| 9,791 | ||
TOTAL TELECOMMUNICATION SERVICES | 26,267 | ||
UTILITIES - 2.2% | |||
Electric Utilities - 0.8% | |||
American Electric Power Co., Inc. | 56,500 | 2,836 | |
Duke Energy Corp. | 44,489 | 3,153 | |
Edison International | 32,867 | 1,721 | |
Exelon Corp. | 5,600 | 170 | |
NextEra Energy, Inc. | 54,200 | 4,953 | |
| 12,833 | ||
Gas Utilities - 0.2% | |||
National Fuel Gas Co. | 31,336 | 2,354 | |
Independent Power Producers & Energy Traders - 0.3% | |||
NRG Energy, Inc. | 95,130 | 2,765 | |
The AES Corp. | 78,012 | 1,065 | |
| 3,830 | ||
Multi-Utilities - 0.9% | |||
CenterPoint Energy, Inc. | 106,347 | 2,515 | |
Dominion Resources, Inc. | 58,349 | 4,049 | |
NiSource, Inc. | 39,497 | 1,375 | |
PG&E Corp. | 41,575 | 1,832 | |
Sempra Energy | 41,309 | 3,902 | |
| 13,673 | ||
TOTAL UTILITIES | 32,690 | ||
TOTAL COMMON STOCKS (Cost $818,551) |
| ||
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Software - 0.0% | |||
MongoDB, Inc. Series F, 8.00% (m) | 16,802 | 253 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Ambev SA sponsored ADR | 72,650 | $ 523 | |
TOTAL PREFERRED STOCKS (Cost $654) |
|
Corporate Bonds - 7.3% | ||||
| Principal Amount (000s) |
| ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Cobalt International Energy, Inc. 2.625% 12/1/19 | $ 100 | 96 | ||
Nonconvertible Bonds - 7.3% | ||||
CONSUMER DISCRETIONARY - 0.6% | ||||
Automobiles - 0.0% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (f) | 231 | 233 | ||
Diversified Consumer Services - 0.0% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 (f) | 35 | 35 | ||
4.25% 6/15/23 (f) | 249 | 256 | ||
5.75% 6/15/43 (f) | 179 | 197 | ||
| 488 | |||
Media - 0.6% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500 | 659 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 15 | 16 | ||
6.45% 3/15/37 | 238 | 293 | ||
COX Communications, Inc. 3.25% 12/15/22 (f) | 136 | 128 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 440 | 505 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 51 | 49 | ||
4.875% 4/1/43 | 120 | 116 | ||
6.35% 6/1/40 | 236 | 274 | ||
NBCUniversal, Inc.: | ||||
5.15% 4/30/20 | 431 | 493 | ||
6.4% 4/30/40 | 309 | 378 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
News America Holdings, Inc. 7.75% 12/1/45 | $ 621 | $ 854 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 235 | 271 | ||
6.15% 2/15/41 | 186 | 216 | ||
Thomson Reuters Corp. 1.3% 2/23/17 | 122 | 122 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 630 | 655 | ||
4.5% 9/15/42 | 739 | 673 | ||
5.5% 9/1/41 | 165 | 171 | ||
5.85% 5/1/17 | 104 | 118 | ||
5.875% 11/15/40 | 153 | 165 | ||
6.75% 7/1/18 | 439 | 518 | ||
8.25% 4/1/19 | 528 | 665 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 12 | 14 | ||
6.5% 11/15/36 | 232 | 272 | ||
Viacom, Inc.: | ||||
2.5% 9/1/18 | 46 | 47 | ||
3.5% 4/1/17 | 583 | 621 | ||
4.375% 3/15/43 | 148 | 131 | ||
| 8,424 | |||
TOTAL CONSUMER DISCRETIONARY | 9,145 | |||
CONSUMER STAPLES - 0.3% | ||||
Beverages - 0.1% | ||||
Heineken NV: | ||||
1.4% 10/1/17 (f) | 182 | 182 | ||
2.75% 4/1/23 (f) | 191 | 178 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (f) | 285 | 292 | ||
| 652 | |||
Food & Staples Retailing - 0.0% | ||||
CVS Caremark Corp.: | ||||
2.25% 12/5/18 | 282 | 284 | ||
4% 12/5/23 | 282 | 289 | ||
| 573 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - 0.0% | ||||
ConAgra Foods, Inc.: | ||||
1.9% 1/25/18 | $ 131 | $ 131 | ||
3.2% 1/25/23 | 152 | 145 | ||
| 276 | |||
Tobacco - 0.2% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 262 | 246 | ||
4% 1/31/24 | 212 | 212 | ||
4.25% 8/9/42 | 262 | 231 | ||
4.75% 5/5/21 | 300 | 328 | ||
5.375% 1/31/44 | 364 | 380 | ||
9.7% 11/10/18 | 325 | 432 | ||
Reynolds American, Inc.: | ||||
3.25% 11/1/22 | 187 | 178 | ||
4.75% 11/1/42 | 289 | 272 | ||
6.15% 9/15/43 | 143 | 161 | ||
6.75% 6/15/17 | 23 | 27 | ||
7.25% 6/15/37 | 409 | 503 | ||
| 2,970 | |||
TOTAL CONSUMER STAPLES | 4,471 | |||
ENERGY - 1.0% | ||||
Energy Equipment & Services - 0.1% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (f) | 364 | 374 | ||
5.35% 3/15/20 (f) | 327 | 354 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 371 | 389 | ||
5% 10/1/21 | 146 | 155 | ||
6.5% 4/1/20 | 24 | 28 | ||
Transocean, Inc. 5.05% 12/15/16 | 238 | 261 | ||
| 1,561 | |||
Oil, Gas & Consumable Fuels - 0.9% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 16 | 18 | ||
6.375% 9/15/17 | 673 | 779 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | $ 168 | $ 172 | ||
3.875% 3/15/23 | 104 | 101 | ||
Devon Energy Corp. 1.2% 12/15/16 | 409 | 410 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 10 | 11 | ||
6.45% 11/3/36 (f) | 375 | 406 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 7 | 8 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 438 | 454 | ||
Encana Holdings Finance Corp. 5.8% 5/1/14 | 23 | 23 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) | 7 | 8 | ||
Marathon Petroleum Corp. 5.125% 3/1/21 | 215 | 241 | ||
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f) | 357 | 363 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 156 | 179 | ||
6.85% 1/15/40 (f) | 223 | 285 | ||
Nakilat, Inc. 6.067% 12/31/33 (f) | 279 | 300 | ||
Nexen, Inc. 5.2% 3/10/15 | 7 | 7 | ||
Petro-Canada 6.05% 5/15/18 | 150 | 174 | ||
Petrobras Global Finance BV: | ||||
3% 1/15/19 | 64 | 61 | ||
4.375% 5/20/23 | 596 | 540 | ||
5.625% 5/20/43 | 569 | 480 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 354 | 364 | ||
5.375% 1/27/21 | 815 | 817 | ||
5.75% 1/20/20 | 611 | 636 | ||
7.875% 3/15/19 | 399 | 456 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 (f) | 58 | 59 | ||
3.5% 7/18/18 | 463 | 480 | ||
3.5% 1/30/23 | 285 | 266 | ||
4.875% 1/24/22 | 237 | 248 | ||
4.875% 1/18/24 | 131 | 135 | ||
4.875% 1/18/24 (f) | 279 | 286 | ||
5.5% 1/21/21 | 369 | 402 | ||
5.5% 6/27/44 | 648 | 613 | ||
6% 3/5/20 | 21 | 24 | ||
6.375% 1/23/45 (f) | 366 | 385 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos Mexicanos: - continued | ||||
6.5% 6/2/41 | $ 661 | $ 713 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 338 | 357 | ||
5.875% 5/1/42 | 117 | 134 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 173 | 175 | ||
6.125% 1/15/17 | 205 | 233 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 10 | 11 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 69 | 72 | ||
2.95% 9/25/18 | 63 | 65 | ||
4.6% 6/15/21 | 90 | 97 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 395 | 462 | ||
Texas Eastern Transmission LP 6% 9/15/17 (f) | 326 | 368 | ||
Western Gas Partners LP 5.375% 6/1/21 | 393 | 424 | ||
Williams Partners LP 4.3% 3/4/24 | 278 | 279 | ||
| 13,581 | |||
TOTAL ENERGY | 15,142 | |||
FINANCIALS - 3.7% | ||||
Capital Markets - 0.5% | ||||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 145 | 146 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 1,225 | 1,225 | ||
2.625% 1/31/19 | 885 | 890 | ||
2.9% 7/19/18 | 526 | 541 | ||
5.25% 7/27/21 | 96 | 107 | ||
5.625% 1/15/17 | 500 | 554 | ||
5.95% 1/18/18 | 32 | 37 | ||
6% 6/15/20 | 600 | 697 | ||
6.15% 4/1/18 | 36 | 41 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 185 | 195 | ||
6.85% 6/15/17 | 31 | 35 | ||
Morgan Stanley: | ||||
2.125% 4/25/18 | 863 | 868 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Morgan Stanley: - continued | ||||
3.75% 2/25/23 | $ 438 | $ 438 | ||
4.875% 11/1/22 | 365 | 385 | ||
5% 11/24/25 | 93 | 97 | ||
5.45% 1/9/17 | 480 | 534 | ||
5.75% 1/25/21 | 100 | 115 | ||
6.625% 4/1/18 | 600 | 706 | ||
| 7,611 | |||
Commercial Banks - 0.5% | ||||
Bank of America NA 5.3% 3/15/17 | 420 | 465 | ||
Credit Suisse AG 6% 2/15/18 | 664 | 769 | ||
Discover Bank 4.2% 8/8/23 | 259 | 266 | ||
Fifth Third Bancorp 8.25% 3/1/38 | 94 | 132 | ||
HBOS PLC 6.75% 5/21/18 (f) | 180 | 205 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 97 | 117 | ||
KeyBank NA: | ||||
5.45% 3/3/16 | 294 | 321 | ||
5.8% 7/1/14 | 322 | 328 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 259 | 281 | ||
Regions Bank: | ||||
6.45% 6/26/37 | 652 | 722 | ||
7.5% 5/15/18 | 282 | 336 | ||
Regions Financial Corp.: | ||||
2% 5/15/18 | 382 | 376 | ||
5.75% 6/15/15 | 73 | 77 | ||
7.75% 11/10/14 | 229 | 240 | ||
Royal Bank of Scotland Group PLC: | ||||
6% 12/19/23 | 490 | 505 | ||
6.1% 6/10/23 | 470 | 488 | ||
6.125% 12/15/22 | 694 | 729 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 1,200 | 1,214 | ||
3.676% 6/15/16 | 160 | 171 | ||
4.48% 1/16/24 | 30 | 31 | ||
| 7,773 | |||
Consumer Finance - 0.4% | ||||
American Express Credit Corp. 1.3% 7/29/16 | 357 | 361 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: | ||||
3.85% 11/21/22 | $ 462 | $ 456 | ||
5.2% 4/27/22 | 42 | 45 | ||
6.45% 6/12/17 | 1,019 | 1,155 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 239 | 239 | ||
1.7% 5/9/16 | 561 | 569 | ||
2.875% 10/1/18 | 400 | 411 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 289 | 292 | ||
2.95% 5/9/16 | 185 | 194 | ||
3.5% 6/29/15 | 192 | 200 | ||
6% 8/7/19 | 1,000 | 1,185 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 314 | 313 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (f) | 476 | 476 | ||
1.625% 10/2/15 (f) | 122 | 123 | ||
1.875% 8/9/16 (f) | 92 | 93 | ||
2.125% 10/2/17 (f) | 134 | 135 | ||
2.875% 8/9/18 (f) | 163 | 167 | ||
| 6,414 | |||
Diversified Financial Services - 0.8% | ||||
Bank of America Corp.: | ||||
2.6% 1/15/19 | 448 | 454 | ||
3.3% 1/11/23 | 947 | 922 | ||
3.875% 3/22/17 | 1,060 | 1,137 | ||
4.1% 7/24/23 | 352 | 362 | ||
5.65% 5/1/18 | 205 | 234 | ||
5.75% 12/1/17 | 615 | 701 | ||
6.5% 8/1/16 | 300 | 338 | ||
Barclays Bank PLC 2.5% 2/20/19 | 200 | 202 | ||
BP Capital Markets PLC: | ||||
3.814% 2/10/24 | 359 | 363 | ||
4.742% 3/11/21 | 300 | 335 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 568 | 569 | ||
3.953% 6/15/16 | 397 | 422 | ||
4.05% 7/30/22 | 151 | 153 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Citigroup, Inc.: - continued | ||||
4.75% 5/19/15 | $ 544 | $ 570 | ||
5.5% 9/13/25 | 142 | 153 | ||
6.125% 5/15/18 | 212 | 246 | ||
Five Corners Funding Trust 4.419% 11/15/23 (f) | 360 | 368 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 720 | 712 | ||
2% 8/15/17 | 300 | 305 | ||
3.15% 7/5/16 | 430 | 452 | ||
3.25% 9/23/22 | 503 | 495 | ||
4.35% 8/15/21 | 420 | 453 | ||
4.5% 1/24/22 | 134 | 145 | ||
4.95% 3/25/20 | 661 | 740 | ||
JPMorgan Chase Bank 6% 10/1/17 | 250 | 288 | ||
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (f) | 216 | 215 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 96 | 102 | ||
5.15% 3/15/20 | 141 | 158 | ||
| 11,594 | |||
Insurance - 0.5% | ||||
Allstate Corp. 6.2% 5/16/14 | 264 | 267 | ||
American International Group, Inc.: | ||||
4.875% 9/15/16 | 257 | 281 | ||
4.875% 6/1/22 | 107 | 118 | ||
5.6% 10/18/16 | 318 | 354 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 376 | 393 | ||
3.5% 9/30/15 | 151 | 157 | ||
5% 9/30/20 | 133 | 150 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(i) | 12 | 12 | ||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | 408 | 456 | ||
5.375% 3/15/17 | 6 | 7 | ||
Liberty Mutual Group, Inc.: | ||||
5% 6/1/21 (f) | 421 | 450 | ||
6.5% 3/15/35 (f) | 327 | 375 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 233 | 254 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f) | $ 199 | $ 217 | ||
MetLife, Inc.: | ||||
3.048% 12/15/22 | 313 | 304 | ||
4.368% 9/15/23 | 305 | 324 | ||
4.75% 2/8/21 | 137 | 152 | ||
6.75% 6/1/16 | 290 | 328 | ||
Metropolitan Life Global Funding I: | ||||
3% 1/10/23 (f) | 223 | 214 | ||
5.125% 6/10/14 (f) | 255 | 258 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 203 | 296 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (f) | 441 | 431 | ||
6% 2/10/20 (f) | 409 | 466 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 51 | 52 | ||
4.5% 11/16/21 | 200 | 219 | ||
4.75% 9/17/15 | 500 | 531 | ||
5.8% 11/16/41 | 262 | 302 | ||
6.2% 11/15/40 | 134 | 161 | ||
7.375% 6/15/19 | 120 | 149 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 38 | 41 | ||
Unum Group: | ||||
5.625% 9/15/20 | 270 | 301 | ||
5.75% 8/15/42 | 458 | 493 | ||
7.125% 9/30/16 | 19 | 22 | ||
| 8,535 | |||
Real Estate Investment Trusts - 0.4% | ||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 | 108 | 112 | ||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 101 | 97 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 160 | 166 | ||
4.2% 12/15/23 | 360 | 372 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 432 | 434 | ||
BRE Properties, Inc. 5.5% 3/15/17 | 113 | 125 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 135 | 127 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Camden Property Trust: - continued | ||||
4.25% 1/15/24 | $ 304 | $ 311 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 7/15/22 | 247 | 259 | ||
4.75% 4/15/18 | 313 | 341 | ||
7.5% 4/1/17 | 203 | 236 | ||
9.625% 3/15/16 | 106 | 123 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 180 | 172 | ||
3.875% 10/15/22 | 310 | 304 | ||
4.375% 6/15/22 | 207 | 212 | ||
5.95% 2/15/17 | 57 | 64 | ||
6.5% 1/15/18 | 285 | 328 | ||
6.75% 3/15/20 | 12 | 14 | ||
8.25% 8/15/19 | 127 | 159 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 400 | 384 | ||
5.375% 10/15/15 | 47 | 50 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 95 | 111 | ||
HCP, Inc. 3.75% 2/1/16 | 201 | 212 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 147 | 148 | ||
4.7% 9/15/17 | 48 | 53 | ||
HRPT Properties Trust 5.75% 11/1/15 | 50 | 52 | ||
Retail Opportunity Investments Partnership LP 5% 12/15/23 | 67 | 69 | ||
Simon Property Group LP: | ||||
2.75% 2/1/23 | 232 | 220 | ||
2.8% 1/30/17 | 82 | 86 | ||
4.125% 12/1/21 | 229 | 244 | ||
UDR, Inc. 5.5% 4/1/14 | 498 | 500 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 68 | 65 | ||
| 6,150 | |||
Real Estate Management & Development - 0.6% | ||||
BioMed Realty LP: | ||||
3.85% 4/15/16 | 390 | 411 | ||
4.25% 7/15/22 | 163 | 162 | ||
6.125% 4/15/20 | 126 | 144 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | $ 359 | $ 351 | ||
4.95% 4/15/18 | 197 | 213 | ||
5.7% 5/1/17 | 1,000 | 1,102 | ||
6% 4/1/16 | 86 | 94 | ||
7.5% 5/15/15 | 44 | 47 | ||
Digital Realty Trust LP: | ||||
4.5% 7/15/15 | 172 | 179 | ||
5.25% 3/15/21 | 201 | 212 | ||
ERP Operating LP: | ||||
4.625% 12/15/21 | 540 | 585 | ||
4.75% 7/15/20 | 265 | 293 | ||
5.375% 8/1/16 | 117 | 129 | ||
5.75% 6/15/17 | 567 | 644 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 185 | 174 | ||
4.125% 6/15/22 | 177 | 179 | ||
4.4% 2/15/24 | 418 | 425 | ||
4.75% 10/1/20 | 394 | 422 | ||
5.125% 3/2/15 | 7 | 7 | ||
5.5% 12/15/16 | 12 | 13 | ||
6.625% 10/1/17 | 281 | 325 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 252 | 255 | ||
3.15% 5/15/23 | 426 | 383 | ||
4.5% 4/18/22 | 108 | 109 | ||
7.75% 8/15/19 | 23 | 28 | ||
Mid-America Apartments LP 4.3% 10/15/23 | 73 | 74 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 70 | 66 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | 57 | 59 | ||
5.7% 4/15/17 (f) | 94 | 102 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 114 | 124 | ||
Regency Centers LP 5.25% 8/1/15 | 124 | 131 | ||
Tanger Properties LP: | ||||
3.875% 12/1/23 | 160 | 160 | ||
6.125% 6/1/20 | 478 | 560 | ||
Ventas Realty LP 1.55% 9/26/16 | 250 | 253 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | $ 227 | $ 228 | ||
4% 4/30/19 | 114 | 122 | ||
| 8,765 | |||
TOTAL FINANCIALS | 56,842 | |||
HEALTH CARE - 0.3% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.15% 11/15/41 | 350 | 367 | ||
Health Care Providers & Services - 0.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 178 | 168 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 378 | 411 | ||
Express Scripts, Inc. 3.125% 5/15/16 | 357 | 373 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 38 | 39 | ||
4.125% 9/15/20 | 259 | 276 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 59 | 56 | ||
2.875% 3/15/23 | 463 | 441 | ||
WellPoint, Inc. 3.3% 1/15/23 | 172 | 166 | ||
| 1,930 | |||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 102 | 102 | ||
2.4% 2/1/19 | 65 | 65 | ||
4.15% 2/1/24 | 99 | 102 | ||
| 269 | |||
Pharmaceuticals - 0.1% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 358 | 361 | ||
2.9% 11/6/22 | 368 | 355 | ||
Mylan, Inc. 1.35% 11/29/16 | 120 | 121 | ||
Perrigo Co. PLC 2.3% 11/8/18 (f) | 200 | 200 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 120 | 120 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 57 | $ 57 | ||
3.25% 2/1/23 | 138 | 133 | ||
| 1,347 | |||
TOTAL HEALTH CARE | 3,913 | |||
INDUSTRIALS - 0.0% | ||||
Aerospace & Defense - 0.0% | ||||
BAE Systems Holdings, Inc.: | ||||
4.95% 6/1/14 (f) | 18 | 18 | ||
6.375% 6/1/19 (f) | 309 | 362 | ||
| 380 | |||
Airlines - 0.0% | ||||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | 13 | 14 | ||
6.9% 7/2/19 | 4 | 4 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 9 | 10 | ||
8.36% 1/20/19 | 7 | 8 | ||
| 36 | |||
TOTAL INDUSTRIALS | 416 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Electronic Equipment & Components - 0.0% | ||||
Tyco Electronics Group SA 2.375% 12/17/18 | 74 | 74 | ||
IT Services - 0.0% | ||||
Xerox Corp. 4.25% 2/15/15 | 12 | 12 | ||
TOTAL INFORMATION TECHNOLOGY | 86 | |||
MATERIALS - 0.2% | ||||
Chemicals - 0.0% | ||||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 343 | 361 | ||
4.25% 11/15/20 | 186 | 199 | ||
| 560 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | $ 15 | $ 17 | ||
Metals & Mining - 0.2% | ||||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 211 | 213 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (f) | 360 | 363 | ||
4.5% 8/13/23 (f) | 500 | 518 | ||
5.625% 10/18/43 (f) | 254 | 259 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 356 | 360 | ||
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 200 | 200 | ||
6.25% 1/23/17 | 503 | 563 | ||
| 2,476 | |||
TOTAL MATERIALS | 3,053 | |||
TELECOMMUNICATION SERVICES - 0.5% | ||||
Diversified Telecommunication Services - 0.5% | ||||
AT&T, Inc.: | ||||
5.55% 8/15/41 | 1,223 | 1,288 | ||
6.3% 1/15/38 | 398 | 454 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 28 | 30 | ||
6% 4/1/17 | 70 | 77 | ||
6.15% 9/15/19 | 226 | 243 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 236 | 264 | ||
7.995% 6/1/36 | 175 | 187 | ||
Verizon Communications, Inc.: | ||||
2.5% 9/15/16 | 1,100 | 1,142 | ||
6.25% 4/1/37 | 187 | 217 | ||
6.4% 9/15/33 | 346 | 411 | ||
6.55% 9/15/43 | 2,538 | 3,108 | ||
| 7,421 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 0.0% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | $ 276 | $ 285 | ||
3.125% 7/16/22 | 255 | 241 | ||
| 526 | |||
TOTAL TELECOMMUNICATION SERVICES | 7,947 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.4% | ||||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 147 | 147 | ||
2.95% 12/15/22 | 140 | 134 | ||
Dayton Power & Light Co. 1.875% 9/15/16 (f) | 119 | 121 | ||
Duke Capital LLC 5.668% 8/15/14 | 16 | 16 | ||
Duke Energy Corp. 3.95% 10/15/23 | 55 | 56 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (f) | 273 | 311 | ||
6.4% 9/15/20 (f) | 569 | 665 | ||
Edison International 3.75% 9/15/17 | 226 | 242 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 299 | 301 | ||
4.25% 3/15/23 | 528 | 518 | ||
7.375% 11/15/31 | 411 | 473 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 649 | 716 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 255 | 260 | ||
3.75% 11/15/20 | 49 | 51 | ||
Monongahela Power Co. 4.1% 4/15/24 (f) | 131 | 136 | ||
Nevada Power Co. 6.5% 5/15/18 | 165 | 196 | ||
Northeast Utilities: | ||||
1.45% 5/1/18 | 96 | 94 | ||
2.8% 5/1/23 | 435 | 410 | ||
NV Energy, Inc. 6.25% 11/15/20 | 115 | 136 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 240 | 246 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 207 | 200 | ||
| 5,429 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - 0.0% | ||||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | $ 122 | $ 129 | ||
Independent Power Producers & Energy Traders - 0.0% | ||||
PSEG Power LLC 2.75% 9/15/16 | 90 | 94 | ||
Multi-Utilities - 0.3% | ||||
Ameren Illinois Co. 6.125% 11/15/17 | 165 | 191 | ||
Dominion Resources, Inc.: | ||||
2.5469% 9/30/66 (i) | 635 | 586 | ||
7.5% 6/30/66 (i) | 26 | 28 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 (f) | 523 | 522 | ||
2% 11/15/18 (f) | 403 | 401 | ||
National Grid PLC 6.3% 8/1/16 | 183 | 205 | ||
NiSource Finance Corp.: | ||||
4.45% 12/1/21 | 155 | 164 | ||
5.25% 2/15/43 | 357 | 361 | ||
5.4% 7/15/14 | 11 | 11 | ||
5.45% 9/15/20 | 468 | 531 | ||
5.8% 2/1/42 | 199 | 216 | ||
5.95% 6/15/41 | 396 | 438 | ||
6.4% 3/15/18 | 58 | 68 | ||
6.8% 1/15/19 | 677 | 810 | ||
PG&E Corp. 2.4% 3/1/19 | 55 | 55 | ||
Puget Energy, Inc. 6% 9/1/21 | 48 | 55 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 376 | 386 | ||
2.875% 10/1/22 | 154 | 147 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (i) | 21 | 21 | ||
| 5,196 | |||
TOTAL UTILITIES | 10,848 | |||
TOTAL NONCONVERTIBLE BONDS | 111,863 | |||
TOTAL CORPORATE BONDS (Cost $105,432) |
| |||
U.S. Treasury Obligations - 7.8% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 4/17/14 to 5/29/14 (h) | $ 1,555 | $ 1,555 | ||
U.S. Treasury Bonds: | ||||
3.625% 8/15/43 | 5,634 | 5,673 | ||
3.625% 2/15/44 | 2,000 | 2,013 | ||
3.75% 11/15/43 | 102 | 105 | ||
U.S. Treasury Notes: | ||||
0.25% 7/31/15 | 3,230 | 3,233 | ||
0.5% 7/31/17 | 2,063 | 2,035 | ||
0.625% 12/15/16 | 4,412 | 4,414 | ||
0.875% 11/30/16 | 1,254 | 1,263 | ||
0.875% 4/30/17 | 9 | 9 | ||
0.875% 1/31/18 | 9,947 | 9,857 | ||
0.875% 7/31/19 | 5,971 | 5,721 | ||
1% 5/31/18 | 5,583 | 5,525 | ||
1.25% 10/31/18 | 22,092 | 21,935 | ||
1.375% 7/31/18 | 7,186 | 7,205 | ||
1.375% 9/30/18 | 5,036 | 5,036 | ||
1.5% 12/31/18 | 2,258 | 2,262 | ||
1.5% 1/31/19 | 14,672 | 14,679 | ||
1.75% 5/31/16 | 5,530 | 5,694 | ||
1.75% 5/15/23 | 350 | 326 | ||
2% 2/28/21 | 7,013 | 6,953 | ||
2% 2/15/23 | 3,074 | 2,943 | ||
2.125% 1/31/21 | 3,922 | 3,926 | ||
2.75% 11/15/23 | 6,910 | 6,983 | ||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $119,606) |
| |||
U.S. Government Agency - Mortgage Securities - 1.0% | ||||
| ||||
Fannie Mae - 0.8% | ||||
2.303% 6/1/36 (i) | 8 | 9 | ||
2.536% 6/1/42 (i) | 51 | 53 | ||
2.643% 7/1/37 (i) | 18 | 19 | ||
2.949% 11/1/40 (i) | 26 | 27 | ||
2.959% 9/1/41 (i) | 30 | 31 | ||
3% 1/1/43 to 1/1/44 | 1,000 | 972 | ||
3% 3/1/44 (g) | 500 | 486 | ||
3.093% 10/1/41 (i) | 19 | 20 | ||
3.224% 7/1/41 (i) | 48 | 51 | ||
3.345% 10/1/41 (i) | 26 | 28 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
3.5% 8/1/42 to 10/1/43 | $ 5,633 | $ 5,645 | ||
3.5% 3/1/44 (g) | 2,400 | 2,433 | ||
3.55% 7/1/41 (i) | 51 | 54 | ||
4% 12/1/41 to 12/1/43 | 491 | 516 | ||
4% 3/1/44 (g) | 600 | 629 | ||
4% 3/1/44 (g) | 500 | 524 | ||
4.5% 12/1/23 | 13 | 14 | ||
6% 11/1/35 to 8/1/37 | 436 | 487 | ||
TOTAL FANNIE MAE | 11,998 | |||
Freddie Mac - 0.2% | ||||
3.064% 10/1/35 (i) | 21 | 22 | ||
3.23% 4/1/41 (i) | 36 | 38 | ||
3.249% 9/1/41 (i) | 27 | 29 | ||
3.281% 6/1/41 (i) | 39 | 41 | ||
3.464% 5/1/41 (i) | 38 | 40 | ||
3.5% 6/1/42 to 10/1/43 | 2,076 | 2,078 | ||
3.622% 6/1/41 (i) | 48 | 51 | ||
3.695% 5/1/41 (i) | 45 | 48 | ||
5% 11/1/40 | 330 | 363 | ||
TOTAL FREDDIE MAC | 2,710 | |||
Ginnie Mae - 0.0% | ||||
4% 11/20/40 to 1/20/41 | 200 | 212 | ||
4% 3/1/44 (g) | 500 | 530 | ||
5.5% 6/15/35 | 137 | 154 | ||
TOTAL GINNIE MAE | 896 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $15,715) |
| |||
Asset-Backed Securities - 0.2% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6255% 4/25/35 (i) | 30 | 27 | ||
Ally Master Owner Trust: | ||||
Series 2011-3 Class A2, 1.81% 5/15/16 | 280 | 281 | ||
Series 2012-3 Class A2, 1.21% 6/15/17 | 370 | 372 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2055% 12/25/33 (i) | $ 3 | $ 2 | ||
Series 2004-R2 Class M3, 0.9805% 4/25/34 (i) | 4 | 2 | ||
Series 2005-R2 Class M1, 0.6055% 4/25/35 (i) | 48 | 47 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9355% 3/25/34 (i) | 2 | 2 | ||
Series 2004-W11 Class M2, 1.2055% 11/25/34 (i) | 25 | 23 | ||
Series 2004-W7 Class M1, 0.9805% 5/25/34 (i) | 27 | 25 | ||
Series 2006-W4 Class A2C, 0.3155% 5/25/36 (i) | 55 | 17 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9805% 4/25/34 (i) | 91 | 85 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 360 | 362 | ||
Capital Trust Ltd. Series 2004-1 Class C, 1.254% 7/20/39 (f)(i) | 7 | 3 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.2955% 12/25/36 (i) | 82 | 47 | ||
CFC LLC: | ||||
Series 2013-1A Class A, 1.65% 7/17/17 (f) | 54 | 54 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (f) | 303 | 304 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3 Class M4, 1.6105% 4/25/34 (i) | 4 | 3 | ||
Series 2004-4 Class M2, 0.9505% 6/25/34 (i) | 19 | 18 | ||
Series 2004-7 Class AF5, 5.37% 1/25/35 | 135 | 142 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9224% 5/28/35 (i) | 2 | 2 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3305% 8/25/34 (i) | 13 | 10 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9805% 3/25/34 (i) | 1 | 0* | ||
Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17 | 700 | 702 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.8905% 1/25/35 (i) | 43 | 35 | ||
Class M4, 1.1755% 1/25/35 (i) | 16 | 6 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(i) | 106 | 88 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.5845% 4/15/31 (f)(i) | 3 | 2 | ||
Series 2006-2A: | ||||
Class A, 0.3345% 11/15/34 (f)(i) | 28 | 26 | ||
Class B, 0.4345% 11/15/34 (f)(i) | 10 | 9 | ||
Class C, 0.5345% 11/15/34 (f)(i) | 17 | 14 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 0.9045% 11/15/34 (f)(i) | $ 6 | $ 5 | ||
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7055% 9/25/46 (f)(i) | 30 | 30 | ||
Home Equity Asset Trust: | ||||
Series 2003-3 Class M1, 1.4455% 8/25/33 (i) | 24 | 23 | ||
Series 2003-5 Class A2, 0.8555% 12/25/33 (i) | 1 | 1 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3455% 1/25/37 (i) | 56 | 28 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2855% 11/25/36 (i) | 51 | 50 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.5759% 12/27/29 (i) | 14 | 14 | ||
Series 2006-A Class 2C, 1.3959% 3/27/42 (i) | 43 | 7 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4555% 5/25/37 (i) | 22 | 0* | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1305% 7/25/34 (i) | 3 | 3 | ||
Series 2006-FM1 Class A2B, 0.2655% 4/25/37 (i) | 28 | 27 | ||
Series 2006-OPT1 Class A1A, 0.6755% 6/25/35 (i) | 49 | 47 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8355% 8/25/34 (i) | 3 | 3 | ||
Series 2005-NC1 Class M1, 0.8155% 1/25/35 (i) | 18 | 17 | ||
Series 2005-NC2 Class B1, 1.3255% 3/25/35 (i) | 11 | 5 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6655% 9/25/35 (i) | 65 | 54 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.654% 3/20/10 (d)(f)(i) | 25 | 0 | ||
Series 2006-1A Class A, 1.554% 3/20/11 (d)(f)(i) | 53 | 0 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.4055% 9/25/34 (i) | 24 | 22 | ||
Class M4, 1.6055% 9/25/34 (i) | 31 | 17 | ||
Series 2005-WCH1 Class M4, 0.9855% 1/25/36 (i) | 67 | 55 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9555% 4/25/33 (i) | 0* | 0* | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9505% 3/25/35 (i) | 46 | 39 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (i) | 46 | 40 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8805% 9/25/34 (i) | 2 | 2 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0155% 9/25/34 (i) | $ 1 | $ 1 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8029% 4/6/42 (f)(i) | 60 | 14 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0386% 10/25/44 (f)(i) | 81 | 78 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $2,900) |
| |||
Collateralized Mortgage Obligations - 0.3% | ||||
| ||||
Private Sponsor - 0.2% | ||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7155% 1/25/35 (i) | 64 | 63 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5778% 10/25/34 (i) | 30 | 30 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class A1, 0.224% 12/20/54 (f)(i) | 328 | 324 | ||
Class C2, 1.354% 12/20/54 (f)(i) | 271 | 262 | ||
Series 2006-2: | ||||
Class A4, 0.234% 12/20/54 (i) | 93 | 92 | ||
Class C1, 1.094% 12/20/54 (i) | 242 | 229 | ||
Series 2006-3: | ||||
Class A3, 0.234% 12/20/54 (i) | 44 | 43 | ||
Class A7, 0.354% 12/20/54 (i) | 51 | 51 | ||
Class C2, 1.154% 12/20/54 (i) | 50 | 48 | ||
Series 2006-4: | ||||
Class A4, 0.254% 12/20/54 (i) | 150 | 148 | ||
Class B1, 0.334% 12/20/54 (i) | 169 | 164 | ||
Class C1, 0.914% 12/20/54 (i) | 103 | 97 | ||
Class M1, 0.494% 12/20/54 (i) | 44 | 42 | ||
Series 2007-1: | ||||
Class 1C1, 0.754% 12/20/54 (i) | 84 | 79 | ||
Class 1M1, 0.454% 12/20/54 (i) | 54 | 51 | ||
Class 2A1, 0.294% 12/20/54 (i) | 118 | 116 | ||
Class 2C1, 1.014% 12/20/54 (i) | 38 | 36 | ||
Class 2M1, 0.654% 12/20/54 (i) | 70 | 67 | ||
Series 2007-2: | ||||
Class 2C1, 1.0145% 12/17/54 (i) | 97 | 91 | ||
Class 3A1, 0.3345% 12/17/54 (i) | 24 | 24 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6866% 1/20/44 (i) | $ 19 | $ 19 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6892% 8/25/36 (i) | 56 | 47 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3655% 5/25/47 (i) | 25 | 19 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3255% 2/25/37 (i) | 37 | 34 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4455% 7/25/35 (i) | 65 | 63 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5065% 7/10/35 (f)(i) | 14 | 13 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2269% 7/20/34 (i) | 1 | 1 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.4727% 4/25/33 (i) | 9 | 9 | ||
TOTAL PRIVATE SPONSOR | 2,262 | |||
U.S. Government Agency - 0.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2005-38 Class F, 0.4555% 5/25/35 (i) | 51 | 51 | ||
Series 2006-50 Class BF, 0.5555% 6/25/36 (i) | 67 | 67 | ||
Series 2006-82 Class F, 0.7255% 9/25/36 (i) | 89 | 89 | ||
Series 2007-36 Class F, 0.3855% 4/25/37 (i) | 80 | 80 | ||
Series 2011-37 Class FA, 0.6055% 5/25/41 (i) | 241 | 242 | ||
Series 2011-40 Class DF, 0.6055% 5/25/41 (i) | 186 | 186 | ||
Series 2013-62 Class FA, 0.4555% 6/25/43 (i) | 339 | 335 | ||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 7 | 7 | ||
sequential payer: | ||||
Series 2010-74 Class WF, 0.7555% 7/25/34 (i) | 73 | 74 | ||
Series 2012-120 Class FE 0.4555% 2/25/39 (i) | 151 | 150 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2011-3845 Class FA, 0.5745% 4/15/41 (i) | 119 | 119 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 3830 Class FD, 0.5145% 3/15/41 (i) | $ 347 | $ 348 | ||
sequential payer Series 2011-3969 Class AF, 0.6045% 10/15/33 (i) | 154 | 155 | ||
TOTAL U.S. GOVERNMENT AGENCY | 1,903 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,062) |
| |||
Commercial Mortgage Securities - 1.7% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5236% 2/14/43 (i)(k) | 27 | 1 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7192% 5/10/45 (i) | 33 | 34 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 315 | 342 | ||
Series 2006-5 Class A2, 5.317% 9/10/47 | 177 | 178 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 150 | 154 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (i) | 857 | 942 | ||
Series 2005-3 Class A3B, 5.09% 7/10/43 (i) | 233 | 240 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 43 | 5 | ||
Series 2007-3: | ||||
Class A3, 5.6195% 6/10/49 (i) | 124 | 124 | ||
Class A4, 5.6195% 6/10/49 (i) | 156 | 173 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 274 | 296 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.0055% 12/25/33 (f)(i) | 2 | 2 | ||
Series 2005-4A: | ||||
Class A2, 0.5455% 1/25/36 (f)(i) | 45 | 37 | ||
Class B1, 1.5555% 1/25/36 (f)(i) | 4 | 1 | ||
Class M1, 0.6055% 1/25/36 (f)(i) | 14 | 8 | ||
Class M2, 0.6255% 1/25/36 (f)(i) | 4 | 2 | ||
Class M3, 0.6555% 1/25/36 (f)(i) | 6 | 3 | ||
Class M4, 0.7655% 1/25/36 (f)(i) | 4 | 2 | ||
Class M5, 0.8055% 1/25/36 (f)(i) | 4 | 1 | ||
Class M6, 0.8555% 1/25/36 (f)(i) | 4 | 1 | ||
Series 2006-3A Class M4, 0.5855% 10/25/36 (f)(i) | 4 | 1 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-1 Class A2, 0.4255% 3/25/37 (f)(i) | $ 26 | $ 18 | ||
Series 2007-2A: | ||||
Class A1, 0.4255% 7/25/37 (f)(i) | 26 | 21 | ||
Class A2, 0.4755% 7/25/37 (f)(i) | 24 | 17 | ||
Class M1, 0.5255% 7/25/37 (f)(i) | 9 | 3 | ||
Class M2, 0.5655% 7/25/37 (f)(i) | 4 | 1 | ||
Class M3, 0.6455% 7/25/37 (f)(i) | 5 | 0* | ||
Class M4, 0.8055% 7/25/37 (f)(i) | 4 | 0* | ||
Series 2007-3: | ||||
Class A2, 0.4455% 7/25/37 (f)(i) | 28 | 19 | ||
Class M1, 0.4655% 7/25/37 (f)(i) | 5 | 3 | ||
Class M2, 0.4955% 7/25/37 (f)(i) | 5 | 3 | ||
Class M3, 0.5255% 7/25/37 (f)(i) | 8 | 4 | ||
Class M4, 0.6555% 7/25/37 (f)(i) | 13 | 3 | ||
Class M5, 0.7555% 7/25/37 (f)(i) | 7 | 1 | ||
Class M6, 0.9555% 7/25/37 (f)(i) | 2 | 0* | ||
Series 2007-4A: | ||||
Class M1, 1.1055% 9/25/37 (f)(i) | 10 | 1 | ||
Class M2, 1.2055% 9/25/37 (f)(i) | 10 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(i)(k) | 252 | 15 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater Series 2007-BBA8: | ||||
Class E, 0.4545% 3/15/22 (f)(i) | 20 | 20 | ||
Class F, 0.5045% 3/15/22 (f)(i) | 78 | 74 | ||
Class G, 0.5545% 3/15/22 (f)(i) | 20 | 19 | ||
Class H, 0.7045% 3/15/22 (f)(i) | 25 | 22 | ||
Class J, 0.8545% 3/15/22 (f)(i) | 25 | 22 | ||
sequential payer Series 2007-PW16 Class A4, 5.7058% 6/11/40 (i) | 44 | 50 | ||
Series 2006-T22 Class A4, 5.5801% 4/12/38 (i) | 9 | 10 | ||
Series 2007-PW18 Class X2, 0.2966% 6/11/50 (f)(i)(k) | 3,806 | 26 | ||
Series 2007-T28 Class X2, 0.1573% 9/11/42 (f)(i)(k) | 2,337 | 8 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4255% 5/25/36 (f)(i) | 23 | 22 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4233% 5/15/35 (f)(i)(k) | 160 | 2 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 73 | 75 | ||
Class A4, 5.322% 12/11/49 | 2,380 | 2,627 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i) | $ 84 | $ 82 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A Class J, 1.0045% 4/15/17 (f)(i) | 6 | 6 | ||
Series 2006-FL12 Class AJ, 0.2845% 12/15/20 (f)(i) | 26 | 26 | ||
sequential payer Series 2006-C7 Class A1A, 5.741% 6/10/46 (i) | 287 | 313 | ||
Series 2004-LB4A Class A5, 4.84% 10/15/37 | 594 | 599 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (i) | 1 | 1 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (i) | 68 | 76 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5045% 4/15/22 (f)(i) | 268 | 253 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2001-CK6 Class AX, 1.3434% 8/15/36 (i)(k) | 5 | 0* | ||
Series 2001-CKN5 Class AX, 0.6562% 9/15/34 (f)(i)(k) | 0* | 0* | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.3245% 2/15/22 (f)(i) | 56 | 55 | ||
0.4245% 2/15/22 (f)(i) | 30 | 30 | ||
Class F, 0.4745% 2/15/22 (f)(i) | 60 | 59 | ||
Series 2007-C1: | ||||
Class ASP, 0.354% 2/15/40 (i)(k) | 924 | 0* | ||
Class B, 5.487% 2/15/40 (f)(i) | 115 | 16 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 1,194 | 1,309 | ||
Series 2001-1 Class X1, 1.7244% 5/15/33 (f)(i)(k) | 15 | 0* | ||
Series 2007-C1 Class XP, 0.1602% 12/10/49 (i)(k) | 477 | 0* | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.3471% 11/5/21 (f)(i) | 28 | 28 | ||
Series 2006-GG7 Class A4, 5.8197% 7/10/38 (i) | 176 | 193 | ||
Series 2007-GG11 Class A1, 0.2936% 12/10/49 (f)(i)(k) | 1,112 | 2 | ||
GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10 | 10 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (i) | $ 80 | $ 88 | ||
Hilton U.S.A. Trust Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (f) | 100 | 102 | ||
Class DFX, 4.4065% 11/5/30 (f) | 584 | 596 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FL2A: | ||||
Class B, 0.3245% 11/15/18 (f)(i) | 32 | 31 | ||
Class C, 0.3645% 11/15/18 (f)(i) | 23 | 22 | ||
Class D, 0.3845% 11/15/18 (f)(i) | 7 | 6 | ||
Class E, 0.4345% 11/15/18 (f)(i) | 10 | 9 | ||
Class F, 0.4845% 11/15/18 (f)(i) | 14 | 14 | ||
Class G, 0.5145% 11/15/18 (f)(i) | 13 | 12 | ||
Class H, 0.6545% 11/15/18 (f)(i) | 10 | 9 | ||
sequential payer: | ||||
Series 2006-CB16 Class A1A, 5.546% 5/12/45 | 494 | 540 | ||
Series 2006-CB17: | ||||
Class A3, 5.45% 12/12/43 | 4 | 4 | ||
Class A4, 5.429% 12/12/43 | 240 | 259 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 835 | 910 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 31 | 34 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 70 | 77 | ||
Series 2007-CB19 Class A4, 5.7093% 2/12/49 (i) | 1,130 | 1,262 | ||
Series 2007-LD11: | ||||
Class A2, 5.7984% 6/15/49 (i) | 69 | 69 | ||
Class A4, 5.8134% 6/15/49 (i) | 790 | 881 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 554 | 613 | ||
Series 2006-LDP7 Class A4, 5.8726% 4/15/45 (i) | 700 | 765 | ||
Series 2007-CB19: | ||||
Class B, 5.7093% 2/12/49 (i) | 6 | 2 | ||
Class C, 5.7093% 2/12/49 (i) | 17 | 4 | ||
Class D, 5.7093% 2/12/49 (i) | 18 | 3 | ||
Series 2007-LDP10: | ||||
Class CS, 5.466% 1/15/49 (i) | 6 | 1 | ||
Class ES, 5.7261% 1/15/49 (f)(i) | 39 | 2 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8924% 7/15/44 (i) | 58 | 65 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C6 Class A4, 5.372% 9/15/39 | 34 | 37 | ||
Series 2006-C7 Class A2, 5.3% 11/15/38 | 39 | 40 | ||
Series 2007-C1 Class A4, 5.424% 2/15/40 | 550 | 607 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (i) | 93 | 101 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | $ 444 | $ 506 | ||
Class XCP, 0.2771% 9/15/45 (i)(k) | 4,375 | 11 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class H, 0.5545% 9/15/21 (f)(i) | 12 | 12 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2005-LC1 Class F, 5.4207% 1/12/44 (f)(i) | 65 | 58 | ||
Series 2007-C1 Class A4, 5.8409% 6/12/50 (i) | 354 | 398 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.2748% 12/12/49 (i) | 4 | 4 | ||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (i) | 40 | 43 | ||
Class ASB, 5.133% 12/12/49 (i) | 32 | 33 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 63 | 69 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (i) | 550 | 609 | ||
Series 2007-7 Class A4, 5.7439% 6/12/50 (i) | 263 | 293 | ||
Series 2006-4 Class XP, 0.618% 12/12/49 (i)(k) | 770 | 4 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (i) | 75 | 18 | ||
Series 2007-7 Class B, 5.7439% 6/12/50 (i) | 7 | 0* | ||
Series 2007-8 Class A3, 5.8943% 8/12/49 (i) | 65 | 73 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.355% 7/15/19 (f)(i) | 16 | 12 | ||
Series 2007-XLFA: | ||||
Class C, 0.315% 10/15/20 (f)(i) | 43 | 42 | ||
Class D, 0.345% 10/15/20 (f)(i) | 30 | 29 | ||
Class E, 0.405% 10/15/20 (f)(i) | 38 | 36 | ||
Class F, 0.455% 10/15/20 (f)(i) | 23 | 22 | ||
Class G, 0.495% 10/15/20 (f)(i) | 28 | 27 | ||
Class H, 0.585% 10/15/20 (f)(i) | 18 | 16 | ||
Class J, 0.735% 10/15/20 (f)(i) | 10 | 4 | ||
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (i) | 9 | 9 | ||
Series 2006-IQ11 Class A4, 5.6648% 10/15/42 (i) | 20 | 21 | ||
Series 2006-T23 Class A3, 5.8071% 8/12/41 (i) | 38 | 38 | ||
Series 2007-HQ12 Class A2, 5.6007% 4/12/49 (i) | 301 | 304 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (i) | 113 | 125 | ||
Class B, 5.7406% 4/15/49 (i) | 18 | 4 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 643 | $ 817 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-WL7A: | ||||
Class F, 0.4945% 9/15/21 (f)(i) | 65 | 64 | ||
Class G, 0.5145% 9/15/21 (f)(i) | 80 | 79 | ||
Class J, 0.7545% 9/15/21 (f)(i) | 18 | 16 | ||
Series 2007-WHL8: | ||||
Class F, 0.6345% 6/15/20 (f)(i) | 168 | 154 | ||
Class LXR1, 0.8545% 6/15/20 (f)(i) | 9 | 8 | ||
sequential payer: | ||||
Series 2006-C28 Class A4, 5.572% 10/15/48 | 350 | 383 | ||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 288 | 315 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 540 | 595 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 1,070 | 1,169 | ||
Series 2007-C32 Class A3, 5.7499% 6/15/49 (i) | 147 | 163 | ||
Series 2007-C33: | ||||
Class A4, 5.9216% 2/15/51 (i) | 1,100 | 1,214 | ||
Class A5, 5.9216% 2/15/51 (i) | 50 | 56 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 75 | 77 | ||
Series 2005-C22: | ||||
Class B, 5.3811% 12/15/44 (i) | 166 | 163 | ||
Class F, 5.3811% 12/15/44 (f)(i) | 125 | 30 | ||
Series 2006-C26 Class A1A, 6.009% 6/15/45 (i) | 411 | 450 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (i) | 704 | 770 | ||
Series 2007-C30 Class XP, 0.4783% 12/15/43 (f)(i)(k) | 571 | 0* | ||
Series 2007-C31 Class C, 5.672% 4/15/47 (i) | 21 | 17 | ||
Series 2007-C31A Class A2, 5.421% 4/15/47 | 723 | 723 | ||
Series 2007-C32: | ||||
Class D, 5.7499% 6/15/49 (i) | 56 | 25 | ||
Class E, 5.7499% 6/15/49 (i) | 89 | 30 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $23,941) |
| |||
Municipal Securities - 0.5% | ||||
| ||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i) | 100 | 102 | ||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 70 | 94 | ||
Municipal Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
California Gen. Oblig.: - continued | ||||
7.3% 10/1/39 | $ 535 | $ 720 | ||
7.5% 4/1/34 | 465 | 631 | ||
7.6% 11/1/40 | 895 | 1,262 | ||
7.625% 3/1/40 | 150 | 209 | ||
Chicago Gen. Oblig. (Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 80 | 84 | ||
Series 2010 C1, 7.781% 1/1/35 | 395 | 470 | ||
Series 2012 B, 5.432% 1/1/42 | 105 | 93 | ||
Illinois Gen. Oblig.: | ||||
Series 2003, 5.1% 6/1/33 | 1,785 | 1,754 | ||
Series 2010, 4.421% 1/1/15 | 260 | 268 | ||
Series 2010-1, 6.63% 2/1/35 | 320 | 354 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 10 | 11 | ||
6.725% 4/1/35 | 475 | 529 | ||
7.35% 7/1/35 | 220 | 257 | ||
Series 2011: | ||||
4.961% 3/1/16 | 35 | 37 | ||
5.665% 3/1/18 | 265 | 294 | ||
5.877% 3/1/19 | 695 | 780 | ||
Series 2013: | ||||
2.69% 12/1/17 | 110 | 111 | ||
3.14% 12/1/18 | 115 | 115 | ||
TOTAL MUNICIPAL SECURITIES (Cost $7,951) |
| |||
Foreign Government and Government Agency Obligations - 0.2% | ||||
| ||||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (f) | 365 | 372 | ||
5.75% 9/26/23 (f) | 332 | 338 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 355 | 342 | ||
5.625% 1/7/41 | 400 | 393 | ||
United Mexican States: | ||||
4% 10/2/23 | 804 | 814 | ||
4.75% 3/8/44 | 352 | 328 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,617) |
| |||
Bank Notes - 0.0% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fifth Third Bank 4.75% 2/1/15 | $ 250 | $ 260 |
Fixed-Income Funds - 7.2% | |||
Shares |
| ||
Fidelity High Income Central Fund 2 (j) | 302,909 | 36,040 | |
Fidelity Mortgage Backed Securities Central Fund (j) | 685,043 | 73,389 | |
TOTAL FIXED-INCOME FUNDS (Cost $101,619) |
| ||
Money Market Funds - 5.0% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.10% (b) | 69,820,890 | 69,821 | |
Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c) | 6,542,425 | 6,542 | |
TOTAL MONEY MARKET FUNDS (Cost $76,363) |
| ||
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $1,278,664) | 1,542,345 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (14,399) | ||
NET ASSETS - 100% | $ 1,527,946 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) | Value (000s) | |
Fannie Mae | |||
3.5% 3/1/44 | $ (1,000) | $ (1,013) | |
4% 3/1/44 | (100) | (105) | |
4% 3/1/44 | (500) | (524) | |
TOTAL FANNIE MAE | (1,642) | ||
Ginnie Mae | |||
4% 3/1/44 | (200) | (212) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $1,846) | $ (1,854) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
236 CME E-mini S&P 500 Index Contracts (United States) | March 2014 | $ 21,920 | $ 861 |
|
The face value of futures purchased as a percentage of net assets is 1.4% |
Swaps | ||||||||
Credit Default Swaps | ||||||||
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/ | Notional | Value (1) (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
Sell Protection | ||||||||
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 | C | Dec. 2034 | Credit Suisse | 4.25% | $ 29 | $ (28) | $ - | $ (28) |
|
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
|
(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
|
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(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 end of the period, the value of these securities amounted to $18,699,000 or 1.2% 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 period end, the value of securities pledged amounted to $1,155,000. |
(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(l) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(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 $1,820,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Legend Pictures LLC | 9/23/10 | $ 311 |
MongoDB, Inc. Series F, 8.00% | 10/2/13 | $ 281 |
Xero Ltd. | 10/14/13 | $ 411 |
* Amount represents less than $1,000. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 21 |
Fidelity High Income Central Fund 2 | 1,052 |
Fidelity Mortgage Backed Securities Central Fund | 984 |
Fidelity Securities Lending Cash Central Fund | 7 |
Total | $ 2,064 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity High Income Central Fund 2 | $ 31,618 | $ 3,055 | $ - | $ 36,040 | 4.2% |
Fidelity Mortgage Backed Securities Central Fund | 85,122 | 984 | 14,235 | 73,389 | 0.7% |
Total | $ 116,740 | $ 4,039 | $ 14,235 | $ 109,429 |
Other Information |
The following is a summary of the inputs used, as of February 28, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 125,497 | $ 124,749 | $ - | $ 748 |
Consumer Staples | 101,744 | 98,987 | 2,757 | - |
Energy | 104,367 | 104,367 | - | - |
Financials | 179,910 | 176,431 | 3,479 | - |
Health Care | 151,960 | 145,070 | 6,890 | - |
Industrials | 105,340 | 105,340 | - | - |
Information Technology | 197,859 | 196,515 | 1,091 | 253 |
Materials | 39,537 | 39,537 | - | - |
Telecommunication Services | 26,267 | 22,538 | 3,729 | - |
Utilities | 32,690 | 32,690 | - | - |
Corporate Bonds | 111,959 | - | 111,959 | - |
U.S. Government and Government Agency Obligations | 119,345 | - | 119,345 | - |
U.S. Government Agency - Mortgage Securities | 15,604 | - | 15,604 | - |
Asset-Backed Securities | 3,292 | - | 3,165 | 127 |
Collateralized Mortgage Obligations | 4,165 | - | 4,152 | 13 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Commercial Mortgage Securities | $ 25,995 | $ - | $ 25,928 | $ 67 |
Municipal Securities | 8,175 | - | 8,175 | - |
Foreign Government and Government Agency Obligations | 2,587 | - | 2,587 | - |
Bank Notes | 260 | - | 260 | - |
Fixed-Income Funds | 109,429 | 109,429 | - | - |
Money Market Funds | 76,363 | 76,363 | - | - |
Total Investments in Securities: | $ 1,542,345 | $ 1,232,016 | $ 309,121 | $ 1,208 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 861 | $ 861 | $ - | $ - |
Liabilities | ||||
Swaps | $ (28) | $ - | $ (28) | $ - |
Total Derivative Instruments: | $ 833 | $ 861 | $ (28) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (1,854) | $ - | $ (1,854) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swaps (b) | $ - | $ (28) |
Equity Risk | ||
Futures Contracts (a) | 861 | - |
Total Value of Derivatives | $ 861 | $ (28) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited): |
U.S. Government and U.S. Government Agency Obligations | 13.4% |
AAA,AA,A | 3.4% |
BBB | 5.9% |
BB | 0.7% |
B | 1.5% |
CCC,CC,C | 0.5% |
D | 0.0%* |
Not Rated | 0.2% |
Equities | 69.8% |
Short-Term Investments and Net Other Assets | 4.6% |
| 100% |
* Amount represents less than 0.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 89.4% |
United Kingdom | 2.2% |
Ireland | 2.1% |
Netherlands | 1.2% |
Others (Individually Less Than 1%) | 5.1% |
| 100.0% |
The information in the above tables are based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $6,357) - See accompanying schedule: Unaffiliated issuers (cost $1,100,682) | $ 1,356,553 |
|
Fidelity Central Funds (cost $177,982) | 185,792 |
|
Total Investments (cost $1,278,664) |
| $ 1,542,345 |
Cash |
| 56 |
Receivable for investments sold, regular delivery | 10,314 | |
Receivable for TBA sale commitments |
| 1,846 |
Receivable for fund shares sold | 1,751 | |
Dividends receivable | 1,787 | |
Interest receivable | 1,931 | |
Distributions receivable from Fidelity Central Funds | 5 | |
Receivable for daily variation margin for derivative instruments | 44 | |
Prepaid expenses | 2 | |
Other receivables | 42 | |
Total assets | 1,560,123 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 14,241 | |
Delayed delivery | 4,597 | |
TBA sale commitments, at value | 1,854 | |
Payable for swaps | 2 | |
Payable for fund shares redeemed | 3,463 | |
Bi-lateral OTC swaps, at value | 28 | |
Accrued management fee | 497 | |
Distribution and service plan fees payable | 564 | |
Other affiliated payables | 279 | |
Other payables and accrued expenses | 110 | |
Collateral on securities loaned, at value | 6,542 | |
Total liabilities | 32,177 | |
|
|
|
Net Assets | $ 1,527,946 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,234,485 | |
Undistributed net investment income | 4,208 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 24,748 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 264,505 | |
Net Assets | $ 1,527,946 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | February 28, 2014 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 19.19 | |
|
|
|
Maximum offering price per share (100/94.25 of $19.19) | $ 20.36 | |
Class T: | $ 19.36 | |
|
|
|
Maximum offering price per share (100/96.50 of $19.36) | $ 20.06 | |
Class B: | $ 19.19 | |
|
|
|
Class C: | $ 19.09 | |
|
|
|
|
|
|
Institutional Class: | $ 19.49 | |
|
|
|
Class Z: | $ 19.49 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands Six months ended February 28, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 8,447 |
Interest (including $1 from security lending) |
| 4,744 |
Income from Fidelity Central Funds |
| 2,064 |
Total income |
| 15,255 |
|
|
|
Expenses | ||
Management fee | $ 2,853 | |
Transfer agent fees | 1,359 | |
Distribution and service plan fees | 3,238 | |
Accounting and security lending fees | 286 | |
Custodian fees and expenses | 55 | |
Independent trustees' compensation | 3 | |
Registration fees | 83 | |
Audit | 63 | |
Legal | 4 | |
Miscellaneous | 3 | |
Total expenses before reductions | 7,947 | |
Expense reductions | (27) | 7,920 |
Net investment income (loss) | 7,335 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 49,750 | |
Fidelity Central Funds | (94) |
|
Foreign currency transactions | 5 | |
Futures contracts | 1,370 | |
Swaps | (32) |
|
Total net realized gain (loss) |
| 50,999 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 108,473 | |
Assets and liabilities in foreign currencies | 1 | |
Futures contracts | 714 | |
Swaps | 30 | |
Delayed delivery commitments | (28) |
|
Total change in net unrealized appreciation (depreciation) |
| 109,190 |
Net gain (loss) | 160,189 | |
Net increase (decrease) in net assets resulting from operations | $ 167,524 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2014 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 7,335 | $ 13,390 |
Net realized gain (loss) | 50,999 | 72,815 |
Change in net unrealized appreciation (depreciation) | 109,190 | 36,132 |
Net increase (decrease) in net assets resulting | 167,524 | 122,337 |
Distributions to shareholders from net investment income | (6,085) | (12,715) |
Distributions to shareholders from net realized gain | (56,875) | - |
Total distributions | (62,960) | (12,715) |
Share transactions - net increase (decrease) | 117,040 | 50,238 |
Total increase (decrease) in net assets | 221,604 | 159,860 |
|
|
|
Net Assets | ||
Beginning of period | 1,306,342 | 1,146,482 |
End of period (including undistributed net investment income of $4,208 and undistributed net investment income of $2,958, respectively) | $ 1,527,946 | $ 1,306,342 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.84 | $ 16.31 | $ 14.83 | $ 13.29 | $ 12.61 | $ 14.55 |
Income from InvestmentOperations |
|
|
|
|
| |
Net investment income (loss) E | .11 | .22 | .24 | .23 | .24 | .25 |
Net realized and unrealized gain (loss) | 2.11 | 1.52 | 1.48 | 1.55 | .70 | (1.93) |
Total from investment operations | 2.22 | 1.74 | 1.72 | 1.78 | .94 | (1.68) |
Distributions from net investment income | (.10) | (.21) | (.24) | (.23) | (.24) | (.21) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.87) | (.21) | (.24) | (.24) | (.26) I | (.26) |
Net asset value, end of period | $ 19.19 | $ 17.84 | $ 16.31 | $ 14.83 | $ 13.29 | $ 12.61 |
Total Return B, C, D | 12.79% | 10.74% | 11.72% | 13.34% | 7.44% | (11.30)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .93% A | .95% | .98% | 1.00% | 1.00% | 1.06% |
Expenses net of fee waivers, if any | .93% A | .95% | .98% | 1.00% | 1.00% | 1.06% |
Expenses net of all reductions | .92% A | .94% | .98% | .99% | .99% | 1.06% |
Net investment income (loss) | 1.22% A | 1.27% | 1.56% | 1.53% | 1.76% | 2.24% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 328 | $ 270 | $ 249 | $ 215 | $ 203 | $ 213 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.99 | $ 16.44 | $ 14.95 | $ 13.40 | $ 12.70 | $ 14.66 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .09 | .18 | .21 | .20 | .21 | .23 |
Net realized and unrealized gain (loss) | 2.13 | 1.54 | 1.49 | 1.56 | .72 | (1.95) |
Total from investment operations | 2.22 | 1.72 | 1.70 | 1.76 | .93 | (1.72) |
Distributions from net investment income | (.08) | (.17) | (.21) | (.20) | (.21) | (.19) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.85) | (.17) | (.21) | (.21) | (.23) I | (.24) |
Net asset value, end of period | $ 19.36 | $ 17.99 | $ 16.44 | $ 14.95 | $ 13.40 | $ 12.70 |
Total Return B, C, D | 12.66% | 10.55% | 11.44% | 13.09% | 7.32% | (11.54)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.15% A | 1.17% | 1.19% | 1.20% | 1.23% | 1.29% |
Expenses net of fee waivers, if any | 1.15% A | 1.17% | 1.19% | 1.20% | 1.23% | 1.29% |
Expenses net of all reductions | 1.15% A | 1.16% | 1.18% | 1.19% | 1.21% | 1.29% |
Net investment income (loss) | 1.00% A | 1.05% | 1.36% | 1.33% | 1.54% | 2.01% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 924 | $ 821 | $ 737 | $ 673 | $ 619 | $ 621 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.84 | $ 16.30 | $ 14.81 | $ 13.27 | $ 12.58 | $ 14.51 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .04 | .08 | .12 | .11 | .13 | .16 |
Net realized and unrealized gain (loss) | 2.10 | 1.52 | 1.47 | 1.54 | .71 | (1.92) |
Total from investment operations | 2.14 | 1.60 | 1.59 | 1.65 | .84 | (1.76) |
Distributions from net investment income | (.02) | (.06) | (.10) | (.10) | (.13) | (.13) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.04) |
Total distributions | (.79) | (.06) | (.10) | (.11) | (.15) I | (.17) |
Net asset value, end of period | $ 19.19 | $ 17.84 | $ 16.30 | $ 14.81 | $ 13.27 | $ 12.58 |
Total Return B, C, D | 12.29% | 9.85% | 10.78% | 12.42% | 6.66% | (11.98)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.78% | 1.78% | 1.80% | 1.82% | 1.83% |
Expenses net of fee waivers, if any | 1.77% A | 1.78% | 1.78% | 1.80% | 1.82% | 1.83% |
Expenses net of all reductions | 1.76% A | 1.77% | 1.78% | 1.79% | 1.81% | 1.83% |
Net investment income (loss) | .38% A | .44% | .76% | .73% | .94% | 1.46% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 12 | $ 13 | $ 15 | $ 19 | $ 24 | $ 29 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 17.76 | $ 16.24 | $ 14.77 | $ 13.23 | $ 12.55 | $ 14.49 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .04 | .09 | .13 | .12 | .13 | .17 |
Net realized and unrealized gain (loss) | 2.09 | 1.52 | 1.46 | 1.55 | .71 | (1.93) |
Total from investment operations | 2.13 | 1.61 | 1.59 | 1.67 | .84 | (1.76) |
Distributions from net investment income | (.03) | (.09) | (.12) | (.12) | (.15) | (.13) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.80) | (.09) | (.12) | (.13) | (.16) I | (.18) |
Net asset value, end of period | $ 19.09 | $ 17.76 | $ 16.24 | $ 14.77 | $ 13.23 | $ 12.55 |
Total Return B, C, D | 12.33% | 9.93% | 10.81% | 12.59% | 6.69% | (12.02)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.69% A | 1.71% | 1.73% | 1.74% | 1.76% | 1.82% |
Expenses net of fee waivers, if any | 1.69% A | 1.71% | 1.73% | 1.74% | 1.76% | 1.82% |
Expenses net of all reductions | 1.68% A | 1.70% | 1.72% | 1.73% | 1.75% | 1.81% |
Net investment income (loss) | .46% A | .51% | .81% | .79% | 1.00% | 1.48% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 138 | $ 105 | $ 80 | $ 69 | $ 62 | $ 61 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 18.11 | $ 16.55 | $ 15.06 | $ 13.49 | $ 12.79 | $ 14.76 |
Income from InvestmentOperations |
|
|
|
|
| |
Net investment income (loss) D | .14 | .27 | .29 | .28 | .28 | .28 |
Net realized and unrealized gain (loss) | 2.13 | 1.55 | 1.49 | 1.57 | .72 | (1.95) |
Total from investment operations | 2.27 | 1.82 | 1.78 | 1.85 | 1.00 | (1.67) |
Distributions from net investment income | (.12) | (.26) | (.29) | (.27) | (.28) | (.25) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.89) | (.26) | (.29) | (.28) | (.30) H | (.30) |
Net asset value, end of period | $ 19.49 | $ 18.11 | $ 16.55 | $ 15.06 | $ 13.49 | $ 12.79 |
Total Return B, C | 12.91% | 11.08% | 11.96% | 13.69% | 7.81% | (11.07)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .66% A | .68% | .70% | .71% | .73% | .79% |
Expenses net of fee waivers, if any | .66% A | .68% | .70% | .71% | .73% | .79% |
Expenses net of all reductions | .66% A | .67% | .70% | .70% | .72% | .78% |
Net investment income (loss) | 1.49% A | 1.54% | 1.84% | 1.82% | 2.03% | 2.51% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 125 | $ 97 | $ 66 | $ 42 | $ 34 | $ 24 |
Portfolio turnover rate F | 90% A | 124% | 124% | 146% I | 116% | 215%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Total distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share.
I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class Z
| Six months ended | Year ended |
| (Unaudited) | 2013 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 18.11 | $ 18.56 |
Income from Investment Operations |
|
|
Net investment income (loss) D | .15 | .01 |
Net realized and unrealized gain (loss) | 2.14 | (.46) |
Total from investment operations | 2.29 | (.45) |
Distributions from net investment income | (.14) | - |
Distributions from net realized gain | (.77) | - |
Total distributions | (.91) | - |
Net asset value, end of period | $ 19.49 | $ 18.11 |
Total Return B, C | 13.00% | (2.42)% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .52% A | .53% A |
Expenses net of fee waivers, if any | .52% A | .53% A |
Expenses net of all reductions | .52% A | .52% A |
Net investment income (loss) | 1.63% A | .85% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 110 | $ 98 |
Portfolio turnover rate F | 90% A | 124% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2014 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Balanced Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, Institutional Class and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment | Investment | Investment | Expense |
Fidelity High Income Central Fund 2 | FMR Co., Inc. (FMRC) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
| Less than 0.01% |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Swaps | Less than 0.01% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 28, 2014, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 268,218 |
Gross unrealized depreciation | (7,916) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 260,302 |
|
|
Tax cost | $ 1,282,043 |
Semiannual Report
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
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.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
Semiannual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swaps | $ (32) | $ 30 |
Equity Risk |
|
|
Futures Contracts | 1,370 | 714 |
Totals (a) | $ 1,338 | $ 744 |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
Semiannual Report
4. Derivative Instruments - continued
Swaps - continued
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Credit Default Swaps - continued
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $403,169 and $380,257, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .40% of the Fund's average net assets.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 371 | $ 20 |
Class T | .25% | .25% | 2,200 | 33 |
Class B | .75% | .25% | 62 | 47 |
Class C | .75% | .25% | 605 | 123 |
|
|
| $ 3,238 | $ 223 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 69 |
Class T | 21 |
Class B* | 4 |
Class C* | 10 |
| $ 104 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each applicable class were as follows:
| Amount | % of |
Class A | $ 306 | .21 |
Class T | 799 | .18 |
Class B | 19 | .30 |
Class C | 130 | .21 |
Institutional Class | 105 | .19 |
Class Z | -** | .05 |
| $ 1,359 |
|
* Annualized
** Amount represents twenty-six dollars
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
Semiannual Report
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $1. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $7. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
The investment adviser voluntarily agreed to reimburse a portion of the Fund's Class A, Class T, Class C and Institutional Class operating expenses.
During the period, this reimbursement reduced expenses as follows:
| Reimbursement |
Class A | $ 3 |
Class T | 9 |
Class C | 1 |
Institutional Class | 1 |
| $ 14 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
9. Expense Reductions - continued
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $13 for the period.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 1,541 | $ 3,147 |
Class T | 3,617 | 7,824 |
Class B | 12 | 52 |
Class C | 215 | 447 |
Institutional Class | 699 | 1,245 |
Class Z | 1 | - |
Total | $ 6,085 | $ 12,715 |
From net realized gain |
|
|
Class A | $ 11,846 | $ - |
Class T | 35,422 | - |
Class B | 522 | - |
Class C | 4,798 | - |
Institutional Class | 4,283 | - |
Class Z | 4 | - |
Total | $ 56,875 | $ - |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 2,796 | 3,876 | $ 51,933 | $ 66,780 |
Reinvestment of distributions | 705 | 176 | 12,722 | 2,976 |
Shares redeemed | (1,545) | (4,158) | (28,618) | (70,968) |
Net increase (decrease) | 1,956 | (106) | $ 36,037 | $ (1,212) |
Semiannual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class T |
|
|
|
|
Shares sold | 5,744 | 11,028 | $ 107,487 | $ 191,060 |
Reinvestment of distributions | 2,078 | 442 | 37,836 | 7,519 |
Shares redeemed | (5,734) | (10,672) | (107,232) | (185,185) |
Net increase (decrease) | 2,088 | 798 | $ 38,091 | $ 13,394 |
Class B |
|
|
|
|
Shares sold | 29 | 91 | $ 529 | $ 1,597 |
Reinvestment of distributions | 26 | 3 | 475 | 47 |
Shares redeemed | (131) | (330) | (2,422) | (5,668) |
Net increase (decrease) | (76) | (236) | $ (1,418) | $ (4,024) |
Class C |
|
|
|
|
Shares sold | 1,529 | 1,878 | $ 28,249 | $ 32,570 |
Reinvestment of distributions | 257 | 24 | 4,619 | 408 |
Shares redeemed | (444) | (897) | (8,170) | (15,312) |
Net increase (decrease) | 1,342 | 1,005 | $ 24,698 | $ 17,666 |
Institutional Class |
|
|
|
|
Shares sold | 2,087 | 3,287 | $ 39,269 | $ 57,536 |
Reinvestment of distributions | 263 | 70 | 4,817 | 1,210 |
Shares redeemed | (1,295) | (1,941) | (24,459) | (34,432) |
Net increase (decrease) | 1,055 | 1,416 | $ 19,627 | $ 24,314 |
Class Z |
|
|
|
|
Shares sold | - | 5 | $ - | $ 100 |
Reinvestment of distributions | 1 | - | 5 | - |
Net increase (decrease) | 1 | 5 | $ 5 | $ 100 |
A Share transactions for Class Z are for the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Investment Adviser
Fidelity Management &
Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Investments
Money Management, Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(U.K.) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
(Fidelity Investment logo)(registered trademark)
AIGI-USAN-0414 1.786778.111
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Balanced Fund -
Class Z
Semiannual Report
February 28, 2014
(Fidelity Cover Art)
Contents
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. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2014 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2013 to February 28, 2014).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .93% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,127.90 | $ 4.91 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.18 | $ 4.66 |
Class T | 1.15% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,126.60 | $ 6.06 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.09 | $ 5.76 |
Class B | 1.77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,122.90 | $ 9.32 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.02 | $ 8.85 |
Class C | 1.69% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,123.30 | $ 8.90 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.41 | $ 8.45 |
Institutional Class | .66% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,129.10 | $ 3.48 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.52 | $ 3.31 |
Class Z | .52% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,130.00 | $ 2.75 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.22 | $ 2.61 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than 0.01%.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.
Top Five Stocks as of February 28, 2014 | ||
| % of fund's | % of fund's net assets |
Google, Inc. Class A | 2.1 | 1.3 |
Apple, Inc. | 2.0 | 2.5 |
JPMorgan Chase & Co. | 1.6 | 1.4 |
Procter & Gamble Co. | 1.3 | 1.4 |
Bank of America Corp. | 1.2 | 1.2 |
| 8.2 | |
Top Five Bond Issuers as of February 28, 2014 | ||
(with maturities greater than one year) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 7.7 | 6.8 |
Fannie Mae | 2.8 | 5.1 |
Freddie Mac | 1.6 | 1.6 |
Ginnie Mae | 1.0 | 1.6 |
Wachovia Bank Commercial Mortgage Trust | 0.4 | 0.4 |
| 13.5 | |
Top Five Market Sectors as of February 28, 2014 | ||
| % of fund's | % of fund's net assets |
Financials | 15.8 | 15.7 |
Information Technology | 13.1 | 13.3 |
Health Care | 10.5 | 9.3 |
Consumer Discretionary | 9.3 | 9.0 |
Energy | 8.0 | 8.3 |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2014* | As of August 31, 2013** | ||||||
![]() | Stocks and |
| ![]() | Stocks and |
| ||
![]() | Bonds 25.4% |
| ![]() | Bonds 27.7% |
| ||
![]() | Convertible |
| ![]() | Convertible |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 10.6% |
| ** Foreign investments | 10.0% |
|
Percentages are adjusted for the effect of futures contracts and swaps, if applicable. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Semiannual Report
Investments February 28, 2014 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 69.7% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 8.2% | |||
Automobiles - 0.1% | |||
Tesla Motors, Inc. (a) | 5,145 | $ 1,260 | |
Diversified Consumer Services - 0.3% | |||
H&R Block, Inc. | 152,781 | 4,834 | |
Hotels, Restaurants & Leisure - 1.7% | |||
Extended Stay America, Inc. unit | 189,339 | 4,824 | |
McDonald's Corp. | 86,675 | 8,247 | |
Wynn Resorts Ltd. | 21,809 | 5,288 | |
Yum! Brands, Inc. | 111,592 | 8,267 | |
| 26,626 | ||
Internet & Catalog Retail - 0.4% | |||
Liberty Interactive Corp. Series A (a) | 217,597 | 6,354 | |
Media - 3.3% | |||
Comcast Corp. Class A | 39,996 | 2,067 | |
DIRECTV (a) | 98,949 | 7,678 | |
Legend Pictures LLC (a)(l)(m) | 415 | 748 | |
The Madison Square Garden Co. Class A (a) | 62,357 | 3,555 | |
The Walt Disney Co. | 131,689 | 10,642 | |
Time Warner, Inc. | 132,159 | 8,872 | |
Twenty-First Century Fox, Inc. Class A | 310,043 | 10,399 | |
Viacom, Inc. Class B (non-vtg.) | 78,518 | 6,888 | |
| 50,849 | ||
Multiline Retail - 1.1% | |||
Dollar General Corp. (a) | 126,135 | 7,555 | |
Target Corp. | 137,418 | 8,594 | |
| 16,149 | ||
Specialty Retail - 0.6% | |||
TJX Companies, Inc. | 146,480 | 9,003 | |
Textiles, Apparel & Luxury Goods - 0.7% | |||
Fossil Group, Inc. (a) | 29,723 | 3,415 | |
lululemon athletica, Inc. (a)(e) | 52,886 | 2,661 | |
Oxford Industries, Inc. | 16,730 | 1,309 | |
PVH Corp. | 24,019 | 3,037 | |
| 10,422 | ||
TOTAL CONSUMER DISCRETIONARY | 125,497 | ||
CONSUMER STAPLES - 6.6% | |||
Beverages - 1.5% | |||
Anheuser-Busch InBev SA NV | 14,329 | 1,499 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER STAPLES - continued | |||
Beverages - continued | |||
Coca-Cola Icecek A/S | 18,269 | $ 353 | |
Diageo PLC sponsored ADR | 17,969 | 2,259 | |
Embotelladora Andina SA sponsored ADR | 18,311 | 422 | |
Pernod Ricard SA | 19,496 | 2,295 | |
Remy Cointreau SA | 24,604 | 2,089 | |
The Coca-Cola Co. | 373,399 | 14,264 | |
| 23,181 | ||
Food & Staples Retailing - 1.5% | |||
CVS Caremark Corp. | 131,427 | 9,613 | |
Kroger Co. | 168,118 | 7,051 | |
Sysco Corp. | 57,573 | 2,074 | |
Wal-Mart Stores, Inc. | 55,549 | 4,150 | |
| 22,888 | ||
Food Products - 0.6% | |||
Bunge Ltd. | 25,138 | 2,001 | |
ConAgra Foods, Inc. | 54,315 | 1,543 | |
Green Mountain Coffee Roasters, Inc. | 9,740 | 1,069 | |
Mead Johnson Nutrition Co. Class A | 41,589 | 3,392 | |
Nestle SA | 16,652 | 1,258 | |
| 9,263 | ||
Household Products - 1.3% | |||
Procter & Gamble Co. | 253,428 | 19,935 | |
Personal Products - 0.0% | |||
Nu Skin Enterprises, Inc. Class A | 7,139 | 596 | |
Tobacco - 1.7% | |||
Altria Group, Inc. | 233,403 | 8,463 | |
British American Tobacco PLC sponsored ADR | 138,899 | 15,111 | |
Philip Morris International, Inc. | 16,155 | 1,307 | |
Souza Cruz SA | 54,950 | 477 | |
| 25,358 | ||
TOTAL CONSUMER STAPLES | 101,221 | ||
ENERGY - 6.8% | |||
Energy Equipment & Services - 1.2% | |||
C&J Energy Services, Inc. (a) | 67,510 | 1,745 | |
Cameron International Corp. (a) | 58,872 | 3,771 | |
Dril-Quip, Inc. (a) | 13,339 | 1,435 | |
FMC Technologies, Inc. (a) | 52,716 | 2,648 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Halliburton Co. | 88,407 | $ 5,039 | |
Ocean Rig UDW, Inc. (United States) (a) | 42,944 | 748 | |
Oceaneering International, Inc. | 27,829 | 1,992 | |
Pacific Drilling SA (a) | 63,930 | 694 | |
Vantage Drilling Co. (a) | 204,060 | 357 | |
| 18,429 | ||
Oil, Gas & Consumable Fuels - 5.6% | |||
Anadarko Petroleum Corp. | 91,573 | 7,707 | |
BG Group PLC | 74,000 | 1,349 | |
Bill Barrett Corp. (a) | 29,566 | 749 | |
Cabot Oil & Gas Corp. | 122,015 | 4,271 | |
Carrizo Oil & Gas, Inc. (a) | 24,804 | 1,234 | |
Chevron Corp. | 75,576 | 8,716 | |
ConocoPhillips Co. | 150,367 | 9,999 | |
Continental Resources, Inc. (a) | 27,266 | 3,259 | |
EOG Resources, Inc. | 31,055 | 5,882 | |
Exxon Mobil Corp. | 142,891 | 13,756 | |
Kinder Morgan Holding Co. LLC | 67,000 | 2,134 | |
Laredo Petroleum Holdings, Inc. (a) | 33,624 | 877 | |
Marathon Oil Corp. | 116,536 | 3,904 | |
Noble Energy, Inc. | 45,045 | 3,097 | |
ONEOK, Inc. | 37,252 | 2,203 | |
Peabody Energy Corp. | 92,312 | 1,621 | |
Phillips 66 Co. | 94,144 | 7,048 | |
Phillips 66 Partners LP | 11,619 | 532 | |
Spectra Energy Corp. | 80,500 | 3,001 | |
Suncor Energy, Inc. (e) | 40,155 | 1,325 | |
Valero Energy Partners LP | 41,469 | 1,534 | |
Whiting Petroleum Corp. (a) | 25,323 | 1,740 | |
| 85,938 | ||
TOTAL ENERGY | 104,367 | ||
FINANCIALS - 11.8% | |||
Capital Markets - 1.4% | |||
Ameriprise Financial, Inc. | 37,189 | 4,053 | |
BlackRock, Inc. Class A | 11,790 | 3,594 | |
Credit Suisse Group AG | 9,691 | 304 | |
E*TRADE Financial Corp. (a) | 99,621 | 2,238 | |
Evercore Partners, Inc. Class A | 12,200 | 679 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Capital Markets - continued | |||
Invesco Ltd. | 86,009 | $ 2,950 | |
Morgan Stanley | 29,760 | 917 | |
Northern Trust Corp. | 31,405 | 1,942 | |
Oaktree Capital Group LLC Class A | 40,786 | 2,516 | |
The Blackstone Group LP | 66,455 | 2,216 | |
| 21,409 | ||
Commercial Banks - 1.9% | |||
Barclays PLC | 433,841 | 1,828 | |
Erste Group Bank AG | 22,154 | 786 | |
Huntington Bancshares, Inc. | 498,093 | 4,747 | |
Mitsubishi UFJ Financial Group, Inc. | 232,500 | 1,347 | |
Societe Generale Series A | 30,100 | 2,010 | |
SunTrust Banks, Inc. | 73,754 | 2,779 | |
Synovus Financial Corp. | 299,205 | 1,041 | |
U.S. Bancorp | 329,133 | 13,541 | |
| 28,079 | ||
Consumer Finance - 1.6% | |||
Capital One Financial Corp. | 234,434 | 17,214 | |
Discover Financial Services | 48,632 | 2,791 | |
Santander Consumer U.S.A. Holdings, Inc. | 23,700 | 600 | |
SLM Corp. | 169,107 | 4,048 | |
| 24,653 | ||
Diversified Financial Services - 4.0% | |||
Bank of America Corp. | 1,152,391 | 19,049 | |
Berkshire Hathaway, Inc. Class A (a) | 7 | 1,216 | |
Citigroup, Inc. | 242,530 | 11,794 | |
IntercontinentalExchange Group, Inc. | 16,676 | 3,483 | |
JPMorgan Chase & Co. | 436,432 | 24,798 | |
KBC Ancora (a) | 20,348 | 804 | |
McGraw Hill Financial, Inc. | 4,000 | 319 | |
| 61,463 | ||
Insurance - 1.6% | |||
ACE Ltd. | 7,836 | 767 | |
Direct Line Insurance Group PLC | 557,712 | 2,470 | |
esure Group PLC | 159,774 | 721 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 4,100 | 1,703 | |
Marsh & McLennan Companies, Inc. | 95,553 | 4,602 | |
MetLife, Inc. | 207,867 | 10,533 | |
The Travelers Companies, Inc. | 31,346 | 2,628 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
Validus Holdings Ltd. | 7,953 | $ 293 | |
WMI Holdings Corp. (a) | 4,454 | 12 | |
| 23,729 | ||
Real Estate Investment Trusts - 1.1% | |||
Altisource Residential Corp. Class B (e) | 263,010 | 7,517 | |
American Tower Corp. | 64,110 | 5,223 | |
Equity Lifestyle Properties, Inc. | 38,405 | 1,546 | |
Piedmont Office Realty Trust, Inc. Class A | 47,790 | 826 | |
Senior Housing Properties Trust (SBI) | 10,983 | 245 | |
Sun Communities, Inc. | 31,742 | 1,462 | |
| 16,819 | ||
Real Estate Management & Development - 0.2% | |||
CBRE Group, Inc. (a) | 120,948 | 3,380 | |
Thrifts & Mortgage Finance - 0.0% | |||
Ocwen Financial Corp. (a) | 10,097 | 378 | |
Washington Mutual, Inc. (a) | 130,000 | 0 | |
| 378 | ||
TOTAL FINANCIALS | 179,910 | ||
HEALTH CARE - 10.0% | |||
Biotechnology - 2.7% | |||
Actelion Ltd. | 17,769 | 1,884 | |
Alexion Pharmaceuticals, Inc. (a) | 38,064 | 6,730 | |
Amgen, Inc. | 77,105 | 9,563 | |
Biogen Idec, Inc. (a) | 27,375 | 9,326 | |
CSL Ltd. ADR | 1,000 | 32 | |
Gilead Sciences, Inc. (a) | 153,185 | 12,682 | |
Intercept Pharmaceuticals, Inc. (a) | 1,700 | 698 | |
| 40,915 | ||
Health Care Equipment & Supplies - 1.3% | |||
Boston Scientific Corp. (a) | 488,349 | 6,397 | |
Covidien PLC | 81,058 | 5,832 | |
Edwards Lifesciences Corp. (a) | 17,114 | 1,194 | |
Quidel Corp. (a) | 39,220 | 1,099 | |
Stryker Corp. | 25,829 | 2,073 | |
The Cooper Companies, Inc. | 23,028 | 2,952 | |
| 19,547 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - 1.1% | |||
Brookdale Senior Living, Inc. (a) | 41,664 | $ 1,397 | |
Cigna Corp. | 73,682 | 5,864 | |
HCA Holdings, Inc. (a) | 8,307 | 425 | |
Henry Schein, Inc. (a) | 28,344 | 3,374 | |
McKesson Corp. | 36,982 | 6,548 | |
| 17,608 | ||
Life Sciences Tools & Services - 0.8% | |||
Illumina, Inc. (a) | 25,207 | 4,323 | |
Thermo Fisher Scientific, Inc. | 60,190 | 7,496 | |
| 11,819 | ||
Pharmaceuticals - 4.1% | |||
AbbVie, Inc. | 152,711 | 7,775 | |
Actavis PLC (a) | 36,690 | 8,102 | |
Bristol-Myers Squibb Co. | 179,294 | 9,641 | |
Merck & Co., Inc. | 48,244 | 2,749 | |
Mylan, Inc. (a) | 21,900 | 1,217 | |
Perrigo Co. PLC | 29,320 | 4,821 | |
Pfizer, Inc. | 379,067 | 12,172 | |
Roche Holding AG (participation certificate) | 9,867 | 3,038 | |
Salix Pharmaceuticals Ltd. (a) | 27,785 | 2,999 | |
Shire PLC | 69,638 | 3,852 | |
Valeant Pharmaceuticals International (Canada) (a) | 25,727 | 3,672 | |
Zoetis, Inc. Class A | 65,546 | 2,033 | |
| 62,071 | ||
TOTAL HEALTH CARE | 151,960 | ||
INDUSTRIALS - 6.9% | |||
Aerospace & Defense - 1.5% | |||
Honeywell International, Inc. | 85,714 | 8,095 | |
TransDigm Group, Inc. | 30,268 | 5,392 | |
United Technologies Corp. | 80,341 | 9,402 | |
| 22,889 | ||
Air Freight & Logistics - 0.4% | |||
FedEx Corp. | 41,181 | 5,491 | |
Commercial Services & Supplies - 0.2% | |||
KAR Auction Services, Inc. | 84,397 | 2,630 | |
Electrical Equipment - 2.0% | |||
AMETEK, Inc. | 144,286 | 7,682 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Electrical Equipment - continued | |||
Eaton Corp. PLC | 97,013 | $ 7,248 | |
Hubbell, Inc. Class B | 54,450 | 6,509 | |
Roper Industries, Inc. | 65,213 | 8,844 | |
| 30,283 | ||
Industrial Conglomerates - 0.8% | |||
Danaher Corp. | 166,392 | 12,727 | |
Machinery - 0.7% | |||
Cummins, Inc. | 45,190 | 6,594 | |
Ingersoll-Rand PLC | 70,700 | 4,323 | |
| 10,917 | ||
Professional Services - 0.4% | |||
Verisk Analytics, Inc. (a) | 107,528 | 6,851 | |
Road & Rail - 0.5% | |||
J.B. Hunt Transport Services, Inc. | 98,103 | 7,051 | |
Trading Companies & Distributors - 0.4% | |||
W.W. Grainger, Inc. | 25,491 | 6,501 | |
TOTAL INDUSTRIALS | 105,340 | ||
INFORMATION TECHNOLOGY - 12.9% | |||
Communications Equipment - 1.0% | |||
Cisco Systems, Inc. | 209,809 | 4,574 | |
Juniper Networks, Inc. (a) | 126,499 | 3,383 | |
Polycom, Inc. (a) | 49,261 | 658 | |
QUALCOMM, Inc. | 86,579 | 6,519 | |
| 15,134 | ||
Computers & Peripherals - 2.3% | |||
Apple, Inc. | 56,736 | 29,857 | |
Electronics for Imaging, Inc. (a) | 24,295 | 1,084 | |
NCR Corp. (a) | 105,683 | 3,599 | |
| 34,540 | ||
Electronic Equipment & Components - 0.4% | |||
TE Connectivity Ltd. | 98,630 | 5,778 | |
Internet Software & Services - 4.5% | |||
ChannelAdvisor Corp. (a) | 23,555 | 1,069 | |
Cvent, Inc. | 64,575 | 2,537 | |
Demand Media, Inc. (a) | 6,371 | 31 | |
Demandware, Inc. (a) | 7,450 | 560 | |
eBay, Inc. (a) | 129,961 | 7,638 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Internet Software & Services - continued | |||
Endurance International Group Holdings, Inc. (e) | 79,746 | $ 1,203 | |
Facebook, Inc. Class A (a) | 146,413 | 10,023 | |
Google, Inc. Class A (a) | 26,477 | 32,185 | |
Halogen Software, Inc. | 31,000 | 330 | |
Millennial Media, Inc. (a) | 29,829 | 180 | |
Millennial Media, Inc. (a) | 49,965 | 272 | |
Millennial Media, Inc. (a) | 9,695 | 0 | |
Naver Corp. | 3,152 | 2,415 | |
SPS Commerce, Inc. (a) | 1,220 | 83 | |
Tencent Holdings Ltd. | 46,000 | 3,690 | |
Trulia, Inc. (a)(e) | 45,119 | 1,352 | |
Wix.com Ltd. (a)(e) | 23,233 | 718 | |
Yahoo!, Inc. (a) | 121,102 | 4,683 | |
| 68,969 | ||
IT Services - 0.8% | |||
Cognizant Technology Solutions Corp. Class A (a) | 31,335 | 3,261 | |
Fidelity National Information Services, Inc. | 87,364 | 4,858 | |
FleetCor Technologies, Inc. (a) | 2,442 | 317 | |
Heartland Payment Systems, Inc. | 8,867 | 359 | |
Lionbridge Technologies, Inc. (a) | 44,139 | 316 | |
Quindell PLC (a) | 2,026,900 | 1,146 | |
Visa, Inc. Class A | 11,244 | 2,540 | |
| 12,797 | ||
Semiconductors & Semiconductor Equipment - 0.7% | |||
NXP Semiconductors NV (a) | 189,571 | 10,660 | |
Software - 3.2% | |||
Adobe Systems, Inc. (a) | 61,054 | 4,189 | |
Aspen Technology, Inc. (a) | 16,998 | 798 | |
Autodesk, Inc. (a) | 29,200 | 1,532 | |
CommVault Systems, Inc. (a) | 17,376 | 1,197 | |
Concur Technologies, Inc. (a) | 3,367 | 416 | |
Covisint Corp. | 22,100 | 238 | |
Electronic Arts, Inc. (a) | 223,539 | 6,391 | |
FleetMatics Group PLC (a) | 10,000 | 370 | |
Guidewire Software, Inc. (a) | 38,600 | 2,069 | |
Microsoft Corp. | 491,736 | 18,838 | |
Oracle Corp. | 177,196 | 6,930 | |
Qlik Technologies, Inc. (a) | 17,500 | 534 | |
RealPage, Inc. (a) | 27,900 | 494 | |
salesforce.com, Inc. (a) | 60,799 | 3,792 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | |||
Software - continued | |||
Ubisoft Entertainment SA (a) | 68,445 | $ 1,121 | |
Xero Ltd. (m) | 27,035 | 819 | |
| 49,728 | ||
TOTAL INFORMATION TECHNOLOGY | 197,606 | ||
MATERIALS - 2.6% | |||
Chemicals - 2.1% | |||
Airgas, Inc. | 72,017 | 7,763 | |
Cabot Corp. | 23,428 | 1,268 | |
Eastman Chemical Co. | 40,274 | 3,521 | |
FMC Corp. | 43,395 | 3,349 | |
LyondellBasell Industries NV Class A | 49,543 | 4,364 | |
Monsanto Co. | 48,378 | 5,323 | |
Potash Corp. of Saskatchewan, Inc. | 60,589 | 2,003 | |
Sigma Aldrich Corp. | 27,552 | 2,601 | |
W.R. Grace & Co. (a) | 15,281 | 1,549 | |
| 31,741 | ||
Construction Materials - 0.2% | |||
Vulcan Materials Co. | 44,825 | 3,045 | |
Containers & Packaging - 0.2% | |||
Graphic Packaging Holding Co. (a) | 138,790 | 1,421 | |
Rock-Tenn Co. Class A | 20,524 | 2,291 | |
| 3,712 | ||
Metals & Mining - 0.1% | |||
Carpenter Technology Corp. | 17,565 | 1,039 | |
TOTAL MATERIALS | 39,537 | ||
TELECOMMUNICATION SERVICES - 1.7% | |||
Diversified Telecommunication Services - 1.1% | |||
inContact, Inc. (a) | 76,417 | 689 | |
Verizon Communications, Inc. | 331,798 | 15,787 | |
| 16,476 | ||
Wireless Telecommunication Services - 0.6% | |||
SBA Communications Corp. Class A (a) | 29,927 | 2,848 | |
SoftBank Corp. | 49,200 | 3,729 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - continued | |||
T-Mobile U.S., Inc. (a) | 71,850 | $ 2,191 | |
Vodafone Group PLC sponsored ADR | 24,618 | 1,023 | |
| 9,791 | ||
TOTAL TELECOMMUNICATION SERVICES | 26,267 | ||
UTILITIES - 2.2% | |||
Electric Utilities - 0.8% | |||
American Electric Power Co., Inc. | 56,500 | 2,836 | |
Duke Energy Corp. | 44,489 | 3,153 | |
Edison International | 32,867 | 1,721 | |
Exelon Corp. | 5,600 | 170 | |
NextEra Energy, Inc. | 54,200 | 4,953 | |
| 12,833 | ||
Gas Utilities - 0.2% | |||
National Fuel Gas Co. | 31,336 | 2,354 | |
Independent Power Producers & Energy Traders - 0.3% | |||
NRG Energy, Inc. | 95,130 | 2,765 | |
The AES Corp. | 78,012 | 1,065 | |
| 3,830 | ||
Multi-Utilities - 0.9% | |||
CenterPoint Energy, Inc. | 106,347 | 2,515 | |
Dominion Resources, Inc. | 58,349 | 4,049 | |
NiSource, Inc. | 39,497 | 1,375 | |
PG&E Corp. | 41,575 | 1,832 | |
Sempra Energy | 41,309 | 3,902 | |
| 13,673 | ||
TOTAL UTILITIES | 32,690 | ||
TOTAL COMMON STOCKS (Cost $818,551) |
| ||
Preferred Stocks - 0.0% | |||
|
|
|
|
Convertible Preferred Stocks - 0.0% | |||
INFORMATION TECHNOLOGY - 0.0% | |||
Software - 0.0% | |||
MongoDB, Inc. Series F, 8.00% (m) | 16,802 | 253 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Nonconvertible Preferred Stocks - 0.0% | |||
CONSUMER STAPLES - 0.0% | |||
Beverages - 0.0% | |||
Ambev SA sponsored ADR | 72,650 | $ 523 | |
TOTAL PREFERRED STOCKS (Cost $654) |
|
Corporate Bonds - 7.3% | ||||
| Principal Amount (000s) |
| ||
Convertible Bonds - 0.0% | ||||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Cobalt International Energy, Inc. 2.625% 12/1/19 | $ 100 | 96 | ||
Nonconvertible Bonds - 7.3% | ||||
CONSUMER DISCRETIONARY - 0.6% | ||||
Automobiles - 0.0% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (f) | 231 | 233 | ||
Diversified Consumer Services - 0.0% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 (f) | 35 | 35 | ||
4.25% 6/15/23 (f) | 249 | 256 | ||
5.75% 6/15/43 (f) | 179 | 197 | ||
| 488 | |||
Media - 0.6% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500 | 659 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 15 | 16 | ||
6.45% 3/15/37 | 238 | 293 | ||
COX Communications, Inc. 3.25% 12/15/22 (f) | 136 | 128 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 440 | 505 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 51 | 49 | ||
4.875% 4/1/43 | 120 | 116 | ||
6.35% 6/1/40 | 236 | 274 | ||
NBCUniversal, Inc.: | ||||
5.15% 4/30/20 | 431 | 493 | ||
6.4% 4/30/40 | 309 | 378 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
News America Holdings, Inc. 7.75% 12/1/45 | $ 621 | $ 854 | ||
News America, Inc.: | ||||
6.15% 3/1/37 | 235 | 271 | ||
6.15% 2/15/41 | 186 | 216 | ||
Thomson Reuters Corp. 1.3% 2/23/17 | 122 | 122 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 630 | 655 | ||
4.5% 9/15/42 | 739 | 673 | ||
5.5% 9/1/41 | 165 | 171 | ||
5.85% 5/1/17 | 104 | 118 | ||
5.875% 11/15/40 | 153 | 165 | ||
6.75% 7/1/18 | 439 | 518 | ||
8.25% 4/1/19 | 528 | 665 | ||
Time Warner, Inc.: | ||||
5.875% 11/15/16 | 12 | 14 | ||
6.5% 11/15/36 | 232 | 272 | ||
Viacom, Inc.: | ||||
2.5% 9/1/18 | 46 | 47 | ||
3.5% 4/1/17 | 583 | 621 | ||
4.375% 3/15/43 | 148 | 131 | ||
| 8,424 | |||
TOTAL CONSUMER DISCRETIONARY | 9,145 | |||
CONSUMER STAPLES - 0.3% | ||||
Beverages - 0.1% | ||||
Heineken NV: | ||||
1.4% 10/1/17 (f) | 182 | 182 | ||
2.75% 4/1/23 (f) | 191 | 178 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (f) | 285 | 292 | ||
| 652 | |||
Food & Staples Retailing - 0.0% | ||||
CVS Caremark Corp.: | ||||
2.25% 12/5/18 | 282 | 284 | ||
4% 12/5/23 | 282 | 289 | ||
| 573 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - 0.0% | ||||
ConAgra Foods, Inc.: | ||||
1.9% 1/25/18 | $ 131 | $ 131 | ||
3.2% 1/25/23 | 152 | 145 | ||
| 276 | |||
Tobacco - 0.2% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 262 | 246 | ||
4% 1/31/24 | 212 | 212 | ||
4.25% 8/9/42 | 262 | 231 | ||
4.75% 5/5/21 | 300 | 328 | ||
5.375% 1/31/44 | 364 | 380 | ||
9.7% 11/10/18 | 325 | 432 | ||
Reynolds American, Inc.: | ||||
3.25% 11/1/22 | 187 | 178 | ||
4.75% 11/1/42 | 289 | 272 | ||
6.15% 9/15/43 | 143 | 161 | ||
6.75% 6/15/17 | 23 | 27 | ||
7.25% 6/15/37 | 409 | 503 | ||
| 2,970 | |||
TOTAL CONSUMER STAPLES | 4,471 | |||
ENERGY - 1.0% | ||||
Energy Equipment & Services - 0.1% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (f) | 364 | 374 | ||
5.35% 3/15/20 (f) | 327 | 354 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 371 | 389 | ||
5% 10/1/21 | 146 | 155 | ||
6.5% 4/1/20 | 24 | 28 | ||
Transocean, Inc. 5.05% 12/15/16 | 238 | 261 | ||
| 1,561 | |||
Oil, Gas & Consumable Fuels - 0.9% | ||||
Anadarko Petroleum Corp.: | ||||
5.95% 9/15/16 | 16 | 18 | ||
6.375% 9/15/17 | 673 | 779 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | $ 168 | $ 172 | ||
3.875% 3/15/23 | 104 | 101 | ||
Devon Energy Corp. 1.2% 12/15/16 | 409 | 410 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (f) | 10 | 11 | ||
6.45% 11/3/36 (f) | 375 | 406 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 7 | 8 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 438 | 454 | ||
Encana Holdings Finance Corp. 5.8% 5/1/14 | 23 | 23 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (f) | 7 | 8 | ||
Marathon Petroleum Corp. 5.125% 3/1/21 | 215 | 241 | ||
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (f) | 357 | 363 | ||
Motiva Enterprises LLC: | ||||
5.75% 1/15/20 (f) | 156 | 179 | ||
6.85% 1/15/40 (f) | 223 | 285 | ||
Nakilat, Inc. 6.067% 12/31/33 (f) | 279 | 300 | ||
Nexen, Inc. 5.2% 3/10/15 | 7 | 7 | ||
Petro-Canada 6.05% 5/15/18 | 150 | 174 | ||
Petrobras Global Finance BV: | ||||
3% 1/15/19 | 64 | 61 | ||
4.375% 5/20/23 | 596 | 540 | ||
5.625% 5/20/43 | 569 | 480 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 354 | 364 | ||
5.375% 1/27/21 | 815 | 817 | ||
5.75% 1/20/20 | 611 | 636 | ||
7.875% 3/15/19 | 399 | 456 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 (f) | 58 | 59 | ||
3.5% 7/18/18 | 463 | 480 | ||
3.5% 1/30/23 | 285 | 266 | ||
4.875% 1/24/22 | 237 | 248 | ||
4.875% 1/18/24 | 131 | 135 | ||
4.875% 1/18/24 (f) | 279 | 286 | ||
5.5% 1/21/21 | 369 | 402 | ||
5.5% 6/27/44 | 648 | 613 | ||
6% 3/5/20 | 21 | 24 | ||
6.375% 1/23/45 (f) | 366 | 385 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos Mexicanos: - continued | ||||
6.5% 6/2/41 | $ 661 | $ 713 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 338 | 357 | ||
5.875% 5/1/42 | 117 | 134 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 173 | 175 | ||
6.125% 1/15/17 | 205 | 233 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 10 | 11 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 69 | 72 | ||
2.95% 9/25/18 | 63 | 65 | ||
4.6% 6/15/21 | 90 | 97 | ||
Suncor Energy, Inc. 6.1% 6/1/18 | 395 | 462 | ||
Texas Eastern Transmission LP 6% 9/15/17 (f) | 326 | 368 | ||
Western Gas Partners LP 5.375% 6/1/21 | 393 | 424 | ||
Williams Partners LP 4.3% 3/4/24 | 278 | 279 | ||
| 13,581 | |||
TOTAL ENERGY | 15,142 | |||
FINANCIALS - 3.7% | ||||
Capital Markets - 0.5% | ||||
Affiliated Managers Group, Inc. 4.25% 2/15/24 | 145 | 146 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 1,225 | 1,225 | ||
2.625% 1/31/19 | 885 | 890 | ||
2.9% 7/19/18 | 526 | 541 | ||
5.25% 7/27/21 | 96 | 107 | ||
5.625% 1/15/17 | 500 | 554 | ||
5.95% 1/18/18 | 32 | 37 | ||
6% 6/15/20 | 600 | 697 | ||
6.15% 4/1/18 | 36 | 41 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 185 | 195 | ||
6.85% 6/15/17 | 31 | 35 | ||
Morgan Stanley: | ||||
2.125% 4/25/18 | 863 | 868 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Morgan Stanley: - continued | ||||
3.75% 2/25/23 | $ 438 | $ 438 | ||
4.875% 11/1/22 | 365 | 385 | ||
5% 11/24/25 | 93 | 97 | ||
5.45% 1/9/17 | 480 | 534 | ||
5.75% 1/25/21 | 100 | 115 | ||
6.625% 4/1/18 | 600 | 706 | ||
| 7,611 | |||
Commercial Banks - 0.5% | ||||
Bank of America NA 5.3% 3/15/17 | 420 | 465 | ||
Credit Suisse AG 6% 2/15/18 | 664 | 769 | ||
Discover Bank 4.2% 8/8/23 | 259 | 266 | ||
Fifth Third Bancorp 8.25% 3/1/38 | 94 | 132 | ||
HBOS PLC 6.75% 5/21/18 (f) | 180 | 205 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 97 | 117 | ||
KeyBank NA: | ||||
5.45% 3/3/16 | 294 | 321 | ||
5.8% 7/1/14 | 322 | 328 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 259 | 281 | ||
Regions Bank: | ||||
6.45% 6/26/37 | 652 | 722 | ||
7.5% 5/15/18 | 282 | 336 | ||
Regions Financial Corp.: | ||||
2% 5/15/18 | 382 | 376 | ||
5.75% 6/15/15 | 73 | 77 | ||
7.75% 11/10/14 | 229 | 240 | ||
Royal Bank of Scotland Group PLC: | ||||
6% 12/19/23 | 490 | 505 | ||
6.1% 6/10/23 | 470 | 488 | ||
6.125% 12/15/22 | 694 | 729 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 1,200 | 1,214 | ||
3.676% 6/15/16 | 160 | 171 | ||
4.48% 1/16/24 | 30 | 31 | ||
| 7,773 | |||
Consumer Finance - 0.4% | ||||
American Express Credit Corp. 1.3% 7/29/16 | 357 | 361 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: | ||||
3.85% 11/21/22 | $ 462 | $ 456 | ||
5.2% 4/27/22 | 42 | 45 | ||
6.45% 6/12/17 | 1,019 | 1,155 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 239 | 239 | ||
1.7% 5/9/16 | 561 | 569 | ||
2.875% 10/1/18 | 400 | 411 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 289 | 292 | ||
2.95% 5/9/16 | 185 | 194 | ||
3.5% 6/29/15 | 192 | 200 | ||
6% 8/7/19 | 1,000 | 1,185 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 314 | 313 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (f) | 476 | 476 | ||
1.625% 10/2/15 (f) | 122 | 123 | ||
1.875% 8/9/16 (f) | 92 | 93 | ||
2.125% 10/2/17 (f) | 134 | 135 | ||
2.875% 8/9/18 (f) | 163 | 167 | ||
| 6,414 | |||
Diversified Financial Services - 0.8% | ||||
Bank of America Corp.: | ||||
2.6% 1/15/19 | 448 | 454 | ||
3.3% 1/11/23 | 947 | 922 | ||
3.875% 3/22/17 | 1,060 | 1,137 | ||
4.1% 7/24/23 | 352 | 362 | ||
5.65% 5/1/18 | 205 | 234 | ||
5.75% 12/1/17 | 615 | 701 | ||
6.5% 8/1/16 | 300 | 338 | ||
Barclays Bank PLC 2.5% 2/20/19 | 200 | 202 | ||
BP Capital Markets PLC: | ||||
3.814% 2/10/24 | 359 | 363 | ||
4.742% 3/11/21 | 300 | 335 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 568 | 569 | ||
3.953% 6/15/16 | 397 | 422 | ||
4.05% 7/30/22 | 151 | 153 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Citigroup, Inc.: - continued | ||||
4.75% 5/19/15 | $ 544 | $ 570 | ||
5.5% 9/13/25 | 142 | 153 | ||
6.125% 5/15/18 | 212 | 246 | ||
Five Corners Funding Trust 4.419% 11/15/23 (f) | 360 | 368 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 720 | 712 | ||
2% 8/15/17 | 300 | 305 | ||
3.15% 7/5/16 | 430 | 452 | ||
3.25% 9/23/22 | 503 | 495 | ||
4.35% 8/15/21 | 420 | 453 | ||
4.5% 1/24/22 | 134 | 145 | ||
4.95% 3/25/20 | 661 | 740 | ||
JPMorgan Chase Bank 6% 10/1/17 | 250 | 288 | ||
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (f) | 216 | 215 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 96 | 102 | ||
5.15% 3/15/20 | 141 | 158 | ||
| 11,594 | |||
Insurance - 0.5% | ||||
Allstate Corp. 6.2% 5/16/14 | 264 | 267 | ||
American International Group, Inc.: | ||||
4.875% 9/15/16 | 257 | 281 | ||
4.875% 6/1/22 | 107 | 118 | ||
5.6% 10/18/16 | 318 | 354 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 376 | 393 | ||
3.5% 9/30/15 | 151 | 157 | ||
5% 9/30/20 | 133 | 150 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (f)(i) | 12 | 12 | ||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | 408 | 456 | ||
5.375% 3/15/17 | 6 | 7 | ||
Liberty Mutual Group, Inc.: | ||||
5% 6/1/21 (f) | 421 | 450 | ||
6.5% 3/15/35 (f) | 327 | 375 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 233 | 254 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (f) | $ 199 | $ 217 | ||
MetLife, Inc.: | ||||
3.048% 12/15/22 | 313 | 304 | ||
4.368% 9/15/23 | 305 | 324 | ||
4.75% 2/8/21 | 137 | 152 | ||
6.75% 6/1/16 | 290 | 328 | ||
Metropolitan Life Global Funding I: | ||||
3% 1/10/23 (f) | 223 | 214 | ||
5.125% 6/10/14 (f) | 255 | 258 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (f) | 203 | 296 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (f) | 441 | 431 | ||
6% 2/10/20 (f) | 409 | 466 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 51 | 52 | ||
4.5% 11/16/21 | 200 | 219 | ||
4.75% 9/17/15 | 500 | 531 | ||
5.8% 11/16/41 | 262 | 302 | ||
6.2% 11/15/40 | 134 | 161 | ||
7.375% 6/15/19 | 120 | 149 | ||
Symetra Financial Corp. 6.125% 4/1/16 (f) | 38 | 41 | ||
Unum Group: | ||||
5.625% 9/15/20 | 270 | 301 | ||
5.75% 8/15/42 | 458 | 493 | ||
7.125% 9/30/16 | 19 | 22 | ||
| 8,535 | |||
Real Estate Investment Trusts - 0.4% | ||||
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22 | 108 | 112 | ||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 101 | 97 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 160 | 166 | ||
4.2% 12/15/23 | 360 | 372 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 432 | 434 | ||
BRE Properties, Inc. 5.5% 3/15/17 | 113 | 125 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 135 | 127 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Camden Property Trust: - continued | ||||
4.25% 1/15/24 | $ 304 | $ 311 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 7/15/22 | 247 | 259 | ||
4.75% 4/15/18 | 313 | 341 | ||
7.5% 4/1/17 | 203 | 236 | ||
9.625% 3/15/16 | 106 | 123 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 180 | 172 | ||
3.875% 10/15/22 | 310 | 304 | ||
4.375% 6/15/22 | 207 | 212 | ||
5.95% 2/15/17 | 57 | 64 | ||
6.5% 1/15/18 | 285 | 328 | ||
6.75% 3/15/20 | 12 | 14 | ||
8.25% 8/15/19 | 127 | 159 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 400 | 384 | ||
5.375% 10/15/15 | 47 | 50 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 95 | 111 | ||
HCP, Inc. 3.75% 2/1/16 | 201 | 212 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 147 | 148 | ||
4.7% 9/15/17 | 48 | 53 | ||
HRPT Properties Trust 5.75% 11/1/15 | 50 | 52 | ||
Retail Opportunity Investments Partnership LP 5% 12/15/23 | 67 | 69 | ||
Simon Property Group LP: | ||||
2.75% 2/1/23 | 232 | 220 | ||
2.8% 1/30/17 | 82 | 86 | ||
4.125% 12/1/21 | 229 | 244 | ||
UDR, Inc. 5.5% 4/1/14 | 498 | 500 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 68 | 65 | ||
| 6,150 | |||
Real Estate Management & Development - 0.6% | ||||
BioMed Realty LP: | ||||
3.85% 4/15/16 | 390 | 411 | ||
4.25% 7/15/22 | 163 | 162 | ||
6.125% 4/15/20 | 126 | 144 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | $ 359 | $ 351 | ||
4.95% 4/15/18 | 197 | 213 | ||
5.7% 5/1/17 | 1,000 | 1,102 | ||
6% 4/1/16 | 86 | 94 | ||
7.5% 5/15/15 | 44 | 47 | ||
Digital Realty Trust LP: | ||||
4.5% 7/15/15 | 172 | 179 | ||
5.25% 3/15/21 | 201 | 212 | ||
ERP Operating LP: | ||||
4.625% 12/15/21 | 540 | 585 | ||
4.75% 7/15/20 | 265 | 293 | ||
5.375% 8/1/16 | 117 | 129 | ||
5.75% 6/15/17 | 567 | 644 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 185 | 174 | ||
4.125% 6/15/22 | 177 | 179 | ||
4.4% 2/15/24 | 418 | 425 | ||
4.75% 10/1/20 | 394 | 422 | ||
5.125% 3/2/15 | 7 | 7 | ||
5.5% 12/15/16 | 12 | 13 | ||
6.625% 10/1/17 | 281 | 325 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 252 | 255 | ||
3.15% 5/15/23 | 426 | 383 | ||
4.5% 4/18/22 | 108 | 109 | ||
7.75% 8/15/19 | 23 | 28 | ||
Mid-America Apartments LP 4.3% 10/15/23 | 73 | 74 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 70 | 66 | ||
Prime Property Funding, Inc.: | ||||
5.125% 6/1/15 (f) | 57 | 59 | ||
5.7% 4/15/17 (f) | 94 | 102 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 114 | 124 | ||
Regency Centers LP 5.25% 8/1/15 | 124 | 131 | ||
Tanger Properties LP: | ||||
3.875% 12/1/23 | 160 | 160 | ||
6.125% 6/1/20 | 478 | 560 | ||
Ventas Realty LP 1.55% 9/26/16 | 250 | 253 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | $ 227 | $ 228 | ||
4% 4/30/19 | 114 | 122 | ||
| 8,765 | |||
TOTAL FINANCIALS | 56,842 | |||
HEALTH CARE - 0.3% | ||||
Biotechnology - 0.0% | ||||
Amgen, Inc. 5.15% 11/15/41 | 350 | 367 | ||
Health Care Providers & Services - 0.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 178 | 168 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 378 | 411 | ||
Express Scripts, Inc. 3.125% 5/15/16 | 357 | 373 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 38 | 39 | ||
4.125% 9/15/20 | 259 | 276 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 59 | 56 | ||
2.875% 3/15/23 | 463 | 441 | ||
WellPoint, Inc. 3.3% 1/15/23 | 172 | 166 | ||
| 1,930 | |||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 102 | 102 | ||
2.4% 2/1/19 | 65 | 65 | ||
4.15% 2/1/24 | 99 | 102 | ||
| 269 | |||
Pharmaceuticals - 0.1% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 358 | 361 | ||
2.9% 11/6/22 | 368 | 355 | ||
Mylan, Inc. 1.35% 11/29/16 | 120 | 121 | ||
Perrigo Co. PLC 2.3% 11/8/18 (f) | 200 | 200 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 120 | 120 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 57 | $ 57 | ||
3.25% 2/1/23 | 138 | 133 | ||
| 1,347 | |||
TOTAL HEALTH CARE | 3,913 | |||
INDUSTRIALS - 0.0% | ||||
Aerospace & Defense - 0.0% | ||||
BAE Systems Holdings, Inc.: | ||||
4.95% 6/1/14 (f) | 18 | 18 | ||
6.375% 6/1/19 (f) | 309 | 362 | ||
| 380 | |||
Airlines - 0.0% | ||||
Continental Airlines, Inc.: | ||||
6.648% 3/15/19 | 13 | 14 | ||
6.9% 7/2/19 | 4 | 4 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 9 | 10 | ||
8.36% 1/20/19 | 7 | 8 | ||
| 36 | |||
TOTAL INDUSTRIALS | 416 | |||
INFORMATION TECHNOLOGY - 0.0% | ||||
Electronic Equipment & Components - 0.0% | ||||
Tyco Electronics Group SA 2.375% 12/17/18 | 74 | 74 | ||
IT Services - 0.0% | ||||
Xerox Corp. 4.25% 2/15/15 | 12 | 12 | ||
TOTAL INFORMATION TECHNOLOGY | 86 | |||
MATERIALS - 0.2% | ||||
Chemicals - 0.0% | ||||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 343 | 361 | ||
4.25% 11/15/20 | 186 | 199 | ||
| 560 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Construction Materials - 0.0% | ||||
CRH America, Inc. 6% 9/30/16 | $ 15 | $ 17 | ||
Metals & Mining - 0.2% | ||||
Anglo American Capital PLC 9.375% 4/8/14 (f) | 211 | 213 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (f) | 360 | 363 | ||
4.5% 8/13/23 (f) | 500 | 518 | ||
5.625% 10/18/43 (f) | 254 | 259 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 356 | 360 | ||
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 200 | 200 | ||
6.25% 1/23/17 | 503 | 563 | ||
| 2,476 | |||
TOTAL MATERIALS | 3,053 | |||
TELECOMMUNICATION SERVICES - 0.5% | ||||
Diversified Telecommunication Services - 0.5% | ||||
AT&T, Inc.: | ||||
5.55% 8/15/41 | 1,223 | 1,288 | ||
6.3% 1/15/38 | 398 | 454 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 28 | 30 | ||
6% 4/1/17 | 70 | 77 | ||
6.15% 9/15/19 | 226 | 243 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 236 | 264 | ||
7.995% 6/1/36 | 175 | 187 | ||
Verizon Communications, Inc.: | ||||
2.5% 9/15/16 | 1,100 | 1,142 | ||
6.25% 4/1/37 | 187 | 217 | ||
6.4% 9/15/33 | 346 | 411 | ||
6.55% 9/15/43 | 2,538 | 3,108 | ||
| 7,421 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 0.0% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | $ 276 | $ 285 | ||
3.125% 7/16/22 | 255 | 241 | ||
| 526 | |||
TOTAL TELECOMMUNICATION SERVICES | 7,947 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.4% | ||||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 147 | 147 | ||
2.95% 12/15/22 | 140 | 134 | ||
Dayton Power & Light Co. 1.875% 9/15/16 (f) | 119 | 121 | ||
Duke Capital LLC 5.668% 8/15/14 | 16 | 16 | ||
Duke Energy Corp. 3.95% 10/15/23 | 55 | 56 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (f) | 273 | 311 | ||
6.4% 9/15/20 (f) | 569 | 665 | ||
Edison International 3.75% 9/15/17 | 226 | 242 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 299 | 301 | ||
4.25% 3/15/23 | 528 | 518 | ||
7.375% 11/15/31 | 411 | 473 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 649 | 716 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 255 | 260 | ||
3.75% 11/15/20 | 49 | 51 | ||
Monongahela Power Co. 4.1% 4/15/24 (f) | 131 | 136 | ||
Nevada Power Co. 6.5% 5/15/18 | 165 | 196 | ||
Northeast Utilities: | ||||
1.45% 5/1/18 | 96 | 94 | ||
2.8% 5/1/23 | 435 | 410 | ||
NV Energy, Inc. 6.25% 11/15/20 | 115 | 136 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 240 | 246 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 207 | 200 | ||
| 5,429 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - 0.0% | ||||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | $ 122 | $ 129 | ||
Independent Power Producers & Energy Traders - 0.0% | ||||
PSEG Power LLC 2.75% 9/15/16 | 90 | 94 | ||
Multi-Utilities - 0.3% | ||||
Ameren Illinois Co. 6.125% 11/15/17 | 165 | 191 | ||
Dominion Resources, Inc.: | ||||
2.5469% 9/30/66 (i) | 635 | 586 | ||
7.5% 6/30/66 (i) | 26 | 28 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 (f) | 523 | 522 | ||
2% 11/15/18 (f) | 403 | 401 | ||
National Grid PLC 6.3% 8/1/16 | 183 | 205 | ||
NiSource Finance Corp.: | ||||
4.45% 12/1/21 | 155 | 164 | ||
5.25% 2/15/43 | 357 | 361 | ||
5.4% 7/15/14 | 11 | 11 | ||
5.45% 9/15/20 | 468 | 531 | ||
5.8% 2/1/42 | 199 | 216 | ||
5.95% 6/15/41 | 396 | 438 | ||
6.4% 3/15/18 | 58 | 68 | ||
6.8% 1/15/19 | 677 | 810 | ||
PG&E Corp. 2.4% 3/1/19 | 55 | 55 | ||
Puget Energy, Inc. 6% 9/1/21 | 48 | 55 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 376 | 386 | ||
2.875% 10/1/22 | 154 | 147 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (i) | 21 | 21 | ||
| 5,196 | |||
TOTAL UTILITIES | 10,848 | |||
TOTAL NONCONVERTIBLE BONDS | 111,863 | |||
TOTAL CORPORATE BONDS (Cost $105,432) |
| |||
U.S. Treasury Obligations - 7.8% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Bills, yield at date of purchase 0.03% to 0.09% 4/17/14 to 5/29/14 (h) | $ 1,555 | $ 1,555 | ||
U.S. Treasury Bonds: | ||||
3.625% 8/15/43 | 5,634 | 5,673 | ||
3.625% 2/15/44 | 2,000 | 2,013 | ||
3.75% 11/15/43 | 102 | 105 | ||
U.S. Treasury Notes: | ||||
0.25% 7/31/15 | 3,230 | 3,233 | ||
0.5% 7/31/17 | 2,063 | 2,035 | ||
0.625% 12/15/16 | 4,412 | 4,414 | ||
0.875% 11/30/16 | 1,254 | 1,263 | ||
0.875% 4/30/17 | 9 | 9 | ||
0.875% 1/31/18 | 9,947 | 9,857 | ||
0.875% 7/31/19 | 5,971 | 5,721 | ||
1% 5/31/18 | 5,583 | 5,525 | ||
1.25% 10/31/18 | 22,092 | 21,935 | ||
1.375% 7/31/18 | 7,186 | 7,205 | ||
1.375% 9/30/18 | 5,036 | 5,036 | ||
1.5% 12/31/18 | 2,258 | 2,262 | ||
1.5% 1/31/19 | 14,672 | 14,679 | ||
1.75% 5/31/16 | 5,530 | 5,694 | ||
1.75% 5/15/23 | 350 | 326 | ||
2% 2/28/21 | 7,013 | 6,953 | ||
2% 2/15/23 | 3,074 | 2,943 | ||
2.125% 1/31/21 | 3,922 | 3,926 | ||
2.75% 11/15/23 | 6,910 | 6,983 | ||
TOTAL U.S. TREASURY OBLIGATIONS (Cost $119,606) |
| |||
U.S. Government Agency - Mortgage Securities - 1.0% | ||||
| ||||
Fannie Mae - 0.8% | ||||
2.303% 6/1/36 (i) | 8 | 9 | ||
2.536% 6/1/42 (i) | 51 | 53 | ||
2.643% 7/1/37 (i) | 18 | 19 | ||
2.949% 11/1/40 (i) | 26 | 27 | ||
2.959% 9/1/41 (i) | 30 | 31 | ||
3% 1/1/43 to 1/1/44 | 1,000 | 972 | ||
3% 3/1/44 (g) | 500 | 486 | ||
3.093% 10/1/41 (i) | 19 | 20 | ||
3.224% 7/1/41 (i) | 48 | 51 | ||
3.345% 10/1/41 (i) | 26 | 28 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
3.5% 8/1/42 to 10/1/43 | $ 5,633 | $ 5,645 | ||
3.5% 3/1/44 (g) | 2,400 | 2,433 | ||
3.55% 7/1/41 (i) | 51 | 54 | ||
4% 12/1/41 to 12/1/43 | 491 | 516 | ||
4% 3/1/44 (g) | 600 | 629 | ||
4% 3/1/44 (g) | 500 | 524 | ||
4.5% 12/1/23 | 13 | 14 | ||
6% 11/1/35 to 8/1/37 | 436 | 487 | ||
TOTAL FANNIE MAE | 11,998 | |||
Freddie Mac - 0.2% | ||||
3.064% 10/1/35 (i) | 21 | 22 | ||
3.23% 4/1/41 (i) | 36 | 38 | ||
3.249% 9/1/41 (i) | 27 | 29 | ||
3.281% 6/1/41 (i) | 39 | 41 | ||
3.464% 5/1/41 (i) | 38 | 40 | ||
3.5% 6/1/42 to 10/1/43 | 2,076 | 2,078 | ||
3.622% 6/1/41 (i) | 48 | 51 | ||
3.695% 5/1/41 (i) | 45 | 48 | ||
5% 11/1/40 | 330 | 363 | ||
TOTAL FREDDIE MAC | 2,710 | |||
Ginnie Mae - 0.0% | ||||
4% 11/20/40 to 1/20/41 | 200 | 212 | ||
4% 3/1/44 (g) | 500 | 530 | ||
5.5% 6/15/35 | 137 | 154 | ||
TOTAL GINNIE MAE | 896 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $15,715) |
| |||
Asset-Backed Securities - 0.2% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6255% 4/25/35 (i) | 30 | 27 | ||
Ally Master Owner Trust: | ||||
Series 2011-3 Class A2, 1.81% 5/15/16 | 280 | 281 | ||
Series 2012-3 Class A2, 1.21% 6/15/17 | 370 | 372 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2055% 12/25/33 (i) | $ 3 | $ 2 | ||
Series 2004-R2 Class M3, 0.9805% 4/25/34 (i) | 4 | 2 | ||
Series 2005-R2 Class M1, 0.6055% 4/25/35 (i) | 48 | 47 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9355% 3/25/34 (i) | 2 | 2 | ||
Series 2004-W11 Class M2, 1.2055% 11/25/34 (i) | 25 | 23 | ||
Series 2004-W7 Class M1, 0.9805% 5/25/34 (i) | 27 | 25 | ||
Series 2006-W4 Class A2C, 0.3155% 5/25/36 (i) | 55 | 17 | ||
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 0.9805% 4/25/34 (i) | 91 | 85 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 360 | 362 | ||
Capital Trust Ltd. Series 2004-1 Class C, 1.254% 7/20/39 (f)(i) | 7 | 3 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.2955% 12/25/36 (i) | 82 | 47 | ||
CFC LLC: | ||||
Series 2013-1A Class A, 1.65% 7/17/17 (f) | 54 | 54 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (f) | 303 | 304 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-3 Class M4, 1.6105% 4/25/34 (i) | 4 | 3 | ||
Series 2004-4 Class M2, 0.9505% 6/25/34 (i) | 19 | 18 | ||
Series 2004-7 Class AF5, 5.37% 1/25/35 | 135 | 142 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9224% 5/28/35 (i) | 2 | 2 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3305% 8/25/34 (i) | 13 | 10 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 0.9805% 3/25/34 (i) | 1 | 0* | ||
Ford Credit Floorplan Master Owner Trust Series 2013-3 Class A1, 0.79% 6/15/17 | 700 | 702 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.8905% 1/25/35 (i) | 43 | 35 | ||
Class M4, 1.1755% 1/25/35 (i) | 16 | 6 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6149% 2/25/47 (f)(i) | 106 | 88 | ||
GE Business Loan Trust: | ||||
Series 2003-1 Class A, 0.5845% 4/15/31 (f)(i) | 3 | 2 | ||
Series 2006-2A: | ||||
Class A, 0.3345% 11/15/34 (f)(i) | 28 | 26 | ||
Class B, 0.4345% 11/15/34 (f)(i) | 10 | 9 | ||
Class C, 0.5345% 11/15/34 (f)(i) | 17 | 14 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
GE Business Loan Trust: - continued | ||||
Series 2006-2A: | ||||
Class D, 0.9045% 11/15/34 (f)(i) | $ 6 | $ 5 | ||
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3 Class C, 0.7055% 9/25/46 (f)(i) | 30 | 30 | ||
Home Equity Asset Trust: | ||||
Series 2003-3 Class M1, 1.4455% 8/25/33 (i) | 24 | 23 | ||
Series 2003-5 Class A2, 0.8555% 12/25/33 (i) | 1 | 1 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3455% 1/25/37 (i) | 56 | 28 | ||
JPMorgan Mortgage Acquisition Trust Series 2007-CH1 Class AV4, 0.2855% 11/25/36 (i) | 51 | 50 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.5759% 12/27/29 (i) | 14 | 14 | ||
Series 2006-A Class 2C, 1.3959% 3/27/42 (i) | 43 | 7 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4555% 5/25/37 (i) | 22 | 0* | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1305% 7/25/34 (i) | 3 | 3 | ||
Series 2006-FM1 Class A2B, 0.2655% 4/25/37 (i) | 28 | 27 | ||
Series 2006-OPT1 Class A1A, 0.6755% 6/25/35 (i) | 49 | 47 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8355% 8/25/34 (i) | 3 | 3 | ||
Series 2005-NC1 Class M1, 0.8155% 1/25/35 (i) | 18 | 17 | ||
Series 2005-NC2 Class B1, 1.3255% 3/25/35 (i) | 11 | 5 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.6655% 9/25/35 (i) | 65 | 54 | ||
Ocala Funding LLC: | ||||
Series 2005-1A Class A, 1.654% 3/20/10 (d)(f)(i) | 25 | 0 | ||
Series 2006-1A Class A, 1.554% 3/20/11 (d)(f)(i) | 53 | 0 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 1.4055% 9/25/34 (i) | 24 | 22 | ||
Class M4, 1.6055% 9/25/34 (i) | 31 | 17 | ||
Series 2005-WCH1 Class M4, 0.9855% 1/25/36 (i) | 67 | 55 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9555% 4/25/33 (i) | 0* | 0* | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9505% 3/25/35 (i) | 46 | 39 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.1929% 6/15/33 (i) | 46 | 40 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.8805% 9/25/34 (i) | 2 | 2 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0155% 9/25/34 (i) | $ 1 | $ 1 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8029% 4/6/42 (f)(i) | 60 | 14 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0386% 10/25/44 (f)(i) | 81 | 78 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $2,900) |
| |||
Collateralized Mortgage Obligations - 0.3% | ||||
| ||||
Private Sponsor - 0.2% | ||||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7155% 1/25/35 (i) | 64 | 63 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5778% 10/25/34 (i) | 30 | 30 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class A1, 0.224% 12/20/54 (f)(i) | 328 | 324 | ||
Class C2, 1.354% 12/20/54 (f)(i) | 271 | 262 | ||
Series 2006-2: | ||||
Class A4, 0.234% 12/20/54 (i) | 93 | 92 | ||
Class C1, 1.094% 12/20/54 (i) | 242 | 229 | ||
Series 2006-3: | ||||
Class A3, 0.234% 12/20/54 (i) | 44 | 43 | ||
Class A7, 0.354% 12/20/54 (i) | 51 | 51 | ||
Class C2, 1.154% 12/20/54 (i) | 50 | 48 | ||
Series 2006-4: | ||||
Class A4, 0.254% 12/20/54 (i) | 150 | 148 | ||
Class B1, 0.334% 12/20/54 (i) | 169 | 164 | ||
Class C1, 0.914% 12/20/54 (i) | 103 | 97 | ||
Class M1, 0.494% 12/20/54 (i) | 44 | 42 | ||
Series 2007-1: | ||||
Class 1C1, 0.754% 12/20/54 (i) | 84 | 79 | ||
Class 1M1, 0.454% 12/20/54 (i) | 54 | 51 | ||
Class 2A1, 0.294% 12/20/54 (i) | 118 | 116 | ||
Class 2C1, 1.014% 12/20/54 (i) | 38 | 36 | ||
Class 2M1, 0.654% 12/20/54 (i) | 70 | 67 | ||
Series 2007-2: | ||||
Class 2C1, 1.0145% 12/17/54 (i) | 97 | 91 | ||
Class 3A1, 0.3345% 12/17/54 (i) | 24 | 24 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Private Sponsor - continued | ||||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.6866% 1/20/44 (i) | $ 19 | $ 19 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.6892% 8/25/36 (i) | 56 | 47 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.3655% 5/25/47 (i) | 25 | 19 | ||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3255% 2/25/37 (i) | 37 | 34 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4455% 7/25/35 (i) | 65 | 63 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 2.5065% 7/10/35 (f)(i) | 14 | 13 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.2269% 7/20/34 (i) | 1 | 1 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.4727% 4/25/33 (i) | 9 | 9 | ||
TOTAL PRIVATE SPONSOR | 2,262 | |||
U.S. Government Agency - 0.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2005-38 Class F, 0.4555% 5/25/35 (i) | 51 | 51 | ||
Series 2006-50 Class BF, 0.5555% 6/25/36 (i) | 67 | 67 | ||
Series 2006-82 Class F, 0.7255% 9/25/36 (i) | 89 | 89 | ||
Series 2007-36 Class F, 0.3855% 4/25/37 (i) | 80 | 80 | ||
Series 2011-37 Class FA, 0.6055% 5/25/41 (i) | 241 | 242 | ||
Series 2011-40 Class DF, 0.6055% 5/25/41 (i) | 186 | 186 | ||
Series 2013-62 Class FA, 0.4555% 6/25/43 (i) | 339 | 335 | ||
planned amortization class Series 2002-9 Class PC, 6% 3/25/17 | 7 | 7 | ||
sequential payer: | ||||
Series 2010-74 Class WF, 0.7555% 7/25/34 (i) | 73 | 74 | ||
Series 2012-120 Class FE 0.4555% 2/25/39 (i) | 151 | 150 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2011-3845 Class FA, 0.5745% 4/15/41 (i) | 119 | 119 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 3830 Class FD, 0.5145% 3/15/41 (i) | $ 347 | $ 348 | ||
sequential payer Series 2011-3969 Class AF, 0.6045% 10/15/33 (i) | 154 | 155 | ||
TOTAL U.S. GOVERNMENT AGENCY | 1,903 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $3,062) |
| |||
Commercial Mortgage Securities - 1.7% | ||||
| ||||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.5236% 2/14/43 (i)(k) | 27 | 1 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-2 Class AAB, 5.7192% 5/10/45 (i) | 33 | 34 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 315 | 342 | ||
Series 2006-5 Class A2, 5.317% 9/10/47 | 177 | 178 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 150 | 154 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (i) | 857 | 942 | ||
Series 2005-3 Class A3B, 5.09% 7/10/43 (i) | 233 | 240 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (f) | 43 | 5 | ||
Series 2007-3: | ||||
Class A3, 5.6195% 6/10/49 (i) | 124 | 124 | ||
Class A4, 5.6195% 6/10/49 (i) | 156 | 173 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 274 | 296 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.0055% 12/25/33 (f)(i) | 2 | 2 | ||
Series 2005-4A: | ||||
Class A2, 0.5455% 1/25/36 (f)(i) | 45 | 37 | ||
Class B1, 1.5555% 1/25/36 (f)(i) | 4 | 1 | ||
Class M1, 0.6055% 1/25/36 (f)(i) | 14 | 8 | ||
Class M2, 0.6255% 1/25/36 (f)(i) | 4 | 2 | ||
Class M3, 0.6555% 1/25/36 (f)(i) | 6 | 3 | ||
Class M4, 0.7655% 1/25/36 (f)(i) | 4 | 2 | ||
Class M5, 0.8055% 1/25/36 (f)(i) | 4 | 1 | ||
Class M6, 0.8555% 1/25/36 (f)(i) | 4 | 1 | ||
Series 2006-3A Class M4, 0.5855% 10/25/36 (f)(i) | 4 | 1 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-1 Class A2, 0.4255% 3/25/37 (f)(i) | $ 26 | $ 18 | ||
Series 2007-2A: | ||||
Class A1, 0.4255% 7/25/37 (f)(i) | 26 | 21 | ||
Class A2, 0.4755% 7/25/37 (f)(i) | 24 | 17 | ||
Class M1, 0.5255% 7/25/37 (f)(i) | 9 | 3 | ||
Class M2, 0.5655% 7/25/37 (f)(i) | 4 | 1 | ||
Class M3, 0.6455% 7/25/37 (f)(i) | 5 | 0* | ||
Class M4, 0.8055% 7/25/37 (f)(i) | 4 | 0* | ||
Series 2007-3: | ||||
Class A2, 0.4455% 7/25/37 (f)(i) | 28 | 19 | ||
Class M1, 0.4655% 7/25/37 (f)(i) | 5 | 3 | ||
Class M2, 0.4955% 7/25/37 (f)(i) | 5 | 3 | ||
Class M3, 0.5255% 7/25/37 (f)(i) | 8 | 4 | ||
Class M4, 0.6555% 7/25/37 (f)(i) | 13 | 3 | ||
Class M5, 0.7555% 7/25/37 (f)(i) | 7 | 1 | ||
Class M6, 0.9555% 7/25/37 (f)(i) | 2 | 0* | ||
Series 2007-4A: | ||||
Class M1, 1.1055% 9/25/37 (f)(i) | 10 | 1 | ||
Class M2, 1.2055% 9/25/37 (f)(i) | 10 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (f)(i)(k) | 252 | 15 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
floater Series 2007-BBA8: | ||||
Class E, 0.4545% 3/15/22 (f)(i) | 20 | 20 | ||
Class F, 0.5045% 3/15/22 (f)(i) | 78 | 74 | ||
Class G, 0.5545% 3/15/22 (f)(i) | 20 | 19 | ||
Class H, 0.7045% 3/15/22 (f)(i) | 25 | 22 | ||
Class J, 0.8545% 3/15/22 (f)(i) | 25 | 22 | ||
sequential payer Series 2007-PW16 Class A4, 5.7058% 6/11/40 (i) | 44 | 50 | ||
Series 2006-T22 Class A4, 5.5801% 4/12/38 (i) | 9 | 10 | ||
Series 2007-PW18 Class X2, 0.2966% 6/11/50 (f)(i)(k) | 3,806 | 26 | ||
Series 2007-T28 Class X2, 0.1573% 9/11/42 (f)(i)(k) | 2,337 | 8 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4255% 5/25/36 (f)(i) | 23 | 22 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 1.4233% 5/15/35 (f)(i)(k) | 160 | 2 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 73 | 75 | ||
Class A4, 5.322% 12/11/49 | 2,380 | 2,627 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (i) | $ 84 | $ 82 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater: | ||||
Series 2005-F10A Class J, 1.0045% 4/15/17 (f)(i) | 6 | 6 | ||
Series 2006-FL12 Class AJ, 0.2845% 12/15/20 (f)(i) | 26 | 26 | ||
sequential payer Series 2006-C7 Class A1A, 5.741% 6/10/46 (i) | 287 | 313 | ||
Series 2004-LB4A Class A5, 4.84% 10/15/37 | 594 | 599 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C2 Class A2, 5.448% 1/15/49 (i) | 1 | 1 | ||
Series 2007-C5 Class A4, 5.695% 9/15/40 (i) | 68 | 76 | ||
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B, 0.5045% 4/15/22 (f)(i) | 268 | 253 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2001-CK6 Class AX, 1.3434% 8/15/36 (i)(k) | 5 | 0* | ||
Series 2001-CKN5 Class AX, 0.6562% 9/15/34 (f)(i)(k) | 0* | 0* | ||
Credit Suisse Mortgage Capital Certificates: | ||||
floater Series 2007-TFL1: | ||||
Class C: | ||||
0.3245% 2/15/22 (f)(i) | 56 | 55 | ||
0.4245% 2/15/22 (f)(i) | 30 | 30 | ||
Class F, 0.4745% 2/15/22 (f)(i) | 60 | 59 | ||
Series 2007-C1: | ||||
Class ASP, 0.354% 2/15/40 (i)(k) | 924 | 0* | ||
Class B, 5.487% 2/15/40 (f)(i) | 115 | 16 | ||
GE Capital Commercial Mortgage Corp.: | ||||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 1,194 | 1,309 | ||
Series 2001-1 Class X1, 1.7244% 5/15/33 (f)(i)(k) | 15 | 0* | ||
Series 2007-C1 Class XP, 0.1602% 12/10/49 (i)(k) | 477 | 0* | ||
Greenwich Capital Commercial Funding Corp.: | ||||
floater Series 2006-FL4 Class B, 0.3471% 11/5/21 (f)(i) | 28 | 28 | ||
Series 2006-GG7 Class A4, 5.8197% 7/10/38 (i) | 176 | 193 | ||
Series 2007-GG11 Class A1, 0.2936% 12/10/49 (f)(i)(k) | 1,112 | 2 | ||
GS Mortgage Securities Corp. II Series 2006-GG6 Class A2, 5.506% 4/10/38 | 10 | 10 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
GS Mortgage Securities Trust sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 (i) | $ 80 | $ 88 | ||
Hilton U.S.A. Trust Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (f) | 100 | 102 | ||
Class DFX, 4.4065% 11/5/30 (f) | 584 | 596 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater Series 2006-FL2A: | ||||
Class B, 0.3245% 11/15/18 (f)(i) | 32 | 31 | ||
Class C, 0.3645% 11/15/18 (f)(i) | 23 | 22 | ||
Class D, 0.3845% 11/15/18 (f)(i) | 7 | 6 | ||
Class E, 0.4345% 11/15/18 (f)(i) | 10 | 9 | ||
Class F, 0.4845% 11/15/18 (f)(i) | 14 | 14 | ||
Class G, 0.5145% 11/15/18 (f)(i) | 13 | 12 | ||
Class H, 0.6545% 11/15/18 (f)(i) | 10 | 9 | ||
sequential payer: | ||||
Series 2006-CB16 Class A1A, 5.546% 5/12/45 | 494 | 540 | ||
Series 2006-CB17: | ||||
Class A3, 5.45% 12/12/43 | 4 | 4 | ||
Class A4, 5.429% 12/12/43 | 240 | 259 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 835 | 910 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 31 | 34 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 70 | 77 | ||
Series 2007-CB19 Class A4, 5.7093% 2/12/49 (i) | 1,130 | 1,262 | ||
Series 2007-LD11: | ||||
Class A2, 5.7984% 6/15/49 (i) | 69 | 69 | ||
Class A4, 5.8134% 6/15/49 (i) | 790 | 881 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 554 | 613 | ||
Series 2006-LDP7 Class A4, 5.8726% 4/15/45 (i) | 700 | 765 | ||
Series 2007-CB19: | ||||
Class B, 5.7093% 2/12/49 (i) | 6 | 2 | ||
Class C, 5.7093% 2/12/49 (i) | 17 | 4 | ||
Class D, 5.7093% 2/12/49 (i) | 18 | 3 | ||
Series 2007-LDP10: | ||||
Class CS, 5.466% 1/15/49 (i) | 6 | 1 | ||
Class ES, 5.7261% 1/15/49 (f)(i) | 39 | 2 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.8924% 7/15/44 (i) | 58 | 65 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C6 Class A4, 5.372% 9/15/39 | 34 | 37 | ||
Series 2006-C7 Class A2, 5.3% 11/15/38 | 39 | 40 | ||
Series 2007-C1 Class A4, 5.424% 2/15/40 | 550 | 607 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (i) | 93 | 101 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2007-C7: | ||||
Class A3, 5.866% 9/15/45 | $ 444 | $ 506 | ||
Class XCP, 0.2771% 9/15/45 (i)(k) | 4,375 | 11 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2006-LLFA Class H, 0.5545% 9/15/21 (f)(i) | 12 | 12 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2005-LC1 Class F, 5.4207% 1/12/44 (f)(i) | 65 | 58 | ||
Series 2007-C1 Class A4, 5.8409% 6/12/50 (i) | 354 | 398 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
floater Series 2006-4 Class A2FL, 0.2748% 12/12/49 (i) | 4 | 4 | ||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (i) | 40 | 43 | ||
Class ASB, 5.133% 12/12/49 (i) | 32 | 33 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 63 | 69 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (i) | 550 | 609 | ||
Series 2007-7 Class A4, 5.7439% 6/12/50 (i) | 263 | 293 | ||
Series 2006-4 Class XP, 0.618% 12/12/49 (i)(k) | 770 | 4 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (i) | 75 | 18 | ||
Series 2007-7 Class B, 5.7439% 6/12/50 (i) | 7 | 0* | ||
Series 2007-8 Class A3, 5.8943% 8/12/49 (i) | 65 | 73 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF Class C, 1.355% 7/15/19 (f)(i) | 16 | 12 | ||
Series 2007-XLFA: | ||||
Class C, 0.315% 10/15/20 (f)(i) | 43 | 42 | ||
Class D, 0.345% 10/15/20 (f)(i) | 30 | 29 | ||
Class E, 0.405% 10/15/20 (f)(i) | 38 | 36 | ||
Class F, 0.455% 10/15/20 (f)(i) | 23 | 22 | ||
Class G, 0.495% 10/15/20 (f)(i) | 28 | 27 | ||
Class H, 0.585% 10/15/20 (f)(i) | 18 | 16 | ||
Class J, 0.735% 10/15/20 (f)(i) | 10 | 4 | ||
sequential payer Series 2007-HQ11 Class A31, 5.439% 2/12/44 (i) | 9 | 9 | ||
Series 2006-IQ11 Class A4, 5.6648% 10/15/42 (i) | 20 | 21 | ||
Series 2006-T23 Class A3, 5.8071% 8/12/41 (i) | 38 | 38 | ||
Series 2007-HQ12 Class A2, 5.6007% 4/12/49 (i) | 301 | 304 | ||
Series 2007-IQ14: | ||||
Class A4, 5.692% 4/15/49 (i) | 113 | 125 | ||
Class B, 5.7406% 4/15/49 (i) | 18 | 4 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (f) | $ 643 | $ 817 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater: | ||||
Series 2006-WL7A: | ||||
Class F, 0.4945% 9/15/21 (f)(i) | 65 | 64 | ||
Class G, 0.5145% 9/15/21 (f)(i) | 80 | 79 | ||
Class J, 0.7545% 9/15/21 (f)(i) | 18 | 16 | ||
Series 2007-WHL8: | ||||
Class F, 0.6345% 6/15/20 (f)(i) | 168 | 154 | ||
Class LXR1, 0.8545% 6/15/20 (f)(i) | 9 | 8 | ||
sequential payer: | ||||
Series 2006-C28 Class A4, 5.572% 10/15/48 | 350 | 383 | ||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 288 | 315 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 540 | 595 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 1,070 | 1,169 | ||
Series 2007-C32 Class A3, 5.7499% 6/15/49 (i) | 147 | 163 | ||
Series 2007-C33: | ||||
Class A4, 5.9216% 2/15/51 (i) | 1,100 | 1,214 | ||
Class A5, 5.9216% 2/15/51 (i) | 50 | 56 | ||
Series 2005-C19 Class B, 4.892% 5/15/44 | 75 | 77 | ||
Series 2005-C22: | ||||
Class B, 5.3811% 12/15/44 (i) | 166 | 163 | ||
Class F, 5.3811% 12/15/44 (f)(i) | 125 | 30 | ||
Series 2006-C26 Class A1A, 6.009% 6/15/45 (i) | 411 | 450 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (i) | 704 | 770 | ||
Series 2007-C30 Class XP, 0.4783% 12/15/43 (f)(i)(k) | 571 | 0* | ||
Series 2007-C31 Class C, 5.672% 4/15/47 (i) | 21 | 17 | ||
Series 2007-C31A Class A2, 5.421% 4/15/47 | 723 | 723 | ||
Series 2007-C32: | ||||
Class D, 5.7499% 6/15/49 (i) | 56 | 25 | ||
Class E, 5.7499% 6/15/49 (i) | 89 | 30 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $23,941) |
| |||
Municipal Securities - 0.5% | ||||
| ||||
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp. Proj.) Series 2005 A, 3.375%, tender 7/1/15 (i) | 100 | 102 | ||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 70 | 94 | ||
Municipal Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
California Gen. Oblig.: - continued | ||||
7.3% 10/1/39 | $ 535 | $ 720 | ||
7.5% 4/1/34 | 465 | 631 | ||
7.6% 11/1/40 | 895 | 1,262 | ||
7.625% 3/1/40 | 150 | 209 | ||
Chicago Gen. Oblig. (Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 80 | 84 | ||
Series 2010 C1, 7.781% 1/1/35 | 395 | 470 | ||
Series 2012 B, 5.432% 1/1/42 | 105 | 93 | ||
Illinois Gen. Oblig.: | ||||
Series 2003, 5.1% 6/1/33 | 1,785 | 1,754 | ||
Series 2010, 4.421% 1/1/15 | 260 | 268 | ||
Series 2010-1, 6.63% 2/1/35 | 320 | 354 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 10 | 11 | ||
6.725% 4/1/35 | 475 | 529 | ||
7.35% 7/1/35 | 220 | 257 | ||
Series 2011: | ||||
4.961% 3/1/16 | 35 | 37 | ||
5.665% 3/1/18 | 265 | 294 | ||
5.877% 3/1/19 | 695 | 780 | ||
Series 2013: | ||||
2.69% 12/1/17 | 110 | 111 | ||
3.14% 12/1/18 | 115 | 115 | ||
TOTAL MUNICIPAL SECURITIES (Cost $7,951) |
| |||
Foreign Government and Government Agency Obligations - 0.2% | ||||
| ||||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (f) | 365 | 372 | ||
5.75% 9/26/23 (f) | 332 | 338 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 355 | 342 | ||
5.625% 1/7/41 | 400 | 393 | ||
United Mexican States: | ||||
4% 10/2/23 | 804 | 814 | ||
4.75% 3/8/44 | 352 | 328 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,617) |
| |||
Bank Notes - 0.0% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fifth Third Bank 4.75% 2/1/15 | $ 250 | $ 260 |
Fixed-Income Funds - 7.2% | |||
Shares |
| ||
Fidelity High Income Central Fund 2 (j) | 302,909 | 36,040 | |
Fidelity Mortgage Backed Securities Central Fund (j) | 685,043 | 73,389 | |
TOTAL FIXED-INCOME FUNDS (Cost $101,619) |
| ||
Money Market Funds - 5.0% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.10% (b) | 69,820,890 | 69,821 | |
Fidelity Securities Lending Cash Central Fund, 0.09% (b)(c) | 6,542,425 | 6,542 | |
TOTAL MONEY MARKET FUNDS (Cost $76,363) |
| ||
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $1,278,664) | 1,542,345 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (14,399) | ||
NET ASSETS - 100% | $ 1,527,946 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) | Value (000s) | |
Fannie Mae | |||
3.5% 3/1/44 | $ (1,000) | $ (1,013) | |
4% 3/1/44 | (100) | (105) | |
4% 3/1/44 | (500) | (524) | |
TOTAL FANNIE MAE | (1,642) | ||
Ginnie Mae | |||
4% 3/1/44 | (200) | (212) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $1,846) | $ (1,854) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Equity Index Contracts | |||||
236 CME E-mini S&P 500 Index Contracts (United States) | March 2014 | $ 21,920 | $ 861 |
|
The face value of futures purchased as a percentage of net assets is 1.4% |
Swaps | ||||||||
Credit Default Swaps | ||||||||
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/ | Notional | Value (1) (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
Sell Protection | ||||||||
Ameriquest Mortgage Securities Inc Series 2004-R11 Class M9 | C | Dec. 2034 | Credit Suisse | 4.25% | $ 29 | $ (28) | $ - | $ (28) |
|
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's ratings are not available, S&P ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
|
(2) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
|
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(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 end of the period, the value of these securities amounted to $18,699,000 or 1.2% 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 period end, the value of securities pledged amounted to $1,155,000. |
(i) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(l) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(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 $1,820,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Legend Pictures LLC | 9/23/10 | $ 311 |
MongoDB, Inc. Series F, 8.00% | 10/2/13 | $ 281 |
Xero Ltd. | 10/14/13 | $ 411 |
* Amount represents less than $1,000. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 21 |
Fidelity High Income Central Fund 2 | 1,052 |
Fidelity Mortgage Backed Securities Central Fund | 984 |
Fidelity Securities Lending Cash Central Fund | 7 |
Total | $ 2,064 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity High Income Central Fund 2 | $ 31,618 | $ 3,055 | $ - | $ 36,040 | 4.2% |
Fidelity Mortgage Backed Securities Central Fund | 85,122 | 984 | 14,235 | 73,389 | 0.7% |
Total | $ 116,740 | $ 4,039 | $ 14,235 | $ 109,429 |
Other Information |
The following is a summary of the inputs used, as of February 28, 2014, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 125,497 | $ 124,749 | $ - | $ 748 |
Consumer Staples | 101,744 | 98,987 | 2,757 | - |
Energy | 104,367 | 104,367 | - | - |
Financials | 179,910 | 176,431 | 3,479 | - |
Health Care | 151,960 | 145,070 | 6,890 | - |
Industrials | 105,340 | 105,340 | - | - |
Information Technology | 197,859 | 196,515 | 1,091 | 253 |
Materials | 39,537 | 39,537 | - | - |
Telecommunication Services | 26,267 | 22,538 | 3,729 | - |
Utilities | 32,690 | 32,690 | - | - |
Corporate Bonds | 111,959 | - | 111,959 | - |
U.S. Government and Government Agency Obligations | 119,345 | - | 119,345 | - |
U.S. Government Agency - Mortgage Securities | 15,604 | - | 15,604 | - |
Asset-Backed Securities | 3,292 | - | 3,165 | 127 |
Collateralized Mortgage Obligations | 4,165 | - | 4,152 | 13 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Commercial Mortgage Securities | $ 25,995 | $ - | $ 25,928 | $ 67 |
Municipal Securities | 8,175 | - | 8,175 | - |
Foreign Government and Government Agency Obligations | 2,587 | - | 2,587 | - |
Bank Notes | 260 | - | 260 | - |
Fixed-Income Funds | 109,429 | 109,429 | - | - |
Money Market Funds | 76,363 | 76,363 | - | - |
Total Investments in Securities: | $ 1,542,345 | $ 1,232,016 | $ 309,121 | $ 1,208 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 861 | $ 861 | $ - | $ - |
Liabilities | ||||
Swaps | $ (28) | $ - | $ (28) | $ - |
Total Derivative Instruments: | $ 833 | $ 861 | $ (28) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (1,854) | $ - | $ (1,854) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2014. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Swaps (b) | $ - | $ (28) |
Equity Risk | ||
Futures Contracts (a) | 861 | - |
Total Value of Derivatives | $ 861 | $ (28) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. |
Other Information |
The composition of credit quality ratings as a percentage of net assets is as follows (Unaudited): |
U.S. Government and U.S. Government Agency Obligations | 13.4% |
AAA,AA,A | 3.4% |
BBB | 5.9% |
BB | 0.7% |
B | 1.5% |
CCC,CC,C | 0.5% |
D | 0.0%* |
Not Rated | 0.2% |
Equities | 69.8% |
Short-Term Investments and Net Other Assets | 4.6% |
| 100% |
* Amount represents less than 0.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 89.4% |
United Kingdom | 2.2% |
Ireland | 2.1% |
Netherlands | 1.2% |
Others (Individually Less Than 1%) | 5.1% |
| 100.0% |
The information in the above tables are based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2014 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $6,357) - See accompanying schedule: Unaffiliated issuers (cost $1,100,682) | $ 1,356,553 |
|
Fidelity Central Funds (cost $177,982) | 185,792 |
|
Total Investments (cost $1,278,664) |
| $ 1,542,345 |
Cash |
| 56 |
Receivable for investments sold, regular delivery | 10,314 | |
Receivable for TBA sale commitments |
| 1,846 |
Receivable for fund shares sold | 1,751 | |
Dividends receivable | 1,787 | |
Interest receivable | 1,931 | |
Distributions receivable from Fidelity Central Funds | 5 | |
Receivable for daily variation margin for derivative instruments | 44 | |
Prepaid expenses | 2 | |
Other receivables | 42 | |
Total assets | 1,560,123 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 14,241 | |
Delayed delivery | 4,597 | |
TBA sale commitments, at value | 1,854 | |
Payable for swaps | 2 | |
Payable for fund shares redeemed | 3,463 | |
Bi-lateral OTC swaps, at value | 28 | |
Accrued management fee | 497 | |
Distribution and service plan fees payable | 564 | |
Other affiliated payables | 279 | |
Other payables and accrued expenses | 110 | |
Collateral on securities loaned, at value | 6,542 | |
Total liabilities | 32,177 | |
|
|
|
Net Assets | $ 1,527,946 | |
Net Assets consist of: |
| |
Paid in capital | $ 1,234,485 | |
Undistributed net investment income | 4,208 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 24,748 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 264,505 | |
Net Assets | $ 1,527,946 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | February 28, 2014 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 19.19 | |
|
|
|
Maximum offering price per share (100/94.25 of $19.19) | $ 20.36 | |
Class T: | $ 19.36 | |
|
|
|
Maximum offering price per share (100/96.50 of $19.36) | $ 20.06 | |
Class B: | $ 19.19 | |
|
|
|
Class C: | $ 19.09 | |
|
|
|
|
|
|
Institutional Class: | $ 19.49 | |
|
|
|
Class Z: | $ 19.49 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands Six months ended February 28, 2014 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 8,447 |
Interest (including $1 from security lending) |
| 4,744 |
Income from Fidelity Central Funds |
| 2,064 |
Total income |
| 15,255 |
|
|
|
Expenses | ||
Management fee | $ 2,853 | |
Transfer agent fees | 1,359 | |
Distribution and service plan fees | 3,238 | |
Accounting and security lending fees | 286 | |
Custodian fees and expenses | 55 | |
Independent trustees' compensation | 3 | |
Registration fees | 83 | |
Audit | 63 | |
Legal | 4 | |
Miscellaneous | 3 | |
Total expenses before reductions | 7,947 | |
Expense reductions | (27) | 7,920 |
Net investment income (loss) | 7,335 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 49,750 | |
Fidelity Central Funds | (94) |
|
Foreign currency transactions | 5 | |
Futures contracts | 1,370 | |
Swaps | (32) |
|
Total net realized gain (loss) |
| 50,999 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 108,473 | |
Assets and liabilities in foreign currencies | 1 | |
Futures contracts | 714 | |
Swaps | 30 | |
Delayed delivery commitments | (28) |
|
Total change in net unrealized appreciation (depreciation) |
| 109,190 |
Net gain (loss) | 160,189 | |
Net increase (decrease) in net assets resulting from operations | $ 167,524 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2014 (Unaudited) | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 7,335 | $ 13,390 |
Net realized gain (loss) | 50,999 | 72,815 |
Change in net unrealized appreciation (depreciation) | 109,190 | 36,132 |
Net increase (decrease) in net assets resulting | 167,524 | 122,337 |
Distributions to shareholders from net investment income | (6,085) | (12,715) |
Distributions to shareholders from net realized gain | (56,875) | - |
Total distributions | (62,960) | (12,715) |
Share transactions - net increase (decrease) | 117,040 | 50,238 |
Total increase (decrease) in net assets | 221,604 | 159,860 |
|
|
|
Net Assets | ||
Beginning of period | 1,306,342 | 1,146,482 |
End of period (including undistributed net investment income of $4,208 and undistributed net investment income of $2,958, respectively) | $ 1,527,946 | $ 1,306,342 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.84 | $ 16.31 | $ 14.83 | $ 13.29 | $ 12.61 | $ 14.55 |
Income from InvestmentOperations |
|
|
|
|
| |
Net investment income (loss) E | .11 | .22 | .24 | .23 | .24 | .25 |
Net realized and unrealized gain (loss) | 2.11 | 1.52 | 1.48 | 1.55 | .70 | (1.93) |
Total from investment operations | 2.22 | 1.74 | 1.72 | 1.78 | .94 | (1.68) |
Distributions from net investment income | (.10) | (.21) | (.24) | (.23) | (.24) | (.21) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.87) | (.21) | (.24) | (.24) | (.26) I | (.26) |
Net asset value, end of period | $ 19.19 | $ 17.84 | $ 16.31 | $ 14.83 | $ 13.29 | $ 12.61 |
Total Return B, C, D | 12.79% | 10.74% | 11.72% | 13.34% | 7.44% | (11.30)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .93% A | .95% | .98% | 1.00% | 1.00% | 1.06% |
Expenses net of fee waivers, if any | .93% A | .95% | .98% | 1.00% | 1.00% | 1.06% |
Expenses net of all reductions | .92% A | .94% | .98% | .99% | .99% | 1.06% |
Net investment income (loss) | 1.22% A | 1.27% | 1.56% | 1.53% | 1.76% | 2.24% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 328 | $ 270 | $ 249 | $ 215 | $ 203 | $ 213 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.26 per share is comprised of distributions from net investment income of $.243 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.99 | $ 16.44 | $ 14.95 | $ 13.40 | $ 12.70 | $ 14.66 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .09 | .18 | .21 | .20 | .21 | .23 |
Net realized and unrealized gain (loss) | 2.13 | 1.54 | 1.49 | 1.56 | .72 | (1.95) |
Total from investment operations | 2.22 | 1.72 | 1.70 | 1.76 | .93 | (1.72) |
Distributions from net investment income | (.08) | (.17) | (.21) | (.20) | (.21) | (.19) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.85) | (.17) | (.21) | (.21) | (.23) I | (.24) |
Net asset value, end of period | $ 19.36 | $ 17.99 | $ 16.44 | $ 14.95 | $ 13.40 | $ 12.70 |
Total Return B, C, D | 12.66% | 10.55% | 11.44% | 13.09% | 7.32% | (11.54)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.15% A | 1.17% | 1.19% | 1.20% | 1.23% | 1.29% |
Expenses net of fee waivers, if any | 1.15% A | 1.17% | 1.19% | 1.20% | 1.23% | 1.29% |
Expenses net of all reductions | 1.15% A | 1.16% | 1.18% | 1.19% | 1.21% | 1.29% |
Net investment income (loss) | 1.00% A | 1.05% | 1.36% | 1.33% | 1.54% | 2.01% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 924 | $ 821 | $ 737 | $ 673 | $ 619 | $ 621 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.23 per share is comprised of distributions from net investment income of $.214 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 17.84 | $ 16.30 | $ 14.81 | $ 13.27 | $ 12.58 | $ 14.51 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .04 | .08 | .12 | .11 | .13 | .16 |
Net realized and unrealized gain (loss) | 2.10 | 1.52 | 1.47 | 1.54 | .71 | (1.92) |
Total from investment operations | 2.14 | 1.60 | 1.59 | 1.65 | .84 | (1.76) |
Distributions from net investment income | (.02) | (.06) | (.10) | (.10) | (.13) | (.13) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.04) |
Total distributions | (.79) | (.06) | (.10) | (.11) | (.15) I | (.17) |
Net asset value, end of period | $ 19.19 | $ 17.84 | $ 16.30 | $ 14.81 | $ 13.27 | $ 12.58 |
Total Return B, C, D | 12.29% | 9.85% | 10.78% | 12.42% | 6.66% | (11.98)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.78% | 1.78% | 1.80% | 1.82% | 1.83% |
Expenses net of fee waivers, if any | 1.77% A | 1.78% | 1.78% | 1.80% | 1.82% | 1.83% |
Expenses net of all reductions | 1.76% A | 1.77% | 1.78% | 1.79% | 1.81% | 1.83% |
Net investment income (loss) | .38% A | .44% | .76% | .73% | .94% | 1.46% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 12 | $ 13 | $ 15 | $ 19 | $ 24 | $ 29 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.15 per share is comprised of distributions from net investment income of $.133 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 17.76 | $ 16.24 | $ 14.77 | $ 13.23 | $ 12.55 | $ 14.49 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .04 | .09 | .13 | .12 | .13 | .17 |
Net realized and unrealized gain (loss) | 2.09 | 1.52 | 1.46 | 1.55 | .71 | (1.93) |
Total from investment operations | 2.13 | 1.61 | 1.59 | 1.67 | .84 | (1.76) |
Distributions from net investment income | (.03) | (.09) | (.12) | (.12) | (.15) | (.13) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.80) | (.09) | (.12) | (.13) | (.16) I | (.18) |
Net asset value, end of period | $ 19.09 | $ 17.76 | $ 16.24 | $ 14.77 | $ 13.23 | $ 12.55 |
Total Return B, C, D | 12.33% | 9.93% | 10.81% | 12.59% | 6.69% | (12.02)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.69% A | 1.71% | 1.73% | 1.74% | 1.76% | 1.82% |
Expenses net of fee waivers, if any | 1.69% A | 1.71% | 1.73% | 1.74% | 1.76% | 1.82% |
Expenses net of all reductions | 1.68% A | 1.70% | 1.72% | 1.73% | 1.75% | 1.81% |
Net investment income (loss) | .46% A | .51% | .81% | .79% | 1.00% | 1.48% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 138 | $ 105 | $ 80 | $ 69 | $ 62 | $ 61 |
Portfolio turnover rate G | 90% A | 124% | 124% | 146% J | 116% | 215% J |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Total distributions of $.16 per share is comprised of distributions from net investment income of $.145 and distributions from net realized gain of $.015 per share.
J The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended August 31, | ||||
| (Unaudited) | 2013 | 2012 | 2011 | 2010 | 2009 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 18.11 | $ 16.55 | $ 15.06 | $ 13.49 | $ 12.79 | $ 14.76 |
Income from InvestmentOperations |
|
|
|
|
| |
Net investment income (loss) D | .14 | .27 | .29 | .28 | .28 | .28 |
Net realized and unrealized gain (loss) | 2.13 | 1.55 | 1.49 | 1.57 | .72 | (1.95) |
Total from investment operations | 2.27 | 1.82 | 1.78 | 1.85 | 1.00 | (1.67) |
Distributions from net investment income | (.12) | (.26) | (.29) | (.27) | (.28) | (.25) |
Distributions from net realized gain | (.77) | - | - | (.01) | (.02) | (.05) |
Total distributions | (.89) | (.26) | (.29) | (.28) | (.30) H | (.30) |
Net asset value, end of period | $ 19.49 | $ 18.11 | $ 16.55 | $ 15.06 | $ 13.49 | $ 12.79 |
Total Return B, C | 12.91% | 11.08% | 11.96% | 13.69% | 7.81% | (11.07)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .66% A | .68% | .70% | .71% | .73% | .79% |
Expenses net of fee waivers, if any | .66% A | .68% | .70% | .71% | .73% | .79% |
Expenses net of all reductions | .66% A | .67% | .70% | .70% | .72% | .78% |
Net investment income (loss) | 1.49% A | 1.54% | 1.84% | 1.82% | 2.03% | 2.51% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 125 | $ 97 | $ 66 | $ 42 | $ 34 | $ 24 |
Portfolio turnover rate F | 90% A | 124% | 124% | 146% I | 116% | 215%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
H Total distributions of $.30 per share is comprised of distributions from net investment income of $.283 and distributions from net realized gain of $.015 per share.
I The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class Z
| Six months ended | Year ended |
| (Unaudited) | 2013 G |
Selected Per-Share Data |
|
|
Net asset value, beginning of period | $ 18.11 | $ 18.56 |
Income from Investment Operations |
|
|
Net investment income (loss) D | .15 | .01 |
Net realized and unrealized gain (loss) | 2.14 | (.46) |
Total from investment operations | 2.29 | (.45) |
Distributions from net investment income | (.14) | - |
Distributions from net realized gain | (.77) | - |
Total distributions | (.91) | - |
Net asset value, end of period | $ 19.49 | $ 18.11 |
Total Return B, C | 13.00% | (2.42)% |
Ratios to Average Net Assets E, H |
|
|
Expenses before reductions | .52% A | .53% A |
Expenses net of fee waivers, if any | .52% A | .53% A |
Expenses net of all reductions | .52% A | .52% A |
Net investment income (loss) | 1.63% A | .85% A |
Supplemental Data |
|
|
Net assets, end of period (000 omitted) | $ 110 | $ 98 |
Portfolio turnover rate F | 90% A | 124% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than 0.01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2014 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Balanced Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, Institutional Class and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment | Investment | Investment | Expense |
Fidelity High Income Central Fund 2 | FMR Co., Inc. (FMRC) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
| Less than 0.01% |
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Swaps | Less than 0.01% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be
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Investment Valuation - continued
predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, foreign government and government agency obligations, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions,
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of February 28, 2014, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified
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Investment Transactions and Income - continued
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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
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. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 268,218 |
Gross unrealized depreciation | (7,916) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 260,302 |
|
|
Tax cost | $ 1,282,043 |
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3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in 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. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
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.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Equity Risk | Equity risk relates to the fluctuations in the value of financial instruments as a result of changes in market prices (other than those arising from interest rate risk or foreign exchange risk), whether caused by factors specific to an individual investment, its issuer, or all factors affecting all instruments traded in a market or market segment. |
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4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk |
|
|
Swaps | $ (32) | $ 30 |
Equity Risk |
|
|
Futures Contracts | 1,370 | 714 |
Totals (a) | $ 1,338 | $ 744 |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap.
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4. Derivative Instruments - continued
Swaps - continued
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Credit Default Swaps - continued
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $403,169 and $380,257, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .25% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .40% of the Fund's average net assets.
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6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 371 | $ 20 |
Class T | .25% | .25% | 2,200 | 33 |
Class B | .75% | .25% | 62 | 47 |
Class C | .75% | .25% | 605 | 123 |
|
|
| $ 3,238 | $ 223 |
Sales Load. FDC may receive a front-end sales charge of up to 5.75% for selling Class A shares and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 69 |
Class T | 21 |
Class B* | 4 |
Class C* | 10 |
| $ 104 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each applicable class were as follows:
| Amount | % of |
Class A | $ 306 | .21 |
Class T | 799 | .18 |
Class B | 19 | .30 |
Class C | 130 | .21 |
Institutional Class | 105 | .19 |
Class Z | -** | .05 |
| $ 1,359 |
|
* Annualized
** Amount represents twenty-six dollars
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $7 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
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8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. For equity securities, a lending agent is used and may loan securities to certain qualified borrowers, including Fidelity Capital Markets (FCM), a broker-dealer affiliated with the Fund. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents and/or the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of income from Fidelity Central Funds. Total security lending income during the period, presented in the Statement of Operations as a component of interest income, amounted to $1. Net income from the Fidelity Securities Lending Cash Central Fund during the period, presented in the Statement of Operations as a component of income from Fidelity Central Funds, amounted to $7. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
The investment adviser voluntarily agreed to reimburse a portion of the Fund's Class A, Class T, Class C and Institutional Class operating expenses.
During the period, this reimbursement reduced expenses as follows:
| Reimbursement |
Class A | $ 3 |
Class T | 9 |
Class C | 1 |
Institutional Class | 1 |
| $ 14 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
9. Expense Reductions - continued
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $13 for the period.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 1,541 | $ 3,147 |
Class T | 3,617 | 7,824 |
Class B | 12 | 52 |
Class C | 215 | 447 |
Institutional Class | 699 | 1,245 |
Class Z | 1 | - |
Total | $ 6,085 | $ 12,715 |
From net realized gain |
|
|
Class A | $ 11,846 | $ - |
Class T | 35,422 | - |
Class B | 522 | - |
Class C | 4,798 | - |
Institutional Class | 4,283 | - |
Class Z | 4 | - |
Total | $ 56,875 | $ - |
11. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 2,796 | 3,876 | $ 51,933 | $ 66,780 |
Reinvestment of distributions | 705 | 176 | 12,722 | 2,976 |
Shares redeemed | (1,545) | (4,158) | (28,618) | (70,968) |
Net increase (decrease) | 1,956 | (106) | $ 36,037 | $ (1,212) |
Semiannual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class T |
|
|
|
|
Shares sold | 5,744 | 11,028 | $ 107,487 | $ 191,060 |
Reinvestment of distributions | 2,078 | 442 | 37,836 | 7,519 |
Shares redeemed | (5,734) | (10,672) | (107,232) | (185,185) |
Net increase (decrease) | 2,088 | 798 | $ 38,091 | $ 13,394 |
Class B |
|
|
|
|
Shares sold | 29 | 91 | $ 529 | $ 1,597 |
Reinvestment of distributions | 26 | 3 | 475 | 47 |
Shares redeemed | (131) | (330) | (2,422) | (5,668) |
Net increase (decrease) | (76) | (236) | $ (1,418) | $ (4,024) |
Class C |
|
|
|
|
Shares sold | 1,529 | 1,878 | $ 28,249 | $ 32,570 |
Reinvestment of distributions | 257 | 24 | 4,619 | 408 |
Shares redeemed | (444) | (897) | (8,170) | (15,312) |
Net increase (decrease) | 1,342 | 1,005 | $ 24,698 | $ 17,666 |
Institutional Class |
|
|
|
|
Shares sold | 2,087 | 3,287 | $ 39,269 | $ 57,536 |
Reinvestment of distributions | 263 | 70 | 4,817 | 1,210 |
Shares redeemed | (1,295) | (1,941) | (24,459) | (34,432) |
Net increase (decrease) | 1,055 | 1,416 | $ 19,627 | $ 24,314 |
Class Z |
|
|
|
|
Shares sold | - | 5 | $ - | $ 100 |
Reinvestment of distributions | 1 | - | 5 | - |
Net increase (decrease) | 1 | 5 | $ 5 | $ 100 |
A Share transactions for Class Z are for the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
Investment Adviser
Fidelity Management &
Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Investments
Money Management, Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(U.K.) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
(Fidelity Investment logo)(registered trademark)
AIGZ-USAN-0414 1.969413.100
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series I's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series I's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series I
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | April 25, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kenneth B. Robins |
| Kenneth B. Robins |
| President and Treasurer |
|
|
Date: | April 25, 2014 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | April 25, 2014 |