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, MA 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code:
617-563-7000
Date of fiscal year end: | August 31 |
Date of reporting period: | February 28, 2018 |
Item 1.
Reports to Stockholders
Fidelity Advisor® Balanced Fund Semi-Annual Report February 28, 2018 |
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Contents
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.
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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. © 2018 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.institutional.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.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Top Five Stocks as of February 28, 2018
% of fund's net assets | |
Microsoft Corp. | 2.0 |
Amazon.com, Inc. | 1.9 |
Alphabet, Inc. Class C | 1.8 |
Bank of America Corp. | 1.5 |
UnitedHealth Group, Inc. | 1.3 |
8.5 |
Top Five Bond Issuers as of February 28, 2018
(with maturities greater than one year) | % of fund's net assets |
U.S. Treasury Obligations | 12.6 |
Fannie Mae | 3.4 |
Ginnie Mae | 1.8 |
Freddie Mac | 1.5 |
Ginnie Mae guaranteed REMIC pass-thru certificates | 0.7 |
20.0 |
Top Five Market Sectors as of February 28, 2018
% of fund's net assets | |
Information Technology | 15.6 |
Financials | 13.8 |
Consumer Discretionary | 10.4 |
Health Care | 9.6 |
Industrials | 6.6 |
Asset Allocation (% of fund's net assets)
As of February 28, 2018 * | ||
Stocks and Equity Futures | 66.3% | |
Bonds | 31.0% | |
Other Investments | 0.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 2.3% |
* Foreign investments - 8.0%
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages are adjusted for the effect of futures contracts and swaps, if applicable.
Schedule of Investments February 28, 2018 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 64.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 9.4% | |||
Auto Components - 0.2% | |||
Aptiv PLC | 55,900 | $5,105 | |
Delphi Technologies PLC | 18,633 | 890 | |
5,995 | |||
Automobiles - 0.2% | |||
Tesla, Inc. (a) | 19,060 | 6,539 | |
Diversified Consumer Services - 0.4% | |||
ServiceMaster Global Holdings, Inc. (a) | 267,280 | 13,728 | |
Hotels, Restaurants & Leisure - 1.3% | |||
Cedar Fair LP (depositary unit) | 56,800 | 3,795 | |
Compass Group PLC | 373,500 | 7,935 | |
Dunkin' Brands Group, Inc. | 10,300 | 617 | |
Marriott International, Inc. Class A | 45,101 | 6,369 | |
Starbucks Corp. | 85,200 | 4,865 | |
U.S. Foods Holding Corp. (a) | 183,100 | 6,114 | |
Wyndham Worldwide Corp. | 72,697 | 8,417 | |
38,112 | |||
Household Durables - 0.1% | |||
Newell Brands, Inc. | 112,400 | 2,888 | |
Internet & Direct Marketing Retail - 2.6% | |||
Amazon.com, Inc. (a) | 37,785 | 57,148 | |
JD.com, Inc. sponsored ADR (a) | 180,500 | 8,511 | |
Netflix, Inc. (a) | 46,377 | 13,513 | |
79,172 | |||
Leisure Products - 0.1% | |||
Mattel, Inc. | 147,382 | 2,343 | |
Media - 1.9% | |||
Charter Communications, Inc. Class A (a) | 38,048 | 13,010 | |
Comcast Corp. Class A | 440,200 | 15,940 | |
DISH Network Corp. Class A (a) | 8,100 | 338 | |
MDC Partners, Inc. Class A (a) | 207,793 | 1,631 | |
The Walt Disney Co. | 181,400 | 18,713 | |
Time Warner, Inc. | 91,900 | 8,543 | |
58,175 | |||
Multiline Retail - 0.3% | |||
Dollar Tree, Inc. (a) | 80,600 | 8,273 | |
Specialty Retail - 1.9% | |||
Home Depot, Inc. | 138,509 | 25,246 | |
L Brands, Inc. | 58,304 | 2,876 | |
Lowe's Companies, Inc. | 110,100 | 9,864 | |
O'Reilly Automotive, Inc. (a) | 19,409 | 4,739 | |
TJX Companies, Inc. | 146,265 | 12,093 | |
Ulta Beauty, Inc. | 17,800 | 3,620 | |
58,438 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
NIKE, Inc. Class B | 186,564 | 12,505 | |
TOTAL CONSUMER DISCRETIONARY | 286,168 | ||
CONSUMER STAPLES - 4.9% | |||
Beverages - 1.2% | |||
Anheuser-Busch InBev SA NV | 32,900 | 3,493 | |
Constellation Brands, Inc. Class A (sub. vtg.) | 30,800 | 6,637 | |
Dr. Pepper Snapple Group, Inc. | 20,100 | 2,337 | |
Monster Beverage Corp. (a) | 75,075 | 4,758 | |
The Coca-Cola Co. | 409,799 | 17,712 | |
34,937 | |||
Food & Staples Retailing - 0.7% | |||
CVS Health Corp. | 191,427 | 12,965 | |
Kroger Co. | 174,916 | 4,744 | |
Walgreens Boots Alliance, Inc. | 54,300 | 3,741 | |
21,450 | |||
Food Products - 0.6% | |||
Bunge Ltd. | 60,100 | 4,533 | |
Mondelez International, Inc. | 226,900 | 9,961 | |
The Kraft Heinz Co. | 17,500 | 1,173 | |
The Simply Good Foods Co. | 88,500 | 1,196 | |
TreeHouse Foods, Inc. (a) | 67,133 | 2,552 | |
19,415 | |||
Household Products - 0.5% | |||
Colgate-Palmolive Co. | 158,799 | 10,952 | |
Kimberly-Clark Corp. | 7,012 | 778 | |
Procter & Gamble Co. | 26,800 | 2,104 | |
Spectrum Brands Holdings, Inc. | 16,000 | 1,579 | |
15,413 | |||
Personal Products - 0.4% | |||
Avon Products, Inc. (a) | 653,500 | 1,719 | |
Coty, Inc. Class A | 115,116 | 2,224 | |
Edgewell Personal Care Co. (a) | 26,500 | 1,329 | |
Estee Lauder Companies, Inc. Class A | 29,013 | 4,017 | |
Unilever NV (Certificaten Van Aandelen) (Bearer) | 49,800 | 2,606 | |
11,895 | |||
Tobacco - 1.5% | |||
Altria Group, Inc. | 91,092 | 5,734 | |
British American Tobacco PLC sponsored ADR | 311,073 | 18,372 | |
Philip Morris International, Inc. | 216,981 | 22,468 | |
46,574 | |||
TOTAL CONSUMER STAPLES | 149,684 | ||
ENERGY - 3.4% | |||
Energy Equipment & Services - 0.2% | |||
Baker Hughes, a GE Co. Class A | 133,200 | 3,516 | |
Hess Midstream Partners LP | 37,800 | 755 | |
Liberty Oilfield Services, Inc. Class A (a) | 25,400 | 472 | |
NCS Multistage Holdings, Inc. | 93,500 | 1,367 | |
Oceaneering International, Inc. | 30,829 | 567 | |
Schlumberger Ltd. | 5,700 | 374 | |
Tenaris SA sponsored ADR | 9,700 | 335 | |
7,386 | |||
Oil, Gas & Consumable Fuels - 3.2% | |||
Anadarko Petroleum Corp. | 120,711 | 6,885 | |
Black Stone Minerals LP | 70,100 | 1,202 | |
Boardwalk Pipeline Partners, LP | 148,000 | 1,668 | |
Cabot Oil & Gas Corp. | 118,515 | 2,863 | |
Centennial Resource Development, Inc.: | |||
Class A (a) | 35,500 | 677 | |
Class A (a)(b) | 52,300 | 998 | |
Chevron Corp. | 59,476 | 6,657 | |
Cimarex Energy Co. | 34,100 | 3,277 | |
ConocoPhillips Co. | 178,900 | 9,716 | |
Devon Energy Corp. | 194,700 | 5,971 | |
EOG Resources, Inc. | 82,200 | 8,337 | |
Extraction Oil & Gas, Inc. (a) | 65,756 | 794 | |
Extraction Oil & Gas, Inc. (a)(b) | 50,835 | 614 | |
Exxon Mobil Corp. | 160,491 | 12,156 | |
Newfield Exploration Co. (a) | 130,200 | 3,038 | |
Parsley Energy, Inc. Class A (a) | 183,200 | 4,631 | |
PDC Energy, Inc. (a) | 24,500 | 1,287 | |
Phillips 66 Co. | 73,574 | 6,649 | |
Pioneer Natural Resources Co. | 30,000 | 5,107 | |
PrairieSky Royalty Ltd. | 77,400 | 1,717 | |
Reliance Industries Ltd. | 116,993 | 1,702 | |
Suncor Energy, Inc. | 149,555 | 4,923 | |
Valero Energy Corp. | 67,000 | 6,058 | |
96,927 | |||
TOTAL ENERGY | 104,313 | ||
FINANCIALS - 9.9% | |||
Banks - 4.6% | |||
Bank of America Corp. | 1,372,291 | 44,051 | |
Citigroup, Inc. | 357,130 | 26,960 | |
Huntington Bancshares, Inc. | 1,191,545 | 18,707 | |
KeyCorp | 221,900 | 4,689 | |
PNC Financial Services Group, Inc. | 81,900 | 12,912 | |
Synovus Financial Corp. | 24,039 | 1,185 | |
Wells Fargo & Co. | 541,000 | 31,600 | |
140,104 | |||
Capital Markets - 1.9% | |||
BlackRock, Inc. Class A | 16,990 | 9,335 | |
CBOE Global Markets, Inc. | 32,172 | 3,604 | |
E*TRADE Financial Corp. (a) | 147,721 | 7,715 | |
Goldman Sachs Group, Inc. | 76,500 | 20,114 | |
IntercontinentalExchange, Inc. | 74,900 | 5,474 | |
Northern Trust Corp. | 60,900 | 6,447 | |
State Street Corp. | 53,200 | 5,647 | |
58,336 | |||
Consumer Finance - 1.3% | |||
Capital One Financial Corp. | 267,409 | 26,187 | |
OneMain Holdings, Inc. (a) | 150,500 | 4,614 | |
SLM Corp. (a) | 370,257 | 4,040 | |
Synchrony Financial | 99,000 | 3,603 | |
38,444 | |||
Diversified Financial Services - 0.2% | |||
Berkshire Hathaway, Inc.: | |||
Class A (a) | 10 | 3,103 | |
Class B (a) | 6,400 | 1,326 | |
KBC Ancora | 24,048 | 1,558 | |
Kimbell Royalty Partners LP | 39,100 | 743 | |
6,730 | |||
Insurance - 1.9% | |||
American International Group, Inc. | 142,500 | 8,171 | |
Chubb Ltd. | 62,591 | 8,883 | |
Hartford Financial Services Group, Inc. | 94,900 | 5,015 | |
Marsh & McLennan Companies, Inc. | 88,653 | 7,360 | |
MetLife, Inc. | 286,200 | 13,220 | |
The Travelers Companies, Inc. | 91,700 | 12,746 | |
WMI Holdings Corp. (a) | 4,527 | 6 | |
55,401 | |||
TOTAL FINANCIALS | 299,015 | ||
HEALTH CARE - 8.8% | |||
Biotechnology - 2.1% | |||
AbbVie, Inc. | 47,300 | 5,479 | |
Alexion Pharmaceuticals, Inc. (a) | 41,664 | 4,893 | |
Amgen, Inc. | 132,505 | 24,350 | |
Biogen, Inc. (a) | 43,475 | 12,564 | |
Celgene Corp. (a) | 7,100 | 619 | |
Regeneron Pharmaceuticals, Inc. (a) | 12,800 | 4,102 | |
TESARO, Inc. (a) | 27,600 | 1,524 | |
Vertex Pharmaceuticals, Inc. (a) | 62,500 | 10,377 | |
63,908 | |||
Health Care Equipment & Supplies - 2.3% | |||
Abbott Laboratories | 301,800 | 18,208 | |
Baxter International, Inc. | 50,300 | 3,410 | |
Becton, Dickinson & Co. | 70,800 | 15,719 | |
Boston Scientific Corp. (a) | 505,655 | 13,784 | |
Intuitive Surgical, Inc. (a) | 22,600 | 9,638 | |
Medtronic PLC | 7,301 | 583 | |
ResMed, Inc. | 66,000 | 6,288 | |
Wright Medical Group NV (a) | 110,846 | 2,256 | |
69,886 | |||
Health Care Providers & Services - 2.2% | |||
AmerisourceBergen Corp. | 12,600 | 1,199 | |
DaVita HealthCare Partners, Inc. (a) | 74,100 | 5,337 | |
Henry Schein, Inc. (a) | 26,288 | 1,740 | |
Humana, Inc. | 41,800 | 11,362 | |
McKesson Corp. | 51,000 | 7,611 | |
UnitedHealth Group, Inc. | 168,000 | 37,995 | |
65,244 | |||
Health Care Technology - 0.2% | |||
Cerner Corp. (a) | 71,400 | 4,581 | |
Inovalon Holdings, Inc. Class A (a) | 24,500 | 294 | |
Medidata Solutions, Inc. (a) | 8,700 | 571 | |
5,446 | |||
Life Sciences Tools & Services - 0.7% | |||
Agilent Technologies, Inc. | 113,900 | 7,812 | |
Thermo Fisher Scientific, Inc. | 61,490 | 12,826 | |
20,638 | |||
Pharmaceuticals - 1.3% | |||
Allergan PLC | 33,219 | 5,123 | |
AstraZeneca PLC sponsored ADR | 169,200 | 5,616 | |
Bristol-Myers Squibb Co. | 181,294 | 12,002 | |
Jazz Pharmaceuticals PLC (a) | 36,600 | 5,300 | |
Merck & Co., Inc. | 26,300 | 1,426 | |
Mylan NV (a) | 113,000 | 4,556 | |
Nektar Therapeutics (a) | 10,500 | 909 | |
Roche Holding AG (participation certificate) | 21,388 | 4,940 | |
39,872 | |||
TOTAL HEALTH CARE | 264,994 | ||
INDUSTRIALS - 6.3% | |||
Aerospace & Defense - 1.6% | |||
Axon Enterprise, Inc. (a) | 145,600 | 5,071 | |
Lockheed Martin Corp. | 9,890 | 3,486 | |
Northrop Grumman Corp. | 24,517 | 8,582 | |
Raytheon Co. | 35,840 | 7,796 | |
The Boeing Co. | 11,590 | 4,198 | |
United Technologies Corp. | 138,328 | 18,638 | |
47,771 | |||
Air Freight & Logistics - 0.2% | |||
United Parcel Service, Inc. Class B | 44,795 | 4,677 | |
Airlines - 1.3% | |||
American Airlines Group, Inc. | 487,132 | 26,427 | |
JetBlue Airways Corp. (a) | 275,545 | 5,800 | |
United Continental Holdings, Inc. (a) | 118,550 | 8,037 | |
40,264 | |||
Building Products - 0.2% | |||
Allegion PLC | 77,640 | 6,530 | |
Construction & Engineering - 0.3% | |||
AECOM (a) | 251,444 | 8,929 | |
Electrical Equipment - 0.9% | |||
AMETEK, Inc. | 70,958 | 5,374 | |
Fortive Corp. | 38,246 | 2,937 | |
Sensata Technologies Holding BV (a) | 279,402 | 14,769 | |
Sunrun, Inc. (a) | 612,821 | 4,100 | |
Vivint Solar, Inc. (a) | 419,274 | 1,258 | |
28,438 | |||
Industrial Conglomerates - 0.3% | |||
3M Co. | 9,120 | 2,148 | |
General Electric Co. | 173,508 | 2,448 | |
Honeywell International, Inc. | 37,670 | 5,692 | |
10,288 | |||
Machinery - 0.0% | |||
Cactus, Inc. (a)(c) | 25,281 | 622 | |
Marine - 0.0% | |||
A.P. Moller - Maersk A/S Series B | 98 | 159 | |
Professional Services - 0.1% | |||
Nielsen Holdings PLC | 5,420 | 177 | |
WageWorks, Inc. (a) | 20,100 | 1,054 | |
1,231 | |||
Road & Rail - 1.0% | |||
Avis Budget Group, Inc. (a) | 150,386 | 6,794 | |
CSX Corp. | 234,159 | 12,579 | |
Norfolk Southern Corp. | 84,790 | 11,793 | |
31,166 | |||
Trading Companies & Distributors - 0.4% | |||
HD Supply Holdings, Inc. (a) | 316,527 | 11,474 | |
TOTAL INDUSTRIALS | 191,549 | ||
INFORMATION TECHNOLOGY - 15.5% | |||
Electronic Equipment & Components - 0.4% | |||
Jabil, Inc. | 410,682 | 11,125 | |
Internet Software & Services - 4.5% | |||
58.com, Inc. ADR (a) | 81,999 | 6,180 | |
Alibaba Group Holding Ltd. sponsored ADR (a) | 73,300 | 13,644 | |
Alphabet, Inc. Class C (a) | 50,699 | 56,009 | |
ANGI Homeservices, Inc. Class A (a) | 110,577 | 1,635 | |
Box, Inc. Class A (a) | 182,300 | 4,386 | |
Facebook, Inc. Class A (a) | 151,713 | 27,053 | |
GoDaddy, Inc. (a) | 27,200 | 1,627 | |
MINDBODY, Inc. (a) | 240,526 | 8,575 | |
MongoDB, Inc. Class B | 8,401 | 257 | |
NetEase, Inc. ADR | 10,600 | 3,110 | |
New Relic, Inc. (a) | 23,618 | 1,695 | |
Shopify, Inc. Class A (a) | 5,200 | 719 | |
Twilio, Inc. Class A (a)(c) | 125,400 | 4,284 | |
Wix.com Ltd. (a) | 21,800 | 1,636 | |
Yext, Inc. | 423,490 | 5,378�� | |
136,188 | |||
IT Services - 1.0% | |||
Alliance Data Systems Corp. | 6,200 | 1,494 | |
Cognizant Technology Solutions Corp. Class A | 121,000 | 9,924 | |
DXC Technology Co. | 6,800 | 697 | |
FleetCor Technologies, Inc. (a) | 35,600 | 7,118 | |
Leidos Holdings, Inc. | 24,100 | 1,526 | |
PayPal Holdings, Inc. (a) | 114,200 | 9,069 | |
29,828 | |||
Semiconductors & Semiconductor Equipment - 2.3% | |||
Acacia Communications, Inc. (a) | 2,828 | 109 | |
Advanced Micro Devices, Inc. (a) | 96,600 | 1,170 | |
Analog Devices, Inc. | 40,500 | 3,651 | |
Broadcom Ltd. | 32,900 | 8,109 | |
Cirrus Logic, Inc. (a) | 5,800 | 257 | |
Cree, Inc. (a) | 76,600 | 2,898 | |
Himax Technologies, Inc. sponsored ADR | 50,493 | 413 | |
Inphi Corp. (a) | 500 | 14 | |
M/A-COM Technology Solutions Holdings, Inc. (a) | 91,380 | 1,950 | |
Marvell Technology Group Ltd. | 28,000 | 658 | |
Micron Technology, Inc. (a) | 201,787 | 9,849 | |
Nanya Technology Corp. | 443,000 | 1,202 | |
NVIDIA Corp. | 55,600 | 13,455 | |
ON Semiconductor Corp. (a) | 334,436 | 8,000 | |
Qorvo, Inc. (a) | 4,614 | 372 | |
Qualcomm, Inc. | 256,715 | 16,686 | |
Semtech Corp. (a) | 76,900 | 2,588 | |
71,381 | |||
Software - 6.4% | |||
Activision Blizzard, Inc. | 106,500 | 7,788 | |
Adobe Systems, Inc. (a) | 43,654 | 9,129 | |
Autodesk, Inc. (a) | 294,841 | 34,635 | |
Citrix Systems, Inc. (a) | 341,700 | 31,436 | |
HubSpot, Inc. (a) | 42,078 | 4,673 | |
Microsoft Corp. | 645,000 | 60,476 | |
Oracle Corp. | 69,700 | 3,532 | |
Parametric Technology Corp. (a) | 153,300 | 11,307 | |
Red Hat, Inc. (a) | 27,200 | 4,009 | |
Salesforce.com, Inc. (a) | 139,589 | 16,227 | |
Symantec Corp. | 9,300 | 244 | |
Talend SA ADR (a) | 4,800 | 226 | |
Totvs SA | 211,500 | 1,989 | |
Workday, Inc. Class A (a) | 14,900 | 1,887 | |
Workiva, Inc. (a) | 5,000 | 114 | |
Zendesk, Inc. (a) | 167,690 | 7,241 | |
194,913 | |||
Technology Hardware, Storage & Peripherals - 0.9% | |||
Apple, Inc. | 153,332 | 27,311 | |
TOTAL INFORMATION TECHNOLOGY | 470,746 | ||
MATERIALS - 1.7% | |||
Chemicals - 1.5% | |||
CF Industries Holdings, Inc. | 17,800 | 734 | |
DowDuPont, Inc. | 247,717 | 17,415 | |
FMC Corp. | 10,200 | 800 | |
Linde AG (a) | 14,800 | 3,284 | |
LyondellBasell Industries NV Class A | 90,003 | 9,740 | |
Olin Corp. | 16,800 | 546 | |
Platform Specialty Products Corp. (a) | 185,600 | 1,938 | |
Sherwin-Williams Co. | 6,200 | 2,490 | |
The Chemours Co. LLC | 116,900 | 5,554 | |
Tronox Ltd. Class A | 3,900 | 71 | |
Westlake Chemical Corp. | 20,670 | 2,238 | |
44,810 | |||
Construction Materials - 0.1% | |||
Eagle Materials, Inc. | 7,398 | 742 | |
Summit Materials, Inc. | 42,400 | 1,341 | |
2,083 | |||
Containers & Packaging - 0.0% | |||
WestRock Co. | 7,500 | 493 | |
Metals & Mining - 0.1% | |||
Freeport-McMoRan, Inc. (a) | 104,700 | 1,947 | |
Nucor Corp. | 20,100 | 1,315 | |
3,262 | |||
TOTAL MATERIALS | 50,648 | ||
REAL ESTATE - 1.6% | |||
Equity Real Estate Investment Trusts (REITs) - 1.5% | |||
American Homes 4 Rent Class A | 87,600 | 1,681 | |
American Tower Corp. | 82,350 | 11,474 | |
Boston Properties, Inc. | 32,600 | 3,875 | |
Colony NorthStar, Inc. | 86,791 | 675 | |
Community Healthcare Trust, Inc. | 25,662 | 604 | |
Corporate Office Properties Trust (SBI) | 50,700 | 1,265 | |
Corrections Corp. of America | 17,500 | 364 | |
DDR Corp. | 60,900 | 475 | |
Equinix, Inc. | 10,700 | 4,195 | |
Equity Lifestyle Properties, Inc. | 10,300 | 871 | |
Extra Space Storage, Inc. | 19,000 | 1,616 | |
Front Yard Residential Corp. Class B | 219,010 | 2,297 | |
Gaming & Leisure Properties | 11,300 | 376 | |
General Growth Properties, Inc. | 30,900 | 654 | |
Healthcare Trust of America, Inc. | 59,500 | 1,479 | |
Outfront Media, Inc. | 40,012 | 821 | |
Pennsylvania Real Estate Investment Trust (SBI) (c) | 49,000 | 512 | |
Prologis, Inc. | 77,500 | 4,703 | |
Spirit Realty Capital, Inc. | 204,100 | 1,592 | |
Store Capital Corp. | 91,200 | 2,174 | |
Sun Communities, Inc. | 5,742 | 503 | |
The Macerich Co. | 13,600 | 802 | |
VEREIT, Inc. | 95,400 | 653 | |
43,661 | |||
Real Estate Management & Development - 0.1% | |||
CBRE Group, Inc. (a) | 68,548 | 3,205 | |
TOTAL REAL ESTATE | 46,866 | ||
TELECOMMUNICATION SERVICES - 1.1% | |||
Diversified Telecommunication Services - 1.0% | |||
AT&T, Inc. | 443,329 | 16,093 | |
Verizon Communications, Inc. | 277,404 | 13,243 | |
Zayo Group Holdings, Inc. (a) | 54,100 | 1,939 | |
31,275 | |||
Wireless Telecommunication Services - 0.1% | |||
T-Mobile U.S., Inc. (a) | 40,000 | 2,424 | |
TOTAL TELECOMMUNICATION SERVICES | 33,699 | ||
UTILITIES - 1.8% | |||
Electric Utilities - 1.0% | |||
Edison International | 9,000 | 545 | |
Eversource Energy | 35,800 | 2,041 | |
Exelon Corp. | 201,500 | 7,464 | |
FirstEnergy Corp. | 78,700 | 2,544 | |
Great Plains Energy, Inc. | 49,600 | 1,446 | |
NextEra Energy, Inc. | 87,100 | 13,252 | |
PG&E Corp. | 67,275 | 2,764 | |
30,056 | |||
Independent Power and Renewable Electricity Producers - 0.2% | |||
NRG Energy, Inc. | 158,700 | 4,104 | |
The AES Corp. | 239,049 | 2,598 | |
6,702 | |||
Multi-Utilities - 0.6% | |||
Dominion Resources, Inc. | 85,949 | 6,366 | |
Public Service Enterprise Group, Inc. | 57,900 | 2,804 | |
Sempra Energy | 74,624 | 8,133 | |
17,303 | |||
TOTAL UTILITIES | 54,061 | ||
TOTAL COMMON STOCKS | |||
(Cost $1,492,600) | 1,951,743 | ||
Nonconvertible Preferred Stocks - 0.0% | |||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
Braskem SA (PN-A) | |||
(Cost $441) | 30,200 | 432 | |
Principal Amount (000s) | Value (000s) | ||
Nonconvertible Bonds - 8.2% | |||
CONSUMER DISCRETIONARY - 0.6% | |||
Automobiles - 0.2% | |||
General Motors Co. 3.5% 10/2/18 | 350 | 352 | |
General Motors Financial Co., Inc.: | |||
3.15% 1/15/20 | 1,508 | 1,510 | |
3.25% 5/15/18 | 180 | 180 | |
3.45% 4/10/22 | 1,250 | 1,242 | |
3.5% 7/10/19 | 400 | 402 | |
4% 1/15/25 | 494 | 490 | |
4.2% 3/1/21 | 795 | 814 | |
4.25% 5/15/23 | 200 | 204 | |
5,194 | |||
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd.: | |||
2.875% 1/15/19 | 35 | 35 | |
4.25% 6/15/23 | 249 | 259 | |
294 | |||
Hotels, Restaurants & Leisure - 0.0% | |||
McDonald's Corp. 2.75% 12/9/20 | 128 | 128 | |
Media - 0.4% | |||
21st Century Fox America, Inc. 7.75% 12/1/45 | 621 | 944 | |
AOL Time Warner, Inc. 2.95% 7/15/26 | 2,000 | 1,837 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 | 707 | 724 | |
4.908% 7/23/25 | 475 | 489 | |
5.375% 5/1/47 | 961 | 951 | |
6.484% 10/23/45 | 250 | 282 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 630 | 636 | |
4.5% 9/15/42 | 139 | 126 | |
5.5% 9/1/41 | 206 | 209 | |
5.875% 11/15/40 | 500 | 528 | |
6.55% 5/1/37 | 2,604 | 2,962 | |
6.75% 7/1/18 | 439 | 445 | |
7.3% 7/1/38 | 725 | 869 | |
8.25% 4/1/19 | 700 | 739 | |
11,741 | |||
TOTAL CONSUMER DISCRETIONARY | 17,357 | ||
CONSUMER STAPLES - 0.4% | |||
Beverages - 0.2% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 1,408 | 1,395 | |
3.3% 2/1/23 | 1,517 | 1,511 | |
4.7% 2/1/36 | 1,436 | 1,509 | |
4.9% 2/1/46 | 1,642 | 1,751 | |
6,166 | |||
Food & Staples Retailing - 0.0% | |||
CVS Health Corp.: | |||
3.5% 7/20/22 | 310 | 309 | |
3.875% 7/20/25 | 532 | 526 | |
Walgreens Boots Alliance, Inc.: | |||
2.7% 11/18/19 | 245 | 244 | |
3.3% 11/18/21 | 291 | 291 | |
1,370 | |||
Tobacco - 0.2% | |||
Altria Group, Inc. 4% 1/31/24 | 212 | 218 | |
Imperial Tobacco Finance PLC: | |||
3.75% 7/21/22 (d) | 589 | 596 | |
4.25% 7/21/25 (d) | 589 | 601 | |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 258 | 258 | |
3.25% 6/12/20 | 115 | 115 | |
4% 6/12/22 | 395 | 403 | |
4.45% 6/12/25 | 287 | 295 | |
5.7% 8/15/35 | 149 | 170 | |
5.85% 8/15/45 | 1,140 | 1,320 | |
6.15% 9/15/43 | 500 | 604 | |
7.25% 6/15/37 | 409 | 539 | |
5,119 | |||
TOTAL CONSUMER STAPLES | 12,655 | ||
ENERGY - 1.4% | |||
Energy Equipment & Services - 0.0% | |||
El Paso Pipeline Partners Operating Co. LLC: | |||
5% 10/1/21 | 494 | 519 | |
6.5% 4/1/20 | 92 | 98 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 348 | 348 | |
4.85% 11/15/35 | 304 | 326 | |
Noble Holding International Ltd.: | |||
7.7% 4/1/25 (e) | 260 | 233 | |
8.7% 4/1/45 (e) | 251 | 212 | |
1,736 | |||
Oil, Gas & Consumable Fuels - 1.4% | |||
Amerada Hess Corp. 7.875% 10/1/29 | 376 | 468 | |
Anadarko Finance Co. 7.5% 5/1/31 | 995 | 1,259 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 900 | 939 | |
5.55% 3/15/26 | 889 | 971 | |
6.45% 9/15/36 | 143 | 170 | |
6.6% 3/15/46 | 660 | 823 | |
Canadian Natural Resources Ltd.: | |||
3.8% 4/15/24 | 619 | 617 | |
5.85% 2/1/35 | 353 | 400 | |
Cenovus Energy, Inc. 4.25% 4/15/27 | 818 | 799 | |
Columbia Pipeline Group, Inc.: | |||
2.45% 6/1/18 | 110 | 110 | |
3.3% 6/1/20 | 536 | 538 | |
4.5% 6/1/25 | 164 | 168 | |
DCP Midstream LLC: | |||
4.75% 9/30/21 (d) | 364 | 370 | |
5.35% 3/15/20 (d) | 1,027 | 1,053 | |
DCP Midstream Operating LP: | |||
3.875% 3/15/23 | 164 | 160 | |
5.6% 4/1/44 | 146 | 151 | |
Duke Energy Field Services 6.45% 11/3/36 (d) | 375 | 413 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (d) | 350 | 359 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 (e) | 114 | 113 | |
3.9% 5/15/24 (e) | 121 | 119 | |
Enbridge Energy Partners LP: | |||
4.2% 9/15/21 | 438 | 449 | |
4.375% 10/15/20 | 411 | 423 | |
Enbridge, Inc.: | |||
4.25% 12/1/26 | 248 | 250 | |
5.5% 12/1/46 | 286 | 322 | |
EnLink Midstream Partners LP 2.7% 4/1/19 | 572 | 569 | |
Enterprise Products Operating LP: | |||
2.55% 10/15/19 | 85 | 85 | |
3.7% 2/15/26 | 600 | 599 | |
3.75% 2/15/25 | 285 | 286 | |
Kinder Morgan Energy Partners LP: | |||
3.5% 3/1/21 | 299 | 300 | |
6.55% 9/15/40 | 67 | 77 | |
Kinder Morgan, Inc. 5% 2/15/21 (d) | 376 | 392 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 215 | 228 | |
MPLX LP 4.875% 12/1/24 | 336 | 353 | |
Nakilat, Inc. 6.067% 12/31/33 (d) | 279 | 311 | |
Petrobras Global Finance BV: | |||
4.375% 5/20/23 | 596 | 580 | |
5.625% 5/20/43 | 569 | 486 | |
7.25% 3/17/44 | 2,755 | 2,796 | |
Petrobras International Finance Co. Ltd. 5.375% 1/27/21 | 3,592 | 3,700 | |
Petroleos Mexicanos: | |||
3.5% 1/30/23 | 285 | 274 | |
4.5% 1/23/26 | 1,314 | 1,271 | |
4.625% 9/21/23 | 1,040 | 1,045 | |
4.875% 1/24/22 | 237 | 243 | |
4.875% 1/18/24 | 410 | 416 | |
5.375% 3/13/22 (d) | 385 | 402 | |
5.5% 1/21/21 | 369 | 386 | |
5.5% 6/27/44 | 207 | 185 | |
5.625% 1/23/46 | 1,649 | 1,477 | |
6% 3/5/20 | 112 | 117 | |
6.35% 2/12/48 (d) | 725 | 707 | |
6.375% 1/23/45 | 2,366 | 2,295 | |
6.5% 3/13/27 (d) | 720 | 770 | |
6.5% 6/2/41 | 661 | 661 | |
6.75% 9/21/47 | 413 | 420 | |
6.75% 9/21/47 (d) | 760 | 773 | |
6.875% 8/4/26 | 700 | 768 | |
8% 5/3/19 | 204 | 215 | |
Phillips 66 Co. 4.3% 4/1/22 | 338 | 351 | |
Phillips 66 Partners LP 2.646% 2/15/20 | 42 | 42 | |
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 | 173 | 171 | |
Southwestern Energy Co. 6.7% 1/23/25 (e) | 324 | 318 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 116 | 113 | |
4.55% 6/24/24 | 1,308 | 1,318 | |
Western Gas Partners LP: | |||
4.5% 3/1/28 | 500 | 503 | |
4.65% 7/1/26 | 1,466 | 1,489 | |
5.375% 6/1/21 | 724 | 758 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 516 | 518 | |
3.9% 1/15/25 | 178 | 177 | |
4% 11/15/21 | 236 | 241 | |
4.3% 3/4/24 | 868 | 890 | |
4.5% 11/15/23 | 257 | 266 | |
41,786 | |||
TOTAL ENERGY | 43,522 | ||
FINANCIALS - 3.7% | |||
Banks - 1.9% | |||
Bank of America Corp.: | |||
2.6% 1/15/19 | 94 | 94 | |
3.004% 12/20/23 (d)(e) | 3,745 | 3,664 | |
3.3% 1/11/23 | 1,500 | 1,495 | |
3.419% 12/20/28 (d)(e) | 758 | 726 | |
3.5% 4/19/26 | 739 | 728 | |
3.705% 4/24/28 (e) | 996 | 978 | |
3.95% 4/21/25 | 493 | 492 | |
4.2% 8/26/24 | 750 | 765 | |
4.25% 10/22/26 | 418 | 422 | |
5.65% 5/1/18 | 205 | 206 | |
Barclays PLC: | |||
2% 3/16/18 | 2,708 | 2,708 | |
2.75% 11/8/19 | 356 | 354 | |
3.25% 1/12/21 | 650 | 645 | |
4.375% 1/12/26 | 883 | 884 | |
Citigroup, Inc.: | |||
2.7% 10/27/22 | 2,728 | 2,647 | |
3.875% 3/26/25 | 3,000 | 2,979 | |
4.05% 7/30/22 | 151 | 154 | |
4.3% 11/20/26 | 1,000 | 1,011 | |
5.5% 9/13/25 | 619 | 677 | |
Citizens Bank NA 2.55% 5/13/21 | 250 | 245 | |
Citizens Financial Group, Inc. 4.15% 9/28/22 (d) | 216 | 220 | |
Credit Suisse Group Funding Guernsey Ltd.: | |||
2.75% 3/26/20 | 556 | 552 | |
3.75% 3/26/25 | 1,750 | 1,728 | |
3.8% 9/15/22 | 930 | 939 | |
3.8% 6/9/23 | 1,257 | 1,265 | |
Discover Bank: | |||
3.35% 2/6/23 | 490 | 487 | |
4.2% 8/8/23 | 259 | 266 | |
Fifth Third Bancorp: | |||
2.875% 7/27/20 | 4,000 | 3,992 | |
8.25% 3/1/38 | 94 | 137 | |
HBOS PLC 6.75% 5/21/18 (d) | 180 | 182 | |
HSBC Holdings PLC 4.25% 3/14/24 | 200 | 203 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 97 | 107 | |
Huntington National Bank 2.4% 4/1/20 | 4,000 | 3,958 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (d) | 400 | 399 | |
5.71% 1/15/26 (d) | 997 | 1,018 | |
JPMorgan Chase & Co.: | |||
2.75% 6/23/20 | 1,905 | 1,899 | |
2.95% 10/1/26 | 1,486 | 1,397 | |
3.875% 9/10/24 | 2,768 | 2,787 | |
4.125% 12/15/26 | 2,610 | 2,639 | |
MUFG Americas Holdings Corp. 2.25% 2/10/20 | 509 | 502 | |
Rabobank Nederland 4.375% 8/4/25 | 955 | 970 | |
Regions Bank 6.45% 6/26/37 | 652 | 789 | |
Regions Financial Corp. 3.2% 2/8/21 | 415 | 416 | |
Royal Bank of Scotland Group PLC: | |||
5.125% 5/28/24 | 3,144 | 3,221 | |
6% 12/19/23 | 874 | 933 | |
6.1% 6/10/23 | 1,190 | 1,271 | |
6.125% 12/15/22 | 2,124 | 2,265 | |
Synchrony Bank 3% 6/15/22 | 667 | 652 | |
57,068 | |||
Capital Markets - 1.1% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 641 | 628 | |
4.25% 2/15/24 | 466 | 480 | |
Credit Suisse Group AG 3.869% 1/12/29 (d)(e) | 616 | 598 | |
Deutsche Bank AG 4.5% 4/1/25 | 1,821 | 1,784 | |
Deutsche Bank AG New York Branch: | |||
3.15% 1/22/21 | 995 | 986 | |
3.3% 11/16/22 | 1,360 | 1,326 | |
Goldman Sachs Group, Inc.: | |||
2.876% 10/31/22 (e) | 5,456 | 5,349 | |
3.2% 2/23/23 | 2,200 | 2,166 | |
3.691% 6/5/28 (e) | 2,000 | 1,946 | |
6.15% 4/1/18 | 36 | 36 | |
6.75% 10/1/37 | 2,000 | 2,533 | |
IntercontinentalExchange, Inc. 2.75% 12/1/20 | 230 | 229 | |
Lazard Group LLC 4.25% 11/14/20 | 324 | 334 | |
Moody's Corp.: | |||
3.25% 1/15/28 (d) | 353 | 336 | |
4.875% 2/15/24 | 331 | 352 | |
Morgan Stanley: | |||
2.125% 4/25/18 | 2,454 | 2,454 | |
3.125% 1/23/23 | 5,700 | 5,608 | |
3.125% 7/27/26 | 4,572 | 4,337 | |
3.7% 10/23/24 | 342 | 342 | |
4.875% 11/1/22 | 687 | 724 | |
5% 11/24/25 | 93 | 99 | |
5.75% 1/25/21 | 268 | 287 | |
Peachtree Corners Funding Trust 3.976% 2/15/25 (d) | 500 | 504 | |
Thomson Reuters Corp. 3.85% 9/29/24 | 319 | 320 | |
UBS AG Stamford Branch 2.35% 3/26/20 | 300 | 297 | |
UBS Group Funding Ltd. 4.125% 9/24/25 (d) | 682 | 693 | |
34,748 | |||
Consumer Finance - 0.2% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 3.5% 5/26/22 | 247 | 246 | |
Capital One Financial Corp. 3.8% 1/31/28 | 684 | 664 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 462 | 465 | |
3.95% 11/6/24 | 1,283 | 1,281 | |
4.1% 2/9/27 | 748 | 740 | |
5.2% 4/27/22 | 42 | 44 | |
Ford Motor Credit Co. LLC 2.875% 10/1/18 | 400 | 401 | |
Hyundai Capital America: | |||
2% 3/19/18 (d) | 752 | 752 | |
2.875% 8/9/18 (d) | 163 | 163 | |
Synchrony Financial: | |||
3% 8/15/19 | 140 | 140 | |
3.75% 8/15/21 | 211 | 214 | |
4.25% 8/15/24 | 213 | 215 | |
5,325 | |||
Diversified Financial Services - 0.1% | |||
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 844 | 817 | |
3.85% 2/1/25 | 450 | 439 | |
3.875% 8/15/22 | 738 | 744 | |
4.125% 6/15/26 | 298 | 293 | |
Voya Financial, Inc. 3.125% 7/15/24 | 427 | 416 | |
2,709 | |||
Insurance - 0.4% | |||
AIA Group Ltd. 2.25% 3/11/19 (d) | 200 | 198 | |
American International Group, Inc.: | |||
3.3% 3/1/21 | 346 | 347 | |
3.75% 7/10/25 | 1,024 | 1,017 | |
4.875% 6/1/22 | 630 | 667 | |
Aon Corp. 5% 9/30/20 | 133 | 139 | |
Great-West Life & Annuity Insurance Co. 3 month U.S. LIBOR + 2.538% 4.388% 5/16/46 (d)(e)(f) | 12 | 12 | |
Liberty Mutual Group, Inc. 5% 6/1/21 (d) | 421 | 444 | |
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 233 | 245 | |
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (d) | 629 | 611 | |
MetLife, Inc. 4.75% 2/8/21 | 137 | 144 | |
Metropolitan Life Global Funding I 3% 1/10/23 (d) | 223 | 220 | |
Pacific LifeCorp 5.125% 1/30/43 (d) | 941 | 994 | |
Prudential Financial, Inc.: | |||
2.3% 8/15/18 | 51 | 51 | |
7.375% 6/15/19 | 2,734 | 2,897 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (d) | 505 | 550 | |
TIAA Asset Management Finance LLC: | |||
2.95% 11/1/19 (d) | 120 | 120 | |
4.125% 11/1/24 (d) | 174 | 179 | |
Unum Group: | |||
3.875% 11/5/25 | 658 | 655 | |
4% 3/15/24 | 600 | 609 | |
5.625% 9/15/20 | 270 | 287 | |
5.75% 8/15/42 | 758 | 894 | |
11,280 | |||
TOTAL FINANCIALS | 111,130 | ||
HEALTH CARE - 0.4% | |||
Biotechnology - 0.0% | |||
AbbVie, Inc. 2.9% 11/6/22 | 904 | 886 | |
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. 2.675% 12/15/19 | 129 | 128 | |
Zimmer Biomet Holdings, Inc. 2% 4/1/18 | 1,079 | 1,079 | |
1,207 | |||
Health Care Providers & Services - 0.2% | |||
Aetna, Inc. 2.75% 11/15/22 | 52 | 50 | |
HCA Holdings, Inc.: | |||
3.75% 3/15/19 | 375 | 377 | |
4.25% 10/15/19 | 1,330 | 1,347 | |
6.5% 2/15/20 | 2,750 | 2,894 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 259 | 266 | |
4,934 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc.: | |||
2.4% 2/1/19 | 65 | 65 | |
4.15% 2/1/24 | 99 | 102 | |
167 | |||
Pharmaceuticals - 0.2% | |||
Actavis Funding SCS: | |||
2.35% 3/12/18 | 1,358 | 1,358 | |
3% 3/12/20 | 466 | 466 | |
3.45% 3/15/22 | 810 | 806 | |
Mylan NV: | |||
2.5% 6/7/19 | 359 | 357 | |
3.15% 6/15/21 | 734 | 727 | |
3.95% 6/15/26 | 362 | 350 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
2.2% 7/21/21 | 520 | 482 | |
2.8% 7/21/23 | 372 | 326 | |
3.15% 10/1/26 | 443 | 361 | |
Zoetis, Inc. 3.25% 2/1/23 | 138 | 137 | |
5,370 | |||
TOTAL HEALTH CARE | 12,564 | ||
INDUSTRIALS - 0.1% | |||
Aerospace & Defense - 0.0% | |||
BAE Systems Holdings, Inc. 6.375% 6/1/19 (d) | 309 | 323 | |
Airlines - 0.0% | |||
U.S. Airways pass-thru trust certificates 8.36% 1/20/19 | 0 | 0 | |
Trading Companies & Distributors - 0.1% | |||
Air Lease Corp.: | |||
2.625% 9/4/18 | 589 | 589 | |
3% 9/15/23 | 84 | 82 | |
3.375% 6/1/21 | 369 | 371 | |
3.75% 2/1/22 | 505 | 512 | |
3.875% 4/1/21 | 303 | 309 | |
4.25% 9/15/24 | 336 | 344 | |
4.75% 3/1/20 | 338 | 350 | |
2,557 | |||
TOTAL INDUSTRIALS | 2,880 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Electronic Equipment & Components - 0.0% | |||
Tyco Electronics Group SA 2.375% 12/17/18 | 74 | 74 | |
MATERIALS - 0.1% | |||
Chemicals - 0.0% | |||
The Dow Chemical Co.: | |||
4.125% 11/15/21 | 343 | 355 | |
4.25% 11/15/20 | 116 | 120 | |
475 | |||
Metals & Mining - 0.1% | |||
BHP Billiton Financial (U.S.A.) Ltd.: | |||
6.25% 10/19/75 (d)(e) | 258 | 274 | |
6.75% 10/19/75 (d)(e) | 641 | 728 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.625% 8/1/27 (d) | 253 | 244 | |
4.5% 8/1/47 (d) | 255 | 254 | |
Vale Overseas Ltd. 4.375% 1/11/22 | 200 | 205 | |
1,705 | |||
TOTAL MATERIALS | 2,180 | ||
REAL ESTATE - 0.9% | |||
Equity Real Estate Investment Trusts (REITs) - 0.6% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 84 | 84 | |
4.6% 4/1/22 | 138 | 144 | |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 101 | 101 | |
American Tower Corp. 2.8% 6/1/20 | 500 | 497 | |
AvalonBay Communities, Inc. 3.625% 10/1/20 | 160 | 163 | |
Boston Properties, Inc. 3.85% 2/1/23 | 432 | 442 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 135 | 133 | |
4.25% 1/15/24 | 304 | 312 | |
Corporate Office Properties LP 5% 7/1/25 | 414 | 430 | |
DDR Corp.: | |||
3.625% 2/1/25 | 270 | 261 | |
4.25% 2/1/26 | 758 | 752 | |
4.625% 7/15/22 | 247 | 257 | |
Duke Realty LP: | |||
3.625% 4/15/23 | 180 | 182 | |
3.75% 12/1/24 | 160 | 162 | |
3.875% 10/15/22 | 310 | 317 | |
Equity One, Inc. 3.75% 11/15/22 | 400 | 403 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 246 | 245 | |
4.75% 7/15/20 | 265 | 276 | |
Government Properties Income Trust 3.75% 8/15/19 | 1,800 | 1,813 | |
Health Care REIT, Inc. 2.25% 3/15/18 | 147 | 147 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 1,224 | 1,208 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 884 | 881 | |
4.5% 1/15/25 | 320 | 311 | |
4.5% 4/1/27 | 3,808 | 3,639 | |
4.75% 1/15/28 | 931 | 901 | |
4.95% 4/1/24 | 123 | 126 | |
5.25% 1/15/26 | 731 | 737 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 99 | 95 | |
5% 12/15/23 | 67 | 68 | |
Weingarten Realty Investors 3.375% 10/15/22 | 68 | 68 | |
WP Carey, Inc. 4% 2/1/25 | 995 | 984 | |
16,139 | |||
Real Estate Management & Development - 0.3% | |||
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 1,332 | 1,336 | |
3.95% 11/15/27 | 554 | 534 | |
4.1% 10/1/24 | 401 | 401 | |
4.55% 10/1/29 | 441 | 440 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 639 | 646 | |
3.95% 7/1/22 | 411 | 422 | |
4.75% 10/1/25 | 459 | 484 | |
5.25% 3/15/21 | 201 | 213 | |
Liberty Property LP: | |||
3.375% 6/15/23 | 185 | 185 | |
4.125% 6/15/22 | 177 | 183 | |
4.4% 2/15/24 | 418 | 436 | |
4.75% 10/1/20 | 394 | 411 | |
Mack-Cali Realty LP: | |||
3.15% 5/15/23 | 426 | 388 | |
4.5% 4/18/22 | 108 | 106 | |
Post Apartment Homes LP 3.375% 12/1/22 | 70 | 70 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 367 | 336 | |
3.75% 12/1/24 | 300 | 294 | |
3.875% 12/1/23 | 160 | 159 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 189 | 185 | |
3.5% 2/1/25 | 189 | 185 | |
4% 3/1/28 | 366 | 362 | |
4.125% 1/15/26 | 192 | 194 | |
4.375% 2/1/45 | 85 | 83 | |
Ventas Realty LP/Ventas Capital Corp. 4.25% 3/1/22 | 1,250 | 1,288 | |
9,341 | |||
TOTAL REAL ESTATE | 25,480 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Diversified Telecommunication Services - 0.2% | |||
AT&T, Inc.: | |||
2.45% 6/30/20 | 380 | 376 | |
3.6% 2/17/23 | 971 | 973 | |
4.5% 3/9/48 | 2,250 | 2,045 | |
5.875% 10/1/19 | 440 | 460 | |
Verizon Communications, Inc.: | |||
2.625% 2/21/20 | 362 | 361 | |
5.012% 4/15/49 | 225 | 228 | |
5.012% 8/21/54 | 1,641 | 1,626 | |
5.5% 3/16/47 | 1,053 | 1,150 | |
7,219 | |||
UTILITIES - 0.4% | |||
Electric Utilities - 0.3% | |||
Cleveland Electric Illuminating Co. 5.95% 12/15/36 | 1,128 | 1,352 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (d) | 273 | 297 | |
6.4% 9/15/20 (d) | 850 | 916 | |
Eversource Energy: | |||
1.45% 5/1/18 | 96 | 96 | |
2.8% 5/1/23 | 435 | 422 | |
FirstEnergy Corp.: | |||
4.25% 3/15/23 | 1,949 | 2,006 | |
7.375% 11/15/31 | 608 | 802 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 649 | 234 | |
IPALCO Enterprises, Inc.: | |||
3.45% 7/15/20 | 944 | 946 | |
3.7% 9/1/24 | 326 | 319 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 49 | 50 | |
Nevada Power Co. 6.5% 5/15/18 | 165 | 166 | |
NV Energy, Inc. 6.25% 11/15/20 | 115 | 125 | |
PG&E Corp. 2.4% 3/1/19 | 55 | 55 | |
Progress Energy, Inc. 4.4% 1/15/21 | 823 | 850 | |
TECO Finance, Inc. 5.15% 3/15/20 | 141 | 147 | |
8,783 | |||
Gas Utilities - 0.0% | |||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 122 | 126 | |
Independent Power and Renewable Electricity Producers - 0.0% | |||
Emera U.S. Finance LP: | |||
2.15% 6/15/19 | 176 | 174 | |
2.7% 6/15/21 | 173 | 170 | |
3.55% 6/15/26 | 277 | 267 | |
611 | |||
Multi-Utilities - 0.1% | |||
Dominion Resources, Inc.: | |||
3 month U.S. LIBOR + 2.300% 3.9934% 9/30/66 (e)(f) | 823 | 776 | |
3 month U.S. LIBOR + 2.825% 4.5197% 6/30/66 (e)(f) | 26 | 26 | |
NiSource Finance Corp. 6.8% 1/15/19 | 104 | 108 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 457 | 498 | |
6.5% 12/15/20 | 147 | 161 | |
Sempra Energy 2.875% 10/1/22 | 1,154 | 1,134 | |
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 3.9513% 5/15/67 (e)(f) | 21 | 20 | |
2,723 | |||
TOTAL UTILITIES | 12,243 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $246,268) | 247,304 | ||
U.S. Government and Government Agency Obligations - 12.7% | |||
U.S. Treasury Inflation-Protected Obligations - 2.2% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $6,126 | $5,794 | |
0.875% 2/15/47 | 4,494 | 4,369 | |
1% 2/15/46 | 1,914 | 1,923 | |
1.375% 2/15/44 | 6,928 | 7,569 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 | 5,931 | 5,772 | |
0.125% 7/15/26 | 5,534 | 5,236 | |
0.25% 1/15/25 | 4,082 | 3,973 | |
0.375% 7/15/25 | 5,707 | 5,604 | |
0.375% 1/15/27 | 6,185 | 5,991 | |
0.375% 7/15/27 | 6,803 | 6,595 | |
0.625% 1/15/26 | 14,525 | 14,448 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 67,274 | ||
U.S. Treasury Obligations - 10.5% | |||
U.S. Treasury Bills, yield at date of purchase 1.30% to 1.42% 3/15/18 to 4/26/18(g) | 4,160 | 4,151 | |
U.S. Treasury Bonds: | |||
2.75% 11/15/47 | 8,820 | 8,172 | |
3% 5/15/45 | 5,443 | 5,318 | |
3% 11/15/45 | 10,645 | 10,394 | |
3% 2/15/47 | 14,876 | 14,506 | |
3% 5/15/47 | 5,070 | 4,942 | |
U.S. Treasury Notes: | |||
1.125% 2/28/19 | 10,000 | 9,905 | |
1.25% 3/31/21 | 16,608 | 16,019 | |
1.25% 10/31/21 | 27,019 | 25,811 | |
1.75% 6/30/22 | 3,208 | 3,096 | |
1.875% 3/31/22 | 48,229 | 46,906 | |
1.875% 9/30/22 | 26,090 | 25,241 | |
2% 12/31/21 | 61,728 | 60,474 | |
2.125% 12/31/22 | 12,187 | 11,900 | |
2.125% 7/31/24 | 19,110 | 18,385 | |
2.125% 11/30/24 | 15,278 | 14,651 | |
2.25% 12/31/24 | 21,866 | 21,124 | |
2.25% 11/15/27 | 18,130 | 17,155 | |
TOTAL U.S. TREASURY OBLIGATIONS | 318,150 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $396,186) | 385,424 | ||
Asset-Backed Securities - 0.2% | |||
AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (d) | $734 | $734 | |
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1 month U.S. LIBOR + 0.705% 2.3257% 4/25/35 (e)(f) | 30 | 30 | |
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | |||
Series 2003-10 Class M1, 1 month U.S. LIBOR + 1.050% 2.6707% 12/25/33 (e)(f) | 1 | 1 | |
Series 2004-R2 Class M3, 1 month U.S. LIBOR + 0.825% 2.4457% 4/25/34 (e)(f) | 4 | 4 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2003-W7 Class A2, 1 month U.S. LIBOR + 0.780% 2.4007% 3/25/34 (e)(f) | 2 | 2 | |
Series 2004-W11 Class M2, 1 month U.S. LIBOR + 1.050% 2.6707% 11/25/34 (e)(f) | 19 | 19 | |
Series 2004-W7 Class M1, 1 month U.S. LIBOR + 0.825% 2.4457% 5/25/34 (e)(f) | 20 | 20 | |
Series 2006-W4 Class A2C, 1 month U.S. LIBOR + 0.160% 1.7807% 5/25/36 (e)(f) | 48 | 19 | |
Asset Backed Securities Corp. Home Equity Loan Trust Series 2004-HE2 Class M1, 1 month U.S. LIBOR + 0.825% 2.3864% 4/25/34 (e)(f) | 59 | 57 | |
Blackbird Capital Aircraft Series 2016-1A: | |||
Class A, 4.213% 12/16/41 (d) | 1,301 | 1,327 | |
Class AA, 4.213% 12/16/41 (d) | 305 | 299 | |
Capital Auto Receivables Asset Trust Series 2016-1 Class A3, 1.73% 4/20/20 | 487 | 486 | |
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 1 month U.S. LIBOR + 0.140% 1.7607% 12/25/36 (e)(f) | 82 | 69 | |
Countrywide Home Loans, Inc.: | |||
Series 2004-3 Class M4, 1 month U.S. LIBOR + 1.455% 3.0757% 4/25/34 (e)(f) | 2 | 2 | |
Series 2004-4 Class M2, 1 month U.S. LIBOR + 0.795% 2.4157% 6/25/34 (e)(f) | 3 | 3 | |
Series 2004-7 Class AF5, 5.868% 1/25/35 | 32 | 32 | |
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-5 Class A2, 1 month U.S. LIBOR + 0.700% 2.3207% 12/25/33 (e)(f) | 1 | 1 | |
DB Master Finance LLC Series 2017-1A: | |||
Class A2I, 3.629% 11/20/47 (d) | 532 | 526 | |
Class A2II, 4.03% 11/20/47 (d) | 903 | 904 | |
Fannie Mae Series 2004-T5 Class AB3, 1 month U.S. LIBOR + 0.392% 2.5147% 5/28/35 (e)(f) | 2 | 2 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 2.4457% 3/25/34 (e)(f) | 0 | 0 | |
Fremont Home Loan Trust Series 2005-A: | |||
Class M3, 1 month U.S. LIBOR + 0.735% 2.3557% 1/25/35 (e)(f) | 43 | 43 | |
Class M4, 1 month U.S. LIBOR + 1.020% 2.6407% 1/25/35 (e)(f) | 16 | 13 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 3 month U.S. LIBOR + 0.380% 2.3236% 2/25/47 (d)(e)(f) | 42 | 41 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 1 month U.S. LIBOR + 0.180% 1.7675% 11/15/34 (d)(e)(f) | 8 | 8 | |
Class B, 1 month U.S. LIBOR + 0.280% 1.8675% 11/15/34 (d)(e)(f) | 3 | 3 | |
Class C, 1 month U.S. LIBOR + 0.380% 1.9675% 11/15/34 (d)(e)(f) | 5 | 4 | |
Class D, 1 month U.S. LIBOR + 0.750% 2.3375% 11/15/34 (d)(e)(f) | 2 | 2 | |
Home Equity Asset Trust Series 2003-3 Class M1, 1 month U.S. LIBOR + 1.290% 2.9107% 8/25/33 (e)(f) | 14 | 14 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 1 month U.S. LIBOR + 0.190% 1.8107% 1/25/37 (e)(f) | 52 | 38 | |
Keycorp Student Loan Trust Series 2006-A Class 2C, 3 month U.S. LIBOR + 1.150% 2.8246% 3/27/42 (e)(f) | 43 | 32 | |
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 1 month U.S. LIBOR + 0.300% 1.9207% 5/25/37 (e)(f) | 12 | 4 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-OPT1 Class M1, 1 month U.S. LIBOR + 0.975% 2.5957% 7/25/34 (e)(f) | 1 | 1 | |
Series 2006-FM1 Class A2B, 1 month U.S. LIBOR + 0.110% 1.7307% 4/25/37 (e)(f) | 0 | 0 | |
Series 2006-OPT1 Class A1A, 1 month U.S. LIBOR + 0.520% 2.1407% 6/25/35 (e)(f) | 23 | 23 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2004-HE6 Class A2, 1 month U.S. LIBOR + 0.680% 2.3007% 8/25/34 (e)(f) | 3 | 3 | |
Series 2005-NC1 Class M1, 1 month U.S. LIBOR + 0.660% 2.2807% 1/25/35 (e)(f) | 5 | 4 | |
Series 2005-NC2 Class B1, 1 month U.S. LIBOR + 1.755% 3.3757% 3/25/35 (e)(f) | 4 | 0 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.1307% 9/25/35 (e)(f) | 65 | 64 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M3, 1 month U.S. LIBOR + 1.875% 3.4957% 9/25/34 (e)(f) | 20 | 21 | |
Class M4, 1 month U.S. LIBOR + 2.175% 3.7957% 9/25/34 (e)(f) | 31 | 28 | |
Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 2.8657% 1/25/36 (e)(f) | 67 | 67 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 3 month U.S. LIBOR + 0.950% 2.5385% 6/15/33 (e)(f) | 3 | 3 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1 month U.S. LIBOR + 1.725% 3.3457% 9/25/34 (e)(f) | 1 | 1 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 2.4214% 9/25/34 (e)(f) | 1 | 1 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 1.7978% 4/6/42 (d)(e)(f)(h) | 58 | 31 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $4,711) | 4,986 | ||
Collateralized Mortgage Obligations - 0.0% | |||
Private Sponsor - 0.0% | |||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 2.1807% 1/25/35 (e)(f) | 18 | 18 | |
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 3.5992% 10/25/34 (e) | 10 | 11 | |
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 3.461% 8/25/36 (e) | 24 | 23 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 1.7221% 2/25/37 (e)(f) | 11 | 11 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 1.8514% 7/25/35 (e)(f) | 16 | 16 | |
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B5, 1 month U.S. LIBOR + 2.350% 3.9038% 6/10/35 (d)(e)(f) | 4 | 3 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 2.6617% 7/20/34 (e)(f) | 1 | 1 | |
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.493% 4/25/33 (e) | 2 | 2 | |
TOTAL PRIVATE SPONSOR | 85 | ||
U.S. Government Agency - 0.0% | |||
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
sequential payer Series 2013-H06 Class HA, 1.65% 1/20/63 (i) | 589 | 582 | |
Series 2015-H21 Class JA, 2.5% 6/20/65 (i) | 571 | 570 | |
TOTAL U.S. GOVERNMENT AGENCY | 1,152 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $1,224) | 1,237 | ||
Commercial Mortgage Securities - 0.2% | |||
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8371% 2/14/43 (e)(j) | 2 | 0 | |
Bayview Commercial Asset Trust floater: | |||
Series 2003-2 Class M1, 1 month U.S. LIBOR + 0.850% 2.8957% 12/25/33 (d)(e)(f) | 1 | 1 | |
Series 2005-4A: | |||
Class A2, 1 month U.S. LIBOR + 0.390% 2.0107% 1/25/36 (d)(e)(f) | 24 | 23 | |
Class B1, 1 month U.S. LIBOR + 1.400% 3.0207% 1/25/36 (d)(e)(f) | 1 | 1 | |
Class M1, 1 month U.S. LIBOR + 0.450% 2.0707% 1/25/36 (d)(e)(f) | 8 | 7 | |
Class M2, 1 month U.S. LIBOR + 0.470% 2.0907% 1/25/36 (d)(e)(f) | 2 | 2 | |
Class M3, 1 month U.S. LIBOR + 0.500% 2.1207% 1/25/36 (d)(e)(f) | 3 | 3 | |
Class M4, 1 month U.S. LIBOR + 0.610% 2.2307% 1/25/36 (d)(e)(f) | 2 | 2 | |
Class M5, 1 month U.S. LIBOR + 0.650% 2.2707% 1/25/36 (d)(e)(f) | 2 | 1 | |
Class M6, 1 month U.S. LIBOR + 0.700% 2.3207% 1/25/36 (d)(e)(f) | 2 | 2 | |
Series 2006-3A Class M4, 1 month U.S. LIBOR + 0.430% 2.0507% 10/25/36 (d)(e)(f) | 1 | 1 | |
Series 2007-1 Class A2, 1 month U.S. LIBOR + 0.270% 1.8907% 3/25/37 (d)(e)(f) | 13 | 12 | |
Series 2007-2A: | |||
Class A1, 1 month U.S. LIBOR + 0.270% 1.8221% 7/25/37 (d)(e)(f) | 14 | 13 | |
Class A2, 1 month U.S. LIBOR + 0.320% 1.8721% 7/25/37 (d)(e)(f) | 13 | 12 | |
Class M1, 1 month U.S. LIBOR + 0.370% 1.9221% 7/25/37 (d)(e)(f) | 5 | 4 | |
Class M2, 1 month U.S. LIBOR + 0.410% 1.9621% 7/25/37 (d)(e)(f) | 2 | 2 | |
Class M3, 1 month U.S. LIBOR + 0.490% 2.0421% 7/25/37 (d)(e)(f) | 2 | 2 | |
Series 2007-3: | |||
Class A2, 1 month U.S. LIBOR + 0.290% 1.8421% 7/25/37 (d)(e)(f) | 15 | 14 | |
Class M1, 1 month U.S. LIBOR + 0.310% 1.8621% 7/25/37 (d)(e)(f) | 3 | 2 | |
Class M2, 1 month U.S. LIBOR + 0.340% 1.8921% 7/25/37 (d)(e)(f) | 3 | 3 | |
Class M3, 1 month U.S. LIBOR + 0.370% 1.9221% 7/25/37 (d)(e)(f) | 4 | 4 | |
Class M4, 1 month U.S. LIBOR + 0.500% 2.0521% 7/25/37 (d)(e)(f) | 7 | 6 | |
Class M5, 1 month U.S. LIBOR + 0.600% 2.1521% 7/25/37 (d)(e)(f) | 3 | 2 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class D, 3.768% 4/10/28 (d) | 446 | 446 | |
GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
Class BFX, 3.3822% 12/15/34 (d)(e) | 1,510 | 1,514 | |
Class CFX, 3.3822% 12/15/34 (d)(e) | 433 | 433 | |
Class DFX, 3.3822% 12/15/34 (d)(e) | 367 | 366 | |
MSCG Trust Series 2016-SNR: | |||
Class A, 3.348% 11/15/34 (d)(e) | 763 | 747 | |
Class B, 4.181% 11/15/34 (d) | 269 | 265 | |
Class C, 5.205% 11/15/34 (d) | 189 | 189 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d) | 677 | 827 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $4,831) | 4,906 | ||
Municipal Securities - 0.4% | |||
California Gen. Oblig.: | |||
Series 2009, 7.35% 11/1/39 | $70 | $102 | |
7.5% 4/1/34 | 465 | 664 | |
7.625% 3/1/40 | 1,640 | 2,464 | |
Chicago Gen. Oblig. (Taxable Proj.): | |||
Series 2008 B, 5.63% 1/1/22 | 80 | 80 | |
Series 2010 C1, 7.781% 1/1/35 | 1,030 | 1,187 | |
Series 2012 B, 5.432% 1/1/42 | 105 | 97 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.35% 6/1/18 | 112 | 112 | |
4.95% 6/1/23 | 610 | 629 | |
5.1% 6/1/33 | 3,210 | 3,026 | |
Series 2010-1, 6.63% 2/1/35 | 1,325 | 1,402 | |
Series 2010-3: | |||
5.547% 4/1/19 | 10 | 10 | |
6.725% 4/1/35 | 1,350 | 1,418 | |
7.35% 7/1/35 | 565 | 620 | |
Series 2010-5, 6.2% 7/1/21 | 224 | 234 | |
Series 2011: | |||
5.665% 3/1/18 | 410 | 410 | |
5.877% 3/1/19 | 1,320 | 1,352 | |
Series 2013, 3.14% 12/1/18 | 115 | 115 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $13,873) | 13,922 | ||
Bank Notes - 0.2% | |||
Capital One NA 2.95% 7/23/21 | 541 | 535 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | 685 | 681 | |
3.1% 6/4/20 | 782 | 781 | |
KeyBank NA 2.25% 3/16/20 | 1,500 | 1,482 | |
PNC Bank NA 2.3% 6/1/20 | 300 | 297 | |
RBS Citizens NA 2.5% 3/14/19 | 404 | 403 | |
Regions Bank 7.5% 5/15/18 | 1,282 | 1,295 | |
UBS AG Stamford Branch 1.8% 3/26/18 | 822 | 822 | |
TOTAL BANK NOTES | |||
(Cost $6,324) | 6,296 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 9.3% | |||
Fidelity High Income Central Fund 2 (k) | 624,677 | $70,501 | |
Fidelity Mortgage Backed Securities Central Fund (k) | 1,992,599 | 210,060 | |
TOTAL FIXED-INCOME FUNDS | |||
(Cost $278,653) | 280,561 | ||
Money Market Funds - 4.3% | |||
Fidelity Cash Central Fund, 1.41% (l) | 127,129,952 | 127,155 | |
Fidelity Securities Lending Cash Central Fund 1.42% (l)(m) | 2,256,839 | 2,257 | |
TOTAL MONEY MARKET FUNDS | |||
(Cost $129,404) | 129,412 | ||
TOTAL INVESTMENT IN SECURITIES - 99.9% | |||
(Cost $2,574,515) | 3,026,223 | ||
NET OTHER ASSETS (LIABILITIES) - 0.1% | 3,369 | ||
NET ASSETS - 100% | $3,029,592 |
Futures Contracts | |||||
Number of contracts | Expiration Date | Notional Amount (000s) | Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||||
Equity Index Contracts | |||||
CME E-mini S&P 500 Index Contracts (United States) | 429 | March 2018 | $58,224 | $1,382 | $1,382 |
The notional amount of futures purchased as a percentage of Net Assets is 1.9%
Legend
(a) Non-income producing
(b) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,612,000 or 0.1% of net assets.
(c) Security or a portion of the security is on loan 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 $31,154,000 or 1.0% of net assets.
(e) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(f) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,473,000.
(h) Level 3 security
(i) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.
(j) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.
(k) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.
(l) 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.
(m) Investment made with cash collateral received from securities on loan.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost (000s) |
Centennial Resource Development, Inc. Class A | 12/28/16 | $760 |
Extraction Oil & Gas, Inc. | 12/12/16 | $960 |
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 | $682 |
Fidelity High Income Central Fund 2 | 2,254 |
Fidelity Mortgage Backed Securities Central Fund | 2,549 |
Fidelity Securities Lending Cash Central Fund | 278 |
Total | $5,763 |
Amounts in the income column in the above table include any capital gain distributions from underlying funds, which are presented in the corresponding line-item in the Statement of Operations if applicable.
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Realized Gain/Loss | Change in Unrealized appreciation (depreciation) | Value, end of period | % ownership, end of period |
Fidelity High Income Central Fund 2 | $68,827 | $2,255 | $-- | $-- | $(581) | $70,501 | 8.0% |
Fidelity Mortgage Backed Securities Central Fund | 169,584 | 46,447* | -- | -- | (5,971) | 210,060 | 2.9% |
Total | $238,411 | $48,702 | $-- | $-- | $(6,552) | $280,561 |
* Includes the value of shares purchased through in-kind transactions. See Note 5 of the Notes to Financial Statements.
Investment Valuation
The following is a summary of the inputs used, as of February 28, 2018, 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 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 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $286,168 | $278,233 | $7,935 | $-- |
Consumer Staples | 149,684 | 143,585 | 6,099 | -- |
Energy | 104,313 | 102,611 | 1,702 | -- |
Financials | 299,015 | 297,457 | 1,558 | -- |
Health Care | 264,994 | 260,054 | 4,940 | -- |
Industrials | 191,549 | 191,390 | 159 | -- |
Information Technology | 470,746 | 469,287 | 1,459 | -- |
Materials | 51,080 | 47,796 | 3,284 | -- |
Real Estate | 46,866 | 46,866 | -- | -- |
Telecommunication Services | 33,699 | 33,699 | -- | -- |
Utilities | 54,061 | 54,061 | -- | -- |
Corporate Bonds | 247,304 | -- | 247,304 | -- |
U.S. Government and Government Agency Obligations | 385,424 | -- | 385,424 | -- |
Asset-Backed Securities | 4,986 | -- | 4,955 | 31 |
Collateralized Mortgage Obligations | 1,237 | -- | 1,237 | -- |
Commercial Mortgage Securities | 4,906 | -- | 4,906 | -- |
Municipal Securities | 13,922 | -- | 13,922 | -- |
Bank Notes | 6,296 | -- | 6,296 | -- |
Fixed-Income Funds | 280,561 | 280,561 | -- | -- |
Money Market Funds | 129,412 | 129,412 | -- | -- |
Total Investments in Securities: | $3,026,223 | $2,335,012 | $691,180 | $31 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $1,382 | $1,382 | $-- | $-- |
Total Assets | $1,382 | $1,382 | $-- | $-- |
Total Derivative Instruments: | $1,382 | $1,382 | $-- | $-- |
Value of Derivative Instruments
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of February 28, 2018. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
(Amounts in thousands) | ||
Equity Risk | ||
Futures Contracts(a) | $1,382 | $0 |
Total Equity Risk | 1,382 | 0 |
Total Value of Derivatives | $1,382 | $0 |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin on futures contracts, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
Other Information
The composition of credit quality ratings as a percentage of Total Net Assets is as follows (Unaudited):
U.S. Government and U.S. Government Agency Obligations | 20.0% |
AAA,AA,A | 2.1% |
BBB | 5.2% |
BB | 2.3% |
B | 1.2% |
CCC,CC,C | 0.5% |
Not Rated | 0.0% |
Equities | 64.4% |
Short-Term Investments and Net Other Assets | 3.7% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. Percentages are adjusted for the effect of futures contracts, if applicable.
The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.
Values shown as $0 may reflect amounts less than $500. Percentages shown as 0.0% may reflect amounts less than 0.05%.
Amounts shown as 0 may represent less than 1 share.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | February 28, 2018 (Unaudited) | |
Assets | ||
Investment in securities, at value (including securities loaned of $2,179) — See accompanying schedule: Unaffiliated issuers (cost $2,166,458) | $2,616,250 | |
Fidelity Central Funds (cost $408,057) | 409,973 | |
Total Investment in Securities (cost $2,574,515) | $3,026,223 | |
Receivable for investments sold | 10,489 | |
Receivable for fund shares sold | 8,552 | |
Dividends receivable | 2,745 | |
Interest receivable | 4,691 | |
Distributions receivable from Fidelity Central Funds | 119 | |
Prepaid expenses | 3 | |
Other receivables | 80 | |
Total assets | 3,052,902 | |
Liabilities | ||
Payable to custodian bank | $203 | |
Payable for investments purchased | 10,819 | |
Payable for fund shares redeemed | 6,594 | |
Accrued management fee | 979 | |
Distribution and service plan fees payable | 1,076 | |
Payable for daily variation margin on futures contracts | 738 | |
Other affiliated payables | 511 | |
Other payables and accrued expenses | 133 | |
Collateral on securities loaned | 2,257 | |
Total liabilities | 23,310 | |
Net Assets | $3,029,592 | |
Net Assets consist of: | ||
Paid in capital | $2,513,939 | |
Undistributed net investment income | 3,908 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 58,655 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 453,090 | |
Net Assets | $3,029,592 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($631,573 ÷ 29,943 shares) | $21.09 | |
Maximum offering price per share (100/94.25 of $21.09) | $22.38 | |
Class M: | ||
Net Asset Value and redemption price per share ($1,198,710 ÷ 56,207 shares) | $21.33 | |
Maximum offering price per share (100/96.50 of $21.33) | $22.10 | |
Class C: | ||
Net Asset Value and offering price per share ($537,659 ÷ 25,680 shares)(a) | $20.94 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($502,583 ÷ 23,372 shares) | $21.50 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($159,067 ÷ 7,397 shares) | $21.50 |
(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.
Statement of Operations
Amounts in thousands | Six months ended February 28, 2018 (Unaudited) | |
Investment Income | ||
Dividends | $12,099 | |
Interest | 9,091 | |
Income from Fidelity Central Funds | 5,715 | |
Total income | 26,905 | |
Expenses | ||
Management fee | $5,648 | |
Transfer agent fees | 2,474 | |
Distribution and service plan fees | 6,323 | |
Accounting and security lending fees | 545 | |
Custodian fees and expenses | 49 | |
Independent trustees' fees and expenses | 5 | |
Registration fees | 76 | |
Audit | 55 | |
Legal | 8 | |
Miscellaneous | 9 | |
Total expenses before reductions | 15,192 | |
Expense reductions | (74) | 15,118 |
Net investment income (loss) | 11,787 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 105,211 | |
Foreign currency transactions | (10) | |
Futures contracts | 3,313 | |
Capital gain distributions from Fidelity Central Funds | 48 | |
Total net realized gain (loss) | 108,562 | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 45,038 | |
Fidelity Central Funds | (6,551) | |
Assets and liabilities in foreign currencies | 1 | |
Futures contracts | 975 | |
Total change in net unrealized appreciation (depreciation) | 39,463 | |
Net gain (loss) | 148,025 | |
Net increase (decrease) in net assets resulting from operations | $159,812 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Six months ended February 28, 2018 (Unaudited) | Year ended August 31, 2017 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $11,787 | $26,946 |
Net realized gain (loss) | 108,562 | 126,567 |
Change in net unrealized appreciation (depreciation) | 39,463 | 122,325 |
Net increase (decrease) in net assets resulting from operations | 159,812 | 275,838 |
Distributions to shareholders from net investment income | (14,477) | (25,576) |
Distributions to shareholders from net realized gain | (143,133) | (10,305) |
Total distributions | (157,610) | (35,881) |
Share transactions - net increase (decrease) | 301,525 | 146,001 |
Total increase (decrease) in net assets | 303,727 | 385,958 |
Net Assets | ||
Beginning of period | 2,725,865 | 2,339,907 |
End of period | $3,029,592 | $2,725,865 |
Other Information | ||
Undistributed net investment income end of period | $3,908 | $6,598 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Advisor Balanced Fund Class A
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $21.09 | $19.18 | $18.76 | $20.10 | $17.84 | $16.31 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .11 | .26 | .23 | .22 | .23 | .22 |
Net realized and unrealized gain (loss) | 1.11 | 1.98 | 1.13 | (.15) | 3.03 | 1.52 |
Total from investment operations | 1.22 | 2.24 | 1.36 | .07 | 3.26 | 1.74 |
Distributions from net investment income | (.13) | (.25) | (.22) | (.19) | (.23) | (.21) |
Distributions from net realized gain | (1.09) | (.09) | (.72) | (1.21) | (.77) | – |
Total distributions | (1.22) | (.33)B | (.94) | (1.41)C | (1.00) | (.21) |
Net asset value, end of period | $21.09 | $21.09 | $19.18 | $18.76 | $20.10 | $17.84 |
Total ReturnD,E,F | 5.97% | 11.84% | 7.59% | .51% | 18.93% | 10.74% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .87%I | .89% | .90% | .90% | .92% | .95% |
Expenses net of fee waivers, if any | .87%I | .89% | .89% | .90% | .92% | .95% |
Expenses net of all reductions | .87%I | .88% | .89% | .90% | .92% | .94% |
Net investment income (loss) | 1.00%I | 1.28% | 1.27% | 1.13% | 1.22% | 1.27% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $632 | $593 | $531 | $451 | $366 | $270 |
Portfolio turnover rateJ | 69%I,K | 86% | 63% | 117% | 79% | 124% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $.33 per share is comprised of distributions from net investment income of $.247 and distributions from net realized gain of $.085 per share.
C Total distributions of $1.41 per share is comprised of distributions from net investment income of $.193 and distributions from net realized gain of $1.212 per share.
D Total returns for periods of less than one year are not annualized.
E Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
F Total returns do not include the effect of the sales charges.
G Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .01%.
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 Annualized
J Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Balanced Fund Class M
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $21.31 | $19.37 | $18.94 | $20.28 | $17.99 | $16.44 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .08 | .21 | .19 | .18 | .19 | .18 |
Net realized and unrealized gain (loss) | 1.14 | 2.01 | 1.14 | (.16) | 3.05 | 1.54 |
Total from investment operations | 1.22 | 2.22 | 1.33 | .02 | 3.24 | 1.72 |
Distributions from net investment income | (.10) | (.20) | (.18) | (.14) | (.19) | (.17) |
Distributions from net realized gain | (1.09) | (.09) | (.72) | (1.21) | (.77) | – |
Total distributions | (1.20)B | (.28)C | (.90) | (1.36)D | (.95)E | (.17) |
Net asset value, end of period | $21.33 | $21.31 | $19.37 | $18.94 | $20.28 | $17.99 |
Total ReturnF,G,H | 5.87% | 11.59% | 7.31% | .25% | 18.66% | 10.55% |
Ratios to Average Net AssetsI,J | ||||||
Expenses before reductions | 1.12%K | 1.13% | 1.14% | 1.14% | 1.15% | 1.17% |
Expenses net of fee waivers, if any | 1.12%K | 1.13% | 1.14% | 1.14% | 1.15% | 1.17% |
Expenses net of all reductions | 1.11%K | 1.13% | 1.13% | 1.14% | 1.15% | 1.16% |
Net investment income (loss) | .75%K | 1.04% | 1.03% | .89% | .99% | 1.05% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $1,199 | $1,163 | $1,075 | $988 | $960 | $821 |
Portfolio turnover rateL | 69%K,M | 86% | 63% | 117% | 79% | 124% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $1.20 per share is comprised of distributions from net investment income of $.104 and distributions from net realized gain of $1.091 per share.
C Total distributions of $.28 per share is comprised of distributions from net investment income of $.197 and distributions from net realized gain of $.085 per share.
D Total distributions of $1.36 per share is comprised of distributions from net investment income of $.144 and distributions from net realized gain of $1.212 per share.
E Total distributions of $.95 per share is comprised of distributions from net investment income of $.185 and distributions from net realized gain of $.768 per share.
F Total returns for periods of less than one year are not annualized.
G Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
H Total returns do not include the effect of the sales charges.
I Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .01%.
J 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.
K Annualized
L Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
M Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Balanced Fund Class C
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $20.93 | $19.04 | $18.64 | $19.99 | $17.76 | $16.24 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .03 | .10 | .09 | .07 | .09 | .09 |
Net realized and unrealized gain (loss) | 1.11 | 1.98 | 1.13 | (.15) | 3.01 | 1.52 |
Total from investment operations | 1.14 | 2.08 | 1.22 | (.08) | 3.10 | 1.61 |
Distributions from net investment income | (.04) | (.10) | (.10) | (.06) | (.10) | (.09) |
Distributions from net realized gain | (1.09) | (.09) | (.72) | (1.21) | (.77) | – |
Total distributions | (1.13) | (.19) | (.82) | (1.27) | (.87) | (.09) |
Net asset value, end of period | $20.94 | $20.93 | $19.04 | $18.64 | $19.99 | $17.76 |
Total ReturnB,C,D | 5.61% | 10.99% | 6.79% | (.25)% | 18.01% | 9.93% |
Ratios to Average Net AssetsE,F | ||||||
Expenses before reductions | 1.63%G | 1.64% | 1.65% | 1.66% | 1.68% | 1.71% |
Expenses net of fee waivers, if any | 1.63%G | 1.64% | 1.65% | 1.66% | 1.68% | 1.71% |
Expenses net of all reductions | 1.62%G | 1.64% | 1.64% | 1.66% | 1.68% | 1.70% |
Net investment income (loss) | .24%G | .53% | .52% | .37% | .46% | .51% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $538 | $479 | $411 | $282 | $160 | $105 |
Portfolio turnover rateH | 69%G,I | 86% | 63% | 117% | 79% | 124% |
A Calculated based on average shares outstanding during the period.
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 Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .01%.
F 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.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Balanced Fund Class I
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $21.48 | $19.53 | $19.07 | $20.42 | $18.11 | $16.55 |
Income from Investment Operations | ||||||
Net investment income (loss)A | .13 | .31 | .28 | .27 | .29 | .27 |
Net realized and unrealized gain (loss) | 1.14 | 2.02 | 1.17 | (.16) | 3.06 | 1.55 |
Total from investment operations | 1.27 | 2.33 | 1.45 | .11 | 3.35 | 1.82 |
Distributions from net investment income | (.16) | (.30) | (.26) | (.25) | (.28) | (.26) |
Distributions from net realized gain | (1.09) | (.09) | (.72) | (1.21) | (.77) | – |
Total distributions | (1.25) | (.38)B | (.99)C | (1.46) | (1.04)D | (.26) |
Net asset value, end of period | $21.50 | $21.48 | $19.53 | $19.07 | $20.42 | $18.11 |
Total ReturnE,F | 6.10% | 12.12% | 7.93% | .72% | 19.21% | 11.08% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .61%I | .63% | .64% | .65% | .66% | .68% |
Expenses net of fee waivers, if any | .61%I | .63% | .64% | .64% | .66% | .68% |
Expenses net of all reductions | .61%I | .62% | .64% | .64% | .66% | .67% |
Net investment income (loss) | 1.26%I | 1.54% | 1.52% | 1.39% | 1.48% | 1.54% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $503 | $422 | $284 | $242 | $124 | $97 |
Portfolio turnover rateJ | 69%I,K | 86% | 63% | 117% | 79% | 124% |
A Calculated based on average shares outstanding during the period.
B Total distributions of $.38 per share is comprised of distributions from net investment income of $.299 and distributions from net realized gain of $.085 per share.
C Total distributions of $.99 per share is comprised of distributions from net investment income of $.264 and distributions from net realized gain of $.722 per share.
D Total distributions of $1.04 per share is comprised of distributions from net investment income of $.275 and distributions from net realized gain of $.768 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .01%.
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 Annualized
J Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Fidelity Advisor Balanced Fund Class Z
Six months ended (Unaudited) February 28, | Years endedAugust 31, | |||||
2018 | 2017 | 2016 | 2015 | 2014 | 2013A | |
Selected Per–Share Data | ||||||
Net asset value, beginning of period | $21.48 | $19.53 | $19.07 | $20.42 | $18.11 | $18.56 |
Income from Investment Operations | ||||||
Net investment income (loss)B | .15 | .34 | .31 | .30 | .32 | .01 |
Net realized and unrealized gain (loss) | 1.13 | 2.02 | 1.16 | (.17) | 3.06 | (.46) |
Total from investment operations | 1.28 | 2.36 | 1.47 | .13 | 3.38 | (.45) |
Distributions from net investment income | (.17) | (.33) | (.29) | (.27) | (.31) | – |
Distributions from net realized gain | (1.09) | (.09) | (.72) | (1.21) | (.77) | – |
Total distributions | (1.26) | (.41)C | (1.01) | (1.48) | (1.07)D | – |
Net asset value, end of period | $21.50 | $21.48 | $19.53 | $19.07 | $20.42 | $18.11 |
Total ReturnE,F | 6.17% | 12.26% | 8.08% | .85% | 19.40% | (2.42)% |
Ratios to Average Net AssetsG,H | ||||||
Expenses before reductions | .49%I | .50% | .50% | .51% | .51% | .53%I |
Expenses net of fee waivers, if any | .49%I | .50% | .50% | .51% | .51% | .53%I |
Expenses net of all reductions | .48%I | .49% | .50% | .50% | .51% | .52%I |
Net investment income (loss) | 1.38%I | 1.67% | 1.66% | 1.53% | 1.62% | .85%I |
Supplemental Data | ||||||
Net assets, end of period (000 omitted) | $159,067 | $68,486 | $39,111 | $35,714 | $26,518 | $98 |
Portfolio turnover rateJ | 69%I,K | 86% | 63% | 117% | 79% | 124% |
A For the period August 13, 2013 (commencement of sale of shares) to August 31, 2013.
B Calculated based on average shares outstanding during the period.
C Total distributions of $.41 per share is comprised of distributions from net investment income of $.325 and distributions from net realized gain of $.085 per share.
D Total distributions of $1.07 per share is comprised of distributions from net investment income of $.306 and distributions from net realized gain of $.768 per share.
E Total returns for periods of less than one year are not annualized.
F Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
G Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005% to .01%.
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 Annualized
J Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements (Unaudited)
For the period ended February 28, 2018
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor Balanced Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class M, Class C, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
During the period, the Fund exchanged investments, including accrued interest, for shares of Fidelity Mortgage Backed Securities Central Fund. The Fund delivered investments, including accrued interest and $(62) of unrealized depreciation, of $8,230 in exchange for 76 shares of Fidelity Mortgage Backed Securities Central Fund. The Fund generally did not recognize gain or loss for federal income tax purposes.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity High Income Central Fund 2 | FMR Co., Inc. (FMRC) | Seeks a high level of income and may also seek capital appreciation by investing primarily in debt securities, preferred stocks, and convertible securities, with an emphasis on lower-quality debt securities. | Foreign Securities Loans & Direct Debt Instruments Restricted Securities | Less than .005% |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Swaps | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at institutional.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The Fund is an investment company and applies the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Financial Services – Investments Companies. 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. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by 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 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 reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
- Level 1 – quoted prices in active markets for identical investments
- Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
- Level 3 – unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, municipal securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations and commercial mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by 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 February 28, 2018 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 includes 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. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Certain distributions received by the Fund represent a return of capital or capital gain. The Fund determines the components of these distributions subsequent to the ex-dividend date, based upon receipt of tax filings or other correspondence relating to the underlying investment. These distributions are recorded as a reduction of cost of investments and/or as a realized gain. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Distributions are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), premium on debt securities, deferred trustees compensation and losses deferred due to wash sales.
As of period end, the cost and unrealized appreciation (depreciation) in securities, and derivatives if applicable, for federal income tax purposes were as follows:
Gross unrealized appreciation | $510,292 |
Gross unrealized depreciation | (66,800) |
Net unrealized appreciation (depreciation) | $443,492 |
Tax cost | $2,584,113 |
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. In March 2017, the Financial Accounting Standards Board (FASB) issued an Accounting Standards Update (ASU), ASU 2017-08, which amends the amortization period for certain callable debt securities that are held at a premium. The amendment requires the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount. The ASU is effective for annual periods beginning after December 15, 2018. Management is currently evaluating the potential impact of these changes to the financial statements.
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, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following 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 may be mitigated by the protection provided by the exchange on which they trade.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the stock market.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin on futures contracts in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is presented in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts". The notional amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, in-kind transactions and U.S. government securities, aggregated $870,292 and $830,498, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .15% of the Fund's average net assets and an annualized group fee rate that averaged .24% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .39% 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 the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $771 | $– |
Class M | .25% | .25% | 2,994 | 42 |
Class C | .75% | .25% | 2,558 | 350 |
$6,323 | $392 |
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 M 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 M and Class C redemptions. The deferred sales charges are 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class M shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained by FDC | |
Class A | $205 |
Class M | 38 |
Class C(a) | 32 |
$275 |
(a) When Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund, except for Class Z. FIIOC receives an asset-based fee of Class Z's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets(a) | |
Class A | $548 | .18 |
Class M | 1,041 | .17 |
Class C | 469 | .18 |
Class I | 393 | .17 |
Class Z | 23 | .05 |
$2,474 |
(a) Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $21 for the period.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $6.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $4 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is 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. At period end, there were no security loans outstanding with FCM. 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 $278, including $53 from securities loaned to FCM.
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $60 for the period.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $14.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2018 | Year ended August 31, 2017 | |
From net investment income | ||
Class A | $3,755 | $6,884 |
Class M | 5,769 | 10,852 |
Class C | 980 | 2,212 |
Class I | 3,314 | 4,918 |
Class Z | 659 | 710 |
Total | $14,477 | $25,576 |
From net realized gain | ||
Class A | $30,926 | $2,376 |
Class M | 60,054 | 4,663 |
Class C | 25,670 | 1,843 |
Class I | 22,386 | 1,254 |
Class Z | 4,097 | 169 |
Total | $143,133 | $10,305 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Six months ended February 28, 2018 | Year ended August 31, 2017 | Six months ended February 28, 2018 | Year ended August 31, 2017 | |
Class A | ||||
Shares sold | 3,758 | 7,497 | $79,203 | $149,331 |
Reinvestment of distributions | 1,626 | 452 | 33,677 | 8,858 |
Shares redeemed | (3,578) | (7,502) | (75,437) | (149,764) |
Net increase (decrease) | 1,806 | 447 | $37,443 | $8,425 |
Class M | ||||
Shares sold | 5,003 | 10,929 | $106,685 | $219,279 |
Reinvestment of distributions | 3,080 | 766 | 64,519 | 15,140 |
Shares redeemed | (6,449) | (12,604) | (137,599) | (252,916) |
Net increase (decrease) | 1,634 | (909) | $33,605 | $(18,497) |
Class C | ||||
Shares sold | 3,931 | 7,093 | $82,264 | $140,684 |
Reinvestment of distributions | 1,231 | 188 | 25,339 | 3,649 |
Shares redeemed | (2,352) | (5,980) | (49,231) | (117,804) |
Net increase (decrease) | 2,810 | 1,301 | $58,372 | $26,529 |
Class I | ||||
Shares sold | 5,342 | 10,629 | $114,775 | $217,707 |
Reinvestment of distributions | 1,032 | 274 | 21,766 | 5,472 |
Shares redeemed | (2,651) | (5,814) | (56,928) | (118,515) |
Net increase (decrease) | 3,723 | 5,089 | $79,613 | $104,664 |
Class Z | ||||
Shares sold | 4,480 | 1,530 | $98,449 | $31,896 |
Reinvestment of distributions | 218 | 43 | 4,600 | 866 |
Shares redeemed | (489) | (388) | (10,557) | (7,882) |
Net increase (decrease) | 4,209 | 1,185 | $92,492 | $24,880 |
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.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (September 1, 2017 to February 28, 2018).
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.
Annualized Expense Ratio-A | Beginning Account Value September 1, 2017 | Ending Account Value February 28, 2018 | Expenses Paid During Period-B September 1, 2017 to February 28, 2018 | |
Class A | .87% | |||
Actual | $1,000.00 | $1,059.70 | $4.44 | |
Hypothetical-C | $1,000.00 | $1,020.48 | $4.36 | |
Class M | 1.12% | |||
Actual | $1,000.00 | $1,058.70 | $5.72 | |
Hypothetical-C | $1,000.00 | $1,019.24 | $5.61 | |
Class C | 1.63% | |||
Actual | $1,000.00 | $1,056.10 | $8.31 | |
Hypothetical-C | $1,000.00 | $1,016.71 | $8.15 | |
Class I | .61% | |||
Actual | $1,000.00 | $1,061.00 | $3.12 | |
Hypothetical-C | $1,000.00 | $1,021.77 | $3.06 | |
Class Z | .49% | |||
Actual | $1,000.00 | $1,061.70 | $2.50 | |
Hypothetical-C | $1,000.00 | $1,022.36 | $2.46 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
C 5% return per year before expenses
AIG-SANN-0418
1.703549.120
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/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 24, 2018 |
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/Stacie M. Smith |
Stacie M. Smith | |
President and Treasurer | |
Date: | April 24, 2018 |
By: | /s/Howard J. Galligan III |
Howard J. Galligan III | |
Chief Financial Officer | |
Date: | April 24, 2018 |