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: | November 30 |
Date of reporting period: | May 31, 2018 |
This report on Form N-CSR relates solely to the Registrant’s Fidelity Real Estate High Income Fund series (the “Fund”).
Item 1.
Reports to Stockholders
Fidelity® Real Estate High Income Fund Semi-Annual Report May 31, 2018 |
 |
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 (collect) 1-401-292-6402 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 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)
Quality Diversification (% of fund's net assets)
| As of May 31, 2018 | ||
| AAA,AA,A | 10.3% | |
| BBB | 25.6% | |
| BB | 16.0% | |
| B | 14.0% | |
| CCC,CC,C | 1.8% | |
| Not Rated | 21.5% | |
| Equities | 3.0% | |
| Short-Term Investments and Net Other Assets | 7.8% | |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. Where neither Moody's nor S&P ratings are available, we have used Fitch® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
| As of May 31, 2018 | ||
| CMOs and Other Mortgage Related Securities | 77.2% | |
| Asset-Backed Securities | 4.7% | |
| Nonconvertible Bonds | 3.5% | |
| Convertible Bonds, Preferred Stocks | 2.3% | |
| Common Stocks | 0.7% | |
| Bank Loan Obligations | 3.8% | |
| Short-Term Investments and Net Other Assets (Liabilities) | 7.8% | |
Schedule of Investments May 31, 2018
Showing Percentage of Net Assets
| Nonconvertible Bonds - 3.5% | |||
| Principal Amount | Value | ||
| Diversified Financial Services - 0.2% | |||
| American Homes 4 Rent 4.25% 2/15/28 | $2,205,000 | $2,127,986 | |
| Healthcare - 0.8% | |||
| CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 | 1,720,000 | 1,677,000 | |
| MPT Operating Partnership LP/MPT Finance Corp. 5.25% 8/1/26 | 400,000 | 388,000 | |
| Omega Healthcare Investors, Inc. 4.95% 4/1/24 | 311,000 | 316,246 | |
| Sabra Health Care LP/Sabra Capital Corp. 5.375% 6/1/23 | 3,000,000 | 2,992,500 | |
| Senior Housing Properties Trust 6.75% 4/15/20 | 3,000,000 | 3,124,476 | |
| TOTAL HEALTHCARE | 8,498,222 | ||
| Homebuilders/Real Estate - 1.1% | |||
| DDR Corp.: | |||
| 4.625% 7/15/22 | 288,000 | 297,125 | |
| 4.7% 6/1/27 | 3,354,000 | 3,380,032 | |
| Howard Hughes Corp. 5.375% 3/15/25 (a) | 3,255,000 | 3,145,144 | |
| iStar Financial, Inc. 6% 4/1/22 | 3,075,000 | 3,075,000 | |
| Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (a) | 1,170,000 | 1,170,000 | |
| Ventas Realty LP/Ventas Capital Corp. 4.25% 3/1/22 | 1,000,000 | 1,025,026 | |
| TOTAL HOMEBUILDERS/REAL ESTATE | 12,092,327 | ||
| Hotels - 1.4% | |||
| ESH Hospitality, Inc. 5.25% 5/1/25 (a) | 4,250,000 | 4,082,550 | |
| Host Hotels & Resorts LP 4.75% 3/1/23 | 890,000 | 916,128 | |
| RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 2,300,000 | 2,285,625 | |
| Times Square Hotel Trust 8.528% 8/1/26 (a) | 6,749,520 | 7,852,877 | |
| TOTAL HOTELS | 15,137,180 | ||
| Super Retail - 0.0% | |||
| JC Penney Corp., Inc. 5.875% 7/1/23 (a) | 720,000 | 659,700 | |
| TOTAL NONCONVERTIBLE BONDS | |||
| (Cost $38,107,674) | 38,515,415 | ||
| Asset-Backed Securities - 4.7% | |||
| American Homes 4 Rent: | |||
| Series 2014-SFR2 Class E, 6.231% 10/17/36 (a) | 672,000 | 743,218 | |
| Series 2014-SFR3 Class E, 6.418% 12/17/36 (a) | 1,864,000 | 2,089,275 | |
| Series 2015-SFR1 Class E, 5.639% 4/17/52 (a) | 2,557,223 | 2,741,428 | |
| Series 2015-SFR2: | |||
| Class E, 6.07% 10/17/45 (a) | 4,476,000 | 4,921,611 | |
| Class XS, 0% 10/17/45 (a)(b)(c)(d) | 3,213,132 | 32 | |
| Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 4.4229% 6/26/34 (a)(b)(e) | 73,793 | 127,833 | |
| Capital Trust RE CDO Ltd. Series 2005-1A: | |||
| Class D, 1 month U.S. LIBOR + 1.500% 3.4478% 3/20/50 (a)(b)(d)(e) | 750,000 | 75 | |
| Class E, 1 month U.S. LIBOR + 2.100% 4.0478% 3/20/50 (a)(b)(d)(e) | 3,000,000 | 300 | |
| Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 6.0488% 1/28/40 (a)(b)(d)(e) | 3,022,616 | 302 | |
| Home Partners of America Credit Trust Series 2017-1: | |||
| Class E, 1 month U.S. LIBOR + 2.650% 4.5455% 7/17/34 (a)(b)(e) | 927,000 | 935,036 | |
| Class F, 1 month U.S. LIBOR + 3.539% 5.4345% 7/17/34 (a)(b)(e) | 1,347,000 | 1,362,516 | |
| Home Partners of America Trust Series 2018-1 Class F, 1 month U.S. LIBOR + 2.350% 4.284% 7/17/37 (a)(b)(e) | 2,455,000 | 2,454,996 | |
| Invitation Homes Trust: | |||
| Series 2017-SFR2: | |||
| Class E, 1 month U.S. LIBOR + 2.250% 4.1455% 12/17/36 (a)(b)(e) | 2,064,000 | 2,089,845 | |
| Class F, 1 month U.S. LIBOR + 3.000% 4.8955% 12/17/36 (a)(b)(e) | 1,743,000 | 1,772,138 | |
| Series 2018-SFR1 Class F, 1 month U.S. LIBOR + 3.100% 4.3955% 3/17/37 (a)(b)(e) | 2,499,000 | 2,520,777 | |
| Series 2018-SFR2 Class F, 1 month U.S. LIBOR + 2.250% 4.146% 6/17/37 (a)(b)(e) | 4,421,000 | 4,446,568 | |
| Merit Securities Corp. Series 13 Class M1, 7.9411% 12/28/33 (b) | 1,646,387 | 1,695,633 | |
| Progress Residential Trust: | |||
| Series 2015-SFR3 Class F, 6.643% 11/12/32 (a) | 714,000 | 745,147 | |
| Series 2016-SFR1 Class F, 1 month U.S. LIBOR + 5.000% 6.8955% 9/17/33 (a)(b)(e) | 924,000 | 936,379 | |
| Series 2017-SFR1 Class F, 5.35% 8/17/34 (a) | 650,000 | 666,672 | |
| Series 2017-SFR2 Class F, 1 month U.S. LIBOR + 2.750% 4.836% 12/17/34 (a)(e) | 977,000 | 983,407 | |
| Series 2018-SFR1 Class F, 4.778% 3/17/35 (a) | 2,713,000 | 2,720,081 | |
| Residential Asset Securities Corp. Series 2003-KS10 Class MI3, 6.41% 12/25/33 | 256,832 | 174,883 | |
| Starwood Waypoint Homes Trust Series 2017-1: | |||
| Class E, 1 month U.S. LIBOR + 2.600% 4.4969% 1/17/35 (a)(b)(e) | 2,643,000 | 2,670,655 | |
| Class F, 1 month U.S. LIBOR + 3.400% 5.2969% 1/17/35 (a)(b)(e) | 3,524,000 | 3,523,183 | |
| Taberna Preferred Funding III Ltd. Series 2005-3A: | |||
| Class D, 3 month U.S. LIBOR + 2.650% 5.0131% 2/5/36 (a)(b)(d)(e) | 2,847,449 | 214 | |
| Class E, 3 month U.S. LIBOR + 4.500% 6.8631% 2/5/36 (a)(b)(d)(e) | 910,923 | 68 | |
| Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 6.8631% 12/5/36 (a)(b)(d)(e) | 5,389,549 | 404 | |
| Tricon American Homes: | |||
| Series 2017-SFR1 Class F, 5.151% 9/17/34 (a) | 4,452,000 | 4,532,352 | |
| Series 2017-SFR2 Class F, 5.16% 1/17/36 (a) | 746,000 | 755,185 | |
| Series 2018-SFR1 Class F, 4.96% 5/17/37 (a) | 1,000,000 | 998,233 | |
| Tricon American Homes Trust Series 2016-SFR1 Class F, 5.769% 11/17/33 (a) | 2,985,000 | 3,082,586 | |
| VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (a) | 2,571,000 | 2,584,230 | |
| TOTAL ASSET-BACKED SECURITIES | |||
| (Cost $61,247,721) | 52,275,262 | ||
| Collateralized Mortgage Obligations - 1.1% | |||
| Private Sponsor - 1.1% | |||
| Countrywide Home Loans, Inc. Series 2003-R1: | |||
| Class 2B4, 3.3614% 2/25/43 (a)(b)(d) | 44,260 | 9,561 | |
| Class 2B5, 3.3614% 2/25/43 (a)(b) | 25,219 | 453 | |
| Credit Suisse First Boston Mortgage Securities Corp. Series 2002-26 Class 4B3, 7% 10/25/17 (d) | 716 | 0 | |
| FREMF Mortgage Trust: | |||
| Series 2010-K6 Class B, 5.5421% 12/25/46 (a)(b) | 6,045,000 | 6,248,504 | |
| Series 2010-K7 Class B, 5.6857% 4/25/20 (a)(b) | 5,000,000 | 5,200,151 | |
| RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B Class B9, 1 month U.S. LIBOR + 11.950% 13.8471% 6/10/35 (a)(b)(e) | 88,391 | 49,667 | |
| RESIX Finance Ltd. floater Series 2004-A Class B7, 1 month U.S. LIBOR + 4.250% 6.1471% 2/10/36 (a)(b)(d)(e) | 10,583 | 131 | |
| TOTAL PRIVATE SPONSOR | 11,508,467 | ||
| U.S. Government Agency - 0.0% | |||
| Fannie Mae REMIC Trust: | |||
| Series 2002-W1 subordinate REMIC pass thru certificates, Class 3B3, 3.6949% 2/25/42 (a)(b) | 50,668 | 17,460 | |
| Series 2002-W6 subordinate REMIC pass thru certificates, Class 3B4, 3.8356% 1/25/42 (a)(b) | 5,432 | 56 | |
| Series 2003-W10 subordinate REMIC pass thru certificates: | |||
| Class 2B4, 3.6118% 6/25/43 (b)(d)(f) | 173,593 | 60,527 | |
| Class 2B5, 3.6118% 6/25/43 (b)(d)(f) | 6,142 | 12 | |
| TOTAL U.S. GOVERNMENT AGENCY | 78,055 | ||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
| (Cost $11,121,340) | 11,586,522 | ||
| Commercial Mortgage Securities - 76.1% | |||
| 280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 3.150% 4.7239% 9/15/34 (a)(b)(e) | 4,423,000 | 4,456,613 | |
| Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (a) | 1,230,000 | 1,325,888 | |
| Asset Securitization Corp. Series 1997-D4 Class B5, 7.525% 4/14/29 | 4,476,925 | 4,473,757 | |
| Aventura Mall Trust Series 2013-AVM Class E, 3.8674% 12/5/32 (a)(b) | 3,308,000 | 3,326,432 | |
| BAMLL Trust Series 2015-200P Class F, 3.7157% 4/14/33 (a)(b) | 3,107,000 | 2,915,242 | |
| BANK: | |||
| Series 2017-BNK4 Class D, 3.357% 5/15/50 (a) | 5,301,000 | 4,313,136 | |
| Series 2017-BNK6 Class D, 3.1% 7/15/60 (a) | 3,113,000 | 2,522,809 | |
| Series 2017-BNK8 Class D, 2.6% 11/15/50 (a) | 3,717,000 | 2,794,160 | |
| Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3 Class D, 3.25% 2/15/50 (a) | 2,642,000 | 2,123,773 | |
| Bank of America Commercial Mortgage Trust Series 2015-UBS7 Class C, 4.5108% 9/15/48 (b) | 1,826,000 | 1,795,885 | |
| Barclays Commercial Mortgage Securities LLC Series 2015-STP Class E, 4.4272% 9/10/28 (a)(b) | 7,899,000 | 7,593,251 | |
| BBCMS Mortgage Trust Series 2016-ETC Class D, 3.7292% 8/14/36 (a)(b) | 2,100,000 | 1,930,527 | |
| Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (a) | 4,096,119 | 4,045,982 | |
| BKB Commercial Mortgage Trust Series 1997-C1 Class H, 2.0042% 10/25/22 (a)(b) | 15,939 | 15,252 | |
| BX Commercial Mortgage Trust floater Series 2018-BIOA Class F, 1 month U.S. LIBOR + 2.470% 4.3898% 3/15/37 (a)(b)(e) | 2,163,000 | 2,160,311 | |
| BX Trust Series 2017-IMC Class F, 1 month U.S. LIBOR + 4.250% 6.1687% 10/15/32 (a)(b)(e) | 4,789,000 | 4,810,039 | |
| CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.6712% 4/10/29 (a)(b) | 3,478,000 | 3,504,521 | |
| CD Mortgage Trust Series 2017-CD3: | |||
| Class C, 4.563% 2/10/50 | 5,600,000 | 5,671,132 | |
| Class D, 3.25% 2/10/50 (a) | 4,889,000 | 3,941,917 | |
| CG-CCRE Commercial Mortgage Trust Series 2014-FL1: | |||
| Class YTC1, 1 month U.S. LIBOR + 2.489% 4.4077% 6/15/31 (a)(b)(e) | 2,069,872 | 1,998,613 | |
| Class YTC2, 1 month U.S. LIBOR + 2.489% 4.4077% 6/15/31 (a)(b)(e) | 2,069,872 | 1,989,275 | |
| Class YTC3, 1 month U.S. LIBOR + 2.489% 4.4077% 6/15/31 (a)(b)(e) | 744,166 | 710,758 | |
| CGBAM Commercial Mortgage Trust Series 2015-SMRT: | |||
| Class E, 3.9121% 4/10/28 (a)(b) | 683,000 | 680,107 | |
| Class F, 3.9121% 4/10/28 (a)(b) | 3,987,000 | 3,956,828 | |
| Citigroup Commercial Mortgage Trust: | |||
| Series 2013-375P Class E, 3.6348% 5/10/35 (a)(b) | 4,885,000 | 4,680,440 | |
| Series 2013-GC15 Class D, 5.2682% 9/10/46 (a)(b) | 8,792,000 | 8,371,011 | |
| Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.100% 6.2469% 7/15/27 (a)(b)(e) | 3,568,000 | 3,586,055 | |
| Series 2016-C3 Class D, 3% 11/15/49 (a) | 5,297,000 | 4,041,711 | |
| Series 2016-SMPL Class E, 4.509% 9/10/31 (a) | 4,422,000 | 4,385,229 | |
| COMM Mortgage Trust: | |||
| floater Series 2014-PAT Class E, 1 month U.S. LIBOR + 3.150% 5.0452% 8/13/27 (a)(b)(e) | 3,339,000 | 3,370,610 | |
| sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (a) | 5,250,000 | 4,118,288 | |
| Series 2012-CR1: | |||
| Class C, 5.4968% 5/15/45 (b) | 2,060,000 | 2,131,271 | |
| Class D, 5.4968% 5/15/45 (a)(b) | 6,994,000 | 6,819,644 | |
| Class G, 2.462% 5/15/45 (a) | 2,788,000 | 2,010,694 | |
| Series 2012-CR5 Class D, 4.4636% 12/10/45 (a)(b) | 1,550,000 | 1,470,705 | |
| Series 2012-LC4 Class D, 5.7778% 12/10/44 (a)(b) | 7,914,000 | 7,216,612 | |
| Series 2013-CCRE6 Class E, 4.2032% 3/10/46 (a)(b) | 189,000 | 153,374 | |
| Series 2013-CR10: | |||
| Class C, 4.9482% 8/10/46 (a)(b) | 1,310,000 | 1,324,194 | |
| Class D, 4.9482% 8/10/46 (a)(b) | 4,410,000 | 3,874,863 | |
| Series 2013-CR12 Class D, 5.2476% 10/10/46 (a)(b) | 7,745,000 | 6,687,149 | |
| Series 2013-CR6 Class F, 4.2032% 3/10/46 (a)(b) | 1,727,000 | 1,142,013 | |
| Series 2013-CR9 Class D, 4.4044% 7/10/45 (a)(b) | 1,184,000 | 1,021,894 | |
| Series 2013-LC6 Class D, 4.4417% 1/10/46 (a)(b) | 6,776,000 | 6,479,063 | |
| Series 2014-CR15 Class D, 4.908% 2/10/47 (a)(b) | 1,273,000 | 1,189,222 | |
| Series 2014-CR17: | |||
| Class D, 4.9583% 5/10/47 (a)(b) | 5,531,000 | 4,991,466 | |
| Class E, 4.9583% 5/10/47 (a)(b) | 662,000 | 517,761 | |
| Series 2014-UBS2 Class D, 5.1817% 3/10/47 (a)(b) | 4,146,000 | 3,557,671 | |
| Series 2015-3BP Class F, 3.3464% 2/10/35 (a)(b) | 5,288,000 | 4,851,956 | |
| Series 2015-CR23 Class CME, 3.8073% 5/10/48 (a)(b) | 1,991,000 | 1,954,679 | |
| Series 2016-CD1 Class D, 2.9046% 8/10/49 (a)(b) | 2,782,000 | 2,191,043 | |
| Series 2017-CD4 Class D, 3.3% 5/10/50 (a) | 3,882,000 | 3,148,620 | |
| COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (a) | 1,376,000 | 1,117,127 | |
| Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (a) | 784,505 | 787,208 | |
| Commercial Mortgage Trust Series 2016-CD2: | |||
| Class C, 4.1647% 11/10/49 (b) | 1,500,000 | 1,459,624 | |
| Class D, 2.9147% 11/10/49 (b) | 2,017,000 | 1,559,423 | |
| Commercial Mortgage Trust pass-thru certificates: | |||
| Series 2012-CR2: | |||
| Class E, 4.9931% 8/15/45 (a)(b) | 6,370,000 | 6,122,364 | |
| Class F, 4.25% 8/15/45 (a) | 7,900,000 | 6,561,792 | |
| Series 2014-CR2 Class G, 4.25% 8/15/45 (a) | 1,868,000 | 1,216,387 | |
| Core Industrial Trust: | |||
| Series 2015-CALW Class G, 3.9787% 2/10/34 (a)(b) | 3,107,000 | 2,990,822 | |
| Series 2015-TEXW Class F, 3.977% 2/10/34 (a)(b) | 2,080,000 | 2,008,081 | |
| Series 2015-WEST Class F, 4.3677% 2/10/37 (a)(b) | 6,476,000 | 6,213,080 | |
| Credit Suisse First Boston Mortgage Securities Corp.: | |||
| Series 1998-C1 Class H, 6% 5/17/40 (a) | 2,493,939 | 2,045,030 | |
| Series 1998-C2 Class G, 6.75% 11/15/30 (a) | 109,798 | 109,787 | |
| CSAIL Commercial Mortgage Trust: | |||
| Series 2017-C8 Class D, 4.47% 6/15/50 (a) | 4,685,000 | 4,148,117 | |
| Series 2017-CX10 Class UESD, 4.3778% 10/15/32 (a)(b) | 2,270,000 | 2,158,761 | |
| Series 2017-CX9 Class D, 4.161% 9/15/50 (a) | 1,938,000 | 1,624,809 | |
| Series 2018-CX11 Class C, 4.7115% 4/15/51 | 2,835,000 | 2,863,767 | |
| CSMC Trust: | |||
| Series 2016-MFF Class F, 1 month U.S. LIBOR + 7.250% 9.1687% 11/15/33 (a)(b)(e) | 4,003,000 | 4,040,804 | |
| Series 2017-MOON Class E, 3.303% 7/10/34 (a)(b) | 1,534,000 | 1,466,734 | |
| DBCCRE Mortgage Trust Series 2014-ARCP: | |||
| Class D, 4.9345% 1/10/34 (a)(b) | 1,000,000 | 988,076 | |
| Class E, 5.099% 1/10/34 (a)(b) | 5,120,000 | 4,918,663 | |
| DBUBS Mortgage Trust: | |||
| Series 2011-LC1A: | |||
| Class E, 5.8841% 11/10/46 (a)(b) | 8,929,000 | 9,309,784 | |
| Class F, 5.8841% 11/10/46 (a)(b) | 7,806,000 | 7,601,192 | |
| Class G, 4.652% 11/10/46 (a) | 9,378,000 | 8,397,802 | |
| Series 2011-LC3A Class D, 5.5153% 8/10/44 (a)(b) | 4,111,000 | 4,253,195 | |
| Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.6349% 9/10/49 (b) | 2,200,000 | 2,056,532 | |
| Freddie Mac: | |||
| pass-thru certificates Series K013 Class X3, 2.9089% 1/25/43 (b)(c) | 5,370,000 | 375,829 | |
| Series KAIV Class X2, 3.6147% 6/25/46 (b)(c) | 2,780,000 | 264,933 | |
| FREMF Mortgage Trust: | |||
| Series 2010-K9 Class B, 5.3732% 9/25/45 (a)(b) | 4,544,000 | 4,734,413 | |
| Series 2011-K10 Class B, 4.7807% 11/25/49 (a)(b) | 2,500,000 | 2,580,642 | |
| Series 2011-K11 Class B, 4.5733% 12/25/48 (a)(b) | 3,190,000 | 3,281,417 | |
| GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
| Class EFX, 3.4949% 12/15/34 (a)(b) | 5,500,000 | 5,444,954 | |
| Class FFX, 3.4949% 12/15/34 (a)(b) | 5,816,000 | 5,718,035 | |
| Class GFX, 3.4949% 12/15/34 (a)(b) | 12,671,000 | 12,402,703 | |
| GMAC Commercial Mortgage Securities, Inc.: | |||
| Series 1997-C1 Class H, 6.6% 7/15/29 | 848,131 | 813,378 | |
| Series 1997-C2 Class H, 6.75% 4/15/29 (b) | 6,096,420 | 4,868,321 | |
| Series 1999-C2I Class K, 6.481% 9/15/33 | 7,875,000 | 7,872,614 | |
| GP Portfolio Trust Series 2014-GPP: | |||
| Class D, 1 month U.S. LIBOR + 3.000% 4.8969% 2/15/27 (a)(b)(e) | 2,691,000 | 2,696,097 | |
| Class E, 1 month U.S. LIBOR + 4.100% 5.9969% 2/15/27 (a)(b)(e) | 1,717,000 | 1,700,622 | |
| GPMT Ltd. floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 4% 11/21/35 (a)(b)(e) | 1,473,000 | 1,468,397 | |
| Grace Mortgage Trust Series 2014-GRCE Class F, 3.7098% 6/10/28 (a)(b) | 6,154,000 | 6,032,849 | |
| GS Mortgage Securities Corp. II Series 2010-C1: | |||
| Class D, 6.1963% 8/10/43 (a)(b) | 2,450,000 | 2,492,749 | |
| Class F, 4% 8/10/43 (a) | 1,431,000 | 1,060,050 | |
| GS Mortgage Securities Trust: | |||
| Series 2010-C2 Class D, 5.355% 12/10/43 (a)(b) | 4,100,000 | 4,118,095 | |
| Series 2011-GC3 Class D, 5.8256% 3/10/44 (a)(b) | 1,239,000 | 1,265,981 | |
| Series 2011-GC5: | |||
| Class C, 5.5646% 8/10/44 (a)(b) | 5,010,000 | 5,217,907 | |
| Class D, 5.5646% 8/10/44 (a)(b) | 7,012,000 | 6,863,297 | |
| Class E, 5.5646% 8/10/44 (a)(b) | 2,919,000 | 2,398,603 | |
| Class F, 4.5% 8/10/44 (a) | 5,172,000 | 2,758,326 | |
| Series 2012-GC6: | |||
| Class D, 5.8403% 1/10/45 (a)(b) | 3,529,000 | 3,381,397 | |
| Class E, 5% 1/10/45 (a)(b) | 1,822,000 | 1,568,672 | |
| Series 2012-GC6I Class F, 5% 1/10/45 (b) | 1,810,000 | 1,235,202 | |
| Series 2012-GCJ7: | |||
| Class C, 5.8875% 5/10/45 (b) | 5,830,000 | 6,038,378 | |
| Class D, 5.8875% 5/10/45 (a)(b) | 10,512,500 | 10,220,717 | |
| Class E, 5% 5/10/45 (a) | 6,263,000 | 4,295,911 | |
| Class F, 5% 5/10/45 (a) | 8,442,000 | 2,537,497 | |
| Series 2012-GCJ9 Class D, 4.9059% 11/10/45 (a)(b) | 5,088,000 | 4,877,287 | |
| Series 2013-GC12 Class D, 4.5799% 6/10/46 (a)(b) | 1,043,000 | 935,597 | |
| Series 2013-GC13 Class D, 4.0813% 7/10/46 (a)(b) | 6,567,000 | 6,037,207 | |
| Series 2013-GC16: | |||
| Class D, 5.503% 11/10/46 (a)(b) | 4,709,000 | 4,628,606 | |
| Class F, 3.5% 11/10/46 (a) | 3,037,000 | 2,209,098 | |
| Series 2016-GS2: | |||
| Class C, 4.68% 5/10/49 (b) | 2,959,000 | 3,039,189 | |
| Class D, 2.753% 5/10/49 (a) | 2,470,050 | 1,979,917 | |
| Series 2016-GS3 Class D, 2.728% 10/10/49 (a) | 7,306,000 | 5,666,341 | |
| Series 2016-REMZ Class MZB, 7.727% 2/10/21 (a) | 4,683,000 | 4,824,844 | |
| Series 2016-RENT: | |||
| Class E, 4.2022% 2/10/29 (a)(b) | 8,617,000 | 8,500,362 | |
| Class F, 4.2022% 2/10/29 (a)(b) | 6,374,000 | 6,247,284 | |
| Series 2017-GS6 Class D, 3.331% 5/10/50 (a) | 4,414,000 | 3,535,573 | |
| Series 2018-GS9 Class D, 3% 3/10/51 (a) | 2,962,000 | 2,359,123 | |
| Hilton U.S.A. Trust: | |||
| Series 2016-HHV Class F, 4.3333% 11/5/38 (a)(b) | 6,663,000 | 5,964,696 | |
| Series 2016-SFP Class F, 6.0801% 11/5/35 (a) | 5,036,000 | 5,119,617 | |
| IMT Trust Series 2017-APTS: | |||
| Class EFL, 1 month U.S. LIBOR + 2.150% 4.0469% 6/15/34 (a)(b)(e) | 2,264,000 | 2,264,002 | |
| Class FFL, 1 month U.S. LIBOR + 2.850% 4.7469% 6/15/34 (a)(b)(e) | 929,000 | 930,862 | |
| JPMBB Commercial Mortgage Securities Trust: | |||
| Series 2014-C22 Class D, 4.7106% 9/15/47 (a)(b) | 2,472,000 | 2,032,404 | |
| Series 2014-C23 Class UH5, 4.7094% 9/15/47 (a) | 725,000 | 630,514 | |
| Series 2014-C26 Class D, 4.0669% 1/15/48 (a)(b) | 2,796,000 | 2,436,070 | |
| Series 2015-C32 Class C, 4.8175% 11/15/48 (b) | 8,179,000 | 8,120,005 | |
| JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4619% 12/15/49 (a) | 2,903,000 | 2,412,371 | |
| JPMDB Commercial Mortgage Securities Trust: | |||
| Series 2016-C4 Class D, 3.2231% 12/15/49 (a)(b) | 4,642,000 | 3,689,144 | |
| Series 2017-C7 Class D, 3% 10/15/50 (a) | 2,177,000 | 1,702,086 | |
| Series 2018-C8 Class D, 3.2458% 6/15/51 (a)(b) | 1,406,000 | 1,115,136 | |
| JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
| Series 2003-C1 Class F, 5.6578% 1/12/37 (a)(b) | 552,957 | 567,647 | |
| Series 2009-IWST: | |||
| Class C, 7.6935% 12/5/27 (a)(b) | 2,260,000 | 2,402,405 | |
| Class D, 7.6935% 12/5/27 (a)(b) | 10,670,000 | 11,331,088 | |
| Series 2010-CNTR Class D, 6.3899% 8/5/32 (a)(b) | 4,170,000 | 4,362,845 | |
| Series 2012-CBX: | |||
| Class D, 5.2137% 6/16/45 (a)(b) | 4,050,000 | 4,052,435 | |
| Class E, 5.2137% 6/15/45 (a)(b) | 3,618,000 | 3,305,479 | |
| Class F, 4% 6/15/45 (a) | 4,494,000 | 3,412,379 | |
| Class G 4% 6/15/45 (a) | 4,957,000 | 2,580,301 | |
| JPMorgan Chase Commercial Mortgage Securities Trust: | |||
| Series 2004-CBX Class D, 5.097% 1/12/37 (b) | 1,215,000 | 1,234,380 | |
| Series 2005-LDP2 Class F, 5.01% 7/15/42 (b) | 602,277 | 610,564 | |
| Series 2011-C3: | |||
| Class E, 5.8613% 2/15/46 (a)(b) | 3,060,000 | 3,008,813 | |
| Class G, 4.409% 2/15/46 (a)(b) | 1,299,000 | 1,044,969 | |
| Class H, 4.409% 2/15/46 (a)(b) | 3,147,000 | 2,305,267 | |
| Series 2011-C4: | |||
| Class E, 5.5344% 7/15/46 (a)(b) | 6,160,000 | 6,206,541 | |
| Class F, 3.873% 7/15/46 (a) | 555,000 | 512,859 | |
| Class H, 3.873% 7/15/46 (a) | 3,221,000 | 2,386,980 | |
| Class NR, 3.873% 7/15/46 (a) | 1,588,500 | 1,047,008 | |
| Series 2011-C5: | |||
| Class C, 5.5878% 8/15/46 (a)(b) | 3,424,234 | 3,530,592 | |
| Class D, 5.5878% 8/15/46 (a)(b) | 2,000,000 | 1,980,477 | |
| Series 2013-LC11: | |||
| Class C, 3.9582% 4/15/46 (b) | 201,000 | 197,344 | |
| Class D, 4.2989% 4/15/46 (b) | 4,395,000 | 4,055,809 | |
| Class E, 3.25% 4/15/46 (a)(b) | 104,000 | 77,753 | |
| Class F, 3.25% 4/15/46 (a)(b) | 7,077,000 | 4,237,032 | |
| Series 2014-DSTY: | |||
| Class D, 3.9314% 6/10/27 (a)(b) | 3,858,000 | 3,086,802 | |
| Class E, 3.9314% 6/10/27 (a)(b) | 4,173,000 | 2,922,692 | |
| Series 2015-UES Class F, 3.7417% 9/5/32 (a)(b) | 5,061,000 | 4,953,709 | |
| JPMorgan Commercial Mortgage Finance Corp. Series 1999-C8 Class H, 6% 7/15/31 (a) | 107,256 | 100,341 | |
| Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 4.0278% 5/15/31 (a)(b) | 5,117,000 | 4,908,516 | |
| LB Commercial Conduit Mortgage Trust Series 1998-C1 Class K, 6.3% 2/18/30 (a) | 689,970 | 727,671 | |
| Liberty Street Trust Series 2016-225L: | |||
| Class D, 4.8035% 2/10/36 (a)(b) | 2,459,000 | 2,534,003 | |
| Class E, 4.8035% 2/10/36 (a)(b) | 2,478,000 | 2,388,049 | |
| LSTAR Commercial Mortgage Trust Series 2014-2: | |||
| Class D, 5.2235% 1/20/41 (a)(b) | 1,228,000 | 1,223,311 | |
| Class E, 5.2235% 1/20/41 (a)(b) | 1,913,000 | 1,775,283 | |
| Mach One Trust LLC Series 2004-1A: | |||
| Class L, 5.45% 5/28/40 (a)(b) | 434,112 | 432,379 | |
| Class M, 5.45% 5/28/40 (a)(b) | 1,533,000 | 1,513,235 | |
| Merrill Lynch Mortgage Trust Series 2006-C1 Class AJ, 5.7806% 5/12/39 (b) | 1,247,106 | 1,259,933 | |
| Mezz Capital Commercial Mortgage Trust Series 2004-C2 Class D, 7.347% 10/15/40 (a)(d) | 687,002 | 4,867 | |
| Morgan Stanley BAML Trust: | |||
| sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (a) | 2,000,000 | 1,914,600 | |
| Series 2012-C5 Class E, 4.8431% 8/15/45 (a)(b) | 1,067,000 | 1,046,246 | |
| Series 2012-C6 Class D, 4.7271% 11/15/45 (a)(b) | 4,361,000 | 4,360,534 | |
| Series 2013-C12 Class D, 4.9242% 10/15/46 (a)(b) | 4,798,000 | 4,556,212 | |
| Series 2013-C13: | |||
| Class D, 5.0518% 11/15/46 (a)(b) | 5,079,000 | 4,962,828 | |
| Class E, 5.0518% 11/15/46 (a)(b) | 2,000,000 | 1,728,851 | |
| Series 2013-C7: | |||
| Class D, 4.388% 2/15/46 (a)(b) | 5,751,000 | 5,270,862 | |
| Class E, 4.388% 2/15/46 (a)(b) | 1,580,000 | 1,243,960 | |
| Series 2013-C8 Class D, 4.1942% 12/15/48 (a)(b) | 2,260,000 | 2,061,505 | |
| Series 2013-C9: | |||
| Class C, 4.1802% 5/15/46 (b) | 3,784,000 | 3,704,899 | |
| Class D, 4.2682% 5/15/46 (a)(b) | 5,331,000 | 5,001,805 | |
| Series 2016-C30: | |||
| Class C, 4.268% 9/15/49 (b) | 1,722,000 | 1,683,009 | |
| Class D, 3% 9/15/49 (a) | 1,879,000 | 1,425,643 | |
| Series 2016-C31 Class D, 3% 11/15/49 (a)(b)�� | 2,945,000 | 2,221,124 | |
| Series 2016-C32: | |||
| Class C, 4.296% 12/15/49 | 2,000,000 | 1,983,850 | |
| Class D, 3.396% 12/15/49 (a) | 3,703,000 | 2,860,864 | |
| Series 2017-C33 Class D, 3.25% 5/15/50 (a) | 3,520,000 | 2,802,725 | |
| Morgan Stanley Capital I Trust: | |||
| sequential payer Series 2012-C4 Class E, 5.601% 3/15/45 (a)(b) | 2,513,000 | 2,170,687 | |
| Series 1997-RR Class F, 7.51% 4/30/39 (a)(b) | 120,418 | 119,459 | |
| Series 1998-CF1 Class G, 7.35% 7/15/32 (a) | 247,592 | 216,643 | |
| Series 1999-WF1 Class O, 5.91% 11/15/31 (a) | 245,348 | 240,308 | |
| Series 2004-IQ7 Class G, 5.2671% 6/15/38 (a)(b) | 450,599 | 450,143 | |
| Series 2011-C1: | |||
| Class D, 5.5995% 9/15/47 (a)(b) | 10,522,000 | 10,903,021 | |
| Class E, 5.5995% 9/15/47 (a)(b) | 1,500,000 | 1,554,773 | |
| Series 2011-C2: | |||
| Class D, 5.6659% 6/15/44 (a)(b) | 7,303,000 | 7,201,594 | |
| Class E, 5.6659% 6/15/44 (a)(b) | 4,900,000 | 4,624,141 | |
| Class F, 5.6659% 6/15/44 (a)(b) | 3,620,000 | 3,192,209 | |
| Series 2011-C3: | |||
| Class D, 5.3267% 7/15/49 (a)(b) | 9,693,000 | 10,043,856 | |
| Class E, 5.3267% 7/15/49 (a)(b) | 3,134,000 | 3,092,759 | |
| Class F, 5.3267% 7/15/49 (a)(b) | 1,181,000 | 1,140,654 | |
| Class G, 5.3267% 7/15/49 (a)(b) | 4,040,000 | 3,497,684 | |
| Series 2012-C4 Class D, 5.601% 3/15/45 (a)(b) | 1,950,000 | 1,859,285 | |
| Series 2014-150E: | |||
| Class C, 4.4382% 9/9/32 (a)(b) | 2,867,000 | 2,921,414 | |
| Class F, 4.4382% 9/9/32 (a)(b) | 2,900,000 | 2,795,707 | |
| Series 2014-CPT Class F, 3.5604% 7/13/29 (a)(b) | 4,412,000 | 4,314,790 | |
| Series 2015-MS1: | |||
| Class C, 4.1646% 5/15/48 (b) | 3,074,000 | 2,969,442 | |
| Class D, 4.1646% 5/15/48 (a)(b) | 5,162,000 | 4,406,431 | |
| Series 2015-UBS8 Class D, 3.18% 12/15/48 (a) | 3,409,000 | 2,884,263 | |
| Series 2016-BNK2 Class C, 3% 11/15/49 (a) | 5,410,000 | 4,276,939 | |
| Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 4.5187% 11/15/34 (a)(b)(e) | 1,100,000 | 1,103,397 | |
| Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.8472% 7/15/33 (a)(b) | 645,731 | 686,859 | |
| Motel 6 Trust floater: | |||
| Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.927% 8.8234% 8/15/19 (a)(b)(e) | 1,643,432 | 1,659,860 | |
| Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 6.1469% 8/15/34 (a)(b)(e) | 13,168,876 | 13,301,167 | |
| MSCG Trust Series 2016-SNR: | |||
| Class D, 6.55% 11/15/34 (a) | 8,809,000 | 8,763,591 | |
| Class E, 6.8087% 11/15/34 (a) | 2,439,000 | 2,320,744 | |
| MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 5.0127% 9/5/47 (a)(b) | 1,217,000 | 1,123,784 | |
| NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (a) | 952,915 | 969,461 | |
| Natixis Commercial Mortgage Securities Trust: | |||
| Series 2018-285M Class F, 3.9168% 11/15/32 (a)(b) | 1,092,000 | 1,018,257 | |
| Series 2018-TECH: | |||
| Class E, 1 month U.S. LIBOR + 2.250% 4.1469% 11/15/34 (a)(b)(e) | 638,000 | 639,205 | |
| Class F, 4.5595% 11/15/34 (a) | 115,000 | 115,217 | |
| Class G, 1 month U.S. LIBOR + 4.000% 5.8969% 11/15/34 (a)(b)(e) | 572,000 | 570,741 | |
| Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (a) | 2,576,637 | 3,143,498 | |
| RETL floater Series 2018-RVP: | |||
| Class E, 1 month U.S. LIBOR + 4.500% 6.3969% 3/15/33 (a)(b)(e) | 1,977,560 | 2,002,374 | |
| Class F, 1 month U.S. LIBOR + 6.000% 7.8969% 3/15/33 (a)(b)(e) | 2,036,887 | 2,062,440 | |
| SCG Trust Series 2013-SRP1 Class D, 1 month U.S. LIBOR + 3.344% 5.4906% 11/15/26 (a)(b)(e) | 1,047,000 | 1,029,900 | |
| Starwood Retail Property Trust Series 2014-STAR Class D, 1 month U.S. LIBOR + 3.250% 5.1469% 11/15/27 (a)(b)(e) | 2,477,000 | 2,399,441 | |
| TIAA Seasoned Commercial Mortgage Trust: | |||
| sequential payer Series 2007-C4 Class AJ, 5.4768% 8/15/39 (b) | 290,709 | 291,275 | |
| Series 2007-C4 Class F, 5.4768% 8/15/39 (b) | 5,345,000 | 4,959,384 | |
| TPG Real Estate Finance floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.700% 4.5955% 2/15/35 (a)(b)(e) | 1,120,000 | 1,124,900 | |
| UBS Commercial Mortgage Trust Series 2012-C1: | |||
| Class D, 5.729% 5/10/45 (a)(b) | 5,491,000 | 5,463,658 | |
| Class E, 5% 5/10/45 (a)(b) | 2,294,000 | 1,901,377 | |
| Class F, 5% 5/10/45 (a)(b) | 2,982,000 | 2,097,117 | |
| UBS-BAMLL Trust: | |||
| Series 12-WRM Class D, 4.3793% 6/10/30 (a)(b) | 1,550,000 | 1,503,677 | |
| Series 2012-WRM Class C, 4.3793% 6/10/30 (a)(b) | 1,000,000 | 969,414 | |
| Wells Fargo Commercial Mortgage Trust: | |||
| Series 2010-C1 Class XB, 0.6613% 11/15/43 (a)(b)(c) | 25,717,913 | 331,386 | |
| Series 2012-LC5: | |||
| Class D, 4.9231% 10/15/45 (a)(b) | 7,342,000 | 7,316,328 | |
| Class E, 4.9231% 10/15/45 (a)(b) | 1,261,000 | 1,173,201 | |
| Series 2013-LC12 Class C, 4.4256% 7/15/46 (b) | 3,238,000 | 3,191,338 | |
| Series 2015-NXS4 Class E, 3.7532% 12/15/48 (a)(b) | 2,457,000 | 1,802,802 | |
| Series 2016-BNK1 Class D, 3% 8/15/49 (a) | 1,832,000 | 1,466,485 | |
| Series 2016-C35 Class D, 3.142% 7/15/48 (a) | 6,557,000 | 4,872,599 | |
| Series 2016-LC25 Class C, 4.5838% 12/15/59 (b) | 2,200,000 | 2,108,595 | |
| Series 2016-NXS6 Class D, 3.059% 11/15/49 (a) | 5,102,000 | 3,718,688 | |
| Series 2017-C38 Class D, 3% 7/15/50 (a)(b) | 5,529,000 | 4,307,909 | |
| Series 2017-RB1 Class D, 3.401% 3/15/50 (a) | 2,189,000 | 1,801,146 | |
| Series 2018-C43 Class C, 4.514% 3/15/51 | 1,300,000 | 1,303,401 | |
| WF-RBS Commercial Mortgage Trust: | |||
| sequential payer Series 2011-C4I Class G, 5% 6/15/44 (a) | 1,502,600 | 835,256 | |
| Series 2011-C3: | |||
| Class C, 5.335% 3/15/44 (a) | 2,240,000 | 2,301,246 | |
| Class D, 5.847% 3/15/44 (a)(b) | 3,984,000 | 3,303,007 | |
| Class E, 5% 3/15/44 (a) | 1,510,000 | 696,614 | |
| Class F, 5% 3/15/44 (a) | 2,907,350 | 631,649 | |
| Series 2011-C4: | |||
| Class D, 5.4008% 6/15/44 (a)(b) | 1,940,000 | 1,886,272 | |
| Class E, 5.4008% 6/15/44 (a)(b) | 1,529,000 | 1,431,317 | |
| Series 2011-C5: | |||
| Class C, 5.8595% 11/15/44 (a)(b) | 1,670,000 | 1,754,081 | |
| Class D, 5.8595% 11/15/44 (a)(b) | 3,575,000 | 3,626,885 | |
| Class E, 5.8595% 11/15/44 (a)(b) | 4,450,655 | 4,461,564 | |
| Class F, 5.25% 11/15/44 (a)(b) | 4,587,000 | 4,002,411 | |
| Class G, 5.25% 11/15/44 (a)(b) | 1,507,150 | 1,233,429 | |
| Series 2012-C6 Class D, 5.7657% 4/15/45 (a)(b) | 3,250,000 | 3,323,471 | |
| Series 2012-C7: | |||
| Class C, 4.9793% 6/15/45 (b) | 3,793,000 | 3,852,064 | |
| Class E, 4.9793% 6/15/45 (a)(b) | 4,374,000 | 3,466,295 | |
| Class F, 4.5% 6/15/45 (a) | 1,765,000 | 1,102,012 | |
| Class G, 4.5% 6/15/45 (a) | 5,063,750 | 1,456,801 | |
| Series 2012-C8: | |||
| Class D, 5.056% 8/15/45 (a)(b) | 1,000,000 | 976,343 | |
| Class E, 5.056% 8/15/45 (a)(b) | 1,400,000 | 1,344,714 | |
| Series 2013-C11: | |||
| Class D, 4.4138% 3/15/45 (a)(b) | 2,240,000 | 2,117,525 | |
| Class E, 4.4138% 3/15/45 (a)(b) | 6,000,000 | 4,747,222 | |
| Series 2013-C13 Class D, 4.1386% 5/15/45 (a)(b) | 1,800,000 | 1,653,468 | |
| Series 2013-C16 Class D, 5.1953% 9/15/46 (a)(b) | 801,000 | 748,513 | |
| Series 2013-UBS1 Class D, 4.77% 3/15/46 (a)(b) | 3,168,000 | 2,929,244 | |
| WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | |||
| Class F, 1 month U.S. LIBOR + 3.721% 5.6172% 11/15/29 (a)(b)(e) | 4,379,481 | 4,371,737 | |
| Class G, 1 month U.S. LIBOR + 3.001% 4.9169% 11/15/29 (a)(b)(e) | 1,867,968 | 1,838,727 | |
| Worldwide Plaza Trust Series 2017-WWP Class F, 3.7154% 11/10/36 (a)(b) | 6,117,000 | 5,351,610 | |
| WP Glimcher Mall Trust Series 2015-WPG: | |||
| Class PR1, 3.6332% 6/5/35 (a)(b) | 1,966,000 | 1,524,277 | |
| Class PR2, 3.6332% 6/5/35 (a)(b) | 5,227,000 | 3,763,435 | |
| TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
| (Cost $844,854,159) | 842,661,010 | ||
| Shares | Value | ||
| Common Stocks - 0.7% | |||
| Homebuilders/Real Estate - 0.7% | |||
| DDR Corp. | 142,300 | 2,161,537 | |
| Spirit Realty Capital, Inc. | 350,000 | 3,066,000 | |
| Store Capital Corp. | 100,000 | 2,680,000 | |
| TOTAL COMMON STOCKS | |||
| (Cost $7,131,066) | 7,907,537 | ||
| Preferred Stocks - 2.3% | |||
| Convertible Preferred Stocks - 0.4% | |||
| Homebuilders/Real Estate - 0.4% | |||
| Alexandria Real Estate Equities, Inc. Series D, 7.00% | 64,000 | 2,245,254 | |
| RLJ Lodging Trust Series A, 1.95% | 84,700 | 2,165,779 | |
| 4,411,033 | |||
| Nonconvertible Preferred Stocks - 1.9% | |||
| Diversified Financial Services - 0.3% | |||
| American Homes 4 Rent Series D, 6.50% | 103,400 | 2,596,374 | |
| Homebuilders/Real Estate - 1.6% | |||
| Annaly Capital Management, Inc. Series C, 7.625% | 28,000 | 709,800 | |
| Cedar Realty Trust, Inc.: | |||
| Series B, 7.25% | 5,408 | 123,005 | |
| Series C, 6.50% | 95,600 | 1,869,028 | |
| CYS Investments, Inc. Series B, 7.50% | 80,500 | 1,977,080 | |
| DDR Corp. Series K, 6.25% | 90,662 | 2,012,696 | |
| MFA Financial, Inc. Series B, 7.50% | 96,700 | 2,463,819 | |
| National Storage Affiliates Trust Series A, 6.00% | 45,600 | 1,112,640 | |
| PS Business Parks, Inc. Series W, 5.20% | 400 | 9,117 | |
| Public Storage Series F, 5.15% | 147,400 | 3,559,710 | |
| Rexford Industrial Realty, Inc. Series B, 5.875% | 109,800 | 2,552,850 | |
| Taubman Centers, Inc. Series J, 6.50% | 66,277 | 1,603,241 | |
| 17,992,986 | |||
| TOTAL NONCONVERTIBLE PREFERRED STOCKS | 20,589,360 | ||
| TOTAL PREFERRED STOCKS | |||
| (Cost $25,252,255) | 25,000,393 | ||
| Principal Amount | Value | ||
| Bank Loan Obligations - 3.8% | |||
| Air Transportation - 0.2% | |||
| Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.8551% 10/18/20 (b)(e) | 2,545,000 | 2,551,363 | |
| Diversified Financial Services - 0.3% | |||
| Extell Boston 5.154% 8/31/21 (b) | 4,000,928 | 4,000,928 | |
| Food & Drug Retail - 0.4% | |||
| Albertson's LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.2916% 12/21/22 (b)(e) | 4,182,013 | 4,136,973 | |
| Homebuilders/Real Estate - 1.9% | |||
| Capital Automotive LP: | |||
| Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 7.99% 3/24/25 (b)(e) | 3,462,248 | 3,514,182 | |
| Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.49% 3/24/24(b)(e) | 666,574 | 665,948 | |
| DTZ U.S. Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.5723% 11/4/21 (b)(e) | 2,376,133 | 2,374,351 | |
| Invitation Homes Operating Par Tranche B, term loan 3 month U.S. LIBOR + 1.800% 3.7338% 2/6/22 (b)(d)(e) | 5,000,000 | 4,881,250 | |
| iStar Financial, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 4.9316% 10/1/21 (b)(e) | 3,867,690 | 3,887,028 | |
| Realogy Group LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.1785% 2/8/25 (b)(e) | 114,713 | 115,224 | |
| Simply Storage Management LLC 8.2375% 9/6/21 (b)(d) | 5,530,000 | 5,563,180 | |
| TOTAL HOMEBUILDERS/REAL ESTATE | 21,001,163 | ||
| Hotels - 0.8% | |||
| ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 3.9803% 8/30/23 (b)(e) | 2,024,513 | 2,026,092 | |
| Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 3.7097% 10/25/23 (b)(e) | 4,205,619 | 4,224,040 | |
| Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.22% 4/27/24 (b)(e) | 1,137,833 | 1,129,777 | |
| Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.17% 5/11/24 (b)(e) | 1,173,150 | 1,178,722 | |
| TOTAL HOTELS | 8,558,631 | ||
| Super Retail - 0.2% | |||
| JC Penney Corp., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.5694% 6/23/23 (b)(e) | 2,261,531 | 2,125,206 | |
| TOTAL BANK LOAN OBLIGATIONS | |||
| (Cost $42,311,878) | 42,374,264 | ||
| Preferred Securities - 0.0% | |||
| Homebuilders/Real Estate - 0.0% | |||
| Crest Clarendon Street 2002-1 Ltd. Series 2002-1A Class PS, 12/28/35 (a)(d) | 3,000,000 | 304,500 | |
| Crest Dartmouth Street 2003 1 Ltd. Series 2003-1A Class PS, 6/28/38 (a)(d) | 3,100,000 | 310 | |
| TOTAL PREFERRED SECURITIES | |||
| (Cost $6,004,704) | 304,810 | ||
| Shares | Value | ||
| Money Market Funds - 7.5% | |||
| Fidelity Cash Central Fund, 1.76% (g) | |||
| (Cost $82,700,271) | 82,682,579 | 82,699,115 | |
| TOTAL INVESTMENT IN SECURITIES - 99.7% | |||
| (Cost $1,118,731,068) | 1,103,324,328 | ||
| NET OTHER ASSETS (LIABILITIES) - 0.3% | 3,371,119 | ||
| NET ASSETS - 100% | $1,106,695,447 |
Legend
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $833,762,293 or 75.3% of net assets.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) 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.
(d) Level 3 security
(e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.
(f) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $60,539 or 0.0% of net assets.
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
| Security | Acquisition Date | Acquisition Cost |
| Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B4, 3.6118% 6/25/43 | 9/29/03 | $70,495 |
| Fannie Mae REMIC Trust Series 2003-W10 subordinate REMIC pass thru certificates, Class 2B5, 3.6118% 6/25/43 | 9/29/03 | $838 |
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
| Fund | Income earned |
| Fidelity Cash Central Fund | $510,336 |
| Total | $510,336 |
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.
Investment Valuation
The following is a summary of the inputs used, as of May 31, 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 |
| Investments in Securities: | ||||
| Equities: | ||||
| Financials | $5,150,699 | $5,150,699 | $-- | $-- |
| Real Estate | 27,757,231 | 23,346,198 | 4,411,033 | -- |
| Corporate Bonds | 38,515,415 | -- | 38,515,415 | -- |
| Asset-Backed Securities | 52,275,262 | -- | 52,273,867 | 1,395 |
| Collateralized Mortgage Obligations | 11,586,522 | -- | 11,516,291 | 70,231 |
| Commercial Mortgage Securities | 842,661,010 | -- | 842,656,143 | 4,867 |
| Bank Loan Obligations | 42,374,264 | -- | 31,929,834 | 10,444,430 |
| Preferred Securities | 304,810 | -- | -- | 304,810 |
| Money Market Funds | 82,699,115 | 82,699,115 | -- | -- |
| Total Investments in Securities: | $1,103,324,328 | $111,196,012 | $981,302,583 | $10,825,733 |
The following is a reconciliation of Investments in Securities and Derivative Instruments for which Level 3 inputs were used in determining value:
| Investments in Securities: | |
| Beginning Balance | $15,049,903 |
| Net Realized Gain (Loss) on Investment Securities | 3,624 |
| Net Unrealized Gain (Loss) on Investment Securities | (177,494) |
| Cost of Purchases | 300,862 |
| Proceeds of Sales | (11,188) |
| Amortization/Accretion | (286,450) |
| Transfers into Level 3 | -- |
| Transfers out of Level 3 | (4,053,524) |
| Ending Balance | $10,825,733 |
| The change in unrealized gain (loss) for the period attributable to Level 3 securities held at May 31, 2018 | $(176,823) |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
| May 31, 2018 | ||
| Assets | ||
| Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $1,036,030,797) | $1,020,625,213 | |
| Fidelity Central Funds (cost $82,700,271) | 82,699,115 | |
| Total Investment in Securities (cost $1,118,731,068) | $1,103,324,328 | |
| Cash | 11,435 | |
| Receivable for investments sold | 3,349,565 | |
| Dividends receivable | 438,511 | |
| Interest receivable | 4,622,664 | |
| Distributions receivable from Fidelity Central Funds | 102,446 | |
| Prepaid expenses | 290 | |
| Other receivables | 1,477 | |
| Total assets | 1,111,850,716 | |
| Liabilities | ||
| Payable for investments purchased | $4,032,241 | |
| Distributions payable | 268,065 | |
| Accrued management fee | 647,674 | |
| Other affiliated payables | 51,943 | |
| Other payables and accrued expenses | 155,346 | |
| Total liabilities | 5,155,269 | |
| Net Assets | $1,106,695,447 | |
| Net Assets consist of: | ||
| Paid in capital | $1,147,877,195 | |
| Distributions in excess of net investment income | (878,897) | |
| Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (24,896,111) | |
| Net unrealized appreciation (depreciation) on investments | (15,406,740) | |
| Net Assets, for 131,151,456 shares outstanding | $1,106,695,447 | |
| Net Asset Value, offering price and redemption price per share ($1,106,695,447 ÷ 131,151,456 shares) | $8.44 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
| Six months ended May 31, 2018 | ||
| Investment Income | ||
| Dividends | $916,957 | |
| Interest | 29,069,915 | |
| Income from Fidelity Central Funds | 510,336 | |
| Total income | 30,497,208 | |
| Expenses | ||
| Management fee | $3,880,417 | |
| Transfer agent fees | 82,467 | |
| Accounting fees and expenses | 228,822 | |
| Custodian fees and expenses | 13,222 | |
| Independent trustees' fees and expenses | 2,474 | |
| Audit | 174,829 | |
| Legal | 1,271 | |
| Miscellaneous | 4,427 | |
| Total expenses before reductions | 4,387,929 | |
| Expense reductions | (5,990) | |
| Total expenses after reductions | 4,381,939 | |
| Net investment income (loss) | 26,115,269 | |
| Realized and Unrealized Gain (Loss) | ||
| Net realized gain (loss) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (5,738,094) | |
| Foreign currency transactions | 42,994 | |
| Total net realized gain (loss) | (5,695,100) | |
| Change in net unrealized appreciation (depreciation) on: | ||
| Investment securities: | ||
| Unaffiliated issuers | (10,999,790) | |
| Assets and liabilities in foreign currencies | 108 | |
| Total change in net unrealized appreciation (depreciation) | (10,999,682) | |
| Net gain (loss) | (16,694,782) | |
| Net increase (decrease) in net assets resulting from operations | $9,420,487 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
| Six months ended May 31, 2018 | Year ended November 30, 2017 | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net investment income (loss) | $26,115,269 | $54,247,515 |
| Net realized gain (loss) | (5,695,100) | (531,104) |
| Change in net unrealized appreciation (depreciation) | (10,999,682) | 7,597,758 |
| Net increase (decrease) in net assets resulting from operations | 9,420,487 | 61,314,169 |
| Distributions to shareholders from net investment income | (29,739,845) | (50,959,518) |
| Share transactions | ||
| Proceeds from sales of shares | 122,192,500 | 78,799,000 |
| Reinvestment of distributions | 27,754,218 | 48,189,200 |
| Cost of shares redeemed | (126,037,571) | (67,468,713) |
| Net increase (decrease) in net assets resulting from share transactions | 23,909,147 | 59,519,487 |
| Total increase (decrease) in net assets | 3,589,789 | 69,874,138 |
| Net Assets | ||
| Beginning of period | 1,103,105,658 | 1,033,231,520 |
| End of period | $1,106,695,447 | $1,103,105,658 |
| Other Information | ||
| Undistributed net investment income end of period | $– | $2,745,679 |
| Distributions in excess of net investment income end of period | $(878,897) | $– |
| Shares | ||
| Sold | 14,375,736 | 9,157,768 |
| Issued in reinvestment of distributions | 3,269,549 | 5,595,916 |
| Redeemed | (14,802,352) | (7,835,017) |
| Net increase (decrease) | 2,842,933 | 6,918,667 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights
Fidelity Real Estate High Income Fund
| Six months ended May 31, | Years endedNovember 30, | |||||
| 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
| Selected Per–Share Data | ||||||
| Net asset value, beginning of period | $8.60 | $8.51 | $8.80 | $8.99 | $8.77 | $8.72 |
| Income from Investment Operations | ||||||
| Net investment income (loss)A | .201 | .433 | .451 | .539 | .560 | .542 |
| Net realized and unrealized gain (loss) | (.130) | .064 | (.343) | (.190) | .205 | .048 |
| Total from investment operations | .071 | .497 | .108 | .349 | .765 | .590 |
| Distributions from net investment income | (.231) | (.407) | (.398) | (.462) | (.495) | (.505) |
| Distributions from net realized gain | – | – | – | (.050) | (.050) | (.035) |
| Tax return of capital | – | – | – | (.027) | – | – |
| Total distributions | (.231) | (.407) | (.398) | (.539) | (.545) | (.540) |
| Net asset value, end of period | $8.44 | $8.60 | $8.51 | $8.80 | $8.99 | $8.77 |
| Total ReturnB,C | .84% | 5.94% | 1.26% | 3.96% | 8.98% | 6.96% |
| Ratios to Average Net AssetsD,E | ||||||
| Expenses before reductions | .80%F | .80% | .80% | .80% | .81% | .83% |
| Expenses net of fee waivers, if any | .80%F | .80% | .80% | .80% | .81% | .83% |
| Expenses net of all reductions | .80%F | .80% | .80% | .80% | .81% | .83% |
| Net investment income (loss) | 4.76%F | 5.03% | 5.23% | 6.05% | 6.31% | 6.18% |
| Supplemental Data | ||||||
| Net assets, end of period (000 omitted) | $1,106,695 | $1,103,106 | $1,033,232 | $1,052,173 | $953,814 | $877,459 |
| Portfolio turnover rateG | 17%F | 18% | 19% | 20% | 20% | 22% |
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 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.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the Fund 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 Fund.
F Annualized
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended May 31, 2018
1. Organization.
Fidelity Real Estate High Income Fund (the Fund) is a fund of Fidelity Advisor Series I (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
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.
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%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The 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:
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 loan obligations and preferred securities 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during 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 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.
The Fund attempts to obtain prices from one or more third party pricing vendors or brokers. For certain securities, independent prices may be unavailable, unreliable or limited to a single third party pricing vendor or broker, and the values reflected may differ from the amount that would be realized if the securities were sold.
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 May 31, 2018, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. 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. For certain lower credit quality securitized assets that have contractual cash flows (for example, asset backed securities, collateralized mortgage obligations and commercial mortgage-backed securities), changes in estimated cash flows are periodically evaluated and the estimated yield is adjusted on a prospective basis, resulting in increases or decreases to Interest Income 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.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. 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 foreign currency transactions, passive foreign investment companies (PFIC), market discount, certain conversion ratio adjustments, capital loss carryforwards and expiring capital loss carryforwards.
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 | $34,989,763 |
| Gross unrealized depreciation | (50,033,764) |
| Net unrealized appreciation (depreciation) | $(15,044,001) |
| Tax cost | $1,118,368,329 |
Capital loss carryforwards are only available to offset future capital gains of the Fund to the extent provided by regulations and may be limited. Under the Regulated Investment Company Modernization Act of 2010 (the Act), the Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period and such capital losses are required to be used prior to any losses that expire. The capital loss carryforward information presented below, including any applicable limitation, is estimated as of prior fiscal period end and is subject to adjustment.
| Fiscal year of expiration | |
| 2019 | $(15,362,164) |
| Total with expiration | $(15,362,164) |
| No expiration | |
| Short-term | $(2,165,715) |
| Long-term | (2,317,136) |
| Total no expiration | $(4,482,851) |
| Total capital loss carryforward | $(19,845,015) |
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
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. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $90,277,888 and $87,298,291, respectively.
5. 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 .60% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by 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 .71% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .02% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The fee is based on the level of average net assets for each month. For the period, the fees were equivalent to an annualized rate of .04%.
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.
6. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1,567 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. 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 $1,931 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $835.
In addition, during the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $3,224.
8. 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.
At the end of the period, two otherwise unaffiliated shareholders were the owners of record of 24% of the total outstanding shares of the Fund.
9. Credit and Liquidity Risk.
The Fund invests a significant portion of its assets in below investment grade securities with contractual cash flows, such as asset backed securities, collateralized mortgage obligations and commercial mortgage backed securities. As these securities have a higher degree of sensitivity to changes in economic conditions, including real estate values, the risk of default is higher, and the liquidity and/or value of such securities may be adversely affected.
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Fidelity Advisor Series I and Shareholders of Fidelity Real Estate High Income Fund:
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Fidelity Real Estate High Income Fund (one of the funds constituting Fidelity Advisor Series I, referred to hereafter as the "Fund") as of May 31, 2018, the related statement of operations for the six months ended May 31, 2018, the statement of changes in net assets for the six months ended May 31, 2018 and the year ended November 30, 2017, including the related notes, and the financial highlights for the six months ended May 31, 2018 and each of the five years in the period ended November 30, 2017 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of May 31, 2018, the results of its operations for the six months then ended, the changes in its net assets for the six months ended May 31, 2018 and the year ended November 30, 2017 and the financial highlights for the six months ended May 31, 2018 and each of the five years in the period ended November 30, 2017 in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of May 31, 2018 by correspondence with the custodian, agent banks, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
July 20, 2018
We have served as the auditor of one or more investment companies in the Fidelity group of funds since 1932.
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (December 1, 2017 to May 31, 2018).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. 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 provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. 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.
| Annualized Expense Ratio-A | Beginning Account Value December 1, 2017 | Ending Account Value May 31, 2018 | Expenses Paid During Period-B December 1, 2017 to May 31, 2018 | |
| Actual | .80% | $1,000.00 | $1,008.40 | $4.01 |
| Hypothetical-C | $1,000.00 | $1,020.94 | $4.03 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period).
C 5% return per year before expenses
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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 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.
Disclosure of Securities Lending Activities for Closed-End Management
Investment Companies
Not applicable.
Item 13.
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: | July 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: | July 24, 2018 |
By: | /s/Howard J. Galligan III |
Howard J. Galligan III | |
Chief Financial Officer | |
Date: | July 24, 2018 |