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: | October 31 |
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Date of reporting period: | April 30, 2013 |
Item 1. Reports to Stockholders
Fidelity®
Floating Rate High Income
Fund
(A Class of Fidelity Advisor®
Floating Rate High Income Fund)
Semiannual Report
April 30, 2013
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 financial statements. | |
Report of Independent Registered Public Accounting Firm |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized Expense RatioB | Beginning | Ending | Expenses Paid |
Class A | 1.00% |
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Actual |
| $ 1,000.00 | $ 1,028.60 | $ 5.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | 1.10% |
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|
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Actual |
| $ 1,000.00 | $ 1,028.10 | $ 5.53 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.34 | $ 5.51 |
Class B | 1.53% |
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|
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Actual |
| $ 1,000.00 | $ 1,025.90 | $ 7.69 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.21 | $ 7.65 |
Class C | 1.76% |
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Actual |
| $ 1,000.00 | $ 1,024.70 | $ 8.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.07 | $ 8.80 |
Fidelity Floating Rate High Income Fund | .71% |
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Actual |
| $ 1,000.00 | $ 1,030.10 | $ 3.57 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.27 | $ 3.56 |
Institutional Class | .76% |
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Actual |
| $ 1,000.00 | $ 1,029.90 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.03 | $ 3.81 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
HCA, Inc. | 5.2 | 4.3 |
Community Health Systems, Inc. | 2.6 | 2.9 |
H.J. Heinz Co. | 2.3 | 0.0 |
Intelsat Jackson Holdings SA | 2.3 | 2.7 |
First Data Corp. | 2.3 | 1.9 |
| 14.7 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Healthcare | 16.2 | 16.0 |
Telecommunications | 9.0 | 8.5 |
Technology | 7.6 | 7.7 |
Cable TV | 6.3 | 5.9 |
Electric Utilities | 5.4 | 5.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 3.3% |
| BBB 4.4% |
| ||||
BB 44.8% |
| BB 43.0% |
| ||||
B 32.8% |
| B 31.9% |
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CCC,CC,C 2.0% |
| CCC,CC,C 2.7% |
| ||||
D 0.0% |
| D 0.0% |
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Not Rated 8.8% |
| Not Rated 6.1% |
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Equities 0.2% |
| Equities 0.2% |
| ||||
Short-Term |
| Short-Term |
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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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Floating Rate |
| Floating Rate |
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Nonconvertible |
| Nonconvertible |
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Common Stocks 0.2% |
| Common Stocks 0.2% |
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Short-Term |
| Short-Term |
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* Foreign investments | 10.2% |
| ** Foreign investments | 9.0% |
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Semiannual Report
Investments April 30, 2013
Showing Percentage of Net Assets
Floating Rate Loans (f) - 81.1% | ||||
| Principal Amount (000s) | Value (000s) | ||
Aerospace - 1.2% | ||||
Aeroflex, Inc. Tranche B, term loan 5.75% 5/9/18 (d) | $ 1,864 | $ 1,892 | ||
Sequa Corp. Tranche B, term loan 5.25% 6/19/17 (d) | 11,970 | 12,150 | ||
Silver II US Holdings LLC Tranche B, term loan 4% 12/13/19 (d) | 21,945 | 22,137 | ||
Spirit Aerosystems, Inc. Tranche B, term loan 3.75% 4/18/19 (d) | 7,905 | 7,984 | ||
TransDigm, Inc.: | ||||
Tranche B, term loan 3.5% 2/14/17 (d) | 17,955 | 18,179 | ||
Tranche C, term loan 3.75% 2/19/20 (d) | 83,790 | 84,837 | ||
| 147,179 | |||
Air Transportation - 0.4% | ||||
Delta Air Lines, Inc. Tranche B 1LN, term loan 4% 10/18/18 (d) | 3,990 | 3,950 | ||
Northwest Airlines Corp. Tranche B, term loan 3.79% 12/22/13 (d) | 1,746 | 1,729 | ||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (d) | 37,348 | 37,301 | ||
| 42,980 | |||
Automotive - 2.4% | ||||
Affinia Group, Inc.: | ||||
Tranche B 1LN, term loan 3.5% 4/11/16 (d) | 6,385 | 6,417 | ||
Tranche B 2LN, term loan 4.75% 4/11/20 (d) | 14,395 | 14,575 | ||
Allison Transmission, Inc.: | ||||
Tranche B 2LN, term loan 3.2% 8/7/17 (d) | 37,720 | 38,098 | ||
Tranche B 3LN, term loan 4.25% 8/23/19 (d) | 20,850 | 21,111 | ||
Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (d) | 64,377 | 65,181 | ||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.1375% 12/27/14 (d) | 35,084 | 33,329 | ||
Tranche C, term loan 2.1375% 12/27/15 (d) | 17,900 | 17,005 | ||
Schaeffler AG Tranche C, term loan 4.25% 1/27/17 (d) | 36,000 | 36,405 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 4.75% 4/30/19 (d) | 37,000 | 37,278 | ||
Tower Automotive Holdings USA LLC Tranche B, term loan 5.75% 4/23/20 (d) | 25,000 | 25,438 | ||
| 294,837 | |||
Broadcasting - 3.5% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.8482% 1/29/16 (d) | 28,957 | 26,568 | ||
Cumulus Media Holdings, Inc. Tranche 1LN, term loan 4.5% 9/16/18 (d) | 9,950 | 10,099 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Broadcasting - continued | ||||
FoxCo Acquisition Sub, LLC Tranche B, term loan 5.5% 7/14/17 (d) | $ 6,965 | $ 7,087 | ||
Gray Television, Inc. Tranche B, term loan 4.75% 10/11/19 (d) | 2,892 | 2,939 | ||
Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (d) | 4,988 | 5,050 | ||
NEP/NCP Holdco, Inc.: | ||||
Tranche 2LN, term loan 9.5% 7/22/20 (d) | 2,857 | 2,971 | ||
Tranche B, term loan 4.75% 2/13/20 (d) | 11,970 | 12,150 | ||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. Tranche B, term loan 4.5% 12/3/19 (d) | 2,500 | 2,538 | ||
Nielsen Finance LLC Tranche E, term loan 2.9503% 5/1/16 (d) | 171,332 | 173,473 | ||
Nine Entertainment (DELAWARE) Tranche B, term loan 3.5% 1/28/20 (d) | 12,000 | 12,015 | ||
Raycom Media, Inc. Tranche B, term loan 4.25% 5/31/17 (d) | 4,913 | 4,937 | ||
TWCC Holding Corp. term loan 3.5% 2/11/17 (d) | 58,081 | 59,098 | ||
Univision Communications, Inc.: | ||||
term loan 4.75% 3/1/20 (d) | 85,700 | 86,450 | ||
Tranche 1LN, term loan 4.75% 3/1/20 (d) | 28,979 | 29,232 | ||
| 434,607 | |||
Building Materials - 1.1% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 3/27/20 (d) | 31,120 | 31,315 | ||
Armstrong World Industries, Inc. Tranche B, term loan 3.5% 3/15/20 (d) | 29,000 | 29,145 | ||
HD Supply, Inc. Tranche B 1LN, term loan 4.5% 10/12/17 (d) | 26,810 | 27,145 | ||
Milacron LLC Tranche B, term loan 4.25% 3/28/20 (d) | 3,000 | 3,015 | ||
Pinafore LLC Tranche B 2LN, term loan 3.75% 9/21/16 (d) | 43,158 | 43,805 | ||
Unifrax I LLC Tranche B, term loan 4.25% 11/28/18 (d) | 2,993 | 3,019 | ||
| 137,444 | |||
Cable TV - 5.8% | ||||
Atlantic Broadband Holdings I, LLC Tranche B, term loan 4.5% 11/30/19 (d) | 13,373 | 13,607 | ||
Bragg Communications, Inc. Tranche B, term loan 3.5% 2/28/18 (d) | 10,395 | 10,538 | ||
Bresnan Broadband Holdings LLC Tranche B, term loan 4.5% 12/14/17 (d) | 32,610 | 32,814 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cable TV - continued | ||||
CCO Holdings, LLC Tranche 3LN, term loan 2.6982% 9/6/14 (d) | $ 69,097 | $ 69,097 | ||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (d) | 122,000 | 122,763 | ||
Charter Communications Operating LLC: | ||||
Tranche C, term loan 3.45% 9/6/16 (d) | 32,770 | 32,770 | ||
Tranche D, term loan 4% 4/11/19 (d) | 46,042 | 46,042 | ||
Tranche E, term loan 4/10/20 | 34,320 | 34,277 | ||
Tranche F, term loan 3% 1/31/21 (d) | 95,425 | 95,425 | ||
CSC Holdings LLC Tranche B, term loan 5.1992% 4/17/20 (d) | 109,380 | 109,107 | ||
Kabel Deutschland GmbH Tranche F, term loan 3.25% 2/1/19 (d) | 8,000 | 7,990 | ||
Mediacom Broadband LLC Tranche F, term loan 4.5% 10/23/17 (d) | 16,513 | 16,678 | ||
Mediacom LLC Tranche E, term loan 4.5% 10/23/17 (d) | 2,888 | 2,881 | ||
RCN Telecom Services, LLC Tranche B, term loan 5.25% 3/1/20 (d) | 7,000 | 7,114 | ||
UPC Broadband Holding BV: | ||||
Tranche AF, term loan 4% 1/31/21 (d) | 16,000 | 16,160 | ||
Tranche AH, term loan 3.25% 6/30/21 (d) | 34,000 | 33,958 | ||
Virgin Media Finance PLC Tranche B, term loan 2/15/20 | 20,000 | 19,950 | ||
WaveDivision Holdings LLC Tranche B, term loan 4% 8/9/19 (d) | 5,985 | 6,045 | ||
WideOpenWest Finance LLC Tranche B, term loan 6% 4/1/19 (d) | 33,000 | 33,413 | ||
Zayo Group LLC Tranche B, term loan 4.75% 7/2/19 (d) | 3,990 | 4,030 | ||
| 714,659 | |||
Capital Goods - 0.8% | ||||
Alliance Laundry Systems LLC Tranche B, term loan 4.5% 12/10/18 (d) | 2,985 | 3,015 | ||
Apex Tool Group, LLC Tranche B, term loan 4.5% 2/1/20 (d) | 16,000 | 16,180 | ||
Colfax Corp. Tranche B, term loan 3.25% 1/1/19 (d) | 3,990 | 4,020 | ||
Doncasters PLC: | ||||
Tranche B 1LN, term loan 5.5% 4/9/20 (d) | 20,000 | 20,150 | ||
Tranche B 2LN, term loan 9.5% 10/9/20 (d) | 8,000 | 8,000 | ||
Husky Intermediate, Inc. Tranche B, term loan 4.25% 6/30/18 (d) | 4,000 | 4,070 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Capital Goods - continued | ||||
Rexnord LLC Tranche B, term loan 3.75% 4/1/18 (d) | $ 13,375 | $ 13,508 | ||
SRAM LLC. Tranche B, term loan 4% 4/4/20 (d) | 25,000 | 25,188 | ||
| 94,131 | |||
Chemicals - 2.7% | ||||
Arizona Chemical Tranche B, term loan 5.25% 12/22/17 (d) | 5,480 | 5,569 | ||
Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (d) | 3,960 | 4,010 | ||
Celanese Holdings LLC: | ||||
Revolving Credit-Linked Deposit 1.701% 4/2/14 (d) | 45,422 | 45,308 | ||
Tranche C, term loan 3.0336% 10/31/16 (d) | 22,040 | 22,260 | ||
Chemtura Corp. term loan 5.5% 8/27/16 (d) | 27,854 | 28,168 | ||
Cyanco Intermediate Corp. Tranche B, term loan 5.5% 4/29/20 (d) | 39,700 | 39,899 | ||
Eagle Spinco, Inc. Tranche B, term loan 3.5% 1/28/17 (d) | 8,430 | 8,567 | ||
Edwards Ltd. Tranche B, term loan 4.75% 3/22/20 (d) | 9,635 | 9,707 | ||
Emerald Performance Materials, LLC Tranche B, term loan 6.75% 5/11/18 (d) | 2,978 | 2,985 | ||
General Chemical Corp. Tranche B, term loan 5.0019% 10/6/15 (d) | 3,199 | 3,215 | ||
Huntsman International LLC Tranche B, term loan 2.743% 4/19/17 (d) | 13,900 | 13,935 | ||
INEOS U.S. Finance LLC term loan: | ||||
5.5% 4/27/15 (d) | 6,930 | 6,999 | ||
6.5% 4/27/18 (d) | 30,690 | 31,035 | ||
Kronos Worldwide, Inc. term loan 7% 6/13/18 (d) | 1,000 | 1,010 | ||
Millennium America/Millennium Inorganic Chemicals Ltd. Tranche 2LN, term loan 6.0336% 11/18/14 (d) | 1,996 | 2,003 | ||
OMNOVA Solutions, Inc. Tranche B 1LN, term loan 4.25% 5/31/17 (d) | 3,000 | 3,038 | ||
Rockwood Specialties Group, Inc. Tranche B, term loan 3.75% 2/10/18 (d) | 14,725 | 14,799 | ||
Taminco Global Chemical Corp. Tranche B 2LN, term loan 4.25% 2/15/19 (d) | 6,796 | 6,830 | ||
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 4.5% 3/19/20 (d) | 20,000 | 20,225 | ||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (d) | 55,000 | 55,688 | ||
| 325,250 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Consumer Products - 1.2% | ||||
ACCO Brands Corp. Tranche B, term loan 4.25% 3/7/19 (d) | $ 6,892 | $ 6,927 | ||
Bombardier Recreational Products, Inc. Tranche B, term loan 5% 1/30/19 (d) | 5,000 | 5,038 | ||
Jarden Corp.: | ||||
Tranche A 1LN, term loan 2.1982% 3/31/16 (d) | 4,988 | 5,050 | ||
Tranche B, term loan 2.6982% 3/31/18 (d) | 33,850 | 34,188 | ||
NBTY, Inc. Tranche B 2LN, term loan 3.5% 10/1/17 (d) | 14,179 | 14,285 | ||
Prestige Brands, Inc. Tranche B, term loan 3.75% 1/31/19 (d) | 19,729 | 20,000 | ||
Revlon Consumer Products Corp. Tranche B, term loan 4% 11/19/17 (d) | 13,500 | 13,686 | ||
Spectrum Brands Holdings, Inc. Tranche B, term loan 4.5% 11/1/19 (d) | 12,354 | 12,524 | ||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (d) | 9,000 | 9,158 | ||
Tempur-Pedic International Inc. Tranche B, term loan 5% 12/12/19 (d) | 13,965 | 14,193 | ||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (d) | 13,965 | 13,982 | ||
Yankee Candle Co., Inc. Tranche B, term loan 5.25% 4/2/19 (d) | 3,610 | 3,624 | ||
| 152,655 | |||
Containers - 2.2% | ||||
Berlin Packaging,LLC: | ||||
Tranche 1LN, term loan 4.75% 3/28/19 (d) | 11,570 | 11,715 | ||
Tranche 2LN, term loan 8.75% 3/28/20 (d) | 3,855 | 3,922 | ||
Berry Plastics Group, Inc. term loan 3.5% 2/8/20 (d) | 98,000 | 97,878 | ||
Berry Plastics Holding Corp. Tranche C, term loan 2.1982% 4/3/15 (d) | 4,714 | 4,708 | ||
BWAY Holding Co. Tranche B, term loan 4.5% 8/31/17 (d) | 15,302 | 15,493 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (d) | 10,945 | 11,109 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.75% 9/28/18 (d) | 98,505 | 100,106 | ||
Sealed Air Corp. Tranche B, term loan 4% 10/3/18 (d) | 20,387 | 20,744 | ||
Tricorbraun, Inc. Tranche B, term loan 5.5% 4/30/18 (d) | 3,970 | 3,982 | ||
| 269,657 | |||
Diversified Financial Services - 2.0% | ||||
Clipper Acquisitons Corp. Tranche B, term loan 4% 2/6/20 (d) | 2,993 | 3,022 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Diversified Financial Services - continued | ||||
Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (d) | $ 29,440 | $ 29,661 | ||
Duff & Phelps Corp. Tranche B, term loan 4.5% 3/14/20 (d) | 3,000 | 3,030 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (d) | 11,000 | 11,041 | ||
Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (d) | 15,699 | 15,915 | ||
Flying Fortress, Inc. term loan 3.5% 6/30/17 (d) | 58,333 | 58,771 | ||
HarbourVest Partners LLC Tranche B, term loan 4.75% 11/21/17 (d) | 4,538 | 4,538 | ||
Klockner Pentaplast SA Tranche B 1LN, term loan 5.75% 12/21/16 (d) | 3,779 | 3,836 | ||
LPL Holdings, Inc. Tranche B, term loan 4% 3/29/19 (d) | 13,860 | 13,982 | ||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (d) | 30,925 | 31,389 | ||
Sheridan Investment Partners I, LLC Tranche B 2LN, term loan 5% 10/1/19 (d) | 8,955 | 9,067 | ||
Star West Generation LLC Tranche B, term loan 5% 3/13/20 (d) | 16,000 | 16,300 | ||
TransUnion LLC Tranche B, term loan 4.25% 2/10/19 (d) | 27,818 | 28,270 | ||
Vantiv LLC Tranche B, term loan 3.75% 3/27/19 (d) | 20,012 | 20,112 | ||
| 248,934 | |||
Diversified Media - 0.1% | ||||
Advanstar Communications, Inc. Tranche 1LN, term loan 2.54% 5/31/14 (d) | 1,948 | 1,822 | ||
Lamar Media Corp. Tranche B, term loan 4% 12/31/16 (d) | 978 | 983 | ||
WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (d) | 10,912 | 11,021 | ||
| 13,826 | |||
Electric Utilities - 4.7% | ||||
Calpine Corp.: | ||||
Tranche B 2LN, term loan 4% 4/1/18 (d) | 11,835 | 11,983 | ||
Tranche B 3LN, term loan 4% 10/9/19 (d) | 29,862 | 30,236 | ||
Tranche B, term loan 4% 4/1/18 (d) | 110,070 | 111,446 | ||
Covanta Energy Corp. Tranche B, term loan 3.5% 3/28/19 (d) | 15,865 | 16,103 | ||
Dynegy, Inc.: | ||||
Tranche B 1LN, term loan 4% 4/16/20 (d) | 16,225 | 16,286 | ||
Tranche B 2LN, term loan 4% 4/16/20 (d) | 25,960 | 26,057 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Electric Utilities - continued | ||||
EquiPower Resources Holdings LLC: | ||||
Tranche 2LN, term loan 10% 6/21/19 (d) | $ 795 | $ 815 | ||
Tranche B 1LN, term loan 5.5% 12/21/18 (d) | 15,843 | 16,041 | ||
Essential Power LLC Tranche B, term loan 4.4969% 8/8/19 (d) | 4,798 | 4,870 | ||
NRG Energy, Inc. Tranche B, term loan 3.25% 7/1/18 (d) | 82,585 | 83,410 | ||
NSG Holdings LLC Tranche B, term loan 4.75% 12/11/19 (d) | 2,993 | 3,030 | ||
Tempus Public Foundation Generation Holdings LLC: | ||||
Credit-Linked Deposit 2.311% 12/15/13 (d) | 983 | 983 | ||
Tranche 2LN, term loan 4.4482% 12/15/14 (d) | 24,657 | 24,657 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan: | ||||
3.7313% 10/10/14 (d) | 81,117 | 60,736 | ||
4.7313% 10/10/17 (d) | 114,252 | 83,832 | ||
The AES Corp. Tranche B, term loan 3.75% 6/1/18 (d) | 75,000 | 76,125 | ||
Topaz Power Holdings, LLC Tranche B, term loan 5.25% 2/21/20 (d) | 10,973 | 11,055 | ||
Windsor Financing, LLC Tranche B, term loan 6.25% 12/5/17 (d) | 2,932 | 3,005 | ||
| 580,670 | |||
Energy - 1.6% | ||||
Alon USA Partners LP term loan 9.25% 11/13/18 (d) | 8,867 | 9,177 | ||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (d) | 49,000 | 50,715 | ||
Citgo Petroleum Corp. Tranche B, term loan 8% 6/24/15 (d) | 873 | 886 | ||
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (d) | 16,200 | 16,261 | ||
EP Energy LLC term loan 4.5% 4/30/19 (d) | 4,000 | 4,045 | ||
Everest Acquisition LLC Tranche B 1LN, term loan 5% 4/24/18 (d) | 11,000 | 11,055 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.5% 6/28/19 (d) | 3,800 | 3,848 | ||
MEG Energy Corp. Tranche B, term loan 3.75% 3/31/20 (d) | 8,977 | 9,067 | ||
MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (d) | 26,865 | 27,234 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (d) | 5,000 | 5,088 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (d) | 9,000 | 9,158 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Energy - continued | ||||
Plains Exploration & Production Co. term loan 4% 10/15/19 (d) | $ 8,000 | $ 8,000 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (d) | 15,000 | 15,170 | ||
Tallgrass Operations LLC Tranche B, term loan 5.25% 11/13/18 (d) | 5,985 | 6,030 | ||
Vantage Drilling Co. Tranche B, term loan 5.75% 3/18/19 (d) | 15,000 | 15,188 | ||
| 190,922 | |||
Entertainment/Film - 0.4% | ||||
AMC Entertainment, Inc. Tranche B, term loan 3.5% 4/23/20 (d) | 20,000 | 20,125 | ||
Cinemark USA, Inc. Tranche B, term loan 3.2% 12/18/19 (d) | 29,925 | 30,224 | ||
EMI Music Publishing Ltd. Tranche B, term loan 4.5% 3/15/19 (d) | 3,000 | 3,045 | ||
| 53,394 | |||
Environmental - 0.6% | ||||
ADS Waste Holdings, Inc. Tranche B, term loan 4.25% 10/9/19 (d) | 35,910 | 36,314 | ||
Progressive Waste Solution Ltd. Tranche B, term loan 3.5% 10/24/19 (d) | 11,970 | 12,105 | ||
Synagro Technologies, Inc. Tranche 1LN, term loan 5.2801% 3/30/14 (d) | 399 | 389 | ||
Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (d) | 14,963 | 15,187 | ||
Tomkins Air Distribution Tranche B 1LN, term loan 5.25% 11/9/18 (d) | 3,990 | 4,050 | ||
| 68,045 | |||
Food & Drug Retail - 1.6% | ||||
Albertson's LLC Tranche B, term loan 5.75% 3/21/16 (d) | 24,000 | 24,270 | ||
GNC Corp. Tranche B, term loan 3.75% 3/2/18 (d) | 50,740 | 51,184 | ||
Rite Aid Corp.: | ||||
Tranche 1LN, term loan 4% 2/21/20 (d) | 44,000 | 44,550 | ||
Tranche 2LN, term loan 5.75% 8/21/20 (d) | 13,590 | 14,100 | ||
Sprouts Farmers Market LLC Tranche B, term loan 4.5% 4/12/20 (d) | 43,475 | 43,692 | ||
SUPERVALU, Inc. Tranche B, term loan 6.25% 3/21/19 (d) | 15,000 | 15,281 | ||
| 193,077 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Food/Beverage/Tobacco - 3.5% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (d) | $ 3,000 | $ 3,075 | ||
B&G Foods, Inc. Tranche B, term loan 4% 11/30/18 (d) | 3,957 | 4,017 | ||
Constellation Brands, Inc. Tranche B, term loan 2.75% 4/29/20 (d) | 26,195 | 26,195 | ||
Del Monte Foods Co. Tranche B, term loan 4% 3/8/18 (d) | 12,602 | 12,665 | ||
Earthbound Holdings III LLC Tranche B, term loan 5.75% 12/21/16 (d) | 6,843 | 6,808 | ||
H.J. Heinz Co.: | ||||
Tranche 2LN, term loan 2/28/14 | 15,000 | 15,000 | ||
Tranche B 1LN, term loan 3.25% 3/22/19 (d) | 25,000 | 25,125 | ||
Tranche B 2LN, term loan 3.5% 3/22/20 (d) | 244,290 | 246,122 | ||
JBS USA LLC Tranche B, term loan 3.75% 5/25/18 (d) | 21,945 | 22,000 | ||
Michael Foods, Inc. Tranche B, term loan 4.25% 2/25/18 (d) | 18,918 | 19,202 | ||
OSI Restaurant Partners LLC Tranche B, term loan 3.5% 10/26/19 (d) | 42,000 | 42,210 | ||
| 422,419 | |||
Gaming - 2.2% | ||||
Affinity Gaming LLC Tranche B, term loan 5.5% 11/9/17 (d) | 3,854 | 3,922 | ||
Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (d) | 26,114 | 26,277 | ||
Centaur Acquisition LLC Tranche 1LN, term loan 5.25% 2/20/19 (d) | 5,000 | 5,044 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (d) | 7,000 | 7,315 | ||
Harrah's Entertainment, Inc. Tranche B 4LN, term loan 9.5% 10/31/16 (d) | 3,949 | 3,998 | ||
Las Vegas Sands Corp. term loan 2.71% 11/23/15 (d) | 5,844 | 5,844 | ||
Las Vegas Sands LLC: | ||||
term loan 1.7% 5/23/14 (d) | 6,103 | 6,110 | ||
Tranche B, term loan: | ||||
1.7% 5/23/14 (d) | 29,882 | 29,920 | ||
2.7% 11/23/16 (d) | 20,905 | 20,931 | ||
Tranche I, term loan 2.7% 11/23/16 (d) | 4,202 | 4,207 | ||
MGM Mirage Tranche A, term loan 3.2836% 12/20/17 (d) | 6,983 | 7,000 | ||
MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (d) | 61,022 | 61,937 | ||
Motor City Casino Tranche B, term loan 6% 3/1/17 (d) | 4,560 | 4,617 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Gaming - continued | ||||
Penn National Gaming, Inc. Tranche B, term loan 3.75% 7/14/18 (d) | $ 36,820 | $ 37,189 | ||
Pinnacle Entertainment, Inc. Tranche B, term loan 4% 3/19/19 (d) | 9,900 | 9,962 | ||
Seminole Tribe of Florida Tranche B, term loan 3% 4/10/20 (d) | 14,710 | 14,747 | ||
Station Casinos LLC Tranche B, term loan 5% 2/19/20 (d) | 17,000 | 17,213 | ||
| 266,233 | |||
Healthcare - 15.8% | ||||
Alere, Inc.: | ||||
Tranche B 2LN, term loan 4.25% 6/30/17 (d) | 2,970 | 3,011 | ||
Tranche B, term loan 4.25% 6/30/17 (d) | 997 | 1,011 | ||
Alkermes, Inc. term loan 3.5% 9/25/19 (d) | 10,704 | 10,757 | ||
Apria Healthcare Group, Inc. Tranche B, term loan 6.75% 4/5/20 (d) | 24,000 | 24,060 | ||
Bausch & Lomb, Inc.: | ||||
Tranche B, term loan 5.25% 5/18/19 (d) | 72,894 | 73,714 | ||
Tranche DD, term loan: | ||||
3.4482% 6/30/16 (d) | 12,000 | 12,135 | ||
4.75% 6/30/15 (d) | 11,970 | 12,055 | ||
Biomet, Inc. term loan: | ||||
3.1998% 3/25/15 (d) | 1,670 | 1,688 | ||
3.9708% 7/25/17 (d) | 38,793 | 39,277 | ||
Carestream Health, Inc. term loan 5% 2/25/17 (d) | 2,788 | 2,795 | ||
Community Health Systems, Inc. term loan 3.7865% 1/25/17 (d) | 303,745 | 306,403 | ||
ConvaTec, Inc. term loan 5% 12/22/16 (d) | 4,000 | 4,060 | ||
DaVita, Inc.: | ||||
Tranche A, term loan 2.95% 10/20/15 (d) | 35,656 | 35,701 | ||
Tranche B 2LN, term loan 4% 8/21/19 (d) | 76,808 | 77,864 | ||
Tranche B, term loan 4.5% 10/20/16 (d) | 85,561 | 86,630 | ||
DJO Finance LLC Tranche B, term loan 4.75% 9/15/17 (d) | 7,880 | 7,998 | ||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (d) | 31,934 | 31,295 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (d) | 36,929 | 37,391 | ||
Endo Health Solutions, Inc. Tranche B, term loan 4% 6/17/18 (d) | 4,931 | 4,925 | ||
Fresenius SE & Co. KGaA: | ||||
Tranche D 1LN, term loan 3.25% 9/10/14 (d) | 37,612 | 37,659 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Healthcare - continued | ||||
Fresenius SE & Co. KGaA: - continued | ||||
Tranche D 2LN, term loan 3.25% 9/10/14 (d) | $ 22,620 | $ 22,649 | ||
Grifols, Inc. Tranche B, term loan 4.25% 6/1/17 (d) | 39,375 | 39,769 | ||
Hanger, Inc. Tranche C, term loan 4% 12/1/16 (d) | 7,792 | 7,830 | ||
HCA, Inc.: | ||||
Tranche A 3LN, term loan 3.4482% 2/2/16 (d) | 326,507 | 326,913 | ||
Tranche B 2LN, term loan 3.5336% 3/31/17 (d) | 134,201 | 134,201 | ||
Tranche B 4LN, term loan 2.9482% 5/1/18 (d) | 10,500 | 10,540 | ||
Tranche B 5LN, term loan 3.0336% 3/31/17 (d) | 165,000 | 165,549 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (d) | 21,408 | 21,194 | ||
Health Management Associates, Inc. Tranche B, term loan 3.5% 11/18/18 (d) | 43,307 | 43,740 | ||
Hologic, Inc. Tranche B, term loan 4.5% 8/1/19 (d) | 18,858 | 19,023 | ||
IASIS Healthcare LLC Tranche B 2LN, term loan 4.5% 5/3/18 (d) | 34,913 | 35,394 | ||
IMS Health, Inc. Tranche B 1LN, term loan 3.75% 8/26/17 (d) | 12,331 | 12,440 | ||
Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (d) | 13,825 | 13,998 | ||
Kinetic Concepts, Inc.: | ||||
Tranche C 1LN, term loan 5.5% 5/7/18 (d) | 11,940 | 12,149 | ||
Tranche C 2LN, term loan 5% 11/7/17 (d) | 1,990 | 2,017 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 2.7% 7/24/17 (d) | 14,963 | 15,019 | ||
MModal, Inc. Tranche B, term loan 6.75% 8/17/19 (d) | 10,000 | 9,800 | ||
Par Pharmaceutical Companies, Inc. Tranche B 1LN, term loan 4.25% 9/28/19 (d) | 8,955 | 9,045 | ||
Quintiles Transnational Corp.: | ||||
Tranche B 1LN, term loan 4.5% 6/8/18 (d) | 6,872 | 6,941 | ||
Tranche B, term loan 4.5% 6/8/18 (d) | 10,674 | 10,821 | ||
Rural/Metro Corp. Tranche B, term loan 5.75% 6/30/18 (d) | 5,845 | 5,838 | ||
Sheridan Healthcare, Inc.: | ||||
Tranche 1LN, term loan 4.5% 6/29/18 (d) | 6,953 | 7,039 | ||
Tranche 2LN, term loan 9% 6/29/19 (d) | 3,000 | 3,030 | ||
Skilled Healthcare Group, Inc. term loan 6.75% 4/9/16 (d) | 2,925 | 2,943 | ||
Team Health, Inc. Tranche B, term loan 3.75% 6/29/18 (d) | 6,878 | 6,929 | ||
United Surgical Partners International, Inc. term loan: | ||||
0% 4/3/19 (d) | 1,000 | 993 | ||
4.75% 4/3/19 (d) | 2,992 | 3,037 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Healthcare - continued | ||||
Universal Health Services, Inc.: | ||||
term loan 3.75% 11/15/16 (d) | $ 47,850 | $ 48,329 | ||
Tranche A, term loan 2.0343% 11/15/15 (d) | 10,948 | 10,920 | ||
Valeant Pharmaceuticals International: | ||||
Tranche BC 1LN, term loan 3.5% 12/11/19 (d) | 30,923 | 31,270 | ||
Tranche BD 1LN, term loan 3.5% 2/13/19 (d) | 46,613 | 47,138 | ||
Vanguard Health Holding Co. II LLC Tranche B, term loan 3.75% 1/29/16 (d) | 26,880 | 27,251 | ||
VWR Funding, Inc. Tranche B, term loan 4.2037% 4/3/17 (d) | 12,269 | 12,423 | ||
| 1,936,601 | |||
Homebuilders/Real Estate - 0.9% | ||||
Capital Automotive LP Tranche B, term loan 4.25% 4/10/19 (d) | 7,949 | 8,008 | ||
CB Richard Ellis Services, Inc. Tranche B, term loan 2.9537% 3/28/21 (d) | 17,000 | 17,085 | ||
RE/MAX LLC term loan 5.5% 4/14/16 (d) | 3,380 | 3,413 | ||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2037% 10/10/13 (d) | 3,186 | 3,178 | ||
Credit-Linked Deposit 4.4537% 10/10/16 (d) | 3,378 | 3,370 | ||
Realogy Group LLC Tranche B, term loan 4.5% 3/1/20 (d) | 72,000 | 72,720 | ||
Walter Investment Management Corp. Tranche B, term loan 5.75% 11/28/17 (d) | 7,825 | 7,962 | ||
| 115,736 | |||
Insurance - 0.6% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (d) | 53,865 | 54,538 | ||
CNO Financial Group, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 9/28/16 (d) | 5,400 | 5,474 | ||
Tranche B 2LN, term loan 5% 9/28/18 (d) | 13,381 | 13,632 | ||
| 73,644 | |||
Leisure - 0.5% | ||||
Cedar Fair LP Tranche B, term loan 3.25% 3/1/20 (d) | 9,365 | 9,470 | ||
FGI Operating Co., LLC term loan 5.5% 4/19/19 (d) | 3,972 | 3,972 | ||
SeaWorld Parks & Entertainment, Inc. term loan 4% 8/17/17 (d) | 35,093 | 35,356 | ||
Six Flags, Inc. Tranche B, term loan 4.0005% 12/20/18 (d) | 14,856 | 15,004 | ||
| 63,802 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Metals/Mining - 2.2% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (d) | $ 6,983 | $ 7,070 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (d) | 3,000 | 3,058 | ||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (d) | 24,825 | 25,135 | ||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (d) | 1,323 | 1,337 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (d) | 109,465 | 110,833 | ||
Novelis, Inc. Tranche B, term loan 3.75% 3/10/17 (d) | 77,670 | 79,030 | ||
SunCoke Energy, Inc. Tranche B, term loan 4% 7/26/18 (d) | 2,260 | 2,260 | ||
Walter Energy, Inc.: | ||||
Tranche A, term loan 4.7795% 4/1/16 (d) | 2,225 | 2,253 | ||
Tranche B, term loan 5.75% 4/1/18 (d) | 39,958 | 40,457 | ||
| 271,433 | |||
Paper - 0.0% | ||||
Bear Island Paper Co. LLC Tranche B 2LN, term loan 12% 9/13/17 | 227 | 193 | ||
Publishing/Printing - 0.9% | ||||
Cenveo Corp. Tranche B, term loan 6.25% 4/5/20 (d) | 9,355 | 9,495 | ||
Dex Media East LLC term loan 2.7502% 10/24/14 (d) | 7,383 | 5,316 | ||
Dex Media West LLC/Dex Media West Finance Co. term loan 7.25% 10/24/14 (d) | 1,691 | 1,331 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (d) | 21,945 | 22,247 | ||
Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (d) | 16,578 | 16,743 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (d) | 19,000 | 18,715 | ||
Newsday LLC Tranche A, term loan 3.6982% 10/12/16 (d) | 15,000 | 14,981 | ||
Quad/Graphics, Inc. Tranche B, term loan 4% 7/26/18 (d) | 11,160 | 11,258 | ||
Tribune Co. term loan 4% 12/31/19 (d) | 11,970 | 12,150 | ||
| 112,236 | |||
Restaurants - 0.9% | ||||
Burger King Corp. Tranche B, term loan 3.75% 9/28/19 (d) | 33,477 | 33,812 | ||
DineEquity, Inc. Tranche B 2LN, term loan 3.75% 10/19/17 (d) | 6,516 | 6,614 | ||
Dunkin Brands, Inc. Tranche B 3LN, term loan 3.75% 2/14/20 (d) | 47,870 | 48,409 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Restaurants - continued | ||||
Focus Brands, Inc. Tranche B 1LN, term loan 4.2675% 2/21/18 (d) | $ 5,331 | $ 5,331 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4.75% 4/24/18 (d) | 9,915 | 10,051 | ||
NPC International, Inc. Tranche B, term loan 4.5% 12/28/18 (d) | 4,963 | 5,025 | ||
Wok Acquisition Corp. Tranche B, term loan 5.25% 6/22/19 (d) | 1,990 | 2,025 | ||
| 111,267 | |||
Services - 3.8% | ||||
Allied Security Holdings LLC Tranche B 1LN, term loan 5.25% 2/4/17 (d) | 7,350 | 7,405 | ||
ARAMARK Corp.: | ||||
Credit-Linked Deposit 2.0847% 1/26/14 (d) | 2,528 | 2,528 | ||
Credit-Linked Deposit 3.7087% 7/26/16 (d) | 3,579 | 3,605 | ||
Tranche B, term loan: | ||||
3.6982% 7/26/16 (d) | 54,415 | 54,823 | ||
4% 8/22/19 (d) | 10,000 | 10,125 | ||
Tranche C, term loan 3.7541% 7/26/16 (d) | 73,455 | 73,822 | ||
3.7037% 7/26/16 (d) | 4,666 | 4,666 | ||
Avis Budget Group, Inc. Tranche B, term loan 3.75% 3/1/19 (d) | 15,000 | 15,206 | ||
Brickman Group Holdings, Inc. Tranche B 1LN, term loan 5.5% 10/14/16 (d) | 3,992 | 4,042 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 4% 1/30/20 (d) | 23,561 | 23,797 | ||
Hertz Corp.: | ||||
Tranche B 2LN, term loan 3% 3/11/18 (d) | 38,215 | 38,311 | ||
Tranche B, term loan 3.75% 3/11/18 (d) | 22,861 | 23,089 | ||
Interactive Data Corp. Tranche B 2LN, term loan 3.75% 2/11/18 (d) | 32,650 | 32,977 | ||
KAR Auction Services, Inc. Tranche B, term loan 3.75% 5/8/17 (d) | 37,035 | 37,405 | ||
Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (d) | 32,287 | 32,489 | ||
Sedgwick Claims Management Services, Inc. Tranche B 2LN, term loan 4% 12/31/16 (d) | 6,550 | 6,615 | ||
ServiceMaster Co.: | ||||
term loan 4.25% 1/31/17 (d) | 45,895 | 46,354 | ||
Tranche B2, term loan 4.46% 1/31/17 (d) | 21,830 | 22,048 | ||
SESAC Holdco II LLC Tranche B 1LN, term loan 6% 2/8/19 (d) | 3,990 | 4,040 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Services - continued | ||||
SymphonyIRI Group, Inc. Tranche B, term loan 4.5% 12/1/17 (d) | $ 12,967 | $ 13,097 | ||
The Geo Group, Inc. Tranche B, term loan 3.25% 4/1/20 (d) | 6,000 | 6,038 | ||
| 462,482 | |||
Shipping - 0.2% | ||||
Ozburn Hessey Holding Co. LLC Tranche 2LN, term loan 11.5% 10/8/16 (d) | 667 | 640 | ||
Swift Transportation Co. LLC Tranche B 2LN, term loan 4% 12/21/17 (d) | 18,000 | 18,270 | ||
| 18,910 | |||
Steel - 0.0% | ||||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (d) | 2,962 | 2,992 | ||
Super Retail - 2.7% | ||||
Academy Ltd. Tranche B, term loan 4.6386% 8/3/18 (d) | 31,223 | 31,691 | ||
Bass Pro Group LLC Tranche B, term loan 4% 11/20/19 (d) | 18,618 | 18,804 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 1LN, term loan 4.25% 9/26/19 (d) | 42,307 | 42,730 | ||
Tranche 2LN, term loan 9.75% 3/26/20 (d) | 11,000 | 11,385 | ||
Evergreen Acquisition Co. Tranche C, term loan 5% 7/20/19 (d) | 1,980 | 2,007 | ||
J. Crew Group, Inc. Tranche B 1LN, term loan 4% 3/7/18 (d) | 42,963 | 43,393 | ||
Michaels Stores, Inc. Tranche B, term loan 3.75% 1/28/20 (d) | 23,060 | 23,305 | ||
Neiman Marcus Group, Inc. Tranche B, term loan 4% 5/16/18 (d) | 22,000 | 22,193 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (d) | 40,774 | 41,182 | ||
Pilot Travel Centers LLC: | ||||
Tranche B 2LN, term loan 4.25% 8/7/19 (d) | 22,849 | 22,506 | ||
Tranche B, term loan 3.75% 3/30/18 (d) | 1,933 | 1,894 | ||
Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (d) | 12,968 | 13,130 | ||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (d) | 7,859 | 7,929 | ||
Toys 'R' Us, Inc.: | ||||
term loan 6% 9/1/16 (d) | 16,540 | 16,540 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Super Retail - continued | ||||
Toys 'R' Us, Inc.: - continued | ||||
Tranche B2, term loan 5.25% 5/25/18 (d) | $ 8,843 | $ 8,599 | ||
Wesco Distribution, Inc. Tranche B, term loan 4.5% 12/12/19 (d) | 17,955 | 18,135 | ||
| 325,423 | |||
Technology - 6.8% | ||||
Ancestry.com, Inc. Tranche B, term loan 7% 12/28/18 (d) | 32,932 | 33,385 | ||
Avaya, Inc.: | ||||
Tranche B 3LN, term loan 4.7881% 10/26/17 (d) | 37,425 | 34,805 | ||
Tranche B 5LN, term loan 8% 3/31/18 (d) | 10,968 | 10,955 | ||
Ceridian Corp. Tranche B, term loan 5.9492% 5/10/17 (d) | 1,996 | 2,034 | ||
CommScope, Inc. Tranche B 1LN, term loan 3.75% 1/14/18 (d) | 4,987 | 5,037 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.5% 4/25/20 (d) | 40,000 | 40,100 | ||
Fibertech Networks, LLC Tranche B, term loan 4.75% 12/18/19 (d) | 6,983 | 7,105 | ||
First Data Corp.: | ||||
term loan: | ||||
4.1992% 3/24/18 (d) | 64,079 | 63,919 | ||
4.2003% 3/24/17 (d) | 118,529 | 118,233 | ||
Tranche B, term loan 4.1987% 9/24/18 (d) | 42,410 | 42,304 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4482% 10/1/14 (d) | 127 | 128 | ||
Tranche B A2, term loan 2.4482% 10/1/14 (d) | 196 | 196 | ||
Tranche B A3, term loan 2.4482% 10/1/14 (d) | 229 | 229 | ||
Tranche B-A, term loan 2.4482% 10/1/14 (d) | 443 | 444 | ||
Freescale Semiconductor, Inc.: | ||||
Tranche B 3LN, term loan 4.25% 12/1/16 (d) | 11,000 | 11,138 | ||
Tranche B 4LN, term loan 5% 3/1/20 (d) | 82,000 | 83,025 | ||
Generac Power Systems, Inc. Tranche B, term loan 6.25% 5/30/18 (d) | 3,624 | 3,679 | ||
Genpact Ltd. Tranche B, term loan 4.25% 8/30/19 (d) | 13,930 | 14,174 | ||
Kronos, Inc. Tranche B 1LN, term loan 4.5% 10/30/19 (d) | 24,938 | 25,249 | ||
Lawson Software, Inc.: | ||||
Tranche B 1LN, term loan 5.75% 10/5/16 (d) | 2,550 | 2,569 | ||
Tranche B 2LN, term loan 5.25% 4/5/18 (d) | 13,930 | 14,157 | ||
NXP BV: | ||||
Tranche A 1LN, term loan 4.5% 3/4/17 (d) | 77,370 | 79,111 | ||
Tranche C, term loan 4.75% 1/11/20 (d) | 26,933 | 27,606 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Technology - continued | ||||
Reynolds & Reynolds Co. Tranche B, term loan 3.75% 4/21/18 (d) | $ 15,887 | $ 16,125 | ||
Rovi Corp. Tranche A, term loan 2.7% 2/7/16 (d) | 5,107 | 5,107 | ||
Sensata Technologies BV Tranche B, term loan 3.75% 5/12/18 (d) | 16,348 | 16,552 | ||
Sophia L.P. Tranche B, term loan 4.5% 7/19/18 (d) | 13,535 | 13,688 | ||
Spansion, Inc. Tranche B, term loan 5.25% 12/13/18 (d) | 7,959 | 8,019 | ||
SunGard Data Systems, Inc.: | ||||
Tranche C, term loan 3.9503% 2/28/17 (d) | 37,628 | 37,911 | ||
Tranche D, term loan 4.5% 12/17/19 (d) | 17,122 | 17,379 | ||
Tranche E, term loan 4% 3/8/20 (d) | 63,000 | 63,788 | ||
Syniverse Holdings, Inc. Tranche B, term loan: | ||||
4/23/19 (g) | 20,000 | 20,050 | ||
5% 4/23/19 (d) | 9,925 | 9,987 | ||
| 828,188 | |||
Telecommunications - 7.1% | ||||
Alcatel-Lucent USA, Inc.: | ||||
Tranche B, term loan 6.25% 8/1/16 (d) | 5,980 | 6,070 | ||
Tranche C, term loan 7.25% 1/30/19 (d) | 27,930 | 28,593 | ||
Consolidated Communications, Inc. Tranche B 3LN, term loan 5.25% 12/31/18 (d) | 6,983 | 7,087 | ||
Cricket Communications, Inc.: | ||||
Tranche B, term loan 4.75% 10/10/19 (d) | 2,993 | 3,015 | ||
Tranche C, term loan 4.75% 3/8/20 (d) | 20,500 | 20,654 | ||
Crown Castle Operating Co. Tranche B, term loan 3.25% 1/31/19 (d) | 56,522 | 56,737 | ||
Digicel International Finance Ltd. Tranche D 1LN, term loan 3.8125% 3/31/17 (d) | 7,000 | 6,983 | ||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (d) | 14,610 | 14,756 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (d) | 13,495 | 13,259 | ||
Genesys Telecom Holdings U.S., Inc. Tranche B, term loan 4% 2/8/20 (d) | 15,000 | 15,038 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 6% 2/14/19 (d) | 3,000 | 3,064 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2002% 2/1/14 (d) | 69,682 | 69,508 | ||
Tranche B, term loan 4.5% 4/2/18 (d) | 177,931 | 180,155 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 4.75% 8/1/19 (d) | 17,000 | 17,170 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Telecommunications - continued | ||||
Level 3 Financing, Inc.: - continued | ||||
Tranche B, term loan: | ||||
4.75% 2/1/16 (d) | $ 39,800 | $ 40,198 | ||
5.25% 8/1/19 (d) | 10,000 | 10,100 | ||
LTS Buyer LLC: | ||||
Tranche 1LN, term loan 4.5% 4/11/20 (d) | 33,700 | 34,037 | ||
Tranche 2LN, term loan 8% 4/11/21 (d) | 6,115 | 6,253 | ||
MetroPCS Wireless, Inc.: | ||||
Tranche B 3LN, term loan 4.8757% 3/17/18 (d) | 73,267 | 73,176 | ||
Tranche B, term loan 4.7341% 11/3/16 (d) | 14,232 | 14,232 | ||
Riverbed Technology, Inc. Tranche B, term loan 4% 12/18/19 (d) | 11,869 | 12,047 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (d) | 9,975 | 10,150 | ||
SBA Senior Finance II, LLC term loan 3.75% 9/28/19 (d) | 5,992 | 6,029 | ||
Telesat Holding, Inc. Tranche B, term loan 3.5% 3/28/19 (d) | 70,000 | 70,700 | ||
tw telecom, inc. Tranche B, term loan 2.7% 4/5/20 (d) | 14,590 | 14,626 | ||
Vodafone Americas Finance 2, Inc.: | ||||
term loan 6.875% 8/11/15 | 44,301 | 45,187 | ||
Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind | 48,469 | 49,802 | ||
Windstream Corp.: | ||||
Tranche B 3LN, term loan 4% 8/8/19 (d) | 11,910 | 12,014 | ||
Tranche B 4LN, term loan 3.5% 1/23/20 (d) | 34,913 | 35,043 | ||
| 875,683 | |||
Textiles & Apparel - 0.7% | ||||
Party City Holdings, Inc. Tranche B, term loan 4.25% 7/27/19 (d) | 16,918 | 17,044 | ||
Phillips-Van Heusen Corp. Tranche B, term loan 3.25% 12/13/19 (d) | 68,000 | 68,510 | ||
Renfro Corp. Tranche B, term loan 5.75% 1/30/19 (d) | 3,990 | 4,050 | ||
| 89,604 | |||
TOTAL FLOATING RATE LOANS (Cost $9,808,264) |
| |||
Nonconvertible Bonds - 10.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Air Transportation - 0.1% | ||||
Aviation Capital Group Corp. 4.625% 1/31/18 (c) | $ 5,000 | $ 5,216 | ||
Continental Airlines, Inc.: | ||||
6.125% 4/29/18 (c) | 3,000 | 3,060 | ||
9.25% 5/10/17 | 2,175 | 2,439 | ||
| 10,715 | |||
Automotive - 0.7% | ||||
Delphi Corp.: | ||||
5% 2/15/23 | 10,000 | 10,825 | ||
5.875% 5/15/19 | 18,610 | 20,169 | ||
General Motors Acceptance Corp. 2.4871% 12/1/14 (d) | 40,000 | 39,666 | ||
General Motors Financial Co., Inc. 4.75% 8/15/17 (c) | 4,000 | 4,220 | ||
Lear Corp. 4.75% 1/15/23 (c) | 5,000 | 5,013 | ||
| 79,893 | |||
Banks & Thrifts - 1.2% | ||||
Ally Financial, Inc.: | ||||
3.125% 1/15/16 | 4,000 | 4,080 | ||
3.492% 2/11/14 (d) | 52,000 | 52,650 | ||
4.625% 6/26/15 | 4,000 | 4,215 | ||
Bank of America Corp.: | ||||
1.1041% 3/22/16 (d) | 5,000 | 4,996 | ||
1.6956% 1/30/14 (d) | 3,250 | 3,277 | ||
GMAC LLC 2.4871% 12/1/14 (d) | 70,187 | 70,362 | ||
Regions Financial Corp. 5.75% 6/15/15 | 3,000 | 3,278 | ||
| 142,858 | |||
Broadcasting - 0.3% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 6,600 | 6,732 | ||
Clear Channel Communications, Inc. 9% 12/15/19 (c) | 8,677 | 8,710 | ||
Sirius XM Radio, Inc. 5.25% 8/15/22 (c) | 5,000 | 5,163 | ||
Starz LLC/Starz Finance Corp.: | ||||
5% 9/15/19 (c) | 3,000 | 3,128 | ||
5% 9/15/19 | 6,000 | 6,255 | ||
Univision Communications, Inc. 6.75% 9/15/22 (c) | 6,000 | 6,660 | ||
| 36,648 | |||
Building Materials - 0.2% | ||||
HD Supply, Inc. 7.5% 7/15/20 (c) | 15,000 | 16,238 | ||
Nortek, Inc. 8.5% 4/15/21 (c) | 5,000 | 5,575 | ||
| 21,813 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cable TV - 0.5% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | $ 17,065 | $ 17,236 | ||
5.25% 3/15/21 (c) | 13,070 | 13,429 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (c) | 10,815 | 11,491 | ||
Lynx I Corp. 5.375% 4/15/21 (c) | 5,000 | 5,375 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (c) | 7,000 | 7,245 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 2,000 | 2,040 | ||
| 56,816 | |||
Capital Goods - 0.0% | ||||
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (c) | 3,000 | 3,173 | ||
Chemicals - 0.1% | ||||
Celanese U.S. Holdings LLC 4.625% 11/15/22 | 11,520 | 11,981 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (c) | 5,000 | 5,138 | ||
| 17,119 | |||
Consumer Products - 0.1% | ||||
Libbey Glass, Inc. 6.875% 5/15/20 | 4,000 | 4,370 | ||
Reddy Ice Corp. 11.25% 3/15/15 | 2,000 | 2,113 | ||
Spectrum Brands Escrow Corp. 6.375% 11/15/20 (c) | 3,070 | 3,354 | ||
Spectrum Brands Holdings, Inc. 9.5% 6/15/18 | 4,000 | 4,495 | ||
| 14,332 | |||
Containers - 0.7% | ||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (c) | 5,439 | 5,996 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
4.875% 11/15/22 (c) | 2,490 | 2,540 | ||
7.375% 10/15/17 (c) | 10,736 | 11,810 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 58,325 | 60,804 | ||
7.125% 4/15/19 | 5,000 | 5,388 | ||
| 86,538 | |||
Diversified Financial Services - 1.0% | ||||
CIT Group, Inc.: | ||||
4.75% 2/15/15 (c) | 14,000 | 14,735 | ||
5% 5/15/17 | 7,000 | 7,630 | ||
5.25% 4/1/14 (c) | 45,000 | 46,631 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | $ 7,000 | $ 7,088 | ||
4.875% 4/1/15 | 4,000 | 4,204 | ||
5.625% 9/20/13 | 12,000 | 12,180 | ||
5.875% 5/1/13 | 21,405 | 21,405 | ||
6.25% 5/15/19 | 10,000 | 11,213 | ||
SLM Corp. 4.625% 9/25/17 | 2,000 | 2,065 | ||
| 127,151 | |||
Diversified Media - 0.2% | ||||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (c) | 5,130 | 5,451 | ||
6.5% 11/15/22 (c) | 13,870 | 14,876 | ||
| 20,327 | |||
Electric Utilities - 0.7% | ||||
Calpine Construction Finance Co. LP 8% 6/1/16 (c) | 4,000 | 4,178 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 5,000 | 5,744 | ||
10% 12/1/20 (c) | 54,320 | 61,585 | ||
11.75% 3/1/22 (c) | 11,000 | 12,595 | ||
NRG Energy, Inc. 6.625% 3/15/23 (c) | 4,000 | 4,360 | ||
The AES Corp. 7.75% 3/1/14 | 3,000 | 3,161 | ||
| 91,623 | |||
Energy - 0.4% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 7,000 | 7,210 | ||
Antero Resources Finance Corp. 6% 12/1/20 | 995 | 1,057 | ||
Atlas Pipeline Escrow LLC 6.625% 10/1/20 (c) | 3,000 | 3,180 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: | ||||
5.875% 8/1/23 (c) | 3,000 | 3,060 | ||
6.625% 10/1/20 (c) | 2,645 | 2,784 | ||
Continental Resources, Inc. 7.125% 4/1/21 | 2,000 | 2,295 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (c) | 5,000 | 5,050 | ||
LINN Energy LLC/LINN Energy Finance Corp. 6.25% 11/1/19 (c) | 5,000 | 5,225 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (c) | 4,000 | 4,260 | ||
Oil States International, Inc. 5.125% 1/15/23 (c) | 5,000 | 5,138 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Energy - continued | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22 | $ 6,000 | $ 6,705 | ||
Western Refining, Inc. 6.25% 4/1/21 (c) | 5,305 | 5,464 | ||
| 51,428 | |||
Entertainment/Film - 0.1% | ||||
Cinemark USA, Inc. 5.125% 12/15/22 (c) | 3,185 | 3,296 | ||
Regal Entertainment Group 5.75% 2/1/25 | 3,090 | 3,121 | ||
| 6,417 | |||
Environmental - 0.0% | ||||
Clean Harbors, Inc. 5.25% 8/1/20 | 4,000 | 4,230 | ||
Food & Drug Retail - 0.0% | ||||
ESAL GmbH 6.25% 2/5/23 (c) | 4,000 | 3,976 | ||
Gaming - 0.1% | ||||
Ameristar Casinos, Inc. 7.5% 4/15/21 | 3,000 | 3,338 | ||
MCE Finance Ltd. 5% 2/15/21 (c) | 10,000 | 10,100 | ||
| 13,438 | |||
Healthcare - 0.4% | ||||
Community Health Systems, Inc. 5.125% 8/15/18 | 10,755 | 11,508 | ||
DaVita, Inc. 5.75% 8/15/22 | 8,235 | 8,770 | ||
Health Management Associates, Inc. 7.375% 1/15/20 | 3,420 | 3,805 | ||
Tenet Healthcare Corp.: | ||||
4.75% 6/1/20 (c) | 8,680 | 8,984 | ||
8.875% 7/1/19 | 16,000 | 17,960 | ||
| 51,027 | |||
Homebuilders/Real Estate - 0.2% | ||||
CB Richard Ellis Services, Inc. 5% 3/15/23 | 17,990 | 18,418 | ||
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 (c) | 4,000 | 4,160 | ||
| 22,578 | |||
Leisure - 0.0% | ||||
Six Flags Entertainment Corp. 5.25% 1/15/21 (c) | 4,000 | 4,160 | ||
Metals/Mining - 0.4% | ||||
CONSOL Energy, Inc. 8% 4/1/17 | 6,475 | 7,009 | ||
FMG Resources (August 2006) Pty Ltd. 7% 11/1/15 (c) | 24,705 | 25,878 | ||
New Gold, Inc. 6.25% 11/15/22 (c) | 4,415 | 4,547 | ||
Peabody Energy Corp. 6% 11/15/18 | 5,000 | 5,363 | ||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/1/20 (c) | 2,270 | 2,423 | ||
| 45,220 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Paper - 0.1% | ||||
AbitibiBowater, Inc. 10.25% 10/15/18 | $ 2,400 | $ 2,803 | ||
Boise Cascade LLC/Boise Cascade Finance Corp. 6.375% 11/1/20 (c) | 3,000 | 3,210 | ||
P.H. Glatfelter Co. 5.375% 10/15/20 | 4,585 | 4,837 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 | 3,000 | 2,318 | ||
| 13,168 | |||
Services - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 2.7901% 5/15/14 (d) | 19,000 | 18,976 | ||
TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind | 3,000 | 3,293 | ||
| 22,269 | |||
Shipping - 0.1% | ||||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 8,075 | 8,075 | ||
Steel - 0.0% | ||||
Severstal Columbus LLC 10.25% 2/15/18 | 3,005 | 3,230 | ||
Super Retail - 0.1% | ||||
Dollar General Corp. 4.125% 7/15/17 | 2,000 | 2,180 | ||
Netflix, Inc. 5.375% 2/1/21 (c) | 4,000 | 4,110 | ||
Sally Holdings LLC 5.75% 6/1/22 | 3,000 | 3,203 | ||
The Bon-Ton Department Stores, Inc. 10.625% 7/15/17 | 6,000 | 6,045 | ||
| 15,538 | |||
Technology - 0.8% | ||||
Brocade Communications Systems, Inc. 4.625% 1/15/23 (c) | 7,235 | 7,163 | ||
First Data Corp. 6.75% 11/1/20 (c) | 39,130 | 42,065 | ||
Flextronics International Ltd. 4.625% 2/15/20 (c) | 4,000 | 4,090 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (c) | 5,000 | 5,025 | ||
NCR Corp. 5% 7/15/22 (c) | 4,000 | 4,050 | ||
NXP BV/NXP Funding LLC: | ||||
3.0271% 10/15/13 (d) | 14,255 | 14,237 | ||
5.75% 2/15/21 (c) | 14,760 | 15,646 | ||
5.75% 3/15/23 (c) | 5,000 | 5,213 | ||
| 97,489 | |||
Telecommunications - 1.9% | ||||
Altice Financing SA 7.875% 12/15/19 (c) | 4,000 | 4,420 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (c) | 3,905 | 3,964 | ||
Intelsat Jackson Holdings SA 6.625% 12/15/22 (c) | 20,000 | 21,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Telecommunications - continued | ||||
iPCS, Inc.: | ||||
2.4235% 5/1/13 (d) | $ 72,852 | $ 72,852 | ||
3.5366% 5/1/14 pay-in-kind (d) | 69,150 | 69,237 | ||
Qwest Corp. 3.5301% 6/15/13 (d) | 11,000 | 11,031 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 4,000 | 4,090 | ||
6.9% 5/1/19 | 5,000 | 5,431 | ||
Sprint Nextel Corp.: | ||||
6% 11/15/22 | 30,000 | 31,200 | ||
9% 11/15/18 (c) | 3,000 | 3,690 | ||
Telesat Canada/Telesat LLC 6% 5/15/17 (c) | 3,000 | 3,195 | ||
| 230,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $1,244,856) |
|
Common Stocks - 0.2% | |||
Shares |
| ||
Broadcasting - 0.0% | |||
Cumulus Media, Inc. Class A (a) | 229,315 | 732 | |
ION Media Networks, Inc. (a) | 2,842 | 1,570 | |
| 2,302 | ||
Chemicals - 0.2% | |||
LyondellBasell Industries NV Class A | 245,943 | 14,929 | |
Diversified Financial Services - 0.0% | |||
Newhall Holding Co. LLC Class A (a) | 289,870 | 551 | |
Electric Utilities - 0.0% | |||
Calpine Corp. (a) | 20,715 | 450 | |
Entertainment/Film - 0.0% | |||
Metro-Goldwyn-Mayer, Inc. (a) | 71,585 | 2,126 | |
Hotels - 0.0% | |||
Tropicana Las Vegas Hotel & Casino, Inc. Class A | 48,650 | 1,898 | |
Paper - 0.0% | |||
White Birch Cayman Holdings Ltd. | 12,570 | 0 | |
Publishing/Printing - 0.0% | |||
HMH Holdings, Inc. warrants 6/22/19 (a)(e) | 13,699 | 103 | |
Telecommunications - 0.0% | |||
FairPoint Communications, Inc. (a) | 34,287 | 279 | |
TOTAL COMMON STOCKS (Cost $17,059) |
|
Other - 0.0% | ||||
Shares | Value (000s) | |||
Other - 0.0% | ||||
Idearc, Inc. Claim (a) | 1,888,944 | $ 0 |
Money Market Funds - 15.3% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.13% (b) | 1,879,799,571 |
| |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.14%, dated 4/30/13 due 5/1/13 (Collateralized by U.S. Treasury Obligations) # | $ 2,453 |
| |
TOTAL INVESTMENT PORTFOLIO - 107.2% (Cost $12,952,432) | 13,146,013 | ||
NET OTHER ASSETS (LIABILITIES) - (7.2)% | (886,404) | ||
NET ASSETS - 100% | $ 12,259,609 |
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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $526,121,000 or 4.3% of net assets. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $103,000 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 26 |
(f) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(g) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $20,000,000 and $20,050,000 respectively. The coupon rate will be determined at time of settlement. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,453,000 due 5/01/13 at 0.14% | |
BNP Paribas Securities Corp. | $ 1,282 |
Barclays Capital, Inc. | 682 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 489 |
| $ 2,453 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned (Amounts in thousands) |
Fidelity Cash Central Fund | $ 1,299 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 6,429 | $ 732 | $ - | $ 5,697 |
Financials | 551 | - | - | 551 |
Materials | 14,929 | 14,929 | - | - |
Telecommunication Services | 279 | 279 | - | - |
Utilities | 450 | 450 | - | - |
Floating Rate Loans | 9,939,113 | - | 9,834,315 | 104,798 |
Corporate Bonds | 1,302,009 | - | 1,302,009 | - |
Other | - | - | - | - |
Money Market Funds | 1,879,800 | 1,879,800 | - | - |
Cash Equivalents | 2,453 | - | 2,453 | - |
Total Investments in Securities: | $ 13,146,013 | $ 1,896,190 | $ 11,138,777 | $ 111,046 |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 89.8% |
Netherlands | 3.1% |
Luxembourg | 1.7% |
Australia | 1.2% |
Canada | 1.2% |
Germany | 1.0% |
Others (Individually Less Than 1%) | 2.0% |
| 100.0% |
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) | April 30, 2013 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,453) - See accompanying schedule: Unaffiliated issuers (cost $11,072,632) | $ 11,266,213 |
|
Fidelity Central Funds (cost $1,879,800) | 1,879,800 |
|
Total Investments (cost $12,952,432) |
| $ 13,146,013 |
Cash |
| 118,595 |
Receivable for investments sold | 76,017 | |
Receivable for fund shares sold | 29,892 | |
Interest receivable | 51,155 | |
Distributions receivable from Fidelity Central Funds | 250 | |
Prepaid expenses | 9 | |
Receivable from investment adviser for expense reductions | 2 | |
Other receivables | 67 | |
Total assets | 13,422,000 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 1,127,823 | |
Payable for fund shares redeemed | 18,677 | |
Distributions payable | 7,372 | |
Accrued management fee | 5,686 | |
Distribution and service plan fees payable | 1,083 | |
Other affiliated payables | 1,469 | |
Other payables and accrued expenses | 281 | |
Total liabilities | 1,162,391 | |
|
|
|
Net Assets | $ 12,259,609 | |
Net Assets consist of: |
| |
Paid in capital | $ 11,999,424 | |
Undistributed net investment income | 164,407 | |
Accumulated undistributed net realized gain (loss) on investments | (97,803) | |
Net unrealized appreciation (depreciation) on investments | 193,581 | |
Net Assets | $ 12,259,609 |
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) | April 30, 2013 | |
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|
|
Calculation of Maximum Offering Price Class A: | $ 10.03 | |
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|
|
Maximum offering price per share (100/97.25 of $10.03) | $ 10.31 | |
Class T: | $ 10.02 | |
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|
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Maximum offering price per share (100/97.25 of $10.02) | $ 10.30 | |
Class B: | $ 10.02 | |
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|
Class C: | $ 10.03 | |
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|
|
Fidelity Floating Rate High Income Fund: | $ 10.02 | |
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|
Institutional Class: | $ 10.01 |
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 April 30, 2013 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 889 |
Interest |
| 237,427 |
Income from Fidelity Central Funds |
| 1,299 |
Total income |
| 239,615 |
|
|
|
Expenses | ||
Management fee | $ 31,834 | |
Transfer agent fees | 7,689 | |
Distribution and service plan fees | 6,255 | |
Accounting fees and expenses | 812 | |
Custodian fees and expenses | 79 | |
Independent trustees' compensation | 35 | |
Registration fees | 375 | |
Audit | 84 | |
Legal | 20 | |
Miscellaneous | 46 | |
Total expenses before reductions | 47,229 | |
Expense reductions | (22) | 47,207 |
Net investment income (loss) | 192,408 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers |
| 42,944 |
Change in net unrealized appreciation (depreciation) on investment securities | 87,164 | |
Net gain (loss) | 130,108 | |
Net increase (decrease) in net assets resulting from operations | $ 322,516 |
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 April 30, | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 192,408 | $ 366,256 |
Net realized gain (loss) | 42,944 | 23,583 |
Change in net unrealized appreciation (depreciation) | 87,164 | 177,284 |
Net increase (decrease) in net assets resulting | 322,516 | 567,123 |
Distributions to shareholders from net investment income | (169,372) | (350,713) |
Distributions to shareholders from net realized gain | (52,959) | - |
Total distributions | (222,331) | (350,713) |
Share transactions - net increase (decrease) | 1,552,235 | 256,075 |
Redemption fees | 299 | 419 |
Total increase (decrease) in net assets | 1,652,719 | 472,904 |
|
|
|
Net Assets | ||
Beginning of period | 10,606,890 | 10,133,986 |
End of period (including undistributed net investment income of $164,407 and undistributed net investment income of $141,371, respectively) | $ 12,259,609 | $ 10,606,890 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.94 | $ 9.73 | $ 9.79 | $ 9.31 | $ 8.00 | $ 9.75 |
Income from Investment Operations |
|
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|
Net investment income (loss) E | .162 | .340 | .317 | .391 | .354 | .476 |
Net realized and unrealized gain (loss) | .119 | .195 | (.080) | .425 | 1.232 | (1.779) |
Total from investment operations | .281 | .535 | .237 | .816 | 1.586 | (1.303) |
Distributions from net investment income | (.142) | (.325) | (.298) | (.287) | (.278) | (.448) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.191) | (.325) | (.298) | (.337) | (.278) | (.448) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.03 | $ 9.94 | $ 9.73 | $ 9.79 | $ 9.31 | $ 8.00 |
Total Return B, C, D | 2.86% | 5.60% | 2.46% | 8.96% | 20.31% | (13.87)% |
Ratios to Average Net Assets F, H |
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| |
Expenses before reductions | 1.00% A | .99% | 1.00% | 1.03% | 1.05% | 1.06% |
Expenses net of fee waivers, if any | 1.00% A | .99% | 1.00% | 1.03% | 1.05% | 1.06% |
Expenses net of all reductions | 1.00% A | .99% | 1.00% | 1.03% | 1.04% | 1.06% |
Net investment income (loss) | 3.29% A | 3.47% | 3.25% | 4.11% | 4.09% | 5.13% |
Supplemental Data |
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Net assets, end of period (in millions) | $ 1,455 | $ 1,305 | $ 1,587 | $ 1,064 | $ 518 | $ 192 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
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|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 | $ 9.73 |
Income from Investment Operations |
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Net investment income (loss) E | .157 | .330 | .312 | .391 | .349 | .481 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .416 | 1.228 | (1.762) |
Total from investment operations | .276 | .525 | .242 | .807 | 1.577 | (1.281) |
Distributions from net investment income | (.137) | (.315) | (.293) | (.288) | (.279) | (.450) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.186) | (.315) | (.293) | (.338) | (.279) | (.450) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 |
Total Return B, C, D | 2.81% | 5.50% | 2.51% | 8.87% | 20.20% | (13.66)% |
Ratios to Average Net Assets F, H |
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| |
Expenses before reductions | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Expenses net of fee waivers, if any | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Expenses net of all reductions | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Net investment income (loss) | 3.18% A | 3.37% | 3.19% | 4.12% | 4.10% | 5.16% |
Supplemental Data |
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Net assets, end of period (in millions) | $ 269 | $ 241 | $ 271 | $ 242 | $ 143 | $ 134 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 7.99 | $ 9.73 |
Income from Investment Operations |
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Net investment income (loss) E | .136 | .288 | .266 | .341 | .305 | .432 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .416 | 1.238 | (1.771) |
Total from investment operations | .255 | .483 | .196 | .757 | 1.543 | (1.339) |
Distributions from net investment income | (.116) | (.273) | (.247) | (.238) | (.235) | (.402) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.165) | (.273) | (.247) | (.288) | (.235) | (.402) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 7.99 |
Total Return B, C, D | 2.59% | 5.05% | 2.03% | 8.30% | 19.74% | (14.21)% |
Ratios to Average Net Assets F, H |
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| |
Expenses before reductions | 1.53% A | 1.52% | 1.52% | 1.55% | 1.56% | 1.56% |
Expenses net of fee waivers, if any | 1.53% A | 1.52% | 1.52% | 1.55% | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% A | 1.52% | 1.52% | 1.55% | 1.55% | 1.55% |
Net investment income (loss) | 2.75% A | 2.94% | 2.72% | 3.59% | 3.59% | 4.64% |
Supplemental Data |
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Net assets, end of period (in millions) | $ 22 | $ 24 | $ 32 | $ 43 | $ 44 | $ 42 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
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|
Net asset value, beginning of period | $ 9.94 | $ 9.73 | $ 9.78 | $ 9.31 | $ 8.00 | $ 9.74 |
Income from Investment Operations |
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Net investment income (loss) E | .125 | .267 | .244 | .321 | .288 | .408 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .415 | 1.235 | (1.770) |
Total from investment operations | .244 | .462 | .174 | .736 | 1.523 | (1.362) |
Distributions from net investment income | (.105) | (.252) | (.225) | (.217) | (.215) | (.379) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.154) | (.252) | (.225) | (.267) | (.215) | (.379) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.03 | $ 9.94 | $ 9.73 | $ 9.78 | $ 9.31 | $ 8.00 |
Total Return B, C, D | 2.47% | 4.81% | 1.80% | 8.05% | 19.43% | (14.41)% |
Ratios to Average Net Assets F, H |
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| |
Expenses before reductions | 1.76% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Expenses net of fee waivers, if any | 1.76% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Net investment income (loss) | 2.53% A | 2.72% | 2.50% | 3.38% | 3.35% | 4.39% |
Supplemental Data |
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Net assets, end of period (in millions) | $ 863 | $ 806 | $ 852 | $ 622 | $ 335 | $ 199 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Fidelity Floating Rate High Income Fund
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
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Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 | $ 9.74 |
Income from Investment Operations |
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Net investment income (loss) D | .176 | .368 | .345 | .418 | .377 | .508 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .417 | 1.225 | (1.771) |
Total from investment operations | .295 | .563 | .275 | .835 | 1.602 | (1.263) |
Distributions from net investment income | (.156) | (.353) | (.326) | (.316) | (.304) | (.478) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.205) | (.353) | (.326) | (.366) | (.304) | (.478) |
Redemption fees added to paid in capital D | - H | - H | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 |
Total Return B, C | 3.01% | 5.91% | 2.86% | 9.18% | 20.55% | (13.49)% |
Ratios to Average Net Assets E, G |
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| |
Expenses before reductions | .71% A | .71% | .71% | .73% | .75% | .73% |
Expenses net of fee waivers, if any | .71% A | .71% | .71% | .73% | .75% | .73% |
Expenses net of all reductions | .71% A | .71% | .71% | .73% | .75% | .73% |
Net investment income (loss) | 3.57% A | 3.75% | 3.53% | 4.41% | 4.39% | 5.46% |
Supplemental Data |
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Net assets, end of period (in millions) | $ 6,597 | $ 5,720 | $ 5,399 | $ 3,566 | $ 2,354 | $ 1,292 |
Portfolio turnover rate F | 74% A | 49% | 54% | 43% | 25% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
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|
Net asset value, beginning of period | $ 9.92 | $ 9.71 | $ 9.77 | $ 9.29 | $ 7.99 | $ 9.73 |
Income from Investment Operations |
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Net investment income (loss) D | .174 | .363 | .341 | .415 | .379 | .503 |
Net realized and unrealized gain (loss) | .119 | .196 | (.079) | .427 | 1.221 | (1.769) |
Total from investment operations | .293 | .559 | .262 | .842 | 1.600 | (1.266) |
Distributions from net investment income | (.154) | (.349) | (.323) | (.313) | (.302) | (.475) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.203) | (.349) | (.323) | (.363) | (.302) | (.475) |
Redemption fees added to paid in capital D | - H | - H | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.01 | $ 9.92 | $ 9.71 | $ 9.77 | $ 9.29 | $ 7.99 |
Total Return B, C | 2.99% | 5.87% | 2.72% | 9.27% | 20.54% | (13.54)% |
Ratios to Average Net Assets E, G |
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| |
Expenses before reductions | .76% A | .75% | .75% | .76% | .77% | .77% |
Expenses net of fee waivers, if any | .76% A | .75% | .75% | .76% | .77% | .77% |
Expenses net of all reductions | .76% A | .75% | .75% | .76% | .77% | .76% |
Net investment income (loss) | 3.53% A | 3.71% | 3.50% | 4.38% | 4.36% | 5.43% |
Supplemental Data |
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Net assets, end of period (in millions) | $ 3,054 | $ 2,510 | $ 1,992 | $ 1,138 | $ 469 | $ 138 |
Portfolio turnover rate F | 74% A | 49% | 54% | 43% | 25% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Floating Rate High Income 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, Fidelity Floating Rate High Income Fund and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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:
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds and floating rate loans, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 April 30, 2013 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
capital distributions or capital gain distributions. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as income in the accompanying financial statements.
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 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. 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.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 270,886 |
Gross unrealized depreciation | (18,244) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 252,642 |
|
|
Tax cost | $ 12,893,371 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2016 | $ (50,512) |
2017 | (39,057) |
Total capital loss carryforward | $ (89,569) |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 60 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
Repurchase Agreements. FMR has received an Exemptive Order from the SEC which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including principal repayments of floating rate loans), other than short-term securities, aggregated $5,448,755 and $3,703,820, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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 FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | Retained |
Class A | -% | .25% | $ 1,707 | $ 35 |
Class T | -% | .25% | 319 | 2 |
Class B | .55% | .15% | 81 | 64 |
Class C | .75% | .25% | 4,148 | 671 |
|
|
| $ 6,255 | $ 772 |
Sales Load. FDC may receive a front-end sales charge of up to 2.75% for selling Class A shares and 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 3.50% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% or .50% 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 | $ 57 |
Class T | 7 |
Class B* | 14 |
Class C* | 32 |
| $ 110 |
* 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 FMR is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,017 | .15 |
Class T | 319 | .25 |
Class B | 27 | .23 |
Class C | 624 | .15 |
Fidelity Floating Rate High Income Fund | 3,462 | .12 |
Institutional Class | 2,240 | .16 |
| $ 7,689 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $20.
In addition, FMR reimbursed a portion of the Fund's operating expenses during the period in the amount of $2.
Semiannual Report
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 19,437 | $ 46,515 |
Class T | 3,518 | 8,143 |
Class B | 270 | 780 |
Class C | 8,704 | 20,972 |
Fidelity Floating Rate High Income Fund | 94,695 | 197,172 |
Institutional Class | 42,748 | 77,131 |
Total | $ 169,372 | $ 350,713 |
From net realized gain |
|
|
Class A | $ 6,467 | $ - |
Class T | 1,177 | - |
Class B | 117 | - |
Class C | 3,998 | - |
Fidelity Floating Rate High Income Fund | 28,514 | - |
Institutional Class | 12,686 | - |
Total | $ 52,959 | $ - |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A |
|
|
|
|
Shares sold | 30,254 | 31,124 | $ 301,847 | $ 305,628 |
Reinvestment of distributions | 1,984 | 3,572 | 19,773 | 34,965 |
Shares redeemed | (18,454) | (66,588) | (184,099) | (652,113) |
Net increase (decrease) | 13,784 | (31,892) | $ 137,521 | $ (311,520) |
Class T |
|
|
|
|
Shares sold | 5,388 | 2,896 | $ 53,590 | $ 28,402 |
Reinvestment of distributions | 409 | 704 | 4,071 | 6,885 |
Shares redeemed | (3,236) | (7,230) | (32,219) | (70,751) |
Net increase (decrease) | 2,561 | (3,630) | $ 25,442 | $ (35,464) |
Class B |
|
|
|
|
Shares sold | 163 | 156 | $ 1,621 | $ 1,519 |
Reinvestment of distributions | 30 | 59 | 297 | 579 |
Shares redeemed | (427) | (1,070) | (4,252) | (10,460) |
Net increase (decrease) | (234) | (855) | $ (2,334) | $ (8,362) |
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class C |
|
|
|
|
Shares sold | 12,291 | 12,695 | $ 122,600 | $ 124,701 |
Reinvestment of distributions | 925 | 1,512 | 9,206 | 14,794 |
Shares redeemed | (8,198) | (20,709) | (81,746) | (202,835) |
Net increase (decrease) | 5,018 | (6,502) | $ 50,060 | $ (63,340) |
Fidelity Floating Rate High Income Fund |
|
|
|
|
Shares sold | 153,671 | 164,358 | $ 1,531,257 | $ 1,610,907 |
Reinvestment of distributions | 10,232 | 16,695 | 101,818 | 163,381 |
Shares redeemed | (81,416) | (160,631) | (810,573) | (1,569,854) |
Net increase (decrease) | 82,487 | 20,422 | $ 822,502 | $ 204,434 |
Institutional Class |
|
|
|
|
Shares sold | 93,254 | 109,592 | $ 928,433 | $ 1,074,762 |
Reinvestment of distributions | 3,117 | 3,772 | 30,995 | 36,919 |
Shares redeemed | (44,227) | (65,596) | (440,384) | (641,354) |
Net increase (decrease) | 52,144 | 47,768 | $ 519,044 | $ 470,327 |
10. 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
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series I and Shareholders of Fidelity Advisor Floating Rate High Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Floating Rate High Income Fund (the Fund), a fund of Fidelity Advisor Series I, including the schedule of investments, as of April 30, 2013, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended April 30, 2013 and for the year ended October 31, 2012, and the financial highlights for the six months ended April 30, 2013 and for each of the five years in the period ended October 31, 2012. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2013, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Floating Rate High Income Fund as of April 30, 2013, the results of its operations for the six months then ended, the changes in its net assets for the six months ended April 30, 2013 and for the year ended October 31, 2012, and the financial highlights for the six months ended April 30, 2013 and for each of the five years in the period ended October 31, 2012, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 17, 2013
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(Hong Kong) Limited
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
The Bank of New York Mellon
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
FHI-USAN-0613 1.784879.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Floating Rate High Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2013
(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 financial statements. | |
Report of Independent Registered Public Accounting Firm |
|
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. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized Expense RatioB | Beginning | Ending | Expenses Paid |
Class A | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,028.60 | $ 5.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | 1.10% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,028.10 | $ 5.53 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.34 | $ 5.51 |
Class B | 1.53% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,025.90 | $ 7.69 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.21 | $ 7.65 |
Class C | 1.76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,024.70 | $ 8.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.07 | $ 8.80 |
Fidelity Floating Rate High Income Fund | .71% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,030.10 | $ 3.57 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.27 | $ 3.56 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,029.90 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.03 | $ 3.81 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
HCA, Inc. | 5.2 | 4.3 |
Community Health Systems, Inc. | 2.6 | 2.9 |
H.J. Heinz Co. | 2.3 | 0.0 |
Intelsat Jackson Holdings SA | 2.3 | 2.7 |
First Data Corp. | 2.3 | 1.9 |
| 14.7 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Healthcare | 16.2 | 16.0 |
Telecommunications | 9.0 | 8.5 |
Technology | 7.6 | 7.7 |
Cable TV | 6.3 | 5.9 |
Electric Utilities | 5.4 | 5.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 3.3% |
| BBB 4.4% |
| ||||
BB 44.8% |
| BB 43.0% |
| ||||
B 32.8% |
| B 31.9% |
| ||||
CCC,CC,C 2.0% |
| CCC,CC,C 2.7% |
| ||||
D 0.0% |
| D 0.0% |
| ||||
Not Rated 8.8% |
| Not Rated 6.1% |
| ||||
Equities 0.2% |
| Equities 0.2% |
| ||||
Short-Term |
| Short-Term |
|
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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Floating Rate |
| Floating Rate |
| ||||
Nonconvertible |
| Nonconvertible |
| ||||
Common Stocks 0.2% |
| Common Stocks 0.2% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 10.2% |
| ** Foreign investments | 9.0% |
|
Semiannual Report
Investments April 30, 2013
Showing Percentage of Net Assets
Floating Rate Loans (f) - 81.1% | ||||
| Principal Amount (000s) | Value (000s) | ||
Aerospace - 1.2% | ||||
Aeroflex, Inc. Tranche B, term loan 5.75% 5/9/18 (d) | $ 1,864 | $ 1,892 | ||
Sequa Corp. Tranche B, term loan 5.25% 6/19/17 (d) | 11,970 | 12,150 | ||
Silver II US Holdings LLC Tranche B, term loan 4% 12/13/19 (d) | 21,945 | 22,137 | ||
Spirit Aerosystems, Inc. Tranche B, term loan 3.75% 4/18/19 (d) | 7,905 | 7,984 | ||
TransDigm, Inc.: | ||||
Tranche B, term loan 3.5% 2/14/17 (d) | 17,955 | 18,179 | ||
Tranche C, term loan 3.75% 2/19/20 (d) | 83,790 | 84,837 | ||
| 147,179 | |||
Air Transportation - 0.4% | ||||
Delta Air Lines, Inc. Tranche B 1LN, term loan 4% 10/18/18 (d) | 3,990 | 3,950 | ||
Northwest Airlines Corp. Tranche B, term loan 3.79% 12/22/13 (d) | 1,746 | 1,729 | ||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (d) | 37,348 | 37,301 | ||
| 42,980 | |||
Automotive - 2.4% | ||||
Affinia Group, Inc.: | ||||
Tranche B 1LN, term loan 3.5% 4/11/16 (d) | 6,385 | 6,417 | ||
Tranche B 2LN, term loan 4.75% 4/11/20 (d) | 14,395 | 14,575 | ||
Allison Transmission, Inc.: | ||||
Tranche B 2LN, term loan 3.2% 8/7/17 (d) | 37,720 | 38,098 | ||
Tranche B 3LN, term loan 4.25% 8/23/19 (d) | 20,850 | 21,111 | ||
Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (d) | 64,377 | 65,181 | ||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.1375% 12/27/14 (d) | 35,084 | 33,329 | ||
Tranche C, term loan 2.1375% 12/27/15 (d) | 17,900 | 17,005 | ||
Schaeffler AG Tranche C, term loan 4.25% 1/27/17 (d) | 36,000 | 36,405 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 4.75% 4/30/19 (d) | 37,000 | 37,278 | ||
Tower Automotive Holdings USA LLC Tranche B, term loan 5.75% 4/23/20 (d) | 25,000 | 25,438 | ||
| 294,837 | |||
Broadcasting - 3.5% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.8482% 1/29/16 (d) | 28,957 | 26,568 | ||
Cumulus Media Holdings, Inc. Tranche 1LN, term loan 4.5% 9/16/18 (d) | 9,950 | 10,099 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Broadcasting - continued | ||||
FoxCo Acquisition Sub, LLC Tranche B, term loan 5.5% 7/14/17 (d) | $ 6,965 | $ 7,087 | ||
Gray Television, Inc. Tranche B, term loan 4.75% 10/11/19 (d) | 2,892 | 2,939 | ||
Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (d) | 4,988 | 5,050 | ||
NEP/NCP Holdco, Inc.: | ||||
Tranche 2LN, term loan 9.5% 7/22/20 (d) | 2,857 | 2,971 | ||
Tranche B, term loan 4.75% 2/13/20 (d) | 11,970 | 12,150 | ||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. Tranche B, term loan 4.5% 12/3/19 (d) | 2,500 | 2,538 | ||
Nielsen Finance LLC Tranche E, term loan 2.9503% 5/1/16 (d) | 171,332 | 173,473 | ||
Nine Entertainment (DELAWARE) Tranche B, term loan 3.5% 1/28/20 (d) | 12,000 | 12,015 | ||
Raycom Media, Inc. Tranche B, term loan 4.25% 5/31/17 (d) | 4,913 | 4,937 | ||
TWCC Holding Corp. term loan 3.5% 2/11/17 (d) | 58,081 | 59,098 | ||
Univision Communications, Inc.: | ||||
term loan 4.75% 3/1/20 (d) | 85,700 | 86,450 | ||
Tranche 1LN, term loan 4.75% 3/1/20 (d) | 28,979 | 29,232 | ||
| 434,607 | |||
Building Materials - 1.1% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 3/27/20 (d) | 31,120 | 31,315 | ||
Armstrong World Industries, Inc. Tranche B, term loan 3.5% 3/15/20 (d) | 29,000 | 29,145 | ||
HD Supply, Inc. Tranche B 1LN, term loan 4.5% 10/12/17 (d) | 26,810 | 27,145 | ||
Milacron LLC Tranche B, term loan 4.25% 3/28/20 (d) | 3,000 | 3,015 | ||
Pinafore LLC Tranche B 2LN, term loan 3.75% 9/21/16 (d) | 43,158 | 43,805 | ||
Unifrax I LLC Tranche B, term loan 4.25% 11/28/18 (d) | 2,993 | 3,019 | ||
| 137,444 | |||
Cable TV - 5.8% | ||||
Atlantic Broadband Holdings I, LLC Tranche B, term loan 4.5% 11/30/19 (d) | 13,373 | 13,607 | ||
Bragg Communications, Inc. Tranche B, term loan 3.5% 2/28/18 (d) | 10,395 | 10,538 | ||
Bresnan Broadband Holdings LLC Tranche B, term loan 4.5% 12/14/17 (d) | 32,610 | 32,814 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cable TV - continued | ||||
CCO Holdings, LLC Tranche 3LN, term loan 2.6982% 9/6/14 (d) | $ 69,097 | $ 69,097 | ||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (d) | 122,000 | 122,763 | ||
Charter Communications Operating LLC: | ||||
Tranche C, term loan 3.45% 9/6/16 (d) | 32,770 | 32,770 | ||
Tranche D, term loan 4% 4/11/19 (d) | 46,042 | 46,042 | ||
Tranche E, term loan 4/10/20 | 34,320 | 34,277 | ||
Tranche F, term loan 3% 1/31/21 (d) | 95,425 | 95,425 | ||
CSC Holdings LLC Tranche B, term loan 5.1992% 4/17/20 (d) | 109,380 | 109,107 | ||
Kabel Deutschland GmbH Tranche F, term loan 3.25% 2/1/19 (d) | 8,000 | 7,990 | ||
Mediacom Broadband LLC Tranche F, term loan 4.5% 10/23/17 (d) | 16,513 | 16,678 | ||
Mediacom LLC Tranche E, term loan 4.5% 10/23/17 (d) | 2,888 | 2,881 | ||
RCN Telecom Services, LLC Tranche B, term loan 5.25% 3/1/20 (d) | 7,000 | 7,114 | ||
UPC Broadband Holding BV: | ||||
Tranche AF, term loan 4% 1/31/21 (d) | 16,000 | 16,160 | ||
Tranche AH, term loan 3.25% 6/30/21 (d) | 34,000 | 33,958 | ||
Virgin Media Finance PLC Tranche B, term loan 2/15/20 | 20,000 | 19,950 | ||
WaveDivision Holdings LLC Tranche B, term loan 4% 8/9/19 (d) | 5,985 | 6,045 | ||
WideOpenWest Finance LLC Tranche B, term loan 6% 4/1/19 (d) | 33,000 | 33,413 | ||
Zayo Group LLC Tranche B, term loan 4.75% 7/2/19 (d) | 3,990 | 4,030 | ||
| 714,659 | |||
Capital Goods - 0.8% | ||||
Alliance Laundry Systems LLC Tranche B, term loan 4.5% 12/10/18 (d) | 2,985 | 3,015 | ||
Apex Tool Group, LLC Tranche B, term loan 4.5% 2/1/20 (d) | 16,000 | 16,180 | ||
Colfax Corp. Tranche B, term loan 3.25% 1/1/19 (d) | 3,990 | 4,020 | ||
Doncasters PLC: | ||||
Tranche B 1LN, term loan 5.5% 4/9/20 (d) | 20,000 | 20,150 | ||
Tranche B 2LN, term loan 9.5% 10/9/20 (d) | 8,000 | 8,000 | ||
Husky Intermediate, Inc. Tranche B, term loan 4.25% 6/30/18 (d) | 4,000 | 4,070 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Capital Goods - continued | ||||
Rexnord LLC Tranche B, term loan 3.75% 4/1/18 (d) | $ 13,375 | $ 13,508 | ||
SRAM LLC. Tranche B, term loan 4% 4/4/20 (d) | 25,000 | 25,188 | ||
| 94,131 | |||
Chemicals - 2.7% | ||||
Arizona Chemical Tranche B, term loan 5.25% 12/22/17 (d) | 5,480 | 5,569 | ||
Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (d) | 3,960 | 4,010 | ||
Celanese Holdings LLC: | ||||
Revolving Credit-Linked Deposit 1.701% 4/2/14 (d) | 45,422 | 45,308 | ||
Tranche C, term loan 3.0336% 10/31/16 (d) | 22,040 | 22,260 | ||
Chemtura Corp. term loan 5.5% 8/27/16 (d) | 27,854 | 28,168 | ||
Cyanco Intermediate Corp. Tranche B, term loan 5.5% 4/29/20 (d) | 39,700 | 39,899 | ||
Eagle Spinco, Inc. Tranche B, term loan 3.5% 1/28/17 (d) | 8,430 | 8,567 | ||
Edwards Ltd. Tranche B, term loan 4.75% 3/22/20 (d) | 9,635 | 9,707 | ||
Emerald Performance Materials, LLC Tranche B, term loan 6.75% 5/11/18 (d) | 2,978 | 2,985 | ||
General Chemical Corp. Tranche B, term loan 5.0019% 10/6/15 (d) | 3,199 | 3,215 | ||
Huntsman International LLC Tranche B, term loan 2.743% 4/19/17 (d) | 13,900 | 13,935 | ||
INEOS U.S. Finance LLC term loan: | ||||
5.5% 4/27/15 (d) | 6,930 | 6,999 | ||
6.5% 4/27/18 (d) | 30,690 | 31,035 | ||
Kronos Worldwide, Inc. term loan 7% 6/13/18 (d) | 1,000 | 1,010 | ||
Millennium America/Millennium Inorganic Chemicals Ltd. Tranche 2LN, term loan 6.0336% 11/18/14 (d) | 1,996 | 2,003 | ||
OMNOVA Solutions, Inc. Tranche B 1LN, term loan 4.25% 5/31/17 (d) | 3,000 | 3,038 | ||
Rockwood Specialties Group, Inc. Tranche B, term loan 3.75% 2/10/18 (d) | 14,725 | 14,799 | ||
Taminco Global Chemical Corp. Tranche B 2LN, term loan 4.25% 2/15/19 (d) | 6,796 | 6,830 | ||
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 4.5% 3/19/20 (d) | 20,000 | 20,225 | ||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (d) | 55,000 | 55,688 | ||
| 325,250 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Consumer Products - 1.2% | ||||
ACCO Brands Corp. Tranche B, term loan 4.25% 3/7/19 (d) | $ 6,892 | $ 6,927 | ||
Bombardier Recreational Products, Inc. Tranche B, term loan 5% 1/30/19 (d) | 5,000 | 5,038 | ||
Jarden Corp.: | ||||
Tranche A 1LN, term loan 2.1982% 3/31/16 (d) | 4,988 | 5,050 | ||
Tranche B, term loan 2.6982% 3/31/18 (d) | 33,850 | 34,188 | ||
NBTY, Inc. Tranche B 2LN, term loan 3.5% 10/1/17 (d) | 14,179 | 14,285 | ||
Prestige Brands, Inc. Tranche B, term loan 3.75% 1/31/19 (d) | 19,729 | 20,000 | ||
Revlon Consumer Products Corp. Tranche B, term loan 4% 11/19/17 (d) | 13,500 | 13,686 | ||
Spectrum Brands Holdings, Inc. Tranche B, term loan 4.5% 11/1/19 (d) | 12,354 | 12,524 | ||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (d) | 9,000 | 9,158 | ||
Tempur-Pedic International Inc. Tranche B, term loan 5% 12/12/19 (d) | 13,965 | 14,193 | ||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (d) | 13,965 | 13,982 | ||
Yankee Candle Co., Inc. Tranche B, term loan 5.25% 4/2/19 (d) | 3,610 | 3,624 | ||
| 152,655 | |||
Containers - 2.2% | ||||
Berlin Packaging,LLC: | ||||
Tranche 1LN, term loan 4.75% 3/28/19 (d) | 11,570 | 11,715 | ||
Tranche 2LN, term loan 8.75% 3/28/20 (d) | 3,855 | 3,922 | ||
Berry Plastics Group, Inc. term loan 3.5% 2/8/20 (d) | 98,000 | 97,878 | ||
Berry Plastics Holding Corp. Tranche C, term loan 2.1982% 4/3/15 (d) | 4,714 | 4,708 | ||
BWAY Holding Co. Tranche B, term loan 4.5% 8/31/17 (d) | 15,302 | 15,493 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (d) | 10,945 | 11,109 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.75% 9/28/18 (d) | 98,505 | 100,106 | ||
Sealed Air Corp. Tranche B, term loan 4% 10/3/18 (d) | 20,387 | 20,744 | ||
Tricorbraun, Inc. Tranche B, term loan 5.5% 4/30/18 (d) | 3,970 | 3,982 | ||
| 269,657 | |||
Diversified Financial Services - 2.0% | ||||
Clipper Acquisitons Corp. Tranche B, term loan 4% 2/6/20 (d) | 2,993 | 3,022 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Diversified Financial Services - continued | ||||
Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (d) | $ 29,440 | $ 29,661 | ||
Duff & Phelps Corp. Tranche B, term loan 4.5% 3/14/20 (d) | 3,000 | 3,030 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (d) | 11,000 | 11,041 | ||
Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (d) | 15,699 | 15,915 | ||
Flying Fortress, Inc. term loan 3.5% 6/30/17 (d) | 58,333 | 58,771 | ||
HarbourVest Partners LLC Tranche B, term loan 4.75% 11/21/17 (d) | 4,538 | 4,538 | ||
Klockner Pentaplast SA Tranche B 1LN, term loan 5.75% 12/21/16 (d) | 3,779 | 3,836 | ||
LPL Holdings, Inc. Tranche B, term loan 4% 3/29/19 (d) | 13,860 | 13,982 | ||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (d) | 30,925 | 31,389 | ||
Sheridan Investment Partners I, LLC Tranche B 2LN, term loan 5% 10/1/19 (d) | 8,955 | 9,067 | ||
Star West Generation LLC Tranche B, term loan 5% 3/13/20 (d) | 16,000 | 16,300 | ||
TransUnion LLC Tranche B, term loan 4.25% 2/10/19 (d) | 27,818 | 28,270 | ||
Vantiv LLC Tranche B, term loan 3.75% 3/27/19 (d) | 20,012 | 20,112 | ||
| 248,934 | |||
Diversified Media - 0.1% | ||||
Advanstar Communications, Inc. Tranche 1LN, term loan 2.54% 5/31/14 (d) | 1,948 | 1,822 | ||
Lamar Media Corp. Tranche B, term loan 4% 12/31/16 (d) | 978 | 983 | ||
WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (d) | 10,912 | 11,021 | ||
| 13,826 | |||
Electric Utilities - 4.7% | ||||
Calpine Corp.: | ||||
Tranche B 2LN, term loan 4% 4/1/18 (d) | 11,835 | 11,983 | ||
Tranche B 3LN, term loan 4% 10/9/19 (d) | 29,862 | 30,236 | ||
Tranche B, term loan 4% 4/1/18 (d) | 110,070 | 111,446 | ||
Covanta Energy Corp. Tranche B, term loan 3.5% 3/28/19 (d) | 15,865 | 16,103 | ||
Dynegy, Inc.: | ||||
Tranche B 1LN, term loan 4% 4/16/20 (d) | 16,225 | 16,286 | ||
Tranche B 2LN, term loan 4% 4/16/20 (d) | 25,960 | 26,057 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Electric Utilities - continued | ||||
EquiPower Resources Holdings LLC: | ||||
Tranche 2LN, term loan 10% 6/21/19 (d) | $ 795 | $ 815 | ||
Tranche B 1LN, term loan 5.5% 12/21/18 (d) | 15,843 | 16,041 | ||
Essential Power LLC Tranche B, term loan 4.4969% 8/8/19 (d) | 4,798 | 4,870 | ||
NRG Energy, Inc. Tranche B, term loan 3.25% 7/1/18 (d) | 82,585 | 83,410 | ||
NSG Holdings LLC Tranche B, term loan 4.75% 12/11/19 (d) | 2,993 | 3,030 | ||
Tempus Public Foundation Generation Holdings LLC: | ||||
Credit-Linked Deposit 2.311% 12/15/13 (d) | 983 | 983 | ||
Tranche 2LN, term loan 4.4482% 12/15/14 (d) | 24,657 | 24,657 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan: | ||||
3.7313% 10/10/14 (d) | 81,117 | 60,736 | ||
4.7313% 10/10/17 (d) | 114,252 | 83,832 | ||
The AES Corp. Tranche B, term loan 3.75% 6/1/18 (d) | 75,000 | 76,125 | ||
Topaz Power Holdings, LLC Tranche B, term loan 5.25% 2/21/20 (d) | 10,973 | 11,055 | ||
Windsor Financing, LLC Tranche B, term loan 6.25% 12/5/17 (d) | 2,932 | 3,005 | ||
| 580,670 | |||
Energy - 1.6% | ||||
Alon USA Partners LP term loan 9.25% 11/13/18 (d) | 8,867 | 9,177 | ||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (d) | 49,000 | 50,715 | ||
Citgo Petroleum Corp. Tranche B, term loan 8% 6/24/15 (d) | 873 | 886 | ||
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (d) | 16,200 | 16,261 | ||
EP Energy LLC term loan 4.5% 4/30/19 (d) | 4,000 | 4,045 | ||
Everest Acquisition LLC Tranche B 1LN, term loan 5% 4/24/18 (d) | 11,000 | 11,055 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.5% 6/28/19 (d) | 3,800 | 3,848 | ||
MEG Energy Corp. Tranche B, term loan 3.75% 3/31/20 (d) | 8,977 | 9,067 | ||
MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (d) | 26,865 | 27,234 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (d) | 5,000 | 5,088 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (d) | 9,000 | 9,158 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Energy - continued | ||||
Plains Exploration & Production Co. term loan 4% 10/15/19 (d) | $ 8,000 | $ 8,000 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (d) | 15,000 | 15,170 | ||
Tallgrass Operations LLC Tranche B, term loan 5.25% 11/13/18 (d) | 5,985 | 6,030 | ||
Vantage Drilling Co. Tranche B, term loan 5.75% 3/18/19 (d) | 15,000 | 15,188 | ||
| 190,922 | |||
Entertainment/Film - 0.4% | ||||
AMC Entertainment, Inc. Tranche B, term loan 3.5% 4/23/20 (d) | 20,000 | 20,125 | ||
Cinemark USA, Inc. Tranche B, term loan 3.2% 12/18/19 (d) | 29,925 | 30,224 | ||
EMI Music Publishing Ltd. Tranche B, term loan 4.5% 3/15/19 (d) | 3,000 | 3,045 | ||
| 53,394 | |||
Environmental - 0.6% | ||||
ADS Waste Holdings, Inc. Tranche B, term loan 4.25% 10/9/19 (d) | 35,910 | 36,314 | ||
Progressive Waste Solution Ltd. Tranche B, term loan 3.5% 10/24/19 (d) | 11,970 | 12,105 | ||
Synagro Technologies, Inc. Tranche 1LN, term loan 5.2801% 3/30/14 (d) | 399 | 389 | ||
Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (d) | 14,963 | 15,187 | ||
Tomkins Air Distribution Tranche B 1LN, term loan 5.25% 11/9/18 (d) | 3,990 | 4,050 | ||
| 68,045 | |||
Food & Drug Retail - 1.6% | ||||
Albertson's LLC Tranche B, term loan 5.75% 3/21/16 (d) | 24,000 | 24,270 | ||
GNC Corp. Tranche B, term loan 3.75% 3/2/18 (d) | 50,740 | 51,184 | ||
Rite Aid Corp.: | ||||
Tranche 1LN, term loan 4% 2/21/20 (d) | 44,000 | 44,550 | ||
Tranche 2LN, term loan 5.75% 8/21/20 (d) | 13,590 | 14,100 | ||
Sprouts Farmers Market LLC Tranche B, term loan 4.5% 4/12/20 (d) | 43,475 | 43,692 | ||
SUPERVALU, Inc. Tranche B, term loan 6.25% 3/21/19 (d) | 15,000 | 15,281 | ||
| 193,077 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Food/Beverage/Tobacco - 3.5% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (d) | $ 3,000 | $ 3,075 | ||
B&G Foods, Inc. Tranche B, term loan 4% 11/30/18 (d) | 3,957 | 4,017 | ||
Constellation Brands, Inc. Tranche B, term loan 2.75% 4/29/20 (d) | 26,195 | 26,195 | ||
Del Monte Foods Co. Tranche B, term loan 4% 3/8/18 (d) | 12,602 | 12,665 | ||
Earthbound Holdings III LLC Tranche B, term loan 5.75% 12/21/16 (d) | 6,843 | 6,808 | ||
H.J. Heinz Co.: | ||||
Tranche 2LN, term loan 2/28/14 | 15,000 | 15,000 | ||
Tranche B 1LN, term loan 3.25% 3/22/19 (d) | 25,000 | 25,125 | ||
Tranche B 2LN, term loan 3.5% 3/22/20 (d) | 244,290 | 246,122 | ||
JBS USA LLC Tranche B, term loan 3.75% 5/25/18 (d) | 21,945 | 22,000 | ||
Michael Foods, Inc. Tranche B, term loan 4.25% 2/25/18 (d) | 18,918 | 19,202 | ||
OSI Restaurant Partners LLC Tranche B, term loan 3.5% 10/26/19 (d) | 42,000 | 42,210 | ||
| 422,419 | |||
Gaming - 2.2% | ||||
Affinity Gaming LLC Tranche B, term loan 5.5% 11/9/17 (d) | 3,854 | 3,922 | ||
Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (d) | 26,114 | 26,277 | ||
Centaur Acquisition LLC Tranche 1LN, term loan 5.25% 2/20/19 (d) | 5,000 | 5,044 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (d) | 7,000 | 7,315 | ||
Harrah's Entertainment, Inc. Tranche B 4LN, term loan 9.5% 10/31/16 (d) | 3,949 | 3,998 | ||
Las Vegas Sands Corp. term loan 2.71% 11/23/15 (d) | 5,844 | 5,844 | ||
Las Vegas Sands LLC: | ||||
term loan 1.7% 5/23/14 (d) | 6,103 | 6,110 | ||
Tranche B, term loan: | ||||
1.7% 5/23/14 (d) | 29,882 | 29,920 | ||
2.7% 11/23/16 (d) | 20,905 | 20,931 | ||
Tranche I, term loan 2.7% 11/23/16 (d) | 4,202 | 4,207 | ||
MGM Mirage Tranche A, term loan 3.2836% 12/20/17 (d) | 6,983 | 7,000 | ||
MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (d) | 61,022 | 61,937 | ||
Motor City Casino Tranche B, term loan 6% 3/1/17 (d) | 4,560 | 4,617 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Gaming - continued | ||||
Penn National Gaming, Inc. Tranche B, term loan 3.75% 7/14/18 (d) | $ 36,820 | $ 37,189 | ||
Pinnacle Entertainment, Inc. Tranche B, term loan 4% 3/19/19 (d) | 9,900 | 9,962 | ||
Seminole Tribe of Florida Tranche B, term loan 3% 4/10/20 (d) | 14,710 | 14,747 | ||
Station Casinos LLC Tranche B, term loan 5% 2/19/20 (d) | 17,000 | 17,213 | ||
| 266,233 | |||
Healthcare - 15.8% | ||||
Alere, Inc.: | ||||
Tranche B 2LN, term loan 4.25% 6/30/17 (d) | 2,970 | 3,011 | ||
Tranche B, term loan 4.25% 6/30/17 (d) | 997 | 1,011 | ||
Alkermes, Inc. term loan 3.5% 9/25/19 (d) | 10,704 | 10,757 | ||
Apria Healthcare Group, Inc. Tranche B, term loan 6.75% 4/5/20 (d) | 24,000 | 24,060 | ||
Bausch & Lomb, Inc.: | ||||
Tranche B, term loan 5.25% 5/18/19 (d) | 72,894 | 73,714 | ||
Tranche DD, term loan: | ||||
3.4482% 6/30/16 (d) | 12,000 | 12,135 | ||
4.75% 6/30/15 (d) | 11,970 | 12,055 | ||
Biomet, Inc. term loan: | ||||
3.1998% 3/25/15 (d) | 1,670 | 1,688 | ||
3.9708% 7/25/17 (d) | 38,793 | 39,277 | ||
Carestream Health, Inc. term loan 5% 2/25/17 (d) | 2,788 | 2,795 | ||
Community Health Systems, Inc. term loan 3.7865% 1/25/17 (d) | 303,745 | 306,403 | ||
ConvaTec, Inc. term loan 5% 12/22/16 (d) | 4,000 | 4,060 | ||
DaVita, Inc.: | ||||
Tranche A, term loan 2.95% 10/20/15 (d) | 35,656 | 35,701 | ||
Tranche B 2LN, term loan 4% 8/21/19 (d) | 76,808 | 77,864 | ||
Tranche B, term loan 4.5% 10/20/16 (d) | 85,561 | 86,630 | ||
DJO Finance LLC Tranche B, term loan 4.75% 9/15/17 (d) | 7,880 | 7,998 | ||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (d) | 31,934 | 31,295 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (d) | 36,929 | 37,391 | ||
Endo Health Solutions, Inc. Tranche B, term loan 4% 6/17/18 (d) | 4,931 | 4,925 | ||
Fresenius SE & Co. KGaA: | ||||
Tranche D 1LN, term loan 3.25% 9/10/14 (d) | 37,612 | 37,659 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Healthcare - continued | ||||
Fresenius SE & Co. KGaA: - continued | ||||
Tranche D 2LN, term loan 3.25% 9/10/14 (d) | $ 22,620 | $ 22,649 | ||
Grifols, Inc. Tranche B, term loan 4.25% 6/1/17 (d) | 39,375 | 39,769 | ||
Hanger, Inc. Tranche C, term loan 4% 12/1/16 (d) | 7,792 | 7,830 | ||
HCA, Inc.: | ||||
Tranche A 3LN, term loan 3.4482% 2/2/16 (d) | 326,507 | 326,913 | ||
Tranche B 2LN, term loan 3.5336% 3/31/17 (d) | 134,201 | 134,201 | ||
Tranche B 4LN, term loan 2.9482% 5/1/18 (d) | 10,500 | 10,540 | ||
Tranche B 5LN, term loan 3.0336% 3/31/17 (d) | 165,000 | 165,549 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (d) | 21,408 | 21,194 | ||
Health Management Associates, Inc. Tranche B, term loan 3.5% 11/18/18 (d) | 43,307 | 43,740 | ||
Hologic, Inc. Tranche B, term loan 4.5% 8/1/19 (d) | 18,858 | 19,023 | ||
IASIS Healthcare LLC Tranche B 2LN, term loan 4.5% 5/3/18 (d) | 34,913 | 35,394 | ||
IMS Health, Inc. Tranche B 1LN, term loan 3.75% 8/26/17 (d) | 12,331 | 12,440 | ||
Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (d) | 13,825 | 13,998 | ||
Kinetic Concepts, Inc.: | ||||
Tranche C 1LN, term loan 5.5% 5/7/18 (d) | 11,940 | 12,149 | ||
Tranche C 2LN, term loan 5% 11/7/17 (d) | 1,990 | 2,017 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 2.7% 7/24/17 (d) | 14,963 | 15,019 | ||
MModal, Inc. Tranche B, term loan 6.75% 8/17/19 (d) | 10,000 | 9,800 | ||
Par Pharmaceutical Companies, Inc. Tranche B 1LN, term loan 4.25% 9/28/19 (d) | 8,955 | 9,045 | ||
Quintiles Transnational Corp.: | ||||
Tranche B 1LN, term loan 4.5% 6/8/18 (d) | 6,872 | 6,941 | ||
Tranche B, term loan 4.5% 6/8/18 (d) | 10,674 | 10,821 | ||
Rural/Metro Corp. Tranche B, term loan 5.75% 6/30/18 (d) | 5,845 | 5,838 | ||
Sheridan Healthcare, Inc.: | ||||
Tranche 1LN, term loan 4.5% 6/29/18 (d) | 6,953 | 7,039 | ||
Tranche 2LN, term loan 9% 6/29/19 (d) | 3,000 | 3,030 | ||
Skilled Healthcare Group, Inc. term loan 6.75% 4/9/16 (d) | 2,925 | 2,943 | ||
Team Health, Inc. Tranche B, term loan 3.75% 6/29/18 (d) | 6,878 | 6,929 | ||
United Surgical Partners International, Inc. term loan: | ||||
0% 4/3/19 (d) | 1,000 | 993 | ||
4.75% 4/3/19 (d) | 2,992 | 3,037 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Healthcare - continued | ||||
Universal Health Services, Inc.: | ||||
term loan 3.75% 11/15/16 (d) | $ 47,850 | $ 48,329 | ||
Tranche A, term loan 2.0343% 11/15/15 (d) | 10,948 | 10,920 | ||
Valeant Pharmaceuticals International: | ||||
Tranche BC 1LN, term loan 3.5% 12/11/19 (d) | 30,923 | 31,270 | ||
Tranche BD 1LN, term loan 3.5% 2/13/19 (d) | 46,613 | 47,138 | ||
Vanguard Health Holding Co. II LLC Tranche B, term loan 3.75% 1/29/16 (d) | 26,880 | 27,251 | ||
VWR Funding, Inc. Tranche B, term loan 4.2037% 4/3/17 (d) | 12,269 | 12,423 | ||
| 1,936,601 | |||
Homebuilders/Real Estate - 0.9% | ||||
Capital Automotive LP Tranche B, term loan 4.25% 4/10/19 (d) | 7,949 | 8,008 | ||
CB Richard Ellis Services, Inc. Tranche B, term loan 2.9537% 3/28/21 (d) | 17,000 | 17,085 | ||
RE/MAX LLC term loan 5.5% 4/14/16 (d) | 3,380 | 3,413 | ||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2037% 10/10/13 (d) | 3,186 | 3,178 | ||
Credit-Linked Deposit 4.4537% 10/10/16 (d) | 3,378 | 3,370 | ||
Realogy Group LLC Tranche B, term loan 4.5% 3/1/20 (d) | 72,000 | 72,720 | ||
Walter Investment Management Corp. Tranche B, term loan 5.75% 11/28/17 (d) | 7,825 | 7,962 | ||
| 115,736 | |||
Insurance - 0.6% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (d) | 53,865 | 54,538 | ||
CNO Financial Group, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 9/28/16 (d) | 5,400 | 5,474 | ||
Tranche B 2LN, term loan 5% 9/28/18 (d) | 13,381 | 13,632 | ||
| 73,644 | |||
Leisure - 0.5% | ||||
Cedar Fair LP Tranche B, term loan 3.25% 3/1/20 (d) | 9,365 | 9,470 | ||
FGI Operating Co., LLC term loan 5.5% 4/19/19 (d) | 3,972 | 3,972 | ||
SeaWorld Parks & Entertainment, Inc. term loan 4% 8/17/17 (d) | 35,093 | 35,356 | ||
Six Flags, Inc. Tranche B, term loan 4.0005% 12/20/18 (d) | 14,856 | 15,004 | ||
| 63,802 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Metals/Mining - 2.2% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (d) | $ 6,983 | $ 7,070 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (d) | 3,000 | 3,058 | ||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (d) | 24,825 | 25,135 | ||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (d) | 1,323 | 1,337 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (d) | 109,465 | 110,833 | ||
Novelis, Inc. Tranche B, term loan 3.75% 3/10/17 (d) | 77,670 | 79,030 | ||
SunCoke Energy, Inc. Tranche B, term loan 4% 7/26/18 (d) | 2,260 | 2,260 | ||
Walter Energy, Inc.: | ||||
Tranche A, term loan 4.7795% 4/1/16 (d) | 2,225 | 2,253 | ||
Tranche B, term loan 5.75% 4/1/18 (d) | 39,958 | 40,457 | ||
| 271,433 | |||
Paper - 0.0% | ||||
Bear Island Paper Co. LLC Tranche B 2LN, term loan 12% 9/13/17 | 227 | 193 | ||
Publishing/Printing - 0.9% | ||||
Cenveo Corp. Tranche B, term loan 6.25% 4/5/20 (d) | 9,355 | 9,495 | ||
Dex Media East LLC term loan 2.7502% 10/24/14 (d) | 7,383 | 5,316 | ||
Dex Media West LLC/Dex Media West Finance Co. term loan 7.25% 10/24/14 (d) | 1,691 | 1,331 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (d) | 21,945 | 22,247 | ||
Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (d) | 16,578 | 16,743 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (d) | 19,000 | 18,715 | ||
Newsday LLC Tranche A, term loan 3.6982% 10/12/16 (d) | 15,000 | 14,981 | ||
Quad/Graphics, Inc. Tranche B, term loan 4% 7/26/18 (d) | 11,160 | 11,258 | ||
Tribune Co. term loan 4% 12/31/19 (d) | 11,970 | 12,150 | ||
| 112,236 | |||
Restaurants - 0.9% | ||||
Burger King Corp. Tranche B, term loan 3.75% 9/28/19 (d) | 33,477 | 33,812 | ||
DineEquity, Inc. Tranche B 2LN, term loan 3.75% 10/19/17 (d) | 6,516 | 6,614 | ||
Dunkin Brands, Inc. Tranche B 3LN, term loan 3.75% 2/14/20 (d) | 47,870 | 48,409 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Restaurants - continued | ||||
Focus Brands, Inc. Tranche B 1LN, term loan 4.2675% 2/21/18 (d) | $ 5,331 | $ 5,331 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4.75% 4/24/18 (d) | 9,915 | 10,051 | ||
NPC International, Inc. Tranche B, term loan 4.5% 12/28/18 (d) | 4,963 | 5,025 | ||
Wok Acquisition Corp. Tranche B, term loan 5.25% 6/22/19 (d) | 1,990 | 2,025 | ||
| 111,267 | |||
Services - 3.8% | ||||
Allied Security Holdings LLC Tranche B 1LN, term loan 5.25% 2/4/17 (d) | 7,350 | 7,405 | ||
ARAMARK Corp.: | ||||
Credit-Linked Deposit 2.0847% 1/26/14 (d) | 2,528 | 2,528 | ||
Credit-Linked Deposit 3.7087% 7/26/16 (d) | 3,579 | 3,605 | ||
Tranche B, term loan: | ||||
3.6982% 7/26/16 (d) | 54,415 | 54,823 | ||
4% 8/22/19 (d) | 10,000 | 10,125 | ||
Tranche C, term loan 3.7541% 7/26/16 (d) | 73,455 | 73,822 | ||
3.7037% 7/26/16 (d) | 4,666 | 4,666 | ||
Avis Budget Group, Inc. Tranche B, term loan 3.75% 3/1/19 (d) | 15,000 | 15,206 | ||
Brickman Group Holdings, Inc. Tranche B 1LN, term loan 5.5% 10/14/16 (d) | 3,992 | 4,042 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 4% 1/30/20 (d) | 23,561 | 23,797 | ||
Hertz Corp.: | ||||
Tranche B 2LN, term loan 3% 3/11/18 (d) | 38,215 | 38,311 | ||
Tranche B, term loan 3.75% 3/11/18 (d) | 22,861 | 23,089 | ||
Interactive Data Corp. Tranche B 2LN, term loan 3.75% 2/11/18 (d) | 32,650 | 32,977 | ||
KAR Auction Services, Inc. Tranche B, term loan 3.75% 5/8/17 (d) | 37,035 | 37,405 | ||
Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (d) | 32,287 | 32,489 | ||
Sedgwick Claims Management Services, Inc. Tranche B 2LN, term loan 4% 12/31/16 (d) | 6,550 | 6,615 | ||
ServiceMaster Co.: | ||||
term loan 4.25% 1/31/17 (d) | 45,895 | 46,354 | ||
Tranche B2, term loan 4.46% 1/31/17 (d) | 21,830 | 22,048 | ||
SESAC Holdco II LLC Tranche B 1LN, term loan 6% 2/8/19 (d) | 3,990 | 4,040 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Services - continued | ||||
SymphonyIRI Group, Inc. Tranche B, term loan 4.5% 12/1/17 (d) | $ 12,967 | $ 13,097 | ||
The Geo Group, Inc. Tranche B, term loan 3.25% 4/1/20 (d) | 6,000 | 6,038 | ||
| 462,482 | |||
Shipping - 0.2% | ||||
Ozburn Hessey Holding Co. LLC Tranche 2LN, term loan 11.5% 10/8/16 (d) | 667 | 640 | ||
Swift Transportation Co. LLC Tranche B 2LN, term loan 4% 12/21/17 (d) | 18,000 | 18,270 | ||
| 18,910 | |||
Steel - 0.0% | ||||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (d) | 2,962 | 2,992 | ||
Super Retail - 2.7% | ||||
Academy Ltd. Tranche B, term loan 4.6386% 8/3/18 (d) | 31,223 | 31,691 | ||
Bass Pro Group LLC Tranche B, term loan 4% 11/20/19 (d) | 18,618 | 18,804 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 1LN, term loan 4.25% 9/26/19 (d) | 42,307 | 42,730 | ||
Tranche 2LN, term loan 9.75% 3/26/20 (d) | 11,000 | 11,385 | ||
Evergreen Acquisition Co. Tranche C, term loan 5% 7/20/19 (d) | 1,980 | 2,007 | ||
J. Crew Group, Inc. Tranche B 1LN, term loan 4% 3/7/18 (d) | 42,963 | 43,393 | ||
Michaels Stores, Inc. Tranche B, term loan 3.75% 1/28/20 (d) | 23,060 | 23,305 | ||
Neiman Marcus Group, Inc. Tranche B, term loan 4% 5/16/18 (d) | 22,000 | 22,193 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (d) | 40,774 | 41,182 | ||
Pilot Travel Centers LLC: | ||||
Tranche B 2LN, term loan 4.25% 8/7/19 (d) | 22,849 | 22,506 | ||
Tranche B, term loan 3.75% 3/30/18 (d) | 1,933 | 1,894 | ||
Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (d) | 12,968 | 13,130 | ||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (d) | 7,859 | 7,929 | ||
Toys 'R' Us, Inc.: | ||||
term loan 6% 9/1/16 (d) | 16,540 | 16,540 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Super Retail - continued | ||||
Toys 'R' Us, Inc.: - continued | ||||
Tranche B2, term loan 5.25% 5/25/18 (d) | $ 8,843 | $ 8,599 | ||
Wesco Distribution, Inc. Tranche B, term loan 4.5% 12/12/19 (d) | 17,955 | 18,135 | ||
| 325,423 | |||
Technology - 6.8% | ||||
Ancestry.com, Inc. Tranche B, term loan 7% 12/28/18 (d) | 32,932 | 33,385 | ||
Avaya, Inc.: | ||||
Tranche B 3LN, term loan 4.7881% 10/26/17 (d) | 37,425 | 34,805 | ||
Tranche B 5LN, term loan 8% 3/31/18 (d) | 10,968 | 10,955 | ||
Ceridian Corp. Tranche B, term loan 5.9492% 5/10/17 (d) | 1,996 | 2,034 | ||
CommScope, Inc. Tranche B 1LN, term loan 3.75% 1/14/18 (d) | 4,987 | 5,037 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.5% 4/25/20 (d) | 40,000 | 40,100 | ||
Fibertech Networks, LLC Tranche B, term loan 4.75% 12/18/19 (d) | 6,983 | 7,105 | ||
First Data Corp.: | ||||
term loan: | ||||
4.1992% 3/24/18 (d) | 64,079 | 63,919 | ||
4.2003% 3/24/17 (d) | 118,529 | 118,233 | ||
Tranche B, term loan 4.1987% 9/24/18 (d) | 42,410 | 42,304 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4482% 10/1/14 (d) | 127 | 128 | ||
Tranche B A2, term loan 2.4482% 10/1/14 (d) | 196 | 196 | ||
Tranche B A3, term loan 2.4482% 10/1/14 (d) | 229 | 229 | ||
Tranche B-A, term loan 2.4482% 10/1/14 (d) | 443 | 444 | ||
Freescale Semiconductor, Inc.: | ||||
Tranche B 3LN, term loan 4.25% 12/1/16 (d) | 11,000 | 11,138 | ||
Tranche B 4LN, term loan 5% 3/1/20 (d) | 82,000 | 83,025 | ||
Generac Power Systems, Inc. Tranche B, term loan 6.25% 5/30/18 (d) | 3,624 | 3,679 | ||
Genpact Ltd. Tranche B, term loan 4.25% 8/30/19 (d) | 13,930 | 14,174 | ||
Kronos, Inc. Tranche B 1LN, term loan 4.5% 10/30/19 (d) | 24,938 | 25,249 | ||
Lawson Software, Inc.: | ||||
Tranche B 1LN, term loan 5.75% 10/5/16 (d) | 2,550 | 2,569 | ||
Tranche B 2LN, term loan 5.25% 4/5/18 (d) | 13,930 | 14,157 | ||
NXP BV: | ||||
Tranche A 1LN, term loan 4.5% 3/4/17 (d) | 77,370 | 79,111 | ||
Tranche C, term loan 4.75% 1/11/20 (d) | 26,933 | 27,606 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Technology - continued | ||||
Reynolds & Reynolds Co. Tranche B, term loan 3.75% 4/21/18 (d) | $ 15,887 | $ 16,125 | ||
Rovi Corp. Tranche A, term loan 2.7% 2/7/16 (d) | 5,107 | 5,107 | ||
Sensata Technologies BV Tranche B, term loan 3.75% 5/12/18 (d) | 16,348 | 16,552 | ||
Sophia L.P. Tranche B, term loan 4.5% 7/19/18 (d) | 13,535 | 13,688 | ||
Spansion, Inc. Tranche B, term loan 5.25% 12/13/18 (d) | 7,959 | 8,019 | ||
SunGard Data Systems, Inc.: | ||||
Tranche C, term loan 3.9503% 2/28/17 (d) | 37,628 | 37,911 | ||
Tranche D, term loan 4.5% 12/17/19 (d) | 17,122 | 17,379 | ||
Tranche E, term loan 4% 3/8/20 (d) | 63,000 | 63,788 | ||
Syniverse Holdings, Inc. Tranche B, term loan: | ||||
4/23/19 (g) | 20,000 | 20,050 | ||
5% 4/23/19 (d) | 9,925 | 9,987 | ||
| 828,188 | |||
Telecommunications - 7.1% | ||||
Alcatel-Lucent USA, Inc.: | ||||
Tranche B, term loan 6.25% 8/1/16 (d) | 5,980 | 6,070 | ||
Tranche C, term loan 7.25% 1/30/19 (d) | 27,930 | 28,593 | ||
Consolidated Communications, Inc. Tranche B 3LN, term loan 5.25% 12/31/18 (d) | 6,983 | 7,087 | ||
Cricket Communications, Inc.: | ||||
Tranche B, term loan 4.75% 10/10/19 (d) | 2,993 | 3,015 | ||
Tranche C, term loan 4.75% 3/8/20 (d) | 20,500 | 20,654 | ||
Crown Castle Operating Co. Tranche B, term loan 3.25% 1/31/19 (d) | 56,522 | 56,737 | ||
Digicel International Finance Ltd. Tranche D 1LN, term loan 3.8125% 3/31/17 (d) | 7,000 | 6,983 | ||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (d) | 14,610 | 14,756 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (d) | 13,495 | 13,259 | ||
Genesys Telecom Holdings U.S., Inc. Tranche B, term loan 4% 2/8/20 (d) | 15,000 | 15,038 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 6% 2/14/19 (d) | 3,000 | 3,064 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2002% 2/1/14 (d) | 69,682 | 69,508 | ||
Tranche B, term loan 4.5% 4/2/18 (d) | 177,931 | 180,155 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 4.75% 8/1/19 (d) | 17,000 | 17,170 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Telecommunications - continued | ||||
Level 3 Financing, Inc.: - continued | ||||
Tranche B, term loan: | ||||
4.75% 2/1/16 (d) | $ 39,800 | $ 40,198 | ||
5.25% 8/1/19 (d) | 10,000 | 10,100 | ||
LTS Buyer LLC: | ||||
Tranche 1LN, term loan 4.5% 4/11/20 (d) | 33,700 | 34,037 | ||
Tranche 2LN, term loan 8% 4/11/21 (d) | 6,115 | 6,253 | ||
MetroPCS Wireless, Inc.: | ||||
Tranche B 3LN, term loan 4.8757% 3/17/18 (d) | 73,267 | 73,176 | ||
Tranche B, term loan 4.7341% 11/3/16 (d) | 14,232 | 14,232 | ||
Riverbed Technology, Inc. Tranche B, term loan 4% 12/18/19 (d) | 11,869 | 12,047 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (d) | 9,975 | 10,150 | ||
SBA Senior Finance II, LLC term loan 3.75% 9/28/19 (d) | 5,992 | 6,029 | ||
Telesat Holding, Inc. Tranche B, term loan 3.5% 3/28/19 (d) | 70,000 | 70,700 | ||
tw telecom, inc. Tranche B, term loan 2.7% 4/5/20 (d) | 14,590 | 14,626 | ||
Vodafone Americas Finance 2, Inc.: | ||||
term loan 6.875% 8/11/15 | 44,301 | 45,187 | ||
Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind | 48,469 | 49,802 | ||
Windstream Corp.: | ||||
Tranche B 3LN, term loan 4% 8/8/19 (d) | 11,910 | 12,014 | ||
Tranche B 4LN, term loan 3.5% 1/23/20 (d) | 34,913 | 35,043 | ||
| 875,683 | |||
Textiles & Apparel - 0.7% | ||||
Party City Holdings, Inc. Tranche B, term loan 4.25% 7/27/19 (d) | 16,918 | 17,044 | ||
Phillips-Van Heusen Corp. Tranche B, term loan 3.25% 12/13/19 (d) | 68,000 | 68,510 | ||
Renfro Corp. Tranche B, term loan 5.75% 1/30/19 (d) | 3,990 | 4,050 | ||
| 89,604 | |||
TOTAL FLOATING RATE LOANS (Cost $9,808,264) |
| |||
Nonconvertible Bonds - 10.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Air Transportation - 0.1% | ||||
Aviation Capital Group Corp. 4.625% 1/31/18 (c) | $ 5,000 | $ 5,216 | ||
Continental Airlines, Inc.: | ||||
6.125% 4/29/18 (c) | 3,000 | 3,060 | ||
9.25% 5/10/17 | 2,175 | 2,439 | ||
| 10,715 | |||
Automotive - 0.7% | ||||
Delphi Corp.: | ||||
5% 2/15/23 | 10,000 | 10,825 | ||
5.875% 5/15/19 | 18,610 | 20,169 | ||
General Motors Acceptance Corp. 2.4871% 12/1/14 (d) | 40,000 | 39,666 | ||
General Motors Financial Co., Inc. 4.75% 8/15/17 (c) | 4,000 | 4,220 | ||
Lear Corp. 4.75% 1/15/23 (c) | 5,000 | 5,013 | ||
| 79,893 | |||
Banks & Thrifts - 1.2% | ||||
Ally Financial, Inc.: | ||||
3.125% 1/15/16 | 4,000 | 4,080 | ||
3.492% 2/11/14 (d) | 52,000 | 52,650 | ||
4.625% 6/26/15 | 4,000 | 4,215 | ||
Bank of America Corp.: | ||||
1.1041% 3/22/16 (d) | 5,000 | 4,996 | ||
1.6956% 1/30/14 (d) | 3,250 | 3,277 | ||
GMAC LLC 2.4871% 12/1/14 (d) | 70,187 | 70,362 | ||
Regions Financial Corp. 5.75% 6/15/15 | 3,000 | 3,278 | ||
| 142,858 | |||
Broadcasting - 0.3% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 6,600 | 6,732 | ||
Clear Channel Communications, Inc. 9% 12/15/19 (c) | 8,677 | 8,710 | ||
Sirius XM Radio, Inc. 5.25% 8/15/22 (c) | 5,000 | 5,163 | ||
Starz LLC/Starz Finance Corp.: | ||||
5% 9/15/19 (c) | 3,000 | 3,128 | ||
5% 9/15/19 | 6,000 | 6,255 | ||
Univision Communications, Inc. 6.75% 9/15/22 (c) | 6,000 | 6,660 | ||
| 36,648 | |||
Building Materials - 0.2% | ||||
HD Supply, Inc. 7.5% 7/15/20 (c) | 15,000 | 16,238 | ||
Nortek, Inc. 8.5% 4/15/21 (c) | 5,000 | 5,575 | ||
| 21,813 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cable TV - 0.5% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | $ 17,065 | $ 17,236 | ||
5.25% 3/15/21 (c) | 13,070 | 13,429 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (c) | 10,815 | 11,491 | ||
Lynx I Corp. 5.375% 4/15/21 (c) | 5,000 | 5,375 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (c) | 7,000 | 7,245 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 2,000 | 2,040 | ||
| 56,816 | |||
Capital Goods - 0.0% | ||||
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (c) | 3,000 | 3,173 | ||
Chemicals - 0.1% | ||||
Celanese U.S. Holdings LLC 4.625% 11/15/22 | 11,520 | 11,981 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (c) | 5,000 | 5,138 | ||
| 17,119 | |||
Consumer Products - 0.1% | ||||
Libbey Glass, Inc. 6.875% 5/15/20 | 4,000 | 4,370 | ||
Reddy Ice Corp. 11.25% 3/15/15 | 2,000 | 2,113 | ||
Spectrum Brands Escrow Corp. 6.375% 11/15/20 (c) | 3,070 | 3,354 | ||
Spectrum Brands Holdings, Inc. 9.5% 6/15/18 | 4,000 | 4,495 | ||
| 14,332 | |||
Containers - 0.7% | ||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (c) | 5,439 | 5,996 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
4.875% 11/15/22 (c) | 2,490 | 2,540 | ||
7.375% 10/15/17 (c) | 10,736 | 11,810 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 58,325 | 60,804 | ||
7.125% 4/15/19 | 5,000 | 5,388 | ||
| 86,538 | |||
Diversified Financial Services - 1.0% | ||||
CIT Group, Inc.: | ||||
4.75% 2/15/15 (c) | 14,000 | 14,735 | ||
5% 5/15/17 | 7,000 | 7,630 | ||
5.25% 4/1/14 (c) | 45,000 | 46,631 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | $ 7,000 | $ 7,088 | ||
4.875% 4/1/15 | 4,000 | 4,204 | ||
5.625% 9/20/13 | 12,000 | 12,180 | ||
5.875% 5/1/13 | 21,405 | 21,405 | ||
6.25% 5/15/19 | 10,000 | 11,213 | ||
SLM Corp. 4.625% 9/25/17 | 2,000 | 2,065 | ||
| 127,151 | |||
Diversified Media - 0.2% | ||||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (c) | 5,130 | 5,451 | ||
6.5% 11/15/22 (c) | 13,870 | 14,876 | ||
| 20,327 | |||
Electric Utilities - 0.7% | ||||
Calpine Construction Finance Co. LP 8% 6/1/16 (c) | 4,000 | 4,178 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 5,000 | 5,744 | ||
10% 12/1/20 (c) | 54,320 | 61,585 | ||
11.75% 3/1/22 (c) | 11,000 | 12,595 | ||
NRG Energy, Inc. 6.625% 3/15/23 (c) | 4,000 | 4,360 | ||
The AES Corp. 7.75% 3/1/14 | 3,000 | 3,161 | ||
| 91,623 | |||
Energy - 0.4% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 7,000 | 7,210 | ||
Antero Resources Finance Corp. 6% 12/1/20 | 995 | 1,057 | ||
Atlas Pipeline Escrow LLC 6.625% 10/1/20 (c) | 3,000 | 3,180 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: | ||||
5.875% 8/1/23 (c) | 3,000 | 3,060 | ||
6.625% 10/1/20 (c) | 2,645 | 2,784 | ||
Continental Resources, Inc. 7.125% 4/1/21 | 2,000 | 2,295 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (c) | 5,000 | 5,050 | ||
LINN Energy LLC/LINN Energy Finance Corp. 6.25% 11/1/19 (c) | 5,000 | 5,225 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (c) | 4,000 | 4,260 | ||
Oil States International, Inc. 5.125% 1/15/23 (c) | 5,000 | 5,138 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Energy - continued | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22 | $ 6,000 | $ 6,705 | ||
Western Refining, Inc. 6.25% 4/1/21 (c) | 5,305 | 5,464 | ||
| 51,428 | |||
Entertainment/Film - 0.1% | ||||
Cinemark USA, Inc. 5.125% 12/15/22 (c) | 3,185 | 3,296 | ||
Regal Entertainment Group 5.75% 2/1/25 | 3,090 | 3,121 | ||
| 6,417 | |||
Environmental - 0.0% | ||||
Clean Harbors, Inc. 5.25% 8/1/20 | 4,000 | 4,230 | ||
Food & Drug Retail - 0.0% | ||||
ESAL GmbH 6.25% 2/5/23 (c) | 4,000 | 3,976 | ||
Gaming - 0.1% | ||||
Ameristar Casinos, Inc. 7.5% 4/15/21 | 3,000 | 3,338 | ||
MCE Finance Ltd. 5% 2/15/21 (c) | 10,000 | 10,100 | ||
| 13,438 | |||
Healthcare - 0.4% | ||||
Community Health Systems, Inc. 5.125% 8/15/18 | 10,755 | 11,508 | ||
DaVita, Inc. 5.75% 8/15/22 | 8,235 | 8,770 | ||
Health Management Associates, Inc. 7.375% 1/15/20 | 3,420 | 3,805 | ||
Tenet Healthcare Corp.: | ||||
4.75% 6/1/20 (c) | 8,680 | 8,984 | ||
8.875% 7/1/19 | 16,000 | 17,960 | ||
| 51,027 | |||
Homebuilders/Real Estate - 0.2% | ||||
CB Richard Ellis Services, Inc. 5% 3/15/23 | 17,990 | 18,418 | ||
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 (c) | 4,000 | 4,160 | ||
| 22,578 | |||
Leisure - 0.0% | ||||
Six Flags Entertainment Corp. 5.25% 1/15/21 (c) | 4,000 | 4,160 | ||
Metals/Mining - 0.4% | ||||
CONSOL Energy, Inc. 8% 4/1/17 | 6,475 | 7,009 | ||
FMG Resources (August 2006) Pty Ltd. 7% 11/1/15 (c) | 24,705 | 25,878 | ||
New Gold, Inc. 6.25% 11/15/22 (c) | 4,415 | 4,547 | ||
Peabody Energy Corp. 6% 11/15/18 | 5,000 | 5,363 | ||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/1/20 (c) | 2,270 | 2,423 | ||
| 45,220 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Paper - 0.1% | ||||
AbitibiBowater, Inc. 10.25% 10/15/18 | $ 2,400 | $ 2,803 | ||
Boise Cascade LLC/Boise Cascade Finance Corp. 6.375% 11/1/20 (c) | 3,000 | 3,210 | ||
P.H. Glatfelter Co. 5.375% 10/15/20 | 4,585 | 4,837 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 | 3,000 | 2,318 | ||
| 13,168 | |||
Services - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 2.7901% 5/15/14 (d) | 19,000 | 18,976 | ||
TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind | 3,000 | 3,293 | ||
| 22,269 | |||
Shipping - 0.1% | ||||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 8,075 | 8,075 | ||
Steel - 0.0% | ||||
Severstal Columbus LLC 10.25% 2/15/18 | 3,005 | 3,230 | ||
Super Retail - 0.1% | ||||
Dollar General Corp. 4.125% 7/15/17 | 2,000 | 2,180 | ||
Netflix, Inc. 5.375% 2/1/21 (c) | 4,000 | 4,110 | ||
Sally Holdings LLC 5.75% 6/1/22 | 3,000 | 3,203 | ||
The Bon-Ton Department Stores, Inc. 10.625% 7/15/17 | 6,000 | 6,045 | ||
| 15,538 | |||
Technology - 0.8% | ||||
Brocade Communications Systems, Inc. 4.625% 1/15/23 (c) | 7,235 | 7,163 | ||
First Data Corp. 6.75% 11/1/20 (c) | 39,130 | 42,065 | ||
Flextronics International Ltd. 4.625% 2/15/20 (c) | 4,000 | 4,090 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (c) | 5,000 | 5,025 | ||
NCR Corp. 5% 7/15/22 (c) | 4,000 | 4,050 | ||
NXP BV/NXP Funding LLC: | ||||
3.0271% 10/15/13 (d) | 14,255 | 14,237 | ||
5.75% 2/15/21 (c) | 14,760 | 15,646 | ||
5.75% 3/15/23 (c) | 5,000 | 5,213 | ||
| 97,489 | |||
Telecommunications - 1.9% | ||||
Altice Financing SA 7.875% 12/15/19 (c) | 4,000 | 4,420 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (c) | 3,905 | 3,964 | ||
Intelsat Jackson Holdings SA 6.625% 12/15/22 (c) | 20,000 | 21,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Telecommunications - continued | ||||
iPCS, Inc.: | ||||
2.4235% 5/1/13 (d) | $ 72,852 | $ 72,852 | ||
3.5366% 5/1/14 pay-in-kind (d) | 69,150 | 69,237 | ||
Qwest Corp. 3.5301% 6/15/13 (d) | 11,000 | 11,031 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 4,000 | 4,090 | ||
6.9% 5/1/19 | 5,000 | 5,431 | ||
Sprint Nextel Corp.: | ||||
6% 11/15/22 | 30,000 | 31,200 | ||
9% 11/15/18 (c) | 3,000 | 3,690 | ||
Telesat Canada/Telesat LLC 6% 5/15/17 (c) | 3,000 | 3,195 | ||
| 230,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $1,244,856) |
|
Common Stocks - 0.2% | |||
Shares |
| ||
Broadcasting - 0.0% | |||
Cumulus Media, Inc. Class A (a) | 229,315 | 732 | |
ION Media Networks, Inc. (a) | 2,842 | 1,570 | |
| 2,302 | ||
Chemicals - 0.2% | |||
LyondellBasell Industries NV Class A | 245,943 | 14,929 | |
Diversified Financial Services - 0.0% | |||
Newhall Holding Co. LLC Class A (a) | 289,870 | 551 | |
Electric Utilities - 0.0% | |||
Calpine Corp. (a) | 20,715 | 450 | |
Entertainment/Film - 0.0% | |||
Metro-Goldwyn-Mayer, Inc. (a) | 71,585 | 2,126 | |
Hotels - 0.0% | |||
Tropicana Las Vegas Hotel & Casino, Inc. Class A | 48,650 | 1,898 | |
Paper - 0.0% | |||
White Birch Cayman Holdings Ltd. | 12,570 | 0 | |
Publishing/Printing - 0.0% | |||
HMH Holdings, Inc. warrants 6/22/19 (a)(e) | 13,699 | 103 | |
Telecommunications - 0.0% | |||
FairPoint Communications, Inc. (a) | 34,287 | 279 | |
TOTAL COMMON STOCKS (Cost $17,059) |
|
Other - 0.0% | ||||
Shares | Value (000s) | |||
Other - 0.0% | ||||
Idearc, Inc. Claim (a) | 1,888,944 | $ 0 |
Money Market Funds - 15.3% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.13% (b) | 1,879,799,571 |
| |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.14%, dated 4/30/13 due 5/1/13 (Collateralized by U.S. Treasury Obligations) # | $ 2,453 |
| |
TOTAL INVESTMENT PORTFOLIO - 107.2% (Cost $12,952,432) | 13,146,013 | ||
NET OTHER ASSETS (LIABILITIES) - (7.2)% | (886,404) | ||
NET ASSETS - 100% | $ 12,259,609 |
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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $526,121,000 or 4.3% of net assets. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $103,000 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 26 |
(f) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(g) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $20,000,000 and $20,050,000 respectively. The coupon rate will be determined at time of settlement. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,453,000 due 5/01/13 at 0.14% | |
BNP Paribas Securities Corp. | $ 1,282 |
Barclays Capital, Inc. | 682 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 489 |
| $ 2,453 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned (Amounts in thousands) |
Fidelity Cash Central Fund | $ 1,299 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 6,429 | $ 732 | $ - | $ 5,697 |
Financials | 551 | - | - | 551 |
Materials | 14,929 | 14,929 | - | - |
Telecommunication Services | 279 | 279 | - | - |
Utilities | 450 | 450 | - | - |
Floating Rate Loans | 9,939,113 | - | 9,834,315 | 104,798 |
Corporate Bonds | 1,302,009 | - | 1,302,009 | - |
Other | - | - | - | - |
Money Market Funds | 1,879,800 | 1,879,800 | - | - |
Cash Equivalents | 2,453 | - | 2,453 | - |
Total Investments in Securities: | $ 13,146,013 | $ 1,896,190 | $ 11,138,777 | $ 111,046 |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 89.8% |
Netherlands | 3.1% |
Luxembourg | 1.7% |
Australia | 1.2% |
Canada | 1.2% |
Germany | 1.0% |
Others (Individually Less Than 1%) | 2.0% |
| 100.0% |
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) | April 30, 2013 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,453) - See accompanying schedule: Unaffiliated issuers (cost $11,072,632) | $ 11,266,213 |
|
Fidelity Central Funds (cost $1,879,800) | 1,879,800 |
|
Total Investments (cost $12,952,432) |
| $ 13,146,013 |
Cash |
| 118,595 |
Receivable for investments sold | 76,017 | |
Receivable for fund shares sold | 29,892 | |
Interest receivable | 51,155 | |
Distributions receivable from Fidelity Central Funds | 250 | |
Prepaid expenses | 9 | |
Receivable from investment adviser for expense reductions | 2 | |
Other receivables | 67 | |
Total assets | 13,422,000 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 1,127,823 | |
Payable for fund shares redeemed | 18,677 | |
Distributions payable | 7,372 | |
Accrued management fee | 5,686 | |
Distribution and service plan fees payable | 1,083 | |
Other affiliated payables | 1,469 | |
Other payables and accrued expenses | 281 | |
Total liabilities | 1,162,391 | |
|
|
|
Net Assets | $ 12,259,609 | |
Net Assets consist of: |
| |
Paid in capital | $ 11,999,424 | |
Undistributed net investment income | 164,407 | |
Accumulated undistributed net realized gain (loss) on investments | (97,803) | |
Net unrealized appreciation (depreciation) on investments | 193,581 | |
Net Assets | $ 12,259,609 |
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) | April 30, 2013 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.03 | |
|
|
|
Maximum offering price per share (100/97.25 of $10.03) | $ 10.31 | |
Class T: | $ 10.02 | |
|
|
|
Maximum offering price per share (100/97.25 of $10.02) | $ 10.30 | |
Class B: | $ 10.02 | |
|
|
|
Class C: | $ 10.03 | |
|
|
|
|
|
|
Fidelity Floating Rate High Income Fund: | $ 10.02 | |
|
|
|
Institutional Class: | $ 10.01 |
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 April 30, 2013 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 889 |
Interest |
| 237,427 |
Income from Fidelity Central Funds |
| 1,299 |
Total income |
| 239,615 |
|
|
|
Expenses | ||
Management fee | $ 31,834 | |
Transfer agent fees | 7,689 | |
Distribution and service plan fees | 6,255 | |
Accounting fees and expenses | 812 | |
Custodian fees and expenses | 79 | |
Independent trustees' compensation | 35 | |
Registration fees | 375 | |
Audit | 84 | |
Legal | 20 | |
Miscellaneous | 46 | |
Total expenses before reductions | 47,229 | |
Expense reductions | (22) | 47,207 |
Net investment income (loss) | 192,408 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers |
| 42,944 |
Change in net unrealized appreciation (depreciation) on investment securities | 87,164 | |
Net gain (loss) | 130,108 | |
Net increase (decrease) in net assets resulting from operations | $ 322,516 |
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 April 30, | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 192,408 | $ 366,256 |
Net realized gain (loss) | 42,944 | 23,583 |
Change in net unrealized appreciation (depreciation) | 87,164 | 177,284 |
Net increase (decrease) in net assets resulting | 322,516 | 567,123 |
Distributions to shareholders from net investment income | (169,372) | (350,713) |
Distributions to shareholders from net realized gain | (52,959) | - |
Total distributions | (222,331) | (350,713) |
Share transactions - net increase (decrease) | 1,552,235 | 256,075 |
Redemption fees | 299 | 419 |
Total increase (decrease) in net assets | 1,652,719 | 472,904 |
|
|
|
Net Assets | ||
Beginning of period | 10,606,890 | 10,133,986 |
End of period (including undistributed net investment income of $164,407 and undistributed net investment income of $141,371, respectively) | $ 12,259,609 | $ 10,606,890 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.94 | $ 9.73 | $ 9.79 | $ 9.31 | $ 8.00 | $ 9.75 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .162 | .340 | .317 | .391 | .354 | .476 |
Net realized and unrealized gain (loss) | .119 | .195 | (.080) | .425 | 1.232 | (1.779) |
Total from investment operations | .281 | .535 | .237 | .816 | 1.586 | (1.303) |
Distributions from net investment income | (.142) | (.325) | (.298) | (.287) | (.278) | (.448) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.191) | (.325) | (.298) | (.337) | (.278) | (.448) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.03 | $ 9.94 | $ 9.73 | $ 9.79 | $ 9.31 | $ 8.00 |
Total Return B, C, D | 2.86% | 5.60% | 2.46% | 8.96% | 20.31% | (13.87)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00% A | .99% | 1.00% | 1.03% | 1.05% | 1.06% |
Expenses net of fee waivers, if any | 1.00% A | .99% | 1.00% | 1.03% | 1.05% | 1.06% |
Expenses net of all reductions | 1.00% A | .99% | 1.00% | 1.03% | 1.04% | 1.06% |
Net investment income (loss) | 3.29% A | 3.47% | 3.25% | 4.11% | 4.09% | 5.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,455 | $ 1,305 | $ 1,587 | $ 1,064 | $ 518 | $ 192 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 | $ 9.73 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .157 | .330 | .312 | .391 | .349 | .481 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .416 | 1.228 | (1.762) |
Total from investment operations | .276 | .525 | .242 | .807 | 1.577 | (1.281) |
Distributions from net investment income | (.137) | (.315) | (.293) | (.288) | (.279) | (.450) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.186) | (.315) | (.293) | (.338) | (.279) | (.450) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 |
Total Return B, C, D | 2.81% | 5.50% | 2.51% | 8.87% | 20.20% | (13.66)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Expenses net of fee waivers, if any | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Expenses net of all reductions | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Net investment income (loss) | 3.18% A | 3.37% | 3.19% | 4.12% | 4.10% | 5.16% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 269 | $ 241 | $ 271 | $ 242 | $ 143 | $ 134 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 7.99 | $ 9.73 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .136 | .288 | .266 | .341 | .305 | .432 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .416 | 1.238 | (1.771) |
Total from investment operations | .255 | .483 | .196 | .757 | 1.543 | (1.339) |
Distributions from net investment income | (.116) | (.273) | (.247) | (.238) | (.235) | (.402) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.165) | (.273) | (.247) | (.288) | (.235) | (.402) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 7.99 |
Total Return B, C, D | 2.59% | 5.05% | 2.03% | 8.30% | 19.74% | (14.21)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.53% A | 1.52% | 1.52% | 1.55% | 1.56% | 1.56% |
Expenses net of fee waivers, if any | 1.53% A | 1.52% | 1.52% | 1.55% | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% A | 1.52% | 1.52% | 1.55% | 1.55% | 1.55% |
Net investment income (loss) | 2.75% A | 2.94% | 2.72% | 3.59% | 3.59% | 4.64% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 22 | $ 24 | $ 32 | $ 43 | $ 44 | $ 42 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.94 | $ 9.73 | $ 9.78 | $ 9.31 | $ 8.00 | $ 9.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .125 | .267 | .244 | .321 | .288 | .408 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .415 | 1.235 | (1.770) |
Total from investment operations | .244 | .462 | .174 | .736 | 1.523 | (1.362) |
Distributions from net investment income | (.105) | (.252) | (.225) | (.217) | (.215) | (.379) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.154) | (.252) | (.225) | (.267) | (.215) | (.379) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.03 | $ 9.94 | $ 9.73 | $ 9.78 | $ 9.31 | $ 8.00 |
Total Return B, C, D | 2.47% | 4.81% | 1.80% | 8.05% | 19.43% | (14.41)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.76% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Expenses net of fee waivers, if any | 1.76% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Net investment income (loss) | 2.53% A | 2.72% | 2.50% | 3.38% | 3.35% | 4.39% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 863 | $ 806 | $ 852 | $ 622 | $ 335 | $ 199 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Fidelity Floating Rate High Income Fund
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 | $ 9.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .176 | .368 | .345 | .418 | .377 | .508 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .417 | 1.225 | (1.771) |
Total from investment operations | .295 | .563 | .275 | .835 | 1.602 | (1.263) |
Distributions from net investment income | (.156) | (.353) | (.326) | (.316) | (.304) | (.478) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.205) | (.353) | (.326) | (.366) | (.304) | (.478) |
Redemption fees added to paid in capital D | - H | - H | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 |
Total Return B, C | 3.01% | 5.91% | 2.86% | 9.18% | 20.55% | (13.49)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .71% A | .71% | .71% | .73% | .75% | .73% |
Expenses net of fee waivers, if any | .71% A | .71% | .71% | .73% | .75% | .73% |
Expenses net of all reductions | .71% A | .71% | .71% | .73% | .75% | .73% |
Net investment income (loss) | 3.57% A | 3.75% | 3.53% | 4.41% | 4.39% | 5.46% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 6,597 | $ 5,720 | $ 5,399 | $ 3,566 | $ 2,354 | $ 1,292 |
Portfolio turnover rate F | 74% A | 49% | 54% | 43% | 25% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.92 | $ 9.71 | $ 9.77 | $ 9.29 | $ 7.99 | $ 9.73 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .174 | .363 | .341 | .415 | .379 | .503 |
Net realized and unrealized gain (loss) | .119 | .196 | (.079) | .427 | 1.221 | (1.769) |
Total from investment operations | .293 | .559 | .262 | .842 | 1.600 | (1.266) |
Distributions from net investment income | (.154) | (.349) | (.323) | (.313) | (.302) | (.475) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.203) | (.349) | (.323) | (.363) | (.302) | (.475) |
Redemption fees added to paid in capital D | - H | - H | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.01 | $ 9.92 | $ 9.71 | $ 9.77 | $ 9.29 | $ 7.99 |
Total Return B, C | 2.99% | 5.87% | 2.72% | 9.27% | 20.54% | (13.54)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .76% A | .75% | .75% | .76% | .77% | .77% |
Expenses net of fee waivers, if any | .76% A | .75% | .75% | .76% | .77% | .77% |
Expenses net of all reductions | .76% A | .75% | .75% | .76% | .77% | .76% |
Net investment income (loss) | 3.53% A | 3.71% | 3.50% | 4.38% | 4.36% | 5.43% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,054 | $ 2,510 | $ 1,992 | $ 1,138 | $ 469 | $ 138 |
Portfolio turnover rate F | 74% A | 49% | 54% | 43% | 25% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Floating Rate High Income 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, Fidelity Floating Rate High Income Fund and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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:
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds and floating rate loans, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 April 30, 2013 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
capital distributions or capital gain distributions. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as income in the accompanying financial statements.
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 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. 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.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 270,886 |
Gross unrealized depreciation | (18,244) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 252,642 |
|
|
Tax cost | $ 12,893,371 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2016 | $ (50,512) |
2017 | (39,057) |
Total capital loss carryforward | $ (89,569) |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 60 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
Repurchase Agreements. FMR has received an Exemptive Order from the SEC which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including principal repayments of floating rate loans), other than short-term securities, aggregated $5,448,755 and $3,703,820, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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 FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | Retained |
Class A | -% | .25% | $ 1,707 | $ 35 |
Class T | -% | .25% | 319 | 2 |
Class B | .55% | .15% | 81 | 64 |
Class C | .75% | .25% | 4,148 | 671 |
|
|
| $ 6,255 | $ 772 |
Sales Load. FDC may receive a front-end sales charge of up to 2.75% for selling Class A shares and 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 3.50% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% or .50% 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 | $ 57 |
Class T | 7 |
Class B* | 14 |
Class C* | 32 |
| $ 110 |
* 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 FMR is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,017 | .15 |
Class T | 319 | .25 |
Class B | 27 | .23 |
Class C | 624 | .15 |
Fidelity Floating Rate High Income Fund | 3,462 | .12 |
Institutional Class | 2,240 | .16 |
| $ 7,689 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $20.
In addition, FMR reimbursed a portion of the Fund's operating expenses during the period in the amount of $2.
Semiannual Report
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 19,437 | $ 46,515 |
Class T | 3,518 | 8,143 |
Class B | 270 | 780 |
Class C | 8,704 | 20,972 |
Fidelity Floating Rate High Income Fund | 94,695 | 197,172 |
Institutional Class | 42,748 | 77,131 |
Total | $ 169,372 | $ 350,713 |
From net realized gain |
|
|
Class A | $ 6,467 | $ - |
Class T | 1,177 | - |
Class B | 117 | - |
Class C | 3,998 | - |
Fidelity Floating Rate High Income Fund | 28,514 | - |
Institutional Class | 12,686 | - |
Total | $ 52,959 | $ - |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A |
|
|
|
|
Shares sold | 30,254 | 31,124 | $ 301,847 | $ 305,628 |
Reinvestment of distributions | 1,984 | 3,572 | 19,773 | 34,965 |
Shares redeemed | (18,454) | (66,588) | (184,099) | (652,113) |
Net increase (decrease) | 13,784 | (31,892) | $ 137,521 | $ (311,520) |
Class T |
|
|
|
|
Shares sold | 5,388 | 2,896 | $ 53,590 | $ 28,402 |
Reinvestment of distributions | 409 | 704 | 4,071 | 6,885 |
Shares redeemed | (3,236) | (7,230) | (32,219) | (70,751) |
Net increase (decrease) | 2,561 | (3,630) | $ 25,442 | $ (35,464) |
Class B |
|
|
|
|
Shares sold | 163 | 156 | $ 1,621 | $ 1,519 |
Reinvestment of distributions | 30 | 59 | 297 | 579 |
Shares redeemed | (427) | (1,070) | (4,252) | (10,460) |
Net increase (decrease) | (234) | (855) | $ (2,334) | $ (8,362) |
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class C |
|
|
|
|
Shares sold | 12,291 | 12,695 | $ 122,600 | $ 124,701 |
Reinvestment of distributions | 925 | 1,512 | 9,206 | 14,794 |
Shares redeemed | (8,198) | (20,709) | (81,746) | (202,835) |
Net increase (decrease) | 5,018 | (6,502) | $ 50,060 | $ (63,340) |
Fidelity Floating Rate High Income Fund |
|
|
|
|
Shares sold | 153,671 | 164,358 | $ 1,531,257 | $ 1,610,907 |
Reinvestment of distributions | 10,232 | 16,695 | 101,818 | 163,381 |
Shares redeemed | (81,416) | (160,631) | (810,573) | (1,569,854) |
Net increase (decrease) | 82,487 | 20,422 | $ 822,502 | $ 204,434 |
Institutional Class |
|
|
|
|
Shares sold | 93,254 | 109,592 | $ 928,433 | $ 1,074,762 |
Reinvestment of distributions | 3,117 | 3,772 | 30,995 | 36,919 |
Shares redeemed | (44,227) | (65,596) | (440,384) | (641,354) |
Net increase (decrease) | 52,144 | 47,768 | $ 519,044 | $ 470,327 |
10. 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
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series I and Shareholders of Fidelity Advisor Floating Rate High Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Floating Rate High Income Fund (the Fund), a fund of Fidelity Advisor Series I, including the schedule of investments, as of April 30, 2013, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended April 30, 2013 and for the year ended October 31, 2012, and the financial highlights for the six months ended April 30, 2013 and for each of the five years in the period ended October 31, 2012. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2013, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Floating Rate High Income Fund as of April 30, 2013, the results of its operations for the six months then ended, the changes in its net assets for the six months ended April 30, 2013 and for the year ended October 31, 2012, and the financial highlights for the six months ended April 30, 2013 and for each of the five years in the period ended October 31, 2012, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 17, 2013
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(Hong Kong) Limited
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
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
AFR-USAN-0613 1.784877.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Floating Rate High Income
Fund - Institutional Class
Semiannual Report
April 30, 2013
(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 financial statements. | |
Report of Independent Registered Public Accounting Firm |
|
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. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized Expense RatioB | Beginning | Ending | Expenses Paid |
Class A | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,028.60 | $ 5.03 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | 1.10% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,028.10 | $ 5.53 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.34 | $ 5.51 |
Class B | 1.53% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,025.90 | $ 7.69 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.21 | $ 7.65 |
Class C | 1.76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,024.70 | $ 8.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.07 | $ 8.80 |
Fidelity Floating Rate High Income Fund | .71% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,030.10 | $ 3.57 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.27 | $ 3.56 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,029.90 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.03 | $ 3.81 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
HCA, Inc. | 5.2 | 4.3 |
Community Health Systems, Inc. | 2.6 | 2.9 |
H.J. Heinz Co. | 2.3 | 0.0 |
Intelsat Jackson Holdings SA | 2.3 | 2.7 |
First Data Corp. | 2.3 | 1.9 |
| 14.7 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Healthcare | 16.2 | 16.0 |
Telecommunications | 9.0 | 8.5 |
Technology | 7.6 | 7.7 |
Cable TV | 6.3 | 5.9 |
Electric Utilities | 5.4 | 5.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 3.3% |
| BBB 4.4% |
| ||||
BB 44.8% |
| BB 43.0% |
| ||||
B 32.8% |
| B 31.9% |
| ||||
CCC,CC,C 2.0% |
| CCC,CC,C 2.7% |
| ||||
D 0.0% |
| D 0.0% |
| ||||
Not Rated 8.8% |
| Not Rated 6.1% |
| ||||
Equities 0.2% |
| Equities 0.2% |
| ||||
Short-Term |
| Short-Term |
|
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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Floating Rate |
| Floating Rate |
| ||||
Nonconvertible |
| Nonconvertible |
| ||||
Common Stocks 0.2% |
| Common Stocks 0.2% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 10.2% |
| ** Foreign investments | 9.0% |
|
Semiannual Report
Investments April 30, 2013
Showing Percentage of Net Assets
Floating Rate Loans (f) - 81.1% | ||||
| Principal Amount (000s) | Value (000s) | ||
Aerospace - 1.2% | ||||
Aeroflex, Inc. Tranche B, term loan 5.75% 5/9/18 (d) | $ 1,864 | $ 1,892 | ||
Sequa Corp. Tranche B, term loan 5.25% 6/19/17 (d) | 11,970 | 12,150 | ||
Silver II US Holdings LLC Tranche B, term loan 4% 12/13/19 (d) | 21,945 | 22,137 | ||
Spirit Aerosystems, Inc. Tranche B, term loan 3.75% 4/18/19 (d) | 7,905 | 7,984 | ||
TransDigm, Inc.: | ||||
Tranche B, term loan 3.5% 2/14/17 (d) | 17,955 | 18,179 | ||
Tranche C, term loan 3.75% 2/19/20 (d) | 83,790 | 84,837 | ||
| 147,179 | |||
Air Transportation - 0.4% | ||||
Delta Air Lines, Inc. Tranche B 1LN, term loan 4% 10/18/18 (d) | 3,990 | 3,950 | ||
Northwest Airlines Corp. Tranche B, term loan 3.79% 12/22/13 (d) | 1,746 | 1,729 | ||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (d) | 37,348 | 37,301 | ||
| 42,980 | |||
Automotive - 2.4% | ||||
Affinia Group, Inc.: | ||||
Tranche B 1LN, term loan 3.5% 4/11/16 (d) | 6,385 | 6,417 | ||
Tranche B 2LN, term loan 4.75% 4/11/20 (d) | 14,395 | 14,575 | ||
Allison Transmission, Inc.: | ||||
Tranche B 2LN, term loan 3.2% 8/7/17 (d) | 37,720 | 38,098 | ||
Tranche B 3LN, term loan 4.25% 8/23/19 (d) | 20,850 | 21,111 | ||
Chrysler Group LLC Tranche B, term loan 6% 5/24/17 (d) | 64,377 | 65,181 | ||
Federal-Mogul Corp.: | ||||
Tranche B, term loan 2.1375% 12/27/14 (d) | 35,084 | 33,329 | ||
Tranche C, term loan 2.1375% 12/27/15 (d) | 17,900 | 17,005 | ||
Schaeffler AG Tranche C, term loan 4.25% 1/27/17 (d) | 36,000 | 36,405 | ||
The Goodyear Tire & Rubber Co. Tranche 2LN, term loan 4.75% 4/30/19 (d) | 37,000 | 37,278 | ||
Tower Automotive Holdings USA LLC Tranche B, term loan 5.75% 4/23/20 (d) | 25,000 | 25,438 | ||
| 294,837 | |||
Broadcasting - 3.5% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.8482% 1/29/16 (d) | 28,957 | 26,568 | ||
Cumulus Media Holdings, Inc. Tranche 1LN, term loan 4.5% 9/16/18 (d) | 9,950 | 10,099 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Broadcasting - continued | ||||
FoxCo Acquisition Sub, LLC Tranche B, term loan 5.5% 7/14/17 (d) | $ 6,965 | $ 7,087 | ||
Gray Television, Inc. Tranche B, term loan 4.75% 10/11/19 (d) | 2,892 | 2,939 | ||
Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (d) | 4,988 | 5,050 | ||
NEP/NCP Holdco, Inc.: | ||||
Tranche 2LN, term loan 9.5% 7/22/20 (d) | 2,857 | 2,971 | ||
Tranche B, term loan 4.75% 2/13/20 (d) | 11,970 | 12,150 | ||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc. Tranche B, term loan 4.5% 12/3/19 (d) | 2,500 | 2,538 | ||
Nielsen Finance LLC Tranche E, term loan 2.9503% 5/1/16 (d) | 171,332 | 173,473 | ||
Nine Entertainment (DELAWARE) Tranche B, term loan 3.5% 1/28/20 (d) | 12,000 | 12,015 | ||
Raycom Media, Inc. Tranche B, term loan 4.25% 5/31/17 (d) | 4,913 | 4,937 | ||
TWCC Holding Corp. term loan 3.5% 2/11/17 (d) | 58,081 | 59,098 | ||
Univision Communications, Inc.: | ||||
term loan 4.75% 3/1/20 (d) | 85,700 | 86,450 | ||
Tranche 1LN, term loan 4.75% 3/1/20 (d) | 28,979 | 29,232 | ||
| 434,607 | |||
Building Materials - 1.1% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 3/27/20 (d) | 31,120 | 31,315 | ||
Armstrong World Industries, Inc. Tranche B, term loan 3.5% 3/15/20 (d) | 29,000 | 29,145 | ||
HD Supply, Inc. Tranche B 1LN, term loan 4.5% 10/12/17 (d) | 26,810 | 27,145 | ||
Milacron LLC Tranche B, term loan 4.25% 3/28/20 (d) | 3,000 | 3,015 | ||
Pinafore LLC Tranche B 2LN, term loan 3.75% 9/21/16 (d) | 43,158 | 43,805 | ||
Unifrax I LLC Tranche B, term loan 4.25% 11/28/18 (d) | 2,993 | 3,019 | ||
| 137,444 | |||
Cable TV - 5.8% | ||||
Atlantic Broadband Holdings I, LLC Tranche B, term loan 4.5% 11/30/19 (d) | 13,373 | 13,607 | ||
Bragg Communications, Inc. Tranche B, term loan 3.5% 2/28/18 (d) | 10,395 | 10,538 | ||
Bresnan Broadband Holdings LLC Tranche B, term loan 4.5% 12/14/17 (d) | 32,610 | 32,814 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cable TV - continued | ||||
CCO Holdings, LLC Tranche 3LN, term loan 2.6982% 9/6/14 (d) | $ 69,097 | $ 69,097 | ||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (d) | 122,000 | 122,763 | ||
Charter Communications Operating LLC: | ||||
Tranche C, term loan 3.45% 9/6/16 (d) | 32,770 | 32,770 | ||
Tranche D, term loan 4% 4/11/19 (d) | 46,042 | 46,042 | ||
Tranche E, term loan 4/10/20 | 34,320 | 34,277 | ||
Tranche F, term loan 3% 1/31/21 (d) | 95,425 | 95,425 | ||
CSC Holdings LLC Tranche B, term loan 5.1992% 4/17/20 (d) | 109,380 | 109,107 | ||
Kabel Deutschland GmbH Tranche F, term loan 3.25% 2/1/19 (d) | 8,000 | 7,990 | ||
Mediacom Broadband LLC Tranche F, term loan 4.5% 10/23/17 (d) | 16,513 | 16,678 | ||
Mediacom LLC Tranche E, term loan 4.5% 10/23/17 (d) | 2,888 | 2,881 | ||
RCN Telecom Services, LLC Tranche B, term loan 5.25% 3/1/20 (d) | 7,000 | 7,114 | ||
UPC Broadband Holding BV: | ||||
Tranche AF, term loan 4% 1/31/21 (d) | 16,000 | 16,160 | ||
Tranche AH, term loan 3.25% 6/30/21 (d) | 34,000 | 33,958 | ||
Virgin Media Finance PLC Tranche B, term loan 2/15/20 | 20,000 | 19,950 | ||
WaveDivision Holdings LLC Tranche B, term loan 4% 8/9/19 (d) | 5,985 | 6,045 | ||
WideOpenWest Finance LLC Tranche B, term loan 6% 4/1/19 (d) | 33,000 | 33,413 | ||
Zayo Group LLC Tranche B, term loan 4.75% 7/2/19 (d) | 3,990 | 4,030 | ||
| 714,659 | |||
Capital Goods - 0.8% | ||||
Alliance Laundry Systems LLC Tranche B, term loan 4.5% 12/10/18 (d) | 2,985 | 3,015 | ||
Apex Tool Group, LLC Tranche B, term loan 4.5% 2/1/20 (d) | 16,000 | 16,180 | ||
Colfax Corp. Tranche B, term loan 3.25% 1/1/19 (d) | 3,990 | 4,020 | ||
Doncasters PLC: | ||||
Tranche B 1LN, term loan 5.5% 4/9/20 (d) | 20,000 | 20,150 | ||
Tranche B 2LN, term loan 9.5% 10/9/20 (d) | 8,000 | 8,000 | ||
Husky Intermediate, Inc. Tranche B, term loan 4.25% 6/30/18 (d) | 4,000 | 4,070 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Capital Goods - continued | ||||
Rexnord LLC Tranche B, term loan 3.75% 4/1/18 (d) | $ 13,375 | $ 13,508 | ||
SRAM LLC. Tranche B, term loan 4% 4/4/20 (d) | 25,000 | 25,188 | ||
| 94,131 | |||
Chemicals - 2.7% | ||||
Arizona Chemical Tranche B, term loan 5.25% 12/22/17 (d) | 5,480 | 5,569 | ||
Ascend Performance Materials Operation LLC Tranche B, term loan 6.75% 4/10/18 (d) | 3,960 | 4,010 | ||
Celanese Holdings LLC: | ||||
Revolving Credit-Linked Deposit 1.701% 4/2/14 (d) | 45,422 | 45,308 | ||
Tranche C, term loan 3.0336% 10/31/16 (d) | 22,040 | 22,260 | ||
Chemtura Corp. term loan 5.5% 8/27/16 (d) | 27,854 | 28,168 | ||
Cyanco Intermediate Corp. Tranche B, term loan 5.5% 4/29/20 (d) | 39,700 | 39,899 | ||
Eagle Spinco, Inc. Tranche B, term loan 3.5% 1/28/17 (d) | 8,430 | 8,567 | ||
Edwards Ltd. Tranche B, term loan 4.75% 3/22/20 (d) | 9,635 | 9,707 | ||
Emerald Performance Materials, LLC Tranche B, term loan 6.75% 5/11/18 (d) | 2,978 | 2,985 | ||
General Chemical Corp. Tranche B, term loan 5.0019% 10/6/15 (d) | 3,199 | 3,215 | ||
Huntsman International LLC Tranche B, term loan 2.743% 4/19/17 (d) | 13,900 | 13,935 | ||
INEOS U.S. Finance LLC term loan: | ||||
5.5% 4/27/15 (d) | 6,930 | 6,999 | ||
6.5% 4/27/18 (d) | 30,690 | 31,035 | ||
Kronos Worldwide, Inc. term loan 7% 6/13/18 (d) | 1,000 | 1,010 | ||
Millennium America/Millennium Inorganic Chemicals Ltd. Tranche 2LN, term loan 6.0336% 11/18/14 (d) | 1,996 | 2,003 | ||
OMNOVA Solutions, Inc. Tranche B 1LN, term loan 4.25% 5/31/17 (d) | 3,000 | 3,038 | ||
Rockwood Specialties Group, Inc. Tranche B, term loan 3.75% 2/10/18 (d) | 14,725 | 14,799 | ||
Taminco Global Chemical Corp. Tranche B 2LN, term loan 4.25% 2/15/19 (d) | 6,796 | 6,830 | ||
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 4.5% 3/19/20 (d) | 20,000 | 20,225 | ||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (d) | 55,000 | 55,688 | ||
| 325,250 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Consumer Products - 1.2% | ||||
ACCO Brands Corp. Tranche B, term loan 4.25% 3/7/19 (d) | $ 6,892 | $ 6,927 | ||
Bombardier Recreational Products, Inc. Tranche B, term loan 5% 1/30/19 (d) | 5,000 | 5,038 | ||
Jarden Corp.: | ||||
Tranche A 1LN, term loan 2.1982% 3/31/16 (d) | 4,988 | 5,050 | ||
Tranche B, term loan 2.6982% 3/31/18 (d) | 33,850 | 34,188 | ||
NBTY, Inc. Tranche B 2LN, term loan 3.5% 10/1/17 (d) | 14,179 | 14,285 | ||
Prestige Brands, Inc. Tranche B, term loan 3.75% 1/31/19 (d) | 19,729 | 20,000 | ||
Revlon Consumer Products Corp. Tranche B, term loan 4% 11/19/17 (d) | 13,500 | 13,686 | ||
Spectrum Brands Holdings, Inc. Tranche B, term loan 4.5% 11/1/19 (d) | 12,354 | 12,524 | ||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (d) | 9,000 | 9,158 | ||
Tempur-Pedic International Inc. Tranche B, term loan 5% 12/12/19 (d) | 13,965 | 14,193 | ||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (d) | 13,965 | 13,982 | ||
Yankee Candle Co., Inc. Tranche B, term loan 5.25% 4/2/19 (d) | 3,610 | 3,624 | ||
| 152,655 | |||
Containers - 2.2% | ||||
Berlin Packaging,LLC: | ||||
Tranche 1LN, term loan 4.75% 3/28/19 (d) | 11,570 | 11,715 | ||
Tranche 2LN, term loan 8.75% 3/28/20 (d) | 3,855 | 3,922 | ||
Berry Plastics Group, Inc. term loan 3.5% 2/8/20 (d) | 98,000 | 97,878 | ||
Berry Plastics Holding Corp. Tranche C, term loan 2.1982% 4/3/15 (d) | 4,714 | 4,708 | ||
BWAY Holding Co. Tranche B, term loan 4.5% 8/31/17 (d) | 15,302 | 15,493 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (d) | 10,945 | 11,109 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.75% 9/28/18 (d) | 98,505 | 100,106 | ||
Sealed Air Corp. Tranche B, term loan 4% 10/3/18 (d) | 20,387 | 20,744 | ||
Tricorbraun, Inc. Tranche B, term loan 5.5% 4/30/18 (d) | 3,970 | 3,982 | ||
| 269,657 | |||
Diversified Financial Services - 2.0% | ||||
Clipper Acquisitons Corp. Tranche B, term loan 4% 2/6/20 (d) | 2,993 | 3,022 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Diversified Financial Services - continued | ||||
Delos Aircraft, Inc. Tranche T 2LN, term loan 4.75% 4/12/16 (d) | $ 29,440 | $ 29,661 | ||
Duff & Phelps Corp. Tranche B, term loan 4.5% 3/14/20 (d) | 3,000 | 3,030 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (d) | 11,000 | 11,041 | ||
Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (d) | 15,699 | 15,915 | ||
Flying Fortress, Inc. term loan 3.5% 6/30/17 (d) | 58,333 | 58,771 | ||
HarbourVest Partners LLC Tranche B, term loan 4.75% 11/21/17 (d) | 4,538 | 4,538 | ||
Klockner Pentaplast SA Tranche B 1LN, term loan 5.75% 12/21/16 (d) | 3,779 | 3,836 | ||
LPL Holdings, Inc. Tranche B, term loan 4% 3/29/19 (d) | 13,860 | 13,982 | ||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 1/23/18 (d) | 30,925 | 31,389 | ||
Sheridan Investment Partners I, LLC Tranche B 2LN, term loan 5% 10/1/19 (d) | 8,955 | 9,067 | ||
Star West Generation LLC Tranche B, term loan 5% 3/13/20 (d) | 16,000 | 16,300 | ||
TransUnion LLC Tranche B, term loan 4.25% 2/10/19 (d) | 27,818 | 28,270 | ||
Vantiv LLC Tranche B, term loan 3.75% 3/27/19 (d) | 20,012 | 20,112 | ||
| 248,934 | |||
Diversified Media - 0.1% | ||||
Advanstar Communications, Inc. Tranche 1LN, term loan 2.54% 5/31/14 (d) | 1,948 | 1,822 | ||
Lamar Media Corp. Tranche B, term loan 4% 12/31/16 (d) | 978 | 983 | ||
WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (d) | 10,912 | 11,021 | ||
| 13,826 | |||
Electric Utilities - 4.7% | ||||
Calpine Corp.: | ||||
Tranche B 2LN, term loan 4% 4/1/18 (d) | 11,835 | 11,983 | ||
Tranche B 3LN, term loan 4% 10/9/19 (d) | 29,862 | 30,236 | ||
Tranche B, term loan 4% 4/1/18 (d) | 110,070 | 111,446 | ||
Covanta Energy Corp. Tranche B, term loan 3.5% 3/28/19 (d) | 15,865 | 16,103 | ||
Dynegy, Inc.: | ||||
Tranche B 1LN, term loan 4% 4/16/20 (d) | 16,225 | 16,286 | ||
Tranche B 2LN, term loan 4% 4/16/20 (d) | 25,960 | 26,057 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Electric Utilities - continued | ||||
EquiPower Resources Holdings LLC: | ||||
Tranche 2LN, term loan 10% 6/21/19 (d) | $ 795 | $ 815 | ||
Tranche B 1LN, term loan 5.5% 12/21/18 (d) | 15,843 | 16,041 | ||
Essential Power LLC Tranche B, term loan 4.4969% 8/8/19 (d) | 4,798 | 4,870 | ||
NRG Energy, Inc. Tranche B, term loan 3.25% 7/1/18 (d) | 82,585 | 83,410 | ||
NSG Holdings LLC Tranche B, term loan 4.75% 12/11/19 (d) | 2,993 | 3,030 | ||
Tempus Public Foundation Generation Holdings LLC: | ||||
Credit-Linked Deposit 2.311% 12/15/13 (d) | 983 | 983 | ||
Tranche 2LN, term loan 4.4482% 12/15/14 (d) | 24,657 | 24,657 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan: | ||||
3.7313% 10/10/14 (d) | 81,117 | 60,736 | ||
4.7313% 10/10/17 (d) | 114,252 | 83,832 | ||
The AES Corp. Tranche B, term loan 3.75% 6/1/18 (d) | 75,000 | 76,125 | ||
Topaz Power Holdings, LLC Tranche B, term loan 5.25% 2/21/20 (d) | 10,973 | 11,055 | ||
Windsor Financing, LLC Tranche B, term loan 6.25% 12/5/17 (d) | 2,932 | 3,005 | ||
| 580,670 | |||
Energy - 1.6% | ||||
Alon USA Partners LP term loan 9.25% 11/13/18 (d) | 8,867 | 9,177 | ||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (d) | 49,000 | 50,715 | ||
Citgo Petroleum Corp. Tranche B, term loan 8% 6/24/15 (d) | 873 | 886 | ||
Energy Transfer Equity LP Tranche B, term loan 3.75% 3/23/17 (d) | 16,200 | 16,261 | ||
EP Energy LLC term loan 4.5% 4/30/19 (d) | 4,000 | 4,045 | ||
Everest Acquisition LLC Tranche B 1LN, term loan 5% 4/24/18 (d) | 11,000 | 11,055 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.5% 6/28/19 (d) | 3,800 | 3,848 | ||
MEG Energy Corp. Tranche B, term loan 3.75% 3/31/20 (d) | 8,977 | 9,067 | ||
MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (d) | 26,865 | 27,234 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (d) | 5,000 | 5,088 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (d) | 9,000 | 9,158 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Energy - continued | ||||
Plains Exploration & Production Co. term loan 4% 10/15/19 (d) | $ 8,000 | $ 8,000 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (d) | 15,000 | 15,170 | ||
Tallgrass Operations LLC Tranche B, term loan 5.25% 11/13/18 (d) | 5,985 | 6,030 | ||
Vantage Drilling Co. Tranche B, term loan 5.75% 3/18/19 (d) | 15,000 | 15,188 | ||
| 190,922 | |||
Entertainment/Film - 0.4% | ||||
AMC Entertainment, Inc. Tranche B, term loan 3.5% 4/23/20 (d) | 20,000 | 20,125 | ||
Cinemark USA, Inc. Tranche B, term loan 3.2% 12/18/19 (d) | 29,925 | 30,224 | ||
EMI Music Publishing Ltd. Tranche B, term loan 4.5% 3/15/19 (d) | 3,000 | 3,045 | ||
| 53,394 | |||
Environmental - 0.6% | ||||
ADS Waste Holdings, Inc. Tranche B, term loan 4.25% 10/9/19 (d) | 35,910 | 36,314 | ||
Progressive Waste Solution Ltd. Tranche B, term loan 3.5% 10/24/19 (d) | 11,970 | 12,105 | ||
Synagro Technologies, Inc. Tranche 1LN, term loan 5.2801% 3/30/14 (d) | 399 | 389 | ||
Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (d) | 14,963 | 15,187 | ||
Tomkins Air Distribution Tranche B 1LN, term loan 5.25% 11/9/18 (d) | 3,990 | 4,050 | ||
| 68,045 | |||
Food & Drug Retail - 1.6% | ||||
Albertson's LLC Tranche B, term loan 5.75% 3/21/16 (d) | 24,000 | 24,270 | ||
GNC Corp. Tranche B, term loan 3.75% 3/2/18 (d) | 50,740 | 51,184 | ||
Rite Aid Corp.: | ||||
Tranche 1LN, term loan 4% 2/21/20 (d) | 44,000 | 44,550 | ||
Tranche 2LN, term loan 5.75% 8/21/20 (d) | 13,590 | 14,100 | ||
Sprouts Farmers Market LLC Tranche B, term loan 4.5% 4/12/20 (d) | 43,475 | 43,692 | ||
SUPERVALU, Inc. Tranche B, term loan 6.25% 3/21/19 (d) | 15,000 | 15,281 | ||
| 193,077 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Food/Beverage/Tobacco - 3.5% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (d) | $ 3,000 | $ 3,075 | ||
B&G Foods, Inc. Tranche B, term loan 4% 11/30/18 (d) | 3,957 | 4,017 | ||
Constellation Brands, Inc. Tranche B, term loan 2.75% 4/29/20 (d) | 26,195 | 26,195 | ||
Del Monte Foods Co. Tranche B, term loan 4% 3/8/18 (d) | 12,602 | 12,665 | ||
Earthbound Holdings III LLC Tranche B, term loan 5.75% 12/21/16 (d) | 6,843 | 6,808 | ||
H.J. Heinz Co.: | ||||
Tranche 2LN, term loan 2/28/14 | 15,000 | 15,000 | ||
Tranche B 1LN, term loan 3.25% 3/22/19 (d) | 25,000 | 25,125 | ||
Tranche B 2LN, term loan 3.5% 3/22/20 (d) | 244,290 | 246,122 | ||
JBS USA LLC Tranche B, term loan 3.75% 5/25/18 (d) | 21,945 | 22,000 | ||
Michael Foods, Inc. Tranche B, term loan 4.25% 2/25/18 (d) | 18,918 | 19,202 | ||
OSI Restaurant Partners LLC Tranche B, term loan 3.5% 10/26/19 (d) | 42,000 | 42,210 | ||
| 422,419 | |||
Gaming - 2.2% | ||||
Affinity Gaming LLC Tranche B, term loan 5.5% 11/9/17 (d) | 3,854 | 3,922 | ||
Ameristar Casinos, Inc. Tranche B, term loan 4% 4/14/18 (d) | 26,114 | 26,277 | ||
Centaur Acquisition LLC Tranche 1LN, term loan 5.25% 2/20/19 (d) | 5,000 | 5,044 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (d) | 7,000 | 7,315 | ||
Harrah's Entertainment, Inc. Tranche B 4LN, term loan 9.5% 10/31/16 (d) | 3,949 | 3,998 | ||
Las Vegas Sands Corp. term loan 2.71% 11/23/15 (d) | 5,844 | 5,844 | ||
Las Vegas Sands LLC: | ||||
term loan 1.7% 5/23/14 (d) | 6,103 | 6,110 | ||
Tranche B, term loan: | ||||
1.7% 5/23/14 (d) | 29,882 | 29,920 | ||
2.7% 11/23/16 (d) | 20,905 | 20,931 | ||
Tranche I, term loan 2.7% 11/23/16 (d) | 4,202 | 4,207 | ||
MGM Mirage Tranche A, term loan 3.2836% 12/20/17 (d) | 6,983 | 7,000 | ||
MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (d) | 61,022 | 61,937 | ||
Motor City Casino Tranche B, term loan 6% 3/1/17 (d) | 4,560 | 4,617 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Gaming - continued | ||||
Penn National Gaming, Inc. Tranche B, term loan 3.75% 7/14/18 (d) | $ 36,820 | $ 37,189 | ||
Pinnacle Entertainment, Inc. Tranche B, term loan 4% 3/19/19 (d) | 9,900 | 9,962 | ||
Seminole Tribe of Florida Tranche B, term loan 3% 4/10/20 (d) | 14,710 | 14,747 | ||
Station Casinos LLC Tranche B, term loan 5% 2/19/20 (d) | 17,000 | 17,213 | ||
| 266,233 | |||
Healthcare - 15.8% | ||||
Alere, Inc.: | ||||
Tranche B 2LN, term loan 4.25% 6/30/17 (d) | 2,970 | 3,011 | ||
Tranche B, term loan 4.25% 6/30/17 (d) | 997 | 1,011 | ||
Alkermes, Inc. term loan 3.5% 9/25/19 (d) | 10,704 | 10,757 | ||
Apria Healthcare Group, Inc. Tranche B, term loan 6.75% 4/5/20 (d) | 24,000 | 24,060 | ||
Bausch & Lomb, Inc.: | ||||
Tranche B, term loan 5.25% 5/18/19 (d) | 72,894 | 73,714 | ||
Tranche DD, term loan: | ||||
3.4482% 6/30/16 (d) | 12,000 | 12,135 | ||
4.75% 6/30/15 (d) | 11,970 | 12,055 | ||
Biomet, Inc. term loan: | ||||
3.1998% 3/25/15 (d) | 1,670 | 1,688 | ||
3.9708% 7/25/17 (d) | 38,793 | 39,277 | ||
Carestream Health, Inc. term loan 5% 2/25/17 (d) | 2,788 | 2,795 | ||
Community Health Systems, Inc. term loan 3.7865% 1/25/17 (d) | 303,745 | 306,403 | ||
ConvaTec, Inc. term loan 5% 12/22/16 (d) | 4,000 | 4,060 | ||
DaVita, Inc.: | ||||
Tranche A, term loan 2.95% 10/20/15 (d) | 35,656 | 35,701 | ||
Tranche B 2LN, term loan 4% 8/21/19 (d) | 76,808 | 77,864 | ||
Tranche B, term loan 4.5% 10/20/16 (d) | 85,561 | 86,630 | ||
DJO Finance LLC Tranche B, term loan 4.75% 9/15/17 (d) | 7,880 | 7,998 | ||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (d) | 31,934 | 31,295 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (d) | 36,929 | 37,391 | ||
Endo Health Solutions, Inc. Tranche B, term loan 4% 6/17/18 (d) | 4,931 | 4,925 | ||
Fresenius SE & Co. KGaA: | ||||
Tranche D 1LN, term loan 3.25% 9/10/14 (d) | 37,612 | 37,659 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Healthcare - continued | ||||
Fresenius SE & Co. KGaA: - continued | ||||
Tranche D 2LN, term loan 3.25% 9/10/14 (d) | $ 22,620 | $ 22,649 | ||
Grifols, Inc. Tranche B, term loan 4.25% 6/1/17 (d) | 39,375 | 39,769 | ||
Hanger, Inc. Tranche C, term loan 4% 12/1/16 (d) | 7,792 | 7,830 | ||
HCA, Inc.: | ||||
Tranche A 3LN, term loan 3.4482% 2/2/16 (d) | 326,507 | 326,913 | ||
Tranche B 2LN, term loan 3.5336% 3/31/17 (d) | 134,201 | 134,201 | ||
Tranche B 4LN, term loan 2.9482% 5/1/18 (d) | 10,500 | 10,540 | ||
Tranche B 5LN, term loan 3.0336% 3/31/17 (d) | 165,000 | 165,549 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (d) | 21,408 | 21,194 | ||
Health Management Associates, Inc. Tranche B, term loan 3.5% 11/18/18 (d) | 43,307 | 43,740 | ||
Hologic, Inc. Tranche B, term loan 4.5% 8/1/19 (d) | 18,858 | 19,023 | ||
IASIS Healthcare LLC Tranche B 2LN, term loan 4.5% 5/3/18 (d) | 34,913 | 35,394 | ||
IMS Health, Inc. Tranche B 1LN, term loan 3.75% 8/26/17 (d) | 12,331 | 12,440 | ||
Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (d) | 13,825 | 13,998 | ||
Kinetic Concepts, Inc.: | ||||
Tranche C 1LN, term loan 5.5% 5/7/18 (d) | 11,940 | 12,149 | ||
Tranche C 2LN, term loan 5% 11/7/17 (d) | 1,990 | 2,017 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 2.7% 7/24/17 (d) | 14,963 | 15,019 | ||
MModal, Inc. Tranche B, term loan 6.75% 8/17/19 (d) | 10,000 | 9,800 | ||
Par Pharmaceutical Companies, Inc. Tranche B 1LN, term loan 4.25% 9/28/19 (d) | 8,955 | 9,045 | ||
Quintiles Transnational Corp.: | ||||
Tranche B 1LN, term loan 4.5% 6/8/18 (d) | 6,872 | 6,941 | ||
Tranche B, term loan 4.5% 6/8/18 (d) | 10,674 | 10,821 | ||
Rural/Metro Corp. Tranche B, term loan 5.75% 6/30/18 (d) | 5,845 | 5,838 | ||
Sheridan Healthcare, Inc.: | ||||
Tranche 1LN, term loan 4.5% 6/29/18 (d) | 6,953 | 7,039 | ||
Tranche 2LN, term loan 9% 6/29/19 (d) | 3,000 | 3,030 | ||
Skilled Healthcare Group, Inc. term loan 6.75% 4/9/16 (d) | 2,925 | 2,943 | ||
Team Health, Inc. Tranche B, term loan 3.75% 6/29/18 (d) | 6,878 | 6,929 | ||
United Surgical Partners International, Inc. term loan: | ||||
0% 4/3/19 (d) | 1,000 | 993 | ||
4.75% 4/3/19 (d) | 2,992 | 3,037 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Healthcare - continued | ||||
Universal Health Services, Inc.: | ||||
term loan 3.75% 11/15/16 (d) | $ 47,850 | $ 48,329 | ||
Tranche A, term loan 2.0343% 11/15/15 (d) | 10,948 | 10,920 | ||
Valeant Pharmaceuticals International: | ||||
Tranche BC 1LN, term loan 3.5% 12/11/19 (d) | 30,923 | 31,270 | ||
Tranche BD 1LN, term loan 3.5% 2/13/19 (d) | 46,613 | 47,138 | ||
Vanguard Health Holding Co. II LLC Tranche B, term loan 3.75% 1/29/16 (d) | 26,880 | 27,251 | ||
VWR Funding, Inc. Tranche B, term loan 4.2037% 4/3/17 (d) | 12,269 | 12,423 | ||
| 1,936,601 | |||
Homebuilders/Real Estate - 0.9% | ||||
Capital Automotive LP Tranche B, term loan 4.25% 4/10/19 (d) | 7,949 | 8,008 | ||
CB Richard Ellis Services, Inc. Tranche B, term loan 2.9537% 3/28/21 (d) | 17,000 | 17,085 | ||
RE/MAX LLC term loan 5.5% 4/14/16 (d) | 3,380 | 3,413 | ||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2037% 10/10/13 (d) | 3,186 | 3,178 | ||
Credit-Linked Deposit 4.4537% 10/10/16 (d) | 3,378 | 3,370 | ||
Realogy Group LLC Tranche B, term loan 4.5% 3/1/20 (d) | 72,000 | 72,720 | ||
Walter Investment Management Corp. Tranche B, term loan 5.75% 11/28/17 (d) | 7,825 | 7,962 | ||
| 115,736 | |||
Insurance - 0.6% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (d) | 53,865 | 54,538 | ||
CNO Financial Group, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 9/28/16 (d) | 5,400 | 5,474 | ||
Tranche B 2LN, term loan 5% 9/28/18 (d) | 13,381 | 13,632 | ||
| 73,644 | |||
Leisure - 0.5% | ||||
Cedar Fair LP Tranche B, term loan 3.25% 3/1/20 (d) | 9,365 | 9,470 | ||
FGI Operating Co., LLC term loan 5.5% 4/19/19 (d) | 3,972 | 3,972 | ||
SeaWorld Parks & Entertainment, Inc. term loan 4% 8/17/17 (d) | 35,093 | 35,356 | ||
Six Flags, Inc. Tranche B, term loan 4.0005% 12/20/18 (d) | 14,856 | 15,004 | ||
| 63,802 | |||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Metals/Mining - 2.2% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (d) | $ 6,983 | $ 7,070 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (d) | 3,000 | 3,058 | ||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (d) | 24,825 | 25,135 | ||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (d) | 1,323 | 1,337 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 5.25% 10/18/17 (d) | 109,465 | 110,833 | ||
Novelis, Inc. Tranche B, term loan 3.75% 3/10/17 (d) | 77,670 | 79,030 | ||
SunCoke Energy, Inc. Tranche B, term loan 4% 7/26/18 (d) | 2,260 | 2,260 | ||
Walter Energy, Inc.: | ||||
Tranche A, term loan 4.7795% 4/1/16 (d) | 2,225 | 2,253 | ||
Tranche B, term loan 5.75% 4/1/18 (d) | 39,958 | 40,457 | ||
| 271,433 | |||
Paper - 0.0% | ||||
Bear Island Paper Co. LLC Tranche B 2LN, term loan 12% 9/13/17 | 227 | 193 | ||
Publishing/Printing - 0.9% | ||||
Cenveo Corp. Tranche B, term loan 6.25% 4/5/20 (d) | 9,355 | 9,495 | ||
Dex Media East LLC term loan 2.7502% 10/24/14 (d) | 7,383 | 5,316 | ||
Dex Media West LLC/Dex Media West Finance Co. term loan 7.25% 10/24/14 (d) | 1,691 | 1,331 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (d) | 21,945 | 22,247 | ||
Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (d) | 16,578 | 16,743 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (d) | 19,000 | 18,715 | ||
Newsday LLC Tranche A, term loan 3.6982% 10/12/16 (d) | 15,000 | 14,981 | ||
Quad/Graphics, Inc. Tranche B, term loan 4% 7/26/18 (d) | 11,160 | 11,258 | ||
Tribune Co. term loan 4% 12/31/19 (d) | 11,970 | 12,150 | ||
| 112,236 | |||
Restaurants - 0.9% | ||||
Burger King Corp. Tranche B, term loan 3.75% 9/28/19 (d) | 33,477 | 33,812 | ||
DineEquity, Inc. Tranche B 2LN, term loan 3.75% 10/19/17 (d) | 6,516 | 6,614 | ||
Dunkin Brands, Inc. Tranche B 3LN, term loan 3.75% 2/14/20 (d) | 47,870 | 48,409 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Restaurants - continued | ||||
Focus Brands, Inc. Tranche B 1LN, term loan 4.2675% 2/21/18 (d) | $ 5,331 | $ 5,331 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4.75% 4/24/18 (d) | 9,915 | 10,051 | ||
NPC International, Inc. Tranche B, term loan 4.5% 12/28/18 (d) | 4,963 | 5,025 | ||
Wok Acquisition Corp. Tranche B, term loan 5.25% 6/22/19 (d) | 1,990 | 2,025 | ||
| 111,267 | |||
Services - 3.8% | ||||
Allied Security Holdings LLC Tranche B 1LN, term loan 5.25% 2/4/17 (d) | 7,350 | 7,405 | ||
ARAMARK Corp.: | ||||
Credit-Linked Deposit 2.0847% 1/26/14 (d) | 2,528 | 2,528 | ||
Credit-Linked Deposit 3.7087% 7/26/16 (d) | 3,579 | 3,605 | ||
Tranche B, term loan: | ||||
3.6982% 7/26/16 (d) | 54,415 | 54,823 | ||
4% 8/22/19 (d) | 10,000 | 10,125 | ||
Tranche C, term loan 3.7541% 7/26/16 (d) | 73,455 | 73,822 | ||
3.7037% 7/26/16 (d) | 4,666 | 4,666 | ||
Avis Budget Group, Inc. Tranche B, term loan 3.75% 3/1/19 (d) | 15,000 | 15,206 | ||
Brickman Group Holdings, Inc. Tranche B 1LN, term loan 5.5% 10/14/16 (d) | 3,992 | 4,042 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 4% 1/30/20 (d) | 23,561 | 23,797 | ||
Hertz Corp.: | ||||
Tranche B 2LN, term loan 3% 3/11/18 (d) | 38,215 | 38,311 | ||
Tranche B, term loan 3.75% 3/11/18 (d) | 22,861 | 23,089 | ||
Interactive Data Corp. Tranche B 2LN, term loan 3.75% 2/11/18 (d) | 32,650 | 32,977 | ||
KAR Auction Services, Inc. Tranche B, term loan 3.75% 5/8/17 (d) | 37,035 | 37,405 | ||
Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (d) | 32,287 | 32,489 | ||
Sedgwick Claims Management Services, Inc. Tranche B 2LN, term loan 4% 12/31/16 (d) | 6,550 | 6,615 | ||
ServiceMaster Co.: | ||||
term loan 4.25% 1/31/17 (d) | 45,895 | 46,354 | ||
Tranche B2, term loan 4.46% 1/31/17 (d) | 21,830 | 22,048 | ||
SESAC Holdco II LLC Tranche B 1LN, term loan 6% 2/8/19 (d) | 3,990 | 4,040 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Services - continued | ||||
SymphonyIRI Group, Inc. Tranche B, term loan 4.5% 12/1/17 (d) | $ 12,967 | $ 13,097 | ||
The Geo Group, Inc. Tranche B, term loan 3.25% 4/1/20 (d) | 6,000 | 6,038 | ||
| 462,482 | |||
Shipping - 0.2% | ||||
Ozburn Hessey Holding Co. LLC Tranche 2LN, term loan 11.5% 10/8/16 (d) | 667 | 640 | ||
Swift Transportation Co. LLC Tranche B 2LN, term loan 4% 12/21/17 (d) | 18,000 | 18,270 | ||
| 18,910 | |||
Steel - 0.0% | ||||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (d) | 2,962 | 2,992 | ||
Super Retail - 2.7% | ||||
Academy Ltd. Tranche B, term loan 4.6386% 8/3/18 (d) | 31,223 | 31,691 | ||
Bass Pro Group LLC Tranche B, term loan 4% 11/20/19 (d) | 18,618 | 18,804 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 1LN, term loan 4.25% 9/26/19 (d) | 42,307 | 42,730 | ||
Tranche 2LN, term loan 9.75% 3/26/20 (d) | 11,000 | 11,385 | ||
Evergreen Acquisition Co. Tranche C, term loan 5% 7/20/19 (d) | 1,980 | 2,007 | ||
J. Crew Group, Inc. Tranche B 1LN, term loan 4% 3/7/18 (d) | 42,963 | 43,393 | ||
Michaels Stores, Inc. Tranche B, term loan 3.75% 1/28/20 (d) | 23,060 | 23,305 | ||
Neiman Marcus Group, Inc. Tranche B, term loan 4% 5/16/18 (d) | 22,000 | 22,193 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (d) | 40,774 | 41,182 | ||
Pilot Travel Centers LLC: | ||||
Tranche B 2LN, term loan 4.25% 8/7/19 (d) | 22,849 | 22,506 | ||
Tranche B, term loan 3.75% 3/30/18 (d) | 1,933 | 1,894 | ||
Serta Simmons Holdings, LLC Tranche B, term loan 5% 10/1/19 (d) | 12,968 | 13,130 | ||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (d) | 7,859 | 7,929 | ||
Toys 'R' Us, Inc.: | ||||
term loan 6% 9/1/16 (d) | 16,540 | 16,540 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Super Retail - continued | ||||
Toys 'R' Us, Inc.: - continued | ||||
Tranche B2, term loan 5.25% 5/25/18 (d) | $ 8,843 | $ 8,599 | ||
Wesco Distribution, Inc. Tranche B, term loan 4.5% 12/12/19 (d) | 17,955 | 18,135 | ||
| 325,423 | |||
Technology - 6.8% | ||||
Ancestry.com, Inc. Tranche B, term loan 7% 12/28/18 (d) | 32,932 | 33,385 | ||
Avaya, Inc.: | ||||
Tranche B 3LN, term loan 4.7881% 10/26/17 (d) | 37,425 | 34,805 | ||
Tranche B 5LN, term loan 8% 3/31/18 (d) | 10,968 | 10,955 | ||
Ceridian Corp. Tranche B, term loan 5.9492% 5/10/17 (d) | 1,996 | 2,034 | ||
CommScope, Inc. Tranche B 1LN, term loan 3.75% 1/14/18 (d) | 4,987 | 5,037 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.5% 4/25/20 (d) | 40,000 | 40,100 | ||
Fibertech Networks, LLC Tranche B, term loan 4.75% 12/18/19 (d) | 6,983 | 7,105 | ||
First Data Corp.: | ||||
term loan: | ||||
4.1992% 3/24/18 (d) | 64,079 | 63,919 | ||
4.2003% 3/24/17 (d) | 118,529 | 118,233 | ||
Tranche B, term loan 4.1987% 9/24/18 (d) | 42,410 | 42,304 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4482% 10/1/14 (d) | 127 | 128 | ||
Tranche B A2, term loan 2.4482% 10/1/14 (d) | 196 | 196 | ||
Tranche B A3, term loan 2.4482% 10/1/14 (d) | 229 | 229 | ||
Tranche B-A, term loan 2.4482% 10/1/14 (d) | 443 | 444 | ||
Freescale Semiconductor, Inc.: | ||||
Tranche B 3LN, term loan 4.25% 12/1/16 (d) | 11,000 | 11,138 | ||
Tranche B 4LN, term loan 5% 3/1/20 (d) | 82,000 | 83,025 | ||
Generac Power Systems, Inc. Tranche B, term loan 6.25% 5/30/18 (d) | 3,624 | 3,679 | ||
Genpact Ltd. Tranche B, term loan 4.25% 8/30/19 (d) | 13,930 | 14,174 | ||
Kronos, Inc. Tranche B 1LN, term loan 4.5% 10/30/19 (d) | 24,938 | 25,249 | ||
Lawson Software, Inc.: | ||||
Tranche B 1LN, term loan 5.75% 10/5/16 (d) | 2,550 | 2,569 | ||
Tranche B 2LN, term loan 5.25% 4/5/18 (d) | 13,930 | 14,157 | ||
NXP BV: | ||||
Tranche A 1LN, term loan 4.5% 3/4/17 (d) | 77,370 | 79,111 | ||
Tranche C, term loan 4.75% 1/11/20 (d) | 26,933 | 27,606 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Technology - continued | ||||
Reynolds & Reynolds Co. Tranche B, term loan 3.75% 4/21/18 (d) | $ 15,887 | $ 16,125 | ||
Rovi Corp. Tranche A, term loan 2.7% 2/7/16 (d) | 5,107 | 5,107 | ||
Sensata Technologies BV Tranche B, term loan 3.75% 5/12/18 (d) | 16,348 | 16,552 | ||
Sophia L.P. Tranche B, term loan 4.5% 7/19/18 (d) | 13,535 | 13,688 | ||
Spansion, Inc. Tranche B, term loan 5.25% 12/13/18 (d) | 7,959 | 8,019 | ||
SunGard Data Systems, Inc.: | ||||
Tranche C, term loan 3.9503% 2/28/17 (d) | 37,628 | 37,911 | ||
Tranche D, term loan 4.5% 12/17/19 (d) | 17,122 | 17,379 | ||
Tranche E, term loan 4% 3/8/20 (d) | 63,000 | 63,788 | ||
Syniverse Holdings, Inc. Tranche B, term loan: | ||||
4/23/19 (g) | 20,000 | 20,050 | ||
5% 4/23/19 (d) | 9,925 | 9,987 | ||
| 828,188 | |||
Telecommunications - 7.1% | ||||
Alcatel-Lucent USA, Inc.: | ||||
Tranche B, term loan 6.25% 8/1/16 (d) | 5,980 | 6,070 | ||
Tranche C, term loan 7.25% 1/30/19 (d) | 27,930 | 28,593 | ||
Consolidated Communications, Inc. Tranche B 3LN, term loan 5.25% 12/31/18 (d) | 6,983 | 7,087 | ||
Cricket Communications, Inc.: | ||||
Tranche B, term loan 4.75% 10/10/19 (d) | 2,993 | 3,015 | ||
Tranche C, term loan 4.75% 3/8/20 (d) | 20,500 | 20,654 | ||
Crown Castle Operating Co. Tranche B, term loan 3.25% 1/31/19 (d) | 56,522 | 56,737 | ||
Digicel International Finance Ltd. Tranche D 1LN, term loan 3.8125% 3/31/17 (d) | 7,000 | 6,983 | ||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (d) | 14,610 | 14,756 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (d) | 13,495 | 13,259 | ||
Genesys Telecom Holdings U.S., Inc. Tranche B, term loan 4% 2/8/20 (d) | 15,000 | 15,038 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 6% 2/14/19 (d) | 3,000 | 3,064 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2002% 2/1/14 (d) | 69,682 | 69,508 | ||
Tranche B, term loan 4.5% 4/2/18 (d) | 177,931 | 180,155 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 4.75% 8/1/19 (d) | 17,000 | 17,170 | ||
Floating Rate Loans (f) - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Telecommunications - continued | ||||
Level 3 Financing, Inc.: - continued | ||||
Tranche B, term loan: | ||||
4.75% 2/1/16 (d) | $ 39,800 | $ 40,198 | ||
5.25% 8/1/19 (d) | 10,000 | 10,100 | ||
LTS Buyer LLC: | ||||
Tranche 1LN, term loan 4.5% 4/11/20 (d) | 33,700 | 34,037 | ||
Tranche 2LN, term loan 8% 4/11/21 (d) | 6,115 | 6,253 | ||
MetroPCS Wireless, Inc.: | ||||
Tranche B 3LN, term loan 4.8757% 3/17/18 (d) | 73,267 | 73,176 | ||
Tranche B, term loan 4.7341% 11/3/16 (d) | 14,232 | 14,232 | ||
Riverbed Technology, Inc. Tranche B, term loan 4% 12/18/19 (d) | 11,869 | 12,047 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (d) | 9,975 | 10,150 | ||
SBA Senior Finance II, LLC term loan 3.75% 9/28/19 (d) | 5,992 | 6,029 | ||
Telesat Holding, Inc. Tranche B, term loan 3.5% 3/28/19 (d) | 70,000 | 70,700 | ||
tw telecom, inc. Tranche B, term loan 2.7% 4/5/20 (d) | 14,590 | 14,626 | ||
Vodafone Americas Finance 2, Inc.: | ||||
term loan 6.875% 8/11/15 | 44,301 | 45,187 | ||
Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind | 48,469 | 49,802 | ||
Windstream Corp.: | ||||
Tranche B 3LN, term loan 4% 8/8/19 (d) | 11,910 | 12,014 | ||
Tranche B 4LN, term loan 3.5% 1/23/20 (d) | 34,913 | 35,043 | ||
| 875,683 | |||
Textiles & Apparel - 0.7% | ||||
Party City Holdings, Inc. Tranche B, term loan 4.25% 7/27/19 (d) | 16,918 | 17,044 | ||
Phillips-Van Heusen Corp. Tranche B, term loan 3.25% 12/13/19 (d) | 68,000 | 68,510 | ||
Renfro Corp. Tranche B, term loan 5.75% 1/30/19 (d) | 3,990 | 4,050 | ||
| 89,604 | |||
TOTAL FLOATING RATE LOANS (Cost $9,808,264) |
| |||
Nonconvertible Bonds - 10.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Air Transportation - 0.1% | ||||
Aviation Capital Group Corp. 4.625% 1/31/18 (c) | $ 5,000 | $ 5,216 | ||
Continental Airlines, Inc.: | ||||
6.125% 4/29/18 (c) | 3,000 | 3,060 | ||
9.25% 5/10/17 | 2,175 | 2,439 | ||
| 10,715 | |||
Automotive - 0.7% | ||||
Delphi Corp.: | ||||
5% 2/15/23 | 10,000 | 10,825 | ||
5.875% 5/15/19 | 18,610 | 20,169 | ||
General Motors Acceptance Corp. 2.4871% 12/1/14 (d) | 40,000 | 39,666 | ||
General Motors Financial Co., Inc. 4.75% 8/15/17 (c) | 4,000 | 4,220 | ||
Lear Corp. 4.75% 1/15/23 (c) | 5,000 | 5,013 | ||
| 79,893 | |||
Banks & Thrifts - 1.2% | ||||
Ally Financial, Inc.: | ||||
3.125% 1/15/16 | 4,000 | 4,080 | ||
3.492% 2/11/14 (d) | 52,000 | 52,650 | ||
4.625% 6/26/15 | 4,000 | 4,215 | ||
Bank of America Corp.: | ||||
1.1041% 3/22/16 (d) | 5,000 | 4,996 | ||
1.6956% 1/30/14 (d) | 3,250 | 3,277 | ||
GMAC LLC 2.4871% 12/1/14 (d) | 70,187 | 70,362 | ||
Regions Financial Corp. 5.75% 6/15/15 | 3,000 | 3,278 | ||
| 142,858 | |||
Broadcasting - 0.3% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 6,600 | 6,732 | ||
Clear Channel Communications, Inc. 9% 12/15/19 (c) | 8,677 | 8,710 | ||
Sirius XM Radio, Inc. 5.25% 8/15/22 (c) | 5,000 | 5,163 | ||
Starz LLC/Starz Finance Corp.: | ||||
5% 9/15/19 (c) | 3,000 | 3,128 | ||
5% 9/15/19 | 6,000 | 6,255 | ||
Univision Communications, Inc. 6.75% 9/15/22 (c) | 6,000 | 6,660 | ||
| 36,648 | |||
Building Materials - 0.2% | ||||
HD Supply, Inc. 7.5% 7/15/20 (c) | 15,000 | 16,238 | ||
Nortek, Inc. 8.5% 4/15/21 (c) | 5,000 | 5,575 | ||
| 21,813 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Cable TV - 0.5% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | $ 17,065 | $ 17,236 | ||
5.25% 3/15/21 (c) | 13,070 | 13,429 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (c) | 10,815 | 11,491 | ||
Lynx I Corp. 5.375% 4/15/21 (c) | 5,000 | 5,375 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (c) | 7,000 | 7,245 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 2,000 | 2,040 | ||
| 56,816 | |||
Capital Goods - 0.0% | ||||
Shale-Inland Holdings LLC/Shale-Inland Finance Corp. 8.75% 11/15/19 (c) | 3,000 | 3,173 | ||
Chemicals - 0.1% | ||||
Celanese U.S. Holdings LLC 4.625% 11/15/22 | 11,520 | 11,981 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (c) | 5,000 | 5,138 | ||
| 17,119 | |||
Consumer Products - 0.1% | ||||
Libbey Glass, Inc. 6.875% 5/15/20 | 4,000 | 4,370 | ||
Reddy Ice Corp. 11.25% 3/15/15 | 2,000 | 2,113 | ||
Spectrum Brands Escrow Corp. 6.375% 11/15/20 (c) | 3,070 | 3,354 | ||
Spectrum Brands Holdings, Inc. 9.5% 6/15/18 | 4,000 | 4,495 | ||
| 14,332 | |||
Containers - 0.7% | ||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (c) | 5,439 | 5,996 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
4.875% 11/15/22 (c) | 2,490 | 2,540 | ||
7.375% 10/15/17 (c) | 10,736 | 11,810 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 58,325 | 60,804 | ||
7.125% 4/15/19 | 5,000 | 5,388 | ||
| 86,538 | |||
Diversified Financial Services - 1.0% | ||||
CIT Group, Inc.: | ||||
4.75% 2/15/15 (c) | 14,000 | 14,735 | ||
5% 5/15/17 | 7,000 | 7,630 | ||
5.25% 4/1/14 (c) | 45,000 | 46,631 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Diversified Financial Services - continued | ||||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | $ 7,000 | $ 7,088 | ||
4.875% 4/1/15 | 4,000 | 4,204 | ||
5.625% 9/20/13 | 12,000 | 12,180 | ||
5.875% 5/1/13 | 21,405 | 21,405 | ||
6.25% 5/15/19 | 10,000 | 11,213 | ||
SLM Corp. 4.625% 9/25/17 | 2,000 | 2,065 | ||
| 127,151 | |||
Diversified Media - 0.2% | ||||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (c) | 5,130 | 5,451 | ||
6.5% 11/15/22 (c) | 13,870 | 14,876 | ||
| 20,327 | |||
Electric Utilities - 0.7% | ||||
Calpine Construction Finance Co. LP 8% 6/1/16 (c) | 4,000 | 4,178 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 5,000 | 5,744 | ||
10% 12/1/20 (c) | 54,320 | 61,585 | ||
11.75% 3/1/22 (c) | 11,000 | 12,595 | ||
NRG Energy, Inc. 6.625% 3/15/23 (c) | 4,000 | 4,360 | ||
The AES Corp. 7.75% 3/1/14 | 3,000 | 3,161 | ||
| 91,623 | |||
Energy - 0.4% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 7,000 | 7,210 | ||
Antero Resources Finance Corp. 6% 12/1/20 | 995 | 1,057 | ||
Atlas Pipeline Escrow LLC 6.625% 10/1/20 (c) | 3,000 | 3,180 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: | ||||
5.875% 8/1/23 (c) | 3,000 | 3,060 | ||
6.625% 10/1/20 (c) | 2,645 | 2,784 | ||
Continental Resources, Inc. 7.125% 4/1/21 | 2,000 | 2,295 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (c) | 5,000 | 5,050 | ||
LINN Energy LLC/LINN Energy Finance Corp. 6.25% 11/1/19 (c) | 5,000 | 5,225 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (c) | 4,000 | 4,260 | ||
Oil States International, Inc. 5.125% 1/15/23 (c) | 5,000 | 5,138 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Energy - continued | ||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22 | $ 6,000 | $ 6,705 | ||
Western Refining, Inc. 6.25% 4/1/21 (c) | 5,305 | 5,464 | ||
| 51,428 | |||
Entertainment/Film - 0.1% | ||||
Cinemark USA, Inc. 5.125% 12/15/22 (c) | 3,185 | 3,296 | ||
Regal Entertainment Group 5.75% 2/1/25 | 3,090 | 3,121 | ||
| 6,417 | |||
Environmental - 0.0% | ||||
Clean Harbors, Inc. 5.25% 8/1/20 | 4,000 | 4,230 | ||
Food & Drug Retail - 0.0% | ||||
ESAL GmbH 6.25% 2/5/23 (c) | 4,000 | 3,976 | ||
Gaming - 0.1% | ||||
Ameristar Casinos, Inc. 7.5% 4/15/21 | 3,000 | 3,338 | ||
MCE Finance Ltd. 5% 2/15/21 (c) | 10,000 | 10,100 | ||
| 13,438 | |||
Healthcare - 0.4% | ||||
Community Health Systems, Inc. 5.125% 8/15/18 | 10,755 | 11,508 | ||
DaVita, Inc. 5.75% 8/15/22 | 8,235 | 8,770 | ||
Health Management Associates, Inc. 7.375% 1/15/20 | 3,420 | 3,805 | ||
Tenet Healthcare Corp.: | ||||
4.75% 6/1/20 (c) | 8,680 | 8,984 | ||
8.875% 7/1/19 | 16,000 | 17,960 | ||
| 51,027 | |||
Homebuilders/Real Estate - 0.2% | ||||
CB Richard Ellis Services, Inc. 5% 3/15/23 | 17,990 | 18,418 | ||
Weekley Homes LLC/Weekley Finance Corp. 6% 2/1/23 (c) | 4,000 | 4,160 | ||
| 22,578 | |||
Leisure - 0.0% | ||||
Six Flags Entertainment Corp. 5.25% 1/15/21 (c) | 4,000 | 4,160 | ||
Metals/Mining - 0.4% | ||||
CONSOL Energy, Inc. 8% 4/1/17 | 6,475 | 7,009 | ||
FMG Resources (August 2006) Pty Ltd. 7% 11/1/15 (c) | 24,705 | 25,878 | ||
New Gold, Inc. 6.25% 11/15/22 (c) | 4,415 | 4,547 | ||
Peabody Energy Corp. 6% 11/15/18 | 5,000 | 5,363 | ||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/1/20 (c) | 2,270 | 2,423 | ||
| 45,220 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Paper - 0.1% | ||||
AbitibiBowater, Inc. 10.25% 10/15/18 | $ 2,400 | $ 2,803 | ||
Boise Cascade LLC/Boise Cascade Finance Corp. 6.375% 11/1/20 (c) | 3,000 | 3,210 | ||
P.H. Glatfelter Co. 5.375% 10/15/20 | 4,585 | 4,837 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 | 3,000 | 2,318 | ||
| 13,168 | |||
Services - 0.2% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. 2.7901% 5/15/14 (d) | 19,000 | 18,976 | ||
TransUnion Holding Co., Inc. 9.625% 6/15/18 pay-in-kind | 3,000 | 3,293 | ||
| 22,269 | |||
Shipping - 0.1% | ||||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 8,075 | 8,075 | ||
Steel - 0.0% | ||||
Severstal Columbus LLC 10.25% 2/15/18 | 3,005 | 3,230 | ||
Super Retail - 0.1% | ||||
Dollar General Corp. 4.125% 7/15/17 | 2,000 | 2,180 | ||
Netflix, Inc. 5.375% 2/1/21 (c) | 4,000 | 4,110 | ||
Sally Holdings LLC 5.75% 6/1/22 | 3,000 | 3,203 | ||
The Bon-Ton Department Stores, Inc. 10.625% 7/15/17 | 6,000 | 6,045 | ||
| 15,538 | |||
Technology - 0.8% | ||||
Brocade Communications Systems, Inc. 4.625% 1/15/23 (c) | 7,235 | 7,163 | ||
First Data Corp. 6.75% 11/1/20 (c) | 39,130 | 42,065 | ||
Flextronics International Ltd. 4.625% 2/15/20 (c) | 4,000 | 4,090 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (c) | 5,000 | 5,025 | ||
NCR Corp. 5% 7/15/22 (c) | 4,000 | 4,050 | ||
NXP BV/NXP Funding LLC: | ||||
3.0271% 10/15/13 (d) | 14,255 | 14,237 | ||
5.75% 2/15/21 (c) | 14,760 | 15,646 | ||
5.75% 3/15/23 (c) | 5,000 | 5,213 | ||
| 97,489 | |||
Telecommunications - 1.9% | ||||
Altice Financing SA 7.875% 12/15/19 (c) | 4,000 | 4,420 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (c) | 3,905 | 3,964 | ||
Intelsat Jackson Holdings SA 6.625% 12/15/22 (c) | 20,000 | 21,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Telecommunications - continued | ||||
iPCS, Inc.: | ||||
2.4235% 5/1/13 (d) | $ 72,852 | $ 72,852 | ||
3.5366% 5/1/14 pay-in-kind (d) | 69,150 | 69,237 | ||
Qwest Corp. 3.5301% 6/15/13 (d) | 11,000 | 11,031 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 4,000 | 4,090 | ||
6.9% 5/1/19 | 5,000 | 5,431 | ||
Sprint Nextel Corp.: | ||||
6% 11/15/22 | 30,000 | 31,200 | ||
9% 11/15/18 (c) | 3,000 | 3,690 | ||
Telesat Canada/Telesat LLC 6% 5/15/17 (c) | 3,000 | 3,195 | ||
| 230,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $1,244,856) |
|
Common Stocks - 0.2% | |||
Shares |
| ||
Broadcasting - 0.0% | |||
Cumulus Media, Inc. Class A (a) | 229,315 | 732 | |
ION Media Networks, Inc. (a) | 2,842 | 1,570 | |
| 2,302 | ||
Chemicals - 0.2% | |||
LyondellBasell Industries NV Class A | 245,943 | 14,929 | |
Diversified Financial Services - 0.0% | |||
Newhall Holding Co. LLC Class A (a) | 289,870 | 551 | |
Electric Utilities - 0.0% | |||
Calpine Corp. (a) | 20,715 | 450 | |
Entertainment/Film - 0.0% | |||
Metro-Goldwyn-Mayer, Inc. (a) | 71,585 | 2,126 | |
Hotels - 0.0% | |||
Tropicana Las Vegas Hotel & Casino, Inc. Class A | 48,650 | 1,898 | |
Paper - 0.0% | |||
White Birch Cayman Holdings Ltd. | 12,570 | 0 | |
Publishing/Printing - 0.0% | |||
HMH Holdings, Inc. warrants 6/22/19 (a)(e) | 13,699 | 103 | |
Telecommunications - 0.0% | |||
FairPoint Communications, Inc. (a) | 34,287 | 279 | |
TOTAL COMMON STOCKS (Cost $17,059) |
|
Other - 0.0% | ||||
Shares | Value (000s) | |||
Other - 0.0% | ||||
Idearc, Inc. Claim (a) | 1,888,944 | $ 0 |
Money Market Funds - 15.3% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.13% (b) | 1,879,799,571 |
| |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.14%, dated 4/30/13 due 5/1/13 (Collateralized by U.S. Treasury Obligations) # | $ 2,453 |
| |
TOTAL INVESTMENT PORTFOLIO - 107.2% (Cost $12,952,432) | 13,146,013 | ||
NET OTHER ASSETS (LIABILITIES) - (7.2)% | (886,404) | ||
NET ASSETS - 100% | $ 12,259,609 |
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, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $526,121,000 or 4.3% of net assets. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $103,000 or 0.0% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 26 |
(f) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
(g) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $20,000,000 and $20,050,000 respectively. The coupon rate will be determined at time of settlement. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,453,000 due 5/01/13 at 0.14% | |
BNP Paribas Securities Corp. | $ 1,282 |
Barclays Capital, Inc. | 682 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 489 |
| $ 2,453 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned (Amounts in thousands) |
Fidelity Cash Central Fund | $ 1,299 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 6,429 | $ 732 | $ - | $ 5,697 |
Financials | 551 | - | - | 551 |
Materials | 14,929 | 14,929 | - | - |
Telecommunication Services | 279 | 279 | - | - |
Utilities | 450 | 450 | - | - |
Floating Rate Loans | 9,939,113 | - | 9,834,315 | 104,798 |
Corporate Bonds | 1,302,009 | - | 1,302,009 | - |
Other | - | - | - | - |
Money Market Funds | 1,879,800 | 1,879,800 | - | - |
Cash Equivalents | 2,453 | - | 2,453 | - |
Total Investments in Securities: | $ 13,146,013 | $ 1,896,190 | $ 11,138,777 | $ 111,046 |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 89.8% |
Netherlands | 3.1% |
Luxembourg | 1.7% |
Australia | 1.2% |
Canada | 1.2% |
Germany | 1.0% |
Others (Individually Less Than 1%) | 2.0% |
| 100.0% |
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) | April 30, 2013 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $2,453) - See accompanying schedule: Unaffiliated issuers (cost $11,072,632) | $ 11,266,213 |
|
Fidelity Central Funds (cost $1,879,800) | 1,879,800 |
|
Total Investments (cost $12,952,432) |
| $ 13,146,013 |
Cash |
| 118,595 |
Receivable for investments sold | 76,017 | |
Receivable for fund shares sold | 29,892 | |
Interest receivable | 51,155 | |
Distributions receivable from Fidelity Central Funds | 250 | |
Prepaid expenses | 9 | |
Receivable from investment adviser for expense reductions | 2 | |
Other receivables | 67 | |
Total assets | 13,422,000 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 1,127,823 | |
Payable for fund shares redeemed | 18,677 | |
Distributions payable | 7,372 | |
Accrued management fee | 5,686 | |
Distribution and service plan fees payable | 1,083 | |
Other affiliated payables | 1,469 | |
Other payables and accrued expenses | 281 | |
Total liabilities | 1,162,391 | |
|
|
|
Net Assets | $ 12,259,609 | |
Net Assets consist of: |
| |
Paid in capital | $ 11,999,424 | |
Undistributed net investment income | 164,407 | |
Accumulated undistributed net realized gain (loss) on investments | (97,803) | |
Net unrealized appreciation (depreciation) on investments | 193,581 | |
Net Assets | $ 12,259,609 |
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) | April 30, 2013 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.03 | |
|
|
|
Maximum offering price per share (100/97.25 of $10.03) | $ 10.31 | |
Class T: | $ 10.02 | |
|
|
|
Maximum offering price per share (100/97.25 of $10.02) | $ 10.30 | |
Class B: | $ 10.02 | |
|
|
|
Class C: | $ 10.03 | |
|
|
|
|
|
|
Fidelity Floating Rate High Income Fund: | $ 10.02 | |
|
|
|
Institutional Class: | $ 10.01 |
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 April 30, 2013 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 889 |
Interest |
| 237,427 |
Income from Fidelity Central Funds |
| 1,299 |
Total income |
| 239,615 |
|
|
|
Expenses | ||
Management fee | $ 31,834 | |
Transfer agent fees | 7,689 | |
Distribution and service plan fees | 6,255 | |
Accounting fees and expenses | 812 | |
Custodian fees and expenses | 79 | |
Independent trustees' compensation | 35 | |
Registration fees | 375 | |
Audit | 84 | |
Legal | 20 | |
Miscellaneous | 46 | |
Total expenses before reductions | 47,229 | |
Expense reductions | (22) | 47,207 |
Net investment income (loss) | 192,408 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers |
| 42,944 |
Change in net unrealized appreciation (depreciation) on investment securities | 87,164 | |
Net gain (loss) | 130,108 | |
Net increase (decrease) in net assets resulting from operations | $ 322,516 |
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 April 30, | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 192,408 | $ 366,256 |
Net realized gain (loss) | 42,944 | 23,583 |
Change in net unrealized appreciation (depreciation) | 87,164 | 177,284 |
Net increase (decrease) in net assets resulting | 322,516 | 567,123 |
Distributions to shareholders from net investment income | (169,372) | (350,713) |
Distributions to shareholders from net realized gain | (52,959) | - |
Total distributions | (222,331) | (350,713) |
Share transactions - net increase (decrease) | 1,552,235 | 256,075 |
Redemption fees | 299 | 419 |
Total increase (decrease) in net assets | 1,652,719 | 472,904 |
|
|
|
Net Assets | ||
Beginning of period | 10,606,890 | 10,133,986 |
End of period (including undistributed net investment income of $164,407 and undistributed net investment income of $141,371, respectively) | $ 12,259,609 | $ 10,606,890 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.94 | $ 9.73 | $ 9.79 | $ 9.31 | $ 8.00 | $ 9.75 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .162 | .340 | .317 | .391 | .354 | .476 |
Net realized and unrealized gain (loss) | .119 | .195 | (.080) | .425 | 1.232 | (1.779) |
Total from investment operations | .281 | .535 | .237 | .816 | 1.586 | (1.303) |
Distributions from net investment income | (.142) | (.325) | (.298) | (.287) | (.278) | (.448) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.191) | (.325) | (.298) | (.337) | (.278) | (.448) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.03 | $ 9.94 | $ 9.73 | $ 9.79 | $ 9.31 | $ 8.00 |
Total Return B, C, D | 2.86% | 5.60% | 2.46% | 8.96% | 20.31% | (13.87)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00% A | .99% | 1.00% | 1.03% | 1.05% | 1.06% |
Expenses net of fee waivers, if any | 1.00% A | .99% | 1.00% | 1.03% | 1.05% | 1.06% |
Expenses net of all reductions | 1.00% A | .99% | 1.00% | 1.03% | 1.04% | 1.06% |
Net investment income (loss) | 3.29% A | 3.47% | 3.25% | 4.11% | 4.09% | 5.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,455 | $ 1,305 | $ 1,587 | $ 1,064 | $ 518 | $ 192 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 | $ 9.73 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .157 | .330 | .312 | .391 | .349 | .481 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .416 | 1.228 | (1.762) |
Total from investment operations | .276 | .525 | .242 | .807 | 1.577 | (1.281) |
Distributions from net investment income | (.137) | (.315) | (.293) | (.288) | (.279) | (.450) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.186) | (.315) | (.293) | (.338) | (.279) | (.450) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 |
Total Return B, C, D | 2.81% | 5.50% | 2.51% | 8.87% | 20.20% | (13.66)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Expenses net of fee waivers, if any | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Expenses net of all reductions | 1.10% A | 1.09% | 1.05% | 1.02% | 1.04% | 1.03% |
Net investment income (loss) | 3.18% A | 3.37% | 3.19% | 4.12% | 4.10% | 5.16% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 269 | $ 241 | $ 271 | $ 242 | $ 143 | $ 134 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 7.99 | $ 9.73 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .136 | .288 | .266 | .341 | .305 | .432 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .416 | 1.238 | (1.771) |
Total from investment operations | .255 | .483 | .196 | .757 | 1.543 | (1.339) |
Distributions from net investment income | (.116) | (.273) | (.247) | (.238) | (.235) | (.402) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.165) | (.273) | (.247) | (.288) | (.235) | (.402) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 7.99 |
Total Return B, C, D | 2.59% | 5.05% | 2.03% | 8.30% | 19.74% | (14.21)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.53% A | 1.52% | 1.52% | 1.55% | 1.56% | 1.56% |
Expenses net of fee waivers, if any | 1.53% A | 1.52% | 1.52% | 1.55% | 1.55% | 1.55% |
Expenses net of all reductions | 1.53% A | 1.52% | 1.52% | 1.55% | 1.55% | 1.55% |
Net investment income (loss) | 2.75% A | 2.94% | 2.72% | 3.59% | 3.59% | 4.64% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 22 | $ 24 | $ 32 | $ 43 | $ 44 | $ 42 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.94 | $ 9.73 | $ 9.78 | $ 9.31 | $ 8.00 | $ 9.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .125 | .267 | .244 | .321 | .288 | .408 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .415 | 1.235 | (1.770) |
Total from investment operations | .244 | .462 | .174 | .736 | 1.523 | (1.362) |
Distributions from net investment income | (.105) | (.252) | (.225) | (.217) | (.215) | (.379) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.154) | (.252) | (.225) | (.267) | (.215) | (.379) |
Redemption fees added to paid in capital E | - I | - I | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.03 | $ 9.94 | $ 9.73 | $ 9.78 | $ 9.31 | $ 8.00 |
Total Return B, C, D | 2.47% | 4.81% | 1.80% | 8.05% | 19.43% | (14.41)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.76% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Expenses net of fee waivers, if any | 1.76% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.74% | 1.76% | 1.78% | 1.80% |
Net investment income (loss) | 2.53% A | 2.72% | 2.50% | 3.38% | 3.35% | 4.39% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 863 | $ 806 | $ 852 | $ 622 | $ 335 | $ 199 |
Portfolio turnover rate G | 74% A | 49% | 54% | 43% | 25% | 16% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Fidelity Floating Rate High Income Fund
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 | $ 9.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .176 | .368 | .345 | .418 | .377 | .508 |
Net realized and unrealized gain (loss) | .119 | .195 | (.070) | .417 | 1.225 | (1.771) |
Total from investment operations | .295 | .563 | .275 | .835 | 1.602 | (1.263) |
Distributions from net investment income | (.156) | (.353) | (.326) | (.316) | (.304) | (.478) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.205) | (.353) | (.326) | (.366) | (.304) | (.478) |
Redemption fees added to paid in capital D | - H | - H | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.02 | $ 9.93 | $ 9.72 | $ 9.77 | $ 9.30 | $ 8.00 |
Total Return B, C | 3.01% | 5.91% | 2.86% | 9.18% | 20.55% | (13.49)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .71% A | .71% | .71% | .73% | .75% | .73% |
Expenses net of fee waivers, if any | .71% A | .71% | .71% | .73% | .75% | .73% |
Expenses net of all reductions | .71% A | .71% | .71% | .73% | .75% | .73% |
Net investment income (loss) | 3.57% A | 3.75% | 3.53% | 4.41% | 4.39% | 5.46% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 6,597 | $ 5,720 | $ 5,399 | $ 3,566 | $ 2,354 | $ 1,292 |
Portfolio turnover rate F | 74% A | 49% | 54% | 43% | 25% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| 2013 | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 9.92 | $ 9.71 | $ 9.77 | $ 9.29 | $ 7.99 | $ 9.73 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .174 | .363 | .341 | .415 | .379 | .503 |
Net realized and unrealized gain (loss) | .119 | .196 | (.079) | .427 | 1.221 | (1.769) |
Total from investment operations | .293 | .559 | .262 | .842 | 1.600 | (1.266) |
Distributions from net investment income | (.154) | (.349) | (.323) | (.313) | (.302) | (.475) |
Distributions from net realized gain | (.049) | - | - | (.050) | - | - |
Total distributions | (.203) | (.349) | (.323) | (.363) | (.302) | (.475) |
Redemption fees added to paid in capital D | - H | - H | .001 | .001 | .002 | .001 |
Net asset value, end of period | $ 10.01 | $ 9.92 | $ 9.71 | $ 9.77 | $ 9.29 | $ 7.99 |
Total Return B, C | 2.99% | 5.87% | 2.72% | 9.27% | 20.54% | (13.54)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .76% A | .75% | .75% | .76% | .77% | .77% |
Expenses net of fee waivers, if any | .76% A | .75% | .75% | .76% | .77% | .77% |
Expenses net of all reductions | .76% A | .75% | .75% | .76% | .77% | .76% |
Net investment income (loss) | 3.53% A | 3.71% | 3.50% | 4.38% | 4.36% | 5.43% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,054 | $ 2,510 | $ 1,992 | $ 1,138 | $ 469 | $ 138 |
Portfolio turnover rate F | 74% A | 49% | 54% | 43% | 25% | 16% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Floating Rate High Income 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, Fidelity Floating Rate High Income Fund and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 are not covered by the Fund's Report of Independent Registered Public Accounting Firm, 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:
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds and floating rate loans, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 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. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 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 April 30, 2013 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
capital distributions or capital gain distributions. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. The Fund earns certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, consent fees and prepayment fees. These fees are recorded as income in the accompanying financial statements.
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 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. 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.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 270,886 |
Gross unrealized depreciation | (18,244) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 252,642 |
|
|
Tax cost | $ 12,893,371 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2016 | $ (50,512) |
2017 | (39,057) |
Total capital loss carryforward | $ (89,569) |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 60 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
Repurchase Agreements. FMR has received an Exemptive Order from the SEC which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund also invests in unfunded loan commitments, which are contractual obligations for future funding. Information regarding unfunded commitments is included at the end of the Fund's Schedule of Investments.
4. Purchases and Sales of Investments.
Purchases and sales of securities (including principal repayments of floating rate loans), other than short-term securities, aggregated $5,448,755 and $3,703,820, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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 FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
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 | Retained |
Class A | -% | .25% | $ 1,707 | $ 35 |
Class T | -% | .25% | 319 | 2 |
Class B | .55% | .15% | 81 | 64 |
Class C | .75% | .25% | 4,148 | 671 |
|
|
| $ 6,255 | $ 772 |
Sales Load. FDC may receive a front-end sales charge of up to 2.75% for selling Class A shares and 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 3.50% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% or .50% 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 | $ 57 |
Class T | 7 |
Class B* | 14 |
Class C* | 32 |
| $ 110 |
* 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 FMR is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,017 | .15 |
Class T | 319 | .25 |
Class B | 27 | .23 |
Class C | 624 | .15 |
Fidelity Floating Rate High Income Fund | 3,462 | .12 |
Institutional Class | 2,240 | .16 |
| $ 7,689 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $14 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $20.
In addition, FMR reimbursed a portion of the Fund's operating expenses during the period in the amount of $2.
Semiannual Report
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 19,437 | $ 46,515 |
Class T | 3,518 | 8,143 |
Class B | 270 | 780 |
Class C | 8,704 | 20,972 |
Fidelity Floating Rate High Income Fund | 94,695 | 197,172 |
Institutional Class | 42,748 | 77,131 |
Total | $ 169,372 | $ 350,713 |
From net realized gain |
|
|
Class A | $ 6,467 | $ - |
Class T | 1,177 | - |
Class B | 117 | - |
Class C | 3,998 | - |
Fidelity Floating Rate High Income Fund | 28,514 | - |
Institutional Class | 12,686 | - |
Total | $ 52,959 | $ - |
9. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class A |
|
|
|
|
Shares sold | 30,254 | 31,124 | $ 301,847 | $ 305,628 |
Reinvestment of distributions | 1,984 | 3,572 | 19,773 | 34,965 |
Shares redeemed | (18,454) | (66,588) | (184,099) | (652,113) |
Net increase (decrease) | 13,784 | (31,892) | $ 137,521 | $ (311,520) |
Class T |
|
|
|
|
Shares sold | 5,388 | 2,896 | $ 53,590 | $ 28,402 |
Reinvestment of distributions | 409 | 704 | 4,071 | 6,885 |
Shares redeemed | (3,236) | (7,230) | (32,219) | (70,751) |
Net increase (decrease) | 2,561 | (3,630) | $ 25,442 | $ (35,464) |
Class B |
|
|
|
|
Shares sold | 163 | 156 | $ 1,621 | $ 1,519 |
Reinvestment of distributions | 30 | 59 | 297 | 579 |
Shares redeemed | (427) | (1,070) | (4,252) | (10,460) |
Net increase (decrease) | (234) | (855) | $ (2,334) | $ (8,362) |
Semiannual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended April 30, | Year ended | Six months ended April 30, | Year ended | |
Class C |
|
|
|
|
Shares sold | 12,291 | 12,695 | $ 122,600 | $ 124,701 |
Reinvestment of distributions | 925 | 1,512 | 9,206 | 14,794 |
Shares redeemed | (8,198) | (20,709) | (81,746) | (202,835) |
Net increase (decrease) | 5,018 | (6,502) | $ 50,060 | $ (63,340) |
Fidelity Floating Rate High Income Fund |
|
|
|
|
Shares sold | 153,671 | 164,358 | $ 1,531,257 | $ 1,610,907 |
Reinvestment of distributions | 10,232 | 16,695 | 101,818 | 163,381 |
Shares redeemed | (81,416) | (160,631) | (810,573) | (1,569,854) |
Net increase (decrease) | 82,487 | 20,422 | $ 822,502 | $ 204,434 |
Institutional Class |
|
|
|
|
Shares sold | 93,254 | 109,592 | $ 928,433 | $ 1,074,762 |
Reinvestment of distributions | 3,117 | 3,772 | 30,995 | 36,919 |
Shares redeemed | (44,227) | (65,596) | (440,384) | (641,354) |
Net increase (decrease) | 52,144 | 47,768 | $ 519,044 | $ 470,327 |
10. 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
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series I and Shareholders of Fidelity Advisor Floating Rate High Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Floating Rate High Income Fund (the Fund), a fund of Fidelity Advisor Series I, including the schedule of investments, as of April 30, 2013, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended April 30, 2013 and for the year ended October 31, 2012, and the financial highlights for the six months ended April 30, 2013 and for each of the five years in the period ended October 31, 2012. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of April 30, 2013, by correspondence with the custodians, brokers and agent banks; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Floating Rate High Income Fund as of April 30, 2013, the results of its operations for the six months then ended, the changes in its net assets for the six months ended April 30, 2013 and for the year ended October 31, 2012, and the financial highlights for the six months ended April 30, 2013 and for each of the five years in the period ended October 31, 2012, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
June 17, 2013
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(Hong Kong) Limited
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
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
AFRI-USAN-0613 1.784878.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
High Income Advantage
Fund - Class A, Class T, Class B and Class C
Semiannual Report
April 30, 2013
(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. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
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 | 1.03% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,089.60 | $ 5.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class T | 1.02% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,089.20 | $ 5.28 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.74 | $ 5.11 |
Class B | 1.77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,084.20 | $ 9.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.02 | $ 8.85 |
Class C | 1.79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,085.70 | $ 9.26 |
HypotheticalA |
| $ 1,000.00 | $ 1,015.92 | $ 8.95 |
Institutional Class | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,090.10 | $ 3.99 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
International Lease Finance Corp. | 4.1 | 4.0 |
GMAC LLC | 3.3 | 2.8 |
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc. | 3.2 | 2.2 |
Sprint Nextel Corp. | 2.4 | 1.8 |
HCA, Inc. | 1.9 | 2.1 |
| 14.9 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Telecommunications | 11.1 | 10.4 |
Energy | 9.6 | 9.0 |
Diversified Financial Services | 9.3 | 8.8 |
Electric Utilities | 9.1 | 8.7 |
Healthcare | 8.5 | 9.6 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 1.4% |
| BBB 1.9% |
| ||||
BB 19.3% |
| BB 18.1% |
| ||||
B 45.5% |
| B 43.1% |
| ||||
CCC,CC,C 15.0% |
| CCC,CC,C 15.3% |
| ||||
D 0.0% |
| D 0.2% |
| ||||
Not Rated 2.4% |
| Not Rated 3.1% |
| ||||
Equities 14.2% |
| Equities 12.6% |
| ||||
Short-Term |
| Short-Term |
|
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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Nonconvertible |
| Nonconvertible |
| ||||
Convertible Bonds, |
| Convertible Bonds, |
| ||||
Common Stocks 9.9% |
| Common Stocks |
| ||||
Floating Rate Loans 11.4% |
| Floating Rate Loans 13.6% |
| ||||
Other Investments 1.2% |
| Other Investments 0.3% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 13.1% |
| ** Foreign investments | 10.4% |
|
Semiannual Report
Investments April 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 71.0% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.6% | ||||
Air Transportation - 0.2% | ||||
UAL Corp. 4.5% 6/30/21 (e) | $ 3,692 | $ 3,886 | ||
Broadcasting - 0.0% | ||||
Mood Media Corp. 10% 10/31/15 (e) | 38 | 31 | ||
Energy - 0.3% | ||||
Chesapeake Energy Corp. 2.75% 11/15/35 | 410 | 415 | ||
Headwaters, Inc. 2.5% 2/1/14 | 5,659 | 5,602 | ||
| 6,017 | |||
Metals/Mining - 0.1% | ||||
Massey Energy Co. 3.25% 8/1/15 | 2,580 | 2,451 | ||
TOTAL CONVERTIBLE BONDS | 12,385 | |||
Nonconvertible Bonds - 70.4% | ||||
Aerospace - 0.1% | ||||
American Airlines, Inc. pass-thru certificates: | ||||
Series 2013-1A Class A, 4% 1/15/27 (e) | 1,510 | 1,521 | ||
Series 2013-1B Class B, 5.625% 1/15/21 (e) | 645 | 661 | ||
GenCorp, Inc. 7.125% 3/15/21 (e) | 525 | 566 | ||
| 2,748 | |||
Air Transportation - 0.3% | ||||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 6.903% 4/19/22 | 973 | 1,046 | ||
6.125% 4/29/18 (e) | 670 | 683 | ||
7.339% 4/19/14 | 379 | 387 | ||
9.25% 5/10/17 | 1,410 | 1,581 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 2,504 | 2,905 | ||
| 6,602 | |||
Automotive - 2.7% | ||||
Affinia Group, Inc. 7.75% 5/1/21 (e) | 405 | 417 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,940 | 4,255 | ||
Continental Rubber of America Corp. 4.5% 9/15/19 (e) | 1,240 | 1,290 | ||
Ford Motor Credit Co. LLC 5.875% 8/2/21 | 8,400 | 9,802 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 5,030 | 6,564 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 547 | 0 | ||
7.125% 7/15/13 (c) | 1,583 | 0 | ||
7.2% 1/15/11 (c) | 3,997 | 0 | ||
7.4% 9/1/25 (c) | 273 | 0 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Automotive - continued | ||||
General Motors Corp.: - continued | ||||
7.7% 4/15/16 (c) | $ 980 | $ 0 | ||
8.25% 7/15/23 (c) | 7,625 | 0 | ||
8.375% 7/15/33 (c) | 23,416 | 0 | ||
General Motors Financial Co., Inc.: | ||||
4.75% 8/15/17 (e) | 14,155 | 14,934 | ||
6.75% 6/1/18 | 10,220 | 11,651 | ||
Schaeffler Finance BV 4.75% 5/15/21 (e) | 1,930 | 1,959 | ||
Tenneco, Inc. 6.875% 12/15/20 | 3,362 | 3,711 | ||
| 54,583 | |||
Banks & Thrifts - 4.0% | ||||
Ally Financial, Inc.: | ||||
5.5% 2/15/17 | 8,000 | 8,750 | ||
8% 3/15/20 | 4,150 | 5,219 | ||
GMAC LLC: | ||||
8% 12/31/18 | 25,964 | 31,287 | ||
8% 11/1/31 | 26,122 | 34,407 | ||
Washington Mutual Bank 5.5% 1/15/49 (c) | 10,000 | 1 | ||
| 79,664 | |||
Broadcasting - 0.4% | ||||
AMC Networks, Inc. 7.75% 7/15/21 | 500 | 575 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 6,735 | 6,617 | ||
5.5% 12/15/16 | 1,938 | 1,424 | ||
| 8,616 | |||
Building Materials - 1.5% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (e) | 595 | 619 | ||
Associated Materials LLC 9.125% 11/1/17 | 1,809 | 1,954 | ||
BC Mountain LLC/BC Mountain Finance, Inc. 7% 2/1/21 (e) | 540 | 581 | ||
CEMEX Finance LLC 9.375% 10/12/22 (e) | 2,305 | 2,651 | ||
CEMEX SA de CV: | ||||
5.2836% 9/30/15 (e)(h) | 4,305 | 4,456 | ||
5.875% 3/25/19 (e) | 1,235 | 1,257 | ||
Gibraltar Industries, Inc. 6.25% 2/1/21 (e) | 300 | 322 | ||
HD Supply, Inc.: | ||||
8.125% 4/15/19 | 4,460 | 5,045 | ||
10.5% 1/15/21 | 1,225 | 1,283 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Building Materials - continued | ||||
Isabelle Acquisition Sub, Inc. 10% 11/15/18 pay-in-kind (e)(h) | $ 520 | $ 578 | ||
Nortek, Inc. 8.5% 4/15/21 (e) | 1,520 | 1,695 | ||
Ply Gem Industries, Inc. 8.25% 2/15/18 | 5,925 | 6,488 | ||
USG Corp.: | ||||
6.3% 11/15/16 | 275 | 293 | ||
7.875% 3/30/20 (e) | 1,390 | 1,581 | ||
9.75% 1/15/18 | 1,585 | 1,882 | ||
| 30,685 | |||
Cable TV - 1.8% | ||||
Bresnan Broadband Holdings LLC 8% 12/15/18 (e) | 1,214 | 1,329 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 2,550 | 2,576 | ||
5.25% 3/15/21 (e) | 2,245 | 2,307 | ||
5.75% 9/1/23 (e) | 1,545 | 1,603 | ||
5.75% 1/15/24 (g) | 6,890 | 7,148 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e) | 535 | 568 | ||
DISH DBS Corp.: | ||||
5.875% 7/15/22 | 4,240 | 4,325 | ||
6.75% 6/1/21 | 5,260 | 5,681 | ||
Lynx I Corp. 5.375% 4/15/21 (e) | 1,260 | 1,355 | ||
Lynx II Corp. 6.375% 4/15/23 (e) | 710 | 770 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | ||||
5.5% 1/15/23 (e) | 2,145 | 2,220 | ||
7.5% 3/15/19 (e) | 705 | 774 | ||
UPCB Finance III Ltd. 6.625% 7/1/20 (e) | 3,060 | 3,312 | ||
UPCB Finance VI Ltd. 6.875% 1/15/22 (e) | 1,900 | 2,085 | ||
| 36,053 | |||
Capital Goods - 0.1% | ||||
Anixter International, Inc. 5.625% 5/1/19 | 1,090 | 1,164 | ||
Briggs & Stratton Corp. 6.875% 12/15/20 | 1,285 | 1,458 | ||
| 2,622 | |||
Chemicals - 1.8% | ||||
Axiall Corp. 4.875% 5/15/23 (e) | 620 | 643 | ||
Eagle Spinco, Inc. 4.625% 2/15/21 (e) | 1,055 | 1,108 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 (e) | 4,605 | 4,801 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Chemicals - continued | ||||
INEOS Group Holdings PLC 8.5% 2/15/16 (e) | $ 5,260 | $ 5,345 | ||
Kinove German Bondco GmbH 9.625% 6/15/18 (e) | 1,550 | 1,752 | ||
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 | 5,165 | 5,630 | ||
Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (e)(h) | 1,630 | 1,663 | ||
PolyOne Corp. 5.25% 3/15/23 (e) | 2,215 | 2,281 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (e) | 11,535 | 11,549 | ||
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (e) | 960 | 1,024 | ||
| 35,796 | |||
Consumer Products - 0.6% | ||||
Alphabet Holding Co., Inc. 7.75% 11/1/17 pay-in-kind (e) | 2,360 | 2,472 | ||
Prestige Brands, Inc. 8.125% 2/1/20 | 335 | 384 | ||
Reddy Ice Corp. 11.25% 3/15/15 | 6,095 | 6,438 | ||
Revlon Consumer Products Corp. 5.75% 2/15/21 (e) | 1,800 | 1,859 | ||
Spectrum Brands Escrow Corp.: | ||||
6.375% 11/15/20 (e) | 565 | 617 | ||
6.625% 11/15/22 (e) | 670 | 739 | ||
| 12,509 | |||
Containers - 2.7% | ||||
ARD Finance SA 11.125% 6/1/18 pay-in-kind (e) | 2,911 | 3,110 | ||
Ardagh Packaging Finance PLC: | ||||
7.375% 10/15/17 (e) | 846 | 933 | ||
9.125% 10/15/20 (e) | 3,369 | 3,807 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
4.875% 11/15/22 (e) | 450 | 459 | ||
7% 11/15/20 (e) | 1,175 | 1,243 | ||
9.125% 10/15/20 (e) | 1,045 | 1,178 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (e) | 875 | 971 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 615 | 635 | ||
Pretium Packaging LLC/Pretium Finance, Inc. 11.5% 4/1/16 | 3,400 | 3,672 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 10,505 | 10,951 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Containers - continued | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: - continued | ||||
6.875% 2/15/21 | $ 7,339 | $ 8,000 | ||
7.875% 8/15/19 | 8,387 | 9,393 | ||
8.25% 2/15/21 | 6,144 | 6,520 | ||
Sealed Air Corp. 6.5% 12/1/20 (e) | 1,730 | 1,933 | ||
Tekni-Plex, Inc. 9.75% 6/1/19 (e) | 1,830 | 2,013 | ||
| 54,818 | |||
Diversified Financial Services - 6.8% | ||||
CIT Group, Inc.: | ||||
4.75% 2/15/15 (e) | 7,330 | 7,715 | ||
5% 8/15/22 | 3,555 | 3,976 | ||
5.25% 3/15/18 | 4,965 | 5,486 | ||
5.375% 5/15/20 | 4,400 | 4,961 | ||
5.5% 2/15/19 (e) | 8,075 | 9,105 | ||
Citigroup, Inc. 5.9% (f)(h) | 9,045 | 9,444 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18 | 4,575 | 4,918 | ||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | 7,210 | 7,300 | ||
4.625% 4/15/21 | 6,990 | 7,095 | ||
4.875% 4/1/15 | 2,440 | 2,565 | ||
5.625% 9/20/13 | 10,655 | 10,815 | ||
5.65% 6/1/14 | 351 | 364 | ||
5.75% 5/15/16 | 6,040 | 6,570 | ||
5.875% 5/1/13 | 7,975 | 7,975 | ||
6.625% 11/15/13 | 10,401 | 10,700 | ||
7.125% 9/1/18 (e) | 10,309 | 12,268 | ||
8.25% 12/15/20 | 1,580 | 1,975 | ||
8.625% 9/15/15 | 2,342 | 2,673 | ||
8.625% 1/15/22 | 11,305 | 14,697 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (e) | 4,970 | 5,467 | ||
| 136,069 | |||
Diversified Media - 2.0% | ||||
Checkout Holding Corp. 0% 11/15/15 (e) | 8,700 | 6,786 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (e) | 1,225 | 1,302 | ||
6.5% 11/15/22 (e) | 3,315 | 3,555 | ||
7.625% 3/15/20 | 900 | 961 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Diversified Media - continued | ||||
Clear Channel Worldwide Holdings, Inc.: - continued | ||||
7.625% 3/15/20 | $ 6,300 | $ 6,788 | ||
Lamar Media Corp. 7.875% 4/15/18 | 1,810 | 1,977 | ||
Liberty Media Corp.: | ||||
8.25% 2/1/30 | 469 | 525 | ||
8.5% 7/15/29 | 529 | 598 | ||
National CineMedia LLC: | ||||
6% 4/15/22 | 4,035 | 4,378 | ||
7.875% 7/15/21 | 2,050 | 2,311 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
4.5% 10/1/20 (e) | 2,905 | 2,967 | ||
7.75% 10/15/18 | 4,395 | 4,900 | ||
11.625% 2/1/14 | 1,424 | 1,533 | ||
WMG Acquisition Corp. 6% 1/15/21 (e) | 755 | 806 | ||
| 39,387 | |||
Electric Utilities - 7.4% | ||||
Atlantic Power Corp. 9% 11/15/18 | 2,525 | 2,658 | ||
Calpine Corp. 7.875% 1/15/23 (e) | 8,352 | 9,563 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 6,332 | 7,274 | ||
10% 12/1/20 (e) | 8,903 | 10,094 | ||
11% 10/1/21 | 10,347 | 11,511 | ||
11.75% 3/1/22 (e) | 29,455 | 33,726 | ||
GenOn Energy, Inc.: | ||||
9.5% 10/15/18 | 795 | 944 | ||
9.875% 10/15/20 | 2,640 | 3,049 | ||
InterGen NV 9% 6/30/17 (e) | 13,249 | 13,415 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 10,565 | 12,520 | ||
9.125% 5/1/31 | 2,645 | 2,989 | ||
NRG Energy, Inc. 6.625% 3/15/23 (e) | 5,105 | 5,564 | ||
Puget Energy, Inc.: | ||||
5.625% 7/15/22 | 6,125 | 6,870 | ||
6% 9/1/21 | 3,305 | 3,806 | ||
6.5% 12/15/20 | 1,935 | 2,263 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 3,035 | 3,225 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 725 | 740 | ||
7.375% 7/1/21 | 2,400 | 2,856 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Electric Utilities - continued | ||||
TXU Corp.: | ||||
5.55% 11/15/14 | $ 7,757 | $ 7,049 | ||
6.5% 11/15/24 | 6,361 | 4,644 | ||
6.55% 11/15/34 | 4,295 | 3,049 | ||
| 147,809 | |||
Energy - 7.1% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 2,720 | 2,802 | ||
AmeriGas Finance LLC/AmeriGas Finance Corp.: | ||||
6.75% 5/20/20 | 1,260 | 1,392 | ||
7% 5/20/22 | 2,700 | 3,024 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 5.875% 8/1/23 (e) | 1,885 | 1,923 | ||
Chesapeake Energy Corp.: | ||||
5.375% 6/15/21 | 2,185 | 2,278 | ||
5.75% 3/15/23 | 2,170 | 2,354 | ||
Continental Resources, Inc. 4.5% 4/15/23 (e) | 2,965 | 3,135 | ||
Crestwood Midstream Partners LP/Finance Corp.: | ||||
7.75% 4/1/19 | 1,265 | 1,322 | ||
7.75% 4/1/19 (e) | 1,830 | 1,885 | ||
Denbury Resources, Inc. 4.625% 7/15/23 | 7,520 | 7,501 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (e) | 1,440 | 1,454 | ||
Edgen Murray Corp. 8.75% 11/1/20 (e) | 1,880 | 2,016 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,399 | 1,594 | ||
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 | 1,440 | 1,627 | ||
EPE Holdings LLC/EP Energy Bond Co., Inc. 8.875% 12/15/17 pay-in-kind (e)(h) | 2,275 | 2,333 | ||
EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19 | 2,515 | 2,678 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 3,975 | 4,621 | ||
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 | 2,435 | 2,563 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 10,565 | 10,433 | ||
Forest Oil Corp.: | ||||
7.25% 6/15/19 | 2,665 | 2,698 | ||
7.5% 9/15/20 (e) | 1,585 | 1,688 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 (e) | 935 | 986 | ||
Gulfmark Offshore, Inc. 6.375% 3/15/22 | 560 | 584 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Energy - continued | ||||
Halcon Resources Corp. 8.875% 5/15/21 (e) | $ 1,680 | $ 1,798 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (e) | 2,147 | 2,201 | ||
Kodiak Oil & Gas Corp.: | ||||
5.5% 1/15/21 (e) | 790 | 831 | ||
8.125% 12/1/19 | 2,010 | 2,286 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (e) | 5,910 | 6,176 | ||
6.5% 5/15/19 | 2,740 | 2,891 | ||
8.625% 4/15/20 | 3,942 | 4,405 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp. 5.5% 2/15/23 | 995 | 1,092 | ||
Offshore Group Investment Ltd.: | ||||
7.125% 4/1/23 (e) | 2,445 | 2,561 | ||
7.5% 11/1/19 (e) | 11,570 | 12,553 | ||
Oil States International, Inc. 6.5% 6/1/19 | 2,140 | 2,301 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (e) | 4,455 | 4,711 | ||
Precision Drilling Corp.: | ||||
6.5% 12/15/21 | 495 | 536 | ||
6.625% 11/15/20 | 2,205 | 2,370 | ||
Pride International, Inc. 6.875% 8/15/20 | 1,839 | 2,337 | ||
QR Energy LP/QRE Finance Corp. 9.25% 8/1/20 | 1,735 | 1,856 | ||
RDS Ultra-Deepwater Ltd. 11.875% 3/15/17 (e) | 2,175 | 2,409 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 5.5% 4/15/23 | 2,440 | 2,666 | ||
Rockies Express Pipeline LLC 6% 1/15/19 (e) | 3,610 | 3,547 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 1,324 | 1,370 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22 | 1,150 | 1,285 | ||
Tesoro Corp.: | ||||
4.25% 10/1/17 | 1,255 | 1,321 | ||
5.375% 10/1/22 | 1,415 | 1,507 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (e) | 425 | 453 | ||
Unit Corp. 6.625% 5/15/21 | 7,190 | 7,675 | ||
Venoco, Inc. 11.5% 10/1/17 | 5,041 | 5,432 | ||
Western Refining, Inc. 6.25% 4/1/21 (e) | 905 | 932 | ||
| 142,393 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Entertainment/Film - 0.2% | ||||
Cinemark USA, Inc.: | ||||
5.125% 12/15/22 (e) | $ 570 | $ 590 | ||
7.375% 6/15/21 | 1,085 | 1,226 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 11,100 | 0 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (e) | 1,320 | 1,432 | ||
Regal Entertainment Group 5.75% 2/1/25 | 555 | 561 | ||
| 3,809 | |||
Environmental - 0.6% | ||||
Clean Harbors, Inc. 5.125% 6/1/21 (e) | 1,180 | 1,236 | ||
Covanta Holding Corp.: | ||||
6.375% 10/1/22 | 1,990 | 2,178 | ||
7.25% 12/1/20 | 2,684 | 2,982 | ||
Tervita Corp.: | ||||
8% 11/15/18 (e) | 1,680 | 1,760 | ||
9.75% 11/1/19 (e) | 4,285 | 4,210 | ||
| 12,366 | |||
Food & Drug Retail - 2.0% | ||||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (e) | 1,700 | 1,891 | ||
ESAL GmbH 6.25% 2/5/23 (e) | 1,505 | 1,496 | ||
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (e) | 12,430 | 12,632 | ||
Nutritional Sourcing Corp. 10.125% 8/1/09 (c) | 7,424 | 0 | ||
Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (e) | 975 | 1,018 | ||
Rite Aid Corp.: | ||||
6.875% 12/15/28 (e) | 900 | 873 | ||
7.5% 3/1/17 | 5,844 | 6,019 | ||
7.7% 2/15/27 | 1,975 | 2,064 | ||
9.5% 6/15/17 | 12,514 | 13,015 | ||
Tops Markets LLC 8.875% 12/15/17 (e) | 1,095 | 1,228 | ||
| 40,236 | |||
Food/Beverage/Tobacco - 0.3% | ||||
Constellation Brands, Inc.: | ||||
3.75% 5/1/21 (g) | 575 | 575 | ||
4.25% 5/1/23 (g) | 865 | 865 | ||
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. 9.875% 2/1/20 (e) | 660 | 730 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Food/Beverage/Tobacco - continued | ||||
Michael Foods Holding, Inc. 8.5% 7/15/18 pay-in-kind (e)(h) | $ 685 | $ 719 | ||
Post Holdings, Inc. 7.375% 2/15/22 | 2,370 | 2,631 | ||
| 5,520 | |||
Gaming - 1.5% | ||||
Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp. 8.375% 2/15/18 (e) | 530 | 583 | ||
Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20 | 3,125 | 3,016 | ||
Caesars Operating Escrow LLC/Caesars Escrow Corp. 9% 2/15/20 (e) | 2,865 | 2,818 | ||
Chester Downs & Marina LLC 9.25% 2/1/20 (e) | 655 | 630 | ||
Graton Economic Development Authority 9.625% 9/1/19 (e) | 1,730 | 1,964 | ||
MCE Finance Ltd. 5% 2/15/21 (e) | 2,100 | 2,121 | ||
MGM Mirage, Inc.: | ||||
6.625% 12/15/21 | 1,795 | 1,943 | ||
6.875% 4/1/16 | 820 | 900 | ||
8.625% 2/1/19 | 5,000 | 5,913 | ||
Pinnacle Entertainment, Inc. 7.75% 4/1/22 | 700 | 767 | ||
Studio City Finance Ltd. 8.5% 12/1/20 (e) | 8,920 | 9,990 | ||
| 30,645 | |||
Healthcare - 6.0% | ||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19 | 4,441 | 4,863 | ||
Community Health Systems, Inc.: | ||||
5.125% 8/15/18 | 2,075 | 2,220 | ||
7.125% 7/15/20 | 2,080 | 2,332 | ||
DaVita, Inc.: | ||||
5.75% 8/15/22 | 1,970 | 2,098 | ||
6.625% 11/1/20 | 2,109 | 2,312 | ||
Fresenius Medical Care US Finance II, Inc. 6.5% 9/15/18 (e) | 995 | 1,152 | ||
HCA Holdings, Inc.: | ||||
6.25% 2/15/21 | 2,265 | 2,492 | ||
7.75% 5/15/21 | 19,194 | 21,689 | ||
HCA, Inc.: | ||||
4.75% 5/1/23 | 4,475 | 4,665 | ||
5.875% 3/15/22 | 8,635 | 9,585 | ||
6.5% 2/15/20 | 16,395 | 18,936 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Healthcare - continued | ||||
HCA, Inc.: - continued | ||||
7.5% 2/15/22 | $ 5,095 | $ 6,089 | ||
HealthSouth Corp. 5.75% 11/1/24 | 1,275 | 1,326 | ||
IMS Health, Inc. 6% 11/1/20 (e) | 1,175 | 1,257 | ||
Legend Acquisition Sub, Inc. 10.75% 8/15/20 (e) | 4,780 | 4,111 | ||
Omega Healthcare Investors, Inc.: | ||||
5.875% 3/15/24 | 4,945 | 5,365 | ||
6.75% 10/15/22 | 2,631 | 2,927 | ||
Rural/Metro Corp. 10.125% 7/15/19 (e) | 1,515 | 1,545 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 2,340 | 2,551 | ||
Teleflex, Inc. 6.875% 6/1/19 | 2,515 | 2,729 | ||
Tenet Healthcare Corp.: | ||||
4.5% 4/1/21 (e) | 1,670 | 1,703 | ||
4.75% 6/1/20 (e) | 1,665 | 1,723 | ||
6.75% 2/1/20 | 1,800 | 1,953 | ||
8.875% 7/1/19 | 4,434 | 4,977 | ||
Valeant Pharmaceuticals International 7.25% 7/15/22 (e) | 315 | 357 | ||
VPI Escrow Corp. 6.375% 10/15/20 (e) | 2,380 | 2,636 | ||
VWR Funding, Inc. 7.25% 9/15/17 (e) | 4,375 | 4,659 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (e) | 1,770 | 1,828 | ||
| 120,080 | |||
Homebuilders/Real Estate - 1.0% | ||||
Beazer Homes USA, Inc. 7.25% 2/1/23 (e) | 1,260 | 1,320 | ||
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (e) | 1,000 | 1,075 | ||
CB Richard Ellis Services, Inc.: | ||||
5% 3/15/23 | 3,070 | 3,143 | ||
6.625% 10/15/20 | 1,214 | 1,326 | ||
K. Hovnanian Enterprises, Inc.: | ||||
7.25% 10/15/20 (e) | 5,420 | 6,057 | ||
9.125% 11/15/20 (e) | 2,710 | 3,062 | ||
Realogy Corp. 9% 1/15/20 (e) | 1,775 | 2,103 | ||
William Lyon Homes, Inc. 8.5% 11/15/20 (e) | 1,185 | 1,327 | ||
| 19,413 | |||
Hotels - 0.0% | ||||
Choice Hotels International, Inc. 5.75% 7/1/22 | 615 | 689 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Insurance - 0.1% | ||||
A-S Co.-Issuer Subsidiary, Inc./A-S Merger Sub LLC 7.875% 12/15/20 (e) | $ 935 | $ 988 | ||
Leisure - 0.1% | ||||
Royal Caribbean Cruises Ltd. 5.25% 11/15/22 | 1,000 | 1,035 | ||
Spencer Spirit Holdings, Inc. 9% 5/1/18 pay-in-kind (e)(h) | 895 | 902 | ||
| 1,937 | |||
Metals/Mining - 1.0% | ||||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 2,610 | 2,440 | ||
6.25% 6/1/21 | 2,510 | 2,303 | ||
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (e) | 415 | 431 | ||
Calcipar SA 6.875% 5/1/18 (e) | 1,070 | 1,144 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6% 4/1/17 (e) | 2,730 | 2,839 | ||
7% 11/1/15 (e) | 2,885 | 3,022 | ||
Inmet Mining Corp. 7.5% 6/1/21 (e) | 1,170 | 1,223 | ||
New Gold, Inc.: | ||||
6.25% 11/15/22 (e) | 995 | 1,025 | ||
7% 4/15/20 (e) | 530 | 562 | ||
Prince Mineral Holding Corp. 11.5% 12/15/19 (e) | 655 | 730 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (e) | 1,857 | 1,978 | ||
8.25% 1/15/21 (e) | 1,210 | 1,313 | ||
| 19,010 | |||
Paper - 0.7% | ||||
Clearwater Paper Corp. 4.5% 2/1/23 (e) | 2,045 | 2,035 | ||
Sappi Papier Holding GmbH 6.625% 4/15/21 (e) | 555 | 583 | ||
Verso Paper Holdings LLC/Verso Paper, Inc.: | ||||
11.75% 1/15/19 | 7,195 | 7,681 | ||
11.75% 1/15/19 | 3,750 | 2,897 | ||
| 13,196 | |||
Publishing/Printing - 0.2% | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (e) | 1,960 | 2,034 | ||
Sheridan Group, Inc. 12.5% 4/15/14 | 2,646 | 2,619 | ||
| 4,653 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Restaurants - 0.4% | ||||
Landry's Acquisition Co. 9.375% 5/1/20 (e) | $ 3,250 | $ 3,510 | ||
Landry's Holdings II, Inc. 10.25% 1/1/18 (e) | 3,955 | 4,153 | ||
| 7,663 | |||
Services - 1.5% | ||||
Air Lease Corp. 4.75% 3/1/20 | 1,145 | 1,188 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 (e) | 5,445 | 5,486 | ||
8.75% 12/1/20 (e) | 3,630 | 3,830 | ||
ARAMARK Corp. 5.75% 3/15/20 (e) | 2,195 | 2,299 | ||
FTI Consulting, Inc. 6% 11/15/22 (e) | 2,450 | 2,615 | ||
Hertz Corp.: | ||||
5.875% 10/15/20 | 1,845 | 2,020 | ||
6.25% 10/15/22 | 1,315 | 1,471 | ||
Laureate Education, Inc. 9.25% 9/1/19 (e) | 6,520 | 7,384 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (e) | 600 | 618 | ||
TransUnion Holding Co., Inc.: | ||||
8.125% 6/15/18 pay-in-kind (e) | 1,885 | 2,026 | ||
9.625% 6/15/18 pay-in-kind | 1,255 | 1,377 | ||
| 30,314 | |||
Shipping - 0.7% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 1,409 | 1,407 | ||
Navios Maritime Holdings, Inc.: | ||||
8.125% 2/15/19 | 2,489 | 2,358 | ||
8.875% 11/1/17 | 1,903 | 2,003 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 | 750 | 816 | ||
NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (e) | 1,495 | 1,682 | ||
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (e) | 1,475 | 1,623 | ||
Western Express, Inc. 12.5% 4/15/15 (e) | 6,070 | 4,431 | ||
| 14,320 | |||
Steel - 0.9% | ||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: | ||||
9% 10/15/17 (e) | 5,550 | 6,077 | ||
11.25% 10/15/18 (e) | 1,855 | 2,003 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 9,725 | 10,454 | ||
| 18,534 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Super Retail - 0.7% | ||||
Asbury Automotive Group, Inc.: | ||||
7.625% 3/15/17 | $ 710 | $ 730 | ||
8.375% 11/15/20 | 788 | 885 | ||
Claire's Stores, Inc. 9% 3/15/19 (e) | 5,945 | 6,814 | ||
CST Brands, Inc. 5% 5/1/23 (e) | 525 | 539 | ||
Jo-Ann Stores, Inc. 9.75% 10/15/19 pay-in-kind (e)(h) | 1,940 | 2,093 | ||
Sonic Automotive, Inc.: | ||||
7% 7/15/22 | 1,390 | 1,552 | ||
9% 3/15/18 | 1,274 | 1,398 | ||
| 14,011 | |||
Technology - 4.2% | ||||
Avaya, Inc.: | ||||
7% 4/1/19 (e) | 3,352 | 3,226 | ||
10.5% 3/1/21 (e) | 5,790 | 5,334 | ||
Ceridian Corp.: | ||||
8.875% 7/15/19 (e) | 1,755 | 2,045 | ||
11% 3/15/21 (e) | 930 | 1,051 | ||
First Data Corp.: | ||||
6.75% 11/1/20 (e) | 5,350 | 5,751 | ||
11.25% 1/15/21 (e) | 4,820 | 5,013 | ||
Freescale Semiconductor, Inc. 10.125% 3/15/18 (e) | 5,201 | 5,760 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (e) | 2,385 | 2,397 | ||
Infor US, Inc. 9.375% 4/1/19 | 1,155 | 1,317 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 12,334 | 9,621 | ||
6.5% 1/15/28 | 5,415 | 4,170 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (e) | 1,040 | 1,071 | ||
NXP BV/NXP Funding LLC: | ||||
5.75% 2/15/21 (e) | 2,600 | 2,756 | ||
5.75% 3/15/23 (e) | 1,195 | 1,246 | ||
9.75% 8/1/18 (e) | 502 | 567 | ||
Softbank Corp. 4.5% 4/15/20 (e) | 6,480 | 6,707 | ||
Spansion LLC: | ||||
7.875% 11/15/17 | 1,601 | 1,673 | ||
11.25% 1/15/16 (c)(e) | 15,415 | 0 | ||
SunGard Data Systems, Inc. 6.625% 11/1/19 (e) | 3,600 | 3,812 | ||
VeriSign, Inc. 4.625% 5/1/23 (e) | 5,520 | 5,658 | ||
Viasystems, Inc. 7.875% 5/1/19 (e) | 3,970 | 4,238 | ||
WEX, Inc. 4.75% 2/1/23 (e) | 1,005 | 1,008 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Technology - continued | ||||
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | ||||
10.25% 7/15/19 (e) | $ 5,210 | $ 5,848 | ||
13.375% 10/15/19 (e) | 2,840 | 3,302 | ||
| 83,571 | |||
Telecommunications - 8.8% | ||||
Altice Financing SA 7.875% 12/15/19 (e) | 885 | 978 | ||
Altice Finco SA 9.875% 12/15/20 (e) | 945 | 1,076 | ||
Broadview Networks Holdings, Inc. 10.5% 11/15/17 | 2,915 | 2,857 | ||
Citizens Communications Co. 7.875% 1/15/27 | 4,949 | 5,048 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (e) | 5,015 | 6,946 | ||
Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (e) | 1,440 | 1,523 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (e) | 4,580 | 4,591 | ||
7% 2/15/20 (e) | 425 | 442 | ||
8.25% 9/1/17 (e) | 1,025 | 1,076 | ||
8.25% 9/30/20 (e) | 6,645 | 7,110 | ||
10.5% 4/15/18 (e) | 1,673 | 1,853 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (e) | 695 | 705 | ||
Eileme 1 AB 14.25% 8/15/20 pay-in-kind (e) | 3,509 | 3,871 | ||
Eileme 2 AB 11.625% 1/31/20 (e) | 2,605 | 3,100 | ||
Frontier Communications Corp. 7.125% 1/15/23 | 3,340 | 3,457 | ||
Intelsat Jackson Holdings SA: | ||||
6.625% 12/15/22 (e) | 4,385 | 4,747 | ||
7.25% 4/1/19 | 10,665 | 11,732 | ||
7.5% 4/1/21 | 8,085 | 9,096 | ||
Intelsat Luxembourg SA: | ||||
7.75% 6/1/21 (e) | 5,560 | 5,866 | ||
8.125% 6/1/23 (e) | 6,530 | 6,954 | ||
Level 3 Communications, Inc. 8.875% 6/1/19 (e) | 695 | 766 | ||
Level 3 Financing, Inc. 7% 6/1/20 (e) | 2,365 | 2,501 | ||
MetroPCS Wireless, Inc.: | ||||
6.25% 4/1/21 (e) | 3,295 | 3,534 | ||
6.625% 4/1/23 (e) | 3,295 | 3,534 | ||
NII Capital Corp. 7.625% 4/1/21 | 3,836 | 3,395 | ||
NII International Telecom S.C.A. 11.375% 8/15/19 (e) | 1,905 | 2,200 | ||
Satelites Mexicanos SA de CV 9.5% 5/15/17 | 710 | 769 | ||
SBA Communications Corp. 5.625% 10/1/19 (e) | 3,075 | 3,236 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Telecommunications - continued | ||||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | $ 2,300 | $ 2,352 | ||
6.9% 5/1/19 | 9,491 | 10,310 | ||
8.75% 3/15/32 | 5,730 | 6,776 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 6,729 | 7,279 | ||
6% 11/15/22 | 17,695 | 18,403 | ||
7% 8/15/20 | 9,540 | 10,446 | ||
9% 11/15/18 (e) | 10,110 | 12,435 | ||
Wind Acquisition Finance SA 7.25% 2/15/18 (e) | 2,581 | 2,723 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (e)(h) | 3,765 | 3,905 | ||
| 177,592 | |||
Textiles & Apparel - 0.2% | ||||
Albea Beauty Holdings SA 8.375% 11/1/19 (e) | 2,825 | 3,037 | ||
Burlington Holdings LLC/Burlington Holding Finance, Inc. 9% 2/15/18 pay-in-kind (e)(h) | 1,185 | 1,229 | ||
| 4,266 | |||
TOTAL NONCONVERTIBLE BONDS | 1,413,167 | |||
TOTAL CORPORATE BONDS (Cost $1,334,476) |
|
Common Stocks - 9.9% | |||
Shares |
| ||
Air Transportation - 0.2% | |||
Delta Air Lines, Inc. (a) | 200,000 | 3,428 | |
Automotive - 0.3% | |||
Delphi Automotive PLC | 123,822 | 5,722 | |
General Motors Co. (a) | 3,029 | 93 | |
Motors Liquidation Co. GUC Trust (a) | 39,254 | 1,199 | |
| 7,014 | ||
Banks & Thrifts - 0.3% | |||
Capital Bank Financial Corp. Series A | 300,000 | 5,361 | |
Washington Mutual, Inc. (a) | 505,500 | 0 | |
WMI Holdings Corp. (a) | 17,318 | 10 | |
| 5,371 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
Broadcasting - 0.2% | |||
Gray Television, Inc. (a) | 494,070 | $ 3,137 | |
Building Materials - 0.2% | |||
Gibraltar Industries, Inc. (a) | 218,217 | 4,081 | |
Chemicals - 0.4% | |||
LyondellBasell Industries NV Class A | 145,195 | 8,813 | |
Consumer Products - 0.3% | |||
Whirlpool Corp. | 50,000 | 5,714 | |
Containers - 0.1% | |||
Graphic Packaging Holding Co. (a) | 267,874 | 2,014 | |
Diversified Financial Services - 0.4% | |||
2010 Swift Mandatory Common Exchange Security Trust (e) | 27,700 | 343 | |
Citigroup, Inc. | 16,564 | 773 | |
The Blackstone Group LP | 350,000 | 7,193 | |
| 8,309 | ||
Electric Utilities - 0.3% | |||
The AES Corp. | 502,509 | 6,965 | |
Energy - 1.1% | |||
Access Midstream Partners LP | 143,600 | 5,926 | |
Edgen Group, Inc. Class A | 329,254 | 2,255 | |
Ocean Rig UDW, Inc. (United States) (a) | 350,000 | 5,733 | |
The Williams Companies, Inc. | 90,000 | 3,432 | |
Vantage Drilling Co. (a) | 3,000,000 | 5,070 | |
| 22,416 | ||
Gaming - 0.7% | |||
Las Vegas Sands Corp. | 100,000 | 5,625 | |
PB Investor I LLC | 11,653 | 17 | |
Penn National Gaming, Inc. (a) | 100,000 | 5,855 | |
Station Holdco LLC (a)(i)(j) | 1,531,479 | 2,236 | |
Station Holdco LLC: | |||
unit (i)(j) | 3,411 | 0* | |
warrants 6/15/18 (a)(i)(j) | 96,849 | 6 | |
| 13,739 | ||
Healthcare - 1.7% | |||
Express Scripts Holding Co. (a) | 290,000 | 17,217 | |
Tenet Healthcare Corp. (a) | 213,675 | 9,692 | |
Universal Health Services, Inc. Class B | 120,000 | 7,991 | |
| 34,900 | ||
Homebuilders/Real Estate - 0.0% | |||
Realogy Holdings Corp. | 10,400 | 499 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
Hotels - 0.3% | |||
Hyatt Hotels Corp. Class A (a) | 145,000 | $ 6,189 | |
Insurance - 0.3% | |||
H&R Block, Inc. | 200,000 | 5,548 | |
Leisure - 0.3% | |||
Town Sports International Holdings, Inc. | 584,202 | 5,883 | |
Publishing/Printing - 0.0% | |||
HMH Holdings, Inc. warrants 6/22/19 (a)(j) | 4,323 | 32 | |
Restaurants - 0.3% | |||
Dunkin' Brands Group, Inc. | 171,900 | 6,671 | |
Shipping - 0.0% | |||
Ultrapetrol (Bahamas) Ltd. (a) | 7,916 | 18 | |
Super Retail - 0.3% | |||
Dollar General Corp. (a) | 100,000 | 5,209 | |
Technology - 1.8% | |||
Cirrus Logic, Inc. (a) | 203,000 | 3,920 | |
Facebook, Inc. Class A | 96,094 | 2,668 | |
Flextronics International Ltd. (a) | 597,300 | 4,271 | |
Freescale Semiconductor Holdings I Ltd. (a) | 131,900 | 2,042 | |
NXP Semiconductors NV (a) | 136,511 | 3,761 | |
Oracle Corp. | 225,000 | 7,376 | |
Skyworks Solutions, Inc. (a) | 200,000 | 4,414 | |
Spansion, Inc. Class A | 80,804 | 1,050 | |
Xerox Corp. | 710,000 | 6,092 | |
| 35,594 | ||
Telecommunications - 0.1% | |||
Broadview Networks Holdings, Inc. | 189,475 | 2,558 | |
Pendrell Corp. (a) | 37,472 | 63 | |
| 2,621 | ||
Textiles & Apparel - 0.3% | |||
Arena Brands Holding Corp. Class B (a)(j) | 42,253 | 319 | |
Express, Inc. (a) | 291,300 | 5,305 | |
| 5,624 | ||
TOTAL COMMON STOCKS (Cost $185,796) |
| ||
Preferred Stocks - 4.3% | |||
|
|
|
|
Convertible Preferred Stocks - 1.3% | |||
Automotive - 0.4% | |||
General Motors Co. 4.75% | 191,400 | 8,896 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Convertible Preferred Stocks - continued | |||
Electric Utilities - 0.4% | |||
PPL Corp.: | |||
8.75% | 96,400 | $ 5,550 | |
9.50% | 44,400 | 2,595 | |
| 8,145 | ||
Energy - 0.3% | |||
Apache Corp. 6.00% | 21,900 | 927 | |
Chesapeake Energy Corp. Series A, 5.75% (e) | 5,700 | 5,764 | |
| 6,691 | ||
Metals/Mining - 0.2% | |||
AngloGold Ashanti Holdings Finance PLC 6.00% | 159,100 | 3,771 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 27,503 | ||
Nonconvertible Preferred Stocks - 3.0% | |||
Banks & Thrifts - 1.0% | |||
Ally Financial, Inc. 7.00% (e) | 16,214 | 16,052 | |
Goldman Sachs Group, Inc. Series J, 5.50% | 163,562 | 4,208 | |
| 20,260 | ||
Consumer Products - 1.2% | |||
Revlon, Inc. Series A 12.75% | 4,464,520 | 24,198 | |
Diversified Financial Services - 0.8% | |||
GMAC Capital Trust I Series 2, 8.125% | 557,547 | 15,271 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 59,729 | ||
TOTAL PREFERRED STOCKS (Cost $138,088) |
|
Floating Rate Loans - 11.4% | ||||
| Principal |
| ||
Air Transportation - 0.3% | ||||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (h) | $ 6,657 | 6,648 | ||
Automotive - 0.0% | ||||
Tower Automotive Holdings USA LLC Tranche B, term loan 5.75% 4/23/20 (h) | 530 | 539 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Broadcasting - 0.1% | ||||
Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (h) | $ 993 | $ 1,005 | ||
NEP/NCP Holdco, Inc. Tranche 2LN, term loan 9.5% 7/22/20 (h) | 60 | 62 | ||
| 1,067 | |||
Capital Goods - 0.6% | ||||
Remy International, Inc. Tranche B, term loan 4.25% 3/5/20 (h) | 10,973 | 11,069 | ||
Consumer Products - 0.1% | ||||
Reddy Ice Corp. Tranche 1LN, term loan 6.75% 4/28/19 (h) | 2,705 | 2,725 | ||
Diversified Financial Services - 0.4% | ||||
AlixPartners LLP Tranche 2LN, term loan 10.75% 12/29/19 (h) | 8,085 | 8,328 | ||
Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (h) | 317 | 321 | ||
| 8,649 | |||
Diversified Media - 0.0% | ||||
WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (h) | 202 | 204 | ||
Electric Utilities - 1.0% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7313% 10/10/17 (h) | 27,469 | 20,156 | ||
Energy - 0.8% | ||||
Alon USA Partners LP term loan 9.25% 11/13/18 (h) | 1,294 | 1,339 | ||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (h) | 7,635 | 7,902 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.5% 6/28/19 (h) | 1,571 | 1,590 | ||
MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (h) | 3,577 | 3,626 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (h) | 845 | 860 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (h) | 400 | 407 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (h) | 535 | 541 | ||
| 16,265 | |||
Entertainment/Film - 0.0% | ||||
Livent, Inc. Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 337 | 334 | |
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Food & Drug Retail - 0.1% | ||||
Rite Aid Corp.: | ||||
Tranche 1LN, term loan 4% 2/21/20 (h) | $ 1,320 | $ 1,337 | ||
Tranche 2LN, term loan 5.75% 8/21/20 (h) | 200 | 208 | ||
Sprouts Farmers Market LLC Tranche B, term loan 4.5% 4/12/20 (h) | 720 | 724 | ||
| 2,269 | |||
Gaming - 1.0% | ||||
Centaur Acquisition LLC: | ||||
Tranche 1LN, term loan 5.25% 2/20/19 (h) | 620 | 625 | ||
Tranche 2LN, term loan 8.75% 2/20/20 (h) | 615 | 627 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (h) | 980 | 1,024 | ||
Harrah's Entertainment, Inc.: | ||||
Tranche B 4LN, term loan 9.5% 10/31/16 (h) | 3,407 | 3,449 | ||
Tranche B 6LN, term loan 5.4502% 1/28/18 (h) | 7,964 | 7,227 | ||
MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (h) | 1,032 | 1,048 | ||
Station Casinos LLC Tranche B, term loan 5% 2/19/20 (h) | 5,325 | 5,392 | ||
| 19,392 | |||
Healthcare - 0.8% | ||||
American Renal Holdings, Inc.: | ||||
Tranche 2LN, term loan 8.5% 2/8/20 (h) | 3,690 | 3,745 | ||
Tranche B 1LN, term loan 4.5% 8/8/19 (h) | 3,355 | 3,363 | ||
Apria Healthcare Group, Inc. Tranche B, term loan 6.75% 4/5/20 (h) | 1,350 | 1,353 | ||
Genesis HealthCare Corp. Tranche B, term loan 10.0024% 12/4/17 (h) | 3,679 | 3,661 | ||
MModal, Inc. Tranche B, term loan 6.75% 8/17/19 (h) | 1,830 | 1,794 | ||
VWR Funding, Inc. Tranche B, term loan 4.2037% 4/3/17 (h) | 1,875 | 1,899 | ||
| 15,815 | |||
Homebuilders/Real Estate - 0.4% | ||||
Realogy Corp. Credit-Linked Deposit 4.4537% 10/10/16 (h) | 1,317 | 1,314 | ||
Realogy Group LLC Tranche B, term loan 4.5% 3/1/20 (h) | 6,455 | 6,520 | ||
| 7,834 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Insurance - 0.8% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (h) | $ 10,967 | $ 11,105 | ||
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (h) | 4,225 | 4,542 | ||
| 15,647 | |||
Leisure - 0.4% | ||||
Equinox Holdings, Inc. Tranche 2LN, term loan 9.75% 5/16/20 (h) | 7,425 | 7,611 | ||
Metals/Mining - 0.0% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (h) | 314 | 318 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (h) | 190 | 194 | ||
| 512 | |||
Paper - 0.1% | ||||
Caraustar Industries, Inc. Tranche B, term loan 7.5% 4/26/19 (h) | 2,525 | 2,538 | ||
White Birch Paper Co. Tranche 2LN, term loan 11/8/14 (c) | 8,620 | 86 | ||
| 2,624 | |||
Publishing/Printing - 0.4% | ||||
Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (h) | 272 | 275 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (h) | 7,110 | 7,003 | ||
| 7,278 | |||
Restaurants - 0.5% | ||||
Landry's Restaurants, Inc. Tranche B, term loan 4.75% 4/24/18 (h) | 9,606 | 9,738 | ||
Services - 0.1% | ||||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 4% 1/30/20 (h) | 364 | 368 | ||
Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (h) | 369 | 371 | ||
SourceHOV LLC: | ||||
Tranche 2LN, term loan 8.75% 4/30/19 (h) | 240 | 244 | ||
Tranche B 1LN, term loan 5.25% 4/30/18 (h) | 325 | 328 | ||
| 1,311 | |||
Technology - 1.3% | ||||
First Data Corp. term loan 4.1992% 3/24/18 (h) | 20,530 | 20,479 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Technology - continued | ||||
Kronos, Inc. Tranche 2LN, term loan 9.75% 4/24/20 (h) | $ 3,275 | $ 3,447 | ||
NXP BV Tranche A 1LN, term loan 4.5% 3/4/17 (h) | 2,795 | 2,858 | ||
| 26,784 | |||
Telecommunications - 2.2% | ||||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (h) | 1,425 | 1,400 | ||
Integra Telecom Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 2/14/20 (h) | 200 | 205 | ||
Tranche B 1LN, term loan 6% 2/14/19 (h) | 1,355 | 1,384 | ||
Level 3 Financing, Inc. Tranche B 2LN, term loan 4.75% 8/1/19 (h) | 4,590 | 4,636 | ||
LTS Buyer LLC Tranche 2LN, term loan 8% 4/11/21 (h) | 100 | 102 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (h) | 4,439 | 4,517 | ||
Vodafone Americas Finance 2, Inc.: | ||||
term loan 6.875% 8/11/15 | 11,702 | 11,936 | ||
Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind | 18,789 | 19,306 | ||
| 43,486 | |||
TOTAL FLOATING RATE LOANS (Cost $233,023) |
|
Preferred Securities - 1.2% | |||
|
|
|
|
Banks & Thrifts - 0.3% | |||
JPMorgan Chase & Co. 5.15% (f)(h) | 6,350 | 6,460 | |
Diversified Financial Services - 0.9% | |||
Citigroup, Inc.: | |||
5.35% (f)(h) | 12,545 | 12,581 | |
5.95% (f)(h) | 4,815 | 5,188 | |
| 17,769 | ||
TOTAL PREFERRED SECURITIES (Cost $23,710) |
| ||
Money Market Funds - 2.1% | |||
Shares | Value (000s) | ||
Fidelity Cash Central Fund, 0.13% (b) | 41,911,457 | $ 41,911 | |
TOTAL INVESTMENT PORTFOLIO - 99.9% (Cost $1,957,004) | 2,006,670 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 2,612 | ||
NET ASSETS - 100% | $ 2,009,282 |
Currency Abbreviations | ||
CAD | - | Canadian dollar |
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) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $624,295,000 or 31.1% of net assets. |
(f) Security is perpetual in nature with no stated maturity date. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(i) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(j) 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 $2,594,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Arena Brands Holding Corp. Class B | 6/18/97 - 7/13/98 | $ 1,538 |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 8 |
Station Holdco LLC | 6/17/11 | $ 1,450 |
Station Holdco LLC unit | 4/1/13 | $ 0* |
Station Holdco LLC warrants 6/15/18 | 10/28/08 - 12/1/08 | $ 3,945 |
* 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 | $ 69 |
Fidelity Securities Lending Cash Central Fund | 17 |
Total | $ 86 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 tables 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 | $ 73,656 | $ 71,046 | $ - | $ 2,610 |
Consumer Staples | 24,198 | 24,198 | - | - |
Energy | 26,852 | 21,088 | 5,764 | - |
Financials | 49,710 | 29,107 | 20,603 | - |
Health Care | 34,900 | 34,900 | - | - |
Industrials | 9,845 | 9,845 | - | - |
Information Technology | 35,594 | 35,594 | - | - |
Materials | 14,598 | 14,598 | - | - |
Telecommunication Services | 2,558 | - | - | 2,558 |
Utilities | 15,110 | 9,560 | 5,550 | - |
Corporate Bonds | 1,425,552 | - | 1,425,551 | 1 |
Floating Rate Loans | 227,957 | - | 195,376 | 32,581 |
Preferred Securities | 24,229 | - | 24,229 | - |
Money Market Funds | 41,911 | 41,911 | - | - |
Total Investments in Securities: | $ 2,006,670 | $ 291,847 | $ 1,677,073 | $ 37,750 |
Valuation Inputs at Reporting Date: |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
(Amounts in thousands) |
|
Investments in Securities: | |
Equities - Consumer Staples | |
Beginning Balance | $ 24,287 |
Total Realized Gain (Loss) | - |
Total Unrealized Gain (Loss) | - |
Cost of Purchases | - |
Proceeds of Sales | - |
Amortization/Accretion | - |
Transfers in to Level 3 | - |
Transfers out of Level 3 | (24,287) |
Ending Balance | $ - |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at April 30, 2013 | $ - |
Floating Rate Loans | |
Beginning Balance | $ 337 |
Total Realized Gain (Loss) | - |
Total Unrealized Gain (Loss) | 371 |
Cost of Purchases | 980 |
Proceeds of Sales | (2) |
Amortization/Accretion | 33 |
Transfers in to Level 3 | 30,862 |
Transfers out of Level 3 | - |
Ending Balance | $ 32,581 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at April 30, 2013 | $ 371 |
Other Investments in Securities | |
Beginning Balance | $ 3,582 |
Total Realized Gain (Loss) | (53) |
Total Unrealized Gain (Loss) | (957) |
Cost of Purchases | 3,206 |
Proceeds of Sales | (609) |
Amortization/Accretion | - |
Transfers in to Level 3 | - |
Transfers out of Level 3 | - |
Ending Balance | $ 5,169 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at April 30, 2013 | $ (1,010) |
The information used in the above reconciliations represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliations are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 86.9% |
Luxembourg | 3.7% |
Netherlands | 1.7% |
Cayman Islands | 1.4% |
Canada | 1.1% |
Others (Individually Less Than 1%) | 5.2% |
| 100.0% |
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) | April 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $1,915,093) | $ 1,964,759 |
|
Fidelity Central Funds (cost $41,911) | 41,911 |
|
Total Investments (cost $1,957,004) |
| $ 2,006,670 |
Cash |
| 40 |
Receivable for investments sold | 7,158 | |
Receivable for fund shares sold | 1,540 | |
Dividends receivable | 613 | |
Interest receivable | 28,349 | |
Distributions receivable from Fidelity Central Funds | 6 | |
Prepaid expenses | 2 | |
Other receivables | 66 | |
Total assets | 2,044,444 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 18,841 | |
Delayed delivery | 8,330 | |
Payable for fund shares redeemed | 4,758 | |
Distributions payable | 1,443 | |
Accrued management fee | 935 | |
Distribution and service plan fees payable | 445 | |
Other affiliated payables | 314 | |
Other payables and accrued expenses | 96 | |
Total liabilities | 35,162 | |
|
|
|
Net Assets | $ 2,009,282 | |
Net Assets consist of: |
| |
Paid in capital | $ 2,423,484 | |
Undistributed net investment income | 46,805 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (510,677) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 49,670 | |
Net Assets | $ 2,009,282 |
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) | April 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.74 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.74) | $ 11.19 | |
Class T: | $ 10.79 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.79) | $ 11.24 | |
Class B: | $ 10.66 | |
|
|
|
Class C: | $ 10.72 | |
|
|
|
Institutional Class: | $ 10.12 |
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 April 30, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 7,066 |
Interest |
| 59,101 |
Income from Fidelity Central Funds |
| 86 |
Total income |
| 66,253 |
|
|
|
Expenses | ||
Management fee | $ 5,542 | |
Transfer agent fees | 1,544 | |
Distribution and service plan fees | 2,636 | |
Accounting and security lending fees | 324 | |
Custodian fees and expenses | 20 | |
Independent trustees' compensation | 6 | |
Registration fees | 59 | |
Audit | 40 | |
Legal | 14 | |
Miscellaneous | 8 | |
Total expenses before reductions | 10,193 | |
Expense reductions | (32) | 10,161 |
Net investment income (loss) | 56,092 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 30,012 | |
Foreign currency transactions | (95) | |
Total net realized gain (loss) |
| 29,917 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 80,827 | |
Assets and liabilities in foreign currencies | 4 | |
Total change in net unrealized appreciation (depreciation) |
| 80,831 |
Net gain (loss) | 110,748 | |
Net increase (decrease) in net assets resulting from operations | $ 166,840 |
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 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 56,092 | $ 118,248 |
Net realized gain (loss) | 29,917 | 8,355 |
Change in net unrealized appreciation (depreciation) | 80,831 | 118,310 |
Net increase (decrease) in net assets resulting | 166,840 | 244,913 |
Distributions to shareholders from net investment income | (45,701) | (127,820) |
Distributions to shareholders from net realized gain | (24,025) | - |
Total distributions | (69,726) | (127,820) |
Share transactions - net increase (decrease) | (42,653) | (65,223) |
Redemption fees | 124 | 323 |
Total increase (decrease) in net assets | 54,585 | 52,193 |
|
|
|
Net Assets | ||
Beginning of period | 1,954,697 | 1,902,504 |
End of period (including undistributed net investment income of $46,805 and undistributed net investment income of $36,414, respectively) | $ 2,009,282 | $ 1,954,697 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.21 | $ 9.59 | $ 9.87 | $ 8.60 | $ 6.44 | $ 10.70 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .299 | .607 | .593 | .650 | .587 | .712 |
Net realized and unrealized gain (loss) | .597 | .658 | (.238) | 1.185 | 2.033 | (4.326) |
Total from investment operations | .896 | 1.265 | .355 | 1.835 | 2.620 | (3.614) |
Distributions from net investment income | (.240) | (.647) | (.639) | (.550) | (.465) | (.650) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.367) | (.647) | (.639) | (.570) | (.465) | (.650) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.74 | $ 10.21 | $ 9.59 | $ 9.87 | $ 8.60 | $ 6.44 |
Total Return B, C, D | 8.96% | 13.78% | 3.57% | 22.06% | 43.51% | (35.41)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.03% | 1.03% | 1.03% | 1.07% | 1.07% |
Expenses net of fee waivers, if any | 1.03% A | 1.03% | 1.03% | 1.03% | 1.07% | 1.07% |
Expenses net of all reductions | 1.03% A | 1.03% | 1.03% | 1.03% | 1.07% | 1.07% |
Net investment income (loss) | 5.77% A | 6.18% | 5.93% | 7.03% | 8.68% | 7.64% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 756 | $ 705 | $ 659 | $ 722 | $ 703 | $ 519 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.26 | $ 9.64 | $ 9.92 | $ 8.64 | $ 6.47 | $ 10.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .301 | .610 | .597 | .653 | .586 | .722 |
Net realized and unrealized gain (loss) | .595 | .656 | (.241) | 1.193 | 2.046 | (4.344) |
Total from investment operations | .896 | 1.266 | .356 | 1.846 | 2.632 | (3.622) |
Distributions from net investment income | (.240) | (.648) | (.640) | (.551) | (.467) | (.652) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.367) | (.648) | (.640) | (.571) | (.467) | (.652) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.79 | $ 10.26 | $ 9.64 | $ 9.92 | $ 8.64 | $ 6.47 |
Total Return B, C, D | 8.92% | 13.72% | 3.56% | 22.09% | 43.50% | (35.36)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.02% A | 1.02% | 1.02% | 1.02% | 1.05% | 1.04% |
Expenses net of fee waivers, if any | 1.02% A | 1.02% | 1.02% | 1.02% | 1.05% | 1.04% |
Expenses net of all reductions | 1.02% A | 1.02% | 1.02% | 1.02% | 1.05% | 1.04% |
Net investment income (loss) | 5.79% A | 6.19% | 5.94% | 7.04% | 8.70% | 7.67% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 555 | $ 547 | $ 543 | $ 645 | $ 678 | $ 542 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.15 | $ 9.53 | $ 9.82 | $ 8.56 | $ 6.41 | $ 10.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .259 | .532 | .519 | .581 | .532 | .652 |
Net realized and unrealized gain (loss) | .579 | .663 | (.245) | 1.180 | 2.033 | (4.309) |
Total from investment operations | .838 | 1.195 | .274 | 1.761 | 2.565 | (3.657) |
Distributions from net investment income | (.202) | (.577) | (.568) | (.486) | (.420) | (.587) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.329) | (.577) | (.568) | (.506) | (.420) | (.587) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.66 | $ 10.15 | $ 9.53 | $ 9.82 | $ 8.56 | $ 6.41 |
Total Return B, C, D | 8.42% | 13.06% | 2.75% | 21.20% | 42.62% | (35.83)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.75% | 1.75% | 1.74% | 1.76% | 1.77% |
Expenses net of fee waivers, if any | 1.77% A | 1.75% | 1.75% | 1.74% | 1.75% | 1.75% |
Expenses net of all reductions | 1.76% A | 1.75% | 1.74% | 1.74% | 1.75% | 1.75% |
Net investment income (loss) | 5.04% A | 5.46% | 5.21% | 6.32% | 8.00% | 6.96% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 24 | $ 28 | $ 38 | $ 52 | $ 65 | $ 59 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.19 | $ 9.58 | $ 9.86 | $ 8.59 | $ 6.44 | $ 10.69 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .259 | .533 | .518 | .581 | .536 | .645 |
Net realized and unrealized gain (loss) | .598 | .649 | (.237) | 1.186 | 2.025 | (4.318) |
Total from investment operations | .857 | 1.182 | .281 | 1.767 | 2.561 | (3.673) |
Distributions from net investment income | (.201) | (.574) | (.565) | (.482) | (.416) | (.581) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.328) | (.574) | (.565) | (.502) | (.416) | (.581) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.72 | $ 10.19 | $ 9.58 | $ 9.86 | $ 8.59 | $ 6.44 |
Total Return B, C, D | 8.57% | 12.85% | 2.81% | 21.20% | 42.32% | (35.83)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.79% A | 1.78% | 1.77% | 1.77% | 1.81% | 1.81% |
Expenses net of fee waivers, if any | 1.79% A | 1.78% | 1.77% | 1.77% | 1.81% | 1.81% |
Expenses net of all reductions | 1.78% A | 1.77% | 1.77% | 1.77% | 1.81% | 1.81% |
Net investment income (loss) | 5.02% A | 5.44% | 5.19% | 6.29% | 7.94% | 6.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 191 | $ 180 | $ 164 | $ 186 | $ 185 | $ 131 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.65 | $ 9.10 | $ 9.40 | $ 8.22 | $ 6.18 | $ 10.29 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .295 | .598 | .595 | .642 | .570 | .701 |
Net realized and unrealized gain (loss) | .555 | .623 | (.233) | 1.128 | 1.949 | (4.140) |
Total from investment operations | .850 | 1.221 | .362 | 1.770 | 2.519 | (3.439) |
Distributions from net investment income | (.254) | (.673) | (.666) | (.575) | (.484) | (.675) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.381) | (.673) | (.666) | (.595) | (.484) | (.675) |
Redemption fees added to paid in capital D | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.12 | $ 9.65 | $ 9.10 | $ 9.40 | $ 8.22 | $ 6.18 |
Total Return B, C | 9.01% | 14.07% | 3.83% | 22.33% | 43.81% | (35.17)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .77% A | .78% | .77% | .78% | .81% | .80% |
Expenses net of fee waivers, if any | .77% A | .78% | .77% | .78% | .81% | .80% |
Expenses net of all reductions | .77% A | .78% | .77% | .78% | .81% | .80% |
Net investment income (loss) | 6.04% A | 6.44% | 6.19% | 7.28% | 8.94% | 7.91% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 484 | $ 495 | $ 498 | $ 1,336 | $ 1,245 | $ 1,190 |
Portfolio turnover rate F | 65% A | 66% | 68% | 53% | 49% | 45% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® High Income Advantage 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, and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. Independent prices obtained from a single source or broker are evaluated by management and may be categorized as Level 3 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including 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 April 30, 2013, as well as a roll forward of Level 3 investments, 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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 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. 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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to foreign currency transactions, partnerships, defaulted bonds, market discount, equity-debt classifications, 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 | $ 181,990 |
Gross unrealized depreciation | (119,431) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 62,559 |
|
|
Tax cost | $ 1,944,111 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2016 | $ (4,443) |
2017 | (511,701) |
Total capital loss carryforward | $ (516,144) |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
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. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $617,018 and $609,290, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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 FMR, 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% | $ 913 | $ 15 |
Class T | -% | .25% | 685 | 6 |
Class B | .65% | .25% | 117 | 84 |
Class C | .75% | .25% | 921 | 111 |
|
|
| $ 2,636 | $ 216 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 23 |
Class T | 6 |
Class B* | 15 |
Class C* | 6 |
| $ 50 |
* 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 FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 592 | .16 |
Class T | 412 | .15 |
Class B | 31 | .24 |
Class C | 146 | .16 |
Institutional Class | 363 | .15 |
| $ 1,544 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. 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 $1 for the period.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Security Lending.
The Fund lends portfolio securities through a lending agent 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, 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 amounted to $17. During the period, there were no securities loaned to FCM.
8. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $31 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1.
Semiannual Report
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 16,794 | $ 43,912 |
Class T | 12,570 | 35,499 |
Class B | 507 | 2,022 |
Class C | 3,563 | 9,907 |
Institutional Class | 12,267 | 36,480 |
Total | $ 45,701 | $ 127,820 |
From net realized gain |
|
|
Class A | $ 8,703 | $ - |
Class T | 6,597 | - |
Class B | 336 | - |
Class C | 2,235 | - |
Institutional Class | 6,154 | - |
Total | $ 24,025 | $ - |
10. 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 | 9,968 | 18,603 | $ 104,076 | $ 182,841 |
Reinvestment of distributions | 1,995 | 3,559 | 20,736 | 34,515 |
Shares redeemed | (10,634) | (21,765) | (110,983) | (211,896) |
Net increase (decrease) | 1,329 | 397 | $ 13,829 | $ 5,460 |
Class T |
|
|
|
|
Shares sold | 3,851 | 7,732 | $ 40,207 | $ 75,969 |
Reinvestment of distributions | 1,599 | 3,085 | 16,701 | 30,041 |
Shares redeemed | (7,301) | (13,930) | (76,238) | (136,475) |
Net increase (decrease) | (1,851) | (3,113) | $ (19,330) | $ (30,465) |
Class B |
|
|
|
|
Shares sold | 85 | 142 | $ 893 | $ 1,376 |
Reinvestment of distributions | 62 | 150 | 635 | 1,439 |
Shares redeemed | (614) | (1,550) | (6,364) | (15,097) |
Net increase (decrease) | (467) | (1,258) | $ (4,836) | $ (12,282) |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
10. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class C |
|
|
|
|
Shares sold | 1,641 | 2,938 | $ 17,135 | $ 28,899 |
Reinvestment of distributions | 416 | 724 | 4,307 | 6,996 |
Shares redeemed | (1,891) | (3,160) | (19,688) | (30,892) |
Net increase (decrease) | 166 | 502 | $ 1,754 | $ 5,003 |
Institutional Class |
|
|
|
|
Shares sold | 6,212 | 13,530 | $ 61,132 | $ 125,150 |
Reinvestment of distributions | 1,490 | 3,034 | 14,614 | 27,883 |
Shares redeemed | (11,232) | (19,981) | (109,816) | (185,972) |
Net increase (decrease) | (3,530) | (3,417) | $ (34,070) | $ (32,939) |
11. 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 Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(Hong Kong) Limited
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
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
HY-USAN-0613 1.784886.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
High Income Advantage
Fund - Institutional Class
Semiannual Report
April 30, 2013
(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. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
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 | 1.03% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,089.60 | $ 5.34 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class T | 1.02% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,089.20 | $ 5.28 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.74 | $ 5.11 |
Class B | 1.77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,084.20 | $ 9.15 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.02 | $ 8.85 |
Class C | 1.79% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,085.70 | $ 9.26 |
HypotheticalA |
| $ 1,000.00 | $ 1,015.92 | $ 8.95 |
Institutional Class | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,090.10 | $ 3.99 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
International Lease Finance Corp. | 4.1 | 4.0 |
GMAC LLC | 3.3 | 2.8 |
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc. | 3.2 | 2.2 |
Sprint Nextel Corp. | 2.4 | 1.8 |
HCA, Inc. | 1.9 | 2.1 |
| 14.9 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Telecommunications | 11.1 | 10.4 |
Energy | 9.6 | 9.0 |
Diversified Financial Services | 9.3 | 8.8 |
Electric Utilities | 9.1 | 8.7 |
Healthcare | 8.5 | 9.6 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 1.4% |
| BBB 1.9% |
| ||||
BB 19.3% |
| BB 18.1% |
| ||||
B 45.5% |
| B 43.1% |
| ||||
CCC,CC,C 15.0% |
| CCC,CC,C 15.3% |
| ||||
D 0.0% |
| D 0.2% |
| ||||
Not Rated 2.4% |
| Not Rated 3.1% |
| ||||
Equities 14.2% |
| Equities 12.6% |
| ||||
Short-Term |
| Short-Term |
|
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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Nonconvertible |
| Nonconvertible |
| ||||
Convertible Bonds, |
| Convertible Bonds, |
| ||||
Common Stocks 9.9% |
| Common Stocks |
| ||||
Floating Rate Loans 11.4% |
| Floating Rate Loans 13.6% |
| ||||
Other Investments 1.2% |
| Other Investments 0.3% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 13.1% |
| ** Foreign investments | 10.4% |
|
Semiannual Report
Investments April 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 71.0% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.6% | ||||
Air Transportation - 0.2% | ||||
UAL Corp. 4.5% 6/30/21 (e) | $ 3,692 | $ 3,886 | ||
Broadcasting - 0.0% | ||||
Mood Media Corp. 10% 10/31/15 (e) | 38 | 31 | ||
Energy - 0.3% | ||||
Chesapeake Energy Corp. 2.75% 11/15/35 | 410 | 415 | ||
Headwaters, Inc. 2.5% 2/1/14 | 5,659 | 5,602 | ||
| 6,017 | |||
Metals/Mining - 0.1% | ||||
Massey Energy Co. 3.25% 8/1/15 | 2,580 | 2,451 | ||
TOTAL CONVERTIBLE BONDS | 12,385 | |||
Nonconvertible Bonds - 70.4% | ||||
Aerospace - 0.1% | ||||
American Airlines, Inc. pass-thru certificates: | ||||
Series 2013-1A Class A, 4% 1/15/27 (e) | 1,510 | 1,521 | ||
Series 2013-1B Class B, 5.625% 1/15/21 (e) | 645 | 661 | ||
GenCorp, Inc. 7.125% 3/15/21 (e) | 525 | 566 | ||
| 2,748 | |||
Air Transportation - 0.3% | ||||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 6.903% 4/19/22 | 973 | 1,046 | ||
6.125% 4/29/18 (e) | 670 | 683 | ||
7.339% 4/19/14 | 379 | 387 | ||
9.25% 5/10/17 | 1,410 | 1,581 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 2,504 | 2,905 | ||
| 6,602 | |||
Automotive - 2.7% | ||||
Affinia Group, Inc. 7.75% 5/1/21 (e) | 405 | 417 | ||
ArvinMeritor, Inc. 8.125% 9/15/15 | 3,940 | 4,255 | ||
Continental Rubber of America Corp. 4.5% 9/15/19 (e) | 1,240 | 1,290 | ||
Ford Motor Credit Co. LLC 5.875% 8/2/21 | 8,400 | 9,802 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 5,030 | 6,564 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 547 | 0 | ||
7.125% 7/15/13 (c) | 1,583 | 0 | ||
7.2% 1/15/11 (c) | 3,997 | 0 | ||
7.4% 9/1/25 (c) | 273 | 0 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Automotive - continued | ||||
General Motors Corp.: - continued | ||||
7.7% 4/15/16 (c) | $ 980 | $ 0 | ||
8.25% 7/15/23 (c) | 7,625 | 0 | ||
8.375% 7/15/33 (c) | 23,416 | 0 | ||
General Motors Financial Co., Inc.: | ||||
4.75% 8/15/17 (e) | 14,155 | 14,934 | ||
6.75% 6/1/18 | 10,220 | 11,651 | ||
Schaeffler Finance BV 4.75% 5/15/21 (e) | 1,930 | 1,959 | ||
Tenneco, Inc. 6.875% 12/15/20 | 3,362 | 3,711 | ||
| 54,583 | |||
Banks & Thrifts - 4.0% | ||||
Ally Financial, Inc.: | ||||
5.5% 2/15/17 | 8,000 | 8,750 | ||
8% 3/15/20 | 4,150 | 5,219 | ||
GMAC LLC: | ||||
8% 12/31/18 | 25,964 | 31,287 | ||
8% 11/1/31 | 26,122 | 34,407 | ||
Washington Mutual Bank 5.5% 1/15/49 (c) | 10,000 | 1 | ||
| 79,664 | |||
Broadcasting - 0.4% | ||||
AMC Networks, Inc. 7.75% 7/15/21 | 500 | 575 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 6,735 | 6,617 | ||
5.5% 12/15/16 | 1,938 | 1,424 | ||
| 8,616 | |||
Building Materials - 1.5% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (e) | 595 | 619 | ||
Associated Materials LLC 9.125% 11/1/17 | 1,809 | 1,954 | ||
BC Mountain LLC/BC Mountain Finance, Inc. 7% 2/1/21 (e) | 540 | 581 | ||
CEMEX Finance LLC 9.375% 10/12/22 (e) | 2,305 | 2,651 | ||
CEMEX SA de CV: | ||||
5.2836% 9/30/15 (e)(h) | 4,305 | 4,456 | ||
5.875% 3/25/19 (e) | 1,235 | 1,257 | ||
Gibraltar Industries, Inc. 6.25% 2/1/21 (e) | 300 | 322 | ||
HD Supply, Inc.: | ||||
8.125% 4/15/19 | 4,460 | 5,045 | ||
10.5% 1/15/21 | 1,225 | 1,283 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Building Materials - continued | ||||
Isabelle Acquisition Sub, Inc. 10% 11/15/18 pay-in-kind (e)(h) | $ 520 | $ 578 | ||
Nortek, Inc. 8.5% 4/15/21 (e) | 1,520 | 1,695 | ||
Ply Gem Industries, Inc. 8.25% 2/15/18 | 5,925 | 6,488 | ||
USG Corp.: | ||||
6.3% 11/15/16 | 275 | 293 | ||
7.875% 3/30/20 (e) | 1,390 | 1,581 | ||
9.75% 1/15/18 | 1,585 | 1,882 | ||
| 30,685 | |||
Cable TV - 1.8% | ||||
Bresnan Broadband Holdings LLC 8% 12/15/18 (e) | 1,214 | 1,329 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 2,550 | 2,576 | ||
5.25% 3/15/21 (e) | 2,245 | 2,307 | ||
5.75% 9/1/23 (e) | 1,545 | 1,603 | ||
5.75% 1/15/24 (g) | 6,890 | 7,148 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (e) | 535 | 568 | ||
DISH DBS Corp.: | ||||
5.875% 7/15/22 | 4,240 | 4,325 | ||
6.75% 6/1/21 | 5,260 | 5,681 | ||
Lynx I Corp. 5.375% 4/15/21 (e) | 1,260 | 1,355 | ||
Lynx II Corp. 6.375% 4/15/23 (e) | 710 | 770 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | ||||
5.5% 1/15/23 (e) | 2,145 | 2,220 | ||
7.5% 3/15/19 (e) | 705 | 774 | ||
UPCB Finance III Ltd. 6.625% 7/1/20 (e) | 3,060 | 3,312 | ||
UPCB Finance VI Ltd. 6.875% 1/15/22 (e) | 1,900 | 2,085 | ||
| 36,053 | |||
Capital Goods - 0.1% | ||||
Anixter International, Inc. 5.625% 5/1/19 | 1,090 | 1,164 | ||
Briggs & Stratton Corp. 6.875% 12/15/20 | 1,285 | 1,458 | ||
| 2,622 | |||
Chemicals - 1.8% | ||||
Axiall Corp. 4.875% 5/15/23 (e) | 620 | 643 | ||
Eagle Spinco, Inc. 4.625% 2/15/21 (e) | 1,055 | 1,108 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 (e) | 4,605 | 4,801 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Chemicals - continued | ||||
INEOS Group Holdings PLC 8.5% 2/15/16 (e) | $ 5,260 | $ 5,345 | ||
Kinove German Bondco GmbH 9.625% 6/15/18 (e) | 1,550 | 1,752 | ||
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 | 5,165 | 5,630 | ||
Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (e)(h) | 1,630 | 1,663 | ||
PolyOne Corp. 5.25% 3/15/23 (e) | 2,215 | 2,281 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (e) | 11,535 | 11,549 | ||
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (e) | 960 | 1,024 | ||
| 35,796 | |||
Consumer Products - 0.6% | ||||
Alphabet Holding Co., Inc. 7.75% 11/1/17 pay-in-kind (e) | 2,360 | 2,472 | ||
Prestige Brands, Inc. 8.125% 2/1/20 | 335 | 384 | ||
Reddy Ice Corp. 11.25% 3/15/15 | 6,095 | 6,438 | ||
Revlon Consumer Products Corp. 5.75% 2/15/21 (e) | 1,800 | 1,859 | ||
Spectrum Brands Escrow Corp.: | ||||
6.375% 11/15/20 (e) | 565 | 617 | ||
6.625% 11/15/22 (e) | 670 | 739 | ||
| 12,509 | |||
Containers - 2.7% | ||||
ARD Finance SA 11.125% 6/1/18 pay-in-kind (e) | 2,911 | 3,110 | ||
Ardagh Packaging Finance PLC: | ||||
7.375% 10/15/17 (e) | 846 | 933 | ||
9.125% 10/15/20 (e) | 3,369 | 3,807 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
4.875% 11/15/22 (e) | 450 | 459 | ||
7% 11/15/20 (e) | 1,175 | 1,243 | ||
9.125% 10/15/20 (e) | 1,045 | 1,178 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (e) | 875 | 971 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 615 | 635 | ||
Pretium Packaging LLC/Pretium Finance, Inc. 11.5% 4/1/16 | 3,400 | 3,672 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 10,505 | 10,951 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Containers - continued | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: - continued | ||||
6.875% 2/15/21 | $ 7,339 | $ 8,000 | ||
7.875% 8/15/19 | 8,387 | 9,393 | ||
8.25% 2/15/21 | 6,144 | 6,520 | ||
Sealed Air Corp. 6.5% 12/1/20 (e) | 1,730 | 1,933 | ||
Tekni-Plex, Inc. 9.75% 6/1/19 (e) | 1,830 | 2,013 | ||
| 54,818 | |||
Diversified Financial Services - 6.8% | ||||
CIT Group, Inc.: | ||||
4.75% 2/15/15 (e) | 7,330 | 7,715 | ||
5% 8/15/22 | 3,555 | 3,976 | ||
5.25% 3/15/18 | 4,965 | 5,486 | ||
5.375% 5/15/20 | 4,400 | 4,961 | ||
5.5% 2/15/19 (e) | 8,075 | 9,105 | ||
Citigroup, Inc. 5.9% (f)(h) | 9,045 | 9,444 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 8% 1/15/18 | 4,575 | 4,918 | ||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | 7,210 | 7,300 | ||
4.625% 4/15/21 | 6,990 | 7,095 | ||
4.875% 4/1/15 | 2,440 | 2,565 | ||
5.625% 9/20/13 | 10,655 | 10,815 | ||
5.65% 6/1/14 | 351 | 364 | ||
5.75% 5/15/16 | 6,040 | 6,570 | ||
5.875% 5/1/13 | 7,975 | 7,975 | ||
6.625% 11/15/13 | 10,401 | 10,700 | ||
7.125% 9/1/18 (e) | 10,309 | 12,268 | ||
8.25% 12/15/20 | 1,580 | 1,975 | ||
8.625% 9/15/15 | 2,342 | 2,673 | ||
8.625% 1/15/22 | 11,305 | 14,697 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (e) | 4,970 | 5,467 | ||
| 136,069 | |||
Diversified Media - 2.0% | ||||
Checkout Holding Corp. 0% 11/15/15 (e) | 8,700 | 6,786 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (e) | 1,225 | 1,302 | ||
6.5% 11/15/22 (e) | 3,315 | 3,555 | ||
7.625% 3/15/20 | 900 | 961 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Diversified Media - continued | ||||
Clear Channel Worldwide Holdings, Inc.: - continued | ||||
7.625% 3/15/20 | $ 6,300 | $ 6,788 | ||
Lamar Media Corp. 7.875% 4/15/18 | 1,810 | 1,977 | ||
Liberty Media Corp.: | ||||
8.25% 2/1/30 | 469 | 525 | ||
8.5% 7/15/29 | 529 | 598 | ||
National CineMedia LLC: | ||||
6% 4/15/22 | 4,035 | 4,378 | ||
7.875% 7/15/21 | 2,050 | 2,311 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
4.5% 10/1/20 (e) | 2,905 | 2,967 | ||
7.75% 10/15/18 | 4,395 | 4,900 | ||
11.625% 2/1/14 | 1,424 | 1,533 | ||
WMG Acquisition Corp. 6% 1/15/21 (e) | 755 | 806 | ||
| 39,387 | |||
Electric Utilities - 7.4% | ||||
Atlantic Power Corp. 9% 11/15/18 | 2,525 | 2,658 | ||
Calpine Corp. 7.875% 1/15/23 (e) | 8,352 | 9,563 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 6,332 | 7,274 | ||
10% 12/1/20 (e) | 8,903 | 10,094 | ||
11% 10/1/21 | 10,347 | 11,511 | ||
11.75% 3/1/22 (e) | 29,455 | 33,726 | ||
GenOn Energy, Inc.: | ||||
9.5% 10/15/18 | 795 | 944 | ||
9.875% 10/15/20 | 2,640 | 3,049 | ||
InterGen NV 9% 6/30/17 (e) | 13,249 | 13,415 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 10,565 | 12,520 | ||
9.125% 5/1/31 | 2,645 | 2,989 | ||
NRG Energy, Inc. 6.625% 3/15/23 (e) | 5,105 | 5,564 | ||
Puget Energy, Inc.: | ||||
5.625% 7/15/22 | 6,125 | 6,870 | ||
6% 9/1/21 | 3,305 | 3,806 | ||
6.5% 12/15/20 | 1,935 | 2,263 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 3,035 | 3,225 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 725 | 740 | ||
7.375% 7/1/21 | 2,400 | 2,856 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Electric Utilities - continued | ||||
TXU Corp.: | ||||
5.55% 11/15/14 | $ 7,757 | $ 7,049 | ||
6.5% 11/15/24 | 6,361 | 4,644 | ||
6.55% 11/15/34 | 4,295 | 3,049 | ||
| 147,809 | |||
Energy - 7.1% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 2,720 | 2,802 | ||
AmeriGas Finance LLC/AmeriGas Finance Corp.: | ||||
6.75% 5/20/20 | 1,260 | 1,392 | ||
7% 5/20/22 | 2,700 | 3,024 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 5.875% 8/1/23 (e) | 1,885 | 1,923 | ||
Chesapeake Energy Corp.: | ||||
5.375% 6/15/21 | 2,185 | 2,278 | ||
5.75% 3/15/23 | 2,170 | 2,354 | ||
Continental Resources, Inc. 4.5% 4/15/23 (e) | 2,965 | 3,135 | ||
Crestwood Midstream Partners LP/Finance Corp.: | ||||
7.75% 4/1/19 | 1,265 | 1,322 | ||
7.75% 4/1/19 (e) | 1,830 | 1,885 | ||
Denbury Resources, Inc. 4.625% 7/15/23 | 7,520 | 7,501 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (e) | 1,440 | 1,454 | ||
Edgen Murray Corp. 8.75% 11/1/20 (e) | 1,880 | 2,016 | ||
El Paso Energy Corp. 7.75% 1/15/32 | 1,399 | 1,594 | ||
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 | 1,440 | 1,627 | ||
EPE Holdings LLC/EP Energy Bond Co., Inc. 8.875% 12/15/17 pay-in-kind (e)(h) | 2,275 | 2,333 | ||
EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19 | 2,515 | 2,678 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 3,975 | 4,621 | ||
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 | 2,435 | 2,563 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 10,565 | 10,433 | ||
Forest Oil Corp.: | ||||
7.25% 6/15/19 | 2,665 | 2,698 | ||
7.5% 9/15/20 (e) | 1,585 | 1,688 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 (e) | 935 | 986 | ||
Gulfmark Offshore, Inc. 6.375% 3/15/22 | 560 | 584 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Energy - continued | ||||
Halcon Resources Corp. 8.875% 5/15/21 (e) | $ 1,680 | $ 1,798 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (e) | 2,147 | 2,201 | ||
Kodiak Oil & Gas Corp.: | ||||
5.5% 1/15/21 (e) | 790 | 831 | ||
8.125% 12/1/19 | 2,010 | 2,286 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (e) | 5,910 | 6,176 | ||
6.5% 5/15/19 | 2,740 | 2,891 | ||
8.625% 4/15/20 | 3,942 | 4,405 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp. 5.5% 2/15/23 | 995 | 1,092 | ||
Offshore Group Investment Ltd.: | ||||
7.125% 4/1/23 (e) | 2,445 | 2,561 | ||
7.5% 11/1/19 (e) | 11,570 | 12,553 | ||
Oil States International, Inc. 6.5% 6/1/19 | 2,140 | 2,301 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (e) | 4,455 | 4,711 | ||
Precision Drilling Corp.: | ||||
6.5% 12/15/21 | 495 | 536 | ||
6.625% 11/15/20 | 2,205 | 2,370 | ||
Pride International, Inc. 6.875% 8/15/20 | 1,839 | 2,337 | ||
QR Energy LP/QRE Finance Corp. 9.25% 8/1/20 | 1,735 | 1,856 | ||
RDS Ultra-Deepwater Ltd. 11.875% 3/15/17 (e) | 2,175 | 2,409 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 5.5% 4/15/23 | 2,440 | 2,666 | ||
Rockies Express Pipeline LLC 6% 1/15/19 (e) | 3,610 | 3,547 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 1,324 | 1,370 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 6.375% 8/1/22 | 1,150 | 1,285 | ||
Tesoro Corp.: | ||||
4.25% 10/1/17 | 1,255 | 1,321 | ||
5.375% 10/1/22 | 1,415 | 1,507 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (e) | 425 | 453 | ||
Unit Corp. 6.625% 5/15/21 | 7,190 | 7,675 | ||
Venoco, Inc. 11.5% 10/1/17 | 5,041 | 5,432 | ||
Western Refining, Inc. 6.25% 4/1/21 (e) | 905 | 932 | ||
| 142,393 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Entertainment/Film - 0.2% | ||||
Cinemark USA, Inc.: | ||||
5.125% 12/15/22 (e) | $ 570 | $ 590 | ||
7.375% 6/15/21 | 1,085 | 1,226 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 11,100 | 0 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (e) | 1,320 | 1,432 | ||
Regal Entertainment Group 5.75% 2/1/25 | 555 | 561 | ||
| 3,809 | |||
Environmental - 0.6% | ||||
Clean Harbors, Inc. 5.125% 6/1/21 (e) | 1,180 | 1,236 | ||
Covanta Holding Corp.: | ||||
6.375% 10/1/22 | 1,990 | 2,178 | ||
7.25% 12/1/20 | 2,684 | 2,982 | ||
Tervita Corp.: | ||||
8% 11/15/18 (e) | 1,680 | 1,760 | ||
9.75% 11/1/19 (e) | 4,285 | 4,210 | ||
| 12,366 | |||
Food & Drug Retail - 2.0% | ||||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (e) | 1,700 | 1,891 | ||
ESAL GmbH 6.25% 2/5/23 (e) | 1,505 | 1,496 | ||
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (e) | 12,430 | 12,632 | ||
Nutritional Sourcing Corp. 10.125% 8/1/09 (c) | 7,424 | 0 | ||
Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (e) | 975 | 1,018 | ||
Rite Aid Corp.: | ||||
6.875% 12/15/28 (e) | 900 | 873 | ||
7.5% 3/1/17 | 5,844 | 6,019 | ||
7.7% 2/15/27 | 1,975 | 2,064 | ||
9.5% 6/15/17 | 12,514 | 13,015 | ||
Tops Markets LLC 8.875% 12/15/17 (e) | 1,095 | 1,228 | ||
| 40,236 | |||
Food/Beverage/Tobacco - 0.3% | ||||
Constellation Brands, Inc.: | ||||
3.75% 5/1/21 (g) | 575 | 575 | ||
4.25% 5/1/23 (g) | 865 | 865 | ||
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. 9.875% 2/1/20 (e) | 660 | 730 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Food/Beverage/Tobacco - continued | ||||
Michael Foods Holding, Inc. 8.5% 7/15/18 pay-in-kind (e)(h) | $ 685 | $ 719 | ||
Post Holdings, Inc. 7.375% 2/15/22 | 2,370 | 2,631 | ||
| 5,520 | |||
Gaming - 1.5% | ||||
Boyd Acquisition Sub LLC/Boyd Acquisition Finance Corp. 8.375% 2/15/18 (e) | 530 | 583 | ||
Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20 | 3,125 | 3,016 | ||
Caesars Operating Escrow LLC/Caesars Escrow Corp. 9% 2/15/20 (e) | 2,865 | 2,818 | ||
Chester Downs & Marina LLC 9.25% 2/1/20 (e) | 655 | 630 | ||
Graton Economic Development Authority 9.625% 9/1/19 (e) | 1,730 | 1,964 | ||
MCE Finance Ltd. 5% 2/15/21 (e) | 2,100 | 2,121 | ||
MGM Mirage, Inc.: | ||||
6.625% 12/15/21 | 1,795 | 1,943 | ||
6.875% 4/1/16 | 820 | 900 | ||
8.625% 2/1/19 | 5,000 | 5,913 | ||
Pinnacle Entertainment, Inc. 7.75% 4/1/22 | 700 | 767 | ||
Studio City Finance Ltd. 8.5% 12/1/20 (e) | 8,920 | 9,990 | ||
| 30,645 | |||
Healthcare - 6.0% | ||||
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19 | 4,441 | 4,863 | ||
Community Health Systems, Inc.: | ||||
5.125% 8/15/18 | 2,075 | 2,220 | ||
7.125% 7/15/20 | 2,080 | 2,332 | ||
DaVita, Inc.: | ||||
5.75% 8/15/22 | 1,970 | 2,098 | ||
6.625% 11/1/20 | 2,109 | 2,312 | ||
Fresenius Medical Care US Finance II, Inc. 6.5% 9/15/18 (e) | 995 | 1,152 | ||
HCA Holdings, Inc.: | ||||
6.25% 2/15/21 | 2,265 | 2,492 | ||
7.75% 5/15/21 | 19,194 | 21,689 | ||
HCA, Inc.: | ||||
4.75% 5/1/23 | 4,475 | 4,665 | ||
5.875% 3/15/22 | 8,635 | 9,585 | ||
6.5% 2/15/20 | 16,395 | 18,936 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Healthcare - continued | ||||
HCA, Inc.: - continued | ||||
7.5% 2/15/22 | $ 5,095 | $ 6,089 | ||
HealthSouth Corp. 5.75% 11/1/24 | 1,275 | 1,326 | ||
IMS Health, Inc. 6% 11/1/20 (e) | 1,175 | 1,257 | ||
Legend Acquisition Sub, Inc. 10.75% 8/15/20 (e) | 4,780 | 4,111 | ||
Omega Healthcare Investors, Inc.: | ||||
5.875% 3/15/24 | 4,945 | 5,365 | ||
6.75% 10/15/22 | 2,631 | 2,927 | ||
Rural/Metro Corp. 10.125% 7/15/19 (e) | 1,515 | 1,545 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 2,340 | 2,551 | ||
Teleflex, Inc. 6.875% 6/1/19 | 2,515 | 2,729 | ||
Tenet Healthcare Corp.: | ||||
4.5% 4/1/21 (e) | 1,670 | 1,703 | ||
4.75% 6/1/20 (e) | 1,665 | 1,723 | ||
6.75% 2/1/20 | 1,800 | 1,953 | ||
8.875% 7/1/19 | 4,434 | 4,977 | ||
Valeant Pharmaceuticals International 7.25% 7/15/22 (e) | 315 | 357 | ||
VPI Escrow Corp. 6.375% 10/15/20 (e) | 2,380 | 2,636 | ||
VWR Funding, Inc. 7.25% 9/15/17 (e) | 4,375 | 4,659 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (e) | 1,770 | 1,828 | ||
| 120,080 | |||
Homebuilders/Real Estate - 1.0% | ||||
Beazer Homes USA, Inc. 7.25% 2/1/23 (e) | 1,260 | 1,320 | ||
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (e) | 1,000 | 1,075 | ||
CB Richard Ellis Services, Inc.: | ||||
5% 3/15/23 | 3,070 | 3,143 | ||
6.625% 10/15/20 | 1,214 | 1,326 | ||
K. Hovnanian Enterprises, Inc.: | ||||
7.25% 10/15/20 (e) | 5,420 | 6,057 | ||
9.125% 11/15/20 (e) | 2,710 | 3,062 | ||
Realogy Corp. 9% 1/15/20 (e) | 1,775 | 2,103 | ||
William Lyon Homes, Inc. 8.5% 11/15/20 (e) | 1,185 | 1,327 | ||
| 19,413 | |||
Hotels - 0.0% | ||||
Choice Hotels International, Inc. 5.75% 7/1/22 | 615 | 689 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Insurance - 0.1% | ||||
A-S Co.-Issuer Subsidiary, Inc./A-S Merger Sub LLC 7.875% 12/15/20 (e) | $ 935 | $ 988 | ||
Leisure - 0.1% | ||||
Royal Caribbean Cruises Ltd. 5.25% 11/15/22 | 1,000 | 1,035 | ||
Spencer Spirit Holdings, Inc. 9% 5/1/18 pay-in-kind (e)(h) | 895 | 902 | ||
| 1,937 | |||
Metals/Mining - 1.0% | ||||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 2,610 | 2,440 | ||
6.25% 6/1/21 | 2,510 | 2,303 | ||
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (e) | 415 | 431 | ||
Calcipar SA 6.875% 5/1/18 (e) | 1,070 | 1,144 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6% 4/1/17 (e) | 2,730 | 2,839 | ||
7% 11/1/15 (e) | 2,885 | 3,022 | ||
Inmet Mining Corp. 7.5% 6/1/21 (e) | 1,170 | 1,223 | ||
New Gold, Inc.: | ||||
6.25% 11/15/22 (e) | 995 | 1,025 | ||
7% 4/15/20 (e) | 530 | 562 | ||
Prince Mineral Holding Corp. 11.5% 12/15/19 (e) | 655 | 730 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (e) | 1,857 | 1,978 | ||
8.25% 1/15/21 (e) | 1,210 | 1,313 | ||
| 19,010 | |||
Paper - 0.7% | ||||
Clearwater Paper Corp. 4.5% 2/1/23 (e) | 2,045 | 2,035 | ||
Sappi Papier Holding GmbH 6.625% 4/15/21 (e) | 555 | 583 | ||
Verso Paper Holdings LLC/Verso Paper, Inc.: | ||||
11.75% 1/15/19 | 7,195 | 7,681 | ||
11.75% 1/15/19 | 3,750 | 2,897 | ||
| 13,196 | |||
Publishing/Printing - 0.2% | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (e) | 1,960 | 2,034 | ||
Sheridan Group, Inc. 12.5% 4/15/14 | 2,646 | 2,619 | ||
| 4,653 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Restaurants - 0.4% | ||||
Landry's Acquisition Co. 9.375% 5/1/20 (e) | $ 3,250 | $ 3,510 | ||
Landry's Holdings II, Inc. 10.25% 1/1/18 (e) | 3,955 | 4,153 | ||
| 7,663 | |||
Services - 1.5% | ||||
Air Lease Corp. 4.75% 3/1/20 | 1,145 | 1,188 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 (e) | 5,445 | 5,486 | ||
8.75% 12/1/20 (e) | 3,630 | 3,830 | ||
ARAMARK Corp. 5.75% 3/15/20 (e) | 2,195 | 2,299 | ||
FTI Consulting, Inc. 6% 11/15/22 (e) | 2,450 | 2,615 | ||
Hertz Corp.: | ||||
5.875% 10/15/20 | 1,845 | 2,020 | ||
6.25% 10/15/22 | 1,315 | 1,471 | ||
Laureate Education, Inc. 9.25% 9/1/19 (e) | 6,520 | 7,384 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (e) | 600 | 618 | ||
TransUnion Holding Co., Inc.: | ||||
8.125% 6/15/18 pay-in-kind (e) | 1,885 | 2,026 | ||
9.625% 6/15/18 pay-in-kind | 1,255 | 1,377 | ||
| 30,314 | |||
Shipping - 0.7% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 1,409 | 1,407 | ||
Navios Maritime Holdings, Inc.: | ||||
8.125% 2/15/19 | 2,489 | 2,358 | ||
8.875% 11/1/17 | 1,903 | 2,003 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 | 750 | 816 | ||
NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (e) | 1,495 | 1,682 | ||
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (e) | 1,475 | 1,623 | ||
Western Express, Inc. 12.5% 4/15/15 (e) | 6,070 | 4,431 | ||
| 14,320 | |||
Steel - 0.9% | ||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: | ||||
9% 10/15/17 (e) | 5,550 | 6,077 | ||
11.25% 10/15/18 (e) | 1,855 | 2,003 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 9,725 | 10,454 | ||
| 18,534 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Super Retail - 0.7% | ||||
Asbury Automotive Group, Inc.: | ||||
7.625% 3/15/17 | $ 710 | $ 730 | ||
8.375% 11/15/20 | 788 | 885 | ||
Claire's Stores, Inc. 9% 3/15/19 (e) | 5,945 | 6,814 | ||
CST Brands, Inc. 5% 5/1/23 (e) | 525 | 539 | ||
Jo-Ann Stores, Inc. 9.75% 10/15/19 pay-in-kind (e)(h) | 1,940 | 2,093 | ||
Sonic Automotive, Inc.: | ||||
7% 7/15/22 | 1,390 | 1,552 | ||
9% 3/15/18 | 1,274 | 1,398 | ||
| 14,011 | |||
Technology - 4.2% | ||||
Avaya, Inc.: | ||||
7% 4/1/19 (e) | 3,352 | 3,226 | ||
10.5% 3/1/21 (e) | 5,790 | 5,334 | ||
Ceridian Corp.: | ||||
8.875% 7/15/19 (e) | 1,755 | 2,045 | ||
11% 3/15/21 (e) | 930 | 1,051 | ||
First Data Corp.: | ||||
6.75% 11/1/20 (e) | 5,350 | 5,751 | ||
11.25% 1/15/21 (e) | 4,820 | 5,013 | ||
Freescale Semiconductor, Inc. 10.125% 3/15/18 (e) | 5,201 | 5,760 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (e) | 2,385 | 2,397 | ||
Infor US, Inc. 9.375% 4/1/19 | 1,155 | 1,317 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 12,334 | 9,621 | ||
6.5% 1/15/28 | 5,415 | 4,170 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (e) | 1,040 | 1,071 | ||
NXP BV/NXP Funding LLC: | ||||
5.75% 2/15/21 (e) | 2,600 | 2,756 | ||
5.75% 3/15/23 (e) | 1,195 | 1,246 | ||
9.75% 8/1/18 (e) | 502 | 567 | ||
Softbank Corp. 4.5% 4/15/20 (e) | 6,480 | 6,707 | ||
Spansion LLC: | ||||
7.875% 11/15/17 | 1,601 | 1,673 | ||
11.25% 1/15/16 (c)(e) | 15,415 | 0 | ||
SunGard Data Systems, Inc. 6.625% 11/1/19 (e) | 3,600 | 3,812 | ||
VeriSign, Inc. 4.625% 5/1/23 (e) | 5,520 | 5,658 | ||
Viasystems, Inc. 7.875% 5/1/19 (e) | 3,970 | 4,238 | ||
WEX, Inc. 4.75% 2/1/23 (e) | 1,005 | 1,008 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Technology - continued | ||||
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | ||||
10.25% 7/15/19 (e) | $ 5,210 | $ 5,848 | ||
13.375% 10/15/19 (e) | 2,840 | 3,302 | ||
| 83,571 | |||
Telecommunications - 8.8% | ||||
Altice Financing SA 7.875% 12/15/19 (e) | 885 | 978 | ||
Altice Finco SA 9.875% 12/15/20 (e) | 945 | 1,076 | ||
Broadview Networks Holdings, Inc. 10.5% 11/15/17 | 2,915 | 2,857 | ||
Citizens Communications Co. 7.875% 1/15/27 | 4,949 | 5,048 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 14.75% 12/1/16 (e) | 5,015 | 6,946 | ||
Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (e) | 1,440 | 1,523 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (e) | 4,580 | 4,591 | ||
7% 2/15/20 (e) | 425 | 442 | ||
8.25% 9/1/17 (e) | 1,025 | 1,076 | ||
8.25% 9/30/20 (e) | 6,645 | 7,110 | ||
10.5% 4/15/18 (e) | 1,673 | 1,853 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (e) | 695 | 705 | ||
Eileme 1 AB 14.25% 8/15/20 pay-in-kind (e) | 3,509 | 3,871 | ||
Eileme 2 AB 11.625% 1/31/20 (e) | 2,605 | 3,100 | ||
Frontier Communications Corp. 7.125% 1/15/23 | 3,340 | 3,457 | ||
Intelsat Jackson Holdings SA: | ||||
6.625% 12/15/22 (e) | 4,385 | 4,747 | ||
7.25% 4/1/19 | 10,665 | 11,732 | ||
7.5% 4/1/21 | 8,085 | 9,096 | ||
Intelsat Luxembourg SA: | ||||
7.75% 6/1/21 (e) | 5,560 | 5,866 | ||
8.125% 6/1/23 (e) | 6,530 | 6,954 | ||
Level 3 Communications, Inc. 8.875% 6/1/19 (e) | 695 | 766 | ||
Level 3 Financing, Inc. 7% 6/1/20 (e) | 2,365 | 2,501 | ||
MetroPCS Wireless, Inc.: | ||||
6.25% 4/1/21 (e) | 3,295 | 3,534 | ||
6.625% 4/1/23 (e) | 3,295 | 3,534 | ||
NII Capital Corp. 7.625% 4/1/21 | 3,836 | 3,395 | ||
NII International Telecom S.C.A. 11.375% 8/15/19 (e) | 1,905 | 2,200 | ||
Satelites Mexicanos SA de CV 9.5% 5/15/17 | 710 | 769 | ||
SBA Communications Corp. 5.625% 10/1/19 (e) | 3,075 | 3,236 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
Telecommunications - continued | ||||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | $ 2,300 | $ 2,352 | ||
6.9% 5/1/19 | 9,491 | 10,310 | ||
8.75% 3/15/32 | 5,730 | 6,776 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 6,729 | 7,279 | ||
6% 11/15/22 | 17,695 | 18,403 | ||
7% 8/15/20 | 9,540 | 10,446 | ||
9% 11/15/18 (e) | 10,110 | 12,435 | ||
Wind Acquisition Finance SA 7.25% 2/15/18 (e) | 2,581 | 2,723 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (e)(h) | 3,765 | 3,905 | ||
| 177,592 | |||
Textiles & Apparel - 0.2% | ||||
Albea Beauty Holdings SA 8.375% 11/1/19 (e) | 2,825 | 3,037 | ||
Burlington Holdings LLC/Burlington Holding Finance, Inc. 9% 2/15/18 pay-in-kind (e)(h) | 1,185 | 1,229 | ||
| 4,266 | |||
TOTAL NONCONVERTIBLE BONDS | 1,413,167 | |||
TOTAL CORPORATE BONDS (Cost $1,334,476) |
|
Common Stocks - 9.9% | |||
Shares |
| ||
Air Transportation - 0.2% | |||
Delta Air Lines, Inc. (a) | 200,000 | 3,428 | |
Automotive - 0.3% | |||
Delphi Automotive PLC | 123,822 | 5,722 | |
General Motors Co. (a) | 3,029 | 93 | |
Motors Liquidation Co. GUC Trust (a) | 39,254 | 1,199 | |
| 7,014 | ||
Banks & Thrifts - 0.3% | |||
Capital Bank Financial Corp. Series A | 300,000 | 5,361 | |
Washington Mutual, Inc. (a) | 505,500 | 0 | |
WMI Holdings Corp. (a) | 17,318 | 10 | |
| 5,371 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
Broadcasting - 0.2% | |||
Gray Television, Inc. (a) | 494,070 | $ 3,137 | |
Building Materials - 0.2% | |||
Gibraltar Industries, Inc. (a) | 218,217 | 4,081 | |
Chemicals - 0.4% | |||
LyondellBasell Industries NV Class A | 145,195 | 8,813 | |
Consumer Products - 0.3% | |||
Whirlpool Corp. | 50,000 | 5,714 | |
Containers - 0.1% | |||
Graphic Packaging Holding Co. (a) | 267,874 | 2,014 | |
Diversified Financial Services - 0.4% | |||
2010 Swift Mandatory Common Exchange Security Trust (e) | 27,700 | 343 | |
Citigroup, Inc. | 16,564 | 773 | |
The Blackstone Group LP | 350,000 | 7,193 | |
| 8,309 | ||
Electric Utilities - 0.3% | |||
The AES Corp. | 502,509 | 6,965 | |
Energy - 1.1% | |||
Access Midstream Partners LP | 143,600 | 5,926 | |
Edgen Group, Inc. Class A | 329,254 | 2,255 | |
Ocean Rig UDW, Inc. (United States) (a) | 350,000 | 5,733 | |
The Williams Companies, Inc. | 90,000 | 3,432 | |
Vantage Drilling Co. (a) | 3,000,000 | 5,070 | |
| 22,416 | ||
Gaming - 0.7% | |||
Las Vegas Sands Corp. | 100,000 | 5,625 | |
PB Investor I LLC | 11,653 | 17 | |
Penn National Gaming, Inc. (a) | 100,000 | 5,855 | |
Station Holdco LLC (a)(i)(j) | 1,531,479 | 2,236 | |
Station Holdco LLC: | |||
unit (i)(j) | 3,411 | 0* | |
warrants 6/15/18 (a)(i)(j) | 96,849 | 6 | |
| 13,739 | ||
Healthcare - 1.7% | |||
Express Scripts Holding Co. (a) | 290,000 | 17,217 | |
Tenet Healthcare Corp. (a) | 213,675 | 9,692 | |
Universal Health Services, Inc. Class B | 120,000 | 7,991 | |
| 34,900 | ||
Homebuilders/Real Estate - 0.0% | |||
Realogy Holdings Corp. | 10,400 | 499 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
Hotels - 0.3% | |||
Hyatt Hotels Corp. Class A (a) | 145,000 | $ 6,189 | |
Insurance - 0.3% | |||
H&R Block, Inc. | 200,000 | 5,548 | |
Leisure - 0.3% | |||
Town Sports International Holdings, Inc. | 584,202 | 5,883 | |
Publishing/Printing - 0.0% | |||
HMH Holdings, Inc. warrants 6/22/19 (a)(j) | 4,323 | 32 | |
Restaurants - 0.3% | |||
Dunkin' Brands Group, Inc. | 171,900 | 6,671 | |
Shipping - 0.0% | |||
Ultrapetrol (Bahamas) Ltd. (a) | 7,916 | 18 | |
Super Retail - 0.3% | |||
Dollar General Corp. (a) | 100,000 | 5,209 | |
Technology - 1.8% | |||
Cirrus Logic, Inc. (a) | 203,000 | 3,920 | |
Facebook, Inc. Class A | 96,094 | 2,668 | |
Flextronics International Ltd. (a) | 597,300 | 4,271 | |
Freescale Semiconductor Holdings I Ltd. (a) | 131,900 | 2,042 | |
NXP Semiconductors NV (a) | 136,511 | 3,761 | |
Oracle Corp. | 225,000 | 7,376 | |
Skyworks Solutions, Inc. (a) | 200,000 | 4,414 | |
Spansion, Inc. Class A | 80,804 | 1,050 | |
Xerox Corp. | 710,000 | 6,092 | |
| 35,594 | ||
Telecommunications - 0.1% | |||
Broadview Networks Holdings, Inc. | 189,475 | 2,558 | |
Pendrell Corp. (a) | 37,472 | 63 | |
| 2,621 | ||
Textiles & Apparel - 0.3% | |||
Arena Brands Holding Corp. Class B (a)(j) | 42,253 | 319 | |
Express, Inc. (a) | 291,300 | 5,305 | |
| 5,624 | ||
TOTAL COMMON STOCKS (Cost $185,796) |
| ||
Preferred Stocks - 4.3% | |||
|
|
|
|
Convertible Preferred Stocks - 1.3% | |||
Automotive - 0.4% | |||
General Motors Co. 4.75% | 191,400 | 8,896 | |
Preferred Stocks - continued | |||
Shares | Value (000s) | ||
Convertible Preferred Stocks - continued | |||
Electric Utilities - 0.4% | |||
PPL Corp.: | |||
8.75% | 96,400 | $ 5,550 | |
9.50% | 44,400 | 2,595 | |
| 8,145 | ||
Energy - 0.3% | |||
Apache Corp. 6.00% | 21,900 | 927 | |
Chesapeake Energy Corp. Series A, 5.75% (e) | 5,700 | 5,764 | |
| 6,691 | ||
Metals/Mining - 0.2% | |||
AngloGold Ashanti Holdings Finance PLC 6.00% | 159,100 | 3,771 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 27,503 | ||
Nonconvertible Preferred Stocks - 3.0% | |||
Banks & Thrifts - 1.0% | |||
Ally Financial, Inc. 7.00% (e) | 16,214 | 16,052 | |
Goldman Sachs Group, Inc. Series J, 5.50% | 163,562 | 4,208 | |
| 20,260 | ||
Consumer Products - 1.2% | |||
Revlon, Inc. Series A 12.75% | 4,464,520 | 24,198 | |
Diversified Financial Services - 0.8% | |||
GMAC Capital Trust I Series 2, 8.125% | 557,547 | 15,271 | |
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 59,729 | ||
TOTAL PREFERRED STOCKS (Cost $138,088) |
|
Floating Rate Loans - 11.4% | ||||
| Principal |
| ||
Air Transportation - 0.3% | ||||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (h) | $ 6,657 | 6,648 | ||
Automotive - 0.0% | ||||
Tower Automotive Holdings USA LLC Tranche B, term loan 5.75% 4/23/20 (h) | 530 | 539 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Broadcasting - 0.1% | ||||
Media Holdco, LP Tranche B, term loan 7.25% 7/23/18 (h) | $ 993 | $ 1,005 | ||
NEP/NCP Holdco, Inc. Tranche 2LN, term loan 9.5% 7/22/20 (h) | 60 | 62 | ||
| 1,067 | |||
Capital Goods - 0.6% | ||||
Remy International, Inc. Tranche B, term loan 4.25% 3/5/20 (h) | 10,973 | 11,069 | ||
Consumer Products - 0.1% | ||||
Reddy Ice Corp. Tranche 1LN, term loan 6.75% 4/28/19 (h) | 2,705 | 2,725 | ||
Diversified Financial Services - 0.4% | ||||
AlixPartners LLP Tranche 2LN, term loan 10.75% 12/29/19 (h) | 8,085 | 8,328 | ||
Fly Funding II Sarl Tranche B, term loan 5.75% 8/9/18 (h) | 317 | 321 | ||
| 8,649 | |||
Diversified Media - 0.0% | ||||
WMG Acquisition Corp. Tranche B, term loan 5.25% 11/1/18 (h) | 202 | 204 | ||
Electric Utilities - 1.0% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7313% 10/10/17 (h) | 27,469 | 20,156 | ||
Energy - 0.8% | ||||
Alon USA Partners LP term loan 9.25% 11/13/18 (h) | 1,294 | 1,339 | ||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (h) | 7,635 | 7,902 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.5% 6/28/19 (h) | 1,571 | 1,590 | ||
MRC Global, Inc. Tranche B, term loan 6.25% 11/9/19 (h) | 3,577 | 3,626 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (h) | 845 | 860 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (h) | 400 | 407 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (h) | 535 | 541 | ||
| 16,265 | |||
Entertainment/Film - 0.0% | ||||
Livent, Inc. Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 337 | 334 | |
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Food & Drug Retail - 0.1% | ||||
Rite Aid Corp.: | ||||
Tranche 1LN, term loan 4% 2/21/20 (h) | $ 1,320 | $ 1,337 | ||
Tranche 2LN, term loan 5.75% 8/21/20 (h) | 200 | 208 | ||
Sprouts Farmers Market LLC Tranche B, term loan 4.5% 4/12/20 (h) | 720 | 724 | ||
| 2,269 | |||
Gaming - 1.0% | ||||
Centaur Acquisition LLC: | ||||
Tranche 1LN, term loan 5.25% 2/20/19 (h) | 620 | 625 | ||
Tranche 2LN, term loan 8.75% 2/20/20 (h) | 615 | 627 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (h) | 980 | 1,024 | ||
Harrah's Entertainment, Inc.: | ||||
Tranche B 4LN, term loan 9.5% 10/31/16 (h) | 3,407 | 3,449 | ||
Tranche B 6LN, term loan 5.4502% 1/28/18 (h) | 7,964 | 7,227 | ||
MGM Mirage, Inc. Tranche B, term loan 4.25% 12/20/19 (h) | 1,032 | 1,048 | ||
Station Casinos LLC Tranche B, term loan 5% 2/19/20 (h) | 5,325 | 5,392 | ||
| 19,392 | |||
Healthcare - 0.8% | ||||
American Renal Holdings, Inc.: | ||||
Tranche 2LN, term loan 8.5% 2/8/20 (h) | 3,690 | 3,745 | ||
Tranche B 1LN, term loan 4.5% 8/8/19 (h) | 3,355 | 3,363 | ||
Apria Healthcare Group, Inc. Tranche B, term loan 6.75% 4/5/20 (h) | 1,350 | 1,353 | ||
Genesis HealthCare Corp. Tranche B, term loan 10.0024% 12/4/17 (h) | 3,679 | 3,661 | ||
MModal, Inc. Tranche B, term loan 6.75% 8/17/19 (h) | 1,830 | 1,794 | ||
VWR Funding, Inc. Tranche B, term loan 4.2037% 4/3/17 (h) | 1,875 | 1,899 | ||
| 15,815 | |||
Homebuilders/Real Estate - 0.4% | ||||
Realogy Corp. Credit-Linked Deposit 4.4537% 10/10/16 (h) | 1,317 | 1,314 | ||
Realogy Group LLC Tranche B, term loan 4.5% 3/1/20 (h) | 6,455 | 6,520 | ||
| 7,834 | |||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Insurance - 0.8% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (h) | $ 10,967 | $ 11,105 | ||
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (h) | 4,225 | 4,542 | ||
| 15,647 | |||
Leisure - 0.4% | ||||
Equinox Holdings, Inc. Tranche 2LN, term loan 9.75% 5/16/20 (h) | 7,425 | 7,611 | ||
Metals/Mining - 0.0% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (h) | 314 | 318 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (h) | 190 | 194 | ||
| 512 | |||
Paper - 0.1% | ||||
Caraustar Industries, Inc. Tranche B, term loan 7.5% 4/26/19 (h) | 2,525 | 2,538 | ||
White Birch Paper Co. Tranche 2LN, term loan 11/8/14 (c) | 8,620 | 86 | ||
| 2,624 | |||
Publishing/Printing - 0.4% | ||||
Houghton Mifflin Harcourt Publishing Co. term loan 7.25% 5/22/18 (h) | 272 | 275 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (h) | 7,110 | 7,003 | ||
| 7,278 | |||
Restaurants - 0.5% | ||||
Landry's Restaurants, Inc. Tranche B, term loan 4.75% 4/24/18 (h) | 9,606 | 9,738 | ||
Services - 0.1% | ||||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 4% 1/30/20 (h) | 364 | 368 | ||
Laureate Education, Inc. Tranche B, term loan 5.25% 6/16/18 (h) | 369 | 371 | ||
SourceHOV LLC: | ||||
Tranche 2LN, term loan 8.75% 4/30/19 (h) | 240 | 244 | ||
Tranche B 1LN, term loan 5.25% 4/30/18 (h) | 325 | 328 | ||
| 1,311 | |||
Technology - 1.3% | ||||
First Data Corp. term loan 4.1992% 3/24/18 (h) | 20,530 | 20,479 | ||
Floating Rate Loans - continued | ||||
| Principal | Value (000s) | ||
Technology - continued | ||||
Kronos, Inc. Tranche 2LN, term loan 9.75% 4/24/20 (h) | $ 3,275 | $ 3,447 | ||
NXP BV Tranche A 1LN, term loan 4.5% 3/4/17 (h) | 2,795 | 2,858 | ||
| 26,784 | |||
Telecommunications - 2.2% | ||||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (h) | 1,425 | 1,400 | ||
Integra Telecom Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 2/14/20 (h) | 200 | 205 | ||
Tranche B 1LN, term loan 6% 2/14/19 (h) | 1,355 | 1,384 | ||
Level 3 Financing, Inc. Tranche B 2LN, term loan 4.75% 8/1/19 (h) | 4,590 | 4,636 | ||
LTS Buyer LLC Tranche 2LN, term loan 8% 4/11/21 (h) | 100 | 102 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (h) | 4,439 | 4,517 | ||
Vodafone Americas Finance 2, Inc.: | ||||
term loan 6.875% 8/11/15 | 11,702 | 11,936 | ||
Tranche 2LN, term loan 6.25% 6/24/16 pay-in-kind | 18,789 | 19,306 | ||
| 43,486 | |||
TOTAL FLOATING RATE LOANS (Cost $233,023) |
|
Preferred Securities - 1.2% | |||
|
|
|
|
Banks & Thrifts - 0.3% | |||
JPMorgan Chase & Co. 5.15% (f)(h) | 6,350 | 6,460 | |
Diversified Financial Services - 0.9% | |||
Citigroup, Inc.: | |||
5.35% (f)(h) | 12,545 | 12,581 | |
5.95% (f)(h) | 4,815 | 5,188 | |
| 17,769 | ||
TOTAL PREFERRED SECURITIES (Cost $23,710) |
| ||
Money Market Funds - 2.1% | |||
Shares | Value (000s) | ||
Fidelity Cash Central Fund, 0.13% (b) | 41,911,457 | $ 41,911 | |
TOTAL INVESTMENT PORTFOLIO - 99.9% (Cost $1,957,004) | 2,006,670 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 2,612 | ||
NET ASSETS - 100% | $ 2,009,282 |
Currency Abbreviations | ||
CAD | - | Canadian dollar |
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) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $624,295,000 or 31.1% of net assets. |
(f) Security is perpetual in nature with no stated maturity date. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(i) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(j) 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 $2,594,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Arena Brands Holding Corp. Class B | 6/18/97 - 7/13/98 | $ 1,538 |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 8 |
Station Holdco LLC | 6/17/11 | $ 1,450 |
Station Holdco LLC unit | 4/1/13 | $ 0* |
Station Holdco LLC warrants 6/15/18 | 10/28/08 - 12/1/08 | $ 3,945 |
* 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 | $ 69 |
Fidelity Securities Lending Cash Central Fund | 17 |
Total | $ 86 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 tables 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 | $ 73,656 | $ 71,046 | $ - | $ 2,610 |
Consumer Staples | 24,198 | 24,198 | - | - |
Energy | 26,852 | 21,088 | 5,764 | - |
Financials | 49,710 | 29,107 | 20,603 | - |
Health Care | 34,900 | 34,900 | - | - |
Industrials | 9,845 | 9,845 | - | - |
Information Technology | 35,594 | 35,594 | - | - |
Materials | 14,598 | 14,598 | - | - |
Telecommunication Services | 2,558 | - | - | 2,558 |
Utilities | 15,110 | 9,560 | 5,550 | - |
Corporate Bonds | 1,425,552 | - | 1,425,551 | 1 |
Floating Rate Loans | 227,957 | - | 195,376 | 32,581 |
Preferred Securities | 24,229 | - | 24,229 | - |
Money Market Funds | 41,911 | 41,911 | - | - |
Total Investments in Securities: | $ 2,006,670 | $ 291,847 | $ 1,677,073 | $ 37,750 |
Valuation Inputs at Reporting Date: |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
(Amounts in thousands) |
|
Investments in Securities: | |
Equities - Consumer Staples | |
Beginning Balance | $ 24,287 |
Total Realized Gain (Loss) | - |
Total Unrealized Gain (Loss) | - |
Cost of Purchases | - |
Proceeds of Sales | - |
Amortization/Accretion | - |
Transfers in to Level 3 | - |
Transfers out of Level 3 | (24,287) |
Ending Balance | $ - |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at April 30, 2013 | $ - |
Floating Rate Loans | |
Beginning Balance | $ 337 |
Total Realized Gain (Loss) | - |
Total Unrealized Gain (Loss) | 371 |
Cost of Purchases | 980 |
Proceeds of Sales | (2) |
Amortization/Accretion | 33 |
Transfers in to Level 3 | 30,862 |
Transfers out of Level 3 | - |
Ending Balance | $ 32,581 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at April 30, 2013 | $ 371 |
Other Investments in Securities | |
Beginning Balance | $ 3,582 |
Total Realized Gain (Loss) | (53) |
Total Unrealized Gain (Loss) | (957) |
Cost of Purchases | 3,206 |
Proceeds of Sales | (609) |
Amortization/Accretion | - |
Transfers in to Level 3 | - |
Transfers out of Level 3 | - |
Ending Balance | $ 5,169 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at April 30, 2013 | $ (1,010) |
The information used in the above reconciliations represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers into Level 3 were attributable to a lack of observable market data resulting from decreases in market activity, decreases in liquidity, security restructurings or corporate actions. Transfers out of Level 3 were attributable to observable market data becoming available for those securities. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliations are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 86.9% |
Luxembourg | 3.7% |
Netherlands | 1.7% |
Cayman Islands | 1.4% |
Canada | 1.1% |
Others (Individually Less Than 1%) | 5.2% |
| 100.0% |
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) | April 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $1,915,093) | $ 1,964,759 |
|
Fidelity Central Funds (cost $41,911) | 41,911 |
|
Total Investments (cost $1,957,004) |
| $ 2,006,670 |
Cash |
| 40 |
Receivable for investments sold | 7,158 | |
Receivable for fund shares sold | 1,540 | |
Dividends receivable | 613 | |
Interest receivable | 28,349 | |
Distributions receivable from Fidelity Central Funds | 6 | |
Prepaid expenses | 2 | |
Other receivables | 66 | |
Total assets | 2,044,444 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 18,841 | |
Delayed delivery | 8,330 | |
Payable for fund shares redeemed | 4,758 | |
Distributions payable | 1,443 | |
Accrued management fee | 935 | |
Distribution and service plan fees payable | 445 | |
Other affiliated payables | 314 | |
Other payables and accrued expenses | 96 | |
Total liabilities | 35,162 | |
|
|
|
Net Assets | $ 2,009,282 | |
Net Assets consist of: |
| |
Paid in capital | $ 2,423,484 | |
Undistributed net investment income | 46,805 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (510,677) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 49,670 | |
Net Assets | $ 2,009,282 |
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) | April 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 10.74 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.74) | $ 11.19 | |
Class T: | $ 10.79 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.79) | $ 11.24 | |
Class B: | $ 10.66 | |
|
|
|
Class C: | $ 10.72 | |
|
|
|
Institutional Class: | $ 10.12 |
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 April 30, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 7,066 |
Interest |
| 59,101 |
Income from Fidelity Central Funds |
| 86 |
Total income |
| 66,253 |
|
|
|
Expenses | ||
Management fee | $ 5,542 | |
Transfer agent fees | 1,544 | |
Distribution and service plan fees | 2,636 | |
Accounting and security lending fees | 324 | |
Custodian fees and expenses | 20 | |
Independent trustees' compensation | 6 | |
Registration fees | 59 | |
Audit | 40 | |
Legal | 14 | |
Miscellaneous | 8 | |
Total expenses before reductions | 10,193 | |
Expense reductions | (32) | 10,161 |
Net investment income (loss) | 56,092 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 30,012 | |
Foreign currency transactions | (95) | |
Total net realized gain (loss) |
| 29,917 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 80,827 | |
Assets and liabilities in foreign currencies | 4 | |
Total change in net unrealized appreciation (depreciation) |
| 80,831 |
Net gain (loss) | 110,748 | |
Net increase (decrease) in net assets resulting from operations | $ 166,840 |
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 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 56,092 | $ 118,248 |
Net realized gain (loss) | 29,917 | 8,355 |
Change in net unrealized appreciation (depreciation) | 80,831 | 118,310 |
Net increase (decrease) in net assets resulting | 166,840 | 244,913 |
Distributions to shareholders from net investment income | (45,701) | (127,820) |
Distributions to shareholders from net realized gain | (24,025) | - |
Total distributions | (69,726) | (127,820) |
Share transactions - net increase (decrease) | (42,653) | (65,223) |
Redemption fees | 124 | 323 |
Total increase (decrease) in net assets | 54,585 | 52,193 |
|
|
|
Net Assets | ||
Beginning of period | 1,954,697 | 1,902,504 |
End of period (including undistributed net investment income of $46,805 and undistributed net investment income of $36,414, respectively) | $ 2,009,282 | $ 1,954,697 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.21 | $ 9.59 | $ 9.87 | $ 8.60 | $ 6.44 | $ 10.70 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .299 | .607 | .593 | .650 | .587 | .712 |
Net realized and unrealized gain (loss) | .597 | .658 | (.238) | 1.185 | 2.033 | (4.326) |
Total from investment operations | .896 | 1.265 | .355 | 1.835 | 2.620 | (3.614) |
Distributions from net investment income | (.240) | (.647) | (.639) | (.550) | (.465) | (.650) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.367) | (.647) | (.639) | (.570) | (.465) | (.650) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.74 | $ 10.21 | $ 9.59 | $ 9.87 | $ 8.60 | $ 6.44 |
Total Return B, C, D | 8.96% | 13.78% | 3.57% | 22.06% | 43.51% | (35.41)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.03% | 1.03% | 1.03% | 1.07% | 1.07% |
Expenses net of fee waivers, if any | 1.03% A | 1.03% | 1.03% | 1.03% | 1.07% | 1.07% |
Expenses net of all reductions | 1.03% A | 1.03% | 1.03% | 1.03% | 1.07% | 1.07% |
Net investment income (loss) | 5.77% A | 6.18% | 5.93% | 7.03% | 8.68% | 7.64% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 756 | $ 705 | $ 659 | $ 722 | $ 703 | $ 519 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.26 | $ 9.64 | $ 9.92 | $ 8.64 | $ 6.47 | $ 10.74 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .301 | .610 | .597 | .653 | .586 | .722 |
Net realized and unrealized gain (loss) | .595 | .656 | (.241) | 1.193 | 2.046 | (4.344) |
Total from investment operations | .896 | 1.266 | .356 | 1.846 | 2.632 | (3.622) |
Distributions from net investment income | (.240) | (.648) | (.640) | (.551) | (.467) | (.652) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.367) | (.648) | (.640) | (.571) | (.467) | (.652) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.79 | $ 10.26 | $ 9.64 | $ 9.92 | $ 8.64 | $ 6.47 |
Total Return B, C, D | 8.92% | 13.72% | 3.56% | 22.09% | 43.50% | (35.36)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.02% A | 1.02% | 1.02% | 1.02% | 1.05% | 1.04% |
Expenses net of fee waivers, if any | 1.02% A | 1.02% | 1.02% | 1.02% | 1.05% | 1.04% |
Expenses net of all reductions | 1.02% A | 1.02% | 1.02% | 1.02% | 1.05% | 1.04% |
Net investment income (loss) | 5.79% A | 6.19% | 5.94% | 7.04% | 8.70% | 7.67% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 555 | $ 547 | $ 543 | $ 645 | $ 678 | $ 542 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.15 | $ 9.53 | $ 9.82 | $ 8.56 | $ 6.41 | $ 10.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .259 | .532 | .519 | .581 | .532 | .652 |
Net realized and unrealized gain (loss) | .579 | .663 | (.245) | 1.180 | 2.033 | (4.309) |
Total from investment operations | .838 | 1.195 | .274 | 1.761 | 2.565 | (3.657) |
Distributions from net investment income | (.202) | (.577) | (.568) | (.486) | (.420) | (.587) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.329) | (.577) | (.568) | (.506) | (.420) | (.587) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.66 | $ 10.15 | $ 9.53 | $ 9.82 | $ 8.56 | $ 6.41 |
Total Return B, C, D | 8.42% | 13.06% | 2.75% | 21.20% | 42.62% | (35.83)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.77% A | 1.75% | 1.75% | 1.74% | 1.76% | 1.77% |
Expenses net of fee waivers, if any | 1.77% A | 1.75% | 1.75% | 1.74% | 1.75% | 1.75% |
Expenses net of all reductions | 1.76% A | 1.75% | 1.74% | 1.74% | 1.75% | 1.75% |
Net investment income (loss) | 5.04% A | 5.46% | 5.21% | 6.32% | 8.00% | 6.96% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 24 | $ 28 | $ 38 | $ 52 | $ 65 | $ 59 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 10.19 | $ 9.58 | $ 9.86 | $ 8.59 | $ 6.44 | $ 10.69 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .259 | .533 | .518 | .581 | .536 | .645 |
Net realized and unrealized gain (loss) | .598 | .649 | (.237) | 1.186 | 2.025 | (4.318) |
Total from investment operations | .857 | 1.182 | .281 | 1.767 | 2.561 | (3.673) |
Distributions from net investment income | (.201) | (.574) | (.565) | (.482) | (.416) | (.581) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.328) | (.574) | (.565) | (.502) | (.416) | (.581) |
Redemption fees added to paid in capital E | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.72 | $ 10.19 | $ 9.58 | $ 9.86 | $ 8.59 | $ 6.44 |
Total Return B, C, D | 8.57% | 12.85% | 2.81% | 21.20% | 42.32% | (35.83)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.79% A | 1.78% | 1.77% | 1.77% | 1.81% | 1.81% |
Expenses net of fee waivers, if any | 1.79% A | 1.78% | 1.77% | 1.77% | 1.81% | 1.81% |
Expenses net of all reductions | 1.78% A | 1.77% | 1.77% | 1.77% | 1.81% | 1.81% |
Net investment income (loss) | 5.02% A | 5.44% | 5.19% | 6.29% | 7.94% | 6.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 191 | $ 180 | $ 164 | $ 186 | $ 185 | $ 131 |
Portfolio turnover rate G | 65% A | 66% | 68% | 53% | 49% | 45% |
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.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 9.65 | $ 9.10 | $ 9.40 | $ 8.22 | $ 6.18 | $ 10.29 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .295 | .598 | .595 | .642 | .570 | .701 |
Net realized and unrealized gain (loss) | .555 | .623 | (.233) | 1.128 | 1.949 | (4.140) |
Total from investment operations | .850 | 1.221 | .362 | 1.770 | 2.519 | (3.439) |
Distributions from net investment income | (.254) | (.673) | (.666) | (.575) | (.484) | (.675) |
Distributions from net realized gain | (.127) | - | - | (.020) | - | - |
Total distributions | (.381) | (.673) | (.666) | (.595) | (.484) | (.675) |
Redemption fees added to paid in capital D | .001 | .002 | .004 | .005 | .005 | .004 |
Net asset value, end of period | $ 10.12 | $ 9.65 | $ 9.10 | $ 9.40 | $ 8.22 | $ 6.18 |
Total Return B, C | 9.01% | 14.07% | 3.83% | 22.33% | 43.81% | (35.17)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .77% A | .78% | .77% | .78% | .81% | .80% |
Expenses net of fee waivers, if any | .77% A | .78% | .77% | .78% | .81% | .80% |
Expenses net of all reductions | .77% A | .78% | .77% | .78% | .81% | .80% |
Net investment income (loss) | 6.04% A | 6.44% | 6.19% | 7.28% | 8.94% | 7.91% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 484 | $ 495 | $ 498 | $ 1,336 | $ 1,245 | $ 1,190 |
Portfolio turnover rate F | 65% A | 66% | 68% | 53% | 49% | 45% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® High Income Advantage 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, and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. Independent prices obtained from a single source or broker are evaluated by management and may be categorized as Level 3 in the hierarchy. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including 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 April 30, 2013, as well as a roll forward of Level 3 investments, 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. 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 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. 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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to foreign currency transactions, partnerships, defaulted bonds, market discount, equity-debt classifications, 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 | $ 181,990 |
Gross unrealized depreciation | (119,431) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 62,559 |
|
|
Tax cost | $ 1,944,111 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2016 | $ (4,443) |
2017 | (511,701) |
Total capital loss carryforward | $ (516,144) |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
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. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $617,018 and $609,290, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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 FMR, 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% | $ 913 | $ 15 |
Class T | -% | .25% | 685 | 6 |
Class B | .65% | .25% | 117 | 84 |
Class C | .75% | .25% | 921 | 111 |
|
|
| $ 2,636 | $ 216 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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.
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 23 |
Class T | 6 |
Class B* | 15 |
Class C* | 6 |
| $ 50 |
* 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 FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 592 | .16 |
Class T | 412 | .15 |
Class B | 31 | .24 |
Class C | 146 | .16 |
Institutional Class | 363 | .15 |
| $ 1,544 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. 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 $1 for the period.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $3 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Security Lending.
The Fund lends portfolio securities through a lending agent 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in the Fidelity Securities Lending Cash Central Fund. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers and any lending agent fees associated with the loan, 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 amounted to $17. During the period, there were no securities loaned to FCM.
8. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $31 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1.
Semiannual Report
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 16,794 | $ 43,912 |
Class T | 12,570 | 35,499 |
Class B | 507 | 2,022 |
Class C | 3,563 | 9,907 |
Institutional Class | 12,267 | 36,480 |
Total | $ 45,701 | $ 127,820 |
From net realized gain |
|
|
Class A | $ 8,703 | $ - |
Class T | 6,597 | - |
Class B | 336 | - |
Class C | 2,235 | - |
Institutional Class | 6,154 | - |
Total | $ 24,025 | $ - |
10. 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 | 9,968 | 18,603 | $ 104,076 | $ 182,841 |
Reinvestment of distributions | 1,995 | 3,559 | 20,736 | 34,515 |
Shares redeemed | (10,634) | (21,765) | (110,983) | (211,896) |
Net increase (decrease) | 1,329 | 397 | $ 13,829 | $ 5,460 |
Class T |
|
|
|
|
Shares sold | 3,851 | 7,732 | $ 40,207 | $ 75,969 |
Reinvestment of distributions | 1,599 | 3,085 | 16,701 | 30,041 |
Shares redeemed | (7,301) | (13,930) | (76,238) | (136,475) |
Net increase (decrease) | (1,851) | (3,113) | $ (19,330) | $ (30,465) |
Class B |
|
|
|
|
Shares sold | 85 | 142 | $ 893 | $ 1,376 |
Reinvestment of distributions | 62 | 150 | 635 | 1,439 |
Shares redeemed | (614) | (1,550) | (6,364) | (15,097) |
Net increase (decrease) | (467) | (1,258) | $ (4,836) | $ (12,282) |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
10. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class C |
|
|
|
|
Shares sold | 1,641 | 2,938 | $ 17,135 | $ 28,899 |
Reinvestment of distributions | 416 | 724 | 4,307 | 6,996 |
Shares redeemed | (1,891) | (3,160) | (19,688) | (30,892) |
Net increase (decrease) | 166 | 502 | $ 1,754 | $ 5,003 |
Institutional Class |
|
|
|
|
Shares sold | 6,212 | 13,530 | $ 61,132 | $ 125,150 |
Reinvestment of distributions | 1,490 | 3,034 | 14,614 | 27,883 |
Shares redeemed | (11,232) | (19,981) | (109,816) | (185,972) |
Net increase (decrease) | (3,530) | (3,417) | $ (34,070) | $ (32,939) |
11. 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 Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Japan) Inc.
Fidelity Management & Research
(Hong Kong) Limited
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
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
HYI-USAN-0613 1.784887.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
High Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2013
(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 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. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
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 | 1.03% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,062.10 | $ 5.27 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class T | 1.06% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,060.90 | $ 5.42 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.54 | $ 5.31 |
Class B | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,057.30 | $ 8.93 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | 1.80% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,057.10 | $ 9.18 |
HypotheticalA |
| $ 1,000.00 | $ 1,015.87 | $ 9.00 |
Institutional Class | .85% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.70 | $ 4.35 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.58 | $ 4.26 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
CCO Holdings LLC/CCO Holdings Capital Corp. | 3.2 | 2.0 |
International Lease Finance Corp. | 2.9 | 2.7 |
Rite Aid Corp. | 2.4 | 1.8 |
MGM Mirage, Inc. | 2.0 | 2.4 |
Standard Pacific Corp. | 2.0 | 1.7 |
| 12.5 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Energy | 11.1 | 10.0 |
Telecommunications | 9.1 | 6.5 |
Diversified Financial Services | 6.9 | 6.7 |
Electric Utilities | 6.6 | 5.9 |
Cable TV | 6.2 | 5.0 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 2.6% |
| BBB 5.2% |
| ||||
BB 34.9% |
| BB 27.2% |
| ||||
B 44.0% |
| B 47.1% |
| ||||
CCC,CC,C 10.2% |
| CCC,CC,C 10.0% |
| ||||
Not Rated 0.7% |
| Not Rated 1.2% |
| ||||
Equities 0.5% |
| Equities 0.6% |
| ||||
Short-Term |
| Short-Term |
|
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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Nonconvertible |
| Nonconvertible |
| ||||
Convertible Bonds, |
| Convertible Bonds, |
| ||||
Common Stocks 0.1% |
| Common Stocks 0.0% |
| ||||
Floating Rate |
| Floating Rate |
| ||||
Other Investments 0.1% |
| Other Investments 0.0% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 16.2% |
| ** Foreign investments | 12.1% |
|
Semiannual Report
Investments April 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 89.1% | ||||
| Principal Amount | Value | ||
Aerospace - 0.7% | ||||
American Airlines, Inc. pass-thru certificates Series 2013-1B Class B, 5.625% 1/15/21 (d) | $ 315,000 | $ 322,875 | ||
GenCorp, Inc. 7.125% 3/15/21 (d) | 580,000 | 624,950 | ||
TransDigm, Inc. 5.5% 10/15/20 (d) | 4,010,000 | 4,280,675 | ||
Triumph Group, Inc. 4.875% 4/1/21 (d) | 1,420,000 | 1,469,700 | ||
| 6,698,200 | |||
Air Transportation - 3.0% | ||||
Air Canada: | ||||
5.375% 11/15/22 (d)(f) | 335,000 | 342,119 | ||
6.625% 5/15/18 (d)(f) | 1,945,000 | 1,986,331 | ||
12% 2/1/16 (d) | 2,620,000 | 2,865,625 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 9.798% 4/1/21 | 1,269,344 | 1,440,706 | ||
6.125% 4/29/18 (d) | 345,000 | 351,900 | ||
6.25% 10/22/21 | 2,275,000 | 2,388,750 | ||
6.75% 9/15/15 (d) | 5,315,000 | 5,560,819 | ||
9.25% 5/10/17 | 1,548,101 | 1,735,809 | ||
Delta Air Lines, Inc. pass-thru certificates Series 2012-1B Class B, 6.875% 5/7/19 (d) | 2,735,000 | 2,899,100 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.375% 1/2/16 | 1,375,000 | 1,433,438 | ||
6.75% 11/23/15 | 1,375,000 | 1,447,188 | ||
8.021% 8/10/22 | 1,209,549 | 1,330,504 | ||
8.954% 8/10/14 | 996,980 | 1,046,829 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 362,382 | 390,920 | ||
U.S. Airways pass-thru Trust Series 2013-1: | ||||
Class A, 3.95% 5/15/27 | 1,085,000 | 1,095,850 | ||
Class B, 5.375% 5/15/23 | 450,000 | 462,375 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 988,819 | 998,707 | ||
9.75% 1/15/17 | 1,191,322 | 1,381,933 | ||
12% 1/15/16 (d) | 354,032 | 400,056 | ||
| 29,558,959 | |||
Automotive - 3.9% | ||||
American Axle & Manufacturing, Inc. 6.25% 3/15/21 | 2,970,000 | 3,140,775 | ||
Chrysler Group LLC/CG Co-Issuer, Inc.: | ||||
8% 6/15/19 | 5,325,000 | 5,964,000 | ||
8.25% 6/15/21 | 4,060,000 | 4,648,700 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 985,000 | 1,063,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Automotive - continued | ||||
Dana Holding Corp.: - continued | ||||
6.75% 2/15/21 | $ 1,210,000 | $ 1,327,975 | ||
Ford Motor Co. 7.45% 7/16/31 | 2,815,000 | 3,745,574 | ||
Ford Motor Credit Co. LLC: | ||||
5% 5/15/18 | 3,255,000 | 3,601,007 | ||
5.875% 8/2/21 | 1,180,000 | 1,376,887 | ||
6.625% 8/15/17 | 1,390,000 | 1,633,953 | ||
8% 12/15/16 | 1,975,000 | 2,377,337 | ||
General Motors Financial Co., Inc.: | ||||
4.75% 8/15/17 (d) | 2,285,000 | 2,410,675 | ||
6.75% 6/1/18 | 1,800,000 | 2,052,000 | ||
Schaeffler Finance BV 4.75% 5/15/21 (d) | 950,000 | 964,250 | ||
Tenneco, Inc. 6.875% 12/15/20 | 1,405,000 | 1,550,769 | ||
TRW Automotive, Inc. 4.5% 3/1/21 (d) | 2,445,000 | 2,530,575 | ||
| 38,388,277 | |||
Banks & Thrifts - 0.1% | ||||
Synovus Financial Corp.: | ||||
5.125% 6/15/17 | 55,000 | 55,550 | ||
7.875% 2/15/19 | 495,000 | 568,013 | ||
| 623,563 | |||
Broadcasting - 0.7% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 1,555,000 | 1,586,100 | ||
Starz LLC/Starz Finance Corp. 5% 9/15/19 (d) | 2,135,000 | 2,225,738 | ||
Univision Communications, Inc. 6.875% 5/15/19 (d) | 1,450,000 | 1,573,250 | ||
UPC Holding BV 9.875% 4/15/18 (d) | 1,085,000 | 1,209,775 | ||
| 6,594,863 | |||
Building Materials - 2.7% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (d) | 290,000 | 301,600 | ||
Building Materials Corp. of America: | ||||
6.75% 5/1/21 (d) | 2,385,000 | 2,641,388 | ||
6.875% 8/15/18 (d) | 3,305,000 | 3,569,400 | ||
HD Supply, Inc.: | ||||
7.5% 7/15/20 (d) | 2,910,000 | 3,150,075 | ||
8.125% 4/15/19 | 3,390,000 | 3,834,938 | ||
10.5% 1/15/21 | 625,000 | 654,688 | ||
Headwaters, Inc. 7.625% 4/1/19 | 2,175,000 | 2,349,000 | ||
Masco Corp. 5.95% 3/15/22 | 3,400,000 | 3,848,059 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Building Materials - continued | ||||
Texas Industries, Inc. 9.25% 8/15/20 | $ 2,765,000 | $ 3,079,519 | ||
USG Corp. 7.875% 3/30/20 (d) | 2,680,000 | 3,048,500 | ||
| 26,477,167 | |||
Cable TV - 5.8% | ||||
Cablevision Systems Corp.: | ||||
5.875% 9/15/22 | 2,925,000 | 2,954,250 | ||
7.75% 4/15/18 | 530,000 | 603,538 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 1,320,000 | 1,333,200 | ||
5.75% 9/1/23 (d) | 1,290,000 | 1,338,375 | ||
5.75% 1/15/24 (f) | 2,305,000 | 2,391,438 | ||
6.5% 4/30/21 | 6,400,000 | 6,944,000 | ||
6.625% 1/31/22 | 2,050,000 | 2,244,750 | ||
7% 1/15/19 | 5,280,000 | 5,728,800 | ||
7.25% 10/30/17 | 9,485,000 | 10,255,656 | ||
7.875% 4/30/18 | 2,520,000 | 2,680,020 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (d) | 2,255,000 | 2,395,938 | ||
Cogeco Cable, Inc. 4.875% 5/1/20 (d) | 450,000 | 459,585 | ||
CSC Holdings LLC: | ||||
6.75% 11/15/21 | 440,000 | 502,700 | ||
8.625% 2/15/19 | 2,895,000 | 3,524,663 | ||
Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (d) | 890,000 | 1,009,038 | ||
Lynx I Corp. 5.375% 4/15/21 (d) | 1,625,000 | 1,746,875 | ||
Lynx II Corp. 6.375% 4/15/23 (d) | 355,000 | 385,175 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | ||||
5.5% 1/15/23 (d) | 1,115,000 | 1,154,025 | ||
7.5% 3/15/19 (d) | 660,000 | 724,350 | ||
UPCB Finance III Ltd. 6.625% 7/1/20 (d) | 1,665,000 | 1,802,363 | ||
UPCB Finance V Ltd. 7.25% 11/15/21 (d) | 3,505,000 | 3,908,075 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 1,140,000 | 1,162,800 | ||
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (d) | 2,045,000 | 2,177,925 | ||
| 57,427,539 | |||
Capital Goods - 0.6% | ||||
Amsted Industries, Inc. 8.125% 3/15/18 (d) | 2,040,000 | 2,203,200 | ||
JB Poindexter & Co., Inc. 9% 4/1/22 (d) | 3,615,000 | 3,800,269 | ||
| 6,003,469 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Chemicals - 2.5% | ||||
Ashland, Inc.: | ||||
3% 3/15/16 (d) | $ 750,000 | $ 766,875 | ||
3.875% 4/15/18 (d) | 710,000 | 733,075 | ||
Axiall Corp. 4.875% 5/15/23 (d) | 1,100,000 | 1,141,250 | ||
Celanese U.S. Holdings LLC: | ||||
4.625% 11/15/22 | 1,110,000 | 1,154,400 | ||
6.625% 10/15/18 | 430,000 | 466,550 | ||
Eagle Spinco, Inc. 4.625% 2/15/21 (d) | 535,000 | 561,750 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 (d) | 2,335,000 | 2,434,238 | ||
INEOS Finance PLC 8.375% 2/15/19 (d) | 2,920,000 | 3,292,300 | ||
Kinove German Bondco GmbH 9.625% 6/15/18 (d) | 2,307,000 | 2,606,910 | ||
LyondellBasell Industries NV: | ||||
5% 4/15/19 | 2,055,000 | 2,341,853 | ||
6% 11/15/21 | 635,000 | 770,449 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (d) | 310,000 | 318,525 | ||
Rockwood Specialties Group, Inc. 4.625% 10/15/20 | 1,870,000 | 1,976,123 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (d) | 3,365,000 | 3,369,206 | ||
Tronox Finance LLC 6.375% 8/15/20 (d) | 2,340,000 | 2,334,150 | ||
| 24,267,654 | |||
Containers - 2.5% | ||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (d) | 3,630,000 | 4,002,075 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
7% 11/15/20 (d) | 595,000 | 629,213 | ||
7.375% 10/15/17 (d) | 235,000 | 258,500 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 (d) | 2,645,000 | 2,701,206 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 300,000 | 309,750 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 5,125,000 | 5,342,813 | ||
7.875% 8/15/19 | 1,945,000 | 2,178,400 | ||
8.5% 5/15/18 (c) | 870,000 | 926,550 | ||
9.875% 8/15/19 | 4,065,000 | 4,562,963 | ||
Sealed Air Corp.: | ||||
5.25% 4/1/23 (d) | 490,000 | 491,225 | ||
6.5% 12/1/20 (d) | 910,000 | 1,016,925 | ||
8.125% 9/15/19 (d) | 1,110,000 | 1,262,625 | ||
8.375% 9/15/21 (d) | 810,000 | 943,650 | ||
| 24,625,895 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Diversified Financial Services - 6.9% | ||||
Aircastle Ltd.: | ||||
6.25% 12/1/19 | $ 1,175,000 | $ 1,310,125 | ||
6.75% 4/15/17 | 1,375,000 | 1,524,531 | ||
9.75% 8/1/18 | 3,540,000 | 4,040,025 | ||
CIT Group, Inc.: | ||||
4.25% 8/15/17 | 2,190,000 | 2,321,400 | ||
5% 5/15/17 | 2,225,000 | 2,425,250 | ||
5% 8/15/22 | 1,740,000 | 1,945,892 | ||
5.25% 3/15/18 | 3,365,000 | 3,718,325 | ||
5.375% 5/15/20 | 1,485,000 | 1,674,338 | ||
5.5% 2/15/19 (d) | 4,000,000 | 4,510,000 | ||
6.625% 4/1/18 (d) | 2,045,000 | 2,387,538 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 3,990,000 | 4,154,588 | ||
8% 1/15/18 | 7,985,000 | 8,583,875 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (d)(g) | 870,000 | 826,500 | ||
International Lease Finance Corp.: | ||||
4.875% 4/1/15 | 2,305,000 | 2,422,790 | ||
5.65% 6/1/14 | 900,000 | 934,497 | ||
5.75% 5/15/16 | 3,280,000 | 3,567,600 | ||
5.875% 4/1/19 | 1,025,000 | 1,124,825 | ||
5.875% 8/15/22 | 4,565,000 | 5,031,091 | ||
6.25% 5/15/19 | 1,485,000 | 1,665,056 | ||
8.625% 9/15/15 | 4,640,000 | 5,295,632 | ||
8.625% 1/15/22 | 2,750,000 | 3,575,000 | ||
8.75% 3/15/17 | 760,000 | 910,100 | ||
8.875% 9/1/17 | 3,060,000 | 3,714,075 | ||
| 67,663,053 | |||
Diversified Media - 1.8% | ||||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (d) | 1,810,000 | 1,923,125 | ||
6.5% 11/15/22 (d) | 3,425,000 | 3,673,313 | ||
MDC Partners, Inc. 6.75% 4/1/20 (d) | 760,000 | 790,400 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
4.5% 10/1/20 (d) | 1,410,000 | 1,439,963 | ||
7.75% 10/15/18 | 2,715,000 | 3,027,225 | ||
Quebecor Media, Inc.: | ||||
5.75% 1/15/23 (d) | 3,540,000 | 3,699,300 | ||
7.75% 3/15/16 | 1,623,000 | 1,651,403 | ||
7.75% 3/15/16 | 1,299,000 | 1,321,733 | ||
| 17,526,462 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Electric Utilities - 6.6% | ||||
Atlantic Power Corp. 9% 11/15/18 | $ 3,340,000 | $ 3,515,350 | ||
Dolphin Subsidiary II, Inc. 6.5% 10/15/16 | 2,860,000 | 3,060,200 | ||
GenOn Energy, Inc.: | ||||
9.5% 10/15/18 | 2,190,000 | 2,600,625 | ||
9.875% 10/15/20 | 1,745,000 | 2,015,475 | ||
InterGen NV 9% 6/30/17 (d) | 4,165,000 | 4,217,063 | ||
IPALCO Enterprises, Inc. 5% 5/1/18 | 980,000 | 1,058,400 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,505,000 | 4,153,425 | ||
9.125% 5/1/31 | 5,390,000 | 6,090,700 | ||
NRG Energy, Inc. 6.625% 3/15/23 (d) | 5,610,000 | 6,114,900 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (d) | 7,675,000 | 8,250,625 | ||
NV Energy, Inc. 6.25% 11/15/20 | 2,125,000 | 2,623,859 | ||
Otter Tail Corp. 9% 12/15/16 | 1,675,000 | 1,943,000 | ||
Puget Energy, Inc.: | ||||
5.625% 7/15/22 | 775,000 | 869,262 | ||
6.5% 12/15/20 | 2,115,000 | 2,473,791 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 3,245,000 | 3,447,813 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 355,000 | 362,100 | ||
7.375% 7/1/21 | 6,775,000 | 8,062,250 | ||
7.75% 10/15/15 | 410,000 | 459,200 | ||
8% 10/15/17 | 2,220,000 | 2,658,450 | ||
9.75% 4/15/16 | 905,000 | 1,095,050 | ||
| 65,071,538 | |||
Energy - 10.6% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 1,405,000 | 1,447,150 | ||
Antero Resources Finance Corp.: | ||||
6% 12/1/20 | 2,210,000 | 2,347,683 | ||
7.25% 8/1/19 | 1,270,000 | 1,377,950 | ||
9.375% 12/1/17 | 2,900,000 | 3,153,750 | ||
Chesapeake Energy Corp.: | ||||
5.375% 6/15/21 | 1,645,000 | 1,714,913 | ||
5.75% 3/15/23 | 1,070,000 | 1,160,950 | ||
6.125% 2/15/21 | 7,200,000 | 7,920,000 | ||
6.875% 11/15/20 | 1,380,000 | 1,576,650 | ||
Chesapeake Midstream Partners LP/CHKM Finance Corp.: | ||||
5.875% 4/15/21 | 1,030,000 | 1,112,400 | ||
6.125% 7/15/22 | 2,375,000 | 2,606,563 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Energy - continued | ||||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (d) | $ 1,135,000 | $ 1,169,050 | ||
Continental Resources, Inc. 4.5% 4/15/23 (d) | 2,240,000 | 2,368,800 | ||
Crestwood Midstream Partners LP/Finance Corp. 7.75% 4/1/19 | 940,000 | 982,300 | ||
Denbury Resources, Inc. 6.375% 8/15/21 | 1,555,000 | 1,714,388 | ||
Energy Partners Ltd. 8.25% 2/15/18 | 390,000 | 420,225 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 2,025,000 | 2,369,250 | ||
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 | 1,695,000 | 1,915,350 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc.: | ||||
6.875% 5/1/19 | 1,130,000 | 1,235,938 | ||
9.375% 5/1/20 | 4,570,000 | 5,312,625 | ||
Expro Finance Luxembourg SCA 8.5% 12/15/16 (d) | 2,013,000 | 2,148,878 | ||
Exterran Holdings, Inc. 7.25% 12/1/18 | 3,260,000 | 3,496,350 | ||
Exterran Partners LP/EXLP Finance Corp. 6% 4/1/21 (d) | 2,755,000 | 2,823,875 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,200,000 | 3,160,000 | ||
Forest Oil Corp. 7.5% 9/15/20 (d) | 2,795,000 | 2,976,675 | ||
Frontier Oil Corp. 6.875% 11/15/18 | 555,000 | 601,481 | ||
Hornbeck Offshore Services, Inc. 5% 3/1/21 (d) | 1,570,000 | 1,577,850 | ||
Kinder Morgan Finance Co. LLC 6% 1/15/18 (d) | 2,835,000 | 3,148,877 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (d) | 2,435,000 | 2,544,575 | ||
6.5% 5/15/19 | 2,010,000 | 2,120,550 | ||
7.75% 2/1/21 | 1,660,000 | 1,817,700 | ||
8.625% 4/15/20 | 2,100,000 | 2,346,750 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (d) | 2,150,000 | 2,289,750 | ||
Offshore Group Investment Ltd.: | ||||
7.125% 4/1/23 (d) | 1,200,000 | 1,257,000 | ||
7.5% 11/1/19 (d) | 1,980,000 | 2,148,300 | ||
Oil States International, Inc. 6.5% 6/1/19 | 2,370,000 | 2,547,750 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 | 2,305,000 | 2,598,888 | ||
Petroleum Geo-Services ASA 7.375% 12/15/18 (d) | 2,040,000 | 2,264,400 | ||
Precision Drilling Corp.: | ||||
6.5% 12/15/21 | 200,000 | 216,500 | ||
6.625% 11/15/20 | 1,760,000 | 1,892,000 | ||
Rosetta Resources, Inc. 5.625% 5/1/21 (f) | 890,000 | 927,825 | ||
Samson Investment Co. 9.75% 2/15/20 (d) | 3,645,000 | 3,872,813 | ||
SESI LLC 7.125% 12/15/21 | 3,430,000 | 3,901,625 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Energy - continued | ||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.5% 10/1/18 | $ 1,342,000 | $ 1,462,780 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
5.25% 5/1/23 (d) | 1,695,000 | 1,779,750 | ||
6.375% 8/1/22 | 520,000 | 581,100 | ||
6.875% 2/1/21 | 1,955,000 | 2,170,050 | ||
7.875% 10/15/18 | 1,830,000 | 2,013,000 | ||
Tesoro Corp. 4.25% 10/1/17 | 245,000 | 257,863 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (d) | 210,000 | 223,650 | ||
Western Refining, Inc. 6.25% 4/1/21 (d) | 1,425,000 | 1,467,750 | ||
| 104,542,290 | |||
Environmental - 1.2% | ||||
ADS Waste Holdings, Inc. 8.25% 10/1/20 (d) | 2,790,000 | 3,041,100 | ||
Clean Harbors, Inc.: | ||||
5.125% 6/1/21 (d) | 615,000 | 644,213 | ||
5.25% 8/1/20 | 1,715,000 | 1,813,613 | ||
Covanta Holding Corp.: | ||||
6.375% 10/1/22 | 935,000 | 1,023,119 | ||
7.25% 12/1/20 | 2,621,000 | 2,911,630 | ||
Tervita Corp.: | ||||
8% 11/15/18 (d) | 835,000 | 874,663 | ||
9.75% 11/1/19 (d) | 1,965,000 | 1,930,613 | ||
| 12,238,951 | |||
Food & Drug Retail - 2.9% | ||||
ESAL GmbH 6.25% 2/5/23 (d) | 3,240,000 | 3,220,560 | ||
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (d) | 2,355,000 | 2,393,269 | ||
Rite Aid Corp.: | ||||
9.25% 3/15/20 | 11,205,000 | 12,941,740 | ||
9.5% 6/15/17 | 10,075,000 | 10,478,000 | ||
| 29,033,569 | |||
Food/Beverage/Tobacco - 0.9% | ||||
Constellation Brands, Inc.: | ||||
3.75% 5/1/21 (f) | 285,000 | 285,000 | ||
4.25% 5/1/23 (f) | 425,000 | 425,000 | ||
JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (d) | 5,025,000 | 5,552,625 | ||
Post Holdings, Inc. 7.375% 2/15/22 | 2,750,000 | 3,052,500 | ||
| 9,315,125 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Gaming - 3.1% | ||||
Ameristar Casinos, Inc. 7.5% 4/15/21 | $ 4,255,000 | $ 4,733,688 | ||
MCE Finance Ltd. 5% 2/15/21 (d) | 2,630,000 | 2,656,300 | ||
MGM Mirage, Inc.: | ||||
6.625% 12/15/21 | 2,005,000 | 2,170,413 | ||
6.75% 10/1/20 (d) | 2,925,000 | 3,202,875 | ||
7.5% 6/1/16 | 1,805,000 | 2,032,881 | ||
7.625% 1/15/17 | 5,570,000 | 6,217,513 | ||
8.625% 2/1/19 | 1,785,000 | 2,110,763 | ||
10% 11/1/16 | 2,235,000 | 2,709,938 | ||
11.375% 3/1/18 | 1,655,000 | 2,134,950 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
5.375% 3/15/22 | 1,195,000 | 1,284,625 | ||
7.75% 8/15/20 | 1,285,000 | 1,452,050 | ||
| 30,705,996 | |||
Healthcare - 4.1% | ||||
DaVita, Inc. 5.75% 8/15/22 | 3,920,000 | 4,174,800 | ||
DJO Finance LLC/DJO Finance Corp.: | ||||
7.75% 4/15/18 | 950,000 | 992,750 | ||
8.75% 3/15/18 | 110,000 | 123,750 | ||
9.875% 4/15/18 | 1,555,000 | 1,710,500 | ||
Emergency Medical Services Corp. 8.125% 6/1/19 | 4,075,000 | 4,513,063 | ||
Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (d) | 5,000,000 | 5,500,000 | ||
HealthSouth Corp. 7.25% 10/1/18 | 2,785,000 | 3,014,763 | ||
Legend Acquisition Sub, Inc. 10.75% 8/15/20 (d) | 1,500,000 | 1,290,000 | ||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 | 1,780,000 | 1,940,200 | ||
Omega Healthcare Investors, Inc.: | ||||
6.75% 10/15/22 | 1,565,000 | 1,741,063 | ||
7.5% 2/15/20 | 1,190,000 | 1,326,850 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 2,820,000 | 3,073,800 | ||
Valeant Pharmaceuticals International: | ||||
6.5% 7/15/16 (d) | 3,655,000 | 3,808,053 | ||
6.875% 12/1/18 (d) | 3,290,000 | 3,581,988 | ||
VPI Escrow Corp. 6.375% 10/15/20 (d) | 3,775,000 | 4,180,813 | ||
| 40,972,393 | |||
Homebuilders/Real Estate - 4.7% | ||||
CB Richard Ellis Services, Inc.: | ||||
5% 3/15/23 | 1,510,000 | 1,545,938 | ||
6.625% 10/15/20 | 2,775,000 | 3,031,688 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Homebuilders/Real Estate - continued | ||||
D.R. Horton, Inc.: | ||||
3.625% 2/15/18 | $ 2,335,000 | $ 2,390,456 | ||
4.375% 9/15/22 | 3,175,000 | 3,230,563 | ||
4.75% 5/15/17 | 905,000 | 970,613 | ||
4.75% 2/15/23 | 780,000 | 803,400 | ||
Lennar Corp.: | ||||
4.125% 12/1/18 (d) | 2,335,000 | 2,381,700 | ||
4.75% 11/15/22 (d) | 2,655,000 | 2,681,550 | ||
6.95% 6/1/18 | 1,575,000 | 1,805,344 | ||
12.25% 6/1/17 | 3,790,000 | 5,078,600 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 8,550,000 | 10,174,500 | ||
8.375% 1/15/21 | 6,520,000 | 7,807,700 | ||
10.75% 9/15/16 | 1,650,000 | 2,058,375 | ||
Toll Brothers Finance Corp. 4.375% 4/15/23 | 2,310,000 | 2,367,750 | ||
| 46,328,177 | |||
Leisure - 1.4% | ||||
Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21 (d) | 1,425,000 | 1,457,063 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 1,280,000 | 1,446,400 | ||
NCL Corp. Ltd. 5% 2/15/18 (d) | 3,650,000 | 3,796,000 | ||
Royal Caribbean Cruises Ltd.: | ||||
5.25% 11/15/22 | 2,475,000 | 2,561,625 | ||
7.25% 3/15/18 | 950,000 | 1,096,063 | ||
7.5% 10/15/27 | 1,925,000 | 2,194,500 | ||
yankee 7.25% 6/15/16 | 1,470,000 | 1,668,450 | ||
| 14,220,101 | |||
Metals/Mining - 2.1% | ||||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 1,795,000 | 1,678,325 | ||
6.25% 6/1/21 | 175,000 | 160,563 | ||
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (d) | 205,000 | 212,688 | ||
Boart Longyear Management Pty Ltd. 7% 4/1/21 (d) | 2,400,000 | 2,448,000 | ||
CONSOL Energy, Inc. 8% 4/1/17 | 2,580,000 | 2,792,850 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6.375% 2/1/16 (d) | 2,245,000 | 2,329,188 | ||
7% 11/1/15 (d) | 7,570,000 | 7,929,575 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Metals/Mining - continued | ||||
Peabody Energy Corp. 6.25% 11/15/21 | $ 695,000 | $ 741,044 | ||
Walter Energy, Inc. 8.5% 4/15/21 (d) | 2,235,000 | 2,329,988 | ||
| 20,622,221 | |||
Paper - 0.2% | ||||
Sappi Papier Holding GmbH 7.75% 7/15/17 (d) | 1,630,000 | 1,813,375 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 | 180,000 | 184,050 | ||
| 1,997,425 | |||
Publishing/Printing - 0.2% | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (d) | 1,960,000 | 2,033,500 | ||
Restaurants - 0.3% | ||||
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20 | 2,685,000 | 3,151,519 | ||
Services - 2.6% | ||||
APX Group, Inc.: | ||||
6.375% 12/1/19 (d) | 3,090,000 | 3,113,175 | ||
8.75% 12/1/20 (d) | 2,550,000 | 2,690,250 | ||
ARAMARK Corp. 5.75% 3/15/20 (d) | 1,090,000 | 1,141,775 | ||
FTI Consulting, Inc.: | ||||
6% 11/15/22 (d) | 1,290,000 | 1,377,075 | ||
6.75% 10/1/20 | 2,165,000 | 2,351,840 | ||
Hertz Corp.: | ||||
4.25% 4/1/18 (d) | 2,005,000 | 2,075,175 | ||
6.75% 4/15/19 | 5,205,000 | 5,764,538 | ||
7.5% 10/15/18 | 2,880,000 | 3,189,600 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (d) | 295,000 | 303,850 | ||
TransUnion Holding Co., Inc. 8.125% 6/15/18 pay-in-kind (d) | 2,975,000 | 3,198,125 | ||
| 25,205,403 | |||
Shipping - 0.3% | ||||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 | 2,740,000 | 2,883,850 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (d) | 270,000 | 294,975 | ||
| 3,178,825 | |||
Steel - 1.5% | ||||
JMC Steel Group, Inc. 8.25% 3/15/18 (d) | 3,040,000 | 3,180,600 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 7,255,000 | 7,799,125 | ||
Steel Dynamics, Inc.: | ||||
5.25% 4/15/23 (d) | 460,000 | 473,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Steel - continued | ||||
Steel Dynamics, Inc.: - continued | ||||
6.125% 8/15/19 (d) | $ 885,000 | $ 969,075 | ||
7.625% 3/15/20 | 2,305,000 | 2,581,600 | ||
| 15,004,200 | |||
Super Retail - 1.2% | ||||
Claire's Stores, Inc. 9% 3/15/19 (d) | 2,345,000 | 2,687,956 | ||
CST Brands, Inc. 5% 5/1/23 (d) | 255,000 | 261,694 | ||
J. Crew Group, Inc. 8.125% 3/1/19 | 5,050,000 | 5,422,438 | ||
Jaguar Land Rover PLC 5.625% 2/1/23 (d) | 1,725,000 | 1,802,625 | ||
Netflix, Inc. 5.375% 2/1/21 (d) | 1,555,000 | 1,597,763 | ||
| 11,772,476 | |||
Technology - 5.0% | ||||
Brocade Communications Systems, Inc. 4.625% 1/15/23 (d) | 2,210,000 | 2,187,900 | ||
Ceridian Corp. 11.25% 11/15/15 | 2,950,000 | 3,056,938 | ||
First Data Corp.: | ||||
6.75% 11/1/20 (d) | 3,640,000 | 3,913,000 | ||
7.375% 6/15/19 (d) | 985,000 | 1,066,263 | ||
12.625% 1/15/21 | 875,000 | 949,375 | ||
Flextronics International Ltd. 4.625% 2/15/20 (d) | 1,930,000 | 1,973,425 | ||
Freescale Semiconductor, Inc. 8.05% 2/1/20 | 2,940,000 | 3,156,825 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (d) | 1,230,000 | 1,236,150 | ||
NCR Corp. 4.625% 2/15/21 (d) | 2,375,000 | 2,375,000 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (d) | 6,670,000 | 6,870,100 | ||
NXP BV/NXP Funding LLC 5.75% 2/15/21 (d) | 2,090,000 | 2,215,400 | ||
Sanmina-SCI Corp. 7% 5/15/19 (d) | 6,515,000 | 6,873,325 | ||
Softbank Corp. 4.5% 4/15/20 (d) | 2,375,000 | 2,458,125 | ||
Spansion LLC 7.875% 11/15/17 | 3,065,000 | 3,202,925 | ||
VeriSign, Inc. 4.625% 5/1/23 (d) | 2,085,000 | 2,137,125 | ||
Viasystems, Inc. 7.875% 5/1/19 (d) | 1,935,000 | 2,065,613 | ||
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | ||||
10.25% 7/15/19 (d) | 1,995,000 | 2,239,388 | ||
13.375% 10/15/19 (d) | 1,070,000 | 1,243,875 | ||
| 49,220,752 | |||
Telecommunications - 8.6% | ||||
Altice Financing SA 7.875% 12/15/19 (d) | 460,000 | 508,300 | ||
Altice Finco SA 9.875% 12/15/20 (d) | 1,590,000 | 1,811,010 | ||
Crown Castle International Corp. 5.25% 1/15/23 | 1,680,000 | 1,755,600 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (d) | 5,395,000 | 5,408,488 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Telecommunications - continued | ||||
Digicel Group Ltd.: - continued | ||||
7% 2/15/20 (d) | $ 200,000 | $ 208,000 | ||
8.25% 9/1/17 (d) | 3,535,000 | 3,711,750 | ||
8.25% 9/30/20 (d) | 4,965,000 | 5,312,550 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (d) | 3,230,000 | 3,278,450 | ||
Equinix, Inc.: | ||||
4.875% 4/1/20 | 980,000 | 1,024,100 | ||
5.375% 4/1/23 | 790,000 | 827,525 | ||
Intelsat Jackson Holdings SA: | ||||
6.625% 12/15/22 (d) | 2,140,000 | 2,316,550 | ||
7.25% 4/1/19 | 2,505,000 | 2,755,500 | ||
7.25% 10/15/20 | 1,990,000 | 2,208,900 | ||
7.5% 4/1/21 | 1,370,000 | 1,541,250 | ||
Intelsat Luxembourg SA: | ||||
7.75% 6/1/21 (d) | 5,565,000 | 5,871,075 | ||
8.125% 6/1/23 (d) | 1,985,000 | 2,114,025 | ||
11.25% 2/4/17 | 3,946,000 | 4,207,423 | ||
MasTec, Inc. 4.875% 3/15/23 | 1,020,000 | 1,020,000 | ||
NeuStar, Inc. 4.5% 1/15/23 (d) | 1,935,000 | 1,876,950 | ||
SBA Communications Corp. 5.625% 10/1/19 (d) | 4,005,000 | 4,215,263 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 1,030,000 | 1,053,175 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 7,142,000 | 7,725,501 | ||
6% 11/15/22 | 4,120,000 | 4,284,800 | ||
7% 3/1/20 (d) | 2,210,000 | 2,513,875 | ||
7% 8/15/20 | 2,970,000 | 3,252,150 | ||
9% 11/15/18 (d) | 955,000 | 1,174,650 | ||
Telesat Canada/Telesat LLC 6% 5/15/17 (d) | 5,640,000 | 6,006,600 | ||
TW Telecom Holdings, Inc. 5.375% 10/1/22 | 1,780,000 | 1,864,550 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (d)(g) | 2,085,356 | 2,162,746 | ||
Zayo Group LLC/Zayo Capital, Inc. 8.125% 1/1/20 | 2,425,000 | 2,740,250 | ||
| 84,751,006 | |||
Textiles & Apparel - 0.4% | ||||
Hanesbrands, Inc. 6.375% 12/15/20 | 3,340,000 | 3,682,350 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $812,712,993) |
|
Common Stocks - 0.1% | |||
Shares | Value | ||
Telecommunications - 0.1% | |||
CUI Acquisition Corp. Class E (a)(d) | 1 | $ 592,559 | |
Convertible Preferred Stocks - 0.4% | |||
|
|
|
|
Automotive - 0.4% | |||
General Motors Co. 4.75% | 78,400 |
|
Floating Rate Loans - 3.2% | ||||
| Principal Amount |
| ||
Air Transportation - 1.0% | ||||
Delta Air Lines, Inc.: | ||||
Tranche B 1LN, term loan: | ||||
4% 10/18/18 (g) | $ 3,286,763 | 3,253,895 | ||
4.25% 4/20/17 (g) | 4,120,036 | 4,171,537 | ||
Tranche B 2LN, term loan 3.25% 4/18/16 (g) | 822,938 | 831,167 | ||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (g) | 1,965,592 | 1,963,135 | ||
| 10,219,734 | |||
Cable TV - 0.4% | ||||
Harron Communications LP Tranche B, term loan 5% 10/6/17 (g) | 1,909,879 | 1,938,527 | ||
UPC Broadband Holding BV Tranche AF, term loan 4% 1/31/21 (g) | 1,960,000 | 1,979,600 | ||
| 3,918,127 | |||
Energy - 0.5% | ||||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (g) | 3,260,000 | 3,374,100 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (g) | 1,155,923 | 1,193,491 | ||
| 4,567,591 | |||
Insurance - 0.5% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (g) | 3,132,150 | 3,171,302 | ||
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (g) | 1,820,000 | 1,956,500 | ||
| 5,127,802 | |||
Floating Rate Loans - continued | ||||
| Principal Amount | Value | ||
Leisure - 0.3% | ||||
Equinox Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 5/16/20 (g) | $ 1,075,000 | $ 1,101,875 | ||
Tranche B 1LN, term loan 4.5% 2/1/20 (g) | 2,010,000 | 2,035,125 | ||
| 3,137,000 | |||
Technology - 0.1% | ||||
First Data Corp. term loan 4.1992% 3/24/18 (g) | 1,110,000 | 1,107,225 | ||
Telecommunications - 0.4% | ||||
Intelsat Jackson Holdings SA term loan 3.2002% 2/1/14 (g) | 1,107,442 | 1,104,673 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (g) | 2,294,250 | 2,334,399 | ||
| 3,439,072 | |||
TOTAL FLOATING RATE LOANS (Cost $30,441,032) |
|
Preferred Securities - 0.1% | |||
|
|
|
|
Entertainment/Film - 0.1% | |||
NBCUniversal Enterprise, Inc. 5.25% (d)(e) | 1,425,000 |
| |
Money Market Funds - 6.0% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.13% (b) | 59,478,225 |
| |
TOTAL INVESTMENT PORTFOLIO - 98.9% (Cost $908,686,987) | 975,596,260 | ||
NET OTHER ASSETS (LIABILITIES) - 1.1% | 10,721,997 | ||
NET ASSETS - 100% | $ 986,318,257 |
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) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) 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 $354,450,104 or 35.9% of net assets. |
(e) Security is perpetual in nature with no stated maturity date. |
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
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 | $ 34,897 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 3,644,032 | $ 3,644,032 | $ - | $ - |
Telecommunication Services | 592,559 | - | - | 592,559 |
Corporate Bonds | 878,902,918 | - | 878,902,918 | - |
Floating Rate Loans | 31,516,551 | - | 31,516,551 | - |
Preferred Securities | 1,461,975 | - | 1,461,975 | - |
Money Market Funds | 59,478,225 | 59,478,225 | - | - |
Total Investments in Securities: | $ 975,596,260 | $ 63,122,257 | $ 911,881,444 | $ 592,559 |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 83.8% |
Luxembourg | 3.1% |
Canada | 2.9% |
Bermuda | 2.7% |
Australia | 1.3% |
Cayman Islands | 1.2% |
Netherlands | 1.1% |
Others (Individually Less Than 1%) | 3.9% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| April 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $849,208,762) | $ 916,118,035 |
|
Fidelity Central Funds (cost $59,478,225) | 59,478,225 |
|
Total Investments (cost $908,686,987) |
| $ 975,596,260 |
Cash |
| 934,792 |
Receivable for investments sold | 12,681,559 | |
Receivable for fund shares sold | 756,410 | |
Interest receivable | 14,830,730 | |
Distributions receivable from Fidelity Central Funds | 6,250 | |
Prepaid expenses | 993 | |
Receivable from investment adviser for expense reductions | 9,794 | |
Other receivables | 50 | |
Total assets | 1,004,816,838 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 9,674,171 | |
Delayed delivery | 6,185,000 | |
Payable for fund shares redeemed | 1,072,182 | |
Distributions payable | 660,586 | |
Accrued management fee | 458,714 | |
Distribution and service plan fees payable | 223,071 | |
Other affiliated payables | 187,034 | |
Other payables and accrued expenses | 37,823 | |
Total liabilities | 18,498,581 | |
|
|
|
Net Assets | $ 986,318,257 | |
Net Assets consist of: |
| |
Paid in capital | $ 894,119,312 | |
Undistributed net investment income | 11,385,848 | |
Accumulated undistributed net realized gain (loss) on investments | 13,903,824 | |
Net unrealized appreciation (depreciation) on investments | 66,909,273 | |
Net Assets | $ 986,318,257 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| April 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 8.94 | |
|
|
|
Maximum offering price per share (100/96.00 of $8.94) | $ 9.31 | |
Class T: | $ 8.92 | |
|
|
|
Maximum offering price per share (100/96.00 of $8.92) | $ 9.29 | |
Class B: | $ 8.91 | |
|
|
|
Class C: | $ 8.91 | |
|
|
|
Institutional Class: | $ 8.95 |
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
Statement of Operations
Six months ended April 30, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 128,572 |
Interest |
| 31,709,475 |
Income from Fidelity Central Funds |
| 34,897 |
Total income |
| 31,872,944 |
|
|
|
Expenses | ||
Management fee | $ 2,792,641 | |
Transfer agent fees | 976,033 | |
Distribution and service plan fees | 1,354,127 | |
Accounting fees and expenses | 177,464 | |
Custodian fees and expenses | 11,466 | |
Independent trustees' compensation | 3,159 | |
Registration fees | 42,425 | |
Audit | 34,625 | |
Legal | 3,139 | |
Miscellaneous | 4,434 | |
Total expenses before reductions | 5,399,513 | |
Expense reductions | (57,392) | 5,342,121 |
Net investment income (loss) | 26,530,823 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 18,838,776 | |
Change in net unrealized appreciation (depreciation) on investment securities | 13,236,267 | |
Net gain (loss) | 32,075,043 | |
Net increase (decrease) in net assets resulting from operations | $ 58,605,866 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 26,530,823 | $ 57,210,653 |
Net realized gain (loss) | 18,838,776 | 5,885,916 |
Change in net unrealized appreciation (depreciation) | 13,236,267 | 37,279,107 |
Net increase (decrease) in net assets resulting | 58,605,866 | 100,375,676 |
Distributions to shareholders from net investment income | (25,331,085) | (57,876,838) |
Distributions to shareholders from net realized gain | (10,710,606) | (4,909,609) |
Total distributions | (36,041,691) | (62,786,447) |
Share transactions - net increase (decrease) | (63,933,839) | 180,987,382 |
Redemption fees | 40,484 | 67,711 |
Total increase (decrease) in net assets | (41,329,180) | 218,644,322 |
|
|
|
Net Assets | ||
Beginning of period | 1,027,647,437 | 809,003,115 |
End of period (including undistributed net investment income of $11,385,848 and undistributed net investment income of $10,186,110, respectively) | $ 986,318,257 | $ 1,027,647,437 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.73 | $ 8.38 | $ 8.59 | $ 7.87 | $ 6.48 | $ 9.13 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .238 | .539 | .581 | .637 | .625 | .645 |
Net realized and unrealized gain (loss) | .293 | .411 | (.204) | .673 | 1.318 | (2.616) |
Total from investment operations | .531 | .950 | .377 | 1.310 | 1.943 | (1.971) |
Distributions from net investment income | (.227) | (.551) | (.589) | (.591) | (.556) | (.621) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.321) | (.601) | (.589) | (.591) | (.556) | (.681) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.94 | $ 8.73 | $ 8.38 | $ 8.59 | $ 7.87 | $ 6.48 |
Total Return B, C, D | 6.21% | 11.84% | 4.53% | 17.33% | 31.69% | (23.03)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.03% | 1.04% | 1.06% | 1.09% | 1.12% |
Expenses net of fee waivers, if any | 1.03% A | 1.03% | 1.04% | 1.06% | 1.09% | 1.10% |
Expenses net of all reductions | 1.03% A | 1.03% | 1.04% | 1.06% | 1.08% | 1.10% |
Net investment income (loss) | 5.46% A | 6.35% | 6.82% | 7.81% | 8.91% | 7.65% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 333,161 | $ 331,436 | $ 264,110 | $ 278,577 | $ 282,936 | $ 89,571 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.72 | $ 8.37 | $ 8.57 | $ 7.86 | $ 6.48 | $ 9.12 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .236 | .536 | .578 | .633 | .622 | .645 |
Net realized and unrealized gain (loss) | .284 | .411 | (.193) | .665 | 1.310 | (2.606) |
Total from investment operations | .520 | .947 | .385 | 1.298 | 1.932 | (1.961) |
Distributions from net investment income | (.226) | (.548) | (.587) | (.589) | (.555) | (.621) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.320) | (.598) | (.587) | (.589) | (.555) | (.681) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.92 | $ 8.72 | $ 8.37 | $ 8.57 | $ 7.86 | $ 6.48 |
Total Return B, C, D | 6.09% | 11.83% | 4.63% | 17.17% | 31.52% | (22.94)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.06% A | 1.06% | 1.07% | 1.11% | 1.16% | 1.19% |
Expenses net of fee waivers, if any | 1.06% A | 1.06% | 1.07% | 1.10% | 1.10% | 1.10% |
Expenses net of all reductions | 1.06% A | 1.06% | 1.07% | 1.10% | 1.10% | 1.10% |
Net investment income (loss) | 5.44% A | 6.32% | 6.79% | 7.78% | 8.89% | 7.65% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 104,653 | $ 105,518 | $ 92,746 | $ 119,576 | $ 111,601 | $ 43,018 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 | $ 9.11 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .206 | .477 | .521 | .579 | .571 | .593 |
Net realized and unrealized gain (loss) | .284 | .412 | (.204) | .676 | 1.317 | (2.609) |
Total from investment operations | .490 | .889 | .317 | 1.255 | 1.888 | (2.016) |
Distributions from net investment income | (.196) | (.490) | (.529) | (.536) | (.511) | (.566) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.290) | (.540) | (.529) | (.536) | (.511) | (.626) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.91 | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 |
Total Return B, C, D | 5.73% | 11.08% | 3.81% | 16.58% | 30.73% | (23.47)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.76% A | 1.76% | 1.77% | 1.80% | 1.81% | 1.82% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Net investment income (loss) | 4.74% A | 5.64% | 6.11% | 7.13% | 8.25% | 7.00% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 15,723 | $ 17,309 | $ 19,647 | $ 29,065 | $ 32,894 | $ 21,429 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 | $ 9.11 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .204 | .474 | .516 | .575 | .572 | .583 |
Net realized and unrealized gain (loss) | .284 | .412 | (.202) | .675 | 1.309 | (2.608) |
Total from investment operations | .488 | .886 | .314 | 1.250 | 1.881 | (2.025) |
Distributions from net investment income | (.194) | (.487) | (.526) | (.531) | (.504) | (.557) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.288) | (.537) | (.526) | (.531) | (.504) | (.617) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.91 | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 |
Total Return B, C, D | 5.71% | 11.03% | 3.77% | 16.51% | 30.60% | (23.54)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.80% A | 1.79% | 1.79% | 1.81% | 1.85% | 1.86% |
Expenses net of fee waivers, if any | 1.80% A | 1.79% | 1.79% | 1.81% | 1.85% | 1.85% |
Expenses net of all reductions | 1.80% A | 1.79% | 1.79% | 1.81% | 1.85% | 1.85% |
Net investment income (loss) | 4.69% A | 5.60% | 6.08% | 7.07% | 8.15% | 6.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 145,845 | $ 149,591 | $ 120,710 | $ 121,796 | $ 98,361 | $ 30,619 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.75 | $ 8.40 | $ 8.60 | $ 7.88 | $ 6.49 | $ 9.14 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .246 | .556 | .598 | .655 | .637 | .669 |
Net realized and unrealized gain (loss) | .283 | .409 | (.195) | .673 | 1.323 | (2.619) |
Total from investment operations | .529 | .965 | .403 | 1.328 | 1.960 | (1.950) |
Distributions from net investment income | (.235) | (.566) | (.605) | (.609) | (.573) | (.642) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.329) | (.616) | (.605) | (.609) | (.573) | (.702) |
Redemption fees added to paid in capital D | - H | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.95 | $ 8.75 | $ 8.40 | $ 8.60 | $ 7.88 | $ 6.49 |
Total Return B, C | 6.17% | 12.02% | 4.85% | 17.55% | 31.95% | (22.81)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .88% A | .88% | .88% | .89% | .90% | .92% |
Expenses net of fee waivers, if any | .85% A | .85% | .85% | .85% | .85% | .85% |
Expenses net of all reductions | .85% A | .85% | .85% | .85% | .85% | .85% |
Net investment income (loss) | 5.64% A | 6.54% | 7.01% | 8.03% | 9.15% | 7.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 386,936 | $ 423,792 | $ 311,790 | $ 329,601 | $ 251,945 | $ 143,656 |
Portfolio turnover rate F | 70% A | 48% | 75% | 79% | 54% | 62% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013 (Unaudited)
1. Organization.
Fidelity Advisor® High Income 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 and Institutional Class 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 Fidelity Management & Research Company (FMR)and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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.
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 April 30, 2013, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. 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.
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 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. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, equity-debt classifications 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 | $ 70,358,129 |
Gross unrealized depreciation | (810,416) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 69,547,713 |
|
|
Tax cost | $ 906,048,547 |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
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
Semiannual Report
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $326,624,043 and $381,806,940, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, 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% | $ 410,429 | $ 13,613 |
Class T | -% | .25% | 130,053 | 1,463 |
Class B | .65% | .25% | 74,718 | 54,103 |
Class C | .75% | .25% | 738,927 | 136,631 |
|
|
| $ 1,354,127 | $ 205,810 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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 | $ 48,634 |
Class T | 4,992 |
Class B* | 14,640 |
Class C* | 9,276 |
| $ 77,542 |
* 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 FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 248,106 | .15 |
Class T | 92,593 | .18 |
Class B | 18,995 | .23 |
Class C | 121,043 | .17 |
Institutional Class | 495,296 | .25 |
| $ 976,033 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc.(FSC),an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,299 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| Expense | Reimbursement |
Class B | 1.75% | $ 1,077 |
Institutional Class | .85% | 55,774 |
|
| $ 56,851 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Expense Reductions - continued
Many of the brokers with whom FMR places trades on behalf of the Fund provided services in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $14 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $527.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 8,496,546 | $ 19,266,751 |
Class T | 2,682,963 | 6,321,827 |
Class B | 372,079 | 1,064,774 |
Class C | 3,271,950 | 8,052,744 |
Institutional Class | 10,507,547 | 23,170,742 |
Total | $ 25,331,085 | $ 57,876,838 |
From net realized gain |
|
|
Class A | $ 3,484,186 | $ 1,593,045 |
Class T | 1,140,878 | 555,537 |
Class B | 184,860 | 113,946 |
Class C | 1,602,754 | 738,893 |
Institutional Class | 4,297,928 | 1,908,188 |
Total | $ 10,710,606 | $ 4,909,609 |
9. 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 | 4,196,039 | 13,554,378 | $ 36,886,104 | $ 114,785,238 |
Reinvestment of distributions | 1,073,769 | 1,908,278 | 9,422,209 | 16,124,689 |
Shares redeemed | (5,943,799) | (9,007,277) | (52,190,845) | (76,176,781) |
Net increase (decrease) | (673,991) | 6,455,379 | $ (5,882,532) | $ 54,733,146 |
Semiannual Report
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class T |
|
|
|
|
Shares sold | 925,436 | 3,062,937 | $ 8,110,732 | $ 26,048,550 |
Reinvestment of distributions | 359,399 | 651,829 | 3,148,105 | 5,492,540 |
Shares redeemed | (1,657,573) | (2,690,101) | (14,518,841) | (22,809,085) |
Net increase (decrease) | (372,738) | 1,024,665 | $ (3,260,004) | $ 8,732,005 |
Class B |
|
|
|
|
Shares sold | 49,365 | 215,184 | $ 431,999 | $ 1,821,747 |
Reinvestment of distributions | 48,438 | 104,068 | 423,702 | 874,542 |
Shares redeemed | (320,997) | (680,921) | (2,814,035) | (5,751,719) |
Net increase (decrease) | (223,194) | (361,669) | $ (1,958,334) | $ (3,055,430) |
Class C |
|
|
|
|
Shares sold | 1,661,811 | 6,558,912 | $ 14,561,330 | $ 55,308,268 |
Reinvestment of distributions | 438,669 | 802,942 | 3,838,583 | 6,764,675 |
Shares redeemed | (2,911,497) | (4,619,238) | (25,513,383) | (39,315,398) |
Net increase (decrease) | (811,017) | 2,742,616 | $ (7,113,470) | $ 22,757,545 |
Institutional Class |
|
|
|
|
Shares sold | 4,275,972 | 20,083,074 | $ 37,604,679 | $ 172,012,055 |
Reinvestment of distributions | 1,540,652 | 2,734,646 | 13,545,589 | 23,137,043 |
Shares redeemed | (11,044,203) | (11,495,654) | (96,869,767) | (97,328,982) |
Net increase (decrease) | (5,227,579) | 11,322,066 | $ (45,719,499) | $ 97,820,116 |
10. 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 Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
AHI-USAN-0613 1.784884.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
High Income
Fund - Institutional Class
Semiannual Report
April 30, 2013
(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 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. © 2013 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, redemption fees 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 (November 1, 2012 to April 30, 2013).
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 | 1.03% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,062.10 | $ 5.27 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.69 | $ 5.16 |
Class T | 1.06% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,060.90 | $ 5.42 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.54 | $ 5.31 |
Class B | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,057.30 | $ 8.93 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | 1.80% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,057.10 | $ 9.18 |
HypotheticalA |
| $ 1,000.00 | $ 1,015.87 | $ 9.00 |
Institutional Class | .85% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,061.70 | $ 4.35 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.58 | $ 4.26 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Five Holdings as of April 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
CCO Holdings LLC/CCO Holdings Capital Corp. | 3.2 | 2.0 |
International Lease Finance Corp. | 2.9 | 2.7 |
Rite Aid Corp. | 2.4 | 1.8 |
MGM Mirage, Inc. | 2.0 | 2.4 |
Standard Pacific Corp. | 2.0 | 1.7 |
| 12.5 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Energy | 11.1 | 10.0 |
Telecommunications | 9.1 | 6.5 |
Diversified Financial Services | 6.9 | 6.7 |
Electric Utilities | 6.6 | 5.9 |
Cable TV | 6.2 | 5.0 |
Quality Diversification (% of fund's net assets) | |||||||
As of April 30, 2013 | As of October 31, 2012 | ||||||
BBB 2.6% |
| BBB 5.2% |
| ||||
BB 34.9% |
| BB 27.2% |
| ||||
B 44.0% |
| B 47.1% |
| ||||
CCC,CC,C 10.2% |
| CCC,CC,C 10.0% |
| ||||
Not Rated 0.7% |
| Not Rated 1.2% |
| ||||
Equities 0.5% |
| Equities 0.6% |
| ||||
Short-Term |
| Short-Term |
|
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. |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Nonconvertible |
| Nonconvertible |
| ||||
Convertible Bonds, |
| Convertible Bonds, |
| ||||
Common Stocks 0.1% |
| Common Stocks 0.0% |
| ||||
Floating Rate |
| Floating Rate |
| ||||
Other Investments 0.1% |
| Other Investments 0.0% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 16.2% |
| ** Foreign investments | 12.1% |
|
Semiannual Report
Investments April 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 89.1% | ||||
| Principal Amount | Value | ||
Aerospace - 0.7% | ||||
American Airlines, Inc. pass-thru certificates Series 2013-1B Class B, 5.625% 1/15/21 (d) | $ 315,000 | $ 322,875 | ||
GenCorp, Inc. 7.125% 3/15/21 (d) | 580,000 | 624,950 | ||
TransDigm, Inc. 5.5% 10/15/20 (d) | 4,010,000 | 4,280,675 | ||
Triumph Group, Inc. 4.875% 4/1/21 (d) | 1,420,000 | 1,469,700 | ||
| 6,698,200 | |||
Air Transportation - 3.0% | ||||
Air Canada: | ||||
5.375% 11/15/22 (d)(f) | 335,000 | 342,119 | ||
6.625% 5/15/18 (d)(f) | 1,945,000 | 1,986,331 | ||
12% 2/1/16 (d) | 2,620,000 | 2,865,625 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 9.798% 4/1/21 | 1,269,344 | 1,440,706 | ||
6.125% 4/29/18 (d) | 345,000 | 351,900 | ||
6.25% 10/22/21 | 2,275,000 | 2,388,750 | ||
6.75% 9/15/15 (d) | 5,315,000 | 5,560,819 | ||
9.25% 5/10/17 | 1,548,101 | 1,735,809 | ||
Delta Air Lines, Inc. pass-thru certificates Series 2012-1B Class B, 6.875% 5/7/19 (d) | 2,735,000 | 2,899,100 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.375% 1/2/16 | 1,375,000 | 1,433,438 | ||
6.75% 11/23/15 | 1,375,000 | 1,447,188 | ||
8.021% 8/10/22 | 1,209,549 | 1,330,504 | ||
8.954% 8/10/14 | 996,980 | 1,046,829 | ||
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17 | 362,382 | 390,920 | ||
U.S. Airways pass-thru Trust Series 2013-1: | ||||
Class A, 3.95% 5/15/27 | 1,085,000 | 1,095,850 | ||
Class B, 5.375% 5/15/23 | 450,000 | 462,375 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 988,819 | 998,707 | ||
9.75% 1/15/17 | 1,191,322 | 1,381,933 | ||
12% 1/15/16 (d) | 354,032 | 400,056 | ||
| 29,558,959 | |||
Automotive - 3.9% | ||||
American Axle & Manufacturing, Inc. 6.25% 3/15/21 | 2,970,000 | 3,140,775 | ||
Chrysler Group LLC/CG Co-Issuer, Inc.: | ||||
8% 6/15/19 | 5,325,000 | 5,964,000 | ||
8.25% 6/15/21 | 4,060,000 | 4,648,700 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 985,000 | 1,063,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Automotive - continued | ||||
Dana Holding Corp.: - continued | ||||
6.75% 2/15/21 | $ 1,210,000 | $ 1,327,975 | ||
Ford Motor Co. 7.45% 7/16/31 | 2,815,000 | 3,745,574 | ||
Ford Motor Credit Co. LLC: | ||||
5% 5/15/18 | 3,255,000 | 3,601,007 | ||
5.875% 8/2/21 | 1,180,000 | 1,376,887 | ||
6.625% 8/15/17 | 1,390,000 | 1,633,953 | ||
8% 12/15/16 | 1,975,000 | 2,377,337 | ||
General Motors Financial Co., Inc.: | ||||
4.75% 8/15/17 (d) | 2,285,000 | 2,410,675 | ||
6.75% 6/1/18 | 1,800,000 | 2,052,000 | ||
Schaeffler Finance BV 4.75% 5/15/21 (d) | 950,000 | 964,250 | ||
Tenneco, Inc. 6.875% 12/15/20 | 1,405,000 | 1,550,769 | ||
TRW Automotive, Inc. 4.5% 3/1/21 (d) | 2,445,000 | 2,530,575 | ||
| 38,388,277 | |||
Banks & Thrifts - 0.1% | ||||
Synovus Financial Corp.: | ||||
5.125% 6/15/17 | 55,000 | 55,550 | ||
7.875% 2/15/19 | 495,000 | 568,013 | ||
| 623,563 | |||
Broadcasting - 0.7% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 1,555,000 | 1,586,100 | ||
Starz LLC/Starz Finance Corp. 5% 9/15/19 (d) | 2,135,000 | 2,225,738 | ||
Univision Communications, Inc. 6.875% 5/15/19 (d) | 1,450,000 | 1,573,250 | ||
UPC Holding BV 9.875% 4/15/18 (d) | 1,085,000 | 1,209,775 | ||
| 6,594,863 | |||
Building Materials - 2.7% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (d) | 290,000 | 301,600 | ||
Building Materials Corp. of America: | ||||
6.75% 5/1/21 (d) | 2,385,000 | 2,641,388 | ||
6.875% 8/15/18 (d) | 3,305,000 | 3,569,400 | ||
HD Supply, Inc.: | ||||
7.5% 7/15/20 (d) | 2,910,000 | 3,150,075 | ||
8.125% 4/15/19 | 3,390,000 | 3,834,938 | ||
10.5% 1/15/21 | 625,000 | 654,688 | ||
Headwaters, Inc. 7.625% 4/1/19 | 2,175,000 | 2,349,000 | ||
Masco Corp. 5.95% 3/15/22 | 3,400,000 | 3,848,059 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Building Materials - continued | ||||
Texas Industries, Inc. 9.25% 8/15/20 | $ 2,765,000 | $ 3,079,519 | ||
USG Corp. 7.875% 3/30/20 (d) | 2,680,000 | 3,048,500 | ||
| 26,477,167 | |||
Cable TV - 5.8% | ||||
Cablevision Systems Corp.: | ||||
5.875% 9/15/22 | 2,925,000 | 2,954,250 | ||
7.75% 4/15/18 | 530,000 | 603,538 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 1,320,000 | 1,333,200 | ||
5.75% 9/1/23 (d) | 1,290,000 | 1,338,375 | ||
5.75% 1/15/24 (f) | 2,305,000 | 2,391,438 | ||
6.5% 4/30/21 | 6,400,000 | 6,944,000 | ||
6.625% 1/31/22 | 2,050,000 | 2,244,750 | ||
7% 1/15/19 | 5,280,000 | 5,728,800 | ||
7.25% 10/30/17 | 9,485,000 | 10,255,656 | ||
7.875% 4/30/18 | 2,520,000 | 2,680,020 | ||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (d) | 2,255,000 | 2,395,938 | ||
Cogeco Cable, Inc. 4.875% 5/1/20 (d) | 450,000 | 459,585 | ||
CSC Holdings LLC: | ||||
6.75% 11/15/21 | 440,000 | 502,700 | ||
8.625% 2/15/19 | 2,895,000 | 3,524,663 | ||
Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (d) | 890,000 | 1,009,038 | ||
Lynx I Corp. 5.375% 4/15/21 (d) | 1,625,000 | 1,746,875 | ||
Lynx II Corp. 6.375% 4/15/23 (d) | 355,000 | 385,175 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH: | ||||
5.5% 1/15/23 (d) | 1,115,000 | 1,154,025 | ||
7.5% 3/15/19 (d) | 660,000 | 724,350 | ||
UPCB Finance III Ltd. 6.625% 7/1/20 (d) | 1,665,000 | 1,802,363 | ||
UPCB Finance V Ltd. 7.25% 11/15/21 (d) | 3,505,000 | 3,908,075 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 1,140,000 | 1,162,800 | ||
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (d) | 2,045,000 | 2,177,925 | ||
| 57,427,539 | |||
Capital Goods - 0.6% | ||||
Amsted Industries, Inc. 8.125% 3/15/18 (d) | 2,040,000 | 2,203,200 | ||
JB Poindexter & Co., Inc. 9% 4/1/22 (d) | 3,615,000 | 3,800,269 | ||
| 6,003,469 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Chemicals - 2.5% | ||||
Ashland, Inc.: | ||||
3% 3/15/16 (d) | $ 750,000 | $ 766,875 | ||
3.875% 4/15/18 (d) | 710,000 | 733,075 | ||
Axiall Corp. 4.875% 5/15/23 (d) | 1,100,000 | 1,141,250 | ||
Celanese U.S. Holdings LLC: | ||||
4.625% 11/15/22 | 1,110,000 | 1,154,400 | ||
6.625% 10/15/18 | 430,000 | 466,550 | ||
Eagle Spinco, Inc. 4.625% 2/15/21 (d) | 535,000 | 561,750 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 (d) | 2,335,000 | 2,434,238 | ||
INEOS Finance PLC 8.375% 2/15/19 (d) | 2,920,000 | 3,292,300 | ||
Kinove German Bondco GmbH 9.625% 6/15/18 (d) | 2,307,000 | 2,606,910 | ||
LyondellBasell Industries NV: | ||||
5% 4/15/19 | 2,055,000 | 2,341,853 | ||
6% 11/15/21 | 635,000 | 770,449 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (d) | 310,000 | 318,525 | ||
Rockwood Specialties Group, Inc. 4.625% 10/15/20 | 1,870,000 | 1,976,123 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (d) | 3,365,000 | 3,369,206 | ||
Tronox Finance LLC 6.375% 8/15/20 (d) | 2,340,000 | 2,334,150 | ||
| 24,267,654 | |||
Containers - 2.5% | ||||
Ardagh Packaging Finance PLC 7.375% 10/15/17 (d) | 3,630,000 | 4,002,075 | ||
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.: | ||||
7% 11/15/20 (d) | 595,000 | 629,213 | ||
7.375% 10/15/17 (d) | 235,000 | 258,500 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 (d) | 2,645,000 | 2,701,206 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 300,000 | 309,750 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 5,125,000 | 5,342,813 | ||
7.875% 8/15/19 | 1,945,000 | 2,178,400 | ||
8.5% 5/15/18 (c) | 870,000 | 926,550 | ||
9.875% 8/15/19 | 4,065,000 | 4,562,963 | ||
Sealed Air Corp.: | ||||
5.25% 4/1/23 (d) | 490,000 | 491,225 | ||
6.5% 12/1/20 (d) | 910,000 | 1,016,925 | ||
8.125% 9/15/19 (d) | 1,110,000 | 1,262,625 | ||
8.375% 9/15/21 (d) | 810,000 | 943,650 | ||
| 24,625,895 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Diversified Financial Services - 6.9% | ||||
Aircastle Ltd.: | ||||
6.25% 12/1/19 | $ 1,175,000 | $ 1,310,125 | ||
6.75% 4/15/17 | 1,375,000 | 1,524,531 | ||
9.75% 8/1/18 | 3,540,000 | 4,040,025 | ||
CIT Group, Inc.: | ||||
4.25% 8/15/17 | 2,190,000 | 2,321,400 | ||
5% 5/15/17 | 2,225,000 | 2,425,250 | ||
5% 8/15/22 | 1,740,000 | 1,945,892 | ||
5.25% 3/15/18 | 3,365,000 | 3,718,325 | ||
5.375% 5/15/20 | 1,485,000 | 1,674,338 | ||
5.5% 2/15/19 (d) | 4,000,000 | 4,510,000 | ||
6.625% 4/1/18 (d) | 2,045,000 | 2,387,538 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 3,990,000 | 4,154,588 | ||
8% 1/15/18 | 7,985,000 | 8,583,875 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (d)(g) | 870,000 | 826,500 | ||
International Lease Finance Corp.: | ||||
4.875% 4/1/15 | 2,305,000 | 2,422,790 | ||
5.65% 6/1/14 | 900,000 | 934,497 | ||
5.75% 5/15/16 | 3,280,000 | 3,567,600 | ||
5.875% 4/1/19 | 1,025,000 | 1,124,825 | ||
5.875% 8/15/22 | 4,565,000 | 5,031,091 | ||
6.25% 5/15/19 | 1,485,000 | 1,665,056 | ||
8.625% 9/15/15 | 4,640,000 | 5,295,632 | ||
8.625% 1/15/22 | 2,750,000 | 3,575,000 | ||
8.75% 3/15/17 | 760,000 | 910,100 | ||
8.875% 9/1/17 | 3,060,000 | 3,714,075 | ||
| 67,663,053 | |||
Diversified Media - 1.8% | ||||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (d) | 1,810,000 | 1,923,125 | ||
6.5% 11/15/22 (d) | 3,425,000 | 3,673,313 | ||
MDC Partners, Inc. 6.75% 4/1/20 (d) | 760,000 | 790,400 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
4.5% 10/1/20 (d) | 1,410,000 | 1,439,963 | ||
7.75% 10/15/18 | 2,715,000 | 3,027,225 | ||
Quebecor Media, Inc.: | ||||
5.75% 1/15/23 (d) | 3,540,000 | 3,699,300 | ||
7.75% 3/15/16 | 1,623,000 | 1,651,403 | ||
7.75% 3/15/16 | 1,299,000 | 1,321,733 | ||
| 17,526,462 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Electric Utilities - 6.6% | ||||
Atlantic Power Corp. 9% 11/15/18 | $ 3,340,000 | $ 3,515,350 | ||
Dolphin Subsidiary II, Inc. 6.5% 10/15/16 | 2,860,000 | 3,060,200 | ||
GenOn Energy, Inc.: | ||||
9.5% 10/15/18 | 2,190,000 | 2,600,625 | ||
9.875% 10/15/20 | 1,745,000 | 2,015,475 | ||
InterGen NV 9% 6/30/17 (d) | 4,165,000 | 4,217,063 | ||
IPALCO Enterprises, Inc. 5% 5/1/18 | 980,000 | 1,058,400 | ||
Mirant Americas Generation LLC: | ||||
8.5% 10/1/21 | 3,505,000 | 4,153,425 | ||
9.125% 5/1/31 | 5,390,000 | 6,090,700 | ||
NRG Energy, Inc. 6.625% 3/15/23 (d) | 5,610,000 | 6,114,900 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (d) | 7,675,000 | 8,250,625 | ||
NV Energy, Inc. 6.25% 11/15/20 | 2,125,000 | 2,623,859 | ||
Otter Tail Corp. 9% 12/15/16 | 1,675,000 | 1,943,000 | ||
Puget Energy, Inc.: | ||||
5.625% 7/15/22 | 775,000 | 869,262 | ||
6.5% 12/15/20 | 2,115,000 | 2,473,791 | ||
RRI Energy, Inc. 7.625% 6/15/14 | 3,245,000 | 3,447,813 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 355,000 | 362,100 | ||
7.375% 7/1/21 | 6,775,000 | 8,062,250 | ||
7.75% 10/15/15 | 410,000 | 459,200 | ||
8% 10/15/17 | 2,220,000 | 2,658,450 | ||
9.75% 4/15/16 | 905,000 | 1,095,050 | ||
| 65,071,538 | |||
Energy - 10.6% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 1,405,000 | 1,447,150 | ||
Antero Resources Finance Corp.: | ||||
6% 12/1/20 | 2,210,000 | 2,347,683 | ||
7.25% 8/1/19 | 1,270,000 | 1,377,950 | ||
9.375% 12/1/17 | 2,900,000 | 3,153,750 | ||
Chesapeake Energy Corp.: | ||||
5.375% 6/15/21 | 1,645,000 | 1,714,913 | ||
5.75% 3/15/23 | 1,070,000 | 1,160,950 | ||
6.125% 2/15/21 | 7,200,000 | 7,920,000 | ||
6.875% 11/15/20 | 1,380,000 | 1,576,650 | ||
Chesapeake Midstream Partners LP/CHKM Finance Corp.: | ||||
5.875% 4/15/21 | 1,030,000 | 1,112,400 | ||
6.125% 7/15/22 | 2,375,000 | 2,606,563 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Energy - continued | ||||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (d) | $ 1,135,000 | $ 1,169,050 | ||
Continental Resources, Inc. 4.5% 4/15/23 (d) | 2,240,000 | 2,368,800 | ||
Crestwood Midstream Partners LP/Finance Corp. 7.75% 4/1/19 | 940,000 | 982,300 | ||
Denbury Resources, Inc. 6.375% 8/15/21 | 1,555,000 | 1,714,388 | ||
Energy Partners Ltd. 8.25% 2/15/18 | 390,000 | 420,225 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 2,025,000 | 2,369,250 | ||
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22 | 1,695,000 | 1,915,350 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc.: | ||||
6.875% 5/1/19 | 1,130,000 | 1,235,938 | ||
9.375% 5/1/20 | 4,570,000 | 5,312,625 | ||
Expro Finance Luxembourg SCA 8.5% 12/15/16 (d) | 2,013,000 | 2,148,878 | ||
Exterran Holdings, Inc. 7.25% 12/1/18 | 3,260,000 | 3,496,350 | ||
Exterran Partners LP/EXLP Finance Corp. 6% 4/1/21 (d) | 2,755,000 | 2,823,875 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,200,000 | 3,160,000 | ||
Forest Oil Corp. 7.5% 9/15/20 (d) | 2,795,000 | 2,976,675 | ||
Frontier Oil Corp. 6.875% 11/15/18 | 555,000 | 601,481 | ||
Hornbeck Offshore Services, Inc. 5% 3/1/21 (d) | 1,570,000 | 1,577,850 | ||
Kinder Morgan Finance Co. LLC 6% 1/15/18 (d) | 2,835,000 | 3,148,877 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (d) | 2,435,000 | 2,544,575 | ||
6.5% 5/15/19 | 2,010,000 | 2,120,550 | ||
7.75% 2/1/21 | 1,660,000 | 1,817,700 | ||
8.625% 4/15/20 | 2,100,000 | 2,346,750 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (d) | 2,150,000 | 2,289,750 | ||
Offshore Group Investment Ltd.: | ||||
7.125% 4/1/23 (d) | 1,200,000 | 1,257,000 | ||
7.5% 11/1/19 (d) | 1,980,000 | 2,148,300 | ||
Oil States International, Inc. 6.5% 6/1/19 | 2,370,000 | 2,547,750 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 | 2,305,000 | 2,598,888 | ||
Petroleum Geo-Services ASA 7.375% 12/15/18 (d) | 2,040,000 | 2,264,400 | ||
Precision Drilling Corp.: | ||||
6.5% 12/15/21 | 200,000 | 216,500 | ||
6.625% 11/15/20 | 1,760,000 | 1,892,000 | ||
Rosetta Resources, Inc. 5.625% 5/1/21 (f) | 890,000 | 927,825 | ||
Samson Investment Co. 9.75% 2/15/20 (d) | 3,645,000 | 3,872,813 | ||
SESI LLC 7.125% 12/15/21 | 3,430,000 | 3,901,625 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Energy - continued | ||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.5% 10/1/18 | $ 1,342,000 | $ 1,462,780 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
5.25% 5/1/23 (d) | 1,695,000 | 1,779,750 | ||
6.375% 8/1/22 | 520,000 | 581,100 | ||
6.875% 2/1/21 | 1,955,000 | 2,170,050 | ||
7.875% 10/15/18 | 1,830,000 | 2,013,000 | ||
Tesoro Corp. 4.25% 10/1/17 | 245,000 | 257,863 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (d) | 210,000 | 223,650 | ||
Western Refining, Inc. 6.25% 4/1/21 (d) | 1,425,000 | 1,467,750 | ||
| 104,542,290 | |||
Environmental - 1.2% | ||||
ADS Waste Holdings, Inc. 8.25% 10/1/20 (d) | 2,790,000 | 3,041,100 | ||
Clean Harbors, Inc.: | ||||
5.125% 6/1/21 (d) | 615,000 | 644,213 | ||
5.25% 8/1/20 | 1,715,000 | 1,813,613 | ||
Covanta Holding Corp.: | ||||
6.375% 10/1/22 | 935,000 | 1,023,119 | ||
7.25% 12/1/20 | 2,621,000 | 2,911,630 | ||
Tervita Corp.: | ||||
8% 11/15/18 (d) | 835,000 | 874,663 | ||
9.75% 11/1/19 (d) | 1,965,000 | 1,930,613 | ||
| 12,238,951 | |||
Food & Drug Retail - 2.9% | ||||
ESAL GmbH 6.25% 2/5/23 (d) | 3,240,000 | 3,220,560 | ||
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (d) | 2,355,000 | 2,393,269 | ||
Rite Aid Corp.: | ||||
9.25% 3/15/20 | 11,205,000 | 12,941,740 | ||
9.5% 6/15/17 | 10,075,000 | 10,478,000 | ||
| 29,033,569 | |||
Food/Beverage/Tobacco - 0.9% | ||||
Constellation Brands, Inc.: | ||||
3.75% 5/1/21 (f) | 285,000 | 285,000 | ||
4.25% 5/1/23 (f) | 425,000 | 425,000 | ||
JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (d) | 5,025,000 | 5,552,625 | ||
Post Holdings, Inc. 7.375% 2/15/22 | 2,750,000 | 3,052,500 | ||
| 9,315,125 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Gaming - 3.1% | ||||
Ameristar Casinos, Inc. 7.5% 4/15/21 | $ 4,255,000 | $ 4,733,688 | ||
MCE Finance Ltd. 5% 2/15/21 (d) | 2,630,000 | 2,656,300 | ||
MGM Mirage, Inc.: | ||||
6.625% 12/15/21 | 2,005,000 | 2,170,413 | ||
6.75% 10/1/20 (d) | 2,925,000 | 3,202,875 | ||
7.5% 6/1/16 | 1,805,000 | 2,032,881 | ||
7.625% 1/15/17 | 5,570,000 | 6,217,513 | ||
8.625% 2/1/19 | 1,785,000 | 2,110,763 | ||
10% 11/1/16 | 2,235,000 | 2,709,938 | ||
11.375% 3/1/18 | 1,655,000 | 2,134,950 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
5.375% 3/15/22 | 1,195,000 | 1,284,625 | ||
7.75% 8/15/20 | 1,285,000 | 1,452,050 | ||
| 30,705,996 | |||
Healthcare - 4.1% | ||||
DaVita, Inc. 5.75% 8/15/22 | 3,920,000 | 4,174,800 | ||
DJO Finance LLC/DJO Finance Corp.: | ||||
7.75% 4/15/18 | 950,000 | 992,750 | ||
8.75% 3/15/18 | 110,000 | 123,750 | ||
9.875% 4/15/18 | 1,555,000 | 1,710,500 | ||
Emergency Medical Services Corp. 8.125% 6/1/19 | 4,075,000 | 4,513,063 | ||
Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (d) | 5,000,000 | 5,500,000 | ||
HealthSouth Corp. 7.25% 10/1/18 | 2,785,000 | 3,014,763 | ||
Legend Acquisition Sub, Inc. 10.75% 8/15/20 (d) | 1,500,000 | 1,290,000 | ||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 | 1,780,000 | 1,940,200 | ||
Omega Healthcare Investors, Inc.: | ||||
6.75% 10/15/22 | 1,565,000 | 1,741,063 | ||
7.5% 2/15/20 | 1,190,000 | 1,326,850 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 2,820,000 | 3,073,800 | ||
Valeant Pharmaceuticals International: | ||||
6.5% 7/15/16 (d) | 3,655,000 | 3,808,053 | ||
6.875% 12/1/18 (d) | 3,290,000 | 3,581,988 | ||
VPI Escrow Corp. 6.375% 10/15/20 (d) | 3,775,000 | 4,180,813 | ||
| 40,972,393 | |||
Homebuilders/Real Estate - 4.7% | ||||
CB Richard Ellis Services, Inc.: | ||||
5% 3/15/23 | 1,510,000 | 1,545,938 | ||
6.625% 10/15/20 | 2,775,000 | 3,031,688 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Homebuilders/Real Estate - continued | ||||
D.R. Horton, Inc.: | ||||
3.625% 2/15/18 | $ 2,335,000 | $ 2,390,456 | ||
4.375% 9/15/22 | 3,175,000 | 3,230,563 | ||
4.75% 5/15/17 | 905,000 | 970,613 | ||
4.75% 2/15/23 | 780,000 | 803,400 | ||
Lennar Corp.: | ||||
4.125% 12/1/18 (d) | 2,335,000 | 2,381,700 | ||
4.75% 11/15/22 (d) | 2,655,000 | 2,681,550 | ||
6.95% 6/1/18 | 1,575,000 | 1,805,344 | ||
12.25% 6/1/17 | 3,790,000 | 5,078,600 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 8,550,000 | 10,174,500 | ||
8.375% 1/15/21 | 6,520,000 | 7,807,700 | ||
10.75% 9/15/16 | 1,650,000 | 2,058,375 | ||
Toll Brothers Finance Corp. 4.375% 4/15/23 | 2,310,000 | 2,367,750 | ||
| 46,328,177 | |||
Leisure - 1.4% | ||||
Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21 (d) | 1,425,000 | 1,457,063 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 1,280,000 | 1,446,400 | ||
NCL Corp. Ltd. 5% 2/15/18 (d) | 3,650,000 | 3,796,000 | ||
Royal Caribbean Cruises Ltd.: | ||||
5.25% 11/15/22 | 2,475,000 | 2,561,625 | ||
7.25% 3/15/18 | 950,000 | 1,096,063 | ||
7.5% 10/15/27 | 1,925,000 | 2,194,500 | ||
yankee 7.25% 6/15/16 | 1,470,000 | 1,668,450 | ||
| 14,220,101 | |||
Metals/Mining - 2.1% | ||||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 1,795,000 | 1,678,325 | ||
6.25% 6/1/21 | 175,000 | 160,563 | ||
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (d) | 205,000 | 212,688 | ||
Boart Longyear Management Pty Ltd. 7% 4/1/21 (d) | 2,400,000 | 2,448,000 | ||
CONSOL Energy, Inc. 8% 4/1/17 | 2,580,000 | 2,792,850 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6.375% 2/1/16 (d) | 2,245,000 | 2,329,188 | ||
7% 11/1/15 (d) | 7,570,000 | 7,929,575 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Metals/Mining - continued | ||||
Peabody Energy Corp. 6.25% 11/15/21 | $ 695,000 | $ 741,044 | ||
Walter Energy, Inc. 8.5% 4/15/21 (d) | 2,235,000 | 2,329,988 | ||
| 20,622,221 | |||
Paper - 0.2% | ||||
Sappi Papier Holding GmbH 7.75% 7/15/17 (d) | 1,630,000 | 1,813,375 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 | 180,000 | 184,050 | ||
| 1,997,425 | |||
Publishing/Printing - 0.2% | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (d) | 1,960,000 | 2,033,500 | ||
Restaurants - 0.3% | ||||
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5% 1/15/20 | 2,685,000 | 3,151,519 | ||
Services - 2.6% | ||||
APX Group, Inc.: | ||||
6.375% 12/1/19 (d) | 3,090,000 | 3,113,175 | ||
8.75% 12/1/20 (d) | 2,550,000 | 2,690,250 | ||
ARAMARK Corp. 5.75% 3/15/20 (d) | 1,090,000 | 1,141,775 | ||
FTI Consulting, Inc.: | ||||
6% 11/15/22 (d) | 1,290,000 | 1,377,075 | ||
6.75% 10/1/20 | 2,165,000 | 2,351,840 | ||
Hertz Corp.: | ||||
4.25% 4/1/18 (d) | 2,005,000 | 2,075,175 | ||
6.75% 4/15/19 | 5,205,000 | 5,764,538 | ||
7.5% 10/15/18 | 2,880,000 | 3,189,600 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (d) | 295,000 | 303,850 | ||
TransUnion Holding Co., Inc. 8.125% 6/15/18 pay-in-kind (d) | 2,975,000 | 3,198,125 | ||
| 25,205,403 | |||
Shipping - 0.3% | ||||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 | 2,740,000 | 2,883,850 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (d) | 270,000 | 294,975 | ||
| 3,178,825 | |||
Steel - 1.5% | ||||
JMC Steel Group, Inc. 8.25% 3/15/18 (d) | 3,040,000 | 3,180,600 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 7,255,000 | 7,799,125 | ||
Steel Dynamics, Inc.: | ||||
5.25% 4/15/23 (d) | 460,000 | 473,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Steel - continued | ||||
Steel Dynamics, Inc.: - continued | ||||
6.125% 8/15/19 (d) | $ 885,000 | $ 969,075 | ||
7.625% 3/15/20 | 2,305,000 | 2,581,600 | ||
| 15,004,200 | |||
Super Retail - 1.2% | ||||
Claire's Stores, Inc. 9% 3/15/19 (d) | 2,345,000 | 2,687,956 | ||
CST Brands, Inc. 5% 5/1/23 (d) | 255,000 | 261,694 | ||
J. Crew Group, Inc. 8.125% 3/1/19 | 5,050,000 | 5,422,438 | ||
Jaguar Land Rover PLC 5.625% 2/1/23 (d) | 1,725,000 | 1,802,625 | ||
Netflix, Inc. 5.375% 2/1/21 (d) | 1,555,000 | 1,597,763 | ||
| 11,772,476 | |||
Technology - 5.0% | ||||
Brocade Communications Systems, Inc. 4.625% 1/15/23 (d) | 2,210,000 | 2,187,900 | ||
Ceridian Corp. 11.25% 11/15/15 | 2,950,000 | 3,056,938 | ||
First Data Corp.: | ||||
6.75% 11/1/20 (d) | 3,640,000 | 3,913,000 | ||
7.375% 6/15/19 (d) | 985,000 | 1,066,263 | ||
12.625% 1/15/21 | 875,000 | 949,375 | ||
Flextronics International Ltd. 4.625% 2/15/20 (d) | 1,930,000 | 1,973,425 | ||
Freescale Semiconductor, Inc. 8.05% 2/1/20 | 2,940,000 | 3,156,825 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (d) | 1,230,000 | 1,236,150 | ||
NCR Corp. 4.625% 2/15/21 (d) | 2,375,000 | 2,375,000 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (d) | 6,670,000 | 6,870,100 | ||
NXP BV/NXP Funding LLC 5.75% 2/15/21 (d) | 2,090,000 | 2,215,400 | ||
Sanmina-SCI Corp. 7% 5/15/19 (d) | 6,515,000 | 6,873,325 | ||
Softbank Corp. 4.5% 4/15/20 (d) | 2,375,000 | 2,458,125 | ||
Spansion LLC 7.875% 11/15/17 | 3,065,000 | 3,202,925 | ||
VeriSign, Inc. 4.625% 5/1/23 (d) | 2,085,000 | 2,137,125 | ||
Viasystems, Inc. 7.875% 5/1/19 (d) | 1,935,000 | 2,065,613 | ||
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | ||||
10.25% 7/15/19 (d) | 1,995,000 | 2,239,388 | ||
13.375% 10/15/19 (d) | 1,070,000 | 1,243,875 | ||
| 49,220,752 | |||
Telecommunications - 8.6% | ||||
Altice Financing SA 7.875% 12/15/19 (d) | 460,000 | 508,300 | ||
Altice Finco SA 9.875% 12/15/20 (d) | 1,590,000 | 1,811,010 | ||
Crown Castle International Corp. 5.25% 1/15/23 | 1,680,000 | 1,755,600 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (d) | 5,395,000 | 5,408,488 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount | Value | ||
Telecommunications - continued | ||||
Digicel Group Ltd.: - continued | ||||
7% 2/15/20 (d) | $ 200,000 | $ 208,000 | ||
8.25% 9/1/17 (d) | 3,535,000 | 3,711,750 | ||
8.25% 9/30/20 (d) | 4,965,000 | 5,312,550 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (d) | 3,230,000 | 3,278,450 | ||
Equinix, Inc.: | ||||
4.875% 4/1/20 | 980,000 | 1,024,100 | ||
5.375% 4/1/23 | 790,000 | 827,525 | ||
Intelsat Jackson Holdings SA: | ||||
6.625% 12/15/22 (d) | 2,140,000 | 2,316,550 | ||
7.25% 4/1/19 | 2,505,000 | 2,755,500 | ||
7.25% 10/15/20 | 1,990,000 | 2,208,900 | ||
7.5% 4/1/21 | 1,370,000 | 1,541,250 | ||
Intelsat Luxembourg SA: | ||||
7.75% 6/1/21 (d) | 5,565,000 | 5,871,075 | ||
8.125% 6/1/23 (d) | 1,985,000 | 2,114,025 | ||
11.25% 2/4/17 | 3,946,000 | 4,207,423 | ||
MasTec, Inc. 4.875% 3/15/23 | 1,020,000 | 1,020,000 | ||
NeuStar, Inc. 4.5% 1/15/23 (d) | 1,935,000 | 1,876,950 | ||
SBA Communications Corp. 5.625% 10/1/19 (d) | 4,005,000 | 4,215,263 | ||
Sprint Capital Corp. 6.875% 11/15/28 | 1,030,000 | 1,053,175 | ||
Sprint Nextel Corp.: | ||||
6% 12/1/16 | 7,142,000 | 7,725,501 | ||
6% 11/15/22 | 4,120,000 | 4,284,800 | ||
7% 3/1/20 (d) | 2,210,000 | 2,513,875 | ||
7% 8/15/20 | 2,970,000 | 3,252,150 | ||
9% 11/15/18 (d) | 955,000 | 1,174,650 | ||
Telesat Canada/Telesat LLC 6% 5/15/17 (d) | 5,640,000 | 6,006,600 | ||
TW Telecom Holdings, Inc. 5.375% 10/1/22 | 1,780,000 | 1,864,550 | ||
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (d)(g) | 2,085,356 | 2,162,746 | ||
Zayo Group LLC/Zayo Capital, Inc. 8.125% 1/1/20 | 2,425,000 | 2,740,250 | ||
| 84,751,006 | |||
Textiles & Apparel - 0.4% | ||||
Hanesbrands, Inc. 6.375% 12/15/20 | 3,340,000 | 3,682,350 | ||
TOTAL NONCONVERTIBLE BONDS (Cost $812,712,993) |
|
Common Stocks - 0.1% | |||
Shares | Value | ||
Telecommunications - 0.1% | |||
CUI Acquisition Corp. Class E (a)(d) | 1 | $ 592,559 | |
Convertible Preferred Stocks - 0.4% | |||
|
|
|
|
Automotive - 0.4% | |||
General Motors Co. 4.75% | 78,400 |
|
Floating Rate Loans - 3.2% | ||||
| Principal Amount |
| ||
Air Transportation - 1.0% | ||||
Delta Air Lines, Inc.: | ||||
Tranche B 1LN, term loan: | ||||
4% 10/18/18 (g) | $ 3,286,763 | 3,253,895 | ||
4.25% 4/20/17 (g) | 4,120,036 | 4,171,537 | ||
Tranche B 2LN, term loan 3.25% 4/18/16 (g) | 822,938 | 831,167 | ||
US Airways Group, Inc. term loan 2.6992% 3/23/14 (g) | 1,965,592 | 1,963,135 | ||
| 10,219,734 | |||
Cable TV - 0.4% | ||||
Harron Communications LP Tranche B, term loan 5% 10/6/17 (g) | 1,909,879 | 1,938,527 | ||
UPC Broadband Holding BV Tranche AF, term loan 4% 1/31/21 (g) | 1,960,000 | 1,979,600 | ||
| 3,918,127 | |||
Energy - 0.5% | ||||
Chesapeake Energy Corp. Tranche B, term loan 5.75% 12/2/17 (g) | 3,260,000 | 3,374,100 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 9.75% 3/26/18 (g) | 1,155,923 | 1,193,491 | ||
| 4,567,591 | |||
Insurance - 0.5% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (g) | 3,132,150 | 3,171,302 | ||
Lonestar Intermediate Super Holdings LLC term loan 11% 9/2/19 (g) | 1,820,000 | 1,956,500 | ||
| 5,127,802 | |||
Floating Rate Loans - continued | ||||
| Principal Amount | Value | ||
Leisure - 0.3% | ||||
Equinox Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 5/16/20 (g) | $ 1,075,000 | $ 1,101,875 | ||
Tranche B 1LN, term loan 4.5% 2/1/20 (g) | 2,010,000 | 2,035,125 | ||
| 3,137,000 | |||
Technology - 0.1% | ||||
First Data Corp. term loan 4.1992% 3/24/18 (g) | 1,110,000 | 1,107,225 | ||
Telecommunications - 0.4% | ||||
Intelsat Jackson Holdings SA term loan 3.2002% 2/1/14 (g) | 1,107,442 | 1,104,673 | ||
RP Crown Parent, LLC Tranche 1LN, term loan 6.75% 12/21/18 (g) | 2,294,250 | 2,334,399 | ||
| 3,439,072 | |||
TOTAL FLOATING RATE LOANS (Cost $30,441,032) |
|
Preferred Securities - 0.1% | |||
|
|
|
|
Entertainment/Film - 0.1% | |||
NBCUniversal Enterprise, Inc. 5.25% (d)(e) | 1,425,000 |
| |
Money Market Funds - 6.0% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.13% (b) | 59,478,225 |
| |
TOTAL INVESTMENT PORTFOLIO - 98.9% (Cost $908,686,987) | 975,596,260 | ||
NET OTHER ASSETS (LIABILITIES) - 1.1% | 10,721,997 | ||
NET ASSETS - 100% | $ 986,318,257 |
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) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) 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 $354,450,104 or 35.9% of net assets. |
(e) Security is perpetual in nature with no stated maturity date. |
(f) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(g) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
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 | $ 34,897 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 3,644,032 | $ 3,644,032 | $ - | $ - |
Telecommunication Services | 592,559 | - | - | 592,559 |
Corporate Bonds | 878,902,918 | - | 878,902,918 | - |
Floating Rate Loans | 31,516,551 | - | 31,516,551 | - |
Preferred Securities | 1,461,975 | - | 1,461,975 | - |
Money Market Funds | 59,478,225 | 59,478,225 | - | - |
Total Investments in Securities: | $ 975,596,260 | $ 63,122,257 | $ 911,881,444 | $ 592,559 |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 83.8% |
Luxembourg | 3.1% |
Canada | 2.9% |
Bermuda | 2.7% |
Australia | 1.3% |
Cayman Islands | 1.2% |
Netherlands | 1.1% |
Others (Individually Less Than 1%) | 3.9% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| April 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $849,208,762) | $ 916,118,035 |
|
Fidelity Central Funds (cost $59,478,225) | 59,478,225 |
|
Total Investments (cost $908,686,987) |
| $ 975,596,260 |
Cash |
| 934,792 |
Receivable for investments sold | 12,681,559 | |
Receivable for fund shares sold | 756,410 | |
Interest receivable | 14,830,730 | |
Distributions receivable from Fidelity Central Funds | 6,250 | |
Prepaid expenses | 993 | |
Receivable from investment adviser for expense reductions | 9,794 | |
Other receivables | 50 | |
Total assets | 1,004,816,838 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 9,674,171 | |
Delayed delivery | 6,185,000 | |
Payable for fund shares redeemed | 1,072,182 | |
Distributions payable | 660,586 | |
Accrued management fee | 458,714 | |
Distribution and service plan fees payable | 223,071 | |
Other affiliated payables | 187,034 | |
Other payables and accrued expenses | 37,823 | |
Total liabilities | 18,498,581 | |
|
|
|
Net Assets | $ 986,318,257 | |
Net Assets consist of: |
| |
Paid in capital | $ 894,119,312 | |
Undistributed net investment income | 11,385,848 | |
Accumulated undistributed net realized gain (loss) on investments | 13,903,824 | |
Net unrealized appreciation (depreciation) on investments | 66,909,273 | |
Net Assets | $ 986,318,257 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| April 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 8.94 | |
|
|
|
Maximum offering price per share (100/96.00 of $8.94) | $ 9.31 | |
Class T: | $ 8.92 | |
|
|
|
Maximum offering price per share (100/96.00 of $8.92) | $ 9.29 | |
Class B: | $ 8.91 | |
|
|
|
Class C: | $ 8.91 | |
|
|
|
Institutional Class: | $ 8.95 |
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
Statement of Operations
Six months ended April 30, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 128,572 |
Interest |
| 31,709,475 |
Income from Fidelity Central Funds |
| 34,897 |
Total income |
| 31,872,944 |
|
|
|
Expenses | ||
Management fee | $ 2,792,641 | |
Transfer agent fees | 976,033 | |
Distribution and service plan fees | 1,354,127 | |
Accounting fees and expenses | 177,464 | |
Custodian fees and expenses | 11,466 | |
Independent trustees' compensation | 3,159 | |
Registration fees | 42,425 | |
Audit | 34,625 | |
Legal | 3,139 | |
Miscellaneous | 4,434 | |
Total expenses before reductions | 5,399,513 | |
Expense reductions | (57,392) | 5,342,121 |
Net investment income (loss) | 26,530,823 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 18,838,776 | |
Change in net unrealized appreciation (depreciation) on investment securities | 13,236,267 | |
Net gain (loss) | 32,075,043 | |
Net increase (decrease) in net assets resulting from operations | $ 58,605,866 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 26,530,823 | $ 57,210,653 |
Net realized gain (loss) | 18,838,776 | 5,885,916 |
Change in net unrealized appreciation (depreciation) | 13,236,267 | 37,279,107 |
Net increase (decrease) in net assets resulting | 58,605,866 | 100,375,676 |
Distributions to shareholders from net investment income | (25,331,085) | (57,876,838) |
Distributions to shareholders from net realized gain | (10,710,606) | (4,909,609) |
Total distributions | (36,041,691) | (62,786,447) |
Share transactions - net increase (decrease) | (63,933,839) | 180,987,382 |
Redemption fees | 40,484 | 67,711 |
Total increase (decrease) in net assets | (41,329,180) | 218,644,322 |
|
|
|
Net Assets | ||
Beginning of period | 1,027,647,437 | 809,003,115 |
End of period (including undistributed net investment income of $11,385,848 and undistributed net investment income of $10,186,110, respectively) | $ 986,318,257 | $ 1,027,647,437 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.73 | $ 8.38 | $ 8.59 | $ 7.87 | $ 6.48 | $ 9.13 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .238 | .539 | .581 | .637 | .625 | .645 |
Net realized and unrealized gain (loss) | .293 | .411 | (.204) | .673 | 1.318 | (2.616) |
Total from investment operations | .531 | .950 | .377 | 1.310 | 1.943 | (1.971) |
Distributions from net investment income | (.227) | (.551) | (.589) | (.591) | (.556) | (.621) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.321) | (.601) | (.589) | (.591) | (.556) | (.681) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.94 | $ 8.73 | $ 8.38 | $ 8.59 | $ 7.87 | $ 6.48 |
Total Return B, C, D | 6.21% | 11.84% | 4.53% | 17.33% | 31.69% | (23.03)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.03% A | 1.03% | 1.04% | 1.06% | 1.09% | 1.12% |
Expenses net of fee waivers, if any | 1.03% A | 1.03% | 1.04% | 1.06% | 1.09% | 1.10% |
Expenses net of all reductions | 1.03% A | 1.03% | 1.04% | 1.06% | 1.08% | 1.10% |
Net investment income (loss) | 5.46% A | 6.35% | 6.82% | 7.81% | 8.91% | 7.65% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 333,161 | $ 331,436 | $ 264,110 | $ 278,577 | $ 282,936 | $ 89,571 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.72 | $ 8.37 | $ 8.57 | $ 7.86 | $ 6.48 | $ 9.12 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .236 | .536 | .578 | .633 | .622 | .645 |
Net realized and unrealized gain (loss) | .284 | .411 | (.193) | .665 | 1.310 | (2.606) |
Total from investment operations | .520 | .947 | .385 | 1.298 | 1.932 | (1.961) |
Distributions from net investment income | (.226) | (.548) | (.587) | (.589) | (.555) | (.621) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.320) | (.598) | (.587) | (.589) | (.555) | (.681) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.92 | $ 8.72 | $ 8.37 | $ 8.57 | $ 7.86 | $ 6.48 |
Total Return B, C, D | 6.09% | 11.83% | 4.63% | 17.17% | 31.52% | (22.94)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.06% A | 1.06% | 1.07% | 1.11% | 1.16% | 1.19% |
Expenses net of fee waivers, if any | 1.06% A | 1.06% | 1.07% | 1.10% | 1.10% | 1.10% |
Expenses net of all reductions | 1.06% A | 1.06% | 1.07% | 1.10% | 1.10% | 1.10% |
Net investment income (loss) | 5.44% A | 6.32% | 6.79% | 7.78% | 8.89% | 7.65% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 104,653 | $ 105,518 | $ 92,746 | $ 119,576 | $ 111,601 | $ 43,018 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 | $ 9.11 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .206 | .477 | .521 | .579 | .571 | .593 |
Net realized and unrealized gain (loss) | .284 | .412 | (.204) | .676 | 1.317 | (2.609) |
Total from investment operations | .490 | .889 | .317 | 1.255 | 1.888 | (2.016) |
Distributions from net investment income | (.196) | (.490) | (.529) | (.536) | (.511) | (.566) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.290) | (.540) | (.529) | (.536) | (.511) | (.626) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.91 | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 |
Total Return B, C, D | 5.73% | 11.08% | 3.81% | 16.58% | 30.73% | (23.47)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.76% A | 1.76% | 1.77% | 1.80% | 1.81% | 1.82% |
Expenses net of fee waivers, if any | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Expenses net of all reductions | 1.75% A | 1.75% | 1.75% | 1.75% | 1.75% | 1.75% |
Net investment income (loss) | 4.74% A | 5.64% | 6.11% | 7.13% | 8.25% | 7.00% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 15,723 | $ 17,309 | $ 19,647 | $ 29,065 | $ 32,894 | $ 21,429 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 | $ 9.11 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .204 | .474 | .516 | .575 | .572 | .583 |
Net realized and unrealized gain (loss) | .284 | .412 | (.202) | .675 | 1.309 | (2.608) |
Total from investment operations | .488 | .886 | .314 | 1.250 | 1.881 | (2.025) |
Distributions from net investment income | (.194) | (.487) | (.526) | (.531) | (.504) | (.557) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.288) | (.537) | (.526) | (.531) | (.504) | (.617) |
Redemption fees added to paid in capital E | - I | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.91 | $ 8.71 | $ 8.36 | $ 8.57 | $ 7.85 | $ 6.47 |
Total Return B, C, D | 5.71% | 11.03% | 3.77% | 16.51% | 30.60% | (23.54)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.80% A | 1.79% | 1.79% | 1.81% | 1.85% | 1.86% |
Expenses net of fee waivers, if any | 1.80% A | 1.79% | 1.79% | 1.81% | 1.85% | 1.85% |
Expenses net of all reductions | 1.80% A | 1.79% | 1.79% | 1.81% | 1.85% | 1.85% |
Net investment income (loss) | 4.69% A | 5.60% | 6.08% | 7.07% | 8.15% | 6.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 145,845 | $ 149,591 | $ 120,710 | $ 121,796 | $ 98,361 | $ 30,619 |
Portfolio turnover rate G | 70% A | 48% | 75% | 79% | 54% | 62% |
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.
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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 8.75 | $ 8.40 | $ 8.60 | $ 7.88 | $ 6.49 | $ 9.14 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .246 | .556 | .598 | .655 | .637 | .669 |
Net realized and unrealized gain (loss) | .283 | .409 | (.195) | .673 | 1.323 | (2.619) |
Total from investment operations | .529 | .965 | .403 | 1.328 | 1.960 | (1.950) |
Distributions from net investment income | (.235) | (.566) | (.605) | (.609) | (.573) | (.642) |
Distributions from net realized gain | (.094) | (.050) | - | - | - | (.060) |
Total distributions | (.329) | (.616) | (.605) | (.609) | (.573) | (.702) |
Redemption fees added to paid in capital D | - H | .001 | .002 | .001 | .003 | .002 |
Net asset value, end of period | $ 8.95 | $ 8.75 | $ 8.40 | $ 8.60 | $ 7.88 | $ 6.49 |
Total Return B, C | 6.17% | 12.02% | 4.85% | 17.55% | 31.95% | (22.81)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .88% A | .88% | .88% | .89% | .90% | .92% |
Expenses net of fee waivers, if any | .85% A | .85% | .85% | .85% | .85% | .85% |
Expenses net of all reductions | .85% A | .85% | .85% | .85% | .85% | .85% |
Net investment income (loss) | 5.64% A | 6.54% | 7.01% | 8.03% | 9.15% | 7.90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 386,936 | $ 423,792 | $ 311,790 | $ 329,601 | $ 251,945 | $ 143,656 |
Portfolio turnover rate F | 70% A | 48% | 75% | 79% | 54% | 62% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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 Amount represents less than $.001 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013 (Unaudited)
1. Organization.
Fidelity Advisor® High Income 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 and Institutional Class 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 Fidelity Management & Research Company (FMR)and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 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 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:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans and preferred securities, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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.
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 April 30, 2013, is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. 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.
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 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. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
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 income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, 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. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to market discount, equity-debt classifications 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 | $ 70,358,129 |
Gross unrealized depreciation | (810,416) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 69,547,713 |
|
|
Tax cost | $ 906,048,547 |
Short-Term Trading (Redemption) Fees. Shares held by investors in the Fund less than 90 days are subject to a redemption fee equal to 1.00% of the net asset value of shares redeemed. All redemption fees, which reduce the proceeds of the shareholder redemption, are retained by the Fund and accounted for as an addition to paid in capital.
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
Semiannual Report
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $326,624,043 and $381,806,940, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
5. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, 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% | $ 410,429 | $ 13,613 |
Class T | -% | .25% | 130,053 | 1,463 |
Class B | .65% | .25% | 74,718 | 54,103 |
Class C | .75% | .25% | 738,927 | 136,631 |
|
|
| $ 1,354,127 | $ 205,810 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and 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 | $ 48,634 |
Class T | 4,992 |
Class B* | 14,640 |
Class C* | 9,276 |
| $ 77,542 |
* 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 FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
5. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 248,106 | .15 |
Class T | 92,593 | .18 |
Class B | 18,995 | .23 |
Class C | 121,043 | .17 |
Institutional Class | 495,296 | .25 |
| $ 976,033 |
|
* Annualized
Accounting Fees. Fidelity Service Company, Inc.(FSC),an affiliate of FMR, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month.
6. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,299 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
7. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| Expense | Reimbursement |
Class B | 1.75% | $ 1,077 |
Institutional Class | .85% | 55,774 |
|
| $ 56,851 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
7. Expense Reductions - continued
Many of the brokers with whom FMR places trades on behalf of the Fund provided services in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $14 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $527.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 8,496,546 | $ 19,266,751 |
Class T | 2,682,963 | 6,321,827 |
Class B | 372,079 | 1,064,774 |
Class C | 3,271,950 | 8,052,744 |
Institutional Class | 10,507,547 | 23,170,742 |
Total | $ 25,331,085 | $ 57,876,838 |
From net realized gain |
|
|
Class A | $ 3,484,186 | $ 1,593,045 |
Class T | 1,140,878 | 555,537 |
Class B | 184,860 | 113,946 |
Class C | 1,602,754 | 738,893 |
Institutional Class | 4,297,928 | 1,908,188 |
Total | $ 10,710,606 | $ 4,909,609 |
9. 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 | 4,196,039 | 13,554,378 | $ 36,886,104 | $ 114,785,238 |
Reinvestment of distributions | 1,073,769 | 1,908,278 | 9,422,209 | 16,124,689 |
Shares redeemed | (5,943,799) | (9,007,277) | (52,190,845) | (76,176,781) |
Net increase (decrease) | (673,991) | 6,455,379 | $ (5,882,532) | $ 54,733,146 |
Semiannual Report
9. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class T |
|
|
|
|
Shares sold | 925,436 | 3,062,937 | $ 8,110,732 | $ 26,048,550 |
Reinvestment of distributions | 359,399 | 651,829 | 3,148,105 | 5,492,540 |
Shares redeemed | (1,657,573) | (2,690,101) | (14,518,841) | (22,809,085) |
Net increase (decrease) | (372,738) | 1,024,665 | $ (3,260,004) | $ 8,732,005 |
Class B |
|
|
|
|
Shares sold | 49,365 | 215,184 | $ 431,999 | $ 1,821,747 |
Reinvestment of distributions | 48,438 | 104,068 | 423,702 | 874,542 |
Shares redeemed | (320,997) | (680,921) | (2,814,035) | (5,751,719) |
Net increase (decrease) | (223,194) | (361,669) | $ (1,958,334) | $ (3,055,430) |
Class C |
|
|
|
|
Shares sold | 1,661,811 | 6,558,912 | $ 14,561,330 | $ 55,308,268 |
Reinvestment of distributions | 438,669 | 802,942 | 3,838,583 | 6,764,675 |
Shares redeemed | (2,911,497) | (4,619,238) | (25,513,383) | (39,315,398) |
Net increase (decrease) | (811,017) | 2,742,616 | $ (7,113,470) | $ 22,757,545 |
Institutional Class |
|
|
|
|
Shares sold | 4,275,972 | 20,083,074 | $ 37,604,679 | $ 172,012,055 |
Reinvestment of distributions | 1,540,652 | 2,734,646 | 13,545,589 | 23,137,043 |
Shares redeemed | (11,044,203) | (11,495,654) | (96,869,767) | (97,328,982) |
Net increase (decrease) | (5,227,579) | 11,322,066 | $ (45,719,499) | $ 97,820,116 |
10. 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 Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
AHII-USAN-0613 1.784885.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Value
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
April 30, 2013
(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. © 2013 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 (November 1, 2012 to April 30, 2013).
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 | 1.25% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,189.10 | $ 6.78 |
HypotheticalA |
| $ 1,000.00 | $ 1,018.60 | $ 6.26 |
Class T | 1.50% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,187.20 | $ 8.13 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class B | 2.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,184.60 | $ 10.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Class C | 2.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,184.70 | $ 10.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Institutional Class | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,190.20 | $ 5.43 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Sempra Energy | 1.7 | 1.8 |
Edison International | 1.5 | 1.4 |
Berkshire Hathaway, Inc. Class B | 1.4 | 1.6 |
Northeast Utilities | 1.3 | 1.4 |
Marathon Petroleum Corp. | 1.1 | 0.4 |
Kennedy-Wilson Holdings, Inc. | 1.1 | 1.1 |
ITC Holdings Corp. | 1.0 | 1.1 |
Stanley Black & Decker, Inc. | 1.0 | 0.9 |
Ventas, Inc. | 1.0 | 0.9 |
U.S. Bancorp | 1.0 | 1.1 |
| 12.1 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 26.5 | 27.1 |
Industrials | 13.3 | 12.4 |
Information Technology | 10.7 | 10.6 |
Consumer Discretionary | 10.4 | 10.6 |
Utilities | 8.8 | 8.9 |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Stocks and |
| Stocks and |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 16.4% |
| ** Foreign investments | 16.3% |
|
Semiannual Report
Investments April 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.7% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 10.4% | |||
Auto Components - 1.0% | |||
Delphi Automotive PLC | 10,372 | $ 479,290 | |
Tenneco, Inc. (a) | 5,272 | 203,868 | |
| 683,158 | ||
Automobiles - 0.1% | |||
Harley-Davidson, Inc. | 1,828 | 99,900 | |
Diversified Consumer Services - 0.7% | |||
Anhanguera Educacional Participacoes SA | 2,476 | 44,564 | |
DeVry, Inc. | 3,014 | 84,422 | |
H&R Block, Inc. | 7,212 | 200,061 | |
Strayer Education, Inc. | 2,433 | 115,227 | |
| 444,274 | ||
Hotels, Restaurants & Leisure - 0.6% | |||
Brinker International, Inc. | 5,996 | 233,244 | |
Sonic Corp. (a) | 11,214 | 140,511 | |
| 373,755 | ||
Household Durables - 1.5% | |||
Harman International Industries, Inc. | 4,214 | 188,408 | |
Jarden Corp. (a) | 7,449 | 335,279 | |
Whirlpool Corp. | 4,355 | 497,689 | |
| 1,021,376 | ||
Internet & Catalog Retail - 0.7% | |||
Liberty Media Corp.: | |||
Interactive Series A (a) | 19,535 | 415,900 | |
Series A (a) | 1,139 | 83,682 | |
| 499,582 | ||
Leisure Equipment & Products - 0.2% | |||
Brunswick Corp. | 3,275 | 103,687 | |
Media - 1.1% | |||
CBS Corp. Class B | 3,141 | 143,795 | |
DIRECTV (a) | 2,280 | 128,957 | |
News Corp. Class A | 6,990 | 216,480 | |
UBM PLC | 10,000 | 113,705 | |
Valassis Communications, Inc. | 4,225 | 108,287 | |
| 711,224 | ||
Multiline Retail - 0.3% | |||
Kohl's Corp. | 3,973 | 186,969 | |
Specialty Retail - 4.0% | |||
Abercrombie & Fitch Co. Class A | 4,085 | 202,453 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - continued | |||
Advance Auto Parts, Inc. | 1,422 | $ 119,277 | |
American Eagle Outfitters, Inc. | 9,477 | 184,328 | |
Ascena Retail Group, Inc. (a) | 23,504 | 434,824 | |
Bed Bath & Beyond, Inc. (a) | 2,340 | 160,992 | |
Best Buy Co., Inc. | 5,164 | 134,212 | |
Chico's FAS, Inc. | 11,144 | 203,601 | |
Express, Inc. (a) | 18,778 | 341,947 | |
Jos. A. Bank Clothiers, Inc. (a) | 3,975 | 173,628 | |
OfficeMax, Inc. | 16,883 | 194,323 | |
Rent-A-Center, Inc. | 4,430 | 154,740 | |
Staples, Inc. | 20,754 | 274,783 | |
WH Smith PLC (d) | 8,828 | 101,407 | |
| 2,680,515 | ||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Gildan Activewear, Inc. | 3,800 | 152,800 | |
TOTAL CONSUMER DISCRETIONARY | 6,957,240 | ||
CONSUMER STAPLES - 5.7% | |||
Beverages - 2.1% | |||
Coca-Cola Enterprises, Inc. | 12,154 | 445,201 | |
Cott Corp. | 12,933 | 142,110 | |
Dr. Pepper Snapple Group, Inc. | 2,370 | 115,727 | |
Molson Coors Brewing Co. Class B | 8,287 | 427,609 | |
Monster Beverage Corp. (a) | 2,875 | 162,150 | |
Treasury Wine Estates Ltd. | 21,373 | 129,399 | |
| 1,422,196 | ||
Food & Staples Retailing - 0.8% | |||
Alimentation Couche-Tard, Inc. Class B (sub. vtg.) | 1,900 | 115,439 | |
CVS Caremark Corp. | 3,228 | 187,805 | |
Kroger Co. | 3,119 | 107,231 | |
Walgreen Co. | 2,206 | 109,219 | |
| 519,694 | ||
Food Products - 1.7% | |||
Bunge Ltd. | 1,243 | 89,757 | |
ConAgra Foods, Inc. | 4,337 | 153,400 | |
Danone SA | 2,200 | 168,072 | |
Dean Foods Co. (a) | 4,899 | 93,767 | |
Ingredion, Inc. | 3,347 | 241,017 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Food Products - continued | |||
Orkla ASA (A Shares) | 13,578 | $ 122,206 | |
The J.M. Smucker Co. | 2,682 | 276,863 | |
| 1,145,082 | ||
Household Products - 0.7% | |||
Procter & Gamble Co. | 2,200 | 168,894 | |
Reckitt Benckiser Group PLC | 3,756 | 273,983 | |
| 442,877 | ||
Tobacco - 0.4% | |||
Lorillard, Inc. | 6,977 | 299,244 | |
TOTAL CONSUMER STAPLES | 3,829,093 | ||
ENERGY - 8.7% | |||
Energy Equipment & Services - 2.8% | |||
Cameron International Corp. (a) | 8,405 | 517,328 | |
Fugro NV (Certificaten Van Aandelen) | 2,600 | 150,402 | |
Halliburton Co. | 6,165 | 263,677 | |
National Oilwell Varco, Inc. | 3,885 | 253,380 | |
Oil States International, Inc. (a) | 943 | 84,266 | |
Patterson-UTI Energy, Inc. | 11,900 | 250,971 | |
Rowan Companies PLC (a) | 11,732 | 381,642 | |
| 1,901,666 | ||
Oil, Gas & Consumable Fuels - 5.9% | |||
Anadarko Petroleum Corp. | 4,500 | 381,420 | |
Atlas Pipeline Partners LP | 3,492 | 126,899 | |
BPZ Energy, Inc. (a) | 20,400 | 43,656 | |
Cloud Peak Energy, Inc. (a) | 6,866 | 134,162 | |
Energen Corp. | 9,042 | 428,772 | |
EQT Corp. | 4,036 | 303,184 | |
Exxon Mobil Corp. | 1,130 | 100,559 | |
Marathon Petroleum Corp. | 9,822 | 769,652 | |
Markwest Energy Partners LP | 2,900 | 183,280 | |
Noble Energy, Inc. | 2,100 | 237,909 | |
Northern Oil & Gas, Inc. (a) | 6,600 | 85,074 | |
Phillips 66 | 3,173 | 193,394 | |
The Williams Companies, Inc. | 9,952 | 379,470 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Whiting Petroleum Corp. (a) | 8,647 | $ 384,792 | |
WPX Energy, Inc. (a) | 13,260 | 207,254 | |
| 3,959,477 | ||
TOTAL ENERGY | 5,861,143 | ||
FINANCIALS - 26.5% | |||
Capital Markets - 2.8% | |||
Ameriprise Financial, Inc. | 4,245 | 316,380 | |
Apollo Global Management LLC Class A | 1,800 | 48,456 | |
Bank of New York Mellon Corp. | 1,819 | 51,332 | |
Invesco Ltd. | 18,384 | 583,508 | |
KKR & Co. LP | 9,758 | 204,918 | |
State Street Corp. | 2,620 | 153,191 | |
The Blackstone Group LP | 12,896 | 265,013 | |
UBS AG | 12,977 | 231,489 | |
| 1,854,287 | ||
Commercial Banks - 5.5% | |||
Bank of Ireland (a) | 708,055 | 157,072 | |
Barclays PLC sponsored ADR | 9,800 | 176,204 | |
CIT Group, Inc. (a) | 13,790 | 586,213 | |
DnB ASA | 11,905 | 194,580 | |
First Citizen Bancshares, Inc. | 1,099 | 204,876 | |
First Citizen Bancshares, Inc. (f) | 1,408 | 236,231 | |
Heritage Financial Corp., Washington | 605 | 8,440 | |
Itau Unibanco Holding SA sponsored ADR | 30,158 | 507,559 | |
PNC Financial Services Group, Inc. | 4,650 | 315,642 | |
U.S. Bancorp | 20,298 | 675,517 | |
Wells Fargo & Co. | 16,962 | 644,217 | |
| 3,706,551 | ||
Consumer Finance - 1.2% | |||
Capital One Financial Corp. | 4,789 | 276,708 | |
Cash America International, Inc. | 1,390 | 60,646 | |
EZCORP, Inc. (non-vtg.) Class A (a) | 400 | 6,760 | |
SLM Corp. | 22,015 | 454,610 | |
| 798,724 | ||
Diversified Financial Services - 1.8% | |||
IntercontinentalExchange, Inc. (a)(d) | 1,841 | 299,954 | |
JPMorgan Chase & Co. | 6,068 | 297,393 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
McGraw-Hill Companies, Inc. | 6,651 | $ 359,886 | |
The NASDAQ Stock Market, Inc. | 7,985 | 235,398 | |
| 1,192,631 | ||
Insurance - 7.9% | |||
AFLAC, Inc. | 6,462 | 351,791 | |
Aon PLC | 2,602 | 157,031 | |
Berkshire Hathaway, Inc. Class B (a) | 8,868 | 942,846 | |
Everest Re Group Ltd. | 1,982 | 267,550 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 1,520 | 609,765 | |
Greenlight Capital Re, Ltd. (a) | 4,644 | 114,289 | |
Mercury General Corp. | 3,552 | 162,362 | |
MetLife, Inc. | 7,576 | 295,388 | |
Old Republic International Corp. | 32,302 | 436,077 | |
Primerica, Inc. | 5,400 | 183,384 | |
ProAssurance Corp. | 5,531 | 270,964 | |
Progressive Corp. | 2,800 | 70,812 | |
Reinsurance Group of America, Inc. | 4,107 | 256,893 | |
StanCorp Financial Group, Inc. | 9,451 | 408,094 | |
Torchmark Corp. | 5,689 | 353,116 | |
Unum Group | 6,180 | 172,360 | |
Validus Holdings Ltd. | 6,990 | 269,884 | |
| 5,322,606 | ||
Real Estate Investment Trusts - 5.1% | |||
American Tower Corp. | 4,659 | 391,309 | |
Boston Properties, Inc. | 2,128 | 232,867 | |
Douglas Emmett, Inc. | 8,251 | 215,929 | |
Equity Lifestyle Properties, Inc. | 4,378 | 355,713 | |
Eurobank Properties Real Estate Investment Co. | 28,970 | 239,595 | |
iStar Financial, Inc. (a) | 6,701 | 78,268 | |
MFA Financial, Inc. | 21,398 | 198,359 | |
NorthStar Realty Finance Corp. | 12,296 | 122,591 | |
Prologis, Inc. | 8,713 | 365,510 | |
Ryman Hospitality Properties, Inc. | 521 | 23,164 | |
Simon Property Group, Inc. | 500 | 89,035 | |
SL Green Realty Corp. | 3,905 | 354,184 | |
Sun Communities, Inc. | 2,100 | 107,415 | |
Ventas, Inc. | 8,495 | 676,457 | |
| 3,450,396 | ||
Real Estate Management & Development - 2.1% | |||
Brookfield Asset Management, Inc. Class A | 1,300 | 50,183 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Management & Development - continued | |||
CBRE Group, Inc. (a) | 9,327 | $ 225,900 | |
Forest City Enterprises, Inc. Class A (a) | 12,126 | 226,392 | |
Forestar Group, Inc. (a) | 7,747 | 166,870 | |
Kennedy-Wilson Holdings, Inc. | 44,211 | 735,229 | |
| 1,404,574 | ||
Thrifts & Mortgage Finance - 0.1% | |||
People's United Financial, Inc. | 7,155 | 94,160 | |
TOTAL FINANCIALS | 17,823,929 | ||
HEALTH CARE - 7.1% | |||
Biotechnology - 0.4% | |||
Elan Corp. PLC sponsored ADR (a) | 24,400 | 285,480 | |
Health Care Equipment & Supplies - 1.1% | |||
St. Jude Medical, Inc. | 8,915 | 367,476 | |
Stryker Corp. | 2,521 | 165,327 | |
The Cooper Companies, Inc. | 806 | 88,982 | |
Zimmer Holdings, Inc. | 1,810 | 138,375 | |
| 760,160 | ||
Health Care Providers & Services - 3.5% | |||
CIGNA Corp. | 4,905 | 324,564 | |
Emeritus Corp. (a) | 10,520 | 270,364 | |
Express Scripts Holding Co. (a) | 2,084 | 123,727 | |
Health Management Associates, Inc. Class A (a) | 15,480 | 177,865 | |
Humana, Inc. | 3,290 | 243,822 | |
LifePoint Hospitals, Inc. (a) | 3,284 | 157,632 | |
McKesson Corp. | 1,388 | 146,878 | |
MEDNAX, Inc. (a) | 1,703 | 151,107 | |
Quest Diagnostics, Inc. | 4,320 | 243,346 | |
UnitedHealth Group, Inc. | 3,560 | 213,351 | |
Universal Health Services, Inc. Class B | 4,020 | 267,692 | |
| 2,320,348 | ||
Life Sciences Tools & Services - 0.4% | |||
Lonza Group AG | 2,119 | 147,564 | |
QIAGEN NV (a) | 5,420 | 107,750 | |
| 255,314 | ||
Pharmaceuticals - 1.7% | |||
Actavis, Inc. (a) | 1,600 | 169,168 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
AVANIR Pharmaceuticals Class A (a) | 20,342 | $ 64,891 | |
Endo Health Solutions, Inc. (a) | 9,106 | 333,644 | |
Hospira, Inc. (a) | 5,010 | 165,931 | |
Impax Laboratories, Inc. (a) | 6,406 | 112,105 | |
Jazz Pharmaceuticals PLC (a) | 1,800 | 105,030 | |
ViroPharma, Inc. (a) | 764 | 20,819 | |
Warner Chilcott PLC | 9,449 | 135,877 | |
| 1,107,465 | ||
TOTAL HEALTH CARE | 4,728,767 | ||
INDUSTRIALS - 13.3% | |||
Aerospace & Defense - 1.5% | |||
Esterline Technologies Corp. (a) | 1,715 | 128,694 | |
General Dynamics Corp. | 4,615 | 341,325 | |
Meggitt PLC | 22,262 | 162,045 | |
Spirit AeroSystems Holdings, Inc. Class A (a) | 7,652 | 152,963 | |
Textron, Inc. | 9,775 | 251,706 | |
| 1,036,733 | ||
Air Freight & Logistics - 0.8% | |||
FedEx Corp. | 1,668 | 156,809 | |
UTI Worldwide, Inc. | 23,997 | 352,516 | |
| 509,325 | ||
Building Products - 0.3% | |||
Owens Corning (a) | 4,841 | 203,612 | |
Commercial Services & Supplies - 0.6% | |||
Intrum Justitia AB | 8,713 | 179,475 | |
Waste Management, Inc. | 5,319 | 217,973 | |
| 397,448 | ||
Construction & Engineering - 1.8% | |||
AECOM Technology Corp. (a) | 20,110 | 584,598 | |
Foster Wheeler AG (a) | 1,020 | 21,522 | |
URS Corp. | 14,020 | 615,758 | |
| 1,221,878 | ||
Electrical Equipment - 1.8% | |||
Babcock & Wilcox Co. | 5,894 | 160,317 | |
Eaton Corp. PLC | 9,636 | 591,747 | |
General Cable Corp. (a) | 5,386 | 185,709 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Electrical Equipment - continued | |||
Prysmian SpA (d) | 6,800 | $ 137,284 | |
Regal-Beloit Corp. | 1,400 | 110,068 | |
| 1,185,125 | ||
Industrial Conglomerates - 0.4% | |||
Carlisle Companies, Inc. | 2,890 | 187,474 | |
Koninklijke Philips Electronics NV | 3,840 | 106,284 | |
| 293,758 | ||
Machinery - 3.4% | |||
Cummins, Inc. | 1,500 | 159,585 | |
GEA Group AG | 2,991 | 101,173 | |
Harsco Corp. | 8,743 | 190,860 | |
Ingersoll-Rand PLC | 3,339 | 179,638 | |
ITT Corp. | 6,475 | 178,710 | |
Pentair Ltd. | 3,048 | 165,659 | |
Snap-On, Inc. | 2,246 | 193,605 | |
Stanley Black & Decker, Inc. | 9,175 | 686,382 | |
Terex Corp. (a) | 8,904 | 254,654 | |
Timken Co. | 3,057 | 160,706 | |
| 2,270,972 | ||
Marine - 0.1% | |||
Ultrapetrol (Bahamas) Ltd. (a) | 29,500 | 68,440 | |
Professional Services - 1.1% | |||
Dun & Bradstreet Corp. | 2,492 | 220,417 | |
FTI Consulting, Inc. (a) | 3,750 | 124,200 | |
Manpower, Inc. | 3,204 | 170,325 | |
Towers Watson & Co. | 2,816 | 205,343 | |
| 720,285 | ||
Road & Rail - 1.0% | |||
Con-way, Inc. | 10,354 | 349,965 | |
CSX Corp. | 9,392 | 230,949 | |
Quality Distribution, Inc. (a) | 15,503 | 123,404 | |
| 704,318 | ||
Trading Companies & Distributors - 0.5% | |||
AerCap Holdings NV (a) | 5,752 | 91,284 | |
WESCO International, Inc. (a) | 2,981 | 213,708 | |
| 304,992 | ||
TOTAL INDUSTRIALS | 8,916,886 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - 10.7% | |||
Communications Equipment - 0.3% | |||
Cisco Systems, Inc. | 9,642 | $ 201,711 | |
Computers & Peripherals - 0.5% | |||
Hewlett-Packard Co. | 10,283 | 211,830 | |
Western Digital Corp. | 2,764 | 152,794 | |
| 364,624 | ||
Electronic Equipment & Components - 2.9% | |||
Aeroflex Holding Corp. (a) | 9,399 | 69,929 | |
Arrow Electronics, Inc. (a) | 7,433 | 291,597 | |
Benchmark Electronics, Inc. (a) | 3,870 | 69,041 | |
Corning, Inc. | 6,880 | 99,760 | |
Flextronics International Ltd. (a) | 60,502 | 432,589 | |
Ingram Micro, Inc. Class A (a) | 7,814 | 139,167 | |
Jabil Circuit, Inc. | 27,054 | 481,561 | |
TE Connectivity Ltd. | 4,516 | 196,672 | |
TTM Technologies, Inc. (a) | 20,914 | 151,208 | |
| 1,931,524 | ||
IT Services - 2.3% | |||
Acxiom Corp. (a) | 7,022 | 139,668 | |
Amdocs Ltd. | 5,468 | 195,208 | |
Fidelity National Information Services, Inc. | 5,905 | 248,305 | |
Fiserv, Inc. (a) | 1,720 | 156,709 | |
Global Payments, Inc. | 4,724 | 219,194 | |
Sapient Corp. (a) | 13,316 | 155,531 | |
Sykes Enterprises, Inc. (a) | 6,445 | 99,189 | |
Total System Services, Inc. | 7,275 | 171,836 | |
Unisys Corp. (a) | 8,362 | 159,965 | |
| 1,545,605 | ||
Office Electronics - 0.4% | |||
Xerox Corp. | 28,514 | 244,650 | |
Semiconductors & Semiconductor Equipment - 1.9% | |||
Broadcom Corp. Class A | 6,454 | 232,344 | |
Freescale Semiconductor Holdings I Ltd. (a) | 6,989 | 108,190 | |
Intersil Corp. Class A | 33,008 | 256,142 | |
Marvell Technology Group Ltd. | 20,518 | 220,774 | |
ON Semiconductor Corp. (a) | 19,245 | 151,266 | |
PMC-Sierra, Inc. (a) | 18,243 | 105,080 | |
Skyworks Solutions, Inc. (a) | 8,005 | 176,670 | |
| 1,250,466 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Software - 2.4% | |||
Activision Blizzard, Inc. | 12,683 | $ 189,611 | |
Autodesk, Inc. (a) | 3,443 | 135,585 | |
BMC Software, Inc. (a) | 1,463 | 66,537 | |
Check Point Software Technologies Ltd. (a) | 4,085 | 190,443 | |
Comverse, Inc. | 3,963 | 105,138 | |
Constellation Software, Inc. | 700 | 95,538 | |
Electronic Arts, Inc. (a) | 12,579 | 221,516 | |
Oracle Corp. | 10,597 | 347,370 | |
Symantec Corp. (a) | 6,964 | 169,225 | |
Verint Systems, Inc. (a) | 3,337 | 110,254 | |
| 1,631,217 | ||
TOTAL INFORMATION TECHNOLOGY | 7,169,797 | ||
MATERIALS - 6.0% | |||
Chemicals - 3.4% | |||
Air Products & Chemicals, Inc. | 2,008 | 174,616 | |
Albemarle Corp. | 3,814 | 233,608 | |
Ashland, Inc. | 5,848 | 498,308 | |
Cabot Corp. | 2,800 | 105,168 | |
Cytec Industries, Inc. | 2,570 | 187,250 | |
Eastman Chemical Co. | 4,941 | 329,318 | |
LyondellBasell Industries NV Class A | 3,180 | 193,026 | |
Methanex Corp. | 3,892 | 164,959 | |
Mexichem S.A.B. de CV | 14,700 | 74,927 | |
RPM International, Inc. | 3,425 | 110,970 | |
Westlake Chemical Corp. | 2,036 | 169,273 | |
| 2,241,423 | ||
Containers & Packaging - 1.7% | |||
Ball Corp. | 3,830 | 168,980 | |
Nampak Ltd. | 32,208 | 118,373 | |
Rock-Tenn Co. Class A | 6,599 | 660,824 | |
Sonoco Products Co. | 6,000 | 210,240 | |
| 1,158,417 | ||
Metals & Mining - 0.9% | |||
Dominion Diamond Corp. (a) | 4,461 | 70,715 | |
Gem Diamonds Ltd. (a) | 23,033 | 46,780 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Reliance Steel & Aluminum Co. | 6,690 | $ 435,318 | |
Walter Energy, Inc. (d) | 3,820 | 68,454 | |
| 621,267 | ||
TOTAL MATERIALS | 4,021,107 | ||
TELECOMMUNICATION SERVICES - 0.5% | |||
Diversified Telecommunication Services - 0.1% | |||
CenturyLink, Inc. | 785 | 29,492 | |
Frontier Communications Corp. (d) | 18,787 | 78,154 | |
| 107,646 | ||
Wireless Telecommunication Services - 0.4% | |||
NII Holdings, Inc. (a)(d) | 10,188 | 88,636 | |
Sprint Nextel Corp. (a) | 22,889 | 161,367 | |
| 250,003 | ||
TOTAL TELECOMMUNICATION SERVICES | 357,649 | ||
UTILITIES - 8.8% | |||
Electric Utilities - 4.9% | |||
Edison International | 18,450 | 992,610 | |
ITC Holdings Corp. | 7,507 | 692,296 | |
NextEra Energy, Inc. | 1,587 | 130,182 | |
Northeast Utilities | 19,571 | 887,153 | |
NV Energy, Inc. | 14,700 | 317,961 | |
PNM Resources, Inc. | 10,060 | 241,541 | |
| 3,261,743 | ||
Gas Utilities - 0.7% | |||
Atmos Energy Corp. | 6,778 | 300,740 | |
Questar Corp. | 7,211 | 183,087 | |
| 483,827 | ||
Independent Power Producers & Energy Traders - 0.3% | |||
Calpine Corp. (a) | 3,380 | 73,447 | |
The AES Corp. | 7,905 | 109,563 | |
| 183,010 | ||
Multi-Utilities - 2.9% | |||
NiSource, Inc. | 19,262 | 591,921 | |
Common Stocks - continued | |||
Shares | Value | ||
UTILITIES - continued | |||
Multi-Utilities - continued | |||
PG&E Corp. | 4,780 | $ 231,543 | |
Sempra Energy | 13,973 | 1,157,663 | |
| 1,981,127 | ||
TOTAL UTILITIES | 5,909,707 | ||
TOTAL COMMON STOCKS (Cost $56,660,513) |
|
U.S. Treasury Obligations - 0.0% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.05% 7/5/13 (e) | $ 20,000 |
|
Money Market Funds - 3.2% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.13% (b) | 1,766,636 | 1,766,636 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c) | 401,735 | 401,735 | |
TOTAL MONEY MARKET FUNDS (Cost $2,168,371) |
| ||
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $58,848,882) | 67,763,688 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (600,746) | ||
NET ASSETS - 100% | $ 67,162,942 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
2 CME E-mini S&P Midcap 400 Index Contracts | June 2013 | $ 231,540 | $ 8,690 |
|
The face value of futures purchased as a percentage of net assets is 0.3% |
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) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $19,999. |
(f) 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 $236,231 or 0.4% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
First Citizen Bancshares, Inc. | 12/21/12 | $ 197,120 |
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 | $ 1,428 |
Fidelity Securities Lending Cash Central Fund | 2,731 |
Total | $ 4,159 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 6,957,240 | $ 6,957,240 | $ - | $ - |
Consumer Staples | 3,829,093 | 3,829,093 | - | - |
Energy | 5,861,143 | 5,861,143 | - | - |
Financials | 17,823,929 | 17,199,137 | 624,792 | - |
Health Care | 4,728,767 | 4,728,767 | - | - |
Industrials | 8,916,886 | 8,810,602 | 106,284 | - |
Information Technology | 7,169,797 | 7,169,797 | - | - |
Materials | 4,021,107 | 4,021,107 | - | - |
Telecommunication Services | 357,649 | 357,649 | - | - |
Utilities | 5,909,707 | 5,909,707 | - | - |
U.S. Government and Government Agency Obligations | 19,999 | - | 19,999 | - |
Money Market Funds | 2,168,371 | 2,168,371 | - | - |
Total Investments in Securities: | $ 67,763,688 | $ 67,012,613 | $ 751,075 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 8,690 | $ 8,690 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of April 30, 2013. 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 |
Equity Risk | ||
Futures Contracts (a) | $ 8,690 | $ - |
Total Value of Derivatives | $ 8,690 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 83.6% |
Bermuda | 2.3% |
Ireland | 2.2% |
Canada | 2.0% |
United Kingdom | 1.8% |
Netherlands | 1.0% |
Others (Individually Less Than 1%) | 7.1% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| April 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $388,029) - See accompanying schedule: Unaffiliated issuers (cost $56,680,511) | $ 65,595,317 |
|
Fidelity Central Funds (cost $2,168,371) | 2,168,371 |
|
Total Investments (cost $58,848,882) |
| $ 67,763,688 |
Cash |
| 55,961 |
Foreign currency held at value (cost $5,017) | 5,017 | |
Receivable for investments sold | 461,052 | |
Receivable for fund shares sold | 29,008 | |
Dividends receivable | 46,632 | |
Distributions receivable from Fidelity Central Funds | 592 | |
Receivable for daily variation margin on futures contracts | 2,140 | |
Prepaid expenses | 45 | |
Receivable from investment adviser for expense reductions | 694 | |
Other receivables | 1,950 | |
Total assets | 68,366,779 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 501,957 | |
Payable for fund shares redeemed | 194,304 | |
Accrued management fee | 20,061 | |
Distribution and service plan fees payable | 24,151 | |
Other affiliated payables | 16,874 | |
Other payables and accrued expenses | 44,755 | |
Collateral on securities loaned, at value | 401,735 | |
Total liabilities | 1,203,837 | |
|
|
|
Net Assets | $ 67,162,942 | |
Net Assets consist of: |
| |
Paid in capital | $ 87,145,184 | |
Distributions in excess of net investment income | (43,914) | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (28,862,081) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 8,923,753 | |
Net Assets | $ 67,162,942 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
| April 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 16.61 | |
|
|
|
Maximum offering price per share (100/94.25 of $16.61) | $ 17.62 | |
Class T: | $ 16.47 | |
|
|
|
Maximum offering price per share (100/96.50 of $16.47) | $ 17.07 | |
Class B: | $ 16.04 | |
|
|
|
Class C: | $ 15.99 | |
|
|
|
Institutional Class: | $ 16.75 |
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
Six months ended April 30, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 667,356 |
Interest |
| 47 |
Income from Fidelity Central Funds |
| 4,159 |
Total income |
| 671,562 |
|
|
|
Expenses | ||
Management fee | $ 169,043 | |
Performance adjustment | (57,545) | |
Transfer agent fees | 85,256 | |
Distribution and service plan fees | 135,389 | |
Accounting and security lending fees | 11,861 | |
Custodian fees and expenses | 42,475 | |
Independent trustees' compensation | 189 | |
Registration fees | 53,305 | |
Audit | 34,241 | |
Legal | 119 | |
Miscellaneous | 240 | |
Total expenses before reductions | 474,573 | |
Expense reductions | (46,314) | 428,259 |
Net investment income (loss) | 243,303 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,473,032 | |
Foreign currency transactions | (2,268) | |
Futures contracts | 74,224 | |
Total net realized gain (loss) |
| 1,544,988 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 8,630,828 | |
Assets and liabilities in foreign currencies | 258 | |
Futures contracts | 3,094 | |
Total change in net unrealized appreciation (depreciation) |
| 8,634,180 |
Net gain (loss) | 10,179,168 | |
Net increase (decrease) in net assets resulting from operations | $ 10,422,471 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 243,303 | $ 179,499 |
Net realized gain (loss) | 1,544,988 | 1,453,202 |
Change in net unrealized appreciation (depreciation) | 8,634,180 | 6,392,198 |
Net increase (decrease) in net assets resulting | 10,422,471 | 8,024,899 |
Distributions to shareholders from net investment income | (345,665) | (122,126) |
Share transactions - net increase (decrease) | 698,959 | (11,342,588) |
Total increase (decrease) in net assets | 10,775,765 | (3,439,815) |
|
|
|
Net Assets | ||
Beginning of period | 56,387,177 | 59,826,992 |
End of period (including distributions in excess of net investment income of $43,914 and undistributed net investment income of $58,448, respectively) | $ 67,162,942 | $ 56,387,177 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 14.08 | $ 12.25 | $ 12.12 | $ 9.81 | $ 8.33 | $ 16.55 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .08 | .07 | .03 | .06 H | .06 | .08 |
Net realized and unrealized gain (loss) | 2.56 | 1.79 | .17 | 2.29 | 1.46 | (7.33) |
Total from investment operations | 2.64 | 1.86 | .20 | 2.35 | 1.52 | (7.25) |
Distributions from net investment income | (.11) | (.03) | (.06) | (.03) | (.04) | - |
Distributions from net realized gain | - | - | (.01) | (.01) | - | (.97) |
Total distributions | (.11) | (.03) | (.07) | (.04) | (.04) | (.97) |
Net asset value, end of period | $ 16.61 | $ 14.08 | $ 12.25 | $ 12.12 | $ 9.81 | $ 8.33 |
Total Return B, C, D | 18.91% | 15.22% | 1.65% | 23.99% | 18.41% | (46.38)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 1.36% A | 1.35% | 1.29% | 1.33% | 1.36% | 1.34% |
Expenses net of fee waivers, if any | 1.25% A | 1.25% | 1.25% | 1.25% | 1.25% | 1.25% |
Expenses net of all reductions | 1.21% A | 1.25% | 1.24% | 1.24% | 1.25% | 1.25% |
Net investment income (loss) | .99% A | .51% | .21% | .51% H | .76% | .65% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 33,453 | $ 27,817 | $ 29,635 | $ 37,972 | $ 40,404 | $ 39,288 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been .13%.
I 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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 13.95 | $ 12.15 | $ 12.03 | $ 9.74 | $ 8.29 | $ 16.47 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .06 | .03 | (.01) | .03 H | .04 | .05 |
Net realized and unrealized gain (loss) | 2.54 | 1.80 | .17 | 2.27 | 1.45 | (7.30) |
Total from investment operations | 2.60 | 1.83 | .16 | 2.30 | 1.49 | (7.25) |
Distributions from net investment income | (.08) | (.03) | (.04) | (.01) | (.04) | - |
Distributions from net realized gain | - | - | (.01) | (.01) | - | (.93) |
Total distributions | (.08) | (.03) | (.04) J | (.01) K | (.04) | (.93) |
Net asset value, end of period | $ 16.47 | $ 13.95 | $ 12.15 | $ 12.03 | $ 9.74 | $ 8.29 |
Total Return B, C, D | 18.72% | 15.05% | 1.35% | 23.66% | 18.09% | (46.50)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 1.63% A | 1.61% | 1.56% | 1.59% | 1.62% | 1.59% |
Expenses net of fee waivers, if any | 1.50% A | 1.50% | 1.50% | 1.50% | 1.50% | 1.50% |
Expenses net of all reductions | 1.46% A | 1.50% | 1.49% | 1.49% | 1.50% | 1.50% |
Net investment income (loss) | .75% A | .26% | (.04)% | .26% H | .51% | .40% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 14,993 | $ 12,727 | $ 12,866 | $ 17,908 | $ 19,978 | $ 22,523 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been (.12)%.
I 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.
J Total distributions of $.04 per share is comprised of distributions from net investment income of $.035 and distributions from net realized gain of $.009 per share.
K Total distributions of $.01 per share is comprised of distributions from net investment income of $.008 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 13.54 | $ 11.85 | $ 11.75 | $ 9.54 | $ 8.16 | $ 16.30 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .02 | (.03) | (.07) | (.03) H | - J | (.01) |
Net realized and unrealized gain (loss) | 2.48 | 1.74 | .17 | 2.24 | 1.41 | (7.20) |
Total from investment operations | 2.50 | 1.71 | .10 | 2.21 | 1.41 | (7.21) |
Distributions from net investment income | - | (.02) | - | - | (.03) | - |
Distributions from net realized gain | - | - | - | - | - | (.93) |
Total distributions | - | (.02) | - | - | (.03) | (.93) |
Net asset value, end of period | $ 16.04 | $ 13.54 | $ 11.85 | $ 11.75 | $ 9.54 | $ 8.16 |
Total Return B, C, D | 18.46% | 14.41% | .85% | 23.17% | 17.43% | (46.75)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 2.15% A | 2.13% | 2.05% | 2.08% | 2.12% | 2.10% |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.00% | 2.00% | 2.00% | 2.00% |
Expenses net of all reductions | 1.96% A | 2.00% | 1.99% | 1.99% | 2.00% | 2.00% |
Net investment income (loss) | .24% A | (.24)% | (.54)% | (.24)% H | .01% | (.10)% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 2,187 | $ 2,480 | $ 3,482 | $ 4,937 | $ 4,828 | $ 5,919 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been (.62)%.
I 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.
J Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 13.51 | $ 11.83 | $ 11.73 | $ 9.53 | $ 8.14 | $ 16.27 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .02 | (.03) | (.07) | (.03) H | - J | (.01) |
Net realized and unrealized gain (loss) | 2.47 | 1.73 | .17 | 2.23 | 1.42 | (7.19) |
Total from investment operations | 2.49 | 1.70 | .10 | 2.20 | 1.42 | (7.20) |
Distributions from net investment income | (.01) | (.02) | - | - | (.03) | - |
Distributions from net realized gain | - | - | - | - | - | (.93) |
Total distributions | (.01) | (.02) | - | - | (.03) | (.93) |
Net asset value, end of period | $ 15.99 | $ 13.51 | $ 11.83 | $ 11.73 | $ 9.53 | $ 8.14 |
Total Return B, C, D | 18.47% | 14.36% | .85% | 23.08% | 17.60% | (46.78)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 2.13% A | 2.10% | 2.04% | 2.08% | 2.11% | 2.09% |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.00% | 2.00% | 2.00% | 2.00% |
Expenses net of all reductions | 1.96% A | 1.99% | 1.99% | 1.99% | 2.00% | 2.00% |
Net investment income (loss) | .24% A | (.24)% | (.54)% | (.24)% H | .01% | (.10)% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 11,321 | $ 9,283 | $ 8,976 | $ 9,497 | $ 9,692 | $ 10,418 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been (.62)%.
I 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.
J Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 14.22 | $ 12.34 | $ 12.21 | $ 9.88 | $ 8.37 | $ 16.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .10 | .10 | .06 | .09 G | .08 | .12 |
Net realized and unrealized gain (loss) | 2.58 | 1.81 | .18 | 2.31 | 1.47 | (7.38) |
Total from investment operations | 2.68 | 1.91 | .24 | 2.40 | 1.55 | (7.26) |
Distributions from net investment income | (.15) | (.03) | (.10) | (.06) | (.04) | - |
Distributions from net realized gain | - | - | (.01) | (.01) | - | (1.02) |
Total distributions | (.15) | (.03) | (.11) | (.07) | (.04) | (1.02) |
Net asset value, end of period | $ 16.75 | $ 14.22 | $ 12.34 | $ 12.21 | $ 9.88 | $ 8.37 |
Total Return B, C | 19.02% | 15.56% | 1.93% | 24.36% | 18.74% | (46.27)% |
Ratios to Average Net Assets E, H |
|
|
|
|
| |
Expenses before reductions | 1.01% A | .99% | .97% | 1.03% | 1.16% | 1.09% |
Expenses net of fee waivers, if any | 1.00% A | .99% | .97% | 1.00% | 1.00% | 1.00% |
Expenses net of all reductions | .97% A | .99% | .96% | .99% | 1.00% | 1.00% |
Net investment income (loss) | 1.24% A | .76% | .49% | .76% G | 1.01% | .90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 5,209 | $ 4,080 | $ 4,869 | $ 5,894 | $ 5,230 | $ 13,229 |
Portfolio turnover rate F | 92% A | 77% | 96% | 152% | 58% | 49% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been .38%.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013 (Unaudited)
1. Organization.
Fidelity Advisor® Value 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 and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 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
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3. Significant Accounting Policies - continued
Investment Valuation - continued
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 FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's 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 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 restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities 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 April 30, 2013, 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 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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 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. 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.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), partnerships, 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 | $ 10,740,751 |
Gross unrealized depreciation | (2,100,299) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 8,640,452 |
|
|
Tax cost | $ 59,123,236 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2017 | $ (30,037,482) |
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.
New Accounting Pronouncement. The Financial Accounting Standards Board issued in December 2011, Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, and in January 2013, Accounting Standards Update No. 2013-1 Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. These updates create new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in
Semiannual Report
3. Significant Accounting Policies - continued
New Accounting Pronouncement - continued
the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. 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. 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 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 risk:
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. |
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. Counterparty credit risk related to exchange-traded futures contracts is 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
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 activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $74,224 and a change in net unrealized appreciation (depreciation) of $3,094 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $27,656,065 and $27,064,052, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and an annualized group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. In addition, the management fee is subject to a performance adjustment (up to a maximum of ±.20% of the
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
Fund's average net assets over a 36 month performance period). The upward or downward adjustment to the management fee is based on the relative investment performance of the Institutional Class of the Fund as compared to an appropriate benchmark index. For the period, the total annualized management fee rate, including the performance adjustment, was .37% of the Fund's average net assets.
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 FMR, 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% | $ 37,393 | $ 451 |
Class T | .25% | .25% | 34,428 | 395 |
Class B | .75% | .25% | 12,151 | 9,227 |
Class C | .75% | .25% | 51,417 | 6,228 |
|
|
| $ 135,389 | $ 16,301 |
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 | $ 4,878 |
Class T | 1,359 |
Class B* | 781 |
Class C* | 735 |
| $ 7,753 |
* 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 41,581 | .28 |
Class T | 20,670 | .30 |
Class B | 3,663 | .30 |
Class C | 15,447 | .30 |
Institutional Class | 3,895 | .17 |
| $ 85,256 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. 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 $888 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $77 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 through a lending agent 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in 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 and any lending agent fees associated with the loan, 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 amounted to $2,731. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| Expense | Reimbursement |
Class A | 1.25% | $ 16,922 |
Class T | 1.50% | 9,243 |
Class B | 2.00% | 1,813 |
Class C | 2.00% | 6,885 |
Institutional Class | 1.00% | 89 |
|
| $ 34,952 |
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $11,318 for the period. In addition,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
9. Expense Reductions - continued
through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and accounting expenses by $44.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 223,873 | $ 69,035 |
Class T | 71,100 | 25,805 |
Class B | - | 4,214 |
Class C | 8,906 | 12,072 |
Institutional Class | 41,786 | 11,000 |
Total | $ 345,665 | $ 122,126 |
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 | 319,634 | 329,571 | $ 4,999,382 | $ 4,329,329 |
Reinvestment of distributions | 14,139 | 5,253 | 202,243 | 63,291 |
Shares redeemed | (295,368) | (779,891) | (4,502,935) | (10,153,577) |
Net increase (decrease) | 38,405 | (445,067) | $ 698,690 | $ (5,760,957) |
Class T |
|
|
|
|
Shares sold | 77,395 | 107,994 | $ 1,195,403 | $ 1,412,834 |
Reinvestment of distributions | 4,868 | 2,094 | 69,164 | 25,036 |
Shares redeemed | (84,634) | (256,225) | (1,279,282) | (3,346,748) |
Net increase (decrease) | (2,371) | (146,137) | $ (14,715) | $ (1,908,878) |
Class B |
|
|
|
|
Shares sold | 13,328 | 427 | $ 190,246 | $ 5,416 |
Reinvestment of distributions | - | 305 | - | 3,552 |
Shares redeemed | (60,133) | (111,455) | (897,506) | (1,418,435) |
Net increase (decrease) | (46,805) | (110,723) | $ (707,260) | $ (1,409,467) |
Semiannual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class C |
|
|
|
|
Shares sold | 94,295 | 97,754 | $ 1,419,390 | $ 1,224,045 |
Reinvestment of distributions | 588 | 933 | 8,189 | 10,861 |
Shares redeemed | (74,003) | (170,741) | (1,106,891) | (2,171,269) |
Net increase (decrease) | 20,880 | (72,054) | $ 320,688 | $ (936,363) |
Institutional Class |
|
|
|
|
Shares sold | 69,523 | 29,145 | $ 1,111,528 | $ 387,393 |
Reinvestment of distributions | 2,173 | 651 | 31,289 | 7,904 |
Shares redeemed | (47,712) | (137,550) | (741,261) | (1,722,220) |
Net increase (decrease) | 23,984 | (107,754) | $ 401,556 | $ (1,326,923) |
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 Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
FAV-USAN-0613 1.800649.109
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Value
Fund - Institutional Class
Semiannual Report
April 30, 2013
(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. © 2013 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 (November 1, 2012 to April 30, 2013).
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 | 1.25% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,189.10 | $ 6.78 |
HypotheticalA |
| $ 1,000.00 | $ 1,018.60 | $ 6.26 |
Class T | 1.50% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,187.20 | $ 8.13 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class B | 2.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,184.60 | $ 10.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Class C | 2.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,184.70 | $ 10.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Institutional Class | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,190.20 | $ 5.43 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
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).
Semiannual Report
Investment Changes (Unaudited)
Top Ten Stocks as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Sempra Energy | 1.7 | 1.8 |
Edison International | 1.5 | 1.4 |
Berkshire Hathaway, Inc. Class B | 1.4 | 1.6 |
Northeast Utilities | 1.3 | 1.4 |
Marathon Petroleum Corp. | 1.1 | 0.4 |
Kennedy-Wilson Holdings, Inc. | 1.1 | 1.1 |
ITC Holdings Corp. | 1.0 | 1.1 |
Stanley Black & Decker, Inc. | 1.0 | 0.9 |
Ventas, Inc. | 1.0 | 0.9 |
U.S. Bancorp | 1.0 | 1.1 |
| 12.1 | |
Top Five Market Sectors as of April 30, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 26.5 | 27.1 |
Industrials | 13.3 | 12.4 |
Information Technology | 10.7 | 10.6 |
Consumer Discretionary | 10.4 | 10.6 |
Utilities | 8.8 | 8.9 |
Asset Allocation (% of fund's net assets) | |||||||
As of April 30, 2013* | As of October 31, 2012** | ||||||
Stocks and |
| Stocks and |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 16.4% |
| ** Foreign investments | 16.3% |
|
Semiannual Report
Investments April 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 97.7% | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - 10.4% | |||
Auto Components - 1.0% | |||
Delphi Automotive PLC | 10,372 | $ 479,290 | |
Tenneco, Inc. (a) | 5,272 | 203,868 | |
| 683,158 | ||
Automobiles - 0.1% | |||
Harley-Davidson, Inc. | 1,828 | 99,900 | |
Diversified Consumer Services - 0.7% | |||
Anhanguera Educacional Participacoes SA | 2,476 | 44,564 | |
DeVry, Inc. | 3,014 | 84,422 | |
H&R Block, Inc. | 7,212 | 200,061 | |
Strayer Education, Inc. | 2,433 | 115,227 | |
| 444,274 | ||
Hotels, Restaurants & Leisure - 0.6% | |||
Brinker International, Inc. | 5,996 | 233,244 | |
Sonic Corp. (a) | 11,214 | 140,511 | |
| 373,755 | ||
Household Durables - 1.5% | |||
Harman International Industries, Inc. | 4,214 | 188,408 | |
Jarden Corp. (a) | 7,449 | 335,279 | |
Whirlpool Corp. | 4,355 | 497,689 | |
| 1,021,376 | ||
Internet & Catalog Retail - 0.7% | |||
Liberty Media Corp.: | |||
Interactive Series A (a) | 19,535 | 415,900 | |
Series A (a) | 1,139 | 83,682 | |
| 499,582 | ||
Leisure Equipment & Products - 0.2% | |||
Brunswick Corp. | 3,275 | 103,687 | |
Media - 1.1% | |||
CBS Corp. Class B | 3,141 | 143,795 | |
DIRECTV (a) | 2,280 | 128,957 | |
News Corp. Class A | 6,990 | 216,480 | |
UBM PLC | 10,000 | 113,705 | |
Valassis Communications, Inc. | 4,225 | 108,287 | |
| 711,224 | ||
Multiline Retail - 0.3% | |||
Kohl's Corp. | 3,973 | 186,969 | |
Specialty Retail - 4.0% | |||
Abercrombie & Fitch Co. Class A | 4,085 | 202,453 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - continued | |||
Advance Auto Parts, Inc. | 1,422 | $ 119,277 | |
American Eagle Outfitters, Inc. | 9,477 | 184,328 | |
Ascena Retail Group, Inc. (a) | 23,504 | 434,824 | |
Bed Bath & Beyond, Inc. (a) | 2,340 | 160,992 | |
Best Buy Co., Inc. | 5,164 | 134,212 | |
Chico's FAS, Inc. | 11,144 | 203,601 | |
Express, Inc. (a) | 18,778 | 341,947 | |
Jos. A. Bank Clothiers, Inc. (a) | 3,975 | 173,628 | |
OfficeMax, Inc. | 16,883 | 194,323 | |
Rent-A-Center, Inc. | 4,430 | 154,740 | |
Staples, Inc. | 20,754 | 274,783 | |
WH Smith PLC (d) | 8,828 | 101,407 | |
| 2,680,515 | ||
Textiles, Apparel & Luxury Goods - 0.2% | |||
Gildan Activewear, Inc. | 3,800 | 152,800 | |
TOTAL CONSUMER DISCRETIONARY | 6,957,240 | ||
CONSUMER STAPLES - 5.7% | |||
Beverages - 2.1% | |||
Coca-Cola Enterprises, Inc. | 12,154 | 445,201 | |
Cott Corp. | 12,933 | 142,110 | |
Dr. Pepper Snapple Group, Inc. | 2,370 | 115,727 | |
Molson Coors Brewing Co. Class B | 8,287 | 427,609 | |
Monster Beverage Corp. (a) | 2,875 | 162,150 | |
Treasury Wine Estates Ltd. | 21,373 | 129,399 | |
| 1,422,196 | ||
Food & Staples Retailing - 0.8% | |||
Alimentation Couche-Tard, Inc. Class B (sub. vtg.) | 1,900 | 115,439 | |
CVS Caremark Corp. | 3,228 | 187,805 | |
Kroger Co. | 3,119 | 107,231 | |
Walgreen Co. | 2,206 | 109,219 | |
| 519,694 | ||
Food Products - 1.7% | |||
Bunge Ltd. | 1,243 | 89,757 | |
ConAgra Foods, Inc. | 4,337 | 153,400 | |
Danone SA | 2,200 | 168,072 | |
Dean Foods Co. (a) | 4,899 | 93,767 | |
Ingredion, Inc. | 3,347 | 241,017 | |
Common Stocks - continued | |||
Shares | Value | ||
CONSUMER STAPLES - continued | |||
Food Products - continued | |||
Orkla ASA (A Shares) | 13,578 | $ 122,206 | |
The J.M. Smucker Co. | 2,682 | 276,863 | |
| 1,145,082 | ||
Household Products - 0.7% | |||
Procter & Gamble Co. | 2,200 | 168,894 | |
Reckitt Benckiser Group PLC | 3,756 | 273,983 | |
| 442,877 | ||
Tobacco - 0.4% | |||
Lorillard, Inc. | 6,977 | 299,244 | |
TOTAL CONSUMER STAPLES | 3,829,093 | ||
ENERGY - 8.7% | |||
Energy Equipment & Services - 2.8% | |||
Cameron International Corp. (a) | 8,405 | 517,328 | |
Fugro NV (Certificaten Van Aandelen) | 2,600 | 150,402 | |
Halliburton Co. | 6,165 | 263,677 | |
National Oilwell Varco, Inc. | 3,885 | 253,380 | |
Oil States International, Inc. (a) | 943 | 84,266 | |
Patterson-UTI Energy, Inc. | 11,900 | 250,971 | |
Rowan Companies PLC (a) | 11,732 | 381,642 | |
| 1,901,666 | ||
Oil, Gas & Consumable Fuels - 5.9% | |||
Anadarko Petroleum Corp. | 4,500 | 381,420 | |
Atlas Pipeline Partners LP | 3,492 | 126,899 | |
BPZ Energy, Inc. (a) | 20,400 | 43,656 | |
Cloud Peak Energy, Inc. (a) | 6,866 | 134,162 | |
Energen Corp. | 9,042 | 428,772 | |
EQT Corp. | 4,036 | 303,184 | |
Exxon Mobil Corp. | 1,130 | 100,559 | |
Marathon Petroleum Corp. | 9,822 | 769,652 | |
Markwest Energy Partners LP | 2,900 | 183,280 | |
Noble Energy, Inc. | 2,100 | 237,909 | |
Northern Oil & Gas, Inc. (a) | 6,600 | 85,074 | |
Phillips 66 | 3,173 | 193,394 | |
The Williams Companies, Inc. | 9,952 | 379,470 | |
Common Stocks - continued | |||
Shares | Value | ||
ENERGY - continued | |||
Oil, Gas & Consumable Fuels - continued | |||
Whiting Petroleum Corp. (a) | 8,647 | $ 384,792 | |
WPX Energy, Inc. (a) | 13,260 | 207,254 | |
| 3,959,477 | ||
TOTAL ENERGY | 5,861,143 | ||
FINANCIALS - 26.5% | |||
Capital Markets - 2.8% | |||
Ameriprise Financial, Inc. | 4,245 | 316,380 | |
Apollo Global Management LLC Class A | 1,800 | 48,456 | |
Bank of New York Mellon Corp. | 1,819 | 51,332 | |
Invesco Ltd. | 18,384 | 583,508 | |
KKR & Co. LP | 9,758 | 204,918 | |
State Street Corp. | 2,620 | 153,191 | |
The Blackstone Group LP | 12,896 | 265,013 | |
UBS AG | 12,977 | 231,489 | |
| 1,854,287 | ||
Commercial Banks - 5.5% | |||
Bank of Ireland (a) | 708,055 | 157,072 | |
Barclays PLC sponsored ADR | 9,800 | 176,204 | |
CIT Group, Inc. (a) | 13,790 | 586,213 | |
DnB ASA | 11,905 | 194,580 | |
First Citizen Bancshares, Inc. | 1,099 | 204,876 | |
First Citizen Bancshares, Inc. (f) | 1,408 | 236,231 | |
Heritage Financial Corp., Washington | 605 | 8,440 | |
Itau Unibanco Holding SA sponsored ADR | 30,158 | 507,559 | |
PNC Financial Services Group, Inc. | 4,650 | 315,642 | |
U.S. Bancorp | 20,298 | 675,517 | |
Wells Fargo & Co. | 16,962 | 644,217 | |
| 3,706,551 | ||
Consumer Finance - 1.2% | |||
Capital One Financial Corp. | 4,789 | 276,708 | |
Cash America International, Inc. | 1,390 | 60,646 | |
EZCORP, Inc. (non-vtg.) Class A (a) | 400 | 6,760 | |
SLM Corp. | 22,015 | 454,610 | |
| 798,724 | ||
Diversified Financial Services - 1.8% | |||
IntercontinentalExchange, Inc. (a)(d) | 1,841 | 299,954 | |
JPMorgan Chase & Co. | 6,068 | 297,393 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
McGraw-Hill Companies, Inc. | 6,651 | $ 359,886 | |
The NASDAQ Stock Market, Inc. | 7,985 | 235,398 | |
| 1,192,631 | ||
Insurance - 7.9% | |||
AFLAC, Inc. | 6,462 | 351,791 | |
Aon PLC | 2,602 | 157,031 | |
Berkshire Hathaway, Inc. Class B (a) | 8,868 | 942,846 | |
Everest Re Group Ltd. | 1,982 | 267,550 | |
Fairfax Financial Holdings Ltd. (sub. vtg.) | 1,520 | 609,765 | |
Greenlight Capital Re, Ltd. (a) | 4,644 | 114,289 | |
Mercury General Corp. | 3,552 | 162,362 | |
MetLife, Inc. | 7,576 | 295,388 | |
Old Republic International Corp. | 32,302 | 436,077 | |
Primerica, Inc. | 5,400 | 183,384 | |
ProAssurance Corp. | 5,531 | 270,964 | |
Progressive Corp. | 2,800 | 70,812 | |
Reinsurance Group of America, Inc. | 4,107 | 256,893 | |
StanCorp Financial Group, Inc. | 9,451 | 408,094 | |
Torchmark Corp. | 5,689 | 353,116 | |
Unum Group | 6,180 | 172,360 | |
Validus Holdings Ltd. | 6,990 | 269,884 | |
| 5,322,606 | ||
Real Estate Investment Trusts - 5.1% | |||
American Tower Corp. | 4,659 | 391,309 | |
Boston Properties, Inc. | 2,128 | 232,867 | |
Douglas Emmett, Inc. | 8,251 | 215,929 | |
Equity Lifestyle Properties, Inc. | 4,378 | 355,713 | |
Eurobank Properties Real Estate Investment Co. | 28,970 | 239,595 | |
iStar Financial, Inc. (a) | 6,701 | 78,268 | |
MFA Financial, Inc. | 21,398 | 198,359 | |
NorthStar Realty Finance Corp. | 12,296 | 122,591 | |
Prologis, Inc. | 8,713 | 365,510 | |
Ryman Hospitality Properties, Inc. | 521 | 23,164 | |
Simon Property Group, Inc. | 500 | 89,035 | |
SL Green Realty Corp. | 3,905 | 354,184 | |
Sun Communities, Inc. | 2,100 | 107,415 | |
Ventas, Inc. | 8,495 | 676,457 | |
| 3,450,396 | ||
Real Estate Management & Development - 2.1% | |||
Brookfield Asset Management, Inc. Class A | 1,300 | 50,183 | |
Common Stocks - continued | |||
Shares | Value | ||
FINANCIALS - continued | |||
Real Estate Management & Development - continued | |||
CBRE Group, Inc. (a) | 9,327 | $ 225,900 | |
Forest City Enterprises, Inc. Class A (a) | 12,126 | 226,392 | |
Forestar Group, Inc. (a) | 7,747 | 166,870 | |
Kennedy-Wilson Holdings, Inc. | 44,211 | 735,229 | |
| 1,404,574 | ||
Thrifts & Mortgage Finance - 0.1% | |||
People's United Financial, Inc. | 7,155 | 94,160 | |
TOTAL FINANCIALS | 17,823,929 | ||
HEALTH CARE - 7.1% | |||
Biotechnology - 0.4% | |||
Elan Corp. PLC sponsored ADR (a) | 24,400 | 285,480 | |
Health Care Equipment & Supplies - 1.1% | |||
St. Jude Medical, Inc. | 8,915 | 367,476 | |
Stryker Corp. | 2,521 | 165,327 | |
The Cooper Companies, Inc. | 806 | 88,982 | |
Zimmer Holdings, Inc. | 1,810 | 138,375 | |
| 760,160 | ||
Health Care Providers & Services - 3.5% | |||
CIGNA Corp. | 4,905 | 324,564 | |
Emeritus Corp. (a) | 10,520 | 270,364 | |
Express Scripts Holding Co. (a) | 2,084 | 123,727 | |
Health Management Associates, Inc. Class A (a) | 15,480 | 177,865 | |
Humana, Inc. | 3,290 | 243,822 | |
LifePoint Hospitals, Inc. (a) | 3,284 | 157,632 | |
McKesson Corp. | 1,388 | 146,878 | |
MEDNAX, Inc. (a) | 1,703 | 151,107 | |
Quest Diagnostics, Inc. | 4,320 | 243,346 | |
UnitedHealth Group, Inc. | 3,560 | 213,351 | |
Universal Health Services, Inc. Class B | 4,020 | 267,692 | |
| 2,320,348 | ||
Life Sciences Tools & Services - 0.4% | |||
Lonza Group AG | 2,119 | 147,564 | |
QIAGEN NV (a) | 5,420 | 107,750 | |
| 255,314 | ||
Pharmaceuticals - 1.7% | |||
Actavis, Inc. (a) | 1,600 | 169,168 | |
Common Stocks - continued | |||
Shares | Value | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
AVANIR Pharmaceuticals Class A (a) | 20,342 | $ 64,891 | |
Endo Health Solutions, Inc. (a) | 9,106 | 333,644 | |
Hospira, Inc. (a) | 5,010 | 165,931 | |
Impax Laboratories, Inc. (a) | 6,406 | 112,105 | |
Jazz Pharmaceuticals PLC (a) | 1,800 | 105,030 | |
ViroPharma, Inc. (a) | 764 | 20,819 | |
Warner Chilcott PLC | 9,449 | 135,877 | |
| 1,107,465 | ||
TOTAL HEALTH CARE | 4,728,767 | ||
INDUSTRIALS - 13.3% | |||
Aerospace & Defense - 1.5% | |||
Esterline Technologies Corp. (a) | 1,715 | 128,694 | |
General Dynamics Corp. | 4,615 | 341,325 | |
Meggitt PLC | 22,262 | 162,045 | |
Spirit AeroSystems Holdings, Inc. Class A (a) | 7,652 | 152,963 | |
Textron, Inc. | 9,775 | 251,706 | |
| 1,036,733 | ||
Air Freight & Logistics - 0.8% | |||
FedEx Corp. | 1,668 | 156,809 | |
UTI Worldwide, Inc. | 23,997 | 352,516 | |
| 509,325 | ||
Building Products - 0.3% | |||
Owens Corning (a) | 4,841 | 203,612 | |
Commercial Services & Supplies - 0.6% | |||
Intrum Justitia AB | 8,713 | 179,475 | |
Waste Management, Inc. | 5,319 | 217,973 | |
| 397,448 | ||
Construction & Engineering - 1.8% | |||
AECOM Technology Corp. (a) | 20,110 | 584,598 | |
Foster Wheeler AG (a) | 1,020 | 21,522 | |
URS Corp. | 14,020 | 615,758 | |
| 1,221,878 | ||
Electrical Equipment - 1.8% | |||
Babcock & Wilcox Co. | 5,894 | 160,317 | |
Eaton Corp. PLC | 9,636 | 591,747 | |
General Cable Corp. (a) | 5,386 | 185,709 | |
Common Stocks - continued | |||
Shares | Value | ||
INDUSTRIALS - continued | |||
Electrical Equipment - continued | |||
Prysmian SpA (d) | 6,800 | $ 137,284 | |
Regal-Beloit Corp. | 1,400 | 110,068 | |
| 1,185,125 | ||
Industrial Conglomerates - 0.4% | |||
Carlisle Companies, Inc. | 2,890 | 187,474 | |
Koninklijke Philips Electronics NV | 3,840 | 106,284 | |
| 293,758 | ||
Machinery - 3.4% | |||
Cummins, Inc. | 1,500 | 159,585 | |
GEA Group AG | 2,991 | 101,173 | |
Harsco Corp. | 8,743 | 190,860 | |
Ingersoll-Rand PLC | 3,339 | 179,638 | |
ITT Corp. | 6,475 | 178,710 | |
Pentair Ltd. | 3,048 | 165,659 | |
Snap-On, Inc. | 2,246 | 193,605 | |
Stanley Black & Decker, Inc. | 9,175 | 686,382 | |
Terex Corp. (a) | 8,904 | 254,654 | |
Timken Co. | 3,057 | 160,706 | |
| 2,270,972 | ||
Marine - 0.1% | |||
Ultrapetrol (Bahamas) Ltd. (a) | 29,500 | 68,440 | |
Professional Services - 1.1% | |||
Dun & Bradstreet Corp. | 2,492 | 220,417 | |
FTI Consulting, Inc. (a) | 3,750 | 124,200 | |
Manpower, Inc. | 3,204 | 170,325 | |
Towers Watson & Co. | 2,816 | 205,343 | |
| 720,285 | ||
Road & Rail - 1.0% | |||
Con-way, Inc. | 10,354 | 349,965 | |
CSX Corp. | 9,392 | 230,949 | |
Quality Distribution, Inc. (a) | 15,503 | 123,404 | |
| 704,318 | ||
Trading Companies & Distributors - 0.5% | |||
AerCap Holdings NV (a) | 5,752 | 91,284 | |
WESCO International, Inc. (a) | 2,981 | 213,708 | |
| 304,992 | ||
TOTAL INDUSTRIALS | 8,916,886 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - 10.7% | |||
Communications Equipment - 0.3% | |||
Cisco Systems, Inc. | 9,642 | $ 201,711 | |
Computers & Peripherals - 0.5% | |||
Hewlett-Packard Co. | 10,283 | 211,830 | |
Western Digital Corp. | 2,764 | 152,794 | |
| 364,624 | ||
Electronic Equipment & Components - 2.9% | |||
Aeroflex Holding Corp. (a) | 9,399 | 69,929 | |
Arrow Electronics, Inc. (a) | 7,433 | 291,597 | |
Benchmark Electronics, Inc. (a) | 3,870 | 69,041 | |
Corning, Inc. | 6,880 | 99,760 | |
Flextronics International Ltd. (a) | 60,502 | 432,589 | |
Ingram Micro, Inc. Class A (a) | 7,814 | 139,167 | |
Jabil Circuit, Inc. | 27,054 | 481,561 | |
TE Connectivity Ltd. | 4,516 | 196,672 | |
TTM Technologies, Inc. (a) | 20,914 | 151,208 | |
| 1,931,524 | ||
IT Services - 2.3% | |||
Acxiom Corp. (a) | 7,022 | 139,668 | |
Amdocs Ltd. | 5,468 | 195,208 | |
Fidelity National Information Services, Inc. | 5,905 | 248,305 | |
Fiserv, Inc. (a) | 1,720 | 156,709 | |
Global Payments, Inc. | 4,724 | 219,194 | |
Sapient Corp. (a) | 13,316 | 155,531 | |
Sykes Enterprises, Inc. (a) | 6,445 | 99,189 | |
Total System Services, Inc. | 7,275 | 171,836 | |
Unisys Corp. (a) | 8,362 | 159,965 | |
| 1,545,605 | ||
Office Electronics - 0.4% | |||
Xerox Corp. | 28,514 | 244,650 | |
Semiconductors & Semiconductor Equipment - 1.9% | |||
Broadcom Corp. Class A | 6,454 | 232,344 | |
Freescale Semiconductor Holdings I Ltd. (a) | 6,989 | 108,190 | |
Intersil Corp. Class A | 33,008 | 256,142 | |
Marvell Technology Group Ltd. | 20,518 | 220,774 | |
ON Semiconductor Corp. (a) | 19,245 | 151,266 | |
PMC-Sierra, Inc. (a) | 18,243 | 105,080 | |
Skyworks Solutions, Inc. (a) | 8,005 | 176,670 | |
| 1,250,466 | ||
Common Stocks - continued | |||
Shares | Value | ||
INFORMATION TECHNOLOGY - continued | |||
Software - 2.4% | |||
Activision Blizzard, Inc. | 12,683 | $ 189,611 | |
Autodesk, Inc. (a) | 3,443 | 135,585 | |
BMC Software, Inc. (a) | 1,463 | 66,537 | |
Check Point Software Technologies Ltd. (a) | 4,085 | 190,443 | |
Comverse, Inc. | 3,963 | 105,138 | |
Constellation Software, Inc. | 700 | 95,538 | |
Electronic Arts, Inc. (a) | 12,579 | 221,516 | |
Oracle Corp. | 10,597 | 347,370 | |
Symantec Corp. (a) | 6,964 | 169,225 | |
Verint Systems, Inc. (a) | 3,337 | 110,254 | |
| 1,631,217 | ||
TOTAL INFORMATION TECHNOLOGY | 7,169,797 | ||
MATERIALS - 6.0% | |||
Chemicals - 3.4% | |||
Air Products & Chemicals, Inc. | 2,008 | 174,616 | |
Albemarle Corp. | 3,814 | 233,608 | |
Ashland, Inc. | 5,848 | 498,308 | |
Cabot Corp. | 2,800 | 105,168 | |
Cytec Industries, Inc. | 2,570 | 187,250 | |
Eastman Chemical Co. | 4,941 | 329,318 | |
LyondellBasell Industries NV Class A | 3,180 | 193,026 | |
Methanex Corp. | 3,892 | 164,959 | |
Mexichem S.A.B. de CV | 14,700 | 74,927 | |
RPM International, Inc. | 3,425 | 110,970 | |
Westlake Chemical Corp. | 2,036 | 169,273 | |
| 2,241,423 | ||
Containers & Packaging - 1.7% | |||
Ball Corp. | 3,830 | 168,980 | |
Nampak Ltd. | 32,208 | 118,373 | |
Rock-Tenn Co. Class A | 6,599 | 660,824 | |
Sonoco Products Co. | 6,000 | 210,240 | |
| 1,158,417 | ||
Metals & Mining - 0.9% | |||
Dominion Diamond Corp. (a) | 4,461 | 70,715 | |
Gem Diamonds Ltd. (a) | 23,033 | 46,780 | |
Common Stocks - continued | |||
Shares | Value | ||
MATERIALS - continued | |||
Metals & Mining - continued | |||
Reliance Steel & Aluminum Co. | 6,690 | $ 435,318 | |
Walter Energy, Inc. (d) | 3,820 | 68,454 | |
| 621,267 | ||
TOTAL MATERIALS | 4,021,107 | ||
TELECOMMUNICATION SERVICES - 0.5% | |||
Diversified Telecommunication Services - 0.1% | |||
CenturyLink, Inc. | 785 | 29,492 | |
Frontier Communications Corp. (d) | 18,787 | 78,154 | |
| 107,646 | ||
Wireless Telecommunication Services - 0.4% | |||
NII Holdings, Inc. (a)(d) | 10,188 | 88,636 | |
Sprint Nextel Corp. (a) | 22,889 | 161,367 | |
| 250,003 | ||
TOTAL TELECOMMUNICATION SERVICES | 357,649 | ||
UTILITIES - 8.8% | |||
Electric Utilities - 4.9% | |||
Edison International | 18,450 | 992,610 | |
ITC Holdings Corp. | 7,507 | 692,296 | |
NextEra Energy, Inc. | 1,587 | 130,182 | |
Northeast Utilities | 19,571 | 887,153 | |
NV Energy, Inc. | 14,700 | 317,961 | |
PNM Resources, Inc. | 10,060 | 241,541 | |
| 3,261,743 | ||
Gas Utilities - 0.7% | |||
Atmos Energy Corp. | 6,778 | 300,740 | |
Questar Corp. | 7,211 | 183,087 | |
| 483,827 | ||
Independent Power Producers & Energy Traders - 0.3% | |||
Calpine Corp. (a) | 3,380 | 73,447 | |
The AES Corp. | 7,905 | 109,563 | |
| 183,010 | ||
Multi-Utilities - 2.9% | |||
NiSource, Inc. | 19,262 | 591,921 | |
Common Stocks - continued | |||
Shares | Value | ||
UTILITIES - continued | |||
Multi-Utilities - continued | |||
PG&E Corp. | 4,780 | $ 231,543 | |
Sempra Energy | 13,973 | 1,157,663 | |
| 1,981,127 | ||
TOTAL UTILITIES | 5,909,707 | ||
TOTAL COMMON STOCKS (Cost $56,660,513) |
|
U.S. Treasury Obligations - 0.0% | ||||
| Principal Amount |
| ||
U.S. Treasury Bills, yield at date of purchase 0.05% 7/5/13 (e) | $ 20,000 |
|
Money Market Funds - 3.2% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.13% (b) | 1,766,636 | 1,766,636 | |
Fidelity Securities Lending Cash Central Fund, 0.12% (b)(c) | 401,735 | 401,735 | |
TOTAL MONEY MARKET FUNDS (Cost $2,168,371) |
| ||
TOTAL INVESTMENT PORTFOLIO - 100.9% (Cost $58,848,882) | 67,763,688 | ||
NET OTHER ASSETS (LIABILITIES) - (0.9)% | (600,746) | ||
NET ASSETS - 100% | $ 67,162,942 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized | |||
Purchased | |||||
Equity Index Contracts | |||||
2 CME E-mini S&P Midcap 400 Index Contracts | June 2013 | $ 231,540 | $ 8,690 |
|
The face value of futures purchased as a percentage of net assets is 0.3% |
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) Security or a portion of the security is on loan at period end. |
(e) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $19,999. |
(f) 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 $236,231 or 0.4% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
First Citizen Bancshares, Inc. | 12/21/12 | $ 197,120 |
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 | $ 1,428 |
Fidelity Securities Lending Cash Central Fund | 2,731 |
Total | $ 4,159 |
Other Information |
The following is a summary of the inputs used, as of April 30, 2013, 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 | $ 6,957,240 | $ 6,957,240 | $ - | $ - |
Consumer Staples | 3,829,093 | 3,829,093 | - | - |
Energy | 5,861,143 | 5,861,143 | - | - |
Financials | 17,823,929 | 17,199,137 | 624,792 | - |
Health Care | 4,728,767 | 4,728,767 | - | - |
Industrials | 8,916,886 | 8,810,602 | 106,284 | - |
Information Technology | 7,169,797 | 7,169,797 | - | - |
Materials | 4,021,107 | 4,021,107 | - | - |
Telecommunication Services | 357,649 | 357,649 | - | - |
Utilities | 5,909,707 | 5,909,707 | - | - |
U.S. Government and Government Agency Obligations | 19,999 | - | 19,999 | - |
Money Market Funds | 2,168,371 | 2,168,371 | - | - |
Total Investments in Securities: | $ 67,763,688 | $ 67,012,613 | $ 751,075 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 8,690 | $ 8,690 | $ - | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of April 30, 2013. 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 |
Equity Risk | ||
Futures Contracts (a) | $ 8,690 | $ - |
Total Value of Derivatives | $ 8,690 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 83.6% |
Bermuda | 2.3% |
Ireland | 2.2% |
Canada | 2.0% |
United Kingdom | 1.8% |
Netherlands | 1.0% |
Others (Individually Less Than 1%) | 7.1% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
| April 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $388,029) - See accompanying schedule: Unaffiliated issuers (cost $56,680,511) | $ 65,595,317 |
|
Fidelity Central Funds (cost $2,168,371) | 2,168,371 |
|
Total Investments (cost $58,848,882) |
| $ 67,763,688 |
Cash |
| 55,961 |
Foreign currency held at value (cost $5,017) | 5,017 | |
Receivable for investments sold | 461,052 | |
Receivable for fund shares sold | 29,008 | |
Dividends receivable | 46,632 | |
Distributions receivable from Fidelity Central Funds | 592 | |
Receivable for daily variation margin on futures contracts | 2,140 | |
Prepaid expenses | 45 | |
Receivable from investment adviser for expense reductions | 694 | |
Other receivables | 1,950 | |
Total assets | 68,366,779 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 501,957 | |
Payable for fund shares redeemed | 194,304 | |
Accrued management fee | 20,061 | |
Distribution and service plan fees payable | 24,151 | |
Other affiliated payables | 16,874 | |
Other payables and accrued expenses | 44,755 | |
Collateral on securities loaned, at value | 401,735 | |
Total liabilities | 1,203,837 | |
|
|
|
Net Assets | $ 67,162,942 | |
Net Assets consist of: |
| |
Paid in capital | $ 87,145,184 | |
Distributions in excess of net investment income | (43,914) | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (28,862,081) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 8,923,753 | |
Net Assets | $ 67,162,942 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
| April 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 16.61 | |
|
|
|
Maximum offering price per share (100/94.25 of $16.61) | $ 17.62 | |
Class T: | $ 16.47 | |
|
|
|
Maximum offering price per share (100/96.50 of $16.47) | $ 17.07 | |
Class B: | $ 16.04 | |
|
|
|
Class C: | $ 15.99 | |
|
|
|
Institutional Class: | $ 16.75 |
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
Six months ended April 30, 2013 (Unaudited) | ||
|
|
|
Investment Income |
|
|
Dividends |
| $ 667,356 |
Interest |
| 47 |
Income from Fidelity Central Funds |
| 4,159 |
Total income |
| 671,562 |
|
|
|
Expenses | ||
Management fee | $ 169,043 | |
Performance adjustment | (57,545) | |
Transfer agent fees | 85,256 | |
Distribution and service plan fees | 135,389 | |
Accounting and security lending fees | 11,861 | |
Custodian fees and expenses | 42,475 | |
Independent trustees' compensation | 189 | |
Registration fees | 53,305 | |
Audit | 34,241 | |
Legal | 119 | |
Miscellaneous | 240 | |
Total expenses before reductions | 474,573 | |
Expense reductions | (46,314) | 428,259 |
Net investment income (loss) | 243,303 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 1,473,032 | |
Foreign currency transactions | (2,268) | |
Futures contracts | 74,224 | |
Total net realized gain (loss) |
| 1,544,988 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 8,630,828 | |
Assets and liabilities in foreign currencies | 258 | |
Futures contracts | 3,094 | |
Total change in net unrealized appreciation (depreciation) |
| 8,634,180 |
Net gain (loss) | 10,179,168 | |
Net increase (decrease) in net assets resulting from operations | $ 10,422,471 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
| Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 243,303 | $ 179,499 |
Net realized gain (loss) | 1,544,988 | 1,453,202 |
Change in net unrealized appreciation (depreciation) | 8,634,180 | 6,392,198 |
Net increase (decrease) in net assets resulting | 10,422,471 | 8,024,899 |
Distributions to shareholders from net investment income | (345,665) | (122,126) |
Share transactions - net increase (decrease) | 698,959 | (11,342,588) |
Total increase (decrease) in net assets | 10,775,765 | (3,439,815) |
|
|
|
Net Assets | ||
Beginning of period | 56,387,177 | 59,826,992 |
End of period (including distributions in excess of net investment income of $43,914 and undistributed net investment income of $58,448, respectively) | $ 67,162,942 | $ 56,387,177 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 14.08 | $ 12.25 | $ 12.12 | $ 9.81 | $ 8.33 | $ 16.55 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .08 | .07 | .03 | .06 H | .06 | .08 |
Net realized and unrealized gain (loss) | 2.56 | 1.79 | .17 | 2.29 | 1.46 | (7.33) |
Total from investment operations | 2.64 | 1.86 | .20 | 2.35 | 1.52 | (7.25) |
Distributions from net investment income | (.11) | (.03) | (.06) | (.03) | (.04) | - |
Distributions from net realized gain | - | - | (.01) | (.01) | - | (.97) |
Total distributions | (.11) | (.03) | (.07) | (.04) | (.04) | (.97) |
Net asset value, end of period | $ 16.61 | $ 14.08 | $ 12.25 | $ 12.12 | $ 9.81 | $ 8.33 |
Total Return B, C, D | 18.91% | 15.22% | 1.65% | 23.99% | 18.41% | (46.38)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 1.36% A | 1.35% | 1.29% | 1.33% | 1.36% | 1.34% |
Expenses net of fee waivers, if any | 1.25% A | 1.25% | 1.25% | 1.25% | 1.25% | 1.25% |
Expenses net of all reductions | 1.21% A | 1.25% | 1.24% | 1.24% | 1.25% | 1.25% |
Net investment income (loss) | .99% A | .51% | .21% | .51% H | .76% | .65% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 33,453 | $ 27,817 | $ 29,635 | $ 37,972 | $ 40,404 | $ 39,288 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been .13%.
I 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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 13.95 | $ 12.15 | $ 12.03 | $ 9.74 | $ 8.29 | $ 16.47 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .06 | .03 | (.01) | .03 H | .04 | .05 |
Net realized and unrealized gain (loss) | 2.54 | 1.80 | .17 | 2.27 | 1.45 | (7.30) |
Total from investment operations | 2.60 | 1.83 | .16 | 2.30 | 1.49 | (7.25) |
Distributions from net investment income | (.08) | (.03) | (.04) | (.01) | (.04) | - |
Distributions from net realized gain | - | - | (.01) | (.01) | - | (.93) |
Total distributions | (.08) | (.03) | (.04) J | (.01) K | (.04) | (.93) |
Net asset value, end of period | $ 16.47 | $ 13.95 | $ 12.15 | $ 12.03 | $ 9.74 | $ 8.29 |
Total Return B, C, D | 18.72% | 15.05% | 1.35% | 23.66% | 18.09% | (46.50)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 1.63% A | 1.61% | 1.56% | 1.59% | 1.62% | 1.59% |
Expenses net of fee waivers, if any | 1.50% A | 1.50% | 1.50% | 1.50% | 1.50% | 1.50% |
Expenses net of all reductions | 1.46% A | 1.50% | 1.49% | 1.49% | 1.50% | 1.50% |
Net investment income (loss) | .75% A | .26% | (.04)% | .26% H | .51% | .40% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 14,993 | $ 12,727 | $ 12,866 | $ 17,908 | $ 19,978 | $ 22,523 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been (.12)%.
I 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.
J Total distributions of $.04 per share is comprised of distributions from net investment income of $.035 and distributions from net realized gain of $.009 per share.
K Total distributions of $.01 per share is comprised of distributions from net investment income of $.008 and distributions from net realized gain of $.005 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 13.54 | $ 11.85 | $ 11.75 | $ 9.54 | $ 8.16 | $ 16.30 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .02 | (.03) | (.07) | (.03) H | - J | (.01) |
Net realized and unrealized gain (loss) | 2.48 | 1.74 | .17 | 2.24 | 1.41 | (7.20) |
Total from investment operations | 2.50 | 1.71 | .10 | 2.21 | 1.41 | (7.21) |
Distributions from net investment income | - | (.02) | - | - | (.03) | - |
Distributions from net realized gain | - | - | - | - | - | (.93) |
Total distributions | - | (.02) | - | - | (.03) | (.93) |
Net asset value, end of period | $ 16.04 | $ 13.54 | $ 11.85 | $ 11.75 | $ 9.54 | $ 8.16 |
Total Return B, C, D | 18.46% | 14.41% | .85% | 23.17% | 17.43% | (46.75)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 2.15% A | 2.13% | 2.05% | 2.08% | 2.12% | 2.10% |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.00% | 2.00% | 2.00% | 2.00% |
Expenses net of all reductions | 1.96% A | 2.00% | 1.99% | 1.99% | 2.00% | 2.00% |
Net investment income (loss) | .24% A | (.24)% | (.54)% | (.24)% H | .01% | (.10)% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 2,187 | $ 2,480 | $ 3,482 | $ 4,937 | $ 4,828 | $ 5,919 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been (.62)%.
I 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.
J Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 13.51 | $ 11.83 | $ 11.73 | $ 9.53 | $ 8.14 | $ 16.27 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .02 | (.03) | (.07) | (.03) H | - J | (.01) |
Net realized and unrealized gain (loss) | 2.47 | 1.73 | .17 | 2.23 | 1.42 | (7.19) |
Total from investment operations | 2.49 | 1.70 | .10 | 2.20 | 1.42 | (7.20) |
Distributions from net investment income | (.01) | (.02) | - | - | (.03) | - |
Distributions from net realized gain | - | - | - | - | - | (.93) |
Total distributions | (.01) | (.02) | - | - | (.03) | (.93) |
Net asset value, end of period | $ 15.99 | $ 13.51 | $ 11.83 | $ 11.73 | $ 9.53 | $ 8.14 |
Total Return B, C, D | 18.47% | 14.36% | .85% | 23.08% | 17.60% | (46.78)% |
Ratios to Average Net Assets F, I |
|
|
|
|
| |
Expenses before reductions | 2.13% A | 2.10% | 2.04% | 2.08% | 2.11% | 2.09% |
Expenses net of fee waivers, if any | 2.00% A | 2.00% | 2.00% | 2.00% | 2.00% | 2.00% |
Expenses net of all reductions | 1.96% A | 1.99% | 1.99% | 1.99% | 2.00% | 2.00% |
Net investment income (loss) | .24% A | (.24)% | (.54)% | (.24)% H | .01% | (.10)% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 11,321 | $ 9,283 | $ 8,976 | $ 9,497 | $ 9,692 | $ 10,418 |
Portfolio turnover rate G | 92% A | 77% | 96% | 152% | 58% | 49% |
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.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been (.62)%.
I 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.
J Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended October 31, | ||||
| (Unaudited) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 14.22 | $ 12.34 | $ 12.21 | $ 9.88 | $ 8.37 | $ 16.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .10 | .10 | .06 | .09 G | .08 | .12 |
Net realized and unrealized gain (loss) | 2.58 | 1.81 | .18 | 2.31 | 1.47 | (7.38) |
Total from investment operations | 2.68 | 1.91 | .24 | 2.40 | 1.55 | (7.26) |
Distributions from net investment income | (.15) | (.03) | (.10) | (.06) | (.04) | - |
Distributions from net realized gain | - | - | (.01) | (.01) | - | (1.02) |
Total distributions | (.15) | (.03) | (.11) | (.07) | (.04) | (1.02) |
Net asset value, end of period | $ 16.75 | $ 14.22 | $ 12.34 | $ 12.21 | $ 9.88 | $ 8.37 |
Total Return B, C | 19.02% | 15.56% | 1.93% | 24.36% | 18.74% | (46.27)% |
Ratios to Average Net Assets E, H |
|
|
|
|
| |
Expenses before reductions | 1.01% A | .99% | .97% | 1.03% | 1.16% | 1.09% |
Expenses net of fee waivers, if any | 1.00% A | .99% | .97% | 1.00% | 1.00% | 1.00% |
Expenses net of all reductions | .97% A | .99% | .96% | .99% | 1.00% | 1.00% |
Net investment income (loss) | 1.24% A | .76% | .49% | .76% G | 1.01% | .90% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 5,209 | $ 4,080 | $ 4,869 | $ 5,894 | $ 5,230 | $ 13,229 |
Portfolio turnover rate F | 92% A | 77% | 96% | 152% | 58% | 49% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Investment income per share reflects a large, non-recurring dividend which amounted to $.04 per share. Excluding this non-recurring dividend, the ratio of net investment income (loss) to average net assets would have been .38%.
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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended April 30, 2013 (Unaudited)
1. Organization.
Fidelity Advisor® Value 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 and Institutional Class 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 Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR.
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 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
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 FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Fund's 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 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 restricted equity securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
securities. For U.S. government and government agency obligations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities 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 April 30, 2013, 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 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
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
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 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. 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.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures transactions, foreign currency transactions, passive foreign investment companies (PFIC), partnerships, 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 | $ 10,740,751 |
Gross unrealized depreciation | (2,100,299) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 8,640,452 |
|
|
Tax cost | $ 59,123,236 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of fiscal period end and is subject to adjustment.
Fiscal year of expiration |
|
2017 | $ (30,037,482) |
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.
New Accounting Pronouncement. The Financial Accounting Standards Board issued in December 2011, Accounting Standard Update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, and in January 2013, Accounting Standards Update No. 2013-1 Clarifying the Scope of Disclosures about Offsetting Assets and Liabilities. These updates create new disclosure requirements requiring entities to disclose both gross and net information for derivatives and other financial instruments that are either offset in
Semiannual Report
3. Significant Accounting Policies - continued
New Accounting Pronouncement - continued
the Statement of Assets and Liabilities or subject to an enforceable master netting arrangement or similar agreement. The disclosure requirements are effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
4. 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. 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 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 risk:
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. |
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. Counterparty credit risk related to exchange-traded futures contracts is 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
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 activity for the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
During the period the Fund recognized net realized gain (loss) of $74,224 and a change in net unrealized appreciation (depreciation) of $3,094 related to its investment in futures contracts. These amounts are included in the Statement of Operations.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities, aggregated $27,656,065 and $27,064,052, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .30% of the Fund's average net assets and an annualized group fee rate that averaged .26% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. In addition, the management fee is subject to a performance adjustment (up to a maximum of ±.20% of the
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
Fund's average net assets over a 36 month performance period). The upward or downward adjustment to the management fee is based on the relative investment performance of the Institutional Class of the Fund as compared to an appropriate benchmark index. For the period, the total annualized management fee rate, including the performance adjustment, was .37% of the Fund's average net assets.
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 FMR, 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% | $ 37,393 | $ 451 |
Class T | .25% | .25% | 34,428 | 395 |
Class B | .75% | .25% | 12,151 | 9,227 |
Class C | .75% | .25% | 51,417 | 6,228 |
|
|
| $ 135,389 | $ 16,301 |
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 | $ 4,878 |
Class T | 1,359 |
Class B* | 781 |
Class C* | 735 |
| $ 7,753 |
* 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 41,581 | .28 |
Class T | 20,670 | .30 |
Class B | 3,663 | .30 |
Class C | 15,447 | .30 |
Institutional Class | 3,895 | .17 |
| $ 85,256 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. 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 $888 for the period.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $77 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 through a lending agent 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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in 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 and any lending agent fees associated with the loan, 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 amounted to $2,731. During the period, there were no securities loaned to FCM.
9. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, including commitment fees, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
| Expense | Reimbursement |
Class A | 1.25% | $ 16,922 |
Class T | 1.50% | 9,243 |
Class B | 2.00% | 1,813 |
Class C | 2.00% | 6,885 |
Institutional Class | 1.00% | 89 |
|
| $ 34,952 |
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $11,318 for the period. In addition,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
9. Expense Reductions - continued
through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody and accounting expenses by $44.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 223,873 | $ 69,035 |
Class T | 71,100 | 25,805 |
Class B | - | 4,214 |
Class C | 8,906 | 12,072 |
Institutional Class | 41,786 | 11,000 |
Total | $ 345,665 | $ 122,126 |
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 | 319,634 | 329,571 | $ 4,999,382 | $ 4,329,329 |
Reinvestment of distributions | 14,139 | 5,253 | 202,243 | 63,291 |
Shares redeemed | (295,368) | (779,891) | (4,502,935) | (10,153,577) |
Net increase (decrease) | 38,405 | (445,067) | $ 698,690 | $ (5,760,957) |
Class T |
|
|
|
|
Shares sold | 77,395 | 107,994 | $ 1,195,403 | $ 1,412,834 |
Reinvestment of distributions | 4,868 | 2,094 | 69,164 | 25,036 |
Shares redeemed | (84,634) | (256,225) | (1,279,282) | (3,346,748) |
Net increase (decrease) | (2,371) | (146,137) | $ (14,715) | $ (1,908,878) |
Class B |
|
|
|
|
Shares sold | 13,328 | 427 | $ 190,246 | $ 5,416 |
Reinvestment of distributions | - | 305 | - | 3,552 |
Shares redeemed | (60,133) | (111,455) | (897,506) | (1,418,435) |
Net increase (decrease) | (46,805) | (110,723) | $ (707,260) | $ (1,409,467) |
Semiannual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class C |
|
|
|
|
Shares sold | 94,295 | 97,754 | $ 1,419,390 | $ 1,224,045 |
Reinvestment of distributions | 588 | 933 | 8,189 | 10,861 |
Shares redeemed | (74,003) | (170,741) | (1,106,891) | (2,171,269) |
Net increase (decrease) | 20,880 | (72,054) | $ 320,688 | $ (936,363) |
Institutional Class |
|
|
|
|
Shares sold | 69,523 | 29,145 | $ 1,111,528 | $ 387,393 |
Reinvestment of distributions | 2,173 | 651 | 31,289 | 7,904 |
Shares redeemed | (47,712) | (137,550) | (741,261) | (1,722,220) |
Net increase (decrease) | 23,984 | (107,754) | $ 401,556 | $ (1,326,923) |
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 Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
FAVI-USAN-0613 1.800652.109
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: | June 21, 2013 |
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: | June 21, 2013 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | June 21, 2013 |