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 811-4085
Fidelity Income Fund
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | July 31 |
Date of reporting period: | July 31, 2006 |
This report on Form N-CSR relates solely to the Registrant's Fidelity Total Bond Fund series (the "Fund").
Item 1. Reports to Stockholders
Fidelity
Total Bond
Fund
Annual Report
July 31, 2006
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results | ||
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
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 quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Although many securities markets made gains in early 2006, inflation concerns led to mixed results through the year's mid-point. Financial markets are always unpredictable. There are, however, a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of Total Bond's dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended July 31, 2006 | Past 1 | Life of |
Total Bond | 2.11% | 4.88% |
A From October 15, 2002.
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Total Bond on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® Aggregate Bond Index and the Lehman Brothers U.S. Universal Index performed over the same period.
Going forward, the fund's primary benchmark will be the Lehman Brothers Aggregate Bond Index rather than the Lehman Brothers U.S. Universal Index because the Lehman Brothers Aggregate Bond Index is more widely recognized and used by similar funds. The fund will retain the Lehman Brothers U.S. Universal Index as its supplemental benchmark for performance comparisons and as a guide in structuring the fund's investments.
Annual Report
Management's Discussion of Fund Performance
Comments from Ford O'Neil, Portfolio Manager of Fidelity Total Bond Fund
The domestic investment-grade bond market struggled during the year ending July 31, 2006, finishing with a 1.46% return as measured by the Lehman Brothers® Aggregate Bond Index. The negative momentum was fueled by rising levels of core inflation and Federal Reserve Board interest rate hikes aimed to keep inflation at bay. In all, the Fed bumped up rates eight times during the period, hoisting the federal funds target rate to 5.25%, its highest level in five years. On the plus side, bonds scored well in the final quarter of the period, advancing 1.46%. Investors turned to high-quality debt in the last three months for a number of reasons: Equity performance stumbled; gross domestic product growth in the second quarter of 2006 gave strong evidence of a slowing economy; and the Fed supported that notion by announcing the possibility of a pause in its rate hike campaign.
Total Bond gained 2.11% during the past year, outpacing the Lehman Brothers Aggregate Bond Index - which became the fund's primary benchmark on June 1, 2006 - and the Lehman Brothers U.S. Universal Index, which rose 1.84%. Benefiting performance versus the Aggregate Bond index was security selection in the investment-grade corporate sector. Sector selection also helped, with allocations to asset-backed securities and collateralized mortgage obligations working in our favor. Some holdings in these securitized products resulted from our advantageous allocation to Fidelity® Ultra-Short Central Fund, a diversified internal pool of short-term assets designed to outperform cash-like instruments with similar risk characteristics. Investments in emerging-markets and high-yield debt - including a small stake in Fidelity Floating Rate Central Investment Portfolio - contributed as well. We've recently increased the fund's limit on high-yield and emerging-markets debt to allow for more investment flexibility, while keeping at least 80% of the fund in investment-grade debt. Detracting from performance was our lack of exposure to mortgage pass-through securities and government agency bonds, which performed well.
Note to shareholders: Effective June 1, 2006, the fund's primary benchmark changed from the Lehman Brothers U.S. Universal Index to the Lehman Brothers Aggregate Bond Index, which is more widely recognized and used by similar funds. The fund will retain the Universal index as its supplemental benchmark for performance comparisons and as a guide in structuring the fund's investments.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, 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 (February 1, 2006 to July 31, 2006).
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 affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated 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 affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated 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.
Annual Report
Shareholder Expense Example - continued
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,009.20 | $ 3.99 |
HypotheticalA | $ 1,000.00 | $ 1,020.83 | $ 4.01 |
Class T | |||
Actual | $ 1,000.00 | $ 1,008.60 | $ 4.48 |
HypotheticalA | $ 1,000.00 | $ 1,020.33 | $ 4.51 |
Class B | |||
Actual | $ 1,000.00 | $ 1,005.50 | $ 7.71 |
HypotheticalA | $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,005.10 | $ 8.10 |
HypotheticalA | $ 1,000.00 | $ 1,016.71 | $ 8.15 |
Total Bond | |||
Actual | $ 1,000.00 | $ 1,010.90 | $ 2.24 |
HypotheticalA | $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,010.40 | $ 2.89 |
HypotheticalA | $ 1,000.00 | $ 1,021.92 | $ 2.91 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); 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 affiliated central funds in which the fund invests are not included in the fund's annualized expense ratio.
Annualized | |
Class A | .80% |
Class T | .90% |
Class B | 1.55% |
Class C | 1.63% |
Total Bond | .45% |
Institutional Class | .58% |
Annual Report
Investment Changes
Quality Diversification (% of fund's net assets) | |||||||
As of July 31, 2006 | As of January 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 11.7% | ![]() | AAA 6.4% | ||||
![]() | AA 3.4% | ![]() | AA 2.6% | ||||
![]() | A 7.8% | ![]() | A 4.6% | ||||
![]() | BBB 15.7% | ![]() | BBB 12.2% | ||||
![]() | BB and Below 8.7% | ![]() | BB and Below 10.1% | ||||
![]() | Not Rated 1.4% | ![]() | Not Rated 1.1% | ||||
![]() | Short-Term Investments | ![]() | Short-Term Investments |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. |
Average Years to Maturity as of July 31, 2006 | ||
6 months ago | ||
Years | 6.0 | 5.8 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of July 31, 2006 | ||
6 months ago | ||
Years | 4.5 | 4.2 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of July 31, 2006* | As of January 31, 2006** | ||||||
![]() | Corporate Bonds 24.6% | ![]() | Corporate Bonds 21.5% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other | ![]() | CMOs and Other | ||||
![]() | Other Investments 4.8% | ![]() | Other Investments 3.6% | ||||
![]() | Short-Term Investments | ![]() | Short-Term Investments | ||||
* Foreign investments | 9.1% | ** Foreign investments | 6.2% | ||||
* Futures and Swaps | 14.9% | ** Futures and Swaps | 11.3% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
For an unaudited list of holdings for each fixed-income central fund, visit fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments July 31, 2006
Showing Percentage of Net Assets
Nonconvertible Bonds - 22.9% | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - 2.9% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | $ 100,000 | $ 91,000 | ||
Goodyear Tire & Rubber Co. 9% 7/1/15 | 500,000 | 478,750 | ||
Tenneco, Inc. 8.625% 11/15/14 | 555,000 | 549,450 | ||
TRW Automotive Acquisition Corp. 9.375% 2/15/13 | 87,000 | 92,655 | ||
Visteon Corp. 7% 3/10/14 | 690,000 | 562,350 | ||
1,774,205 | ||||
Automobiles - 0.3% | ||||
Ford Motor Co.: | ||||
6.625% 10/1/28 | 1,635,000 | 1,177,200 | ||
7.45% 7/16/31 | 5,000,000 | 3,675,000 | ||
General Motors Corp.: | ||||
6.375% 5/1/08 | 800,000 | 760,000 | ||
8.25% 7/15/23 | 800,000 | 660,000 | ||
6,272,200 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group, Inc. 11.5% 10/15/15 (d) | 40,000 | 40,100 | ||
Carriage Services, Inc. 7.875% 1/15/15 | 650,000 | 630,500 | ||
Service Corp. International (SCI): | ||||
6.5% 3/15/08 | 75,000 | 74,625 | ||
6.75% 4/1/16 | 1,205,000 | 1,117,638 | ||
1,862,863 | ||||
Hotels, Restaurants & Leisure - 0.2% | ||||
Carrols Corp. 9% 1/15/13 | 105,000 | 104,738 | ||
Domino's, Inc. 8.25% 7/1/11 | 55,000 | 56,650 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 70,000 | 58,713 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 50,000 | 46,750 | ||
8% 11/15/13 | 225,000 | 228,375 | ||
Herbst Gaming, Inc.: | ||||
7% 11/15/14 | 50,000 | 48,250 | ||
8.125% 6/1/12 | 70,000 | 71,225 | ||
Host Marriott LP: | ||||
6.75% 6/1/16 (d) | 100,000 | 96,000 | ||
7.125% 11/1/13 | 35,000 | 35,044 | ||
Kerzner International Ltd. 6.75% 10/1/15 | 140,000 | 147,350 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 435,000 | 402,375 | ||
MGM MIRAGE: | ||||
6% 10/1/09 | 50,000 | 48,500 | ||
8.375% 2/1/11 | 40,000 | 41,200 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Mohegan Tribal Gaming Authority 7.125% 8/15/14 | $ 40,000 | $ 39,050 | ||
MTR Gaming Group, Inc. 9.75% 4/1/10 | 385,000 | 406,175 | ||
Penn National Gaming, Inc. 6.875% 12/1/11 | 80,000 | 78,900 | ||
Pinnacle Entertainment, Inc. 8.25% 3/15/12 | 140,000 | 140,000 | ||
Resorts International Hotel & Casino, Inc. 11.5% 3/15/09 | 225,000 | 241,875 | ||
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (d) | 30,000 | 30,150 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 70,000 | 68,250 | ||
7.25% 5/1/12 | 50,000 | 48,750 | ||
Six Flags, Inc.: | ||||
9.625% 6/1/14 | 180,000 | 163,350 | ||
9.75% 4/15/13 | 55,000 | 50,463 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 100,000 | 96,875 | ||
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 5/1/12 | 250,000 | 264,375 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 420,000 | 394,275 | ||
6.5% 2/1/14 | 40,000 | 36,950 | ||
6.625% 3/15/18 | 50,000 | 44,500 | ||
6.875% 3/1/16 | 450,000 | 415,688 | ||
Town Sports International, Inc. 9.625% 4/15/11 | 106,000 | 109,975 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 60,000 | 57,300 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (b) | 40,000 | 27,200 | ||
9% 1/15/12 | 30,000 | 30,600 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (d) | 42,000 | 44,415 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 160,000 | 164,600 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 160,000 | 150,600 | ||
4,489,486 | ||||
Household Durables - 0.1% | ||||
Fortune Brands, Inc. 5.125% 1/15/11 | 650,000 | 629,527 | ||
Goodman Global Holdings, Inc. 7.875% 12/15/12 | 180,000 | 167,400 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6.25% 1/15/15 | 50,000 | 43,500 | ||
6.5% 1/15/14 | 100,000 | 89,500 | ||
8.875% 4/1/12 | 10,000 | 9,725 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
KB Home 7.25% 6/15/18 | $ 100,000 | $ 93,390 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 50,000 | 49,875 | ||
Technical Olympic USA, Inc. 8.25% 4/1/11 (d) | 200,000 | 183,000 | ||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (d) | 395,000 | 402,900 | ||
WCI Communities, Inc. 9.125% 5/1/12 | 35,000 | 31,413 | ||
1,700,230 | ||||
Media - 2.0% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 537,639 | ||
Cablevision Systems Corp.: | ||||
8% 4/15/12 | 530,000 | 524,038 | ||
9.62% 4/1/09 (f) | 340,000 | 360,400 | ||
CanWest Media, Inc. 8% 9/15/12 | 30,000 | 28,800 | ||
Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp.: | ||||
10.25% 9/15/10 | 615,000 | 621,150 | ||
10.25% 9/15/10 | 100,000 | 101,000 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (d) | 370,000 | 372,775 | ||
Cinemark, Inc. 0% 3/15/14 (b) | 100,000 | 78,000 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 530,000 | 480,186 | ||
5.5% 3/15/11 | 625,000 | 619,272 | ||
5.85% 1/15/10 | 500,000 | 501,883 | ||
6.45% 3/15/37 | 7,845,000 | 7,444,395 | ||
Cox Communications, Inc.: | ||||
4.625% 1/15/10 | 6,210,000 | 5,966,624 | ||
4.625% 6/1/13 | 1,060,000 | 962,243 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 (d)(f) | 460,000 | 445,050 | ||
7.875% 2/15/18 | 400,000 | 405,000 | ||
8.125% 7/15/09 | 365,000 | 373,669 | ||
Dex Media, Inc.: | ||||
0% 11/15/13 (b) | 95,000 | 78,375 | ||
0% 11/15/13 (b) | 5,000 | 4,125 | ||
8% 11/15/13 | 260,000 | 258,700 | ||
EchoStar DBS Corp.: | ||||
6.375% 10/1/11 | 450,000 | 439,313 | ||
6.625% 10/1/14 | 400,000 | 386,000 | ||
7.125% 2/1/16 (d) | 750,000 | 736,875 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Globo Communicacoes e Partcipacoes LTDA 9.375% 12/31/49 | $ 200,000 | $ 195,000 | ||
Globo Comunicacoes e Participacoes SA (Reg. S) 7.375% 10/20/11 (c) | 1,116,302 | 1,117,697 | ||
Granite Broadcasting Corp. 9.75% 12/1/10 | 390,000 | 356,850 | ||
Houghton Mifflin Co.: | ||||
0% 10/15/13 (b) | 450,000 | 372,375 | ||
8.25% 2/1/11 | 500,000 | 503,125 | ||
9.875% 2/1/13 | 445,000 | 457,238 | ||
iesy Repository GmbH 10.375% 2/15/15 (d) | 80,000 | 72,800 | ||
Insight Midwest LP/Insight Capital, Inc. 9.75% 10/1/09 | 100,000 | 102,000 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 570,000 | 524,400 | ||
5.7% 5/15/13 | 450,000 | 414,000 | ||
8.5% 7/15/29 | 130,000 | 129,341 | ||
LodgeNet Entertainment Corp. 9.5% 6/15/13 | 440,000 | 468,050 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 181,443 | ||
News America, Inc.: | ||||
6.2% 12/15/34 | 5,330,000 | 4,879,977 | ||
6.4% 12/15/35 | 500,000 | 470,073 | ||
Nexstar Broadcasting, Inc. 7% 1/15/14 | 700,000 | 616,000 | ||
PanAmSat Corp.: | ||||
6.375% 1/15/08 | 200,000 | 197,000 | ||
9% 8/15/14 | 84,000 | 84,840 | ||
Paxson Communications Corp.: | ||||
8.7569% 1/15/12 (d)(f) | 700,000 | 707,000 | ||
11.7569% 1/15/13 (d)(f) | 800,000 | 800,000 | ||
Quebecor Media, Inc. 7.75% 3/15/16 | 450,000 | 438,750 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (d) | 280,000 | 294,000 | ||
10.375% 9/1/14 (d) | 30,000 | 33,150 | ||
Rogers Cable, Inc. 6.75% 3/15/15 | 50,000 | 48,375 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 600,000 | 579,000 | ||
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 1,000,000 | 1,128,449 | ||
Time Warner, Inc.: | ||||
6.625% 5/15/29 | 8,830,000 | 8,522,460 | ||
9.125% 1/15/13 | 40,000 | 45,755 | ||
Viacom, Inc. 5.75% 4/30/11 (d) | 995,000 | 976,458 | ||
Visant Holding Corp. 8.75% 12/1/13 (d) | 450,000 | 433,125 | ||
46,874,243 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. 9% 10/15/15 | $ 100,000 | $ 105,500 | ||
The May Department Stores Co. 6.7% 7/15/34 | 620,000 | 615,325 | ||
720,825 | ||||
Specialty Retail - 0.1% | ||||
Asbury Automotive Group, Inc.: | ||||
8% 3/15/14 | 60,000 | 58,575 | ||
9% 6/15/12 | 265,000 | 265,663 | ||
AutoNation, Inc. 7% 4/15/14 (d) | 50,000 | 49,000 | ||
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12 | 420,000 | 424,200 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 90,000 | 81,450 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 665,000 | 661,675 | ||
United Auto Group, Inc. 9.625% 3/15/12 | 50,000 | 52,500 | ||
1,593,063 | ||||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Jostens IH Corp. 7.625% 10/1/12 | 190,000 | 183,350 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 100,000 | 97,500 | ||
9.75% 1/15/15 | 180,000 | 184,275 | ||
10.2581% 4/1/12 (f) | 320,000 | 327,200 | ||
12.25% 12/15/12 | 315,000 | 351,619 | ||
1,143,944 | ||||
TOTAL CONSUMER DISCRETIONARY | 66,431,059 | |||
CONSUMER STAPLES - 0.1% | ||||
Beverages - 0.0% | ||||
FBG Finance Ltd. 5.125% 6/15/15 (d) | 425,000 | 394,737 | ||
Food & Staples Retailing - 0.0% | ||||
Jean Coutu Group, Inc.: | ||||
7.625% 8/1/12 | 30,000 | 29,138 | ||
8.5% 8/1/14 | 60,000 | 55,875 | ||
Southern States Cooperative, Inc. 10.5% 11/1/10 (d) | 365,000 | 382,338 | ||
Stater Brothers Holdings, Inc. 8.125% 6/15/12 | 330,000 | 328,350 | ||
795,701 | ||||
Food Products - 0.1% | ||||
B&G Foods, Inc. 8% 10/1/11 | 40,000 | 40,300 | ||
H.J. Heinz Co. 6.428% 12/1/08 (d)(f) | 450,000 | 457,596 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 370,000 | 382,950 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
NPI Merger Corp. 9.23% 10/15/13 (d)(f) | $ 20,000 | $ 20,500 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 40,000 | 40,400 | ||
Swift & Co.: | ||||
10.125% 10/1/09 | 350,000 | 360,500 | ||
12.5% 1/1/10 | 80,000 | 82,400 | ||
1,384,646 | ||||
Personal Products - 0.0% | ||||
Avon Products, Inc. 5.125% 1/15/11 | 120,000 | 117,548 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 100,000 | 84,000 | ||
201,548 | ||||
Tobacco - 0.0% | ||||
Altria Group, Inc. 7% 11/4/13 | 220,000 | 236,280 | ||
TOTAL CONSUMER STAPLES | 3,012,912 | |||
ENERGY - 1.9% | ||||
Energy Equipment & Services - 0.1% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 340,000 | 332,910 | ||
Diamond Offshore Drilling, Inc. 4.875% 7/1/15 | 275,000 | 254,049 | ||
Dresser-Rand Group, Inc. 7.375% 11/1/14 | 44,000 | 42,240 | ||
Hanover Compressor Co.: | ||||
7.5% 4/15/13 | 480,000 | 476,400 | ||
8.625% 12/15/10 | 20,000 | 20,750 | ||
Hanover Equipment Trust 8.75% 9/1/11 | 50,000 | 51,250 | ||
Noble Drilling Corp. 5.875% 6/1/13 | 460,000 | 461,032 | ||
Petronas Capital Ltd. 7% 5/22/12 (d) | 5,000 | 5,302 | ||
Universal Compression, Inc. 7.25% 5/15/10 | 290,000 | 292,175 | ||
1,936,108 | ||||
Oil, Gas & Consumable Fuels - 1.8% | ||||
Amerada Hess Corp. 6.65% 8/15/11 | 110,000 | 114,079 | ||
ANR Pipeline, Inc. 9.625% 11/1/21 | 350,000 | 416,500 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 350,000 | 334,250 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Partners Finance Corp. 8.125% 12/15/15 (d) | 290,000 | 291,450 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (d) | 490,000 | 476,282 | ||
Chaparral Energy, Inc. 8.5% 12/1/15 (d) | 530,000 | 528,675 | ||
Chesapeake Energy Corp.: | ||||
6.875% 1/15/16 | 350,000 | 336,000 | ||
7.625% 7/15/13 | 200,000 | 203,000 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7.75% 1/15/15 | $ 430,000 | $ 432,688 | ||
Colorado Interstate Gas Co.: | ||||
5.95% 3/15/15 | 510,000 | 471,750 | ||
6.8% 11/15/15 | 80,000 | 77,600 | ||
Drummond Co., Inc. 7.375% 2/15/16 (d) | 490,000 | 459,375 | ||
Duke Capital LLC 6.75% 2/15/32 | 1,400,000 | 1,409,237 | ||
El Paso Corp.: | ||||
6.375% 2/1/09 (d) | 455,000 | 448,020 | ||
6.5% 6/1/08 (d) | 400,000 | 397,476 | ||
6.7% 2/15/27 (d) | 65,000 | 64,350 | ||
7.75% 6/15/10 (d) | 850,000 | 859,869 | ||
7.875% 6/15/12 | 1,500,000 | 1,530,000 | ||
El Paso Energy Corp.: | ||||
7.375% 12/15/12 | 5,000 | 4,981 | ||
7.75% 1/15/32 | 15,000 | 14,845 | ||
8.05% 10/15/30 | 95,000 | 96,188 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 390,000 | 393,900 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (d) | 300,000 | 312,760 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 240,000 | 236,904 | ||
Foundation Pennsylvania Coal Co. 7.25% 8/1/14 | 50,000 | 50,625 | ||
Giant Industries, Inc. 8% 5/15/14 | 130,000 | 129,513 | ||
Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 300,000 | 262,366 | ||
Kinder Morgan Finance Co. ULC 5.35% 1/5/11 | 4,000,000 | 3,738,448 | ||
Massey Energy Co. 6.625% 11/15/10 | 40,000 | 40,000 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (d) | 240,000 | 219,192 | ||
Newfield Exploration Co. 6.625% 9/1/14 | 90,000 | 87,075 | ||
Nexen, Inc. 5.875% 3/10/35 | 600,000 | 542,204 | ||
Northwest Pipeline Corp. 7% 6/15/16 (d) | 300,000 | 299,625 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 55,000 | 52,113 | ||
8.25% 3/15/13 | 390,000 | 402,675 | ||
Pan American Energy LLC 7.125% 10/27/09 (d) | 120,000 | 120,000 | ||
Peabody Energy Corp. 6.875% 3/15/13 | 20,000 | 19,425 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 12/15/15 (d) | 7,160,000 | 6,821,210 | ||
6.125% 8/15/08 | 250,000 | 250,500 | ||
7.375% 12/15/14 | 12,960,000 | 13,802,763 | ||
7.75% 9/28/49 | 1,468,000 | 1,471,670 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Pemex Project Funding Master Trust: - continued | ||||
8.625% 2/1/22 | $ 300,000 | $ 349,500 | ||
Petrobras Energia SA 9.375% 10/30/13 | 55,000 | 59,675 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 (d) | 1,000,000 | 1,017,500 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (d) | 402,350 | 401,847 | ||
8.22% 4/1/17 (d) | 350,000 | 343,000 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 390,000 | 366,600 | ||
7.375% 7/15/13 | 40,000 | 39,800 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 330,000 | 315,150 | ||
Southern Star Central Corp. 6.75% 3/1/16 (d) | 60,000 | 58,211 | ||
Talisman Energy, Inc. 5.85% 2/1/37 | 350,000 | 316,561 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (d) | 440,000 | 429,000 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 30,000 | 31,350 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 (d) | 100,000 | 96,625 | ||
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (d) | 215,000 | 213,925 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 255,000 | 256,913 | ||
7.625% 7/15/19 | 30,000 | 30,188 | ||
7.875% 9/1/21 | 35,000 | 35,569 | ||
8.125% 3/15/12 | 280,000 | 290,500 | ||
8.75% 3/15/32 | 165,000 | 177,375 | ||
Williams Partners LP/Williams Partners Finance Corp. 7.5% 6/15/11 (d) | 100,000 | 100,750 | ||
YPF SA: | ||||
10% 11/2/28 | 125,000 | 145,000 | ||
yankee 9.125% 2/24/09 | 275,000 | 289,438 | ||
43,584,060 | ||||
TOTAL ENERGY | 45,520,168 | |||
FINANCIALS - 8.3% | ||||
Capital Markets - 1.6% | ||||
Ameriprise Financial, Inc. 7.518% 6/1/66 (c) | 1,475,000 | 1,516,930 | ||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (f) | 100,000 | 96,704 | ||
4.25% 9/4/12 (f) | 205,000 | 202,437 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
E*TRADE Financial Corp.: | ||||
7.375% 9/15/13 | $ 440,000 | $ 441,100 | ||
8% 6/15/11 | 815,000 | 837,413 | ||
Franklin Resources, Inc. 3.7% 4/15/08 | 1,135,000 | 1,101,177 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 7,020,000 | 6,786,725 | ||
5.7% 9/1/12 | 1,100,000 | 1,095,237 | ||
6.45% 5/1/36 | 8,375,000 | 8,224,191 | ||
6.6% 1/15/12 | 500,000 | 519,170 | ||
Lazard Group LLC 7.125% 5/15/15 | 685,000 | 698,989 | ||
Legg Mason, Inc. 6.75% 7/2/08 | 30,000 | 30,675 | ||
Lehman Brothers Holdings E-Capital Trust I 5.9538% 8/19/65 (f) | 7,200,000 | 7,203,730 | ||
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 685,000 | 655,876 | ||
Morgan Stanley 6.6% 4/1/12 | 8,100,000 | 8,468,153 | ||
37,878,507 | ||||
Commercial Banks - 1.2% | ||||
Banco Nacional de Desenvolvimento Economico e Social 5.727% 6/16/08 (f) | 355,000 | 349,675 | ||
Corporacion Andina de Fomento 5.2% 5/21/13 | 35,000 | 33,586 | ||
Dresdner Bank AG 10.375% 8/17/09 (d) | 1,050,000 | 1,131,375 | ||
Export-Import Bank of Korea 5.125% 2/14/11 | 5,710,000 | 5,563,322 | ||
KeyCorp Capital Trust VII 5.7% 6/15/35 | 4,340,000 | 3,773,665 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 5,455,000 | 5,237,024 | ||
4.75% 7/20/09 | 320,000 | 313,025 | ||
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (d) | 100,000 | 98,000 | ||
Santander Issuances SA Unipersonal 5.805% 6/20/16 (d)(f) | 1,190,000 | 1,191,811 | ||
UBS Luxembourg SA 8% 2/11/10 | 550,000 | 556,600 | ||
Vimpel Communications 10% 6/16/09 (Issued by UBS Luxembourg SA for Vimpel Communications) | 600,000 | 641,280 | ||
Wachovia Bank NA 4.875% 2/1/15 | 10,400,000 | 9,735,346 | ||
Wachovia Corp. 4.875% 2/15/14 | 175,000 | 165,750 | ||
Western Financial Bank 9.625% 5/15/12 | 15,000 | 16,538 | ||
Woori Bank 6.125% 5/3/16 (d)(f) | 375,000 | 373,544 | ||
29,180,541 | ||||
Consumer Finance - 1.2% | ||||
American Express Co. 6.8% 9/1/66 (f) | 1,205,000 | 1,218,821 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Bank 6.5% 6/13/13 | $ 1,090,000 | $ 1,121,068 | ||
Ford Motor Credit Co.: | ||||
6.625% 6/16/08 | 840,000 | 809,179 | ||
7% 10/1/13 | 1,050,000 | 924,000 | ||
8.625% 11/1/10 | 900,000 | 865,185 | ||
9.9569% 4/15/12 (f) | 700,000 | 719,250 | ||
General Electric Capital Corp. 5.5% 4/28/11 | 8,930,000 | 8,933,563 | ||
General Motors Acceptance Corp.: | ||||
6.125% 2/1/07 | 600,000 | 596,620 | ||
6.75% 12/1/14 | 1,135,000 | 1,066,900 | ||
6.875% 9/15/11 | 950,000 | 916,750 | ||
8% 11/1/31 | 900,000 | 882,000 | ||
Household Finance Corp. 4.125% 11/16/09 | 9,340,000 | 8,952,941 | ||
MBNA America Bank NA 7.125% 11/15/12 | 500,000 | 538,881 | ||
Triad Acquisition Corp. 11.125% 5/1/13 | 55,000 | 52,250 | ||
27,597,408 | ||||
Diversified Financial Services - 1.2% | ||||
BAC Capital Trust XI 6.625% 5/23/36 | 9,775,000 | 9,959,816 | ||
Bank of America Corp. 7.4% 1/15/11 | 780,000 | 835,875 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 320,000 | 316,800 | ||
Citigroup, Inc. 5% 9/15/14 | 1,250,000 | 1,185,315 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (d) | 500,000 | 502,500 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 68,000 | 71,655 | ||
JPMorgan Chase & Co.: | ||||
4.875% 3/15/14 | 1,150,000 | 1,082,072 | ||
5.6% 6/1/11 | 1,163,000 | 1,165,366 | ||
5.75% 1/2/13 | 325,000 | 325,179 | ||
JPMorgan Chase Capital XVII 5.85% 8/1/35 | 7,405,000 | 6,691,536 | ||
Prime Property Funding, Inc. 5.125% 6/1/15 (d) | 510,000 | 472,782 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 500,000 | 470,816 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (d)(f) | 4,010,000 | 3,893,890 | ||
26,973,602 | ||||
Insurance - 1.1% | ||||
Aegon NV 4.75% 6/1/13 | 500,000 | 471,554 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 5,625,000 | 5,360,198 | ||
Lincoln National Corp. 7% 5/17/66 (f) | 12,770,000 | 12,967,718 | ||
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 1,089,000 | 1,125,124 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Symetra Financial Corp. 6.125% 4/1/16 (d) | $ 380,000 | $ 372,783 | ||
Travelers Property Casualty Corp. 5% 3/15/13 | 4,427,000 | 4,186,831 | ||
UnumProvident Corp. 7.625% 3/1/11 | 77,000 | 80,510 | ||
24,564,718 | ||||
Real Estate Investment Trusts - 0.7% | ||||
Archstone-Smith Operating Trust 5.25% 5/1/15 | 805,000 | 765,747 | ||
Arden Realty LP 5.25% 3/1/15 | 1,210,000 | 1,170,284 | ||
Boston Properties, Inc. 6.25% 1/15/13 | 245,000 | 249,950 | ||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | 4,505,000 | 4,449,052 | ||
5.75% 4/1/12 | 455,000 | 450,350 | ||
Camden Property Trust 5.875% 11/30/12 | 200,000 | 199,614 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 630,000 | 607,248 | ||
5.5% 10/1/15 | 1,100,000 | 1,042,380 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 40,000 | 38,331 | ||
5% 5/3/10 | 350,000 | 341,468 | ||
5.25% 4/15/11 | 205,000 | 200,328 | ||
5.375% 10/15/12 | 210,000 | 204,120 | ||
HRPT Properties Trust 5.75% 11/1/15 | 120,000 | 115,962 | ||
Mack-Cali Realty LP 5.05% 4/15/10 | 250,000 | 242,717 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 870,000 | 837,375 | ||
7% 1/15/16 | 400,000 | 381,000 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 613,000 | 619,130 | ||
8.625% 1/15/12 | 500,000 | 525,000 | ||
Simon Property Group LP: | ||||
5.1% 6/15/15 | 485,000 | 453,666 | ||
5.625% 8/15/14 | 1,000,000 | 979,277 | ||
The Rouse Co. 5.375% 11/26/13 | 100,000 | 91,404 | ||
Thornburg Mortgage, Inc. 8% 5/15/13 | 100,000 | 97,750 | ||
United Dominion Realty Trust 5.25% 1/15/15 | 80,000 | 75,315 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
6.5% 6/1/16 | 150,000 | 143,625 | ||
6.625% 10/15/14 | 865,000 | 843,375 | ||
Washington (REIT) 5.95% 6/15/11 | 1,665,000 | 1,674,659 | ||
16,799,127 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.4% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 415,000 | $ 405,663 | ||
8.125% 6/1/12 | 385,000 | 390,775 | ||
CB Richard Ellis Services, Inc. 9.75% 5/15/10 | 10,000 | 10,675 | ||
EOP Operating LP: | ||||
4.65% 10/1/10 | 2,170,000 | 2,074,974 | ||
4.75% 3/15/14 | 4,360,000 | 4,012,185 | ||
6.75% 2/15/12 | 145,000 | 150,951 | ||
6.8% 1/15/09 | 1,000,000 | 1,025,207 | ||
7% 7/15/11 | 500,000 | 523,239 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 50,000 | 51,000 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 585,000 | 589,860 | ||
9,234,529 | ||||
Thrifts & Mortgage Finance - 0.9% | ||||
Independence Community Bank Corp.: | ||||
3.75% 4/1/14 (f) | 545,000 | 518,720 | ||
4.9% 9/23/10 | 8,150,000 | 7,880,903 | ||
Residential Capital Corp.: | ||||
6.375% 6/30/10 | 45,000 | 44,848 | ||
6.875% 6/30/15 | 3,320,000 | 3,367,107 | ||
Washington Mutual, Inc.: | ||||
4.625% 4/1/14 | 750,000 | 682,744 | ||
5.7956% 9/17/12 (f) | 7,500,000 | 7,508,588 | ||
20,002,910 | ||||
TOTAL FINANCIALS | 192,231,342 | |||
HEALTH CARE - 0.3% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Boston Scientific Corp. 6.4% 6/15/16 | 1,180,000 | 1,163,774 | ||
Health Care Providers & Services - 0.3% | ||||
AmeriPath, Inc. 10.5% 4/1/13 | 80,000 | 84,200 | ||
AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15 | 310,000 | 320,850 | ||
Community Health Systems, Inc. 6.5% 12/15/12 | 80,000 | 74,600 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 | 10,000 | 10,375 | ||
9.5% 8/15/10 | 110,000 | 114,125 | ||
CRC Health Group, Inc. 10.75% 2/1/16 (d) | 350,000 | 355,250 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
DaVita, Inc.: | ||||
6.625% 3/15/13 | $ 290,000 | $ 275,500 | ||
7.25% 3/15/15 | 615,000 | 587,325 | ||
HCA, Inc. 6.5% 2/15/16 | 700,000 | 554,750 | ||
HealthSouth Corp. 10.75% 6/15/16 (d) | 300,000 | 286,500 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | 350,000 | 334,250 | ||
Multiplan, Inc. 10.375% 4/15/16 (d) | 100,000 | 100,500 | ||
ResCare, Inc. 7.75% 10/15/13 | 80,000 | 79,000 | ||
Rural/Metro Corp.: | ||||
0% 3/15/16 (b) | 150,000 | 108,750 | ||
9.875% 3/15/15 | 180,000 | 183,600 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 (d) | 100,000 | 105,000 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 100,000 | 103,500 | ||
Tenet Healthcare Corp.: | ||||
6.375% 12/1/11 | 375,000 | 318,750 | ||
6.5% 6/1/12 | 15,000 | 12,581 | ||
7.375% 2/1/13 | 675,000 | 587,250 | ||
9.25% 2/1/15 (d) | 1,000,000 | 927,500 | ||
U.S. Oncology, Inc.: | ||||
9% 8/15/12 | 280,000 | 288,400 | ||
10.75% 8/15/14 | 80,000 | 86,600 | ||
5,899,156 | ||||
Pharmaceuticals - 0.0% | ||||
CDRV Investors, Inc. 0% 1/1/15 (b) | 100,000 | 70,750 | ||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 50,000 | 48,000 | ||
Mylan Laboratories, Inc. 6.375% 8/15/15 | 60,000 | 57,900 | ||
VWR International, Inc.: | ||||
6.875% 4/15/12 | 30,000 | 28,575 | ||
8% 4/15/14 | 30,000 | 29,475 | ||
234,700 | ||||
TOTAL HEALTH CARE | 7,297,630 | |||
INDUSTRIALS - 2.9% | ||||
Aerospace & Defense - 0.1% | ||||
Alliant Techsystems, Inc. 6.75% 4/1/16 | 300,000 | 289,500 | ||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (d) | 525,000 | 505,233 | ||
BE Aerospace, Inc. 8.5% 10/1/10 | 100,000 | 106,250 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (d) | $ 340,000 | $ 297,500 | ||
6.75% 5/1/12 (d) | 105,000 | 97,125 | ||
K & F Acquisition, Inc. 7.75% 11/15/14 | 40,000 | 39,200 | ||
Orbital Sciences Corp. 9% 7/15/11 | 135,000 | 140,738 | ||
1,475,546 | ||||
Airlines - 1.5% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 50,000 | 48,875 | ||
6.855% 10/15/10 | 50,901 | 51,504 | ||
6.977% 11/23/22 | 9,891 | 9,446 | ||
6.978% 10/1/12 | 114,523 | 117,119 | ||
7.024% 4/15/11 | 365,000 | 368,650 | ||
7.377% 5/23/19 | 105,924 | 94,273 | ||
7.379% 11/23/17 | 35,701 | 31,060 | ||
7.8% 4/1/08 | 65,000 | 65,000 | ||
7.858% 4/1/13 | 9,525,000 | 10,001,250 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 478,938 | ||
Continental Airlines, Inc.: | ||||
8.4075% 6/2/13 (f) | 100,000 | 100,750 | ||
9.558% 9/1/19 | 277,121 | 286,821 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.648% 3/15/19 | 6,226,374 | 6,244,474 | ||
6.795% 2/2/20 | 446,954 | 424,606 | ||
7.566% 9/15/21 | 84,642 | 82,526 | ||
7.73% 9/15/12 | 21,945 | 21,067 | ||
8.499% 11/1/12 | 29,684 | 29,090 | ||
9.798% 4/1/21 | 388,349 | 405,824 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 1,450,000 | 384,250 | ||
8.3% 12/15/29 (a) | 1,000,000 | 268,800 | ||
9.5% 11/18/08 (a)(d) | 61,000 | 67,100 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.111% 3/18/13 | 6,680,000 | 6,663,300 | ||
7.299% 9/18/06 | 1,000 | 970 | ||
7.57% 11/18/10 | 805,000 | 808,019 | ||
7.779% 1/2/12 | 85,169 | 79,633 | ||
Northwest Airlines, Inc. 9.875% 3/15/07 (a) | 600,000 | 306,000 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.068% 7/2/17 | 7,800 | 6,708 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc. pass thru trust certificates: - continued | ||||
7.626% 4/1/10 | $ 25,044 | $ 22,540 | ||
U.S. Airways pass thru trust certificates 6.85% 7/30/19 | 282,054 | 285,580 | ||
United Airlines pass thru Certificates: | ||||
6.071% 9/1/14 | 291,458 | 291,823 | ||
6.201% 3/1/10 | 125,723 | 124,780 | ||
6.602% 9/1/13 | 376,272 | 376,803 | ||
7.032% 4/1/12 | 1,677,832 | 1,711,204 | ||
7.186% 10/1/12 | 4,154,540 | 4,185,699 | ||
34,444,482 | ||||
Building Products - 0.0% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 20,000 | 21,150 | ||
Nortek, Inc. 8.5% 9/1/14 | 100,000 | 93,750 | ||
114,900 | ||||
Commercial Services & Supplies - 0.1% | ||||
ACCO Brands Corp. 7.625% 8/15/15 | 130,000 | 120,250 | ||
Adesa, Inc. 7.625% 6/15/12 | 50,000 | 49,000 | ||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 445,000 | 429,425 | ||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 370,000 | 349,650 | ||
7.125% 5/15/16 (d) | 400,000 | 381,000 | ||
7.25% 3/15/15 | 800,000 | 772,000 | ||
7.875% 4/15/13 | 120,000 | 120,900 | ||
Cenveo Corp. 7.875% 12/1/13 | 463,000 | 450,268 | ||
FTI Consulting, Inc. 7.625% 6/15/13 | 105,000 | 105,263 | ||
IKON Office Solutions, Inc. 7.75% 9/15/15 | 230,000 | 225,975 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 150,000 | 150,750 | ||
3,154,481 | ||||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 20,000 | 19,450 | ||
Industrial Conglomerates - 0.4% | ||||
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (d) | 910,000 | 933,320 | ||
Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (d) | 7,200,000 | 7,116,055 | ||
Nell AF Sarl 8.375% 8/15/15 (d) | 75,000 | 72,938 | ||
8,122,313 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Accuride Corp. 8.5% 2/1/15 | $ 80,000 | $ 74,400 | ||
Case New Holland, Inc. 7.125% 3/1/14 | 350,000 | 341,250 | ||
Chart Industries, Inc. 9.125% 10/15/15 (d) | 40,000 | 41,300 | ||
Columbus McKinnon Corp. 8.875% 11/1/13 | 20,000 | 20,400 | ||
Commercial Vehicle Group, Inc. 8% 7/1/13 | 50,000 | 47,440 | ||
Dresser, Inc. 9.375% 4/15/11 | 15,000 | 15,300 | ||
Invensys PLC 9.875% 3/15/11 (d) | 164,000 | 176,300 | ||
Park-Ohio Industries, Inc. 8.375% 11/15/14 | 60,000 | 53,700 | ||
Terex Corp. 7.375% 1/15/14 | 100,000 | 99,500 | ||
869,590 | ||||
Marine - 0.0% | ||||
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15 | 471,000 | 515,745 | ||
H-Lines Finance Holding Corp. 0% 4/1/13 (b) | 126,000 | 108,360 | ||
Horizon Lines LLC/Horizon Lines Holdings Corp. 9% 11/1/12 | 332,000 | 336,150 | ||
OMI Corp. 7.625% 12/1/13 | 95,000 | 95,000 | ||
1,055,255 | ||||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 (d) | 400,000 | 391,000 | ||
7.75% 5/15/16 (d) | 400,000 | 390,000 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 (d) | 700,000 | 731,500 | ||
10.5% 1/1/16 (d) | 360,000 | 392,850 | ||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 400,000 | 402,000 | ||
TFM SA de CV 9.375% 5/1/12 | 65,000 | 68,900 | ||
2,376,250 | ||||
Trading Companies & Distributors - 0.1% | ||||
Ashtead Holdings PLC 8.625% 8/1/15 (d) | 275,000 | 270,875 | ||
H&E Equipment Services, Inc. 8.375% 7/15/16 (d) | 160,000 | 161,200 | ||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (d) | 400,000 | 430,000 | ||
Penhall International Corp. 12% 8/1/14 (d) | 250,000 | 258,125 | ||
1,120,200 | ||||
Transportation Infrastructure - 0.6% | ||||
BNSF Funding Trust I 6.613% 12/15/55 (f) | 15,360,000 | 14,619,602 | ||
TOTAL INDUSTRIALS | 67,372,069 | |||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
L-3 Communications Corp. 6.375% 10/15/15 | $ 520,000 | $ 495,300 | ||
Nortel Networks Corp.: | ||||
9.73% 7/15/11 (d)(f) | 200,000 | 201,250 | ||
10.125% 7/15/13 (d) | 200,000 | 201,000 | ||
897,550 | ||||
Electronic Equipment & Instruments - 0.0% | ||||
Celestica, Inc. 7.875% 7/1/11 | 350,000 | 339,500 | ||
Sanmina-SCI Corp. 8.125% 3/1/16 | 350,000 | 339,500 | ||
679,000 | ||||
IT Services - 0.0% | ||||
Iron Mountain, Inc. 6.625% 1/1/16 | 120,000 | 109,800 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 575,000 | 587,219 | ||
697,019 | ||||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 130,000 | 130,650 | ||
Xerox Corp.: | ||||
7.2% 4/1/16 | 465,000 | 462,675 | ||
7.625% 6/15/13 | 310,000 | 313,100 | ||
906,425 | ||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 65,000 | 57,200 | ||
9.25% 6/1/16 | 100,000 | 91,875 | ||
Chartered Semiconductor Manufacturing Ltd.: | ||||
5.75% 8/3/10 | 6,340,000 | 6,240,944 | ||
6.375% 8/3/15 | 760,000 | 732,151 | ||
Freescale Semiconductor, Inc. 7.125% 7/15/14 | 60,000 | 60,900 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.875% 12/15/11 | 25,000 | 20,500 | ||
8% 12/15/14 | 80,000 | 53,600 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 60,000 | 46,200 | ||
Viasystems, Inc. 10.5% 1/15/11 | 480,000 | 470,400 | ||
7,773,770 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INFORMATION TECHNOLOGY - continued | ||||
Software - 0.0% | ||||
Activant Solutions, Inc. 9.5% 5/1/16 (d) | $ 50,000 | $ 47,000 | ||
SERENA Software, Inc. 10.375% 3/15/16 (d) | 230,000 | 231,725 | ||
278,725 | ||||
TOTAL INFORMATION TECHNOLOGY | 11,232,489 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.2% | ||||
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14 | 410,000 | 441,263 | ||
Berry Plastics Corp. 10.75% 7/15/12 | 80,000 | 87,400 | ||
Braskem SA: | ||||
(Reg. S) 11.75% 1/22/14 | 50,000 | 59,000 | ||
11.75% 1/22/14 (d) | 20,000 | 23,600 | ||
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp. | 550,000 | 429,000 | ||
Equistar Chemicals LP 7.55% 2/15/26 | 350,000 | 318,500 | ||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 395,000 | 422,650 | ||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 10.2569% 7/15/10 (f) | 70,000 | 70,700 | ||
Huntsman International LLC 9.875% 3/1/09 | 115,000 | 119,600 | ||
IMC Global, Inc. 10.875% 8/1/13 | 100,000 | 111,250 | ||
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16 | 310,000 | 314,650 | ||
Innophos, Inc. 8.875% 8/15/14 | 30,000 | 30,263 | ||
Lyondell Chemical Co.: | ||||
9.625% 5/1/07 | 200,000 | 204,000 | ||
10.875% 5/1/09 | 55,000 | 56,100 | ||
Nalco Co. 7.75% 11/15/11 | 630,000 | 630,000 | ||
Pliant Corp. 0% 6/15/09 (b) | 60,000 | 57,900 | ||
Rhodia SA: | ||||
7.625% 6/1/10 | 600,000 | 607,500 | ||
8.875% 6/1/11 | 300,000 | 306,000 | ||
Rockwood Specialties Group, Inc. 7.5% 11/15/14 | 150,000 | 147,750 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 800,000 | 832,000 | ||
5,269,126 | ||||
Construction Materials - 0.0% | ||||
Texas Industries, Inc. 7.25% 7/15/13 | 30,000 | 30,000 | ||
U.S. Concrete, Inc. 8.375% 4/1/14 | 50,000 | 49,625 | ||
79,625 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
MATERIALS - continued | ||||
Containers & Packaging - 0.1% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | $ 30,000 | $ 30,000 | ||
Ball Corp. 6.625% 3/15/18 | 500,000 | 472,500 | ||
BWAY Corp. 10% 10/15/10 | 105,000 | 110,250 | ||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 (d) | 200,000 | 198,000 | ||
Crown Cork & Seal, Inc. 8% 4/15/23 | 105,000 | 98,700 | ||
Graham Packaging Co. LP/GPC Capital Corp.: | ||||
8.5% 10/15/12 | 50,000 | 48,750 | ||
9.875% 10/15/14 | 395,000 | 383,150 | ||
Graphic Packaging International, Inc. 8.5% 8/15/11 | 120,000 | 121,200 | ||
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13 | 15,000 | 13,575 | ||
Owens-Brockway Glass Container, Inc.: | ||||
8.25% 5/15/13 | 15,000 | 15,150 | ||
8.875% 2/15/09 | 350,000 | 360,500 | ||
Owens-Illinois, Inc.: | ||||
7.35% 5/15/08 | 50,000 | 50,000 | ||
7.5% 5/15/10 | 395,000 | 389,075 | ||
7.8% 5/15/18 | 45,000 | 41,963 | ||
8.1% 5/15/07 | 410,000 | 412,050 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 (d) | 40,000 | 44,000 | ||
2,788,863 | ||||
Metals & Mining - 0.2% | ||||
Aleris International, Inc. 9% 11/15/14 | 20,000 | 22,600 | ||
California Steel Industries, Inc. 6.125% 3/15/14 | 40,000 | 36,900 | ||
Century Aluminum Co. 7.5% 8/15/14 | 40,000 | 39,600 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (d) | 335,000 | 344,206 | ||
CSN Islands X Corp. (Reg. S) 9.5% 7/14/49 | 566,000 | 586,518 | ||
Evraz Securities SA 10.875% 8/3/09 | 700,000 | 768,600 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 375,000 | 364,219 | ||
10.125% 2/1/10 | 45,000 | 47,700 | ||
Newmont Mining Corp. 5.875% 4/1/35 | 405,000 | 363,100 | ||
Norilsk Nickel Finance Luxembourg SA 7.125% 9/30/09 | 195,000 | 195,975 | ||
Novelis, Inc. 7.25% 2/15/15 (d)(f) | 210,000 | 202,125 | ||
RathGibson, Inc. 11.25% 2/15/14 (d) | 50,000 | 51,625 | ||
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 | 110,000 | 94,050 | ||
3,117,218 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
MATERIALS - continued | ||||
Paper & Forest Products - 0.1% | ||||
Boise Cascade LLC/Boise Cascade Finance Corp.: | ||||
7.125% 10/15/14 | $ 30,000 | $ 26,550 | ||
8.3819% 10/15/12 (f) | 30,000 | 30,000 | ||
Buckeye Technologies, Inc. 8.5% 10/1/13 | 200,000 | 193,250 | ||
Georgia-Pacific Corp.: | ||||
7.375% 12/1/25 | 15,000 | 13,575 | ||
7.75% 11/15/29 | 10,000 | 9,113 | ||
8% 1/15/24 | 130,000 | 123,175 | ||
8.125% 5/15/11 | 605,000 | 599,706 | ||
International Paper Co. 4.25% 1/15/09 | 345,000 | 333,385 | ||
Millar Western Forest Products Ltd. 7.75% 11/15/13 | 120,000 | 91,200 | ||
P.H. Glatfelter Co. 7.125% 5/1/16 (d) | 230,000 | 225,400 | ||
Solo Cup Co. 8.5% 2/15/14 | 145,000 | 123,975 | ||
Stone Container Corp. 8.375% 7/1/12 | 400,000 | 380,000 | ||
Stone Container Finance Co. 7.375% 7/15/14 | 400,000 | 354,000 | ||
2,503,329 | ||||
TOTAL MATERIALS | 13,758,161 | |||
TELECOMMUNICATION SERVICES - 2.6% | ||||
Diversified Telecommunication Services - 2.1% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | 35,000 | 35,330 | ||
AT&T, Inc. 6.8% 5/15/36 | 2,000,000 | 2,012,486 | ||
British Telecommunications PLC: | ||||
8.375% 12/15/10 | 20,000 | 22,142 | ||
8.875% 12/15/30 | 145,000 | 182,789 | ||
Deutsche Telekom International Finance BV 5.25% 7/22/13 | 415,000 | 393,199 | ||
Embarq Corp.: | ||||
6.738% 6/1/13 | 85,000 | 85,816 | ||
7.082% 6/1/16 | 480,000 | 483,070 | ||
7.995% 6/1/36 | 5,991,000 | 6,145,598 | ||
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 377,000 | 410,930 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 96,000 | 92,160 | ||
GCI, Inc. 7.25% 2/15/14 | 50,000 | 47,750 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 40,000 | 30,200 | ||
7.625% 4/15/12 | 20,000 | 16,800 | ||
9.25% 6/15/16 (d) | 350,000 | 358,750 | ||
11.25% 6/15/16 (d) | 400,000 | 404,500 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Level 3 Financing, Inc. 12.25% 3/15/13 (d) | $ 650,000 | $ 711,750 | ||
New Skies Satellites BV: | ||||
9.125% 11/1/12 | 145,000 | 153,338 | ||
10.4144% 11/1/11 (f) | 100,000 | 103,000 | ||
Nordic Telephone Co. Holdings Aps 8.875% 5/1/16 (d) | 75,000 | 77,719 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 300,000 | 303,000 | ||
9.125% 8/15/16 | 210,000 | 213,150 | ||
PT Indosat International Finance Co. BV 7.125% 6/22/12 (d) | 205,000 | 198,850 | ||
Qwest Capital Funding, Inc.: | ||||
7% 8/3/09 | 50,000 | 49,375 | ||
7.25% 2/15/11 | 285,000 | 277,875 | ||
7.625% 8/3/21 | 20,000 | 19,000 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 1,060,000 | 1,028,200 | ||
7.5% 2/15/14 | 60,000 | 58,800 | ||
8.67% 2/15/09 (f) | 340,000 | 345,950 | ||
Qwest Corp.: | ||||
7.625% 6/15/15 | 610,000 | 619,882 | ||
8.5794% 6/15/13 (f) | 90,000 | 96,300 | ||
SBC Communications, Inc.: | ||||
6.15% 9/15/34 | 500,000 | 464,750 | ||
6.45% 6/15/34 | 220,000 | 211,737 | ||
Sprint Capital Corp. 8.375% 3/15/12 | 960,000 | 1,065,862 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,055,000 | 3,816,696 | ||
4.875% 10/1/10 | 340,000 | 326,953 | ||
4.95% 9/30/14 | 415,000 | 377,450 | ||
6% 9/30/34 | 500,000 | 442,699 | ||
7.2% 7/18/36 | 2,000,000 | 2,039,640 | ||
Telefonica de Argentina SA 9.125% 11/7/10 | 560,000 | 579,600 | ||
Telefonica Emisiones SAU 7.045% 6/20/36 | 8,825,000 | 9,064,511 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 90,000 | 86,818 | ||
Telenet Group Holding NV 0% 6/15/14 (b)(d) | 52,000 | 44,330 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 7,570,000 | 7,684,693 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 80,000 | 82,000 | ||
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 375,000 | 372,188 | ||
U.S. West Communications 6.875% 9/15/33 | 415,000 | 367,275 | ||
Verizon Global Funding Corp. 7.75% 12/1/30 | 5,296,000 | 5,782,544 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon New York, Inc. 6.875% 4/1/12 | $ 120,000 | $ 123,017 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (d) | 350,000 | 376,688 | ||
Windstream Corp.: | ||||
8.125% 8/1/13 (d) | 200,000 | 207,500 | ||
8.625% 8/1/16 (d) | 350,000 | 364,000 | ||
48,858,660 | ||||
Wireless Telecommunication Services - 0.5% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 | 185,000 | 177,599 | ||
6.375% 3/1/35 | 780,000 | 720,049 | ||
American Tower Corp. 7.5% 5/1/12 | 105,000 | 107,100 | ||
AT&T Wireless Services, Inc.: | ||||
7.875% 3/1/11 | 220,000 | 238,687 | ||
8.125% 5/1/12 | 555,000 | 615,005 | ||
Centennial Communications Corp. 10% 1/1/13 | 450,000 | 448,875 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 310,000 | 301,475 | ||
Digicel Ltd. 9.25% 9/1/12 (d)(e) | 520,000 | 540,800 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc.: | ||||
6.375% 6/15/15 | 1,000,000 | 925,000 | ||
8.375% 3/15/13 | 1,000,000 | 1,046,250 | ||
Inmarsat Finance II PLC 0% 11/15/12 (b) | 70,000 | 59,850 | ||
Inmarsat Finance PLC 7.625% 6/30/12 | 45,000 | 45,900 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.625% 1/15/15 (f) | 195,000 | 193,781 | ||
Mobile Telesystems Finance SA: | ||||
8% 1/28/12 (d) | 60,000 | 60,228 | ||
8.375% 10/14/10 (d) | 805,000 | 823,515 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 1,185,000 | 1,158,338 | ||
7.375% 8/1/15 | 150,000 | 153,853 | ||
Rogers Communications, Inc.: | ||||
6.375% 3/1/14 | 440,000 | 422,950 | ||
8% 12/15/12 | 355,000 | 366,538 | ||
9.625% 5/1/11 | 26,000 | 28,730 | ||
Rural Cellular Corp.: | ||||
8.25% 3/15/12 | 360,000 | 369,000 | ||
9.75% 1/15/10 | 100,000 | 100,000 | ||
Stratos Global Corp. 9.875% 2/15/13 (d) | 150,000 | 130,500 | ||
Telecom Personal SA 9.25% 12/22/10 (d) | 565,000 | 573,475 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vodafone Group PLC: | ||||
5% 12/16/13 | $ 910,000 | $ 850,250 | ||
5.5% 6/15/11 | 170,000 | 167,449 | ||
10,625,197 | ||||
TOTAL TELECOMMUNICATION SERVICES | 59,483,857 | |||
UTILITIES - 2.8% | ||||
Electric Utilities - 1.0% | ||||
AES Gener SA 7.5% 3/25/14 | 70,000 | 71,050 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (d) | 493,000 | 534,905 | ||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 300,000 | 293,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,195,000 | 5,707,571 | ||
6.75% 5/1/11 | 420,000 | 436,170 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 155,000 | 159,320 | ||
Mirant Americas Generation LLC 8.5% 10/1/21 | 350,000 | 322,875 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 440,000 | 440,000 | ||
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 360,000 | 370,800 | ||
Nevada Power Co.: | ||||
5.875% 1/15/15 | 40,000 | 38,204 | ||
6.5% 4/15/12 | 50,000 | 50,146 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 5,720,000 | 5,822,542 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 1,000,000 | 970,479 | ||
7.1% 3/1/11 | 6,660,000 | 7,036,949 | ||
Sierra Pacific Power Co. 6% 5/15/16 (d) | 50,000 | 47,750 | ||
Sierra Pacific Resources 7.803% 6/15/12 | 290,000 | 294,350 | ||
TXU Energy Co. LLC 7% 3/15/13 | 880,000 | 906,173 | ||
23,502,924 | ||||
Gas Utilities - 0.0% | ||||
El Paso Energy Corp. 6.75% 5/15/09 | 25,000 | 24,813 | ||
Sonat, Inc.: | ||||
6.625% 2/1/08 | 20,000 | 19,900 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Sonat, Inc.: - continued | ||||
6.75% 10/1/07 | $ 15,000 | $ 15,019 | ||
Transportadora de Gas del Sur SA (Reg. S) 6.5% 12/15/10 (c) | 716,360 | 704,719 | ||
764,451 | ||||
Independent Power Producers & Energy Traders - 0.7% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 1,400,000 | 1,408,750 | ||
8.75% 6/15/08 | 2,000 | 2,068 | ||
8.75% 5/15/13 (d) | 35,000 | 37,275 | ||
8.875% 2/15/11 | 982,000 | 1,027,418 | ||
9% 5/15/15 (d) | 625,000 | 669,531 | ||
9.375% 9/15/10 | 7,000 | 7,455 | ||
9.5% 6/1/09 | 19,000 | 19,998 | ||
Allegheny Energy Supply Co. LLC: | ||||
7.8% 3/15/11 | 170,000 | 177,650 | ||
8.25% 4/15/12 (d) | 90,000 | 95,850 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 1,050,000 | 1,101,861 | ||
Duke Capital LLC 5.668% 8/15/14 | 3,120,000 | 3,011,917 | ||
Mirant North America LLC/Mirant North America Finance Corp. 7.375% 12/31/13 (d) | 1,020,000 | 976,650 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 1,300,000 | 1,277,250 | ||
7.375% 2/1/16 | 1,280,000 | 1,256,000 | ||
PPL Energy Supply LLC: | ||||
5.7% 10/15/35 | 655,000 | 628,289 | ||
6.2% 5/15/16 | 500,000 | 501,797 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (d) | 488,618 | 470,295 | ||
TXU Corp. 5.55% 11/15/14 | 3,140,000 | 2,852,062 | ||
15,522,116 | ||||
Multi-Utilities - 1.1% | ||||
CMS Energy Corp.: | ||||
6.3% 2/1/12 | 760,000 | 729,600 | ||
8.5% 4/15/11 | 545,000 | 572,250 | ||
9.875% 10/15/07 | 135,000 | 140,569 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 535,000 | 514,422 | ||
5.95% 6/15/35 | 5,905,000 | 5,419,207 | ||
6.25% 6/30/12 | 270,000 | 273,445 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Dominion Resources, Inc.: - continued | ||||
7.5% 6/30/66 (f) | $ 1,495,000 | $ 1,504,279 | ||
MidAmerican Energy Holdings, Inc. 6.125% 4/1/36 (d) | 11,405,000 | 10,974,746 | ||
National Grid PLC 6.3% 8/1/16 | 5,245,000 | 5,280,121 | ||
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 105,000 | 108,806 | ||
25,517,445 | ||||
TOTAL UTILITIES | 65,306,936 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $526,688,826) | 531,646,623 | |||
U.S. Government and Government Agency Obligations - 22.2% | ||||
U.S. Government Agency Obligations - 2.9% | ||||
Fannie Mae: | ||||
3.25% 1/15/08 | 8,000,000 | 7,771,304 | ||
4.375% 7/17/13 | 8,745,000 | 8,240,282 | ||
4.625% 5/1/13 | 5,000,000 | 4,745,530 | ||
6.25% 2/1/11 | 19,170,000 | 19,786,277 | ||
Freddie Mac: | ||||
5.25% 11/5/12 | 280,000 | 273,395 | ||
5.875% 3/21/11 | 25,685,000 | 26,118,434 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 371,119 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 67,306,341 | |||
U.S. Treasury Inflation Protected Obligations - 4.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 3,206,220 | 3,035,640 | ||
2% 1/15/14 | 99,922,354 | 97,158,386 | ||
2.375% 4/15/11 | 2,040,120 | 2,040,580 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 102,234,606 | |||
U.S. Treasury Obligations - 14.9% | ||||
U.S. Treasury Bond - principal STRIPS: | ||||
2/15/15 | 78,530,000 | 51,510,497 | ||
5/15/30 | 35,870,000 | 10,737,089 | ||
U.S. Treasury Bonds 6.25% 5/15/30 | 5,861,000 | 6,745,185 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: | ||||
4.25% 8/15/13 | $ 81,769,000 | $ 78,463,079 | ||
4.75% 5/15/14 | 33,615,000 | 33,168,559 | ||
U.S. Treasury Notes - principal STRIPS: | ||||
8/15/10 | 131,350,000 | 108,364,364 | ||
2/15/12 | 60,740,000 | 46,479,402 | ||
8/15/12 | 14,300,000 | 10,694,069 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 346,162,244 | |||
TOTAL U.S. GOVERNMENT AND (Cost $513,123,592) | 515,703,191 | |||
U.S. Government Agency - Mortgage Securities - 23.1% | ||||
Fannie Mae - 21.0% | ||||
3.732% 1/1/35 (f) | 65,544 | 64,095 | ||
3.735% 10/1/33 (f) | 54,005 | 52,637 | ||
3.746% 12/1/34 (f) | 47,641 | 46,596 | ||
3.75% 1/1/34 (f) | 55,380 | 53,910 | ||
3.757% 10/1/33 (f) | 46,712 | 45,594 | ||
3.77% 12/1/34 (f) | 13,066 | 12,796 | ||
3.791% 6/1/34 (f) | 225,192 | 218,443 | ||
3.81% 6/1/33 (f) | 38,523 | 37,792 | ||
3.837% 4/1/33 (f) | 164,027 | 161,029 | ||
3.84% 1/1/35 (f) | 126,891 | 124,198 | ||
3.843% 1/1/35 (f) | 46,505 | 45,470 | ||
3.847% 5/1/34 (f) | 9,868,929 | 9,590,822 | ||
3.851% 10/1/33 (f) | 1,390,081 | 1,361,362 | ||
3.866% 1/1/35 (f) | 73,853 | 72,523 | ||
3.897% 10/1/34 (f) | 42,867 | 42,233 | ||
3.904% 1/1/35 (f) | 123,225 | 121,440 | ||
3.923% 5/1/34 (f) | 15,977 | 16,077 | ||
3.926% 12/1/34 (f) | 36,349 | 35,734 | ||
3.951% 1/1/35 (f) | 47,265 | 46,577 | ||
3.952% 12/1/34 (f) | 32,124 | 31,692 | ||
3.952% 12/1/34 (f) | 280,803 | 276,779 | ||
3.957% 5/1/33 (f) | 12,752 | 12,532 | ||
3.987% 12/1/34 (f) | 49,073 | 48,242 | ||
3.997% 12/1/34 (f) | 33,019 | 32,551 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
3.997% 1/1/35 (f) | $ 32,810 | $ 32,359 | ||
4.004% 2/1/35 (f) | 35,954 | 35,439 | ||
4.015% 12/1/34 (f) | 69,336 | 68,488 | ||
4.037% 1/1/35 (f) | 29,664 | 29,281 | ||
4.037% 1/1/35 (f) | 18,846 | 18,578 | ||
4.039% 2/1/35 (f) | 33,117 | 32,648 | ||
4.049% 10/1/18 (f) | 41,474 | 40,694 | ||
4.065% 1/1/35 (f) | 61,568 | 60,655 | ||
4.077% 2/1/35 (f) | 66,767 | 65,878 | ||
4.082% 4/1/33 (f) | 14,409 | 14,231 | ||
4.084% 2/1/35 (f) | 35,188 | 34,704 | ||
4.089% 2/1/35 (f) | 32,450 | 32,020 | ||
4.092% 11/1/34 (f) | 56,235 | 55,683 | ||
4.1% 2/1/35 (f) | 123,079 | 121,542 | ||
4.106% 1/1/35 (f) | 77,091 | 76,059 | ||
4.114% 1/1/35 (f) | 81,157 | 80,090 | ||
4.116% 2/1/35 (f) | 84,011 | 82,918 | ||
4.129% 1/1/35 (f) | 130,455 | 128,810 | ||
4.144% 1/1/35 (f) | 128,928 | 127,604 | ||
4.149% 2/1/35 (f) | 65,187 | 64,365 | ||
4.161% 1/1/35 (f) | 130,847 | 130,029 | ||
4.172% 1/1/35 (f) | 96,609 | 93,932 | ||
4.177% 1/1/35 (f) | 69,138 | 68,289 | ||
4.179% 10/1/34 (f) | 118,106 | 117,179 | ||
4.179% 11/1/34 (f) | 21,792 | 21,495 | ||
4.202% 1/1/35 (f) | 49,324 | 48,735 | ||
4.249% 1/1/34 (f) | 134,966 | 132,524 | ||
4.25% 2/1/35 (f) | 59,769 | 58,113 | ||
4.25% 2/1/35 (f) | 30,087 | 29,764 | ||
4.274% 8/1/33 (f) | 89,482 | 88,365 | ||
4.275% 3/1/35 (f) | 54,756 | 54,058 | ||
4.283% 7/1/34 (f) | 37,614 | 37,466 | ||
4.289% 12/1/34 (f) | 32,450 | 31,986 | ||
4.306% 5/1/35 (f) | 64,465 | 63,734 | ||
4.314% 3/1/33 (f) | 26,510 | 25,772 | ||
4.333% 9/1/34 (f) | 77,083 | 76,874 | ||
4.348% 9/1/34 (f) | 149,424 | 149,151 | ||
4.355% 1/1/35 (f) | 60,898 | 59,310 | ||
4.362% 2/1/34 (f) | 109,227 | 107,439 | ||
4.366% 4/1/35 (f) | 35,118 | 34,695 | ||
4.392% 11/1/34 (f) | 4,359,075 | 4,332,136 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
4.396% 2/1/35 (f) | $ 77,042 | $ 75,048 | ||
4.396% 5/1/35 (f) | 143,956 | 142,395 | ||
4.429% 10/1/34 (f) | 213,377 | 212,263 | ||
4.431% 1/1/35 (f) | 52,917 | 52,396 | ||
4.44% 3/1/35 (f) | 61,369 | 59,827 | ||
4.444% 12/1/34 (f) | 292,349 | 285,888 | ||
4.459% 8/1/34 (f) | 144,781 | 142,450 | ||
4.473% 5/1/35 (f) | 73,328 | 72,516 | ||
4.486% 1/1/35 (f) | 69,786 | 69,208 | ||
4.493% 3/1/35 (f) | 167,117 | 163,299 | ||
4.498% 8/1/34 (f) | 298,007 | 298,695 | ||
4.5% 5/1/18 to 3/1/35 | 97,077,512 | 92,342,210 | ||
4.5% 8/1/21 (e) | 6,264,781 | 5,982,365 | ||
4.5% 8/1/36 (e) | 20,000,000 | 18,372,600 | ||
4.516% 3/1/35 (f) | 150,129 | 146,643 | ||
4.525% 2/1/35 (f) | 7,431,078 | 7,328,381 | ||
4.529% 7/1/34 (f) | 63,921 | 63,536 | ||
4.536% 2/1/35 (f) | 309,217 | 306,619 | ||
4.545% 2/1/35 (f) | 43,250 | 42,862 | ||
4.545% 7/1/35 (f) | 176,919 | 174,973 | ||
4.547% 2/1/35 (f) | 41,909 | 41,567 | ||
4.574% 2/1/35 (f) | 139,650 | 136,798 | ||
4.575% 7/1/35 (f) | 197,105 | 195,005 | ||
4.586% 2/1/35 (f) | 3,934,080 | 3,849,891 | ||
4.606% 1/1/33 (f) | 238,734 | 236,936 | ||
4.614% 11/1/34 (f) | 152,738 | 150,105 | ||
4.666% 3/1/35 (f) | 3,052,294 | 3,030,226 | ||
4.669% 11/1/34 (f) | 162,705 | 160,113 | ||
4.716% 7/1/35 (f) | 3,696,635 | 3,594,164 | ||
4.726% 7/1/34 (f) | 146,735 | 144,798 | ||
4.733% 10/1/34 (f) | 196,706 | 193,968 | ||
4.776% 12/1/34 (f) | 133,984 | 131,851 | ||
4.791% 12/1/34 (f) | 48,063 | 47,258 | ||
4.797% 12/1/32 (f) | 63,731 | 63,496 | ||
4.801% 10/1/34 (f) | 100,971 | 99,740 | ||
4.811% 6/1/35 (f) | 244,592 | 242,809 | ||
4.817% 2/1/33 (f) | 84,863 | 84,415 | ||
4.82% 11/1/34 (f) | 169,978 | 167,382 | ||
4.876% 10/1/34 (f) | 5,418,589 | 5,354,487 | ||
5% 3/1/35 to 1/1/36 | 41,657,337 | 39,420,961 | ||
5% 8/1/36 (e) | 92,810,011 | 87,814,048 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
5.082% 9/1/34 (f) | $ 4,332,851 | $ 4,302,608 | ||
5.094% 9/1/34 (f) | 47,187 | 46,874 | ||
5.097% 5/1/35 (f) | 316,489 | 315,587 | ||
5.174% 5/1/35 (f) | 4,765,813 | 4,722,920 | ||
5.179% 5/1/35 (f) | 218,349 | 216,371 | ||
5.202% 6/1/35 (f) | 225,287 | 224,963 | ||
5.215% 5/1/35 (f) | 5,015,506 | 4,973,526 | ||
5.24% 3/1/35 (f) | 35,466 | 35,213 | ||
5.349% 12/1/34 (f) | 95,048 | 94,848 | ||
5.5% 11/1/16 to 4/1/36 | 62,802,904 | 61,377,879 | ||
5.5% 8/1/36 (e) | 54,265,689 | 52,696,868 | ||
5.506% 2/1/36 (f) | 8,639,700 | 8,619,310 | ||
5.636% 1/1/36 (f) | 273,795 | 273,792 | ||
5.927% 1/1/36 (f) | 980,245 | 982,755 | ||
6% 7/1/08 to 3/1/33 | 8,590,504 | 8,596,396 | ||
6% 8/1/21 (e) | 1,458,555 | 1,471,084 | ||
6% 8/1/36 (e) | 20,000,000 | 19,871,000 | ||
6.5% 6/1/09 to 4/1/36 | 12,902,161 | 13,089,172 | ||
6.5% 8/1/36 (e) | 12,877,350 | 13,026,212 | ||
7% 9/1/25 to 8/1/29 | 242,236 | 249,496 | ||
TOTAL FANNIE MAE | 486,195,282 | |||
Freddie Mac - 2.1% | ||||
4.042% 12/1/34 (f) | 47,663 | 46,849 | ||
4.086% 12/1/34 (f) | 79,708 | 78,415 | ||
4.133% 1/1/35 (f) | 193,345 | 190,279 | ||
4.26% 1/1/35 (f) | 182,051 | 179,384 | ||
4.26% 3/1/35 (f) | 67,089 | 66,080 | ||
4.288% 5/1/35 (f) | 125,515 | 123,773 | ||
4.3% 12/1/34 (f) | 77,333 | 75,037 | ||
4.33% 2/1/35 (f) | 135,892 | 133,940 | ||
4.357% 3/1/35 (f) | 105,567 | 102,500 | ||
4.383% 2/1/35 (f) | 134,447 | 130,557 | ||
4.441% 2/1/34 (f) | 68,181 | 66,902 | ||
4.445% 3/1/35 (f) | 65,082 | 63,308 | ||
4.457% 6/1/35 (f) | 76,607 | 75,490 | ||
4.461% 3/1/35 (f) | 81,073 | 78,845 | ||
4.545% 2/1/35 (f) | 118,516 | 115,468 | ||
5.004% 4/1/35 (f) | 2,891,584 | 2,872,500 | ||
5.133% 4/1/35 (f) | 3,146,069 | 3,104,792 | ||
5.321% 6/1/35 (f) | 250,856 | 248,717 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Freddie Mac - continued | ||||
5.512% 8/1/33 (f) | $ 29,016 | $ 29,006 | ||
5.566% 1/1/36 (f) | 478,857 | 476,530 | ||
6% 2/1/17 to 5/1/33 | 1,205,943 | 1,210,777 | ||
6% 8/1/36 (e) | 9,946,113 | 9,890,116 | ||
6% 8/14/36 (e) | 30,000,000 | 29,831,100 | ||
TOTAL FREDDIE MAC | 49,190,365 | |||
Government National Mortgage Association - 0.0% | ||||
5.5% 5/15/32 to 5/15/34 | 1,035,944 | 1,016,027 | ||
7% 7/15/31 to 12/15/32 | 93,683 | 96,853 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 1,112,880 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $534,690,679) | 536,498,527 | |||
Asset-Backed Securities - 3.6% | ||||
ACE Securities Corp.: | ||||
Series 2004-HE1: | ||||
Class M1, 5.885% 2/25/34 (f) | 125,000 | 125,288 | ||
Class M2, 6.485% 2/25/34 (f) | 125,000 | 125,984 | ||
Series 2005-SD1 Class A1, 5.785% 11/25/50 (f) | 74,537 | 74,644 | ||
Aircraft Lease Securitization Ltd. Series 2005-1 | 191,473 | 194,824 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2004-1 Class D, 5.07% 7/6/10 | 290,000 | 286,772 | ||
Series 2006-1: | ||||
Class A3, 5.11% 10/6/10 | 17,000 | 16,899 | ||
Class B1, 5.2% 3/6/11 | 50,000 | 49,611 | ||
Class C1, 5.28% 11/6/11 | 315,000 | 312,523 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2004-R2: | ||||
Class M1, 5.815% 4/25/34 (f) | 65,000 | 64,999 | ||
Class M2, 5.865% 4/25/34 (f) | 50,000 | 49,999 | ||
Series 2004-R8 Class M9, 8.135% 9/25/34 (f) | 725,000 | 730,654 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE7 Class A3, 5.7288% 12/15/33 (f) | 13,926 | 13,970 | ||
Series 2004-HE2 Class M1, 5.935% 4/25/34 (f) | 375,000 | 378,103 | ||
Bank One Issuance Trust: | ||||
Series 2002-C1 Class C1, 6.3288% 12/15/09 (f) | 425,000 | 427,177 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Bank One Issuance Trust: - continued | ||||
Series 2004-B2 Class B2, 4.37% 4/15/12 | $ 6,400,000 | $ 6,210,630 | ||
Capital Auto Receivables Asset Trust Series 2006-1: | ||||
Class A3, 5.03% 10/15/09 | 170,000 | 168,926 | ||
Class B, 5.26% 10/15/10 | 160,000 | 158,620 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,486,353 | ||
Class D, 7.16% 1/15/13 (d) | 160,000 | 158,888 | ||
Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12 | 5,130,000 | 4,941,881 | ||
Capmark VII Ltd. Series 2006-7A Class H, 6.9391% 8/20/36 (d)(e)(f) | 500,000 | 500,000 | ||
Cendant Timeshare Receivables Funding LLC | 193,854 | 190,058 | ||
Chase Credit Card Owner Trust Series 2004-1 Class B, 5.5688% 5/15/09 (f) | 220,000 | 219,997 | ||
CIT Equipment Collateral Trust Series 2006-VT1 Class A3, 5.13% 12/21/08 | 550,000 | 547,905 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2005-B1 Class B1, 4.4% 9/15/10 | 238,000 | 232,734 | ||
Series 2006-B2 Class B2, 5.15% 3/7/11 | 385,000 | 381,741 | ||
CNH Equipment Trust Series 2006-A: | ||||
Class A3, 5.2% 8/16/10 | 415,000 | 413,893 | ||
Class A4, 5.27% 9/15/11 | 8,420,000 | 8,391,015 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 5.885% 5/25/34 (f) | 410,000 | 411,590 | ||
Series 2004-3 Class M1, 5.885% 6/25/34 (f) | 75,000 | 75,368 | ||
Series 2005-1: | ||||
Class MV1, 5.785% 7/25/35 (f) | 185,000 | 185,618 | ||
Class MV2, 5.825% 7/25/35 (f) | 220,000 | 220,912 | ||
Series 2005-3 Class MV1, 5.805% 8/25/35 (f) | 4,750,000 | 4,764,631 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | ||||
Class B, 4.878% 6/15/35 (d) | 309,000 | 301,002 | ||
Class C, 5.074% 6/15/35 (d) | 281,000 | 274,321 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (d) | 235,000 | 237,821 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 5.935% 3/25/34 (f) | 25,000 | 25,062 | ||
Class M4, 6.285% 3/25/34 (f) | 25,000 | 25,140 | ||
Ford Credit Auto Owner Trust Series 2006-A Class A3, 5.05% 11/15/09 | 400,000 | 397,744 | ||
Fremont Home Loan Trust Series 2004-A: | ||||
Class M1, 5.935% 1/25/34 (f) | 225,000 | 225,921 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Fremont Home Loan Trust Series 2004-A: - continued | ||||
Class M2, 6.535% 1/25/34 (f) | $ 250,098 | $ 251,470 | ||
GSAMP Trust Series 2004-FM2 Class M1, 5.885% 1/25/34 (f) | 249,683 | 249,679 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 6.265% 8/25/33 (f) | 20,726 | 20,768 | ||
Series 2003-4 Class M1, 6.185% 10/25/33 (f) | 22,730 | 22,801 | ||
Series 2004-3 Class M2, 6.585% 8/25/34 (f) | 120,000 | 121,613 | ||
HSBC Home Equity Loan Trust Series 2005-2: | ||||
Class M1, 5.8381% 1/20/35 (f) | 110,514 | 110,760 | ||
Class M2, 5.8681% 1/20/35 (f) | 83,632 | 83,928 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2004-1 Class A4, 5.26% 11/15/12 | 8,435,000 | 8,396,546 | ||
Series 2006-1: | ||||
Class A3, 5.13% 6/15/10 | 125,000 | 124,512 | ||
Class B, 5.29% 11/15/12 | 55,000 | 54,765 | ||
Class C, 5.34% 11/15/12 | 70,000 | 69,732 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 7.1856% 4/6/46 (d)(f) | 422,952 | 424,009 | ||
Long Beach Mortgage Loan Trust Series 2006-6 | 150,000 | 150,000 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2001-B2 Class B2, 5.7288% 1/15/09 (f) | 24,500,000 | 24,497,572 | ||
Series 2003-B2 Class B2, 5.7588% 10/15/10 (f) | 80,000 | 80,427 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.885% 7/25/34 (f) | 100,000 | 100,202 | ||
Class M2, 5.935% 7/25/34 (f) | 25,000 | 25,058 | ||
Class M3, 6.335% 7/25/34 (f) | 50,000 | 50,298 | ||
Class M4, 6.485% 7/25/34 (f) | 25,000 | 25,157 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 6.485% 12/27/32 (f) | 90,000 | 90,805 | ||
Series 2003-NC8 Class M1, 6.085% 9/25/33 (f) | 34,998 | 35,121 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 6.885% 1/25/32 (f) | 19,779 | 19,798 | ||
Series 2002-NC1 Class M1, 6.585% 2/25/32 (d)(f) | 138,907 | 142,747 | ||
Series 2002-NC3 Class M1, 6.105% 8/25/32 (f) | 75,000 | 75,093 | ||
National Collegiate Funding LLC Series 2004-GT1 | 455,000 | 125,445 | ||
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 250,000 | 52,256 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 5.835% 6/25/34 (f) | 73,135 | 73,490 | ||
Class M4, 6.36% 6/25/34 (f) | 125,000 | 126,010 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Ownit Mortgage Loan Asset-Backed Certificates | $ 3,955,513 | $ 3,955,911 | ||
Park Place Securities, Inc. Series 2005-WCH1: | ||||
Class M2, 5.905% 1/25/35 (f) | 225,000 | 226,237 | ||
Class M4, 6.215% 1/25/35 (f) | 750,000 | 756,199 | ||
Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (d) | 745,000 | 741,246 | ||
SBA CMBS Trust Series 2005-1A Class C, 5.731% 11/15/35 (d) | 500,000 | 496,554 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.2794% 6/15/33 (f) | 260,000 | 263,123 | ||
Structured Asset Securities Corp. Series 2006-BC1 | 100,000 | 87,555 | ||
Superior Wholesale Inventory Financing Trust VII | 4,670,000 | 4,670,000 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 970,000 | 954,132 | ||
WFS Financial Owner Trust Series 2004-3 Class D, 4.07% 2/17/12 | 167,589 | 165,401 | ||
World Omni Auto Receivables Trust Series 2006-A | 380,000 | 377,868 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $82,159,206) | 82,293,506 | |||
Collateralized Mortgage Obligations - 3.2% | ||||
Private Sponsor - 2.3% | ||||
Adjustable Rate Mortgage Trust floater: | ||||
Series 2005-1 Class 5A2, 5.715% 5/25/35 (f) | 164,353 | 163,906 | ||
Series 2005-2 Class 6A2, 5.665% 6/25/35 (f) | 67,233 | 67,338 | ||
Bank of America Mortgage Securities, Inc.: | ||||
Series 2003-K: | ||||
Class 1A1, 3.373% 12/25/33 (f) | 105,368 | 106,032 | ||
Class 2A1, 4.164% 12/25/33 (f) | 234,112 | 229,081 | ||
Series 2004-B: | ||||
Class 1A1, 3.4304% 3/25/34 (f) | 370,723 | 374,184 | ||
Class 2A2, 4.106% 3/25/34 (f) | 165,695 | 160,977 | ||
Series 2004-C Class 1A1, 3.351% 4/25/34 (f) | 262,171 | 263,529 | ||
Series 2004-D: | ||||
Class 1A1, 3.5315% 5/25/34 (f) | 336,928 | 333,799 | ||
Class 2A2, 4.1994% 5/25/34 (f) | 492,122 | 478,960 | ||
Series 2004-G Class 2A7, 4.5637% 8/25/34 (f) | 486,235 | 475,791 | ||
Series 2004-H Class 2A1, 4.4722% 9/25/34 (f) | 429,234 | 419,083 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
Private Sponsor - continued | ||||
Bank of America Mortgage Securities, Inc.: - continued | ||||
Series 2005-E Class 2A7, 4.6123% 6/25/35 (f) | $ 435,000 | $ 418,970 | ||
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.665% 1/25/35 (f) | 9,141,095 | 9,155,999 | ||
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (d) | 185,688 | 185,140 | ||
CS First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR3 Class 6A2, 5.755% 4/25/34 (f) | 40,257 | 40,288 | ||
Series 2004-AR6 Class 9A2, 5.755% 10/25/34 (f) | 84,799 | 84,951 | ||
Series 2004-3 Class DB4, 5.8436% 4/25/34 (f) | 120,655 | 71,186 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (d) | 180,213 | 148,028 | ||
Granite Master Issuer PLC floater Series 2006-1A | 400,000 | 399,924 | ||
Granite Mortgages PLC floater Series 2004-2 Class 1C, 6.1138% 6/20/44 (f) | 31,787 | 31,819 | ||
JPMorgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9596% 11/25/35 (f) | 125,000 | 122,471 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.7838% 9/26/45 (d)(f) | 410,408 | 411,049 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 57,781 | 56,805 | ||
Master Asset Securitization Trust Series 2004-9 | 387,990 | 386,883 | ||
Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.236% 8/25/17 (f) | 276,421 | 279,262 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2005-B Class A2, 5.5475% 7/25/30 (f) | 308,500 | 308,558 | ||
Series 2003-E Class XA1, 0.9453% 10/25/28 (f)(h) | 832,043 | 6,322 | ||
Series 2003-G Class XA1, 1% 1/25/29 (h) | 1,172,179 | 9,113 | ||
Series 2003-H Class XA1, 1% 1/25/29 (d)(h) | 938,232 | 8,394 | ||
Opteum Mortgage Acceptance Corp. floater | 272,047 | 272,345 | ||
Residential Asset Mortgage Products, Inc. sequential pay: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 358,380 | 359,625 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 44,990 | 45,371 | ||
Residential Finance LP/Residential Finance Development Corp. floater: | ||||
Series 2003-CB1: | ||||
Class B3, 6.795% 6/10/35 (d)(f) | 42,514 | 43,261 | ||
Class B4, 6.995% 6/10/35 (d)(f) | 37,790 | 38,510 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
Private Sponsor - continued | ||||
Residential Finance LP/Residential Finance Development Corp. floater: - continued | ||||
Class B5, 7.595% 6/10/35 (d)(f) | $ 28,343 | $ 28,988 | ||
Class B6, 8.095% 6/10/35 (d)(f) | 14,171 | 14,388 | ||
Series 2004-B: | ||||
Class B4, 6.445% 2/10/36 (d)(f) | 96,695 | 98,536 | ||
Class B5, 6.895% 2/10/36 (d)(f) | 96,695 | 97,766 | ||
Class B6, 7.345% 2/10/36 (d)(f) | 96,695 | 97,492 | ||
Series 2004-C: | ||||
Class B4, 6.295% 9/10/36 (f) | 97,427 | 98,429 | ||
Class B5, 6.695% 9/10/36 (f) | 97,427 | 98,203 | ||
Class B6, 7.095% 9/10/36 (f) | 97,427 | 98,198 | ||
Sequoia Mortgage Funding Trust Series 2003-A | 1,817,505 | 6,293 | ||
Sequoia Mortgage Trust floater Series 2005-2 Class A2, 5.19% 3/20/35 (f) | 250,013 | 249,723 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.695% 7/25/35 (f) | 793,481 | 796,652 | ||
Structured Asset Securities Corp. floater Series 2005-AR1 Class B1, 7.385% 9/25/35 (d)(f) | 530,000 | 454,475 | ||
Thornburg Mortgage Securities Trust floater | 8,132,967 | 8,119,457 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B | 100,000 | 98,353 | ||
WaMu Mortgage pass thru certificates floater | 6,385,815 | 6,386,462 | ||
Washington Mutual Mortgage Securities Corp. sequential pay: | ||||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 42,599 | 43,674 | ||
Series 2004-RA2 Class 2A, 7% 7/25/33 | 80,545 | 81,552 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-T Class A1, 3.4552% 9/25/34 (f) | 411,313 | 414,572 | ||
Series 2005-AR10 Class 2A2, 4.1096% 6/25/35 (f) | 815,634 | 798,359 | ||
Series 2005-AR12 Class 2A6, 4.3193% 7/25/35 (f) | 769,862 | 750,959 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 9,651,328 | 9,417,247 | ||
Series 2005-AR9 Class 2A1, 4.3622% 5/25/35 (f) | 317,601 | 313,240 | ||
Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (f) | 9,080,000 | 8,962,650 | ||
TOTAL PRIVATE SPONSOR | 53,482,622 | |||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
U.S. Government Agency - 0.9% | ||||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class Series 2004-81 Class KC, 4.5% 4/25/17 | $ 1,490,000 | $ 1,436,257 | ||
sequential pay: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | 33,488 | 32,020 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 219,055 | 210,030 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 441,659 | 426,644 | ||
Freddie Mac planned amortization class Series 3033 Class UD, 5.5% 10/15/30 | 310,000 | 307,190 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2760 Class EB, 4.5% 9/15/16 | 8,662,000 | 8,330,286 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 7,400,000 | 6,814,181 | ||
Series 2952 Class EC, 5.5% 11/15/28 | 915,000 | 906,971 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 495,000 | 490,329 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 780,000 | 772,824 | ||
sequential pay: | ||||
Series 2675 Class CB, 4% 5/15/16 | 635,192 | 611,875 | ||
Series 2683 Class JA, 4% 10/15/16 | 647,917 | 622,822 | ||
Series 2750 Class ZT, 5% 2/15/34 | 411,776 | 348,500 | ||
TOTAL U.S. GOVERNMENT AGENCY | 21,309,929 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $74,794,956) | 74,792,551 | |||
Commercial Mortgage Securities - 4.0% | ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A2, 7.0816% 2/14/43 (f) | 360,000 | 381,734 | ||
Class A3, 7.1316% 2/14/43 (f) | 385,000 | 396,911 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
Series 2005-1 Class A3, 4.877% 11/10/42 | 2,865,000 | 2,809,200 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (f) | 8,590,000 | 8,358,641 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class C, 5.8388% 11/15/15 (d)(f) | 50,000 | 50,104 | ||
Class D, 5.9188% 11/15/15 (d)(f) | 80,000 | 80,187 | ||
Class F, 6.2688% 11/15/15 (d)(f) | 60,000 | 60,143 | ||
Class H, 6.7688% 11/15/15 (d)(f) | 50,000 | 50,137 | ||
Class J, 7.3188% 11/15/15 (d)(f) | 55,000 | 55,153 | ||
Class K, 7.9688% 11/15/15 (d)(f) | 50,000 | 49,931 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
Banc of America Large Loan, Inc.: - continued | ||||
floater: | ||||
Series 2005-BOCA: | ||||
Class D, 5.6988% 12/15/16 (d)(f) | $ 110,000 | $ 110,015 | ||
Class E, 5.7888% 12/15/16 (d)(f) | 100,000 | 100,016 | ||
Class F, 5.8688% 12/15/16 (d)(f) | 110,000 | 110,015 | ||
Class H, 6.3188% 12/15/16 (d)(f) | 120,000 | 120,043 | ||
Class K, 6.7188% 12/15/16 (d)(f) | 105,000 | 105,038 | ||
Series 2005-ESHA: | ||||
Class E, 5.9388% 7/14/20 (d)(f) | 190,000 | 190,778 | ||
Class F, 6.1088% 7/14/20 (d)(f) | 110,000 | 110,470 | ||
Class G, 6.2388% 7/14/20 (d)(f) | 100,000 | 100,427 | ||
Class H, 6.4588% 7/14/20 (d)(f) | 100,000 | 100,389 | ||
Series 2006-ESH: | ||||
Class A, 6.2288% 7/14/11 (d)(f) | 212,580 | 212,185 | ||
Class B, 6.3288% 7/14/11 (d)(f) | 106,007 | 105,712 | ||
Class C, 6.4788% 7/14/11 (d)(f) | 212,297 | 211,551 | ||
Class D, 7.1088% 7/14/11 (d)(f) | 123,385 | 123,025 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2004-1 Class A, 5.745% 4/25/34 (d)(f) | 255,714 | 256,353 | ||
Series 2004-2 Class A, 5.815% 8/25/34 (d)(f) | 298,088 | 299,206 | ||
Series 2004-3: | ||||
Class A1, 5.755% 1/25/35 (d)(f) | 283,473 | 284,359 | ||
Class A2, 5.805% 1/25/35 (d)(f) | 40,496 | 40,572 | ||
Class M1, 5.885% 1/25/35 (d)(f) | 40,496 | 40,724 | ||
Class M2, 6.385% 1/25/35 (d)(f) | 40,496 | 40,990 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (d)(h) | 2,814,375 | 153,203 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
sequential pay Series 2004-ESA Class A3, 4.741% 5/14/16 (d) | 180,000 | 177,323 | ||
Series 2004-ESA: | ||||
Class B, 4.888% 5/14/16 (d) | 325,000 | 320,584 | ||
Class C, 4.937% 5/14/16 (d) | 205,000 | 202,474 | ||
Class D, 4.986% 5/14/16 (d) | 75,000 | 74,171 | ||
Class E, 5.064% 5/14/16 (d) | 230,000 | 228,151 | ||
Class F, 5.182% 5/14/16 (d) | 55,000 | 54,573 | ||
COMM floater Series 2002-FL7 Class D, 5.9388% 11/15/14 (d)(f) | 28,571 | 28,587 | ||
Commercial Mortgage pass thru certificates sequential pay Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (d) | 2,035,000 | 2,024,632 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
Commercial Mortgage Pass-Through Certificates sequential pay Series 2005-C6 Class A2, 4.999% 6/10/44 (f) | $ 940,000 | $ 925,488 | ||
CS First Boston Mortgage Securities Corp. sequential pay Series 2004-C1 Class A4, 4.75% 1/15/37 | 695,000 | 655,208 | ||
DLJ Commercial Mortgage Corp. sequential pay | 8,000,000 | 8,540,335 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8831% 10/16/23 (f) | 18,488 | 18,706 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay: | ||||
Series 2003-22 Class B, 3.963% 5/16/32 | 60,000 | 56,982 | ||
Series 2003-47 Class C, 4.227% 10/16/27 | 5,987,142 | 5,785,050 | ||
Series 2003-59 Class D, 3.654% 10/16/27 | 115,000 | 106,219 | ||
Series 2003-47 Class XA, 0.1793% 6/16/43 (f)(h) | 5,401,685 | 295,595 | ||
Global Signal Trust III Series 2006-1 Class F, 7.036% 2/15/36 (d) | 200,000 | 201,594 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential pay Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,195,000 | 1,168,711 | ||
Series 2006-GG7 Class A3, 6.1101% 7/10/38 | 2,860,000 | 2,913,863 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay Series 2003-C1 Class A2A, 3.59% 1/10/40 | 65,000 | 63,403 | ||
Series 2006-FL8 Class J, 7.12% 6/6/20 (d)(f) | 250,000 | 250,000 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (f) | 9,400,000 | 9,388,548 | ||
Series 2006-RR2: | ||||
Class M, 5.8158% 6/1/46 (f) | 100,000 | 75,645 | ||
Class N, 5.8158% 6/1/46 (f) | 100,000 | 69,094 | ||
Guggenheim Structure Real Estate Funding Ltd. | 250,000 | 250,000 | ||
Hilton Hotel Pool Trust Series 2000-HLTA Class D, 7.555% 10/3/15 (d) | 370,000 | 389,894 | ||
Host Marriott Pool Trust sequential pay Series 1999-HMTA Class D, 7.97% 8/3/15 (d) | 110,000 | 117,072 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential pay: | ||||
Series 2006-CB14 Class A3B, 5.6711% 12/12/44 (f) | 2,790,000 | 2,766,678 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (f) | 1,305,000 | 1,316,136 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 1,295,000 | 1,256,179 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 1,152,000 | 1,133,662 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2000-C5 Class E, 7.29% 12/15/32 | $ 700,000 | $ 740,264 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 295,000 | 307,512 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (d) | 6,600,000 | 5,812,349 | ||
Merrill Lynch Mortgage Trust sequential pay | 1,580,000 | 1,527,544 | ||
Morgan Stanley Capital I Trust Series 2006-T23 | 1,140,000 | 1,148,706 | ||
Morgan Stanley Capital I, Inc. Series 2005-IQ9 | 3,835,065 | 158,933 | ||
Mortgage Capital Funding, Inc. sequential pay | 269,743 | 272,433 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d) | 353,175 | 436,982 | ||
Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (d) | 7,000,000 | 7,088,171 | ||
Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
Class C3, 6.522% 3/15/13 (d) | 13,634 | 13,766 | ||
Class C4, 6.893% 5/15/16 (d) | 500,000 | 523,539 | ||
Class E3, 7.253% 3/15/13 (d) | 127,278 | 129,906 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 785,000 | 754,477 | ||
Series 2006-C24 Class A2, 5.506% 3/15/45 | 16,615,000 | 16,576,347 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (d)(f) | 1,000,000 | 965,720 | ||
Class 180B, 5.5782% 10/15/41 (d)(f) | 500,000 | 486,790 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $92,677,210) | 92,905,208 | |||
Foreign Government and Government Agency Obligations - 2.2% | ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 1,309,410 | 1,227,572 | ||
4.889% 8/3/12 (f) | 1,563,750 | 1,451,160 | ||
7% 3/28/11 | 905,000 | 860,831 | ||
Brazilian Federative Republic: | ||||
8% 1/15/18 | 491,000 | 531,999 | ||
8.75% 2/4/25 | 275,000 | 317,213 | ||
10.5% 7/14/14 | 155,000 | 191,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
Brazilian Federative Republic: - continued | ||||
11% 8/17/40 | $ 1,400,000 | $ 1,798,300 | ||
12.25% 3/6/30 | 580,000 | 900,450 | ||
12.75% 1/15/20 | 290,000 | 430,650 | ||
Central Bank of Nigeria: | ||||
Brady 6.25% 11/15/20 | 500,000 | 497,500 | ||
promissory note 5.092% 1/5/10 | 279,236 | 269,415 | ||
City of Kiev 8.75% 8/8/08 | 100,000 | 102,750 | ||
Colombian Republic 11.75% 2/25/20 | 200,000 | 275,500 | ||
Dominican Republic: | ||||
Brady 5.7925% 8/30/09 (f) | 90,408 | 90,046 | ||
6.1875% 8/30/24 (f) | 1,250,000 | 1,196,875 | ||
9.5% 9/27/11 | 691,684 | 741,831 | ||
Ecuador Republic: | ||||
9% 8/15/30 (Reg. S) (c) | 1,105,000 | 1,118,813 | ||
9.375% 12/15/15 (d) | 800,000 | 836,000 | ||
euro par 5% 2/28/25 | 153,000 | 113,794 | ||
Indonesian Republic: | ||||
6.75% 3/10/14 | 950,000 | 947,625 | ||
7.25% 4/20/15 (d) | 60,000 | 61,578 | ||
7.25% 4/20/15 | 275,000 | 282,233 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (d) | 200,000 | 186,000 | ||
Israeli State 4.625% 6/15/13 | 20,000 | 18,618 | ||
Lebanon, Republic of: | ||||
8.5669% 11/30/09 (d)(f) | 105,000 | 103,163 | ||
8.5669% 11/30/09 (f) | 1,150,000 | 1,129,875 | ||
Pakistan International Sukuk Co. Ltd. 7.76% 1/27/10 (f) | 400,000 | 404,500 | ||
Peruvian Republic: | ||||
5.875% 3/7/27 (f) | 40,000 | 39,400 | ||
7.35% 7/21/25 | 575,000 | 585,638 | ||
euro Brady past due interest 5% 3/7/17 (f) | 1,177,100 | 1,153,558 | ||
Philippine Republic: | ||||
5.3203% 12/1/09 (f) | 23,800 | 23,443 | ||
8.25% 1/15/14 | 1,105,000 | 1,181,024 | ||
8.375% 2/15/11 | 660,000 | 702,108 | ||
8.875% 3/17/15 | 150,000 | 167,250 | ||
9% 2/15/13 | 630,000 | 698,544 | ||
9.875% 1/15/19 | 845,000 | 1,002,424 | ||
10.625% 3/16/25 | 665,000 | 852,065 | ||
Republic of Iraq 5.8% 1/15/28 (d) | 500,000 | 335,000 | ||
Russian Federation: | ||||
5% 3/31/30 (Reg. S) (c) | 3,177,000 | 3,456,973 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
Russian Federation: - continued | ||||
12.75% 6/24/28 (Reg. S) | $ 590,000 | $ 1,023,650 | ||
State of Qatar 9.75% 6/15/30 (Reg. S) | 75,000 | 105,750 | ||
Turkish Republic: | ||||
11% 1/14/13 | 135,000 | 159,975 | ||
11.5% 1/23/12 | 200,000 | 238,500 | ||
11.75% 6/15/10 | 2,255,000 | 2,610,163 | ||
11.875% 1/15/30 | 1,320,000 | 1,920,600 | ||
Ukraine Government: | ||||
(Reg. S) 6.875% 3/4/11 | 575,000 | 572,125 | ||
8.235% 8/5/09 (f) | 1,050,000 | 1,106,490 | ||
United Mexican States: | ||||
5.875% 1/15/14 | 6,610,000 | 6,600,085 | ||
6.75% 9/27/34 | 3,790,000 | 3,865,800 | ||
7.5% 1/14/12 | 100,000 | 107,800 | ||
7.5% 4/8/33 | 605,000 | 671,550 | ||
8.3% 8/15/31 | 665,000 | 800,660 | ||
11.5% 5/15/26 | 50,000 | 76,625 | ||
Uruguay Republic: | ||||
7.5% 3/15/15 | 250,000 | 254,125 | ||
8% 11/18/22 | 135,000 | 135,338 | ||
Venezuelan Republic: | ||||
5.375% 8/7/10 | 265,000 | 255,460 | ||
6% 12/9/20 | 220,000 | 198,000 | ||
6.5106% 4/20/11 (f) | 820,000 | 822,050 | ||
7% 12/1/18 (Reg. S) | 220,000 | 218,900 | ||
7.65% 4/21/25 | 350,000 | 368,900 | ||
9.25% 9/15/27 | 325,000 | 401,538 | ||
10.75% 9/19/13 | 590,000 | 717,440 | ||
13.625% 8/15/18 | 548,000 | 811,040 | ||
euro Brady FLIRB B 5.985% 3/31/07 (f) | 23,805 | 23,805 | ||
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (c) | 90,000 | 71,100 | ||
TOTAL FOREIGN GOVERNMENT AND (Cost $48,637,957) | 50,421,000 | |||
Supranational Obligations - 0.1% | ||||
Corporacion Andina de Fomento 6.875% 3/15/12 | 910,000 | 953,277 | ||
Floating Rate Loans - 0.0% | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - 0.0% | ||||
Specialty Retail - 0.0% | ||||
Toys 'R' US, Inc. term loan 8.3463% 12/9/08 (f) | $ 250,000 | $ 248,438 | ||
INDUSTRIALS - 0.0% | ||||
Airlines - 0.0% | ||||
Delta Air Lines, Inc. Tranche C, term loan 12.7725% 3/16/08 (f) | 300,000 | 308,250 | ||
TOTAL FLOATING RATE LOANS (Cost $554,345) | 556,688 | |||
Sovereign Loan Participations - 0.0% | ||||
Indonesian Republic loan participation: | ||||
- Credit Suisse First Boston 6.375% 3/28/13 (f) | 109,785 | 106,492 | ||
- Deutsche Bank 6.375% 3/28/13 (f) | 12,922 | 12,534 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $107,424) | 119,026 |
Fixed-Income Funds - 20.7% | |||
Shares | |||
Fidelity Floating Rate Central Investment Portfolio (g) | 667,453 | 66,892,140 | |
Fidelity Ultra-Short Central Fund (g) | 4,161,697 | 414,005,618 | |
TOTAL FIXED-INCOME FUNDS (Cost $480,930,605) | 480,897,758 | ||
Preferred Securities - 0.3% | |||
Principal | |||
FINANCIALS - 0.3% | |||
Diversified Financial Services - 0.3% | |||
MUFG Capital Finance 1 Ltd. 6.346% (f) | $ 6,805,000 | 6,663,086 | |
TOTAL PREFERRED SECURITIES (Cost $6,760,122) | 6,663,086 | ||
Cash Equivalents - 7.2% | |||
Maturity | Value | ||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.3%, dated 7/31/06 due 8/1/06 | $ 166,817,541 | $ 166,793,000 | |
TOTAL INVESTMENT PORTFOLIO - 109.5% (Cost $2,528,862,776) | 2,540,243,441 | ||
NET OTHER ASSETS - (9.5)% | (219,929,045) | ||
NET ASSETS - 100% | $ 2,320,314,396 |
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley default event of Morgan Stanley ABS Capital I, Inc., par value of the proportional notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34 | Sept. 2034 | $ 134,000 | $ 2,985 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34 | August 2034 | 134,000 | 2,808 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 134,000 | 3,162 | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 134,000 | 1,070 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | $ 134,000 | $ 883 | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 134,000 | 1,166 | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 100,000 | 27 | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 134,000 | 249 | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 | March 2034 | 482,000 | 1,141 | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 | Feb. 2034 | 139,680 | 185 | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 16,887 | 80 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | $ 134,000 | $ 1,601 | ||
Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 | March 2008 | 485,000 | 665 | ||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 | Sept. 2010 | 400,000 | 1,352 | ||
Receive quarterly notional amount multiplied by .37% and pay Goldman Sachs upon default event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 400,000 | 1,436 | ||
Receive quarterly notional amount multiplied by .37% and pay Morgan Stanley, Inc. upon default event of Pacific Gas & Electric Co. par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 600,000 | 2,154 | ||
Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 420,000 | 1,109 | ||
Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 760,000 | 1,938 | ||
Receive semi-annually notional amount multiplied by .56% and pay JPMorgan Chase, Inc. upon default of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | August 2011 | 2,000,000 | 1,140 | ||
TOTAL CREDIT DEFAULT SWAPS | 6,875,567 | 25,151 | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ (40,650) | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | (60,975) | ||
Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | July 2014 | 1,135,000 | (41,757) | ||
Receive semi-annually a fixed rate equal to 4.7515% and pay quarterly a floating rate based on 3-month LIBOR with UBS | Jan. 2009 | 15,000,000 | (226,650) | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 142,400 | ||
Receive semi-annually a fixed rate equal to 5.375% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2009 | 30,000,000 | 387,900 | ||
Receive semi-annually a fixed rate equal to 5.636% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2009 | 100,000,000 | 676,000 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 881,000 | ||
TOTAL INTEREST RATE SWAPS | 268,635,000 | 1,717,268 | |||
Total Return Swaps | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Citibank | Oct. 2006 | 10,000,000 | 136,870 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR with Citibank | Sept. 2006 | 1,000,000 | 13,472 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps - continued | |||||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers | Jan. 2007 | $ 40,000,000 | $ 283,208 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 15 basis points with Bank of America | August 2006 | 2,000,000 | 12,212 | ||
TOTAL TOTAL RETURN SWAPS | 53,000,000 | 445,762 | |||
$ 328,510,567 | $ 2,188,181 |
Legend |
(a) Non-income producing - Issuer is in default. |
(b) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $99,105,199 or 4.3% of net assets. |
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each fixed-income central fund, as of the investing fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the fixed-income central fund's financial statements, which are not covered by the investing fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows: |
Fund | Income earned |
Fidelity Floating Rate Central Investment Portfolio | $ 1,174,909 |
Fidelity Ultra-Short Central Fund | 3,848,914 |
Total | $ 5,023,823 |
Additional information regarding the fund's fiscal year to date purchases and sales, including the ownership percentage, of the following fixed income Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Investment Portfolio | $ - | $ 66,983,961 | $ - | $ 66,892,140 | 4.9% |
Fidelity Ultra-Short Central Fund | 54,002,121 | 384,961,270 | 25,002,507 | 414,005,618 | 5.4% |
Total | $ 54,002,121 | $ 451,945,231 | $ 25,002,507 | $ 480,897,758 |
Income Tax Information |
At July 31, 2006, the fund had a capital loss carryforward of approximately $401,905 all of which will expire on July 31, 2014. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
July 31, 2006 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $166,793,000) - Unaffiliated issuers (cost $2,047,932,171) | $ 2,059,345,683 | |
Affiliated Central Funds (cost $480,930,605) | 480,897,758 | |
Total Investments (cost $2,528,862,776) | $ 2,540,243,441 | |
Receivable for investments sold | 803,521 | |
Receivable for swap agreements | 3,461 | |
Receivable for fund shares sold | 4,470,762 | |
Interest receivable | 16,835,714 | |
Swap agreements, at value | 2,188,181 | |
Other receivables | 180 | |
Total assets | 2,564,545,260 | |
Liabilities | ||
Payable to custodian bank | $ 1,524 | |
Payable for investments purchased | 3,816,270 | |
Delayed delivery | 237,839,445 | |
Payable for fund shares redeemed | 1,225,184 | |
Distributions payable | 435,106 | |
Accrued management fee | 607,086 | |
Distribution fees payable | 3,986 | |
Other affiliated payables | 246,657 | |
Other payables and accrued expenses | 55,606 | |
Total liabilities | 244,230,864 | |
Net Assets | $ 2,320,314,396 | |
Net Assets consist of: | ||
Paid in capital | $ 2,308,461,544 | |
Undistributed net investment income | 2,168,613 | |
Accumulated undistributed net realized gain (loss) on investments | (3,884,607) | |
Net unrealized appreciation (depreciation) on investments | 13,568,846 | |
Net Assets | $ 2,320,314,396 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
July 31, 2006 | ||
Calculation of Maximum Offering Price | $ 10.28 | |
Maximum offering price per share (100/95.25 of $10.28) | $ 10.79 | |
Class T: | $ 10.27 | |
Maximum offering price per share (100/96.50 of $10.27) | $ 10.64 | |
Class B: | $ 10.28 | |
Class C: | $ 10.28 | |
Fidelity Total Bond Fund: | $ 10.28 | |
Institutional Class: | $ 10.27 |
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.
Annual Report
Financial Statements - continued
Statement of Operations
Year ended July 31, 2006 | ||
Investment Income | ||
Dividends | $ 153,546 | |
Interest | 33,296,400 | |
Income from affiliated Central Funds | 5,023,823 | |
Total income | 38,473,769 | |
Expenses | ||
Management fee | $ 2,293,052 | |
Transfer agent fees | 742,160 | |
Distribution fees | 52,639 | |
Fund wide operations fee | 205,256 | |
Independent trustees' compensation | 2,244 | |
Miscellaneous | 1,198 | |
Total expenses before reductions | 3,296,549 | |
Expense reductions | (6,204) | 3,290,345 |
Net investment income | 35,183,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (4,768,928) | |
Affiliated Central Funds | (12,063) | |
Swap agreements | (1,131,505) | |
Total net realized gain (loss) | (5,912,496) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 10,931,759 | |
Swap agreements | 2,016,138 | |
Total change in net unrealized appreciation (depreciation) | 12,947,897 | |
Net gain (loss) | 7,035,401 | |
Net increase (decrease) in net assets resulting from operations | $ 42,218,825 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 35,183,424 | $ 14,843,616 |
Net realized gain (loss) | (5,912,496) | 4,429,155 |
Change in net unrealized appreciation (depreciation) | 12,947,897 | 1,865,347 |
Net increase (decrease) in net assets resulting | 42,218,825 | 21,138,118 |
Distributions to shareholders from net investment income | (31,840,595) | (14,221,483) |
Distributions to shareholders from net realized gain | (1,679,853) | (3,063,178) |
Total distributions | (33,520,448) | (17,284,661) |
Share transactions - net increase (decrease) | 1,879,857,353 | 53,654,454 |
Total increase (decrease) in net assets | 1,888,555,730 | 57,507,911 |
Net Assets | ||
Beginning of period | 431,758,666 | 374,250,755 |
End of period (including undistributed net investment income of $2,168,613 and undistributed net investment income of $539,146, respectively) | $ 2,320,314,396 | $ 431,758,666 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .476 | .387 | .046 |
Net realized and unrealized gain (loss) | (.294) H | .183 | .145 |
Total from investment operations | .182 | .570 | .191 |
Distributions from net investment income | (.432) | (.370) | (.041) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.472) | (.460) | (.041) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | 1.78% | 5.52% | 1.85% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | .79% | .96% | .87% A |
Expenses net of fee waivers, if any | .79% | .80% | .80% A |
Expenses net of all reductions | .79% | .80% | .80% A |
Net investment income | 4.61% | 3.69% | 3.51% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 4,545 | $ 2,974 | $ 102 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.56 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .466 | .377 | .045 |
Net realized and unrealized gain (loss) | (.296) H | .173 | .144 |
Total from investment operations | .170 | .550 | .189 |
Distributions from net investment income | (.420) | (.360) | (.039) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.460) | (.450) | (.039) |
Net asset value, end of period | $ 10.27 | $ 10.56 | $ 10.46 |
Total Return B, C, D | 1.66% | 5.33% | 1.84% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | .91% | 1.13% | .96% A |
Expenses net of fee waivers, if any | .90% | .90% | .90% A |
Expenses net of all reductions | .90% | .90% | .90% A |
Net investment income | 4.50% | 3.59% | 3.41% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 4,583 | $ 5,739 | $ 102 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .399 | .309 | .036 |
Net realized and unrealized gain (loss) | (.296) H | .182 | .145 |
Total from investment operations | .103 | .491 | .181 |
Distributions from net investment income | (.353) | (.291) | (.031) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.393) | (.381) | (.031) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | 1.01% | 4.74% | 1.76% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | 1.59% | 1.75% | 1.62% A |
Expenses net of fee waivers, if any | 1.55% | 1.55% | 1.55% A |
Expenses net of all reductions | 1.55% | 1.55% | 1.55% A |
Net investment income | 3.85% | 2.94% | 2.76% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 1,667 | $ 2,029 | $ 104 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .389 | .299 | .035 |
Net realized and unrealized gain (loss) | (.293) H | .181 | .145 |
Total from investment operations | .096 | .480 | .180 |
Distributions from net investment income | (.346) | (.280) | (.030) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.386) | (.370) | (.030) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | .94% | 4.63% | 1.74% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | 1.62% | 1.74% | 1.74% A |
Expenses net of fee waivers, if any | 1.62% | 1.65% | 1.65% A |
Expenses net of all reductions | 1.62% | 1.65% | 1.65% A |
Net investment income | 3.78% | 2.84% | 2.66% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 1,770 | $ 677 | $ 142 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended July 31, | 2006 | 2005 | 2004 | 2003 H |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.28 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income D | .506 | .411 | .340 | .232 |
Net realized and unrealized gain (loss) | (.290) G | .182 | .237 | .269 |
Total from investment operations | .216 | .593 | .577 | .501 |
Distributions from net investment income | (.466) | (.393) | (.337) | (.221) |
Distributions from net realized gain | (.040) | (.090) | (.060) | - |
Total distributions | (.506) | (.483) | (.397) | (.221) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 | $ 10.28 |
Total Return B, C | 2.11% | 5.75% | 5.68% | 5.01% |
Ratios to Average Net Assets E, I | ||||
Expenses before reductions | .45% | .64% | .75% | 1.01% A |
Expenses net of fee waivers, if any | .45% | .61% | .65% | .65% A |
Expenses net of all reductions | .45% | .61% | .65% | .65% A |
Net investment income | 4.95% | 3.87% | 3.25% | 2.83% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 2,306,817 | $ 420,225 | $ 373,699 | $ 80,816 |
Portfolio turnover rate F | 99% | 193% | 251% | 423% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the affiliated central funds.
F Amounts do not include the portfolio activity of the affiliated central funds.
G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
H For the period October 15, 2002 (commencement of operations) to July 31, 2003.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended July 31, | 2006 | 2005 | 2004 H |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income D | .493 | .410 | .048 |
Net realized and unrealized gain (loss) | (.294) G | .182 | .145 |
Total from investment operations | .199 | .592 | .193 |
Distributions from net investment income | (.459) | (.392) | (.043) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.499) | (.482) | (.043) |
Net asset value, end of period | $ 10.27 | $ 10.57 | $ 10.46 |
Total Return B, C | 1.95% | 5.74% | 1.87% |
Ratios to Average Net Assets E, I | |||
Expenses before reductions | .56% | .62% | .71% A |
Expenses net of fee waivers, if any | .56% | .62% | .65% A |
Expenses net of all reductions | .56% | .61% | .65% A |
Net investment income | 4.84% | 3.87% | 3.66% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 933 | $ 114 | $ 102 |
Portfolio turnover rate F | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the affiliated central funds.
F Amounts do not include the portfolio activity of the affiliated central funds.
G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended July 31, 2006
1. Significant Accounting Policies.
Fidelity Total Bond Fund (the Fund) is a non-diversified fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Class B, Class C, Total Bond (the original class), and Institutional Class 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. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The Fund may invest in Fidelity Ultra-Short Central Fund (Ultra-Short Central Fund) and fixed-income Central Investment Portfolios (CIPs), collectively referred to as the Central Funds, which are open-end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund, which are also consistently followed by the Central Funds:
On July 20, 2006, the Board of Trustees approved a change in the fiscal year-end of the Fund from July 31, to August 31, effective August 31, 2006.
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ
Annual Report
1. Significant Accounting Policies - continued
Security Valuation - continued
from published prices for the same securities. Investments in open-end mutual funds, including the Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions, including the Fund's investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. 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 by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income 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 generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to defaulted bonds, market discount, partnerships (including allocations from CIPs), financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 25,480,756 | |
Unrealized depreciation | (10,729,602) | |
Net unrealized appreciation (depreciation) | 14,751,154 | |
Undistributed ordinary income | 991,384 | |
Capital loss carryforward | (401,905) | |
Cost for federal income tax purposes | $ 2,525,492,287 |
The tax character of distributions paid was as follows:
July 31, 2006 | July 31, 2005 | |
Ordinary Income | $ 32,890,503 | $ 16,942,281 |
Long-term Capital Gains | 629,945 | 342,380 |
Total | $ 33,520,448 | $ 17,284,661 |
New Accounting Pronouncement. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48) was issued and is effective for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets and results of operations.
Annual Report
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the fund's Schedule of Investments.
Annual Report
Notes to Financial Statements - continued
2. Operating Policies - continued
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in
Annual Report
2. Operating Policies - continued
Swap Agreements - continued
compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,174,258,515 and $90,074,542, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Annual Report
Notes to Financial Statements - continued
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 6,518 | $ 193 |
Class T | 0% | .25% | 14,532 | 7,540 |
Class B | .65% | .25% | 19,939 | 14,677 |
Class C | .75% | .25% | 11,650 | 6,833 |
$ 52,639 | $ 29,243 |
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares (.25% prior to February 24, 2006) and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 8,889 |
Class T | 2,719 |
Class B* | 749 |
Class C* | 1,715 |
$ 14,072 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Total Bond. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Total Bond shares. 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. FSC receives an
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
asset-based fee of .10% of Total Bond's average net assets. FIIOC and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 12,392 | .29 |
Class T | 18,034 | .31 |
Class B | 7,426 | .34 |
Class C | 3,090 | .27 |
Total Bond | 700,498 | .10 |
Institutional Class | 720 | .21 |
$ 742,160 |
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
Affiliated Central Funds. The Fund may invest in Ultra-Short Central Fund, managed by Fidelity Investments Money Management, Inc. (FIMM), which seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.
The Fund may also invest in CIPs managed by FIMM, or Fidelity Management & Research Company Inc. (FMRC), each an affiliate of FMR.
The Floating Rate Central Investment Portfolio seeks a high level of income by normally investing in floating rate loans and other floating rate securities.
The Fund's Schedule of Investments lists the Central Funds as an investment of the Fund but does not include the underlying holdings of the Central Funds. Based on their investment objectives, the Central Funds may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. In addition, the Central Fund may also participate in derivatives. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks, including the
Annual Report
Notes to Financial Statements - continued
4. Fees and Other Transactions with Affiliates - continued
Affiliated Central Funds - continued
risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of the Central Funds and the Fund.
A complete unaudited list of holdings for the Central Funds, as of the Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the Central Funds financial statements, which are not covered by this Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Central Funds do not pay a management fee.
5. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounts to $1,198 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
6. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class T | .90% | $ 695 |
Class B | 1.55% | 844 |
$ 1,539 |
Annual Report
6. Expense Reductions - continued
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $3,201. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Total Bond | $ 1,464 |
7. 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.
Subsequent to fiscal year end, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. FIIOC will cause the books and records of the fund to reflect a conversion of the relevant Class B shares to Class A and is in the process of determining the impact to affected shareholder accounts for purposes of its remediation.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended July 31, | ||
2006 | 2005 | |
From net investment income | ||
Class A | $ 180,734 | $ 44,038 |
Class T | 235,647 | 89,638 |
Class B | 75,406 | 27,061 |
Class C | 39,421 | 10,692 |
Total Bond | 31,294,037 | 14,046,106 |
Institutional Class | 15,350 | 3,948 |
Total | $ 31,840,595 | $ 14,221,483 |
Annual Report
Notes to Financial Statements - continued
8. Distributions to Shareholders - continued
Years ended July 31, | ||
2006 | 2005 | |
From net realized gain | ||
Class A | $ 12,832 | $ 1,823 |
Class T | 23,014 | 2,706 |
Class B | 8,379 | 2,453 |
Class C | 2,940 | 2,151 |
Total Bond | 1,632,006 | 3,053,158 |
Institutional Class | 682 | 887 |
Total | $ 1,679,853 | $ 3,063,178 |
9. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Years ended July 31, | Years ended July 31, | |||
2006 | 2005 | 2006 | 2005 | |
Class A | ||||
Shares sold | 390,963 | 284,201 | $ 4,048,068 | $ 3,006,382 |
Reinvestment of distributions | 16,805 | 4,224 | 174,112 | 44,746 |
Shares redeemed | (246,932) | (16,733) | (2,534,797) | (177,183) |
Net increase (decrease) | 160,836 | 271,692 | $ 1,687,383 | $ 2,873,945 |
Class T | ||||
Shares sold | 395,729 | 640,420 | $ 4,083,246 | $ 6,767,881 |
Reinvestment of distributions | 24,086 | 8,561 | 249,752 | 90,624 |
Shares redeemed | (517,046) | (115,159) | (5,305,428) | (1,215,824) |
Net increase (decrease) | (97,231) | 533,822 | $ (972,430) | $ 5,642,681 |
Class B | ||||
Shares sold | 117,578 | 198,926 | $ 1,220,621 | $ 2,105,652 |
Reinvestment of distributions | 6,955 | 2,416 | 72,205 | 25,606 |
Shares redeemed | (154,343) | (19,350) | (1,585,560) | (204,667) |
Net increase (decrease) | (29,810) | 181,992 | $ (292,734) | $ 1,926,591 |
Class C | ||||
Shares sold | 167,899 | 64,313 | $ 1,733,336 | $ 682,289 |
Reinvestment of distributions | 3,045 | 1,008 | 31,492 | 10,695 |
Shares redeemed | (62,848) | (14,837) | (646,689) | (156,875) |
Net increase (decrease) | 108,096 | 50,484 | $ 1,118,139 | $ 536,109 |
Total Bond | ||||
Shares sold | 196,541,228 | 15,519,844 | $ 1,999,048,539 | $ 164,657,854 |
Reinvestment of distributions | 2,948,119 | 1,546,242 | 30,457,852 | 16,406,907 |
Shares redeemed | (14,766,457) | (13,038,155) | (152,010,033) | (138,400,918) |
Net increase (decrease) | 184,722,890 | 4,027,931 | $ 1,877,496,358 | $ 42,663,843 |
Institutional Class | ||||
Shares sold | 87,064 | 615 | $ 891,633 | $ 6,559 |
Reinvestment of distributions | 888 | 453 | 9,142 | 4,801 |
Shares redeemed | (7,870) | (7) | (80,138) | (75) |
Net increase (decrease) | 80,082 | 1,061 | $ 820,637 | $ 11,285 |
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at July 31, 2006, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 9, 2006
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy and Albert R. Gamper, Jr., each of the Trustees oversees 345 funds advised by FMR or an affiliate. Mr. McCoy oversees 347 funds advised by FMR or an affiliate. Mr. Gamper oversees 290 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Annual Report
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (76) | |
Year of Election or Appointment: 1984 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director (1999-present) of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL). | |
Stephen P. Jonas (53) | |
Year of Election or Appointment: 2005 Mr. Jonas is Senior Vice President of Total Bond (2005-present). He also serves as Senior Vice President of other Fidelity funds (2005-present). Mr. Jonas is Executive Director of FMR (2005-present) and FMR Co., Inc. (2005-present). He also serves as a Director of Fidelity Investments Money Management, Inc. (2005-present) and FMR Corp. (2003-present). Previously, Mr. Jonas served as President of Fidelity Enterprise Operations and Risk Services (2004-2005), Chief Administrative Officer (2002-2004), and Chief Financial Officer of FMR Corp. (1998-2002). In addition, he serves on the Boards of Boston Ballet (2003-present) and Simmons College (2003-present). | |
Robert L. Reynolds (54) | |
Year of Election or Appointment: 2003 Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as a Director (2003-present) and Chief Operating Officer (2000-present) of FMR Corp. and a Director of Strategic Advisers, Inc. (2005-present). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000-present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Annual Report
Trustees and Officers - continued
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Dennis J. Dirks (58) | |
Year of Election or Appointment: 2005 Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present). | |
Albert R. Gamper, Jr. (64) | |
Year of Election or Appointment: 2006 Mr. Gamper also serves as a Trustee (2006-present) or Member of the Advisory Board (2005-present) of other investment companies advised by FMR. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. | |
Robert M. Gates (62) | |
Year of Election or Appointment: 1997 Dr. Gates is Chairman of the Independent Trustees (2006-present). Dr. Gates is President of Texas A&M University (2002-present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001-present), and Brinker International (restaurant management, 2003-present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). | |
George H. Heilmeier (70) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display. | |
Marie L. Knowles (59) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (62) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations. | |
William O. McCoy (72) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Duke Realty Corporation (real estate). He is also a partner of Franklin Street Partners (private investment management firm). In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves as Chairman of the Board of Directors of the University of North Carolina Health Care System. He also served as Vice President of Finance for the University of North Carolina (16-school system). | |
Cornelia M. Small (62) | |
Year of Election or Appointment: 2005 Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
William S. Stavropoulos (67) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), and Metalmark Capital (private equity investment firm, 2005-present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Kenneth L. Wolfe (67) | |
Year of Election or Appointment: 2005 Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present). |
Annual Report
Trustees and Officers - continued
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Keyes may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
James H. Keyes (65) | |
Year of Election or Appointment: 2006 Member of the Advisory Board of Fidelity Income Fund. Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies, 1984-present), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-present). | |
Peter S. Lynch (62) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Income Fund. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director (1999-present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as the Chairman of the Inner-City Scholarship Fund. | |
Walter C. Donovan (44) | |
Year of Election or Appointment: 2005 Vice President of Total Bond. Mr. Donovan also serves as Vice President of Fidelity's High Income Funds (2005-present). Mr. Donovan also serves as Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present). Previously, Mr. Donovan served as Vice President of Fidelity's Fixed-Income Funds (2005-2006), certain Asset Allocation Funds (2005-2006), certain Balanced Funds (2005-2006), and as Vice President and Director of Fidelity's International Equity Trading group (1998-2005). | |
Boyce I. Greer (50) | |
Year of Election or Appointment: 2006 Vice President of Total Bond. Mr. Greer also serves as Vice President of certain Equity Funds (2005-present), certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). He is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002). | |
Robert A. Lawrence (53) | |
Year of Election or Appointment: 2006 Vice President of Total Bond. Mr. Lawrence also serves as Vice President of the High Income Funds. Mr. Lawrence is Senior Vice President of FMR (2006-present) and FMR Co., Inc. (2006-present). Previously, Mr. Lawrence served as President of Fidelity Strategic Investments (2002-2005). | |
David L. Murphy (58) | |
Year of Election or Appointment: 2005 Vice President of Total Bond. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), certain Asset Allocation Funds (2003-present), Fixed-Income Funds (2005-present), and Balanced Funds (2005-present). He serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). | |
Thomas J. Silvia (45) | |
Year of Election or Appointment: 2005 Vice President of Total Bond. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present), certain Balanced Funds (2005-present), certain Asset Allocation Funds (2005-present), and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004). | |
Ford O'Neil (44) | |
Year of Election or Appointment: 2005 Vice President of Total Bond. Mr. O'Neil also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. O'Neil worked as a research analyst and portfolio manager. | |
Eric D. Roiter (57) | |
Year of Election or Appointment: 2002 Secretary of Total Bond. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005). | |
Stuart Fross (46) | |
Year of Election or Appointment: 2003 Assistant Secretary of Total Bond. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003-present), Vice President and Secretary of FDC (2005-present), and is an employee of FMR. | |
Christine Reynolds (47) | |
Year of Election or Appointment: 2004 President and Treasurer of Total Bond. Ms. Reynolds also serves as President and Treasurer of other Fidelity funds (2004-present) and is a Vice President (2003-present) and an employee (2002-present) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
R. Stephen Ganis (40) | |
Year of Election or Appointment: 2006 Anti-Money Laundering (AML) officer of Total Bond. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002). | |
Joseph B. Hollis (58) | |
Year of Election or Appointment: 2006 Chief Financial Officer of Total Bond. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005). | |
Kenneth A. Rathgeber (59) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of Total Bond. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
Bryan A. Mehrmann (45) | |
Year of Election or Appointment: 2005 Deputy Treasurer of Total Bond. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004). | |
Kimberley H. Monasterio (45) | |
Year of Election or Appointment: 2004 Deputy Treasurer of Total Bond. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
Kenneth B. Robins (36) | |
Year of Election or Appointment: 2005 Deputy Treasurer of Total Bond. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Robert G. Byrnes (39) | |
Year of Election or Appointment: 2005 Assistant Treasurer of Total Bond. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003). | |
John H. Costello (59) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Total Bond. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Peter L. Lydecker (52) | |
Year of Election or Appointment: 2004 Assistant Treasurer of Total Bond. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (51) | |
Year of Election or Appointment: 2002 Assistant Treasurer of Total Bond. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Gary W. Ryan (47) | |
Year of Election or Appointment: 2005 Assistant Treasurer of Total Bond. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005). | |
Salvatore Schiavone (40) | |
Year of Election or Appointment: 2005 Assistant Treasurer of Total Bond. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003). |
Annual Report
Distributions
A total of 22.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $21,179,474 of distributions paid during the period January 1, 2006 to July 31, 2006 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2007 of amounts for use in preparing 2006 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on January 18, 2006. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Dennis J. Dirks | ||
Affirmative | 8,252,035,677.61 | 97.347 |
Withheld | 224,894,685.16 | 2.653 |
TOTAL | 8,476,930,362.77 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 8,252,680,829.70 | 97.355 |
Withheld | 224,249,533.07 | 2.645 |
TOTAL | 8,476,930,362.77 | 100.000 |
Robert M. Gates | ||
Affirmative | 8,239,007,314.92 | 97.193 |
Withheld | 237,923,047.85 | 2.807 |
TOTAL | 8,476,930,362.77 | 100.000 |
George H. Heilmeier | ||
Affirmative | 8,242,547,667.10 | 97.235 |
Withheld | 234,382,695.67 | 2.765 |
TOTAL | 8,476,930,362.77 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 8,207,133,817.28 | 96.817 |
Withheld | 269,796,545.49 | 3.183 |
TOTAL | 8,476,930,362.77 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 8,205,030,635.55 | 96.792 |
Withheld | 271,899,727.22 | 3.208 |
TOTAL | 8,476,930,362.77 | 100.000 |
Stephen P. Jonas | ||
Affirmative | 8,239,700,661.39 | 97.201 |
Withheld | 237,229,701.38 | 2.799 |
TOTAL | 8,476,930,362.77 | 100.000 |
# of | % of | |
Marie L. Knowles | ||
Affirmative | 8,246,135,458.96 | 97.277 |
Withheld | 230,794,903.81 | 2.723 |
TOTAL | 8,476,930,362.77 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 8,247,874,320.21 | 97.298 |
Withheld | 229,056,042.56 | 2.702 |
TOTAL | 8,476,930,362.77 | 100.000 |
William O. McCoy | ||
Affirmative | 8,229,632,189.68 | 97.083 |
Withheld | 247,298,173.09 | 2.917 |
TOTAL | 8,476,930,362.77 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 8,241,271,395.49 | 97.220 |
Withheld | 235,658,967.28 | 2.780 |
TOTAL | 8,476,930,362.77 | 100.000 |
Cornelia M. Small | ||
Affirmative | 8,249,991,018.59 | 97.323 |
Withheld | 226,939,344.18 | 2.677 |
TOTAL | 8,476,930,362.77 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 8,236,371,332.54 | 97.162 |
Withheld | 240,559,030.23 | 2.838 |
TOTAL | 8,476,930,362.77 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 8,244,328,417.87 | 97.256 |
Withheld | 232,601,944.90 | 2.744 |
TOTAL | 8,476,930,362.77 | 100.000 |
A Denotes trust-wide proposal and voting results. |
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2006 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Annual Report
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge. The Board noted that, since the last Advisory Contract renewals in June 2005, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) voluntarily entering into contractual arrangements with certain brokers pursuant to which Fidelity pays for research products and services separately out of its own resources, rather than bundling with fund commissions; (iii) launching the Fidelity Advantage Class of its five Spartan stock index funds and three Spartan bond index funds, which is a lower-fee class available to shareholders with higher account balances; (iv) contractually agreeing to impose expense limitations on Fidelity U.S. Bond Index Fund and reducing the fund's initial investment minimum; and (v) offering shareholders of each of the Fidelity Institutional Money Market Funds the privilege of exchanging shares of the fund for shares of other Fidelity funds.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a broad-based securities market index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. Because the fund had been in existence less than five calendar years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2005, as applicable, the cumulative total returns of Class C and Fidelity Total Bond (retail class), the cumulative total returns of a broad-based securities market index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Class C and Fidelity Total Bond (retail class) represent the performance of classes with the highest and lowest 12b-1 fees, respectively (not necessarily with the highest and lowest total expenses). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the class indicated.
Annual Report
Fidelity Total Bond Fund
The Board reviewed the fund's relative investment performance against its Lipper peer group and stated that the performance of Fidelity Total Bond (retail class) was in the first quartile for all the periods shown. The Board also stated that the relative investment performance of the fund was lower than its benchmark for the one-year period, although the three-year cumulative total return of Fidelity Total Bond (retail class) compared favorably to its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 8% means that 92% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Fidelity Total Bond Fund
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2005.
Furthermore, the Board considered that it had approved an amendment (effective June 1, 2005) to the fund's management contract that lowered the fund's individual fund fee rate from 30 basis points to 20 basis points. The Board considered that the chart reflects the fund's lower management fee for 2005, as if the lower rate were in effect for the entire year.
Annual Report
Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board also considered that it had approved changes (effective June 1, 2005) in the contractual arrangements for the fund that (i) have the effect of setting the total "fund-level" expenses (including, among certain other expenses, the management fee) for each class at 35 basis points, (ii) lower and limit the "class-level" transfer agent fee for Fidelity Total Bond (retail class) to 10 basis points, and (iii) limit the total expenses for Fidelity Total Bond (retail class) to 45 basis points. These contractual arrangements may not be increased without Board approval. The fund's Advisor classes continue to be subject to different class-level expenses (transfer agent fees and 12b-1 fees).
The Board noted that the total expenses of each class ranked below its competitive median for 2005. The Board considered that each class's total expenses reflect the contractual arrangements for 2005, as if the contractual arrangements were in effect for the entire year.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower fee rates as total fund assets under FMR's management increase, and for higher fee rates as total fund assets under FMR's management decrease. The Board noted that because the contractual arrangements that went into effect June 1, 2005 set the total fund-level expenses for each class at 35 basis points, increases or decreases in the management fee due to changes in the group fee rate will not impact total expenses. The Board realized, however, that the 35 basis point fee rate was below the lowest management fee rate available under the contractual arrangements that existed prior to June 1, 2005.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including (Advisor classes only) reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases. The Board also noted that the reduction in the fund's individual fund fee rate by 10 basis points delivers significant economies to fund shareholders. The Board concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Annual Report
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information on several topics, including (i) Fidelity's fund profitability methodology and profitability trends within certain funds; (ii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iii) the total expenses of certain funds and classes relative to competitors; (iv) fund performance trends; and (v) Fidelity's fee structures.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
Fidelity International
Investment Advisors
Fidelity International
Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agent
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
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for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
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(automated graphic) Automated line for quickest service
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www.fidelity.com
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Fidelity Advisor
Total Bond
Fund - Class A, Class T, Class B
and Class C
Annual Report
July 31, 2006
Class A, Class T, Class B,
and Class C are classes of
Fidelity Total Bond Fund
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results | ||
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
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 quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Although many securities markets made gains in early 2006, inflation concerns led to mixed results through the year's mid-point. Financial markets are always unpredictable. There are, however, a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended July 31, 2006 | Past 1 | Life of |
Class A (incl. 4.75% sales charge) B | -3.06% | 3.39% |
Class T (incl. 3.50% sales charge) C | -1.90% | 3.66% |
Class B (incl. contingent deferred sales charge) D | -3.86% | 3.58% |
Class C (incl. contingent deferred sales charge) E | -0.03% | 4.24% |
A From October 15, 2002.
B Class A shares bear a 0.15% 12b-1 fee. The initial offering of Class A shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class A shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower.
C Class T shares bear a 0.25% 12b-1 fee. The initial offering of Class T shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class T shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower.
D Class B shares bear a 0.90% 12b-1 fee. The initial offering of Class B shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class B shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower. Class B shares' contingent deferred sales charges included in past one year and life of fund total return figures are 5% and 3%, respectively.
E Class C shares bear a 1.00% 12b-1 fee. The initial offering of Class C shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee. Had Class C shares' 12b-1 fee been reflected, returns prior to June 16, 2004 would have been lower. Class C shares' contingent deferred sales charges included in the past one year and life of fund total return figures are 1% and 0%, respectively.
Annual Report
Performance - continued
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Advisor Total Bond Fund - Class T on October 15, 2002, when the fund started, and the current 3.50% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® Aggregate Bond Index and the Lehman Brothers U.S. Universal Index performed over the same period.
Going forward, the fund's primary benchmark will be the Lehman Brothers Aggregate Bond Index rather than the Lehman Brothers U.S. Universal Index because the Lehman Brothers Aggregate Bond Index is more widely recognized and used by similar funds. The fund will retain the Lehman Brothers U.S. Universal Index as its supplemental benchmark for performance comparisons and as a guide in structuring the fund's investments.
Annual Report
Management's Discussion of Fund Performance
Comments from Ford O'Neil, Portfolio Manager of Fidelity Advisor Total Bond Fund
The domestic investment-grade bond market struggled during the year ending July 31, 2006, finishing with a 1.46% return as measured by the Lehman Brothers® Aggregate Bond Index. The negative momentum was fueled by rising levels of core inflation and Federal Reserve Board interest rate hikes aimed to keep inflation at bay. In all, the Fed bumped up rates eight times during the period, hoisting the federal funds target rate to 5.25%, its highest level in five years. On the plus side, bonds scored well in the final quarter of the period, advancing 1.46%. Investors turned to high-quality debt in the last three months for a number of reasons: Equity performance stumbled; gross domestic product growth in the second quarter of 2006 gave strong evidence of a slowing economy; and the Fed supported that notion by announcing the possibility of a pause in its rate hike campaign.
During the past year, the fund's Class A, Class T, Class B and Class C shares returned 1.78%, 1.66%, 1.01% and 0.94%, respectively (excluding sales charges). In comparison, the Lehman Brothers Aggregate Bond Index - which became the fund's primary benchmark on June 1, 2006 - gained 1.46% and the Lehman Brothers U.S. Universal Index rose 1.84%. Benefiting performance versus the Aggregate Bond index was security selection among investment-grade corporates. Sector selection also helped, with allocations to asset-backed securities and collateralized mortgage obligations working in our favor. Some holdings in these securitized products resulted from our advantageous allocation to Fidelity® Ultra-Short Central Fund, a diversified internal pool of short-term assets designed to outperform cash-like instruments with similar risk characteristics. Investments in emerging-markets and high-yield debt - including a small stake in Fidelity Floating Rate Central Investment Portfolio - contributed as well. We've recently increased the fund's limit on high-yield and emerging-markets debt to allow for more investment flexibility, while keeping at least 80% of the fund in investment-grade debt. Detracting from performance was our lack of exposure to mortgage pass-through securities and government agency bonds, which performed well.
Note to shareholders: Effective June 1, 2006, the fund's primary benchmark changed from the Lehman Brothers U.S. Universal Index to the Lehman Brothers Aggregate Bond Index, which is more widely recognized and used by similar funds. The fund will retain the Universal index as its supplemental benchmark for performance comparisons and as a guide in structuring the fund's investments.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, 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 (February 1, 2006 to July 31, 2006).
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 affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated 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 affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated 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.
Annual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,009.20 | $ 3.99 |
HypotheticalA | $ 1,000.00 | $ 1,020.83 | $ 4.01 |
Class T | |||
Actual | $ 1,000.00 | $ 1,008.60 | $ 4.48 |
HypotheticalA | $ 1,000.00 | $ 1,020.33 | $ 4.51 |
Class B | |||
Actual | $ 1,000.00 | $ 1,005.50 | $ 7.71 |
HypotheticalA | $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,005.10 | $ 8.10 |
HypotheticalA | $ 1,000.00 | $ 1,016.71 | $ 8.15 |
Total Bond | |||
Actual | $ 1,000.00 | $ 1,010.90 | $ 2.24 |
HypotheticalA | $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,010.40 | $ 2.89 |
HypotheticalA | $ 1,000.00 | $ 1,021.92 | $ 2.91 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); 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 affiliated central funds in which the fund invests are not included in the fund's annualized expense ratio.
Annualized | |
Class A | .80% |
Class T | .90% |
Class B | 1.55% |
Class C | 1.63% |
Total Bond | .45% |
Institutional Class | .58% |
Annual Report
Investment Changes
Quality Diversification (% of fund's net assets) | |||||||
As of July 31, 2006 | As of January 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 11.7% | ![]() | AAA 6.4% | ||||
![]() | AA 3.4% | ![]() | AA 2.6% | ||||
![]() | A 7.8% | ![]() | A 4.6% | ||||
![]() | BBB 15.7% | ![]() | BBB 12.2% | ||||
![]() | BB and Below 8.7% | ![]() | BB and Below 10.1% | ||||
![]() | Not Rated 1.4% | ![]() | Not Rated 1.1% | ||||
![]() | Short-Term Investments | ![]() | Short-Term Investments |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. |
Average Years to Maturity as of July 31, 2006 | ||
6 months ago | ||
Years | 6.0 | 5.8 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of July 31, 2006 | ||
6 months ago | ||
Years | 4.5 | 4.2 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of July 31, 2006* | As of January 31, 2006** | ||||||
![]() | Corporate Bonds 24.6% | ![]() | Corporate Bonds 21.5% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other | ![]() | CMOs and Other | ||||
![]() | Other Investments 4.8% | ![]() | Other Investments 3.6% | ||||
![]() | Short-Term Investments | ![]() | Short-Term Investments | ||||
* Foreign investments | 9.1% | ** Foreign investments | 6.2% | ||||
* Futures and Swaps | 14.9% | ** Futures and Swaps | 11.3% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
For an unaudited list of holdings for each fixed-income central fund, visit fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments July 31, 2006
Showing Percentage of Net Assets
Nonconvertible Bonds - 22.9% | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - 2.9% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | $ 100,000 | $ 91,000 | ||
Goodyear Tire & Rubber Co. 9% 7/1/15 | 500,000 | 478,750 | ||
Tenneco, Inc. 8.625% 11/15/14 | 555,000 | 549,450 | ||
TRW Automotive Acquisition Corp. 9.375% 2/15/13 | 87,000 | 92,655 | ||
Visteon Corp. 7% 3/10/14 | 690,000 | 562,350 | ||
1,774,205 | ||||
Automobiles - 0.3% | ||||
Ford Motor Co.: | ||||
6.625% 10/1/28 | 1,635,000 | 1,177,200 | ||
7.45% 7/16/31 | 5,000,000 | 3,675,000 | ||
General Motors Corp.: | ||||
6.375% 5/1/08 | 800,000 | 760,000 | ||
8.25% 7/15/23 | 800,000 | 660,000 | ||
6,272,200 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group, Inc. 11.5% 10/15/15 (d) | 40,000 | 40,100 | ||
Carriage Services, Inc. 7.875% 1/15/15 | 650,000 | 630,500 | ||
Service Corp. International (SCI): | ||||
6.5% 3/15/08 | 75,000 | 74,625 | ||
6.75% 4/1/16 | 1,205,000 | 1,117,638 | ||
1,862,863 | ||||
Hotels, Restaurants & Leisure - 0.2% | ||||
Carrols Corp. 9% 1/15/13 | 105,000 | 104,738 | ||
Domino's, Inc. 8.25% 7/1/11 | 55,000 | 56,650 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 70,000 | 58,713 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 50,000 | 46,750 | ||
8% 11/15/13 | 225,000 | 228,375 | ||
Herbst Gaming, Inc.: | ||||
7% 11/15/14 | 50,000 | 48,250 | ||
8.125% 6/1/12 | 70,000 | 71,225 | ||
Host Marriott LP: | ||||
6.75% 6/1/16 (d) | 100,000 | 96,000 | ||
7.125% 11/1/13 | 35,000 | 35,044 | ||
Kerzner International Ltd. 6.75% 10/1/15 | 140,000 | 147,350 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 435,000 | 402,375 | ||
MGM MIRAGE: | ||||
6% 10/1/09 | 50,000 | 48,500 | ||
8.375% 2/1/11 | 40,000 | 41,200 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Mohegan Tribal Gaming Authority 7.125% 8/15/14 | $ 40,000 | $ 39,050 | ||
MTR Gaming Group, Inc. 9.75% 4/1/10 | 385,000 | 406,175 | ||
Penn National Gaming, Inc. 6.875% 12/1/11 | 80,000 | 78,900 | ||
Pinnacle Entertainment, Inc. 8.25% 3/15/12 | 140,000 | 140,000 | ||
Resorts International Hotel & Casino, Inc. 11.5% 3/15/09 | 225,000 | 241,875 | ||
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (d) | 30,000 | 30,150 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 70,000 | 68,250 | ||
7.25% 5/1/12 | 50,000 | 48,750 | ||
Six Flags, Inc.: | ||||
9.625% 6/1/14 | 180,000 | 163,350 | ||
9.75% 4/15/13 | 55,000 | 50,463 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 100,000 | 96,875 | ||
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 5/1/12 | 250,000 | 264,375 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 420,000 | 394,275 | ||
6.5% 2/1/14 | 40,000 | 36,950 | ||
6.625% 3/15/18 | 50,000 | 44,500 | ||
6.875% 3/1/16 | 450,000 | 415,688 | ||
Town Sports International, Inc. 9.625% 4/15/11 | 106,000 | 109,975 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 60,000 | 57,300 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (b) | 40,000 | 27,200 | ||
9% 1/15/12 | 30,000 | 30,600 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (d) | 42,000 | 44,415 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 160,000 | 164,600 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 160,000 | 150,600 | ||
4,489,486 | ||||
Household Durables - 0.1% | ||||
Fortune Brands, Inc. 5.125% 1/15/11 | 650,000 | 629,527 | ||
Goodman Global Holdings, Inc. 7.875% 12/15/12 | 180,000 | 167,400 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6.25% 1/15/15 | 50,000 | 43,500 | ||
6.5% 1/15/14 | 100,000 | 89,500 | ||
8.875% 4/1/12 | 10,000 | 9,725 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
KB Home 7.25% 6/15/18 | $ 100,000 | $ 93,390 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 50,000 | 49,875 | ||
Technical Olympic USA, Inc. 8.25% 4/1/11 (d) | 200,000 | 183,000 | ||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (d) | 395,000 | 402,900 | ||
WCI Communities, Inc. 9.125% 5/1/12 | 35,000 | 31,413 | ||
1,700,230 | ||||
Media - 2.0% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 537,639 | ||
Cablevision Systems Corp.: | ||||
8% 4/15/12 | 530,000 | 524,038 | ||
9.62% 4/1/09 (f) | 340,000 | 360,400 | ||
CanWest Media, Inc. 8% 9/15/12 | 30,000 | 28,800 | ||
Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp.: | ||||
10.25% 9/15/10 | 615,000 | 621,150 | ||
10.25% 9/15/10 | 100,000 | 101,000 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (d) | 370,000 | 372,775 | ||
Cinemark, Inc. 0% 3/15/14 (b) | 100,000 | 78,000 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 530,000 | 480,186 | ||
5.5% 3/15/11 | 625,000 | 619,272 | ||
5.85% 1/15/10 | 500,000 | 501,883 | ||
6.45% 3/15/37 | 7,845,000 | 7,444,395 | ||
Cox Communications, Inc.: | ||||
4.625% 1/15/10 | 6,210,000 | 5,966,624 | ||
4.625% 6/1/13 | 1,060,000 | 962,243 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 (d)(f) | 460,000 | 445,050 | ||
7.875% 2/15/18 | 400,000 | 405,000 | ||
8.125% 7/15/09 | 365,000 | 373,669 | ||
Dex Media, Inc.: | ||||
0% 11/15/13 (b) | 95,000 | 78,375 | ||
0% 11/15/13 (b) | 5,000 | 4,125 | ||
8% 11/15/13 | 260,000 | 258,700 | ||
EchoStar DBS Corp.: | ||||
6.375% 10/1/11 | 450,000 | 439,313 | ||
6.625% 10/1/14 | 400,000 | 386,000 | ||
7.125% 2/1/16 (d) | 750,000 | 736,875 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Globo Communicacoes e Partcipacoes LTDA 9.375% 12/31/49 | $ 200,000 | $ 195,000 | ||
Globo Comunicacoes e Participacoes SA (Reg. S) 7.375% 10/20/11 (c) | 1,116,302 | 1,117,697 | ||
Granite Broadcasting Corp. 9.75% 12/1/10 | 390,000 | 356,850 | ||
Houghton Mifflin Co.: | ||||
0% 10/15/13 (b) | 450,000 | 372,375 | ||
8.25% 2/1/11 | 500,000 | 503,125 | ||
9.875% 2/1/13 | 445,000 | 457,238 | ||
iesy Repository GmbH 10.375% 2/15/15 (d) | 80,000 | 72,800 | ||
Insight Midwest LP/Insight Capital, Inc. 9.75% 10/1/09 | 100,000 | 102,000 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 570,000 | 524,400 | ||
5.7% 5/15/13 | 450,000 | 414,000 | ||
8.5% 7/15/29 | 130,000 | 129,341 | ||
LodgeNet Entertainment Corp. 9.5% 6/15/13 | 440,000 | 468,050 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 181,443 | ||
News America, Inc.: | ||||
6.2% 12/15/34 | 5,330,000 | 4,879,977 | ||
6.4% 12/15/35 | 500,000 | 470,073 | ||
Nexstar Broadcasting, Inc. 7% 1/15/14 | 700,000 | 616,000 | ||
PanAmSat Corp.: | ||||
6.375% 1/15/08 | 200,000 | 197,000 | ||
9% 8/15/14 | 84,000 | 84,840 | ||
Paxson Communications Corp.: | ||||
8.7569% 1/15/12 (d)(f) | 700,000 | 707,000 | ||
11.7569% 1/15/13 (d)(f) | 800,000 | 800,000 | ||
Quebecor Media, Inc. 7.75% 3/15/16 | 450,000 | 438,750 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (d) | 280,000 | 294,000 | ||
10.375% 9/1/14 (d) | 30,000 | 33,150 | ||
Rogers Cable, Inc. 6.75% 3/15/15 | 50,000 | 48,375 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 600,000 | 579,000 | ||
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 1,000,000 | 1,128,449 | ||
Time Warner, Inc.: | ||||
6.625% 5/15/29 | 8,830,000 | 8,522,460 | ||
9.125% 1/15/13 | 40,000 | 45,755 | ||
Viacom, Inc. 5.75% 4/30/11 (d) | 995,000 | 976,458 | ||
Visant Holding Corp. 8.75% 12/1/13 (d) | 450,000 | 433,125 | ||
46,874,243 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. 9% 10/15/15 | $ 100,000 | $ 105,500 | ||
The May Department Stores Co. 6.7% 7/15/34 | 620,000 | 615,325 | ||
720,825 | ||||
Specialty Retail - 0.1% | ||||
Asbury Automotive Group, Inc.: | ||||
8% 3/15/14 | 60,000 | 58,575 | ||
9% 6/15/12 | 265,000 | 265,663 | ||
AutoNation, Inc. 7% 4/15/14 (d) | 50,000 | 49,000 | ||
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12 | 420,000 | 424,200 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 90,000 | 81,450 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 665,000 | 661,675 | ||
United Auto Group, Inc. 9.625% 3/15/12 | 50,000 | 52,500 | ||
1,593,063 | ||||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Jostens IH Corp. 7.625% 10/1/12 | 190,000 | 183,350 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 100,000 | 97,500 | ||
9.75% 1/15/15 | 180,000 | 184,275 | ||
10.2581% 4/1/12 (f) | 320,000 | 327,200 | ||
12.25% 12/15/12 | 315,000 | 351,619 | ||
1,143,944 | ||||
TOTAL CONSUMER DISCRETIONARY | 66,431,059 | |||
CONSUMER STAPLES - 0.1% | ||||
Beverages - 0.0% | ||||
FBG Finance Ltd. 5.125% 6/15/15 (d) | 425,000 | 394,737 | ||
Food & Staples Retailing - 0.0% | ||||
Jean Coutu Group, Inc.: | ||||
7.625% 8/1/12 | 30,000 | 29,138 | ||
8.5% 8/1/14 | 60,000 | 55,875 | ||
Southern States Cooperative, Inc. 10.5% 11/1/10 (d) | 365,000 | 382,338 | ||
Stater Brothers Holdings, Inc. 8.125% 6/15/12 | 330,000 | 328,350 | ||
795,701 | ||||
Food Products - 0.1% | ||||
B&G Foods, Inc. 8% 10/1/11 | 40,000 | 40,300 | ||
H.J. Heinz Co. 6.428% 12/1/08 (d)(f) | 450,000 | 457,596 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 370,000 | 382,950 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
NPI Merger Corp. 9.23% 10/15/13 (d)(f) | $ 20,000 | $ 20,500 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 40,000 | 40,400 | ||
Swift & Co.: | ||||
10.125% 10/1/09 | 350,000 | 360,500 | ||
12.5% 1/1/10 | 80,000 | 82,400 | ||
1,384,646 | ||||
Personal Products - 0.0% | ||||
Avon Products, Inc. 5.125% 1/15/11 | 120,000 | 117,548 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 100,000 | 84,000 | ||
201,548 | ||||
Tobacco - 0.0% | ||||
Altria Group, Inc. 7% 11/4/13 | 220,000 | 236,280 | ||
TOTAL CONSUMER STAPLES | 3,012,912 | |||
ENERGY - 1.9% | ||||
Energy Equipment & Services - 0.1% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 340,000 | 332,910 | ||
Diamond Offshore Drilling, Inc. 4.875% 7/1/15 | 275,000 | 254,049 | ||
Dresser-Rand Group, Inc. 7.375% 11/1/14 | 44,000 | 42,240 | ||
Hanover Compressor Co.: | ||||
7.5% 4/15/13 | 480,000 | 476,400 | ||
8.625% 12/15/10 | 20,000 | 20,750 | ||
Hanover Equipment Trust 8.75% 9/1/11 | 50,000 | 51,250 | ||
Noble Drilling Corp. 5.875% 6/1/13 | 460,000 | 461,032 | ||
Petronas Capital Ltd. 7% 5/22/12 (d) | 5,000 | 5,302 | ||
Universal Compression, Inc. 7.25% 5/15/10 | 290,000 | 292,175 | ||
1,936,108 | ||||
Oil, Gas & Consumable Fuels - 1.8% | ||||
Amerada Hess Corp. 6.65% 8/15/11 | 110,000 | 114,079 | ||
ANR Pipeline, Inc. 9.625% 11/1/21 | 350,000 | 416,500 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 350,000 | 334,250 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Partners Finance Corp. 8.125% 12/15/15 (d) | 290,000 | 291,450 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (d) | 490,000 | 476,282 | ||
Chaparral Energy, Inc. 8.5% 12/1/15 (d) | 530,000 | 528,675 | ||
Chesapeake Energy Corp.: | ||||
6.875% 1/15/16 | 350,000 | 336,000 | ||
7.625% 7/15/13 | 200,000 | 203,000 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7.75% 1/15/15 | $ 430,000 | $ 432,688 | ||
Colorado Interstate Gas Co.: | ||||
5.95% 3/15/15 | 510,000 | 471,750 | ||
6.8% 11/15/15 | 80,000 | 77,600 | ||
Drummond Co., Inc. 7.375% 2/15/16 (d) | 490,000 | 459,375 | ||
Duke Capital LLC 6.75% 2/15/32 | 1,400,000 | 1,409,237 | ||
El Paso Corp.: | ||||
6.375% 2/1/09 (d) | 455,000 | 448,020 | ||
6.5% 6/1/08 (d) | 400,000 | 397,476 | ||
6.7% 2/15/27 (d) | 65,000 | 64,350 | ||
7.75% 6/15/10 (d) | 850,000 | 859,869 | ||
7.875% 6/15/12 | 1,500,000 | 1,530,000 | ||
El Paso Energy Corp.: | ||||
7.375% 12/15/12 | 5,000 | 4,981 | ||
7.75% 1/15/32 | 15,000 | 14,845 | ||
8.05% 10/15/30 | 95,000 | 96,188 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 390,000 | 393,900 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (d) | 300,000 | 312,760 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 240,000 | 236,904 | ||
Foundation Pennsylvania Coal Co. 7.25% 8/1/14 | 50,000 | 50,625 | ||
Giant Industries, Inc. 8% 5/15/14 | 130,000 | 129,513 | ||
Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 300,000 | 262,366 | ||
Kinder Morgan Finance Co. ULC 5.35% 1/5/11 | 4,000,000 | 3,738,448 | ||
Massey Energy Co. 6.625% 11/15/10 | 40,000 | 40,000 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (d) | 240,000 | 219,192 | ||
Newfield Exploration Co. 6.625% 9/1/14 | 90,000 | 87,075 | ||
Nexen, Inc. 5.875% 3/10/35 | 600,000 | 542,204 | ||
Northwest Pipeline Corp. 7% 6/15/16 (d) | 300,000 | 299,625 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 55,000 | 52,113 | ||
8.25% 3/15/13 | 390,000 | 402,675 | ||
Pan American Energy LLC 7.125% 10/27/09 (d) | 120,000 | 120,000 | ||
Peabody Energy Corp. 6.875% 3/15/13 | 20,000 | 19,425 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 12/15/15 (d) | 7,160,000 | 6,821,210 | ||
6.125% 8/15/08 | 250,000 | 250,500 | ||
7.375% 12/15/14 | 12,960,000 | 13,802,763 | ||
7.75% 9/28/49 | 1,468,000 | 1,471,670 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Pemex Project Funding Master Trust: - continued | ||||
8.625% 2/1/22 | $ 300,000 | $ 349,500 | ||
Petrobras Energia SA 9.375% 10/30/13 | 55,000 | 59,675 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 (d) | 1,000,000 | 1,017,500 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (d) | 402,350 | 401,847 | ||
8.22% 4/1/17 (d) | 350,000 | 343,000 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 390,000 | 366,600 | ||
7.375% 7/15/13 | 40,000 | 39,800 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 330,000 | 315,150 | ||
Southern Star Central Corp. 6.75% 3/1/16 (d) | 60,000 | 58,211 | ||
Talisman Energy, Inc. 5.85% 2/1/37 | 350,000 | 316,561 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (d) | 440,000 | 429,000 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 30,000 | 31,350 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 (d) | 100,000 | 96,625 | ||
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (d) | 215,000 | 213,925 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 255,000 | 256,913 | ||
7.625% 7/15/19 | 30,000 | 30,188 | ||
7.875% 9/1/21 | 35,000 | 35,569 | ||
8.125% 3/15/12 | 280,000 | 290,500 | ||
8.75% 3/15/32 | 165,000 | 177,375 | ||
Williams Partners LP/Williams Partners Finance Corp. 7.5% 6/15/11 (d) | 100,000 | 100,750 | ||
YPF SA: | ||||
10% 11/2/28 | 125,000 | 145,000 | ||
yankee 9.125% 2/24/09 | 275,000 | 289,438 | ||
43,584,060 | ||||
TOTAL ENERGY | 45,520,168 | |||
FINANCIALS - 8.3% | ||||
Capital Markets - 1.6% | ||||
Ameriprise Financial, Inc. 7.518% 6/1/66 (c) | 1,475,000 | 1,516,930 | ||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (f) | 100,000 | 96,704 | ||
4.25% 9/4/12 (f) | 205,000 | 202,437 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
E*TRADE Financial Corp.: | ||||
7.375% 9/15/13 | $ 440,000 | $ 441,100 | ||
8% 6/15/11 | 815,000 | 837,413 | ||
Franklin Resources, Inc. 3.7% 4/15/08 | 1,135,000 | 1,101,177 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 7,020,000 | 6,786,725 | ||
5.7% 9/1/12 | 1,100,000 | 1,095,237 | ||
6.45% 5/1/36 | 8,375,000 | 8,224,191 | ||
6.6% 1/15/12 | 500,000 | 519,170 | ||
Lazard Group LLC 7.125% 5/15/15 | 685,000 | 698,989 | ||
Legg Mason, Inc. 6.75% 7/2/08 | 30,000 | 30,675 | ||
Lehman Brothers Holdings E-Capital Trust I 5.9538% 8/19/65 (f) | 7,200,000 | 7,203,730 | ||
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 685,000 | 655,876 | ||
Morgan Stanley 6.6% 4/1/12 | 8,100,000 | 8,468,153 | ||
37,878,507 | ||||
Commercial Banks - 1.2% | ||||
Banco Nacional de Desenvolvimento Economico e Social 5.727% 6/16/08 (f) | 355,000 | 349,675 | ||
Corporacion Andina de Fomento 5.2% 5/21/13 | 35,000 | 33,586 | ||
Dresdner Bank AG 10.375% 8/17/09 (d) | 1,050,000 | 1,131,375 | ||
Export-Import Bank of Korea 5.125% 2/14/11 | 5,710,000 | 5,563,322 | ||
KeyCorp Capital Trust VII 5.7% 6/15/35 | 4,340,000 | 3,773,665 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 5,455,000 | 5,237,024 | ||
4.75% 7/20/09 | 320,000 | 313,025 | ||
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (d) | 100,000 | 98,000 | ||
Santander Issuances SA Unipersonal 5.805% 6/20/16 (d)(f) | 1,190,000 | 1,191,811 | ||
UBS Luxembourg SA 8% 2/11/10 | 550,000 | 556,600 | ||
Vimpel Communications 10% 6/16/09 (Issued by UBS Luxembourg SA for Vimpel Communications) | 600,000 | 641,280 | ||
Wachovia Bank NA 4.875% 2/1/15 | 10,400,000 | 9,735,346 | ||
Wachovia Corp. 4.875% 2/15/14 | 175,000 | 165,750 | ||
Western Financial Bank 9.625% 5/15/12 | 15,000 | 16,538 | ||
Woori Bank 6.125% 5/3/16 (d)(f) | 375,000 | 373,544 | ||
29,180,541 | ||||
Consumer Finance - 1.2% | ||||
American Express Co. 6.8% 9/1/66 (f) | 1,205,000 | 1,218,821 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Bank 6.5% 6/13/13 | $ 1,090,000 | $ 1,121,068 | ||
Ford Motor Credit Co.: | ||||
6.625% 6/16/08 | 840,000 | 809,179 | ||
7% 10/1/13 | 1,050,000 | 924,000 | ||
8.625% 11/1/10 | 900,000 | 865,185 | ||
9.9569% 4/15/12 (f) | 700,000 | 719,250 | ||
General Electric Capital Corp. 5.5% 4/28/11 | 8,930,000 | 8,933,563 | ||
General Motors Acceptance Corp.: | ||||
6.125% 2/1/07 | 600,000 | 596,620 | ||
6.75% 12/1/14 | 1,135,000 | 1,066,900 | ||
6.875% 9/15/11 | 950,000 | 916,750 | ||
8% 11/1/31 | 900,000 | 882,000 | ||
Household Finance Corp. 4.125% 11/16/09 | 9,340,000 | 8,952,941 | ||
MBNA America Bank NA 7.125% 11/15/12 | 500,000 | 538,881 | ||
Triad Acquisition Corp. 11.125% 5/1/13 | 55,000 | 52,250 | ||
27,597,408 | ||||
Diversified Financial Services - 1.2% | ||||
BAC Capital Trust XI 6.625% 5/23/36 | 9,775,000 | 9,959,816 | ||
Bank of America Corp. 7.4% 1/15/11 | 780,000 | 835,875 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 320,000 | 316,800 | ||
Citigroup, Inc. 5% 9/15/14 | 1,250,000 | 1,185,315 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (d) | 500,000 | 502,500 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 68,000 | 71,655 | ||
JPMorgan Chase & Co.: | ||||
4.875% 3/15/14 | 1,150,000 | 1,082,072 | ||
5.6% 6/1/11 | 1,163,000 | 1,165,366 | ||
5.75% 1/2/13 | 325,000 | 325,179 | ||
JPMorgan Chase Capital XVII 5.85% 8/1/35 | 7,405,000 | 6,691,536 | ||
Prime Property Funding, Inc. 5.125% 6/1/15 (d) | 510,000 | 472,782 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 500,000 | 470,816 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (d)(f) | 4,010,000 | 3,893,890 | ||
26,973,602 | ||||
Insurance - 1.1% | ||||
Aegon NV 4.75% 6/1/13 | 500,000 | 471,554 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 5,625,000 | 5,360,198 | ||
Lincoln National Corp. 7% 5/17/66 (f) | 12,770,000 | 12,967,718 | ||
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 1,089,000 | 1,125,124 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Symetra Financial Corp. 6.125% 4/1/16 (d) | $ 380,000 | $ 372,783 | ||
Travelers Property Casualty Corp. 5% 3/15/13 | 4,427,000 | 4,186,831 | ||
UnumProvident Corp. 7.625% 3/1/11 | 77,000 | 80,510 | ||
24,564,718 | ||||
Real Estate Investment Trusts - 0.7% | ||||
Archstone-Smith Operating Trust 5.25% 5/1/15 | 805,000 | 765,747 | ||
Arden Realty LP 5.25% 3/1/15 | 1,210,000 | 1,170,284 | ||
Boston Properties, Inc. 6.25% 1/15/13 | 245,000 | 249,950 | ||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | 4,505,000 | 4,449,052 | ||
5.75% 4/1/12 | 455,000 | 450,350 | ||
Camden Property Trust 5.875% 11/30/12 | 200,000 | 199,614 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 630,000 | 607,248 | ||
5.5% 10/1/15 | 1,100,000 | 1,042,380 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 40,000 | 38,331 | ||
5% 5/3/10 | 350,000 | 341,468 | ||
5.25% 4/15/11 | 205,000 | 200,328 | ||
5.375% 10/15/12 | 210,000 | 204,120 | ||
HRPT Properties Trust 5.75% 11/1/15 | 120,000 | 115,962 | ||
Mack-Cali Realty LP 5.05% 4/15/10 | 250,000 | 242,717 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 870,000 | 837,375 | ||
7% 1/15/16 | 400,000 | 381,000 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 613,000 | 619,130 | ||
8.625% 1/15/12 | 500,000 | 525,000 | ||
Simon Property Group LP: | ||||
5.1% 6/15/15 | 485,000 | 453,666 | ||
5.625% 8/15/14 | 1,000,000 | 979,277 | ||
The Rouse Co. 5.375% 11/26/13 | 100,000 | 91,404 | ||
Thornburg Mortgage, Inc. 8% 5/15/13 | 100,000 | 97,750 | ||
United Dominion Realty Trust 5.25% 1/15/15 | 80,000 | 75,315 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
6.5% 6/1/16 | 150,000 | 143,625 | ||
6.625% 10/15/14 | 865,000 | 843,375 | ||
Washington (REIT) 5.95% 6/15/11 | 1,665,000 | 1,674,659 | ||
16,799,127 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.4% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 415,000 | $ 405,663 | ||
8.125% 6/1/12 | 385,000 | 390,775 | ||
CB Richard Ellis Services, Inc. 9.75% 5/15/10 | 10,000 | 10,675 | ||
EOP Operating LP: | ||||
4.65% 10/1/10 | 2,170,000 | 2,074,974 | ||
4.75% 3/15/14 | 4,360,000 | 4,012,185 | ||
6.75% 2/15/12 | 145,000 | 150,951 | ||
6.8% 1/15/09 | 1,000,000 | 1,025,207 | ||
7% 7/15/11 | 500,000 | 523,239 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 50,000 | 51,000 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 585,000 | 589,860 | ||
9,234,529 | ||||
Thrifts & Mortgage Finance - 0.9% | ||||
Independence Community Bank Corp.: | ||||
3.75% 4/1/14 (f) | 545,000 | 518,720 | ||
4.9% 9/23/10 | 8,150,000 | 7,880,903 | ||
Residential Capital Corp.: | ||||
6.375% 6/30/10 | 45,000 | 44,848 | ||
6.875% 6/30/15 | 3,320,000 | 3,367,107 | ||
Washington Mutual, Inc.: | ||||
4.625% 4/1/14 | 750,000 | 682,744 | ||
5.7956% 9/17/12 (f) | 7,500,000 | 7,508,588 | ||
20,002,910 | ||||
TOTAL FINANCIALS | 192,231,342 | |||
HEALTH CARE - 0.3% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Boston Scientific Corp. 6.4% 6/15/16 | 1,180,000 | 1,163,774 | ||
Health Care Providers & Services - 0.3% | ||||
AmeriPath, Inc. 10.5% 4/1/13 | 80,000 | 84,200 | ||
AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15 | 310,000 | 320,850 | ||
Community Health Systems, Inc. 6.5% 12/15/12 | 80,000 | 74,600 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 | 10,000 | 10,375 | ||
9.5% 8/15/10 | 110,000 | 114,125 | ||
CRC Health Group, Inc. 10.75% 2/1/16 (d) | 350,000 | 355,250 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
DaVita, Inc.: | ||||
6.625% 3/15/13 | $ 290,000 | $ 275,500 | ||
7.25% 3/15/15 | 615,000 | 587,325 | ||
HCA, Inc. 6.5% 2/15/16 | 700,000 | 554,750 | ||
HealthSouth Corp. 10.75% 6/15/16 (d) | 300,000 | 286,500 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | 350,000 | 334,250 | ||
Multiplan, Inc. 10.375% 4/15/16 (d) | 100,000 | 100,500 | ||
ResCare, Inc. 7.75% 10/15/13 | 80,000 | 79,000 | ||
Rural/Metro Corp.: | ||||
0% 3/15/16 (b) | 150,000 | 108,750 | ||
9.875% 3/15/15 | 180,000 | 183,600 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 (d) | 100,000 | 105,000 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 100,000 | 103,500 | ||
Tenet Healthcare Corp.: | ||||
6.375% 12/1/11 | 375,000 | 318,750 | ||
6.5% 6/1/12 | 15,000 | 12,581 | ||
7.375% 2/1/13 | 675,000 | 587,250 | ||
9.25% 2/1/15 (d) | 1,000,000 | 927,500 | ||
U.S. Oncology, Inc.: | ||||
9% 8/15/12 | 280,000 | 288,400 | ||
10.75% 8/15/14 | 80,000 | 86,600 | ||
5,899,156 | ||||
Pharmaceuticals - 0.0% | ||||
CDRV Investors, Inc. 0% 1/1/15 (b) | 100,000 | 70,750 | ||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 50,000 | 48,000 | ||
Mylan Laboratories, Inc. 6.375% 8/15/15 | 60,000 | 57,900 | ||
VWR International, Inc.: | ||||
6.875% 4/15/12 | 30,000 | 28,575 | ||
8% 4/15/14 | 30,000 | 29,475 | ||
234,700 | ||||
TOTAL HEALTH CARE | 7,297,630 | |||
INDUSTRIALS - 2.9% | ||||
Aerospace & Defense - 0.1% | ||||
Alliant Techsystems, Inc. 6.75% 4/1/16 | 300,000 | 289,500 | ||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (d) | 525,000 | 505,233 | ||
BE Aerospace, Inc. 8.5% 10/1/10 | 100,000 | 106,250 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (d) | $ 340,000 | $ 297,500 | ||
6.75% 5/1/12 (d) | 105,000 | 97,125 | ||
K & F Acquisition, Inc. 7.75% 11/15/14 | 40,000 | 39,200 | ||
Orbital Sciences Corp. 9% 7/15/11 | 135,000 | 140,738 | ||
1,475,546 | ||||
Airlines - 1.5% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 50,000 | 48,875 | ||
6.855% 10/15/10 | 50,901 | 51,504 | ||
6.977% 11/23/22 | 9,891 | 9,446 | ||
6.978% 10/1/12 | 114,523 | 117,119 | ||
7.024% 4/15/11 | 365,000 | 368,650 | ||
7.377% 5/23/19 | 105,924 | 94,273 | ||
7.379% 11/23/17 | 35,701 | 31,060 | ||
7.8% 4/1/08 | 65,000 | 65,000 | ||
7.858% 4/1/13 | 9,525,000 | 10,001,250 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 478,938 | ||
Continental Airlines, Inc.: | ||||
8.4075% 6/2/13 (f) | 100,000 | 100,750 | ||
9.558% 9/1/19 | 277,121 | 286,821 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.648% 3/15/19 | 6,226,374 | 6,244,474 | ||
6.795% 2/2/20 | 446,954 | 424,606 | ||
7.566% 9/15/21 | 84,642 | 82,526 | ||
7.73% 9/15/12 | 21,945 | 21,067 | ||
8.499% 11/1/12 | 29,684 | 29,090 | ||
9.798% 4/1/21 | 388,349 | 405,824 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 1,450,000 | 384,250 | ||
8.3% 12/15/29 (a) | 1,000,000 | 268,800 | ||
9.5% 11/18/08 (a)(d) | 61,000 | 67,100 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.111% 3/18/13 | 6,680,000 | 6,663,300 | ||
7.299% 9/18/06 | 1,000 | 970 | ||
7.57% 11/18/10 | 805,000 | 808,019 | ||
7.779% 1/2/12 | 85,169 | 79,633 | ||
Northwest Airlines, Inc. 9.875% 3/15/07 (a) | 600,000 | 306,000 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.068% 7/2/17 | 7,800 | 6,708 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc. pass thru trust certificates: - continued | ||||
7.626% 4/1/10 | $ 25,044 | $ 22,540 | ||
U.S. Airways pass thru trust certificates 6.85% 7/30/19 | 282,054 | 285,580 | ||
United Airlines pass thru Certificates: | ||||
6.071% 9/1/14 | 291,458 | 291,823 | ||
6.201% 3/1/10 | 125,723 | 124,780 | ||
6.602% 9/1/13 | 376,272 | 376,803 | ||
7.032% 4/1/12 | 1,677,832 | 1,711,204 | ||
7.186% 10/1/12 | 4,154,540 | 4,185,699 | ||
34,444,482 | ||||
Building Products - 0.0% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 20,000 | 21,150 | ||
Nortek, Inc. 8.5% 9/1/14 | 100,000 | 93,750 | ||
114,900 | ||||
Commercial Services & Supplies - 0.1% | ||||
ACCO Brands Corp. 7.625% 8/15/15 | 130,000 | 120,250 | ||
Adesa, Inc. 7.625% 6/15/12 | 50,000 | 49,000 | ||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 445,000 | 429,425 | ||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 370,000 | 349,650 | ||
7.125% 5/15/16 (d) | 400,000 | 381,000 | ||
7.25% 3/15/15 | 800,000 | 772,000 | ||
7.875% 4/15/13 | 120,000 | 120,900 | ||
Cenveo Corp. 7.875% 12/1/13 | 463,000 | 450,268 | ||
FTI Consulting, Inc. 7.625% 6/15/13 | 105,000 | 105,263 | ||
IKON Office Solutions, Inc. 7.75% 9/15/15 | 230,000 | 225,975 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 150,000 | 150,750 | ||
3,154,481 | ||||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 20,000 | 19,450 | ||
Industrial Conglomerates - 0.4% | ||||
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (d) | 910,000 | 933,320 | ||
Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (d) | 7,200,000 | 7,116,055 | ||
Nell AF Sarl 8.375% 8/15/15 (d) | 75,000 | 72,938 | ||
8,122,313 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Accuride Corp. 8.5% 2/1/15 | $ 80,000 | $ 74,400 | ||
Case New Holland, Inc. 7.125% 3/1/14 | 350,000 | 341,250 | ||
Chart Industries, Inc. 9.125% 10/15/15 (d) | 40,000 | 41,300 | ||
Columbus McKinnon Corp. 8.875% 11/1/13 | 20,000 | 20,400 | ||
Commercial Vehicle Group, Inc. 8% 7/1/13 | 50,000 | 47,440 | ||
Dresser, Inc. 9.375% 4/15/11 | 15,000 | 15,300 | ||
Invensys PLC 9.875% 3/15/11 (d) | 164,000 | 176,300 | ||
Park-Ohio Industries, Inc. 8.375% 11/15/14 | 60,000 | 53,700 | ||
Terex Corp. 7.375% 1/15/14 | 100,000 | 99,500 | ||
869,590 | ||||
Marine - 0.0% | ||||
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15 | 471,000 | 515,745 | ||
H-Lines Finance Holding Corp. 0% 4/1/13 (b) | 126,000 | 108,360 | ||
Horizon Lines LLC/Horizon Lines Holdings Corp. 9% 11/1/12 | 332,000 | 336,150 | ||
OMI Corp. 7.625% 12/1/13 | 95,000 | 95,000 | ||
1,055,255 | ||||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 (d) | 400,000 | 391,000 | ||
7.75% 5/15/16 (d) | 400,000 | 390,000 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 (d) | 700,000 | 731,500 | ||
10.5% 1/1/16 (d) | 360,000 | 392,850 | ||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 400,000 | 402,000 | ||
TFM SA de CV 9.375% 5/1/12 | 65,000 | 68,900 | ||
2,376,250 | ||||
Trading Companies & Distributors - 0.1% | ||||
Ashtead Holdings PLC 8.625% 8/1/15 (d) | 275,000 | 270,875 | ||
H&E Equipment Services, Inc. 8.375% 7/15/16 (d) | 160,000 | 161,200 | ||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (d) | 400,000 | 430,000 | ||
Penhall International Corp. 12% 8/1/14 (d) | 250,000 | 258,125 | ||
1,120,200 | ||||
Transportation Infrastructure - 0.6% | ||||
BNSF Funding Trust I 6.613% 12/15/55 (f) | 15,360,000 | 14,619,602 | ||
TOTAL INDUSTRIALS | 67,372,069 | |||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
L-3 Communications Corp. 6.375% 10/15/15 | $ 520,000 | $ 495,300 | ||
Nortel Networks Corp.: | ||||
9.73% 7/15/11 (d)(f) | 200,000 | 201,250 | ||
10.125% 7/15/13 (d) | 200,000 | 201,000 | ||
897,550 | ||||
Electronic Equipment & Instruments - 0.0% | ||||
Celestica, Inc. 7.875% 7/1/11 | 350,000 | 339,500 | ||
Sanmina-SCI Corp. 8.125% 3/1/16 | 350,000 | 339,500 | ||
679,000 | ||||
IT Services - 0.0% | ||||
Iron Mountain, Inc. 6.625% 1/1/16 | 120,000 | 109,800 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 575,000 | 587,219 | ||
697,019 | ||||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 130,000 | 130,650 | ||
Xerox Corp.: | ||||
7.2% 4/1/16 | 465,000 | 462,675 | ||
7.625% 6/15/13 | 310,000 | 313,100 | ||
906,425 | ||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 65,000 | 57,200 | ||
9.25% 6/1/16 | 100,000 | 91,875 | ||
Chartered Semiconductor Manufacturing Ltd.: | ||||
5.75% 8/3/10 | 6,340,000 | 6,240,944 | ||
6.375% 8/3/15 | 760,000 | 732,151 | ||
Freescale Semiconductor, Inc. 7.125% 7/15/14 | 60,000 | 60,900 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.875% 12/15/11 | 25,000 | 20,500 | ||
8% 12/15/14 | 80,000 | 53,600 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 60,000 | 46,200 | ||
Viasystems, Inc. 10.5% 1/15/11 | 480,000 | 470,400 | ||
7,773,770 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INFORMATION TECHNOLOGY - continued | ||||
Software - 0.0% | ||||
Activant Solutions, Inc. 9.5% 5/1/16 (d) | $ 50,000 | $ 47,000 | ||
SERENA Software, Inc. 10.375% 3/15/16 (d) | 230,000 | 231,725 | ||
278,725 | ||||
TOTAL INFORMATION TECHNOLOGY | 11,232,489 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.2% | ||||
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14 | 410,000 | 441,263 | ||
Berry Plastics Corp. 10.75% 7/15/12 | 80,000 | 87,400 | ||
Braskem SA: | ||||
(Reg. S) 11.75% 1/22/14 | 50,000 | 59,000 | ||
11.75% 1/22/14 (d) | 20,000 | 23,600 | ||
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp. | 550,000 | 429,000 | ||
Equistar Chemicals LP 7.55% 2/15/26 | 350,000 | 318,500 | ||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 395,000 | 422,650 | ||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 10.2569% 7/15/10 (f) | 70,000 | 70,700 | ||
Huntsman International LLC 9.875% 3/1/09 | 115,000 | 119,600 | ||
IMC Global, Inc. 10.875% 8/1/13 | 100,000 | 111,250 | ||
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16 | 310,000 | 314,650 | ||
Innophos, Inc. 8.875% 8/15/14 | 30,000 | 30,263 | ||
Lyondell Chemical Co.: | ||||
9.625% 5/1/07 | 200,000 | 204,000 | ||
10.875% 5/1/09 | 55,000 | 56,100 | ||
Nalco Co. 7.75% 11/15/11 | 630,000 | 630,000 | ||
Pliant Corp. 0% 6/15/09 (b) | 60,000 | 57,900 | ||
Rhodia SA: | ||||
7.625% 6/1/10 | 600,000 | 607,500 | ||
8.875% 6/1/11 | 300,000 | 306,000 | ||
Rockwood Specialties Group, Inc. 7.5% 11/15/14 | 150,000 | 147,750 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 800,000 | 832,000 | ||
5,269,126 | ||||
Construction Materials - 0.0% | ||||
Texas Industries, Inc. 7.25% 7/15/13 | 30,000 | 30,000 | ||
U.S. Concrete, Inc. 8.375% 4/1/14 | 50,000 | 49,625 | ||
79,625 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
MATERIALS - continued | ||||
Containers & Packaging - 0.1% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | $ 30,000 | $ 30,000 | ||
Ball Corp. 6.625% 3/15/18 | 500,000 | 472,500 | ||
BWAY Corp. 10% 10/15/10 | 105,000 | 110,250 | ||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 (d) | 200,000 | 198,000 | ||
Crown Cork & Seal, Inc. 8% 4/15/23 | 105,000 | 98,700 | ||
Graham Packaging Co. LP/GPC Capital Corp.: | ||||
8.5% 10/15/12 | 50,000 | 48,750 | ||
9.875% 10/15/14 | 395,000 | 383,150 | ||
Graphic Packaging International, Inc. 8.5% 8/15/11 | 120,000 | 121,200 | ||
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13 | 15,000 | 13,575 | ||
Owens-Brockway Glass Container, Inc.: | ||||
8.25% 5/15/13 | 15,000 | 15,150 | ||
8.875% 2/15/09 | 350,000 | 360,500 | ||
Owens-Illinois, Inc.: | ||||
7.35% 5/15/08 | 50,000 | 50,000 | ||
7.5% 5/15/10 | 395,000 | 389,075 | ||
7.8% 5/15/18 | 45,000 | 41,963 | ||
8.1% 5/15/07 | 410,000 | 412,050 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 (d) | 40,000 | 44,000 | ||
2,788,863 | ||||
Metals & Mining - 0.2% | ||||
Aleris International, Inc. 9% 11/15/14 | 20,000 | 22,600 | ||
California Steel Industries, Inc. 6.125% 3/15/14 | 40,000 | 36,900 | ||
Century Aluminum Co. 7.5% 8/15/14 | 40,000 | 39,600 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (d) | 335,000 | 344,206 | ||
CSN Islands X Corp. (Reg. S) 9.5% 7/14/49 | 566,000 | 586,518 | ||
Evraz Securities SA 10.875% 8/3/09 | 700,000 | 768,600 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 375,000 | 364,219 | ||
10.125% 2/1/10 | 45,000 | 47,700 | ||
Newmont Mining Corp. 5.875% 4/1/35 | 405,000 | 363,100 | ||
Norilsk Nickel Finance Luxembourg SA 7.125% 9/30/09 | 195,000 | 195,975 | ||
Novelis, Inc. 7.25% 2/15/15 (d)(f) | 210,000 | 202,125 | ||
RathGibson, Inc. 11.25% 2/15/14 (d) | 50,000 | 51,625 | ||
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 | 110,000 | 94,050 | ||
3,117,218 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
MATERIALS - continued | ||||
Paper & Forest Products - 0.1% | ||||
Boise Cascade LLC/Boise Cascade Finance Corp.: | ||||
7.125% 10/15/14 | $ 30,000 | $ 26,550 | ||
8.3819% 10/15/12 (f) | 30,000 | 30,000 | ||
Buckeye Technologies, Inc. 8.5% 10/1/13 | 200,000 | 193,250 | ||
Georgia-Pacific Corp.: | ||||
7.375% 12/1/25 | 15,000 | 13,575 | ||
7.75% 11/15/29 | 10,000 | 9,113 | ||
8% 1/15/24 | 130,000 | 123,175 | ||
8.125% 5/15/11 | 605,000 | 599,706 | ||
International Paper Co. 4.25% 1/15/09 | 345,000 | 333,385 | ||
Millar Western Forest Products Ltd. 7.75% 11/15/13 | 120,000 | 91,200 | ||
P.H. Glatfelter Co. 7.125% 5/1/16 (d) | 230,000 | 225,400 | ||
Solo Cup Co. 8.5% 2/15/14 | 145,000 | 123,975 | ||
Stone Container Corp. 8.375% 7/1/12 | 400,000 | 380,000 | ||
Stone Container Finance Co. 7.375% 7/15/14 | 400,000 | 354,000 | ||
2,503,329 | ||||
TOTAL MATERIALS | 13,758,161 | |||
TELECOMMUNICATION SERVICES - 2.6% | ||||
Diversified Telecommunication Services - 2.1% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | 35,000 | 35,330 | ||
AT&T, Inc. 6.8% 5/15/36 | 2,000,000 | 2,012,486 | ||
British Telecommunications PLC: | ||||
8.375% 12/15/10 | 20,000 | 22,142 | ||
8.875% 12/15/30 | 145,000 | 182,789 | ||
Deutsche Telekom International Finance BV 5.25% 7/22/13 | 415,000 | 393,199 | ||
Embarq Corp.: | ||||
6.738% 6/1/13 | 85,000 | 85,816 | ||
7.082% 6/1/16 | 480,000 | 483,070 | ||
7.995% 6/1/36 | 5,991,000 | 6,145,598 | ||
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 377,000 | 410,930 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 96,000 | 92,160 | ||
GCI, Inc. 7.25% 2/15/14 | 50,000 | 47,750 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 40,000 | 30,200 | ||
7.625% 4/15/12 | 20,000 | 16,800 | ||
9.25% 6/15/16 (d) | 350,000 | 358,750 | ||
11.25% 6/15/16 (d) | 400,000 | 404,500 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Level 3 Financing, Inc. 12.25% 3/15/13 (d) | $ 650,000 | $ 711,750 | ||
New Skies Satellites BV: | ||||
9.125% 11/1/12 | 145,000 | 153,338 | ||
10.4144% 11/1/11 (f) | 100,000 | 103,000 | ||
Nordic Telephone Co. Holdings Aps 8.875% 5/1/16 (d) | 75,000 | 77,719 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 300,000 | 303,000 | ||
9.125% 8/15/16 | 210,000 | 213,150 | ||
PT Indosat International Finance Co. BV 7.125% 6/22/12 (d) | 205,000 | 198,850 | ||
Qwest Capital Funding, Inc.: | ||||
7% 8/3/09 | 50,000 | 49,375 | ||
7.25% 2/15/11 | 285,000 | 277,875 | ||
7.625% 8/3/21 | 20,000 | 19,000 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 1,060,000 | 1,028,200 | ||
7.5% 2/15/14 | 60,000 | 58,800 | ||
8.67% 2/15/09 (f) | 340,000 | 345,950 | ||
Qwest Corp.: | ||||
7.625% 6/15/15 | 610,000 | 619,882 | ||
8.5794% 6/15/13 (f) | 90,000 | 96,300 | ||
SBC Communications, Inc.: | ||||
6.15% 9/15/34 | 500,000 | 464,750 | ||
6.45% 6/15/34 | 220,000 | 211,737 | ||
Sprint Capital Corp. 8.375% 3/15/12 | 960,000 | 1,065,862 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,055,000 | 3,816,696 | ||
4.875% 10/1/10 | 340,000 | 326,953 | ||
4.95% 9/30/14 | 415,000 | 377,450 | ||
6% 9/30/34 | 500,000 | 442,699 | ||
7.2% 7/18/36 | 2,000,000 | 2,039,640 | ||
Telefonica de Argentina SA 9.125% 11/7/10 | 560,000 | 579,600 | ||
Telefonica Emisiones SAU 7.045% 6/20/36 | 8,825,000 | 9,064,511 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 90,000 | 86,818 | ||
Telenet Group Holding NV 0% 6/15/14 (b)(d) | 52,000 | 44,330 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 7,570,000 | 7,684,693 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 80,000 | 82,000 | ||
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 375,000 | 372,188 | ||
U.S. West Communications 6.875% 9/15/33 | 415,000 | 367,275 | ||
Verizon Global Funding Corp. 7.75% 12/1/30 | 5,296,000 | 5,782,544 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon New York, Inc. 6.875% 4/1/12 | $ 120,000 | $ 123,017 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (d) | 350,000 | 376,688 | ||
Windstream Corp.: | ||||
8.125% 8/1/13 (d) | 200,000 | 207,500 | ||
8.625% 8/1/16 (d) | 350,000 | 364,000 | ||
48,858,660 | ||||
Wireless Telecommunication Services - 0.5% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 | 185,000 | 177,599 | ||
6.375% 3/1/35 | 780,000 | 720,049 | ||
American Tower Corp. 7.5% 5/1/12 | 105,000 | 107,100 | ||
AT&T Wireless Services, Inc.: | ||||
7.875% 3/1/11 | 220,000 | 238,687 | ||
8.125% 5/1/12 | 555,000 | 615,005 | ||
Centennial Communications Corp. 10% 1/1/13 | 450,000 | 448,875 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 310,000 | 301,475 | ||
Digicel Ltd. 9.25% 9/1/12 (d)(e) | 520,000 | 540,800 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc.: | ||||
6.375% 6/15/15 | 1,000,000 | 925,000 | ||
8.375% 3/15/13 | 1,000,000 | 1,046,250 | ||
Inmarsat Finance II PLC 0% 11/15/12 (b) | 70,000 | 59,850 | ||
Inmarsat Finance PLC 7.625% 6/30/12 | 45,000 | 45,900 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.625% 1/15/15 (f) | 195,000 | 193,781 | ||
Mobile Telesystems Finance SA: | ||||
8% 1/28/12 (d) | 60,000 | 60,228 | ||
8.375% 10/14/10 (d) | 805,000 | 823,515 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 1,185,000 | 1,158,338 | ||
7.375% 8/1/15 | 150,000 | 153,853 | ||
Rogers Communications, Inc.: | ||||
6.375% 3/1/14 | 440,000 | 422,950 | ||
8% 12/15/12 | 355,000 | 366,538 | ||
9.625% 5/1/11 | 26,000 | 28,730 | ||
Rural Cellular Corp.: | ||||
8.25% 3/15/12 | 360,000 | 369,000 | ||
9.75% 1/15/10 | 100,000 | 100,000 | ||
Stratos Global Corp. 9.875% 2/15/13 (d) | 150,000 | 130,500 | ||
Telecom Personal SA 9.25% 12/22/10 (d) | 565,000 | 573,475 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vodafone Group PLC: | ||||
5% 12/16/13 | $ 910,000 | $ 850,250 | ||
5.5% 6/15/11 | 170,000 | 167,449 | ||
10,625,197 | ||||
TOTAL TELECOMMUNICATION SERVICES | 59,483,857 | |||
UTILITIES - 2.8% | ||||
Electric Utilities - 1.0% | ||||
AES Gener SA 7.5% 3/25/14 | 70,000 | 71,050 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (d) | 493,000 | 534,905 | ||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 300,000 | 293,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,195,000 | 5,707,571 | ||
6.75% 5/1/11 | 420,000 | 436,170 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 155,000 | 159,320 | ||
Mirant Americas Generation LLC 8.5% 10/1/21 | 350,000 | 322,875 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 440,000 | 440,000 | ||
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 360,000 | 370,800 | ||
Nevada Power Co.: | ||||
5.875% 1/15/15 | 40,000 | 38,204 | ||
6.5% 4/15/12 | 50,000 | 50,146 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 5,720,000 | 5,822,542 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 1,000,000 | 970,479 | ||
7.1% 3/1/11 | 6,660,000 | 7,036,949 | ||
Sierra Pacific Power Co. 6% 5/15/16 (d) | 50,000 | 47,750 | ||
Sierra Pacific Resources 7.803% 6/15/12 | 290,000 | 294,350 | ||
TXU Energy Co. LLC 7% 3/15/13 | 880,000 | 906,173 | ||
23,502,924 | ||||
Gas Utilities - 0.0% | ||||
El Paso Energy Corp. 6.75% 5/15/09 | 25,000 | 24,813 | ||
Sonat, Inc.: | ||||
6.625% 2/1/08 | 20,000 | 19,900 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Sonat, Inc.: - continued | ||||
6.75% 10/1/07 | $ 15,000 | $ 15,019 | ||
Transportadora de Gas del Sur SA (Reg. S) 6.5% 12/15/10 (c) | 716,360 | 704,719 | ||
764,451 | ||||
Independent Power Producers & Energy Traders - 0.7% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 1,400,000 | 1,408,750 | ||
8.75% 6/15/08 | 2,000 | 2,068 | ||
8.75% 5/15/13 (d) | 35,000 | 37,275 | ||
8.875% 2/15/11 | 982,000 | 1,027,418 | ||
9% 5/15/15 (d) | 625,000 | 669,531 | ||
9.375% 9/15/10 | 7,000 | 7,455 | ||
9.5% 6/1/09 | 19,000 | 19,998 | ||
Allegheny Energy Supply Co. LLC: | ||||
7.8% 3/15/11 | 170,000 | 177,650 | ||
8.25% 4/15/12 (d) | 90,000 | 95,850 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 1,050,000 | 1,101,861 | ||
Duke Capital LLC 5.668% 8/15/14 | 3,120,000 | 3,011,917 | ||
Mirant North America LLC/Mirant North America Finance Corp. 7.375% 12/31/13 (d) | 1,020,000 | 976,650 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 1,300,000 | 1,277,250 | ||
7.375% 2/1/16 | 1,280,000 | 1,256,000 | ||
PPL Energy Supply LLC: | ||||
5.7% 10/15/35 | 655,000 | 628,289 | ||
6.2% 5/15/16 | 500,000 | 501,797 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (d) | 488,618 | 470,295 | ||
TXU Corp. 5.55% 11/15/14 | 3,140,000 | 2,852,062 | ||
15,522,116 | ||||
Multi-Utilities - 1.1% | ||||
CMS Energy Corp.: | ||||
6.3% 2/1/12 | 760,000 | 729,600 | ||
8.5% 4/15/11 | 545,000 | 572,250 | ||
9.875% 10/15/07 | 135,000 | 140,569 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 535,000 | 514,422 | ||
5.95% 6/15/35 | 5,905,000 | 5,419,207 | ||
6.25% 6/30/12 | 270,000 | 273,445 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Dominion Resources, Inc.: - continued | ||||
7.5% 6/30/66 (f) | $ 1,495,000 | $ 1,504,279 | ||
MidAmerican Energy Holdings, Inc. 6.125% 4/1/36 (d) | 11,405,000 | 10,974,746 | ||
National Grid PLC 6.3% 8/1/16 | 5,245,000 | 5,280,121 | ||
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 105,000 | 108,806 | ||
25,517,445 | ||||
TOTAL UTILITIES | 65,306,936 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $526,688,826) | 531,646,623 | |||
U.S. Government and Government Agency Obligations - 22.2% | ||||
U.S. Government Agency Obligations - 2.9% | ||||
Fannie Mae: | ||||
3.25% 1/15/08 | 8,000,000 | 7,771,304 | ||
4.375% 7/17/13 | 8,745,000 | 8,240,282 | ||
4.625% 5/1/13 | 5,000,000 | 4,745,530 | ||
6.25% 2/1/11 | 19,170,000 | 19,786,277 | ||
Freddie Mac: | ||||
5.25% 11/5/12 | 280,000 | 273,395 | ||
5.875% 3/21/11 | 25,685,000 | 26,118,434 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 371,119 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 67,306,341 | |||
U.S. Treasury Inflation Protected Obligations - 4.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 3,206,220 | 3,035,640 | ||
2% 1/15/14 | 99,922,354 | 97,158,386 | ||
2.375% 4/15/11 | 2,040,120 | 2,040,580 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 102,234,606 | |||
U.S. Treasury Obligations - 14.9% | ||||
U.S. Treasury Bond - principal STRIPS: | ||||
2/15/15 | 78,530,000 | 51,510,497 | ||
5/15/30 | 35,870,000 | 10,737,089 | ||
U.S. Treasury Bonds 6.25% 5/15/30 | 5,861,000 | 6,745,185 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: | ||||
4.25% 8/15/13 | $ 81,769,000 | $ 78,463,079 | ||
4.75% 5/15/14 | 33,615,000 | 33,168,559 | ||
U.S. Treasury Notes - principal STRIPS: | ||||
8/15/10 | 131,350,000 | 108,364,364 | ||
2/15/12 | 60,740,000 | 46,479,402 | ||
8/15/12 | 14,300,000 | 10,694,069 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 346,162,244 | |||
TOTAL U.S. GOVERNMENT AND (Cost $513,123,592) | 515,703,191 | |||
U.S. Government Agency - Mortgage Securities - 23.1% | ||||
Fannie Mae - 21.0% | ||||
3.732% 1/1/35 (f) | 65,544 | 64,095 | ||
3.735% 10/1/33 (f) | 54,005 | 52,637 | ||
3.746% 12/1/34 (f) | 47,641 | 46,596 | ||
3.75% 1/1/34 (f) | 55,380 | 53,910 | ||
3.757% 10/1/33 (f) | 46,712 | 45,594 | ||
3.77% 12/1/34 (f) | 13,066 | 12,796 | ||
3.791% 6/1/34 (f) | 225,192 | 218,443 | ||
3.81% 6/1/33 (f) | 38,523 | 37,792 | ||
3.837% 4/1/33 (f) | 164,027 | 161,029 | ||
3.84% 1/1/35 (f) | 126,891 | 124,198 | ||
3.843% 1/1/35 (f) | 46,505 | 45,470 | ||
3.847% 5/1/34 (f) | 9,868,929 | 9,590,822 | ||
3.851% 10/1/33 (f) | 1,390,081 | 1,361,362 | ||
3.866% 1/1/35 (f) | 73,853 | 72,523 | ||
3.897% 10/1/34 (f) | 42,867 | 42,233 | ||
3.904% 1/1/35 (f) | 123,225 | 121,440 | ||
3.923% 5/1/34 (f) | 15,977 | 16,077 | ||
3.926% 12/1/34 (f) | 36,349 | 35,734 | ||
3.951% 1/1/35 (f) | 47,265 | 46,577 | ||
3.952% 12/1/34 (f) | 32,124 | 31,692 | ||
3.952% 12/1/34 (f) | 280,803 | 276,779 | ||
3.957% 5/1/33 (f) | 12,752 | 12,532 | ||
3.987% 12/1/34 (f) | 49,073 | 48,242 | ||
3.997% 12/1/34 (f) | 33,019 | 32,551 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
3.997% 1/1/35 (f) | $ 32,810 | $ 32,359 | ||
4.004% 2/1/35 (f) | 35,954 | 35,439 | ||
4.015% 12/1/34 (f) | 69,336 | 68,488 | ||
4.037% 1/1/35 (f) | 29,664 | 29,281 | ||
4.037% 1/1/35 (f) | 18,846 | 18,578 | ||
4.039% 2/1/35 (f) | 33,117 | 32,648 | ||
4.049% 10/1/18 (f) | 41,474 | 40,694 | ||
4.065% 1/1/35 (f) | 61,568 | 60,655 | ||
4.077% 2/1/35 (f) | 66,767 | 65,878 | ||
4.082% 4/1/33 (f) | 14,409 | 14,231 | ||
4.084% 2/1/35 (f) | 35,188 | 34,704 | ||
4.089% 2/1/35 (f) | 32,450 | 32,020 | ||
4.092% 11/1/34 (f) | 56,235 | 55,683 | ||
4.1% 2/1/35 (f) | 123,079 | 121,542 | ||
4.106% 1/1/35 (f) | 77,091 | 76,059 | ||
4.114% 1/1/35 (f) | 81,157 | 80,090 | ||
4.116% 2/1/35 (f) | 84,011 | 82,918 | ||
4.129% 1/1/35 (f) | 130,455 | 128,810 | ||
4.144% 1/1/35 (f) | 128,928 | 127,604 | ||
4.149% 2/1/35 (f) | 65,187 | 64,365 | ||
4.161% 1/1/35 (f) | 130,847 | 130,029 | ||
4.172% 1/1/35 (f) | 96,609 | 93,932 | ||
4.177% 1/1/35 (f) | 69,138 | 68,289 | ||
4.179% 10/1/34 (f) | 118,106 | 117,179 | ||
4.179% 11/1/34 (f) | 21,792 | 21,495 | ||
4.202% 1/1/35 (f) | 49,324 | 48,735 | ||
4.249% 1/1/34 (f) | 134,966 | 132,524 | ||
4.25% 2/1/35 (f) | 59,769 | 58,113 | ||
4.25% 2/1/35 (f) | 30,087 | 29,764 | ||
4.274% 8/1/33 (f) | 89,482 | 88,365 | ||
4.275% 3/1/35 (f) | 54,756 | 54,058 | ||
4.283% 7/1/34 (f) | 37,614 | 37,466 | ||
4.289% 12/1/34 (f) | 32,450 | 31,986 | ||
4.306% 5/1/35 (f) | 64,465 | 63,734 | ||
4.314% 3/1/33 (f) | 26,510 | 25,772 | ||
4.333% 9/1/34 (f) | 77,083 | 76,874 | ||
4.348% 9/1/34 (f) | 149,424 | 149,151 | ||
4.355% 1/1/35 (f) | 60,898 | 59,310 | ||
4.362% 2/1/34 (f) | 109,227 | 107,439 | ||
4.366% 4/1/35 (f) | 35,118 | 34,695 | ||
4.392% 11/1/34 (f) | 4,359,075 | 4,332,136 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
4.396% 2/1/35 (f) | $ 77,042 | $ 75,048 | ||
4.396% 5/1/35 (f) | 143,956 | 142,395 | ||
4.429% 10/1/34 (f) | 213,377 | 212,263 | ||
4.431% 1/1/35 (f) | 52,917 | 52,396 | ||
4.44% 3/1/35 (f) | 61,369 | 59,827 | ||
4.444% 12/1/34 (f) | 292,349 | 285,888 | ||
4.459% 8/1/34 (f) | 144,781 | 142,450 | ||
4.473% 5/1/35 (f) | 73,328 | 72,516 | ||
4.486% 1/1/35 (f) | 69,786 | 69,208 | ||
4.493% 3/1/35 (f) | 167,117 | 163,299 | ||
4.498% 8/1/34 (f) | 298,007 | 298,695 | ||
4.5% 5/1/18 to 3/1/35 | 97,077,512 | 92,342,210 | ||
4.5% 8/1/21 (e) | 6,264,781 | 5,982,365 | ||
4.5% 8/1/36 (e) | 20,000,000 | 18,372,600 | ||
4.516% 3/1/35 (f) | 150,129 | 146,643 | ||
4.525% 2/1/35 (f) | 7,431,078 | 7,328,381 | ||
4.529% 7/1/34 (f) | 63,921 | 63,536 | ||
4.536% 2/1/35 (f) | 309,217 | 306,619 | ||
4.545% 2/1/35 (f) | 43,250 | 42,862 | ||
4.545% 7/1/35 (f) | 176,919 | 174,973 | ||
4.547% 2/1/35 (f) | 41,909 | 41,567 | ||
4.574% 2/1/35 (f) | 139,650 | 136,798 | ||
4.575% 7/1/35 (f) | 197,105 | 195,005 | ||
4.586% 2/1/35 (f) | 3,934,080 | 3,849,891 | ||
4.606% 1/1/33 (f) | 238,734 | 236,936 | ||
4.614% 11/1/34 (f) | 152,738 | 150,105 | ||
4.666% 3/1/35 (f) | 3,052,294 | 3,030,226 | ||
4.669% 11/1/34 (f) | 162,705 | 160,113 | ||
4.716% 7/1/35 (f) | 3,696,635 | 3,594,164 | ||
4.726% 7/1/34 (f) | 146,735 | 144,798 | ||
4.733% 10/1/34 (f) | 196,706 | 193,968 | ||
4.776% 12/1/34 (f) | 133,984 | 131,851 | ||
4.791% 12/1/34 (f) | 48,063 | 47,258 | ||
4.797% 12/1/32 (f) | 63,731 | 63,496 | ||
4.801% 10/1/34 (f) | 100,971 | 99,740 | ||
4.811% 6/1/35 (f) | 244,592 | 242,809 | ||
4.817% 2/1/33 (f) | 84,863 | 84,415 | ||
4.82% 11/1/34 (f) | 169,978 | 167,382 | ||
4.876% 10/1/34 (f) | 5,418,589 | 5,354,487 | ||
5% 3/1/35 to 1/1/36 | 41,657,337 | 39,420,961 | ||
5% 8/1/36 (e) | 92,810,011 | 87,814,048 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
5.082% 9/1/34 (f) | $ 4,332,851 | $ 4,302,608 | ||
5.094% 9/1/34 (f) | 47,187 | 46,874 | ||
5.097% 5/1/35 (f) | 316,489 | 315,587 | ||
5.174% 5/1/35 (f) | 4,765,813 | 4,722,920 | ||
5.179% 5/1/35 (f) | 218,349 | 216,371 | ||
5.202% 6/1/35 (f) | 225,287 | 224,963 | ||
5.215% 5/1/35 (f) | 5,015,506 | 4,973,526 | ||
5.24% 3/1/35 (f) | 35,466 | 35,213 | ||
5.349% 12/1/34 (f) | 95,048 | 94,848 | ||
5.5% 11/1/16 to 4/1/36 | 62,802,904 | 61,377,879 | ||
5.5% 8/1/36 (e) | 54,265,689 | 52,696,868 | ||
5.506% 2/1/36 (f) | 8,639,700 | 8,619,310 | ||
5.636% 1/1/36 (f) | 273,795 | 273,792 | ||
5.927% 1/1/36 (f) | 980,245 | 982,755 | ||
6% 7/1/08 to 3/1/33 | 8,590,504 | 8,596,396 | ||
6% 8/1/21 (e) | 1,458,555 | 1,471,084 | ||
6% 8/1/36 (e) | 20,000,000 | 19,871,000 | ||
6.5% 6/1/09 to 4/1/36 | 12,902,161 | 13,089,172 | ||
6.5% 8/1/36 (e) | 12,877,350 | 13,026,212 | ||
7% 9/1/25 to 8/1/29 | 242,236 | 249,496 | ||
TOTAL FANNIE MAE | 486,195,282 | |||
Freddie Mac - 2.1% | ||||
4.042% 12/1/34 (f) | 47,663 | 46,849 | ||
4.086% 12/1/34 (f) | 79,708 | 78,415 | ||
4.133% 1/1/35 (f) | 193,345 | 190,279 | ||
4.26% 1/1/35 (f) | 182,051 | 179,384 | ||
4.26% 3/1/35 (f) | 67,089 | 66,080 | ||
4.288% 5/1/35 (f) | 125,515 | 123,773 | ||
4.3% 12/1/34 (f) | 77,333 | 75,037 | ||
4.33% 2/1/35 (f) | 135,892 | 133,940 | ||
4.357% 3/1/35 (f) | 105,567 | 102,500 | ||
4.383% 2/1/35 (f) | 134,447 | 130,557 | ||
4.441% 2/1/34 (f) | 68,181 | 66,902 | ||
4.445% 3/1/35 (f) | 65,082 | 63,308 | ||
4.457% 6/1/35 (f) | 76,607 | 75,490 | ||
4.461% 3/1/35 (f) | 81,073 | 78,845 | ||
4.545% 2/1/35 (f) | 118,516 | 115,468 | ||
5.004% 4/1/35 (f) | 2,891,584 | 2,872,500 | ||
5.133% 4/1/35 (f) | 3,146,069 | 3,104,792 | ||
5.321% 6/1/35 (f) | 250,856 | 248,717 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Freddie Mac - continued | ||||
5.512% 8/1/33 (f) | $ 29,016 | $ 29,006 | ||
5.566% 1/1/36 (f) | 478,857 | 476,530 | ||
6% 2/1/17 to 5/1/33 | 1,205,943 | 1,210,777 | ||
6% 8/1/36 (e) | 9,946,113 | 9,890,116 | ||
6% 8/14/36 (e) | 30,000,000 | 29,831,100 | ||
TOTAL FREDDIE MAC | 49,190,365 | |||
Government National Mortgage Association - 0.0% | ||||
5.5% 5/15/32 to 5/15/34 | 1,035,944 | 1,016,027 | ||
7% 7/15/31 to 12/15/32 | 93,683 | 96,853 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 1,112,880 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $534,690,679) | 536,498,527 | |||
Asset-Backed Securities - 3.6% | ||||
ACE Securities Corp.: | ||||
Series 2004-HE1: | ||||
Class M1, 5.885% 2/25/34 (f) | 125,000 | 125,288 | ||
Class M2, 6.485% 2/25/34 (f) | 125,000 | 125,984 | ||
Series 2005-SD1 Class A1, 5.785% 11/25/50 (f) | 74,537 | 74,644 | ||
Aircraft Lease Securitization Ltd. Series 2005-1 | 191,473 | 194,824 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2004-1 Class D, 5.07% 7/6/10 | 290,000 | 286,772 | ||
Series 2006-1: | ||||
Class A3, 5.11% 10/6/10 | 17,000 | 16,899 | ||
Class B1, 5.2% 3/6/11 | 50,000 | 49,611 | ||
Class C1, 5.28% 11/6/11 | 315,000 | 312,523 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2004-R2: | ||||
Class M1, 5.815% 4/25/34 (f) | 65,000 | 64,999 | ||
Class M2, 5.865% 4/25/34 (f) | 50,000 | 49,999 | ||
Series 2004-R8 Class M9, 8.135% 9/25/34 (f) | 725,000 | 730,654 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE7 Class A3, 5.7288% 12/15/33 (f) | 13,926 | 13,970 | ||
Series 2004-HE2 Class M1, 5.935% 4/25/34 (f) | 375,000 | 378,103 | ||
Bank One Issuance Trust: | ||||
Series 2002-C1 Class C1, 6.3288% 12/15/09 (f) | 425,000 | 427,177 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Bank One Issuance Trust: - continued | ||||
Series 2004-B2 Class B2, 4.37% 4/15/12 | $ 6,400,000 | $ 6,210,630 | ||
Capital Auto Receivables Asset Trust Series 2006-1: | ||||
Class A3, 5.03% 10/15/09 | 170,000 | 168,926 | ||
Class B, 5.26% 10/15/10 | 160,000 | 158,620 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,486,353 | ||
Class D, 7.16% 1/15/13 (d) | 160,000 | 158,888 | ||
Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12 | 5,130,000 | 4,941,881 | ||
Capmark VII Ltd. Series 2006-7A Class H, 6.9391% 8/20/36 (d)(e)(f) | 500,000 | 500,000 | ||
Cendant Timeshare Receivables Funding LLC | 193,854 | 190,058 | ||
Chase Credit Card Owner Trust Series 2004-1 Class B, 5.5688% 5/15/09 (f) | 220,000 | 219,997 | ||
CIT Equipment Collateral Trust Series 2006-VT1 Class A3, 5.13% 12/21/08 | 550,000 | 547,905 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2005-B1 Class B1, 4.4% 9/15/10 | 238,000 | 232,734 | ||
Series 2006-B2 Class B2, 5.15% 3/7/11 | 385,000 | 381,741 | ||
CNH Equipment Trust Series 2006-A: | ||||
Class A3, 5.2% 8/16/10 | 415,000 | 413,893 | ||
Class A4, 5.27% 9/15/11 | 8,420,000 | 8,391,015 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 5.885% 5/25/34 (f) | 410,000 | 411,590 | ||
Series 2004-3 Class M1, 5.885% 6/25/34 (f) | 75,000 | 75,368 | ||
Series 2005-1: | ||||
Class MV1, 5.785% 7/25/35 (f) | 185,000 | 185,618 | ||
Class MV2, 5.825% 7/25/35 (f) | 220,000 | 220,912 | ||
Series 2005-3 Class MV1, 5.805% 8/25/35 (f) | 4,750,000 | 4,764,631 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | ||||
Class B, 4.878% 6/15/35 (d) | 309,000 | 301,002 | ||
Class C, 5.074% 6/15/35 (d) | 281,000 | 274,321 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (d) | 235,000 | 237,821 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 5.935% 3/25/34 (f) | 25,000 | 25,062 | ||
Class M4, 6.285% 3/25/34 (f) | 25,000 | 25,140 | ||
Ford Credit Auto Owner Trust Series 2006-A Class A3, 5.05% 11/15/09 | 400,000 | 397,744 | ||
Fremont Home Loan Trust Series 2004-A: | ||||
Class M1, 5.935% 1/25/34 (f) | 225,000 | 225,921 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Fremont Home Loan Trust Series 2004-A: - continued | ||||
Class M2, 6.535% 1/25/34 (f) | $ 250,098 | $ 251,470 | ||
GSAMP Trust Series 2004-FM2 Class M1, 5.885% 1/25/34 (f) | 249,683 | 249,679 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 6.265% 8/25/33 (f) | 20,726 | 20,768 | ||
Series 2003-4 Class M1, 6.185% 10/25/33 (f) | 22,730 | 22,801 | ||
Series 2004-3 Class M2, 6.585% 8/25/34 (f) | 120,000 | 121,613 | ||
HSBC Home Equity Loan Trust Series 2005-2: | ||||
Class M1, 5.8381% 1/20/35 (f) | 110,514 | 110,760 | ||
Class M2, 5.8681% 1/20/35 (f) | 83,632 | 83,928 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2004-1 Class A4, 5.26% 11/15/12 | 8,435,000 | 8,396,546 | ||
Series 2006-1: | ||||
Class A3, 5.13% 6/15/10 | 125,000 | 124,512 | ||
Class B, 5.29% 11/15/12 | 55,000 | 54,765 | ||
Class C, 5.34% 11/15/12 | 70,000 | 69,732 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 7.1856% 4/6/46 (d)(f) | 422,952 | 424,009 | ||
Long Beach Mortgage Loan Trust Series 2006-6 | 150,000 | 150,000 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2001-B2 Class B2, 5.7288% 1/15/09 (f) | 24,500,000 | 24,497,572 | ||
Series 2003-B2 Class B2, 5.7588% 10/15/10 (f) | 80,000 | 80,427 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.885% 7/25/34 (f) | 100,000 | 100,202 | ||
Class M2, 5.935% 7/25/34 (f) | 25,000 | 25,058 | ||
Class M3, 6.335% 7/25/34 (f) | 50,000 | 50,298 | ||
Class M4, 6.485% 7/25/34 (f) | 25,000 | 25,157 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 6.485% 12/27/32 (f) | 90,000 | 90,805 | ||
Series 2003-NC8 Class M1, 6.085% 9/25/33 (f) | 34,998 | 35,121 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 6.885% 1/25/32 (f) | 19,779 | 19,798 | ||
Series 2002-NC1 Class M1, 6.585% 2/25/32 (d)(f) | 138,907 | 142,747 | ||
Series 2002-NC3 Class M1, 6.105% 8/25/32 (f) | 75,000 | 75,093 | ||
National Collegiate Funding LLC Series 2004-GT1 | 455,000 | 125,445 | ||
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 250,000 | 52,256 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 5.835% 6/25/34 (f) | 73,135 | 73,490 | ||
Class M4, 6.36% 6/25/34 (f) | 125,000 | 126,010 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Ownit Mortgage Loan Asset-Backed Certificates | $ 3,955,513 | $ 3,955,911 | ||
Park Place Securities, Inc. Series 2005-WCH1: | ||||
Class M2, 5.905% 1/25/35 (f) | 225,000 | 226,237 | ||
Class M4, 6.215% 1/25/35 (f) | 750,000 | 756,199 | ||
Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (d) | 745,000 | 741,246 | ||
SBA CMBS Trust Series 2005-1A Class C, 5.731% 11/15/35 (d) | 500,000 | 496,554 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.2794% 6/15/33 (f) | 260,000 | 263,123 | ||
Structured Asset Securities Corp. Series 2006-BC1 | 100,000 | 87,555 | ||
Superior Wholesale Inventory Financing Trust VII | 4,670,000 | 4,670,000 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 970,000 | 954,132 | ||
WFS Financial Owner Trust Series 2004-3 Class D, 4.07% 2/17/12 | 167,589 | 165,401 | ||
World Omni Auto Receivables Trust Series 2006-A | 380,000 | 377,868 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $82,159,206) | 82,293,506 | |||
Collateralized Mortgage Obligations - 3.2% | ||||
Private Sponsor - 2.3% | ||||
Adjustable Rate Mortgage Trust floater: | ||||
Series 2005-1 Class 5A2, 5.715% 5/25/35 (f) | 164,353 | 163,906 | ||
Series 2005-2 Class 6A2, 5.665% 6/25/35 (f) | 67,233 | 67,338 | ||
Bank of America Mortgage Securities, Inc.: | ||||
Series 2003-K: | ||||
Class 1A1, 3.373% 12/25/33 (f) | 105,368 | 106,032 | ||
Class 2A1, 4.164% 12/25/33 (f) | 234,112 | 229,081 | ||
Series 2004-B: | ||||
Class 1A1, 3.4304% 3/25/34 (f) | 370,723 | 374,184 | ||
Class 2A2, 4.106% 3/25/34 (f) | 165,695 | 160,977 | ||
Series 2004-C Class 1A1, 3.351% 4/25/34 (f) | 262,171 | 263,529 | ||
Series 2004-D: | ||||
Class 1A1, 3.5315% 5/25/34 (f) | 336,928 | 333,799 | ||
Class 2A2, 4.1994% 5/25/34 (f) | 492,122 | 478,960 | ||
Series 2004-G Class 2A7, 4.5637% 8/25/34 (f) | 486,235 | 475,791 | ||
Series 2004-H Class 2A1, 4.4722% 9/25/34 (f) | 429,234 | 419,083 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
Private Sponsor - continued | ||||
Bank of America Mortgage Securities, Inc.: - continued | ||||
Series 2005-E Class 2A7, 4.6123% 6/25/35 (f) | $ 435,000 | $ 418,970 | ||
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.665% 1/25/35 (f) | 9,141,095 | 9,155,999 | ||
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (d) | 185,688 | 185,140 | ||
CS First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR3 Class 6A2, 5.755% 4/25/34 (f) | 40,257 | 40,288 | ||
Series 2004-AR6 Class 9A2, 5.755% 10/25/34 (f) | 84,799 | 84,951 | ||
Series 2004-3 Class DB4, 5.8436% 4/25/34 (f) | 120,655 | 71,186 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (d) | 180,213 | 148,028 | ||
Granite Master Issuer PLC floater Series 2006-1A | 400,000 | 399,924 | ||
Granite Mortgages PLC floater Series 2004-2 Class 1C, 6.1138% 6/20/44 (f) | 31,787 | 31,819 | ||
JPMorgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9596% 11/25/35 (f) | 125,000 | 122,471 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.7838% 9/26/45 (d)(f) | 410,408 | 411,049 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 57,781 | 56,805 | ||
Master Asset Securitization Trust Series 2004-9 | 387,990 | 386,883 | ||
Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.236% 8/25/17 (f) | 276,421 | 279,262 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2005-B Class A2, 5.5475% 7/25/30 (f) | 308,500 | 308,558 | ||
Series 2003-E Class XA1, 0.9453% 10/25/28 (f)(h) | 832,043 | 6,322 | ||
Series 2003-G Class XA1, 1% 1/25/29 (h) | 1,172,179 | 9,113 | ||
Series 2003-H Class XA1, 1% 1/25/29 (d)(h) | 938,232 | 8,394 | ||
Opteum Mortgage Acceptance Corp. floater | 272,047 | 272,345 | ||
Residential Asset Mortgage Products, Inc. sequential pay: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 358,380 | 359,625 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 44,990 | 45,371 | ||
Residential Finance LP/Residential Finance Development Corp. floater: | ||||
Series 2003-CB1: | ||||
Class B3, 6.795% 6/10/35 (d)(f) | 42,514 | 43,261 | ||
Class B4, 6.995% 6/10/35 (d)(f) | 37,790 | 38,510 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
Private Sponsor - continued | ||||
Residential Finance LP/Residential Finance Development Corp. floater: - continued | ||||
Class B5, 7.595% 6/10/35 (d)(f) | $ 28,343 | $ 28,988 | ||
Class B6, 8.095% 6/10/35 (d)(f) | 14,171 | 14,388 | ||
Series 2004-B: | ||||
Class B4, 6.445% 2/10/36 (d)(f) | 96,695 | 98,536 | ||
Class B5, 6.895% 2/10/36 (d)(f) | 96,695 | 97,766 | ||
Class B6, 7.345% 2/10/36 (d)(f) | 96,695 | 97,492 | ||
Series 2004-C: | ||||
Class B4, 6.295% 9/10/36 (f) | 97,427 | 98,429 | ||
Class B5, 6.695% 9/10/36 (f) | 97,427 | 98,203 | ||
Class B6, 7.095% 9/10/36 (f) | 97,427 | 98,198 | ||
Sequoia Mortgage Funding Trust Series 2003-A | 1,817,505 | 6,293 | ||
Sequoia Mortgage Trust floater Series 2005-2 Class A2, 5.19% 3/20/35 (f) | 250,013 | 249,723 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.695% 7/25/35 (f) | 793,481 | 796,652 | ||
Structured Asset Securities Corp. floater Series 2005-AR1 Class B1, 7.385% 9/25/35 (d)(f) | 530,000 | 454,475 | ||
Thornburg Mortgage Securities Trust floater | 8,132,967 | 8,119,457 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B | 100,000 | 98,353 | ||
WaMu Mortgage pass thru certificates floater | 6,385,815 | 6,386,462 | ||
Washington Mutual Mortgage Securities Corp. sequential pay: | ||||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 42,599 | 43,674 | ||
Series 2004-RA2 Class 2A, 7% 7/25/33 | 80,545 | 81,552 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-T Class A1, 3.4552% 9/25/34 (f) | 411,313 | 414,572 | ||
Series 2005-AR10 Class 2A2, 4.1096% 6/25/35 (f) | 815,634 | 798,359 | ||
Series 2005-AR12 Class 2A6, 4.3193% 7/25/35 (f) | 769,862 | 750,959 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 9,651,328 | 9,417,247 | ||
Series 2005-AR9 Class 2A1, 4.3622% 5/25/35 (f) | 317,601 | 313,240 | ||
Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (f) | 9,080,000 | 8,962,650 | ||
TOTAL PRIVATE SPONSOR | 53,482,622 | |||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
U.S. Government Agency - 0.9% | ||||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class Series 2004-81 Class KC, 4.5% 4/25/17 | $ 1,490,000 | $ 1,436,257 | ||
sequential pay: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | 33,488 | 32,020 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 219,055 | 210,030 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 441,659 | 426,644 | ||
Freddie Mac planned amortization class Series 3033 Class UD, 5.5% 10/15/30 | 310,000 | 307,190 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2760 Class EB, 4.5% 9/15/16 | 8,662,000 | 8,330,286 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 7,400,000 | 6,814,181 | ||
Series 2952 Class EC, 5.5% 11/15/28 | 915,000 | 906,971 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 495,000 | 490,329 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 780,000 | 772,824 | ||
sequential pay: | ||||
Series 2675 Class CB, 4% 5/15/16 | 635,192 | 611,875 | ||
Series 2683 Class JA, 4% 10/15/16 | 647,917 | 622,822 | ||
Series 2750 Class ZT, 5% 2/15/34 | 411,776 | 348,500 | ||
TOTAL U.S. GOVERNMENT AGENCY | 21,309,929 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $74,794,956) | 74,792,551 | |||
Commercial Mortgage Securities - 4.0% | ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A2, 7.0816% 2/14/43 (f) | 360,000 | 381,734 | ||
Class A3, 7.1316% 2/14/43 (f) | 385,000 | 396,911 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
Series 2005-1 Class A3, 4.877% 11/10/42 | 2,865,000 | 2,809,200 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (f) | 8,590,000 | 8,358,641 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class C, 5.8388% 11/15/15 (d)(f) | 50,000 | 50,104 | ||
Class D, 5.9188% 11/15/15 (d)(f) | 80,000 | 80,187 | ||
Class F, 6.2688% 11/15/15 (d)(f) | 60,000 | 60,143 | ||
Class H, 6.7688% 11/15/15 (d)(f) | 50,000 | 50,137 | ||
Class J, 7.3188% 11/15/15 (d)(f) | 55,000 | 55,153 | ||
Class K, 7.9688% 11/15/15 (d)(f) | 50,000 | 49,931 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
Banc of America Large Loan, Inc.: - continued | ||||
floater: | ||||
Series 2005-BOCA: | ||||
Class D, 5.6988% 12/15/16 (d)(f) | $ 110,000 | $ 110,015 | ||
Class E, 5.7888% 12/15/16 (d)(f) | 100,000 | 100,016 | ||
Class F, 5.8688% 12/15/16 (d)(f) | 110,000 | 110,015 | ||
Class H, 6.3188% 12/15/16 (d)(f) | 120,000 | 120,043 | ||
Class K, 6.7188% 12/15/16 (d)(f) | 105,000 | 105,038 | ||
Series 2005-ESHA: | ||||
Class E, 5.9388% 7/14/20 (d)(f) | 190,000 | 190,778 | ||
Class F, 6.1088% 7/14/20 (d)(f) | 110,000 | 110,470 | ||
Class G, 6.2388% 7/14/20 (d)(f) | 100,000 | 100,427 | ||
Class H, 6.4588% 7/14/20 (d)(f) | 100,000 | 100,389 | ||
Series 2006-ESH: | ||||
Class A, 6.2288% 7/14/11 (d)(f) | 212,580 | 212,185 | ||
Class B, 6.3288% 7/14/11 (d)(f) | 106,007 | 105,712 | ||
Class C, 6.4788% 7/14/11 (d)(f) | 212,297 | 211,551 | ||
Class D, 7.1088% 7/14/11 (d)(f) | 123,385 | 123,025 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2004-1 Class A, 5.745% 4/25/34 (d)(f) | 255,714 | 256,353 | ||
Series 2004-2 Class A, 5.815% 8/25/34 (d)(f) | 298,088 | 299,206 | ||
Series 2004-3: | ||||
Class A1, 5.755% 1/25/35 (d)(f) | 283,473 | 284,359 | ||
Class A2, 5.805% 1/25/35 (d)(f) | 40,496 | 40,572 | ||
Class M1, 5.885% 1/25/35 (d)(f) | 40,496 | 40,724 | ||
Class M2, 6.385% 1/25/35 (d)(f) | 40,496 | 40,990 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (d)(h) | 2,814,375 | 153,203 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
sequential pay Series 2004-ESA Class A3, 4.741% 5/14/16 (d) | 180,000 | 177,323 | ||
Series 2004-ESA: | ||||
Class B, 4.888% 5/14/16 (d) | 325,000 | 320,584 | ||
Class C, 4.937% 5/14/16 (d) | 205,000 | 202,474 | ||
Class D, 4.986% 5/14/16 (d) | 75,000 | 74,171 | ||
Class E, 5.064% 5/14/16 (d) | 230,000 | 228,151 | ||
Class F, 5.182% 5/14/16 (d) | 55,000 | 54,573 | ||
COMM floater Series 2002-FL7 Class D, 5.9388% 11/15/14 (d)(f) | 28,571 | 28,587 | ||
Commercial Mortgage pass thru certificates sequential pay Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (d) | 2,035,000 | 2,024,632 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
Commercial Mortgage Pass-Through Certificates sequential pay Series 2005-C6 Class A2, 4.999% 6/10/44 (f) | $ 940,000 | $ 925,488 | ||
CS First Boston Mortgage Securities Corp. sequential pay Series 2004-C1 Class A4, 4.75% 1/15/37 | 695,000 | 655,208 | ||
DLJ Commercial Mortgage Corp. sequential pay | 8,000,000 | 8,540,335 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8831% 10/16/23 (f) | 18,488 | 18,706 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay: | ||||
Series 2003-22 Class B, 3.963% 5/16/32 | 60,000 | 56,982 | ||
Series 2003-47 Class C, 4.227% 10/16/27 | 5,987,142 | 5,785,050 | ||
Series 2003-59 Class D, 3.654% 10/16/27 | 115,000 | 106,219 | ||
Series 2003-47 Class XA, 0.1793% 6/16/43 (f)(h) | 5,401,685 | 295,595 | ||
Global Signal Trust III Series 2006-1 Class F, 7.036% 2/15/36 (d) | 200,000 | 201,594 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential pay Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,195,000 | 1,168,711 | ||
Series 2006-GG7 Class A3, 6.1101% 7/10/38 | 2,860,000 | 2,913,863 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay Series 2003-C1 Class A2A, 3.59% 1/10/40 | 65,000 | 63,403 | ||
Series 2006-FL8 Class J, 7.12% 6/6/20 (d)(f) | 250,000 | 250,000 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (f) | 9,400,000 | 9,388,548 | ||
Series 2006-RR2: | ||||
Class M, 5.8158% 6/1/46 (f) | 100,000 | 75,645 | ||
Class N, 5.8158% 6/1/46 (f) | 100,000 | 69,094 | ||
Guggenheim Structure Real Estate Funding Ltd. | 250,000 | 250,000 | ||
Hilton Hotel Pool Trust Series 2000-HLTA Class D, 7.555% 10/3/15 (d) | 370,000 | 389,894 | ||
Host Marriott Pool Trust sequential pay Series 1999-HMTA Class D, 7.97% 8/3/15 (d) | 110,000 | 117,072 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential pay: | ||||
Series 2006-CB14 Class A3B, 5.6711% 12/12/44 (f) | 2,790,000 | 2,766,678 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (f) | 1,305,000 | 1,316,136 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 1,295,000 | 1,256,179 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 1,152,000 | 1,133,662 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2000-C5 Class E, 7.29% 12/15/32 | $ 700,000 | $ 740,264 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 295,000 | 307,512 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (d) | 6,600,000 | 5,812,349 | ||
Merrill Lynch Mortgage Trust sequential pay | 1,580,000 | 1,527,544 | ||
Morgan Stanley Capital I Trust Series 2006-T23 | 1,140,000 | 1,148,706 | ||
Morgan Stanley Capital I, Inc. Series 2005-IQ9 | 3,835,065 | 158,933 | ||
Mortgage Capital Funding, Inc. sequential pay | 269,743 | 272,433 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d) | 353,175 | 436,982 | ||
Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (d) | 7,000,000 | 7,088,171 | ||
Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
Class C3, 6.522% 3/15/13 (d) | 13,634 | 13,766 | ||
Class C4, 6.893% 5/15/16 (d) | 500,000 | 523,539 | ||
Class E3, 7.253% 3/15/13 (d) | 127,278 | 129,906 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 785,000 | 754,477 | ||
Series 2006-C24 Class A2, 5.506% 3/15/45 | 16,615,000 | 16,576,347 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (d)(f) | 1,000,000 | 965,720 | ||
Class 180B, 5.5782% 10/15/41 (d)(f) | 500,000 | 486,790 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $92,677,210) | 92,905,208 | |||
Foreign Government and Government Agency Obligations - 2.2% | ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 1,309,410 | 1,227,572 | ||
4.889% 8/3/12 (f) | 1,563,750 | 1,451,160 | ||
7% 3/28/11 | 905,000 | 860,831 | ||
Brazilian Federative Republic: | ||||
8% 1/15/18 | 491,000 | 531,999 | ||
8.75% 2/4/25 | 275,000 | 317,213 | ||
10.5% 7/14/14 | 155,000 | 191,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
Brazilian Federative Republic: - continued | ||||
11% 8/17/40 | $ 1,400,000 | $ 1,798,300 | ||
12.25% 3/6/30 | 580,000 | 900,450 | ||
12.75% 1/15/20 | 290,000 | 430,650 | ||
Central Bank of Nigeria: | ||||
Brady 6.25% 11/15/20 | 500,000 | 497,500 | ||
promissory note 5.092% 1/5/10 | 279,236 | 269,415 | ||
City of Kiev 8.75% 8/8/08 | 100,000 | 102,750 | ||
Colombian Republic 11.75% 2/25/20 | 200,000 | 275,500 | ||
Dominican Republic: | ||||
Brady 5.7925% 8/30/09 (f) | 90,408 | 90,046 | ||
6.1875% 8/30/24 (f) | 1,250,000 | 1,196,875 | ||
9.5% 9/27/11 | 691,684 | 741,831 | ||
Ecuador Republic: | ||||
9% 8/15/30 (Reg. S) (c) | 1,105,000 | 1,118,813 | ||
9.375% 12/15/15 (d) | 800,000 | 836,000 | ||
euro par 5% 2/28/25 | 153,000 | 113,794 | ||
Indonesian Republic: | ||||
6.75% 3/10/14 | 950,000 | 947,625 | ||
7.25% 4/20/15 (d) | 60,000 | 61,578 | ||
7.25% 4/20/15 | 275,000 | 282,233 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (d) | 200,000 | 186,000 | ||
Israeli State 4.625% 6/15/13 | 20,000 | 18,618 | ||
Lebanon, Republic of: | ||||
8.5669% 11/30/09 (d)(f) | 105,000 | 103,163 | ||
8.5669% 11/30/09 (f) | 1,150,000 | 1,129,875 | ||
Pakistan International Sukuk Co. Ltd. 7.76% 1/27/10 (f) | 400,000 | 404,500 | ||
Peruvian Republic: | ||||
5.875% 3/7/27 (f) | 40,000 | 39,400 | ||
7.35% 7/21/25 | 575,000 | 585,638 | ||
euro Brady past due interest 5% 3/7/17 (f) | 1,177,100 | 1,153,558 | ||
Philippine Republic: | ||||
5.3203% 12/1/09 (f) | 23,800 | 23,443 | ||
8.25% 1/15/14 | 1,105,000 | 1,181,024 | ||
8.375% 2/15/11 | 660,000 | 702,108 | ||
8.875% 3/17/15 | 150,000 | 167,250 | ||
9% 2/15/13 | 630,000 | 698,544 | ||
9.875% 1/15/19 | 845,000 | 1,002,424 | ||
10.625% 3/16/25 | 665,000 | 852,065 | ||
Republic of Iraq 5.8% 1/15/28 (d) | 500,000 | 335,000 | ||
Russian Federation: | ||||
5% 3/31/30 (Reg. S) (c) | 3,177,000 | 3,456,973 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
Russian Federation: - continued | ||||
12.75% 6/24/28 (Reg. S) | $ 590,000 | $ 1,023,650 | ||
State of Qatar 9.75% 6/15/30 (Reg. S) | 75,000 | 105,750 | ||
Turkish Republic: | ||||
11% 1/14/13 | 135,000 | 159,975 | ||
11.5% 1/23/12 | 200,000 | 238,500 | ||
11.75% 6/15/10 | 2,255,000 | 2,610,163 | ||
11.875% 1/15/30 | 1,320,000 | 1,920,600 | ||
Ukraine Government: | ||||
(Reg. S) 6.875% 3/4/11 | 575,000 | 572,125 | ||
8.235% 8/5/09 (f) | 1,050,000 | 1,106,490 | ||
United Mexican States: | ||||
5.875% 1/15/14 | 6,610,000 | 6,600,085 | ||
6.75% 9/27/34 | 3,790,000 | 3,865,800 | ||
7.5% 1/14/12 | 100,000 | 107,800 | ||
7.5% 4/8/33 | 605,000 | 671,550 | ||
8.3% 8/15/31 | 665,000 | 800,660 | ||
11.5% 5/15/26 | 50,000 | 76,625 | ||
Uruguay Republic: | ||||
7.5% 3/15/15 | 250,000 | 254,125 | ||
8% 11/18/22 | 135,000 | 135,338 | ||
Venezuelan Republic: | ||||
5.375% 8/7/10 | 265,000 | 255,460 | ||
6% 12/9/20 | 220,000 | 198,000 | ||
6.5106% 4/20/11 (f) | 820,000 | 822,050 | ||
7% 12/1/18 (Reg. S) | 220,000 | 218,900 | ||
7.65% 4/21/25 | 350,000 | 368,900 | ||
9.25% 9/15/27 | 325,000 | 401,538 | ||
10.75% 9/19/13 | 590,000 | 717,440 | ||
13.625% 8/15/18 | 548,000 | 811,040 | ||
euro Brady FLIRB B 5.985% 3/31/07 (f) | 23,805 | 23,805 | ||
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (c) | 90,000 | 71,100 | ||
TOTAL FOREIGN GOVERNMENT AND (Cost $48,637,957) | 50,421,000 | |||
Supranational Obligations - 0.1% | ||||
Corporacion Andina de Fomento 6.875% 3/15/12 | 910,000 | 953,277 | ||
Floating Rate Loans - 0.0% | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - 0.0% | ||||
Specialty Retail - 0.0% | ||||
Toys 'R' US, Inc. term loan 8.3463% 12/9/08 (f) | $ 250,000 | $ 248,438 | ||
INDUSTRIALS - 0.0% | ||||
Airlines - 0.0% | ||||
Delta Air Lines, Inc. Tranche C, term loan 12.7725% 3/16/08 (f) | 300,000 | 308,250 | ||
TOTAL FLOATING RATE LOANS (Cost $554,345) | 556,688 | |||
Sovereign Loan Participations - 0.0% | ||||
Indonesian Republic loan participation: | ||||
- Credit Suisse First Boston 6.375% 3/28/13 (f) | 109,785 | 106,492 | ||
- Deutsche Bank 6.375% 3/28/13 (f) | 12,922 | 12,534 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $107,424) | 119,026 |
Fixed-Income Funds - 20.7% | |||
Shares | |||
Fidelity Floating Rate Central Investment Portfolio (g) | 667,453 | 66,892,140 | |
Fidelity Ultra-Short Central Fund (g) | 4,161,697 | 414,005,618 | |
TOTAL FIXED-INCOME FUNDS (Cost $480,930,605) | 480,897,758 | ||
Preferred Securities - 0.3% | |||
Principal | |||
FINANCIALS - 0.3% | |||
Diversified Financial Services - 0.3% | |||
MUFG Capital Finance 1 Ltd. 6.346% (f) | $ 6,805,000 | 6,663,086 | |
TOTAL PREFERRED SECURITIES (Cost $6,760,122) | 6,663,086 | ||
Cash Equivalents - 7.2% | |||
Maturity | Value | ||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.3%, dated 7/31/06 due 8/1/06 | $ 166,817,541 | $ 166,793,000 | |
TOTAL INVESTMENT PORTFOLIO - 109.5% (Cost $2,528,862,776) | 2,540,243,441 | ||
NET OTHER ASSETS - (9.5)% | (219,929,045) | ||
NET ASSETS - 100% | $ 2,320,314,396 |
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley default event of Morgan Stanley ABS Capital I, Inc., par value of the proportional notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34 | Sept. 2034 | $ 134,000 | $ 2,985 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34 | August 2034 | 134,000 | 2,808 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 134,000 | 3,162 | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 134,000 | 1,070 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | $ 134,000 | $ 883 | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 134,000 | 1,166 | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 100,000 | 27 | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 134,000 | 249 | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 | March 2034 | 482,000 | 1,141 | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 | Feb. 2034 | 139,680 | 185 | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 16,887 | 80 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | $ 134,000 | $ 1,601 | ||
Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 | March 2008 | 485,000 | 665 | ||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 | Sept. 2010 | 400,000 | 1,352 | ||
Receive quarterly notional amount multiplied by .37% and pay Goldman Sachs upon default event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 400,000 | 1,436 | ||
Receive quarterly notional amount multiplied by .37% and pay Morgan Stanley, Inc. upon default event of Pacific Gas & Electric Co. par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 600,000 | 2,154 | ||
Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 420,000 | 1,109 | ||
Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 760,000 | 1,938 | ||
Receive semi-annually notional amount multiplied by .56% and pay JPMorgan Chase, Inc. upon default of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | August 2011 | 2,000,000 | 1,140 | ||
TOTAL CREDIT DEFAULT SWAPS | 6,875,567 | 25,151 | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ (40,650) | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | (60,975) | ||
Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | July 2014 | 1,135,000 | (41,757) | ||
Receive semi-annually a fixed rate equal to 4.7515% and pay quarterly a floating rate based on 3-month LIBOR with UBS | Jan. 2009 | 15,000,000 | (226,650) | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 142,400 | ||
Receive semi-annually a fixed rate equal to 5.375% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2009 | 30,000,000 | 387,900 | ||
Receive semi-annually a fixed rate equal to 5.636% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2009 | 100,000,000 | 676,000 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 881,000 | ||
TOTAL INTEREST RATE SWAPS | 268,635,000 | 1,717,268 | |||
Total Return Swaps | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Citibank | Oct. 2006 | 10,000,000 | 136,870 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR with Citibank | Sept. 2006 | 1,000,000 | 13,472 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps - continued | |||||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers | Jan. 2007 | $ 40,000,000 | $ 283,208 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 15 basis points with Bank of America | August 2006 | 2,000,000 | 12,212 | ||
TOTAL TOTAL RETURN SWAPS | 53,000,000 | 445,762 | |||
$ 328,510,567 | $ 2,188,181 |
Legend |
(a) Non-income producing - Issuer is in default. |
(b) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $99,105,199 or 4.3% of net assets. |
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each fixed-income central fund, as of the investing fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the fixed-income central fund's financial statements, which are not covered by the investing fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows: |
Fund | Income earned |
Fidelity Floating Rate Central Investment Portfolio | $ 1,174,909 |
Fidelity Ultra-Short Central Fund | 3,848,914 |
Total | $ 5,023,823 |
Additional information regarding the fund's fiscal year to date purchases and sales, including the ownership percentage, of the following fixed income Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Investment Portfolio | $ - | $ 66,983,961 | $ - | $ 66,892,140 | 4.9% |
Fidelity Ultra-Short Central Fund | 54,002,121 | 384,961,270 | 25,002,507 | 414,005,618 | 5.4% |
Total | $ 54,002,121 | $ 451,945,231 | $ 25,002,507 | $ 480,897,758 |
Income Tax Information |
At July 31, 2006, the fund had a capital loss carryforward of approximately $401,905 all of which will expire on July 31, 2014. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
July 31, 2006 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $166,793,000) - Unaffiliated issuers (cost $2,047,932,171) | $ 2,059,345,683 | |
Affiliated Central Funds (cost $480,930,605) | 480,897,758 | |
Total Investments (cost $2,528,862,776) | $ 2,540,243,441 | |
Receivable for investments sold | 803,521 | |
Receivable for swap agreements | 3,461 | |
Receivable for fund shares sold | 4,470,762 | |
Interest receivable | 16,835,714 | |
Swap agreements, at value | 2,188,181 | |
Other receivables | 180 | |
Total assets | 2,564,545,260 | |
Liabilities | ||
Payable to custodian bank | $ 1,524 | |
Payable for investments purchased | 3,816,270 | |
Delayed delivery | 237,839,445 | |
Payable for fund shares redeemed | 1,225,184 | |
Distributions payable | 435,106 | |
Accrued management fee | 607,086 | |
Distribution fees payable | 3,986 | |
Other affiliated payables | 246,657 | |
Other payables and accrued expenses | 55,606 | |
Total liabilities | 244,230,864 | |
Net Assets | $ 2,320,314,396 | |
Net Assets consist of: | ||
Paid in capital | $ 2,308,461,544 | |
Undistributed net investment income | 2,168,613 | |
Accumulated undistributed net realized gain (loss) on investments | (3,884,607) | |
Net unrealized appreciation (depreciation) on investments | 13,568,846 | |
Net Assets | $ 2,320,314,396 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
July 31, 2006 | ||
Calculation of Maximum Offering Price | $ 10.28 | |
Maximum offering price per share (100/95.25 of $10.28) | $ 10.79 | |
Class T: | $ 10.27 | |
Maximum offering price per share (100/96.50 of $10.27) | $ 10.64 | |
Class B: | $ 10.28 | |
Class C: | $ 10.28 | |
Fidelity Total Bond Fund: | $ 10.28 | |
Institutional Class: | $ 10.27 |
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.
Annual Report
Statement of Operations
Year ended July 31, 2006 | ||
Investment Income | ||
Dividends | $ 153,546 | |
Interest | 33,296,400 | |
Income from affiliated Central Funds | 5,023,823 | |
Total income | 38,473,769 | |
Expenses | ||
Management fee | $ 2,293,052 | |
Transfer agent fees | 742,160 | |
Distribution fees | 52,639 | |
Fund wide operations fee | 205,256 | |
Independent trustees' compensation | 2,244 | |
Miscellaneous | 1,198 | |
Total expenses before reductions | 3,296,549 | |
Expense reductions | (6,204) | 3,290,345 |
Net investment income | 35,183,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (4,768,928) | |
Affiliated Central Funds | (12,063) | |
Swap agreements | (1,131,505) | |
Total net realized gain (loss) | (5,912,496) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 10,931,759 | |
Swap agreements | 2,016,138 | |
Total change in net unrealized appreciation (depreciation) | 12,947,897 | |
Net gain (loss) | 7,035,401 | |
Net increase (decrease) in net assets resulting from operations | $ 42,218,825 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 35,183,424 | $ 14,843,616 |
Net realized gain (loss) | (5,912,496) | 4,429,155 |
Change in net unrealized appreciation (depreciation) | 12,947,897 | 1,865,347 |
Net increase (decrease) in net assets resulting | 42,218,825 | 21,138,118 |
Distributions to shareholders from net investment income | (31,840,595) | (14,221,483) |
Distributions to shareholders from net realized gain | (1,679,853) | (3,063,178) |
Total distributions | (33,520,448) | (17,284,661) |
Share transactions - net increase (decrease) | 1,879,857,353 | 53,654,454 |
Total increase (decrease) in net assets | 1,888,555,730 | 57,507,911 |
Net Assets | ||
Beginning of period | 431,758,666 | 374,250,755 |
End of period (including undistributed net investment income of $2,168,613 and undistributed net investment income of $539,146, respectively) | $ 2,320,314,396 | $ 431,758,666 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .476 | .387 | .046 |
Net realized and unrealized gain (loss) | (.294) H | .183 | .145 |
Total from investment operations | .182 | .570 | .191 |
Distributions from net investment income | (.432) | (.370) | (.041) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.472) | (.460) | (.041) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | 1.78% | 5.52% | 1.85% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | .79% | .96% | .87% A |
Expenses net of fee waivers, if any | .79% | .80% | .80% A |
Expenses net of all reductions | .79% | .80% | .80% A |
Net investment income | 4.61% | 3.69% | 3.51% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 4,545 | $ 2,974 | $ 102 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.56 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .466 | .377 | .045 |
Net realized and unrealized gain (loss) | (.296) H | .173 | .144 |
Total from investment operations | .170 | .550 | .189 |
Distributions from net investment income | (.420) | (.360) | (.039) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.460) | (.450) | (.039) |
Net asset value, end of period | $ 10.27 | $ 10.56 | $ 10.46 |
Total Return B, C, D | 1.66% | 5.33% | 1.84% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | .91% | 1.13% | .96% A |
Expenses net of fee waivers, if any | .90% | .90% | .90% A |
Expenses net of all reductions | .90% | .90% | .90% A |
Net investment income | 4.50% | 3.59% | 3.41% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 4,583 | $ 5,739 | $ 102 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .399 | .309 | .036 |
Net realized and unrealized gain (loss) | (.296) H | .182 | .145 |
Total from investment operations | .103 | .491 | .181 |
Distributions from net investment income | (.353) | (.291) | (.031) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.393) | (.381) | (.031) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | 1.01% | 4.74% | 1.76% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | 1.59% | 1.75% | 1.62% A |
Expenses net of fee waivers, if any | 1.55% | 1.55% | 1.55% A |
Expenses net of all reductions | 1.55% | 1.55% | 1.55% A |
Net investment income | 3.85% | 2.94% | 2.76% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 1,667 | $ 2,029 | $ 104 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .389 | .299 | .035 |
Net realized and unrealized gain (loss) | (.293) H | .181 | .145 |
Total from investment operations | .096 | .480 | .180 |
Distributions from net investment income | (.346) | (.280) | (.030) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.386) | (.370) | (.030) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | .94% | 4.63% | 1.74% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | 1.62% | 1.74% | 1.74% A |
Expenses net of fee waivers, if any | 1.62% | 1.65% | 1.65% A |
Expenses net of all reductions | 1.62% | 1.65% | 1.65% A |
Net investment income | 3.78% | 2.84% | 2.66% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 1,770 | $ 677 | $ 142 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended July 31, | 2006 | 2005 | 2004 | 2003 H |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.28 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income D | .506 | .411 | .340 | .232 |
Net realized and unrealized gain (loss) | (.290) G | .182 | .237 | .269 |
Total from investment operations | .216 | .593 | .577 | .501 |
Distributions from net investment income | (.466) | (.393) | (.337) | (.221) |
Distributions from net realized gain | (.040) | (.090) | (.060) | - |
Total distributions | (.506) | (.483) | (.397) | (.221) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 | $ 10.28 |
Total Return B, C | 2.11% | 5.75% | 5.68% | 5.01% |
Ratios to Average Net Assets E, I | ||||
Expenses before reductions | .45% | .64% | .75% | 1.01% A |
Expenses net of fee waivers, if any | .45% | .61% | .65% | .65% A |
Expenses net of all reductions | .45% | .61% | .65% | .65% A |
Net investment income | 4.95% | 3.87% | 3.25% | 2.83% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 2,306,817 | $ 420,225 | $ 373,699 | $ 80,816 |
Portfolio turnover rate F | 99% | 193% | 251% | 423% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the affiliated central funds.
F Amounts do not include the portfolio activity of the affiliated central funds.
G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
H For the period October 15, 2002 (commencement of operations) to July 31, 2003.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended July 31, | 2006 | 2005 | 2004 H |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income D | .493 | .410 | .048 |
Net realized and unrealized gain (loss) | (.294) G | .182 | .145 |
Total from investment operations | .199 | .592 | .193 |
Distributions from net investment income | (.459) | (.392) | (.043) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.499) | (.482) | (.043) |
Net asset value, end of period | $ 10.27 | $ 10.57 | $ 10.46 |
Total Return B, C | 1.95% | 5.74% | 1.87% |
Ratios to Average Net Assets E, I | |||
Expenses before reductions | .56% | .62% | .71% A |
Expenses net of fee waivers, if any | .56% | .62% | .65% A |
Expenses net of all reductions | .56% | .61% | .65% A |
Net investment income | 4.84% | 3.87% | 3.66% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 933 | $ 114 | $ 102 |
Portfolio turnover rate F | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the affiliated central funds.
F Amounts do not include the portfolio activity of the affiliated central funds.
G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended July 31, 2006
1. Significant Accounting Policies.
Fidelity Total Bond Fund (the Fund) is a non-diversified fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Class B, Class C, Total Bond (the original class), and Institutional Class 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. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The Fund may invest in Fidelity Ultra-Short Central Fund (Ultra-Short Central Fund) and fixed-income Central Investment Portfolios (CIPs), collectively referred to as the Central Funds, which are open-end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund, which are also consistently followed by the Central Funds:
On July 20, 2006, the Board of Trustees approved a change in the fiscal year-end of the Fund from July 31, to August 31, effective August 31, 2006.
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Security Valuation - continued
from published prices for the same securities. Investments in open-end mutual funds, including the Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions, including the Fund's investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. 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 by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income 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 generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to defaulted bonds, market discount, partnerships (including allocations from CIPs), financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 25,480,756 | |
Unrealized depreciation | (10,729,602) | |
Net unrealized appreciation (depreciation) | 14,751,154 | |
Undistributed ordinary income | 991,384 | |
Capital loss carryforward | (401,905) | |
Cost for federal income tax purposes | $ 2,525,492,287 |
The tax character of distributions paid was as follows:
July 31, 2006 | July 31, 2005 | |
Ordinary Income | $ 32,890,503 | $ 16,942,281 |
Long-term Capital Gains | 629,945 | 342,380 |
Total | $ 33,520,448 | $ 17,284,661 |
New Accounting Pronouncement. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48) was issued and is effective for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets and results of operations.
Annual Report
Notes to Financial Statements - continued
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the fund's Schedule of Investments.
Annual Report
2. Operating Policies - continued
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in
Annual Report
Notes to Financial Statements - continued
2. Operating Policies - continued
Swap Agreements - continued
compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,174,258,515 and $90,074,542, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 6,518 | $ 193 |
Class T | 0% | .25% | 14,532 | 7,540 |
Class B | .65% | .25% | 19,939 | 14,677 |
Class C | .75% | .25% | 11,650 | 6,833 |
$ 52,639 | $ 29,243 |
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares (.25% prior to February 24, 2006) and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 8,889 |
Class T | 2,719 |
Class B* | 749 |
Class C* | 1,715 |
$ 14,072 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Total Bond. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Total Bond shares. 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. FSC receives an
Annual Report
Notes to Financial Statements - continued
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
asset-based fee of .10% of Total Bond's average net assets. FIIOC and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 12,392 | .29 |
Class T | 18,034 | .31 |
Class B | 7,426 | .34 |
Class C | 3,090 | .27 |
Total Bond | 700,498 | .10 |
Institutional Class | 720 | .21 |
$ 742,160 |
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
Affiliated Central Funds. The Fund may invest in Ultra-Short Central Fund, managed by Fidelity Investments Money Management, Inc. (FIMM), which seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.
The Fund may also invest in CIPs managed by FIMM, or Fidelity Management & Research Company Inc. (FMRC), each an affiliate of FMR.
The Floating Rate Central Investment Portfolio seeks a high level of income by normally investing in floating rate loans and other floating rate securities.
The Fund's Schedule of Investments lists the Central Funds as an investment of the Fund but does not include the underlying holdings of the Central Funds. Based on their investment objectives, the Central Funds may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. In addition, the Central Fund may also participate in derivatives. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks, including the
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Affiliated Central Funds - continued
risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of the Central Funds and the Fund.
A complete unaudited list of holdings for the Central Funds, as of the Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the Central Funds financial statements, which are not covered by this Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Central Funds do not pay a management fee.
5. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounts to $1,198 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
6. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class T | .90% | $ 695 |
Class B | 1.55% | 844 |
$ 1,539 |
Annual Report
Notes to Financial Statements - continued
6. Expense Reductions - continued
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $3,201. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Total Bond | $ 1,464 |
7. 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.
Subsequent to fiscal year end, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. FIIOC will cause the books and records of the fund to reflect a conversion of the relevant Class B shares to Class A and is in the process of determining the impact to affected shareholder accounts for purposes of its remediation.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended July 31, | ||
2006 | 2005 | |
From net investment income | ||
Class A | $ 180,734 | $ 44,038 |
Class T | 235,647 | 89,638 |
Class B | 75,406 | 27,061 |
Class C | 39,421 | 10,692 |
Total Bond | 31,294,037 | 14,046,106 |
Institutional Class | 15,350 | 3,948 |
Total | $ 31,840,595 | $ 14,221,483 |
Annual Report
8. Distributions to Shareholders - continued
Years ended July 31, | ||
2006 | 2005 | |
From net realized gain | ||
Class A | $ 12,832 | $ 1,823 |
Class T | 23,014 | 2,706 |
Class B | 8,379 | 2,453 |
Class C | 2,940 | 2,151 |
Total Bond | 1,632,006 | 3,053,158 |
Institutional Class | 682 | 887 |
Total | $ 1,679,853 | $ 3,063,178 |
9. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Years ended July 31, | Years ended July 31, | |||
2006 | 2005 | 2006 | 2005 | |
Class A | ||||
Shares sold | 390,963 | 284,201 | $ 4,048,068 | $ 3,006,382 |
Reinvestment of distributions | 16,805 | 4,224 | 174,112 | 44,746 |
Shares redeemed | (246,932) | (16,733) | (2,534,797) | (177,183) |
Net increase (decrease) | 160,836 | 271,692 | $ 1,687,383 | $ 2,873,945 |
Class T | ||||
Shares sold | 395,729 | 640,420 | $ 4,083,246 | $ 6,767,881 |
Reinvestment of distributions | 24,086 | 8,561 | 249,752 | 90,624 |
Shares redeemed | (517,046) | (115,159) | (5,305,428) | (1,215,824) |
Net increase (decrease) | (97,231) | 533,822 | $ (972,430) | $ 5,642,681 |
Class B | ||||
Shares sold | 117,578 | 198,926 | $ 1,220,621 | $ 2,105,652 |
Reinvestment of distributions | 6,955 | 2,416 | 72,205 | 25,606 |
Shares redeemed | (154,343) | (19,350) | (1,585,560) | (204,667) |
Net increase (decrease) | (29,810) | 181,992 | $ (292,734) | $ 1,926,591 |
Class C | ||||
Shares sold | 167,899 | 64,313 | $ 1,733,336 | $ 682,289 |
Reinvestment of distributions | 3,045 | 1,008 | 31,492 | 10,695 |
Shares redeemed | (62,848) | (14,837) | (646,689) | (156,875) |
Net increase (decrease) | 108,096 | 50,484 | $ 1,118,139 | $ 536,109 |
Total Bond | ||||
Shares sold | 196,541,228 | 15,519,844 | $ 1,999,048,539 | $ 164,657,854 |
Reinvestment of distributions | 2,948,119 | 1,546,242 | 30,457,852 | 16,406,907 |
Shares redeemed | (14,766,457) | (13,038,155) | (152,010,033) | (138,400,918) |
Net increase (decrease) | 184,722,890 | 4,027,931 | $ 1,877,496,358 | $ 42,663,843 |
Institutional Class | ||||
Shares sold | 87,064 | 615 | $ 891,633 | $ 6,559 |
Reinvestment of distributions | 888 | 453 | 9,142 | 4,801 |
Shares redeemed | (7,870) | (7) | (80,138) | (75) |
Net increase (decrease) | 80,082 | 1,061 | $ 820,637 | $ 11,285 |
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at July 31, 2006, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 9, 2006
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy and Albert R. Gamper, Jr., each of the Trustees oversees 345 funds advised by FMR or an affiliate. Mr. McCoy oversees 347 funds advised by FMR or an affiliate. Mr. Gamper oversees 290 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Annual Report
Trustees and Officers - continued
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (76) | |
Year of Election or Appointment: 1984 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director (1999-present) of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL). | |
Stephen P. Jonas (53) | |
Year of Election or Appointment: 2005 Mr. Jonas is Senior Vice President of the fund (2005-present). He also serves as Senior Vice President of other Fidelity funds (2005-present). Mr. Jonas is Executive Director of FMR (2005-present) and FMR Co., Inc. (2005-present). He also serves as a Director of Fidelity Investments Money Management, Inc. (2005-present) and FMR Corp. (2003-present). Previously, Mr. Jonas served as President of Fidelity Enterprise Operations and Risk Services (2004-2005), Chief Administrative Officer (2002-2004), and Chief Financial Officer of FMR Corp. (1998-2002). In addition, he serves on the Boards of Boston Ballet (2003-present) and Simmons College (2003-present). | |
Robert L. Reynolds (54) | |
Year of Election or Appointment: 2003 Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as a Director (2003-present) and Chief Operating Officer (2000-present) of FMR Corp. and a Director of Strategic Advisers, Inc. (2005-present). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000-present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Annual Report
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Dennis J. Dirks (58) | |
Year of Election or Appointment: 2005 Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present). | |
Albert R. Gamper, Jr. (64) | |
Year of Election or Appointment: 2006 Mr. Gamper also serves as a Trustee (2006-present) or Member of the Advisory Board (2005-present) of other investment companies advised by FMR. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. | |
Robert M. Gates (62) | |
Year of Election or Appointment: 1997 Dr. Gates is Chairman of the Independent Trustees (2006-present). Dr. Gates is President of Texas A&M University (2002-present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001-present), and Brinker International (restaurant management, 2003-present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). | |
George H. Heilmeier (70) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display. | |
Marie L. Knowles (59) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (62) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations. | |
William O. McCoy (72) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Duke Realty Corporation (real estate). He is also a partner of Franklin Street Partners (private investment management firm). In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves as Chairman of the Board of Directors of the University of North Carolina Health Care System. He also served as Vice President of Finance for the University of North Carolina (16-school system). | |
Cornelia M. Small (62) | |
Year of Election or Appointment: 2005 Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
William S. Stavropoulos (67) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), and Metalmark Capital (private equity investment firm, 2005-present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Kenneth L. Wolfe (67) | |
Year of Election or Appointment: 2005 Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present). |
Annual Report
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Keyes may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
James H. Keyes (65) | |
Year of Election or Appointment: 2006 Member of the Advisory Board of Fidelity Income Fund. Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies, 1984-present), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-present). | |
Peter S. Lynch (62) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Income Fund. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director (1999-present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as the Chairman of the Inner-City Scholarship Fund. | |
Walter C. Donovan (44) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. Donovan also serves as Vice President of Fidelity's High Income Funds (2005-present). Mr. Donovan also serves as Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present). Previously, Mr. Donovan served as Vice President of Fidelity's Fixed-Income Funds (2005-2006), certain Asset Allocation Funds (2005-2006), certain Balanced Funds (2005-2006), and as Vice President and Director of Fidelity's International Equity Trading group (1998-2005). | |
Boyce I. Greer (50) | |
Year of Election or Appointment: 2006 Vice President of the fund. Mr. Greer also serves as Vice President of certain Equity Funds (2005-present), certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). He is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002). | |
Robert A. Lawrence (53) | |
Year of Election or Appointment: 2006 Vice President of the fund. Mr. Lawrence also serves as Vice President of the High Income Funds. Mr. Lawrence is Senior Vice President of FMR (2006-present) and FMR Co., Inc. (2006-present). Previously, Mr. Lawrence served as President of Fidelity Strategic Investments (2002-2005). | |
David L. Murphy (58) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), certain Asset Allocation Funds (2003-present), Fixed-Income Funds (2005-present), and Balanced Funds (2005-present). He serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). | |
Thomas J. Silvia (45) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present), certain Balanced Funds (2005-present), certain Asset Allocation Funds (2005-present), and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004). | |
Ford O'Neil (44) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. O'Neil also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. O'Neil worked as a research analyst and portfolio manager. | |
Eric D. Roiter (57) | |
Year of Election or Appointment: 2002 Secretary of the fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005). | |
Stuart Fross (46) | |
Year of Election or Appointment: 2003 Assistant Secretary of the fund. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003-present), Vice President and Secretary of FDC (2005-present), and is an employee of FMR. | |
Christine Reynolds (47) | |
Year of Election or Appointment: 2004 President and Treasurer of the fund. Ms. Reynolds also serves as President and Treasurer of other Fidelity funds (2004-present) and is a Vice President (2003-present) and an employee (2002-present) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
R. Stephen Ganis (40) | |
Year of Election or Appointment: 2006 Anti-Money Laundering (AML) officer of the fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002). | |
Joseph B. Hollis (58) | |
Year of Election or Appointment: 2006 Chief Financial Officer of the fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005). | |
Kenneth A. Rathgeber (59) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of the fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
Bryan A. Mehrmann (45) | |
Year of Election or Appointment: 2005 Deputy Treasurer of the fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004). | |
Kimberley H. Monasterio (45) | |
Year of Election or Appointment: 2004 Deputy Treasurer of the fund. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
Kenneth B. Robins (36) | |
Year of Election or Appointment: 2005 Deputy Treasurer of the fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Robert G. Byrnes (39) | |
Year of Election or Appointment: 2005 Assistant Treasurer of the fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003). | |
John H. Costello (59) | |
Year of Election or Appointment: 2002 Assistant Treasurer of the fund. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Peter L. Lydecker (52) | |
Year of Election or Appointment: 2004 Assistant Treasurer of the fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (51) | |
Year of Election or Appointment: 2002 Assistant Treasurer of the fund. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Gary W. Ryan (47) | |
Year of Election or Appointment: 2005 Assistant Treasurer of the fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005). | |
Salvatore Schiavone (40) | |
Year of Election or Appointment: 2005 Assistant Treasurer of the fund. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003). |
Annual Report
Distributions
A total of 22.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $21,179,474 of distributions paid during the period January 1, 2006 to July 31, 2006 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2007 of amounts for use in preparing 2006 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on January 18, 2006. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Dennis J. Dirks | ||
Affirmative | 8,252,035,677.61 | 97.347 |
Withheld | 224,894,685.16 | 2.653 |
TOTAL | 8,476,930,362.77 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 8,252,680,829.70 | 97.355 |
Withheld | 224,249,533.07 | 2.645 |
TOTAL | 8,476,930,362.77 | 100.000 |
Robert M. Gates | ||
Affirmative | 8,239,007,314.92 | 97.193 |
Withheld | 237,923,047.85 | 2.807 |
TOTAL | 8,476,930,362.77 | 100.000 |
George H. Heilmeier | ||
Affirmative | 8,242,547,667.10 | 97.235 |
Withheld | 234,382,695.67 | 2.765 |
TOTAL | 8,476,930,362.77 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 8,207,133,817.28 | 96.817 |
Withheld | 269,796,545.49 | 3.183 |
TOTAL | 8,476,930,362.77 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 8,205,030,635.55 | 96.792 |
Withheld | 271,899,727.22 | 3.208 |
TOTAL | 8,476,930,362.77 | 100.000 |
Stephen P. Jonas | ||
Affirmative | 8,239,700,661.39 | 97.201 |
Withheld | 237,229,701.38 | 2.799 |
TOTAL | 8,476,930,362.77 | 100.000 |
# of | % of | |
Marie L. Knowles | ||
Affirmative | 8,246,135,458.96 | 97.277 |
Withheld | 230,794,903.81 | 2.723 |
TOTAL | 8,476,930,362.77 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 8,247,874,320.21 | 97.298 |
Withheld | 229,056,042.56 | 2.702 |
TOTAL | 8,476,930,362.77 | 100.000 |
William O. McCoy | ||
Affirmative | 8,229,632,189.68 | 97.083 |
Withheld | 247,298,173.09 | 2.917 |
TOTAL | 8,476,930,362.77 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 8,241,271,395.49 | 97.220 |
Withheld | 235,658,967.28 | 2.780 |
TOTAL | 8,476,930,362.77 | 100.000 |
Cornelia M. Small | ||
Affirmative | 8,249,991,018.59 | 97.323 |
Withheld | 226,939,344.18 | 2.677 |
TOTAL | 8,476,930,362.77 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 8,236,371,332.54 | 97.162 |
Withheld | 240,559,030.23 | 2.838 |
TOTAL | 8,476,930,362.77 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 8,244,328,417.87 | 97.256 |
Withheld | 232,601,944.90 | 2.744 |
TOTAL | 8,476,930,362.77 | 100.000 |
A Denotes trust-wide proposal and voting results. |
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2006 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge. The Board noted that, since the last Advisory Contract renewals in June 2005, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) voluntarily entering into contractual arrangements with certain brokers pursuant to which Fidelity pays for research products and services separately out of its own resources, rather than bundling with fund commissions; (iii) launching the Fidelity Advantage Class of its five Spartan stock index funds and three Spartan bond index funds, which is a lower-fee class available to shareholders with higher account balances; (iv) contractually agreeing to impose expense limitations on Fidelity U.S. Bond Index Fund and reducing the fund's initial investment minimum; and (v) offering shareholders of each of the Fidelity Institutional Money Market Funds the privilege of exchanging shares of the fund for shares of other Fidelity funds.
Annual Report
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a broad-based securities market index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. Because the fund had been in existence less than five calendar years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2005, as applicable, the cumulative total returns of Class C and Fidelity Total Bond (retail class), the cumulative total returns of a broad-based securities market index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Class C and Fidelity Total Bond (retail class) represent the performance of classes with the highest and lowest 12b-1 fees, respectively (not necessarily with the highest and lowest total expenses). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the class indicated.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Total Bond Fund
The Board reviewed the fund's relative investment performance against its Lipper peer group and stated that the performance of Fidelity Total Bond (retail class) was in the first quartile for all the periods shown. The Board also stated that the relative investment performance of the fund was lower than its benchmark for the one-year period, although the three-year cumulative total return of Fidelity Total Bond (retail class) compared favorably to its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Annual Report
The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 8% means that 92% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Fidelity Total Bond Fund
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2005.
Furthermore, the Board considered that it had approved an amendment (effective June 1, 2005) to the fund's management contract that lowered the fund's individual fund fee rate from 30 basis points to 20 basis points. The Board considered that the chart reflects the fund's lower management fee for 2005, as if the lower rate were in effect for the entire year.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board also considered that it had approved changes (effective June 1, 2005) in the contractual arrangements for the fund that (i) have the effect of setting the total "fund-level" expenses (including, among certain other expenses, the management fee) for each class at 35 basis points, (ii) lower and limit the "class-level" transfer agent fee for Fidelity Total Bond (retail class) to 10 basis points, and (iii) limit the total expenses for Fidelity Total Bond (retail class) to 45 basis points. These contractual arrangements may not be increased without Board approval. The fund's Advisor classes continue to be subject to different class-level expenses (transfer agent fees and 12b-1 fees).
The Board noted that the total expenses of each class ranked below its competitive median for 2005. The Board considered that each class's total expenses reflect the contractual arrangements for 2005, as if the contractual arrangements were in effect for the entire year.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower fee rates as total fund assets under FMR's management increase, and for higher fee rates as total fund assets under FMR's management decrease. The Board noted that because the contractual arrangements that went into effect June 1, 2005 set the total fund-level expenses for each class at 35 basis points, increases or decreases in the management fee due to changes in the group fee rate will not impact total expenses. The Board realized, however, that the 35 basis point fee rate was below the lowest management fee rate available under the contractual arrangements that existed prior to June 1, 2005.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Annual Report
Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including (Advisor classes only) reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases. The Board also noted that the reduction in the fund's individual fund fee rate by 10 basis points delivers significant economies to fund shareholders. The Board concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information on several topics, including (i) Fidelity's fund profitability methodology and profitability trends within certain funds; (ii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iii) the total expenses of certain funds and classes relative to competitors; (iv) fund performance trends; and (v) Fidelity's fee structures.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Annual Report
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
Fidelity Research & Analysis Company (formerly Fidelity Management & Research (Far East) Inc.)
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
ATB-UANN-0906
1.804574.102
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor
Total Bond
Fund - Institutional Class
Annual Report
July 31, 2006
Institutional Class is a class of Fidelity Total Bond Fund
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion | The manager's review of fund performance, strategy and outlook. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
Trustees and Officers | ||
Distributions | ||
Proxy Voting Results | ||
Board Approval of Investment Advisory Contracts and Management Fees |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
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 quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Although many securities markets made gains in early 2006, inflation concerns led to mixed results through the year's mid-point. Financial markets are always unpredictable. There are, however, a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended July 31, 2006 | Past 1 | Life of | |
Institutional Class B | 1.95% | 4.83% |
A From October 15, 2002.
B The initial offering of Institutional Class shares took place on June 16, 2004. Returns prior to June 16, 2004 are those of Total Bond, the original retail class of the fund, which does not bear a 12b-1 fee.
Annual Report
Performance - continued
$10,000 Over Life of Fund
Let's say hypothetically that $10,000 was invested in Fidelity Advisor Total Bond Fund - Institutional Class on October 15, 2002, when the fund started. The chart shows how the value of your investment would have changed, and also shows how the Lehman Brothers® Aggregate Bond Index and the Lehman Brothers U.S. Universal Index performed over the same period.
Going forward, the fund's primary benchmark will be the Lehman Brothers Aggregate Bond Index rather than the Lehman Brothers U.S. Universal Index because the Lehman Brothers Aggregate Bond Index is more widely recognized and used by similar funds. The fund will retain the Lehman Brothers U.S. Universal Index as its supplemental benchmark for performance comparisons and as a guide in structuring the fund's investments.
Annual Report
Management's Discussion of Fund Performance
Comments from Ford O'Neil, Portfolio Manager of Fidelity Advisor Total Bond Fund
The domestic investment-grade bond market struggled during the year ending July 31, 2006, finishing with a 1.46% return as measured by the Lehman Brothers® Aggregate Bond Index. The negative momentum was fueled by rising levels of core inflation and Federal Reserve Board interest rate hikes aimed to keep inflation at bay. In all, the Fed bumped up rates eight times during the period, hoisting the federal funds target rate to 5.25%, its highest level in five years. On the plus side, bonds scored well in the final quarter of the period, advancing 1.46%. Investors turned to high-quality debt in the last three months for a number of reasons: Equity performance stumbled; gross domestic product growth in the second quarter of 2006 gave strong evidence of a slowing economy; and the Fed supported that notion by announcing the possibility of a pause in its rate hike campaign.
The fund's Institutional Class shares gained 1.95% during the past year, outpacing the Lehman Brothers Aggregate Bond Index - which became the fund's primary benchmark on June 1, 2006 - and the Lehman Brothers U.S. Universal Index, which rose 1.84%. Benefiting performance versus the Aggregate Bond index was security selection among investment-grade corporates. Sector selection also helped, with allocations to asset-backed securities and collateralized mortgage obligations working in our favor. Some holdings in these securitized products resulted from our advantageous allocation to Fidelity® Ultra-Short Central Fund, a diversified internal pool of short-term assets designed to outperform cash-like instruments with similar risk characteristics. Investments in emerging-markets and high-yield debt - including a small stake in Fidelity Floating Rate Central Investment Portfolio - contributed as well. We've recently increased the fund's limit on high-yield and emerging-markets debt to allow for more investment flexibility, while keeping at least 80% of the fund in investment-grade debt. Detracting from performance was our lack of exposure to mortgage pass-through securities and government agency bonds, which performed well.
Note to shareholders: Effective June 1, 2006, the fund's primary benchmark changed from the Lehman Brothers U.S. Universal Index to the Lehman Brothers Aggregate Bond Index, which is more widely recognized and used by similar funds. The fund will retain the Universal index as its supplemental benchmark for performance comparisons and as a guide in structuring the fund's investments.
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, 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 (February 1, 2006 to July 31, 2006).
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 affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated 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 affiliated central funds, will indirectly bear its pro rata share of the fees and expenses incurred by the underlying affiliated 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.
Annual Report
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,009.20 | $ 3.99 |
HypotheticalA | $ 1,000.00 | $ 1,020.83 | $ 4.01 |
Class T | |||
Actual | $ 1,000.00 | $ 1,008.60 | $ 4.48 |
HypotheticalA | $ 1,000.00 | $ 1,020.33 | $ 4.51 |
Class B | |||
Actual | $ 1,000.00 | $ 1,005.50 | $ 7.71 |
HypotheticalA | $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,005.10 | $ 8.10 |
HypotheticalA | $ 1,000.00 | $ 1,016.71 | $ 8.15 |
Total Bond | |||
Actual | $ 1,000.00 | $ 1,010.90 | $ 2.24 |
HypotheticalA | $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,010.40 | $ 2.89 |
HypotheticalA | $ 1,000.00 | $ 1,021.92 | $ 2.91 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); 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 affiliated central funds in which the fund invests are not included in the fund's annualized expense ratio.
Annualized | |
Class A | .80% |
Class T | .90% |
Class B | 1.55% |
Class C | 1.63% |
Total Bond | .45% |
Institutional Class | .58% |
Annual Report
Investment Changes
Quality Diversification (% of fund's net assets) | |||||||
As of July 31, 2006 | As of January 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 11.7% | ![]() | AAA 6.4% | ||||
![]() | AA 3.4% | ![]() | AA 2.6% | ||||
![]() | A 7.8% | ![]() | A 4.6% | ||||
![]() | BBB 15.7% | ![]() | BBB 12.2% | ||||
![]() | BB and Below 8.7% | ![]() | BB and Below 10.1% | ||||
![]() | Not Rated 1.4% | ![]() | Not Rated 1.1% | ||||
![]() | Short-Term Investments | ![]() | Short-Term Investments |
We have used ratings from Moody's Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ratings. |
Average Years to Maturity as of July 31, 2006 | ||
6 months ago | ||
Years | 6.0 | 5.8 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of July 31, 2006 | ||
6 months ago | ||
Years | 4.5 | 4.2 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of July 31, 2006* | As of January 31, 2006** | ||||||
![]() | Corporate Bonds 24.6% | ![]() | Corporate Bonds 21.5% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other | ![]() | CMOs and Other | ||||
![]() | Other Investments 4.8% | ![]() | Other Investments 3.6% | ||||
![]() | Short-Term Investments | ![]() | Short-Term Investments | ||||
* Foreign investments | 9.1% | ** Foreign investments | 6.2% | ||||
* Futures and Swaps | 14.9% | ** Futures and Swaps | 11.3% |
The information in the above tables is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
For an unaudited list of holdings for each fixed-income central fund, visit fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments July 31, 2006
Showing Percentage of Net Assets
Nonconvertible Bonds - 22.9% | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - 2.9% | ||||
Auto Components - 0.1% | ||||
Affinia Group, Inc. 9% 11/30/14 | $ 100,000 | $ 91,000 | ||
Goodyear Tire & Rubber Co. 9% 7/1/15 | 500,000 | 478,750 | ||
Tenneco, Inc. 8.625% 11/15/14 | 555,000 | 549,450 | ||
TRW Automotive Acquisition Corp. 9.375% 2/15/13 | 87,000 | 92,655 | ||
Visteon Corp. 7% 3/10/14 | 690,000 | 562,350 | ||
1,774,205 | ||||
Automobiles - 0.3% | ||||
Ford Motor Co.: | ||||
6.625% 10/1/28 | 1,635,000 | 1,177,200 | ||
7.45% 7/16/31 | 5,000,000 | 3,675,000 | ||
General Motors Corp.: | ||||
6.375% 5/1/08 | 800,000 | 760,000 | ||
8.25% 7/15/23 | 800,000 | 660,000 | ||
6,272,200 | ||||
Diversified Consumer Services - 0.1% | ||||
Affinion Group, Inc. 11.5% 10/15/15 (d) | 40,000 | 40,100 | ||
Carriage Services, Inc. 7.875% 1/15/15 | 650,000 | 630,500 | ||
Service Corp. International (SCI): | ||||
6.5% 3/15/08 | 75,000 | 74,625 | ||
6.75% 4/1/16 | 1,205,000 | 1,117,638 | ||
1,862,863 | ||||
Hotels, Restaurants & Leisure - 0.2% | ||||
Carrols Corp. 9% 1/15/13 | 105,000 | 104,738 | ||
Domino's, Inc. 8.25% 7/1/11 | 55,000 | 56,650 | ||
Friendly Ice Cream Corp. 8.375% 6/15/12 | 70,000 | 58,713 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 50,000 | 46,750 | ||
8% 11/15/13 | 225,000 | 228,375 | ||
Herbst Gaming, Inc.: | ||||
7% 11/15/14 | 50,000 | 48,250 | ||
8.125% 6/1/12 | 70,000 | 71,225 | ||
Host Marriott LP: | ||||
6.75% 6/1/16 (d) | 100,000 | 96,000 | ||
7.125% 11/1/13 | 35,000 | 35,044 | ||
Kerzner International Ltd. 6.75% 10/1/15 | 140,000 | 147,350 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 435,000 | 402,375 | ||
MGM MIRAGE: | ||||
6% 10/1/09 | 50,000 | 48,500 | ||
8.375% 2/1/11 | 40,000 | 41,200 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Mohegan Tribal Gaming Authority 7.125% 8/15/14 | $ 40,000 | $ 39,050 | ||
MTR Gaming Group, Inc. 9.75% 4/1/10 | 385,000 | 406,175 | ||
Penn National Gaming, Inc. 6.875% 12/1/11 | 80,000 | 78,900 | ||
Pinnacle Entertainment, Inc. 8.25% 3/15/12 | 140,000 | 140,000 | ||
Resorts International Hotel & Casino, Inc. 11.5% 3/15/09 | 225,000 | 241,875 | ||
San Pasqual Casino Development Group, Inc. 8% 9/15/13 (d) | 30,000 | 30,150 | ||
Seneca Gaming Corp.: | ||||
Series B, 7.25% 5/1/12 | 70,000 | 68,250 | ||
7.25% 5/1/12 | 50,000 | 48,750 | ||
Six Flags, Inc.: | ||||
9.625% 6/1/14 | 180,000 | 163,350 | ||
9.75% 4/15/13 | 55,000 | 50,463 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 100,000 | 96,875 | ||
Starwood Hotels & Resorts Worldwide, Inc. 7.875% 5/1/12 | 250,000 | 264,375 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 420,000 | 394,275 | ||
6.5% 2/1/14 | 40,000 | 36,950 | ||
6.625% 3/15/18 | 50,000 | 44,500 | ||
6.875% 3/1/16 | 450,000 | 415,688 | ||
Town Sports International, Inc. 9.625% 4/15/11 | 106,000 | 109,975 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 60,000 | 57,300 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (b) | 40,000 | 27,200 | ||
9% 1/15/12 | 30,000 | 30,600 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (d) | 42,000 | 44,415 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 160,000 | 164,600 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 6.625% 12/1/14 | 160,000 | 150,600 | ||
4,489,486 | ||||
Household Durables - 0.1% | ||||
Fortune Brands, Inc. 5.125% 1/15/11 | 650,000 | 629,527 | ||
Goodman Global Holdings, Inc. 7.875% 12/15/12 | 180,000 | 167,400 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6.25% 1/15/15 | 50,000 | 43,500 | ||
6.5% 1/15/14 | 100,000 | 89,500 | ||
8.875% 4/1/12 | 10,000 | 9,725 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
KB Home 7.25% 6/15/18 | $ 100,000 | $ 93,390 | ||
Sealy Mattress Co. 8.25% 6/15/14 | 50,000 | 49,875 | ||
Technical Olympic USA, Inc. 8.25% 4/1/11 (d) | 200,000 | 183,000 | ||
Urbi, Desarrollos Urbanos, SA de CV 8.5% 4/19/16 (d) | 395,000 | 402,900 | ||
WCI Communities, Inc. 9.125% 5/1/12 | 35,000 | 31,413 | ||
1,700,230 | ||||
Media - 2.0% | ||||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 537,639 | ||
Cablevision Systems Corp.: | ||||
8% 4/15/12 | 530,000 | 524,038 | ||
9.62% 4/1/09 (f) | 340,000 | 360,400 | ||
CanWest Media, Inc. 8% 9/15/12 | 30,000 | 28,800 | ||
Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp.: | ||||
10.25% 9/15/10 | 615,000 | 621,150 | ||
10.25% 9/15/10 | 100,000 | 101,000 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8.375% 4/30/14 (d) | 370,000 | 372,775 | ||
Cinemark, Inc. 0% 3/15/14 (b) | 100,000 | 78,000 | ||
Comcast Corp.: | ||||
4.95% 6/15/16 | 530,000 | 480,186 | ||
5.5% 3/15/11 | 625,000 | 619,272 | ||
5.85% 1/15/10 | 500,000 | 501,883 | ||
6.45% 3/15/37 | 7,845,000 | 7,444,395 | ||
Cox Communications, Inc.: | ||||
4.625% 1/15/10 | 6,210,000 | 5,966,624 | ||
4.625% 6/1/13 | 1,060,000 | 962,243 | ||
CSC Holdings, Inc.: | ||||
7.25% 4/15/12 (d)(f) | 460,000 | 445,050 | ||
7.875% 2/15/18 | 400,000 | 405,000 | ||
8.125% 7/15/09 | 365,000 | 373,669 | ||
Dex Media, Inc.: | ||||
0% 11/15/13 (b) | 95,000 | 78,375 | ||
0% 11/15/13 (b) | 5,000 | 4,125 | ||
8% 11/15/13 | 260,000 | 258,700 | ||
EchoStar DBS Corp.: | ||||
6.375% 10/1/11 | 450,000 | 439,313 | ||
6.625% 10/1/14 | 400,000 | 386,000 | ||
7.125% 2/1/16 (d) | 750,000 | 736,875 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Globo Communicacoes e Partcipacoes LTDA 9.375% 12/31/49 | $ 200,000 | $ 195,000 | ||
Globo Comunicacoes e Participacoes SA (Reg. S) 7.375% 10/20/11 (c) | 1,116,302 | 1,117,697 | ||
Granite Broadcasting Corp. 9.75% 12/1/10 | 390,000 | 356,850 | ||
Houghton Mifflin Co.: | ||||
0% 10/15/13 (b) | 450,000 | 372,375 | ||
8.25% 2/1/11 | 500,000 | 503,125 | ||
9.875% 2/1/13 | 445,000 | 457,238 | ||
iesy Repository GmbH 10.375% 2/15/15 (d) | 80,000 | 72,800 | ||
Insight Midwest LP/Insight Capital, Inc. 9.75% 10/1/09 | 100,000 | 102,000 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 570,000 | 524,400 | ||
5.7% 5/15/13 | 450,000 | 414,000 | ||
8.5% 7/15/29 | 130,000 | 129,341 | ||
LodgeNet Entertainment Corp. 9.5% 6/15/13 | 440,000 | 468,050 | ||
News America Holdings, Inc. 7.75% 12/1/45 | 170,000 | 181,443 | ||
News America, Inc.: | ||||
6.2% 12/15/34 | 5,330,000 | 4,879,977 | ||
6.4% 12/15/35 | 500,000 | 470,073 | ||
Nexstar Broadcasting, Inc. 7% 1/15/14 | 700,000 | 616,000 | ||
PanAmSat Corp.: | ||||
6.375% 1/15/08 | 200,000 | 197,000 | ||
9% 8/15/14 | 84,000 | 84,840 | ||
Paxson Communications Corp.: | ||||
8.7569% 1/15/12 (d)(f) | 700,000 | 707,000 | ||
11.7569% 1/15/13 (d)(f) | 800,000 | 800,000 | ||
Quebecor Media, Inc. 7.75% 3/15/16 | 450,000 | 438,750 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (d) | 280,000 | 294,000 | ||
10.375% 9/1/14 (d) | 30,000 | 33,150 | ||
Rogers Cable, Inc. 6.75% 3/15/15 | 50,000 | 48,375 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 600,000 | 579,000 | ||
Time Warner Entertainment Co. LP 8.375% 7/15/33 | 1,000,000 | 1,128,449 | ||
Time Warner, Inc.: | ||||
6.625% 5/15/29 | 8,830,000 | 8,522,460 | ||
9.125% 1/15/13 | 40,000 | 45,755 | ||
Viacom, Inc. 5.75% 4/30/11 (d) | 995,000 | 976,458 | ||
Visant Holding Corp. 8.75% 12/1/13 (d) | 450,000 | 433,125 | ||
46,874,243 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - continued | ||||
Multiline Retail - 0.0% | ||||
Neiman Marcus Group, Inc. 9% 10/15/15 | $ 100,000 | $ 105,500 | ||
The May Department Stores Co. 6.7% 7/15/34 | 620,000 | 615,325 | ||
720,825 | ||||
Specialty Retail - 0.1% | ||||
Asbury Automotive Group, Inc.: | ||||
8% 3/15/14 | 60,000 | 58,575 | ||
9% 6/15/12 | 265,000 | 265,663 | ||
AutoNation, Inc. 7% 4/15/14 (d) | 50,000 | 49,000 | ||
GSC Holdings Corp./Gamestop, Inc. 8% 10/1/12 | 420,000 | 424,200 | ||
Nebraska Book Co., Inc. 8.625% 3/15/12 | 90,000 | 81,450 | ||
Sonic Automotive, Inc. 8.625% 8/15/13 | 665,000 | 661,675 | ||
United Auto Group, Inc. 9.625% 3/15/12 | 50,000 | 52,500 | ||
1,593,063 | ||||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Jostens IH Corp. 7.625% 10/1/12 | 190,000 | 183,350 | ||
Levi Strauss & Co.: | ||||
8.875% 4/1/16 | 100,000 | 97,500 | ||
9.75% 1/15/15 | 180,000 | 184,275 | ||
10.2581% 4/1/12 (f) | 320,000 | 327,200 | ||
12.25% 12/15/12 | 315,000 | 351,619 | ||
1,143,944 | ||||
TOTAL CONSUMER DISCRETIONARY | 66,431,059 | |||
CONSUMER STAPLES - 0.1% | ||||
Beverages - 0.0% | ||||
FBG Finance Ltd. 5.125% 6/15/15 (d) | 425,000 | 394,737 | ||
Food & Staples Retailing - 0.0% | ||||
Jean Coutu Group, Inc.: | ||||
7.625% 8/1/12 | 30,000 | 29,138 | ||
8.5% 8/1/14 | 60,000 | 55,875 | ||
Southern States Cooperative, Inc. 10.5% 11/1/10 (d) | 365,000 | 382,338 | ||
Stater Brothers Holdings, Inc. 8.125% 6/15/12 | 330,000 | 328,350 | ||
795,701 | ||||
Food Products - 0.1% | ||||
B&G Foods, Inc. 8% 10/1/11 | 40,000 | 40,300 | ||
H.J. Heinz Co. 6.428% 12/1/08 (d)(f) | 450,000 | 457,596 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 370,000 | 382,950 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
NPI Merger Corp. 9.23% 10/15/13 (d)(f) | $ 20,000 | $ 20,500 | ||
Pierre Foods, Inc. 9.875% 7/15/12 | 40,000 | 40,400 | ||
Swift & Co.: | ||||
10.125% 10/1/09 | 350,000 | 360,500 | ||
12.5% 1/1/10 | 80,000 | 82,400 | ||
1,384,646 | ||||
Personal Products - 0.0% | ||||
Avon Products, Inc. 5.125% 1/15/11 | 120,000 | 117,548 | ||
Revlon Consumer Products Corp. 9.5% 4/1/11 | 100,000 | 84,000 | ||
201,548 | ||||
Tobacco - 0.0% | ||||
Altria Group, Inc. 7% 11/4/13 | 220,000 | 236,280 | ||
TOTAL CONSUMER STAPLES | 3,012,912 | |||
ENERGY - 1.9% | ||||
Energy Equipment & Services - 0.1% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 340,000 | 332,910 | ||
Diamond Offshore Drilling, Inc. 4.875% 7/1/15 | 275,000 | 254,049 | ||
Dresser-Rand Group, Inc. 7.375% 11/1/14 | 44,000 | 42,240 | ||
Hanover Compressor Co.: | ||||
7.5% 4/15/13 | 480,000 | 476,400 | ||
8.625% 12/15/10 | 20,000 | 20,750 | ||
Hanover Equipment Trust 8.75% 9/1/11 | 50,000 | 51,250 | ||
Noble Drilling Corp. 5.875% 6/1/13 | 460,000 | 461,032 | ||
Petronas Capital Ltd. 7% 5/22/12 (d) | 5,000 | 5,302 | ||
Universal Compression, Inc. 7.25% 5/15/10 | 290,000 | 292,175 | ||
1,936,108 | ||||
Oil, Gas & Consumable Fuels - 1.8% | ||||
Amerada Hess Corp. 6.65% 8/15/11 | 110,000 | 114,079 | ||
ANR Pipeline, Inc. 9.625% 11/1/21 | 350,000 | 416,500 | ||
Arch Western Finance LLC 6.75% 7/1/13 | 350,000 | 334,250 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Partners Finance Corp. 8.125% 12/15/15 (d) | 290,000 | 291,450 | ||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (d) | 490,000 | 476,282 | ||
Chaparral Energy, Inc. 8.5% 12/1/15 (d) | 530,000 | 528,675 | ||
Chesapeake Energy Corp.: | ||||
6.875% 1/15/16 | 350,000 | 336,000 | ||
7.625% 7/15/13 | 200,000 | 203,000 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chesapeake Energy Corp.: - continued | ||||
7.75% 1/15/15 | $ 430,000 | $ 432,688 | ||
Colorado Interstate Gas Co.: | ||||
5.95% 3/15/15 | 510,000 | 471,750 | ||
6.8% 11/15/15 | 80,000 | 77,600 | ||
Drummond Co., Inc. 7.375% 2/15/16 (d) | 490,000 | 459,375 | ||
Duke Capital LLC 6.75% 2/15/32 | 1,400,000 | 1,409,237 | ||
El Paso Corp.: | ||||
6.375% 2/1/09 (d) | 455,000 | 448,020 | ||
6.5% 6/1/08 (d) | 400,000 | 397,476 | ||
6.7% 2/15/27 (d) | 65,000 | 64,350 | ||
7.75% 6/15/10 (d) | 850,000 | 859,869 | ||
7.875% 6/15/12 | 1,500,000 | 1,530,000 | ||
El Paso Energy Corp.: | ||||
7.375% 12/15/12 | 5,000 | 4,981 | ||
7.75% 1/15/32 | 15,000 | 14,845 | ||
8.05% 10/15/30 | 95,000 | 96,188 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 390,000 | 393,900 | ||
Empresa Nacional de Petroleo 6.75% 11/15/12 (d) | 300,000 | 312,760 | ||
EnCana Holdings Finance Corp. 5.8% 5/1/14 | 240,000 | 236,904 | ||
Foundation Pennsylvania Coal Co. 7.25% 8/1/14 | 50,000 | 50,625 | ||
Giant Industries, Inc. 8% 5/15/14 | 130,000 | 129,513 | ||
Kinder Morgan Energy Partners LP 5.8% 3/15/35 | 300,000 | 262,366 | ||
Kinder Morgan Finance Co. ULC 5.35% 1/5/11 | 4,000,000 | 3,738,448 | ||
Massey Energy Co. 6.625% 11/15/10 | 40,000 | 40,000 | ||
National Gas Co. of Trinidad & Tobago Ltd. 6.05% 1/15/36 (d) | 240,000 | 219,192 | ||
Newfield Exploration Co. 6.625% 9/1/14 | 90,000 | 87,075 | ||
Nexen, Inc. 5.875% 3/10/35 | 600,000 | 542,204 | ||
Northwest Pipeline Corp. 7% 6/15/16 (d) | 300,000 | 299,625 | ||
Overseas Shipholding Group, Inc.: | ||||
7.5% 2/15/24 | 55,000 | 52,113 | ||
8.25% 3/15/13 | 390,000 | 402,675 | ||
Pan American Energy LLC 7.125% 10/27/09 (d) | 120,000 | 120,000 | ||
Peabody Energy Corp. 6.875% 3/15/13 | 20,000 | 19,425 | ||
Pemex Project Funding Master Trust: | ||||
5.75% 12/15/15 (d) | 7,160,000 | 6,821,210 | ||
6.125% 8/15/08 | 250,000 | 250,500 | ||
7.375% 12/15/14 | 12,960,000 | 13,802,763 | ||
7.75% 9/28/49 | 1,468,000 | 1,471,670 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Pemex Project Funding Master Trust: - continued | ||||
8.625% 2/1/22 | $ 300,000 | $ 349,500 | ||
Petrobras Energia SA 9.375% 10/30/13 | 55,000 | 59,675 | ||
Petrohawk Energy Corp. 9.125% 7/15/13 (d) | 1,000,000 | 1,017,500 | ||
Petrozuata Finance, Inc.: | ||||
7.63% 4/1/09 (d) | 402,350 | 401,847 | ||
8.22% 4/1/17 (d) | 350,000 | 343,000 | ||
Range Resources Corp.: | ||||
6.375% 3/15/15 (Reg. S) | 390,000 | 366,600 | ||
7.375% 7/15/13 | 40,000 | 39,800 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 330,000 | 315,150 | ||
Southern Star Central Corp. 6.75% 3/1/16 (d) | 60,000 | 58,211 | ||
Talisman Energy, Inc. 5.85% 2/1/37 | 350,000 | 316,561 | ||
Targa Resources, Inc./Targa Resources Finance Corp. 8.5% 11/1/13 (d) | 440,000 | 429,000 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 30,000 | 31,350 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 (d) | 100,000 | 96,625 | ||
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (d) | 215,000 | 213,925 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 255,000 | 256,913 | ||
7.625% 7/15/19 | 30,000 | 30,188 | ||
7.875% 9/1/21 | 35,000 | 35,569 | ||
8.125% 3/15/12 | 280,000 | 290,500 | ||
8.75% 3/15/32 | 165,000 | 177,375 | ||
Williams Partners LP/Williams Partners Finance Corp. 7.5% 6/15/11 (d) | 100,000 | 100,750 | ||
YPF SA: | ||||
10% 11/2/28 | 125,000 | 145,000 | ||
yankee 9.125% 2/24/09 | 275,000 | 289,438 | ||
43,584,060 | ||||
TOTAL ENERGY | 45,520,168 | |||
FINANCIALS - 8.3% | ||||
Capital Markets - 1.6% | ||||
Ameriprise Financial, Inc. 7.518% 6/1/66 (c) | 1,475,000 | 1,516,930 | ||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (f) | 100,000 | 96,704 | ||
4.25% 9/4/12 (f) | 205,000 | 202,437 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
E*TRADE Financial Corp.: | ||||
7.375% 9/15/13 | $ 440,000 | $ 441,100 | ||
8% 6/15/11 | 815,000 | 837,413 | ||
Franklin Resources, Inc. 3.7% 4/15/08 | 1,135,000 | 1,101,177 | ||
Goldman Sachs Group, Inc.: | ||||
5.25% 10/15/13 | 7,020,000 | 6,786,725 | ||
5.7% 9/1/12 | 1,100,000 | 1,095,237 | ||
6.45% 5/1/36 | 8,375,000 | 8,224,191 | ||
6.6% 1/15/12 | 500,000 | 519,170 | ||
Lazard Group LLC 7.125% 5/15/15 | 685,000 | 698,989 | ||
Legg Mason, Inc. 6.75% 7/2/08 | 30,000 | 30,675 | ||
Lehman Brothers Holdings E-Capital Trust I 5.9538% 8/19/65 (f) | 7,200,000 | 7,203,730 | ||
Merrill Lynch & Co., Inc. 4.25% 2/8/10 | 685,000 | 655,876 | ||
Morgan Stanley 6.6% 4/1/12 | 8,100,000 | 8,468,153 | ||
37,878,507 | ||||
Commercial Banks - 1.2% | ||||
Banco Nacional de Desenvolvimento Economico e Social 5.727% 6/16/08 (f) | 355,000 | 349,675 | ||
Corporacion Andina de Fomento 5.2% 5/21/13 | 35,000 | 33,586 | ||
Dresdner Bank AG 10.375% 8/17/09 (d) | 1,050,000 | 1,131,375 | ||
Export-Import Bank of Korea 5.125% 2/14/11 | 5,710,000 | 5,563,322 | ||
KeyCorp Capital Trust VII 5.7% 6/15/35 | 4,340,000 | 3,773,665 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 5,455,000 | 5,237,024 | ||
4.75% 7/20/09 | 320,000 | 313,025 | ||
Kyivstar GSM 7.75% 4/27/12 (Issued by Dresdner Bank AG for Kyivstar GSM) (d) | 100,000 | 98,000 | ||
Santander Issuances SA Unipersonal 5.805% 6/20/16 (d)(f) | 1,190,000 | 1,191,811 | ||
UBS Luxembourg SA 8% 2/11/10 | 550,000 | 556,600 | ||
Vimpel Communications 10% 6/16/09 (Issued by UBS Luxembourg SA for Vimpel Communications) | 600,000 | 641,280 | ||
Wachovia Bank NA 4.875% 2/1/15 | 10,400,000 | 9,735,346 | ||
Wachovia Corp. 4.875% 2/15/14 | 175,000 | 165,750 | ||
Western Financial Bank 9.625% 5/15/12 | 15,000 | 16,538 | ||
Woori Bank 6.125% 5/3/16 (d)(f) | 375,000 | 373,544 | ||
29,180,541 | ||||
Consumer Finance - 1.2% | ||||
American Express Co. 6.8% 9/1/66 (f) | 1,205,000 | 1,218,821 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Capital One Bank 6.5% 6/13/13 | $ 1,090,000 | $ 1,121,068 | ||
Ford Motor Credit Co.: | ||||
6.625% 6/16/08 | 840,000 | 809,179 | ||
7% 10/1/13 | 1,050,000 | 924,000 | ||
8.625% 11/1/10 | 900,000 | 865,185 | ||
9.9569% 4/15/12 (f) | 700,000 | 719,250 | ||
General Electric Capital Corp. 5.5% 4/28/11 | 8,930,000 | 8,933,563 | ||
General Motors Acceptance Corp.: | ||||
6.125% 2/1/07 | 600,000 | 596,620 | ||
6.75% 12/1/14 | 1,135,000 | 1,066,900 | ||
6.875% 9/15/11 | 950,000 | 916,750 | ||
8% 11/1/31 | 900,000 | 882,000 | ||
Household Finance Corp. 4.125% 11/16/09 | 9,340,000 | 8,952,941 | ||
MBNA America Bank NA 7.125% 11/15/12 | 500,000 | 538,881 | ||
Triad Acquisition Corp. 11.125% 5/1/13 | 55,000 | 52,250 | ||
27,597,408 | ||||
Diversified Financial Services - 1.2% | ||||
BAC Capital Trust XI 6.625% 5/23/36 | 9,775,000 | 9,959,816 | ||
Bank of America Corp. 7.4% 1/15/11 | 780,000 | 835,875 | ||
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 320,000 | 316,800 | ||
Citigroup, Inc. 5% 9/15/14 | 1,250,000 | 1,185,315 | ||
El Paso Performance-Linked Trust 7.75% 7/15/11 (d) | 500,000 | 502,500 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 68,000 | 71,655 | ||
JPMorgan Chase & Co.: | ||||
4.875% 3/15/14 | 1,150,000 | 1,082,072 | ||
5.6% 6/1/11 | 1,163,000 | 1,165,366 | ||
5.75% 1/2/13 | 325,000 | 325,179 | ||
JPMorgan Chase Capital XVII 5.85% 8/1/35 | 7,405,000 | 6,691,536 | ||
Prime Property Funding, Inc. 5.125% 6/1/15 (d) | 510,000 | 472,782 | ||
Teva Pharmaceutical Finance LLC 5.55% 2/1/16 | 500,000 | 470,816 | ||
ZFS Finance USA Trust I 6.15% 12/15/65 (d)(f) | 4,010,000 | 3,893,890 | ||
26,973,602 | ||||
Insurance - 1.1% | ||||
Aegon NV 4.75% 6/1/13 | 500,000 | 471,554 | ||
Axis Capital Holdings Ltd. 5.75% 12/1/14 | 5,625,000 | 5,360,198 | ||
Lincoln National Corp. 7% 5/17/66 (f) | 12,770,000 | 12,967,718 | ||
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 1,089,000 | 1,125,124 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Symetra Financial Corp. 6.125% 4/1/16 (d) | $ 380,000 | $ 372,783 | ||
Travelers Property Casualty Corp. 5% 3/15/13 | 4,427,000 | 4,186,831 | ||
UnumProvident Corp. 7.625% 3/1/11 | 77,000 | 80,510 | ||
24,564,718 | ||||
Real Estate Investment Trusts - 0.7% | ||||
Archstone-Smith Operating Trust 5.25% 5/1/15 | 805,000 | 765,747 | ||
Arden Realty LP 5.25% 3/1/15 | 1,210,000 | 1,170,284 | ||
Boston Properties, Inc. 6.25% 1/15/13 | 245,000 | 249,950 | ||
Brandywine Operating Partnership LP: | ||||
5.625% 12/15/10 | 4,505,000 | 4,449,052 | ||
5.75% 4/1/12 | 455,000 | 450,350 | ||
Camden Property Trust 5.875% 11/30/12 | 200,000 | 199,614 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 630,000 | 607,248 | ||
5.5% 10/1/15 | 1,100,000 | 1,042,380 | ||
Developers Diversified Realty Corp.: | ||||
4.625% 8/1/10 | 40,000 | 38,331 | ||
5% 5/3/10 | 350,000 | 341,468 | ||
5.25% 4/15/11 | 205,000 | 200,328 | ||
5.375% 10/15/12 | 210,000 | 204,120 | ||
HRPT Properties Trust 5.75% 11/1/15 | 120,000 | 115,962 | ||
Mack-Cali Realty LP 5.05% 4/15/10 | 250,000 | 242,717 | ||
Omega Healthcare Investors, Inc.: | ||||
7% 4/1/14 | 870,000 | 837,375 | ||
7% 1/15/16 | 400,000 | 381,000 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 613,000 | 619,130 | ||
8.625% 1/15/12 | 500,000 | 525,000 | ||
Simon Property Group LP: | ||||
5.1% 6/15/15 | 485,000 | 453,666 | ||
5.625% 8/15/14 | 1,000,000 | 979,277 | ||
The Rouse Co. 5.375% 11/26/13 | 100,000 | 91,404 | ||
Thornburg Mortgage, Inc. 8% 5/15/13 | 100,000 | 97,750 | ||
United Dominion Realty Trust 5.25% 1/15/15 | 80,000 | 75,315 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
6.5% 6/1/16 | 150,000 | 143,625 | ||
6.625% 10/15/14 | 865,000 | 843,375 | ||
Washington (REIT) 5.95% 6/15/11 | 1,665,000 | 1,674,659 | ||
16,799,127 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
FINANCIALS - continued | ||||
Real Estate Management & Development - 0.4% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 | $ 415,000 | $ 405,663 | ||
8.125% 6/1/12 | 385,000 | 390,775 | ||
CB Richard Ellis Services, Inc. 9.75% 5/15/10 | 10,000 | 10,675 | ||
EOP Operating LP: | ||||
4.65% 10/1/10 | 2,170,000 | 2,074,974 | ||
4.75% 3/15/14 | 4,360,000 | 4,012,185 | ||
6.75% 2/15/12 | 145,000 | 150,951 | ||
6.8% 1/15/09 | 1,000,000 | 1,025,207 | ||
7% 7/15/11 | 500,000 | 523,239 | ||
Forest City Enterprises, Inc. 7.625% 6/1/15 | 50,000 | 51,000 | ||
Post Apartment Homes LP 6.3% 6/1/13 | 585,000 | 589,860 | ||
9,234,529 | ||||
Thrifts & Mortgage Finance - 0.9% | ||||
Independence Community Bank Corp.: | ||||
3.75% 4/1/14 (f) | 545,000 | 518,720 | ||
4.9% 9/23/10 | 8,150,000 | 7,880,903 | ||
Residential Capital Corp.: | ||||
6.375% 6/30/10 | 45,000 | 44,848 | ||
6.875% 6/30/15 | 3,320,000 | 3,367,107 | ||
Washington Mutual, Inc.: | ||||
4.625% 4/1/14 | 750,000 | 682,744 | ||
5.7956% 9/17/12 (f) | 7,500,000 | 7,508,588 | ||
20,002,910 | ||||
TOTAL FINANCIALS | 192,231,342 | |||
HEALTH CARE - 0.3% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Boston Scientific Corp. 6.4% 6/15/16 | 1,180,000 | 1,163,774 | ||
Health Care Providers & Services - 0.3% | ||||
AmeriPath, Inc. 10.5% 4/1/13 | 80,000 | 84,200 | ||
AMR HoldCo, Inc./EmCare HoldCo, Inc. 10% 2/15/15 | 310,000 | 320,850 | ||
Community Health Systems, Inc. 6.5% 12/15/12 | 80,000 | 74,600 | ||
Concentra Operating Corp.: | ||||
9.125% 6/1/12 | 10,000 | 10,375 | ||
9.5% 8/15/10 | 110,000 | 114,125 | ||
CRC Health Group, Inc. 10.75% 2/1/16 (d) | 350,000 | 355,250 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
DaVita, Inc.: | ||||
6.625% 3/15/13 | $ 290,000 | $ 275,500 | ||
7.25% 3/15/15 | 615,000 | 587,325 | ||
HCA, Inc. 6.5% 2/15/16 | 700,000 | 554,750 | ||
HealthSouth Corp. 10.75% 6/15/16 (d) | 300,000 | 286,500 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.75% 6/15/14 | 350,000 | 334,250 | ||
Multiplan, Inc. 10.375% 4/15/16 (d) | 100,000 | 100,500 | ||
ResCare, Inc. 7.75% 10/15/13 | 80,000 | 79,000 | ||
Rural/Metro Corp.: | ||||
0% 3/15/16 (b) | 150,000 | 108,750 | ||
9.875% 3/15/15 | 180,000 | 183,600 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 (d) | 100,000 | 105,000 | ||
Team Finance LLC/Health Finance Corp. 11.25% 12/1/13 | 100,000 | 103,500 | ||
Tenet Healthcare Corp.: | ||||
6.375% 12/1/11 | 375,000 | 318,750 | ||
6.5% 6/1/12 | 15,000 | 12,581 | ||
7.375% 2/1/13 | 675,000 | 587,250 | ||
9.25% 2/1/15 (d) | 1,000,000 | 927,500 | ||
U.S. Oncology, Inc.: | ||||
9% 8/15/12 | 280,000 | 288,400 | ||
10.75% 8/15/14 | 80,000 | 86,600 | ||
5,899,156 | ||||
Pharmaceuticals - 0.0% | ||||
CDRV Investors, Inc. 0% 1/1/15 (b) | 100,000 | 70,750 | ||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 | 50,000 | 48,000 | ||
Mylan Laboratories, Inc. 6.375% 8/15/15 | 60,000 | 57,900 | ||
VWR International, Inc.: | ||||
6.875% 4/15/12 | 30,000 | 28,575 | ||
8% 4/15/14 | 30,000 | 29,475 | ||
234,700 | ||||
TOTAL HEALTH CARE | 7,297,630 | |||
INDUSTRIALS - 2.9% | ||||
Aerospace & Defense - 0.1% | ||||
Alliant Techsystems, Inc. 6.75% 4/1/16 | 300,000 | 289,500 | ||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (d) | 525,000 | 505,233 | ||
BE Aerospace, Inc. 8.5% 10/1/10 | 100,000 | 106,250 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
Bombardier, Inc.: | ||||
6.3% 5/1/14 (d) | $ 340,000 | $ 297,500 | ||
6.75% 5/1/12 (d) | 105,000 | 97,125 | ||
K & F Acquisition, Inc. 7.75% 11/15/14 | 40,000 | 39,200 | ||
Orbital Sciences Corp. 9% 7/15/11 | 135,000 | 140,738 | ||
1,475,546 | ||||
Airlines - 1.5% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
6.817% 5/23/11 | 50,000 | 48,875 | ||
6.855% 10/15/10 | 50,901 | 51,504 | ||
6.977% 11/23/22 | 9,891 | 9,446 | ||
6.978% 10/1/12 | 114,523 | 117,119 | ||
7.024% 4/15/11 | 365,000 | 368,650 | ||
7.377% 5/23/19 | 105,924 | 94,273 | ||
7.379% 11/23/17 | 35,701 | 31,060 | ||
7.8% 4/1/08 | 65,000 | 65,000 | ||
7.858% 4/1/13 | 9,525,000 | 10,001,250 | ||
AMR Corp. 9% 8/1/12 | 485,000 | 478,938 | ||
Continental Airlines, Inc.: | ||||
8.4075% 6/2/13 (f) | 100,000 | 100,750 | ||
9.558% 9/1/19 | 277,121 | 286,821 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.648% 3/15/19 | 6,226,374 | 6,244,474 | ||
6.795% 2/2/20 | 446,954 | 424,606 | ||
7.566% 9/15/21 | 84,642 | 82,526 | ||
7.73% 9/15/12 | 21,945 | 21,067 | ||
8.499% 11/1/12 | 29,684 | 29,090 | ||
9.798% 4/1/21 | 388,349 | 405,824 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 (a) | 1,450,000 | 384,250 | ||
8.3% 12/15/29 (a) | 1,000,000 | 268,800 | ||
9.5% 11/18/08 (a)(d) | 61,000 | 67,100 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.111% 3/18/13 | 6,680,000 | 6,663,300 | ||
7.299% 9/18/06 | 1,000 | 970 | ||
7.57% 11/18/10 | 805,000 | 808,019 | ||
7.779% 1/2/12 | 85,169 | 79,633 | ||
Northwest Airlines, Inc. 9.875% 3/15/07 (a) | 600,000 | 306,000 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.068% 7/2/17 | 7,800 | 6,708 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc. pass thru trust certificates: - continued | ||||
7.626% 4/1/10 | $ 25,044 | $ 22,540 | ||
U.S. Airways pass thru trust certificates 6.85% 7/30/19 | 282,054 | 285,580 | ||
United Airlines pass thru Certificates: | ||||
6.071% 9/1/14 | 291,458 | 291,823 | ||
6.201% 3/1/10 | 125,723 | 124,780 | ||
6.602% 9/1/13 | 376,272 | 376,803 | ||
7.032% 4/1/12 | 1,677,832 | 1,711,204 | ||
7.186% 10/1/12 | 4,154,540 | 4,185,699 | ||
34,444,482 | ||||
Building Products - 0.0% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 20,000 | 21,150 | ||
Nortek, Inc. 8.5% 9/1/14 | 100,000 | 93,750 | ||
114,900 | ||||
Commercial Services & Supplies - 0.1% | ||||
ACCO Brands Corp. 7.625% 8/15/15 | 130,000 | 120,250 | ||
Adesa, Inc. 7.625% 6/15/12 | 50,000 | 49,000 | ||
ALH Finance LLC/ALH Finance Corp. 8.5% 1/15/13 | 445,000 | 429,425 | ||
Allied Waste North America, Inc.: | ||||
5.75% 2/15/11 | 370,000 | 349,650 | ||
7.125% 5/15/16 (d) | 400,000 | 381,000 | ||
7.25% 3/15/15 | 800,000 | 772,000 | ||
7.875% 4/15/13 | 120,000 | 120,900 | ||
Cenveo Corp. 7.875% 12/1/13 | 463,000 | 450,268 | ||
FTI Consulting, Inc. 7.625% 6/15/13 | 105,000 | 105,263 | ||
IKON Office Solutions, Inc. 7.75% 9/15/15 | 230,000 | 225,975 | ||
Mac-Gray Corp. 7.625% 8/15/15 | 150,000 | 150,750 | ||
3,154,481 | ||||
Electrical Equipment - 0.0% | ||||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 20,000 | 19,450 | ||
Industrial Conglomerates - 0.4% | ||||
Hutchison Whampoa International 03/13 Ltd. 6.5% 2/13/13 (d) | 910,000 | 933,320 | ||
Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (d) | 7,200,000 | 7,116,055 | ||
Nell AF Sarl 8.375% 8/15/15 (d) | 75,000 | 72,938 | ||
8,122,313 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INDUSTRIALS - continued | ||||
Machinery - 0.0% | ||||
Accuride Corp. 8.5% 2/1/15 | $ 80,000 | $ 74,400 | ||
Case New Holland, Inc. 7.125% 3/1/14 | 350,000 | 341,250 | ||
Chart Industries, Inc. 9.125% 10/15/15 (d) | 40,000 | 41,300 | ||
Columbus McKinnon Corp. 8.875% 11/1/13 | 20,000 | 20,400 | ||
Commercial Vehicle Group, Inc. 8% 7/1/13 | 50,000 | 47,440 | ||
Dresser, Inc. 9.375% 4/15/11 | 15,000 | 15,300 | ||
Invensys PLC 9.875% 3/15/11 (d) | 164,000 | 176,300 | ||
Park-Ohio Industries, Inc. 8.375% 11/15/14 | 60,000 | 53,700 | ||
Terex Corp. 7.375% 1/15/14 | 100,000 | 99,500 | ||
869,590 | ||||
Marine - 0.0% | ||||
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15 | 471,000 | 515,745 | ||
H-Lines Finance Holding Corp. 0% 4/1/13 (b) | 126,000 | 108,360 | ||
Horizon Lines LLC/Horizon Lines Holdings Corp. 9% 11/1/12 | 332,000 | 336,150 | ||
OMI Corp. 7.625% 12/1/13 | 95,000 | 95,000 | ||
1,055,255 | ||||
Road & Rail - 0.1% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
7.625% 5/15/14 (d) | 400,000 | 391,000 | ||
7.75% 5/15/16 (d) | 400,000 | 390,000 | ||
Hertz Corp.: | ||||
8.875% 1/1/14 (d) | 700,000 | 731,500 | ||
10.5% 1/1/16 (d) | 360,000 | 392,850 | ||
Kansas City Southern Railway Co. 7.5% 6/15/09 | 400,000 | 402,000 | ||
TFM SA de CV 9.375% 5/1/12 | 65,000 | 68,900 | ||
2,376,250 | ||||
Trading Companies & Distributors - 0.1% | ||||
Ashtead Holdings PLC 8.625% 8/1/15 (d) | 275,000 | 270,875 | ||
H&E Equipment Services, Inc. 8.375% 7/15/16 (d) | 160,000 | 161,200 | ||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (d) | 400,000 | 430,000 | ||
Penhall International Corp. 12% 8/1/14 (d) | 250,000 | 258,125 | ||
1,120,200 | ||||
Transportation Infrastructure - 0.6% | ||||
BNSF Funding Trust I 6.613% 12/15/55 (f) | 15,360,000 | 14,619,602 | ||
TOTAL INDUSTRIALS | 67,372,069 | |||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.1% | ||||
L-3 Communications Corp. 6.375% 10/15/15 | $ 520,000 | $ 495,300 | ||
Nortel Networks Corp.: | ||||
9.73% 7/15/11 (d)(f) | 200,000 | 201,250 | ||
10.125% 7/15/13 (d) | 200,000 | 201,000 | ||
897,550 | ||||
Electronic Equipment & Instruments - 0.0% | ||||
Celestica, Inc. 7.875% 7/1/11 | 350,000 | 339,500 | ||
Sanmina-SCI Corp. 8.125% 3/1/16 | 350,000 | 339,500 | ||
679,000 | ||||
IT Services - 0.0% | ||||
Iron Mountain, Inc. 6.625% 1/1/16 | 120,000 | 109,800 | ||
SunGard Data Systems, Inc. 9.125% 8/15/13 | 575,000 | 587,219 | ||
697,019 | ||||
Office Electronics - 0.1% | ||||
Xerox Capital Trust I 8% 2/1/27 | 130,000 | 130,650 | ||
Xerox Corp.: | ||||
7.2% 4/1/16 | 465,000 | 462,675 | ||
7.625% 6/15/13 | 310,000 | 313,100 | ||
906,425 | ||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Amkor Technology, Inc.: | ||||
7.75% 5/15/13 | 65,000 | 57,200 | ||
9.25% 6/1/16 | 100,000 | 91,875 | ||
Chartered Semiconductor Manufacturing Ltd.: | ||||
5.75% 8/3/10 | 6,340,000 | 6,240,944 | ||
6.375% 8/3/15 | 760,000 | 732,151 | ||
Freescale Semiconductor, Inc. 7.125% 7/15/14 | 60,000 | 60,900 | ||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.875% 12/15/11 | 25,000 | 20,500 | ||
8% 12/15/14 | 80,000 | 53,600 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 60,000 | 46,200 | ||
Viasystems, Inc. 10.5% 1/15/11 | 480,000 | 470,400 | ||
7,773,770 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
INFORMATION TECHNOLOGY - continued | ||||
Software - 0.0% | ||||
Activant Solutions, Inc. 9.5% 5/1/16 (d) | $ 50,000 | $ 47,000 | ||
SERENA Software, Inc. 10.375% 3/15/16 (d) | 230,000 | 231,725 | ||
278,725 | ||||
TOTAL INFORMATION TECHNOLOGY | 11,232,489 | |||
MATERIALS - 0.6% | ||||
Chemicals - 0.2% | ||||
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14 | 410,000 | 441,263 | ||
Berry Plastics Corp. 10.75% 7/15/12 | 80,000 | 87,400 | ||
Braskem SA: | ||||
(Reg. S) 11.75% 1/22/14 | 50,000 | 59,000 | ||
11.75% 1/22/14 (d) | 20,000 | 23,600 | ||
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp. | 550,000 | 429,000 | ||
Equistar Chemicals LP 7.55% 2/15/26 | 350,000 | 318,500 | ||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 395,000 | 422,650 | ||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 10.2569% 7/15/10 (f) | 70,000 | 70,700 | ||
Huntsman International LLC 9.875% 3/1/09 | 115,000 | 119,600 | ||
IMC Global, Inc. 10.875% 8/1/13 | 100,000 | 111,250 | ||
Inergy LP/Inergy Finance Corp. 8.25% 3/1/16 | 310,000 | 314,650 | ||
Innophos, Inc. 8.875% 8/15/14 | 30,000 | 30,263 | ||
Lyondell Chemical Co.: | ||||
9.625% 5/1/07 | 200,000 | 204,000 | ||
10.875% 5/1/09 | 55,000 | 56,100 | ||
Nalco Co. 7.75% 11/15/11 | 630,000 | 630,000 | ||
Pliant Corp. 0% 6/15/09 (b) | 60,000 | 57,900 | ||
Rhodia SA: | ||||
7.625% 6/1/10 | 600,000 | 607,500 | ||
8.875% 6/1/11 | 300,000 | 306,000 | ||
Rockwood Specialties Group, Inc. 7.5% 11/15/14 | 150,000 | 147,750 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 | 800,000 | 832,000 | ||
5,269,126 | ||||
Construction Materials - 0.0% | ||||
Texas Industries, Inc. 7.25% 7/15/13 | 30,000 | 30,000 | ||
U.S. Concrete, Inc. 8.375% 4/1/14 | 50,000 | 49,625 | ||
79,625 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
MATERIALS - continued | ||||
Containers & Packaging - 0.1% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | $ 30,000 | $ 30,000 | ||
Ball Corp. 6.625% 3/15/18 | 500,000 | 472,500 | ||
BWAY Corp. 10% 10/15/10 | 105,000 | 110,250 | ||
Crown Americas LLC/Crown Americas Capital Corp. 7.75% 11/15/15 (d) | 200,000 | 198,000 | ||
Crown Cork & Seal, Inc. 8% 4/15/23 | 105,000 | 98,700 | ||
Graham Packaging Co. LP/GPC Capital Corp.: | ||||
8.5% 10/15/12 | 50,000 | 48,750 | ||
9.875% 10/15/14 | 395,000 | 383,150 | ||
Graphic Packaging International, Inc. 8.5% 8/15/11 | 120,000 | 121,200 | ||
Jefferson Smurfit Corp. U.S. 7.5% 6/1/13 | 15,000 | 13,575 | ||
Owens-Brockway Glass Container, Inc.: | ||||
8.25% 5/15/13 | 15,000 | 15,150 | ||
8.875% 2/15/09 | 350,000 | 360,500 | ||
Owens-Illinois, Inc.: | ||||
7.35% 5/15/08 | 50,000 | 50,000 | ||
7.5% 5/15/10 | 395,000 | 389,075 | ||
7.8% 5/15/18 | 45,000 | 41,963 | ||
8.1% 5/15/07 | 410,000 | 412,050 | ||
Tekni-Plex, Inc. 10.875% 8/15/12 (d) | 40,000 | 44,000 | ||
2,788,863 | ||||
Metals & Mining - 0.2% | ||||
Aleris International, Inc. 9% 11/15/14 | 20,000 | 22,600 | ||
California Steel Industries, Inc. 6.125% 3/15/14 | 40,000 | 36,900 | ||
Century Aluminum Co. 7.5% 8/15/14 | 40,000 | 39,600 | ||
Corporacion Nacional del Cobre (Codelco) 6.375% 11/30/12 (d) | 335,000 | 344,206 | ||
CSN Islands X Corp. (Reg. S) 9.5% 7/14/49 | 566,000 | 586,518 | ||
Evraz Securities SA 10.875% 8/3/09 | 700,000 | 768,600 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 375,000 | 364,219 | ||
10.125% 2/1/10 | 45,000 | 47,700 | ||
Newmont Mining Corp. 5.875% 4/1/35 | 405,000 | 363,100 | ||
Norilsk Nickel Finance Luxembourg SA 7.125% 9/30/09 | 195,000 | 195,975 | ||
Novelis, Inc. 7.25% 2/15/15 (d)(f) | 210,000 | 202,125 | ||
RathGibson, Inc. 11.25% 2/15/14 (d) | 50,000 | 51,625 | ||
Wise Metals Group LLC/Alloys Finance 10.25% 5/15/12 | 110,000 | 94,050 | ||
3,117,218 | ||||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
MATERIALS - continued | ||||
Paper & Forest Products - 0.1% | ||||
Boise Cascade LLC/Boise Cascade Finance Corp.: | ||||
7.125% 10/15/14 | $ 30,000 | $ 26,550 | ||
8.3819% 10/15/12 (f) | 30,000 | 30,000 | ||
Buckeye Technologies, Inc. 8.5% 10/1/13 | 200,000 | 193,250 | ||
Georgia-Pacific Corp.: | ||||
7.375% 12/1/25 | 15,000 | 13,575 | ||
7.75% 11/15/29 | 10,000 | 9,113 | ||
8% 1/15/24 | 130,000 | 123,175 | ||
8.125% 5/15/11 | 605,000 | 599,706 | ||
International Paper Co. 4.25% 1/15/09 | 345,000 | 333,385 | ||
Millar Western Forest Products Ltd. 7.75% 11/15/13 | 120,000 | 91,200 | ||
P.H. Glatfelter Co. 7.125% 5/1/16 (d) | 230,000 | 225,400 | ||
Solo Cup Co. 8.5% 2/15/14 | 145,000 | 123,975 | ||
Stone Container Corp. 8.375% 7/1/12 | 400,000 | 380,000 | ||
Stone Container Finance Co. 7.375% 7/15/14 | 400,000 | 354,000 | ||
2,503,329 | ||||
TOTAL MATERIALS | 13,758,161 | |||
TELECOMMUNICATION SERVICES - 2.6% | ||||
Diversified Telecommunication Services - 2.1% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | 35,000 | 35,330 | ||
AT&T, Inc. 6.8% 5/15/36 | 2,000,000 | 2,012,486 | ||
British Telecommunications PLC: | ||||
8.375% 12/15/10 | 20,000 | 22,142 | ||
8.875% 12/15/30 | 145,000 | 182,789 | ||
Deutsche Telekom International Finance BV 5.25% 7/22/13 | 415,000 | 393,199 | ||
Embarq Corp.: | ||||
6.738% 6/1/13 | 85,000 | 85,816 | ||
7.082% 6/1/16 | 480,000 | 483,070 | ||
7.995% 6/1/36 | 5,991,000 | 6,145,598 | ||
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 377,000 | 410,930 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 96,000 | 92,160 | ||
GCI, Inc. 7.25% 2/15/14 | 50,000 | 47,750 | ||
Intelsat Ltd.: | ||||
6.5% 11/1/13 | 40,000 | 30,200 | ||
7.625% 4/15/12 | 20,000 | 16,800 | ||
9.25% 6/15/16 (d) | 350,000 | 358,750 | ||
11.25% 6/15/16 (d) | 400,000 | 404,500 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Level 3 Financing, Inc. 12.25% 3/15/13 (d) | $ 650,000 | $ 711,750 | ||
New Skies Satellites BV: | ||||
9.125% 11/1/12 | 145,000 | 153,338 | ||
10.4144% 11/1/11 (f) | 100,000 | 103,000 | ||
Nordic Telephone Co. Holdings Aps 8.875% 5/1/16 (d) | 75,000 | 77,719 | ||
NTL Cable PLC: | ||||
8.75% 4/15/14 | 300,000 | 303,000 | ||
9.125% 8/15/16 | 210,000 | 213,150 | ||
PT Indosat International Finance Co. BV 7.125% 6/22/12 (d) | 205,000 | 198,850 | ||
Qwest Capital Funding, Inc.: | ||||
7% 8/3/09 | 50,000 | 49,375 | ||
7.25% 2/15/11 | 285,000 | 277,875 | ||
7.625% 8/3/21 | 20,000 | 19,000 | ||
Qwest Communications International, Inc.: | ||||
7.5% 2/15/14 | 1,060,000 | 1,028,200 | ||
7.5% 2/15/14 | 60,000 | 58,800 | ||
8.67% 2/15/09 (f) | 340,000 | 345,950 | ||
Qwest Corp.: | ||||
7.625% 6/15/15 | 610,000 | 619,882 | ||
8.5794% 6/15/13 (f) | 90,000 | 96,300 | ||
SBC Communications, Inc.: | ||||
6.15% 9/15/34 | 500,000 | 464,750 | ||
6.45% 6/15/34 | 220,000 | 211,737 | ||
Sprint Capital Corp. 8.375% 3/15/12 | 960,000 | 1,065,862 | ||
Telecom Italia Capital SA: | ||||
4% 1/15/10 | 4,055,000 | 3,816,696 | ||
4.875% 10/1/10 | 340,000 | 326,953 | ||
4.95% 9/30/14 | 415,000 | 377,450 | ||
6% 9/30/34 | 500,000 | 442,699 | ||
7.2% 7/18/36 | 2,000,000 | 2,039,640 | ||
Telefonica de Argentina SA 9.125% 11/7/10 | 560,000 | 579,600 | ||
Telefonica Emisiones SAU 7.045% 6/20/36 | 8,825,000 | 9,064,511 | ||
Telefonos de Mexico SA de CV 4.75% 1/27/10 | 90,000 | 86,818 | ||
Telenet Group Holding NV 0% 6/15/14 (b)(d) | 52,000 | 44,330 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 7,570,000 | 7,684,693 | ||
Time Warner Telecom Holdings, Inc. 9.25% 2/15/14 | 80,000 | 82,000 | ||
U.S. West Capital Funding, Inc. 6.375% 7/15/08 | 375,000 | 372,188 | ||
U.S. West Communications 6.875% 9/15/33 | 415,000 | 367,275 | ||
Verizon Global Funding Corp. 7.75% 12/1/30 | 5,296,000 | 5,782,544 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon New York, Inc. 6.875% 4/1/12 | $ 120,000 | $ 123,017 | ||
Wind Acquisition Finance SA 10.75% 12/1/15 (d) | 350,000 | 376,688 | ||
Windstream Corp.: | ||||
8.125% 8/1/13 (d) | 200,000 | 207,500 | ||
8.625% 8/1/16 (d) | 350,000 | 364,000 | ||
48,858,660 | ||||
Wireless Telecommunication Services - 0.5% | ||||
America Movil SA de CV: | ||||
4.125% 3/1/09 | 185,000 | 177,599 | ||
6.375% 3/1/35 | 780,000 | 720,049 | ||
American Tower Corp. 7.5% 5/1/12 | 105,000 | 107,100 | ||
AT&T Wireless Services, Inc.: | ||||
7.875% 3/1/11 | 220,000 | 238,687 | ||
8.125% 5/1/12 | 555,000 | 615,005 | ||
Centennial Communications Corp. 10% 1/1/13 | 450,000 | 448,875 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 | 310,000 | 301,475 | ||
Digicel Ltd. 9.25% 9/1/12 (d)(e) | 520,000 | 540,800 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc.: | ||||
6.375% 6/15/15 | 1,000,000 | 925,000 | ||
8.375% 3/15/13 | 1,000,000 | 1,046,250 | ||
Inmarsat Finance II PLC 0% 11/15/12 (b) | 70,000 | 59,850 | ||
Inmarsat Finance PLC 7.625% 6/30/12 | 45,000 | 45,900 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.625% 1/15/15 (f) | 195,000 | 193,781 | ||
Mobile Telesystems Finance SA: | ||||
8% 1/28/12 (d) | 60,000 | 60,228 | ||
8.375% 10/14/10 (d) | 805,000 | 823,515 | ||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | 1,185,000 | 1,158,338 | ||
7.375% 8/1/15 | 150,000 | 153,853 | ||
Rogers Communications, Inc.: | ||||
6.375% 3/1/14 | 440,000 | 422,950 | ||
8% 12/15/12 | 355,000 | 366,538 | ||
9.625% 5/1/11 | 26,000 | 28,730 | ||
Rural Cellular Corp.: | ||||
8.25% 3/15/12 | 360,000 | 369,000 | ||
9.75% 1/15/10 | 100,000 | 100,000 | ||
Stratos Global Corp. 9.875% 2/15/13 (d) | 150,000 | 130,500 | ||
Telecom Personal SA 9.25% 12/22/10 (d) | 565,000 | 573,475 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vodafone Group PLC: | ||||
5% 12/16/13 | $ 910,000 | $ 850,250 | ||
5.5% 6/15/11 | 170,000 | 167,449 | ||
10,625,197 | ||||
TOTAL TELECOMMUNICATION SERVICES | 59,483,857 | |||
UTILITIES - 2.8% | ||||
Electric Utilities - 1.0% | ||||
AES Gener SA 7.5% 3/25/14 | 70,000 | 71,050 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (d) | 493,000 | 534,905 | ||
Cleveland Electric Illuminating Co. 5.65% 12/15/13 | 300,000 | 293,640 | ||
Exelon Corp.: | ||||
4.9% 6/15/15 | 6,195,000 | 5,707,571 | ||
6.75% 5/1/11 | 420,000 | 436,170 | ||
FirstEnergy Corp. 6.45% 11/15/11 | 155,000 | 159,320 | ||
Mirant Americas Generation LLC 8.5% 10/1/21 | 350,000 | 322,875 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 440,000 | 440,000 | ||
MSW Energy Holdings LLC/MSW Energy Finance Co., Inc. 8.5% 9/1/10 | 360,000 | 370,800 | ||
Nevada Power Co.: | ||||
5.875% 1/15/15 | 40,000 | 38,204 | ||
6.5% 4/15/12 | 50,000 | 50,146 | ||
Oncor Electric Delivery Co. 6.375% 5/1/12 | 5,720,000 | 5,822,542 | ||
Progress Energy, Inc.: | ||||
5.625% 1/15/16 | 1,000,000 | 970,479 | ||
7.1% 3/1/11 | 6,660,000 | 7,036,949 | ||
Sierra Pacific Power Co. 6% 5/15/16 (d) | 50,000 | 47,750 | ||
Sierra Pacific Resources 7.803% 6/15/12 | 290,000 | 294,350 | ||
TXU Energy Co. LLC 7% 3/15/13 | 880,000 | 906,173 | ||
23,502,924 | ||||
Gas Utilities - 0.0% | ||||
El Paso Energy Corp. 6.75% 5/15/09 | 25,000 | 24,813 | ||
Sonat, Inc.: | ||||
6.625% 2/1/08 | 20,000 | 19,900 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Sonat, Inc.: - continued | ||||
6.75% 10/1/07 | $ 15,000 | $ 15,019 | ||
Transportadora de Gas del Sur SA (Reg. S) 6.5% 12/15/10 (c) | 716,360 | 704,719 | ||
764,451 | ||||
Independent Power Producers & Energy Traders - 0.7% | ||||
AES Corp.: | ||||
7.75% 3/1/14 | 1,400,000 | 1,408,750 | ||
8.75% 6/15/08 | 2,000 | 2,068 | ||
8.75% 5/15/13 (d) | 35,000 | 37,275 | ||
8.875% 2/15/11 | 982,000 | 1,027,418 | ||
9% 5/15/15 (d) | 625,000 | 669,531 | ||
9.375% 9/15/10 | 7,000 | 7,455 | ||
9.5% 6/1/09 | 19,000 | 19,998 | ||
Allegheny Energy Supply Co. LLC: | ||||
7.8% 3/15/11 | 170,000 | 177,650 | ||
8.25% 4/15/12 (d) | 90,000 | 95,850 | ||
Constellation Energy Group, Inc. 7% 4/1/12 | 1,050,000 | 1,101,861 | ||
Duke Capital LLC 5.668% 8/15/14 | 3,120,000 | 3,011,917 | ||
Mirant North America LLC/Mirant North America Finance Corp. 7.375% 12/31/13 (d) | 1,020,000 | 976,650 | ||
NRG Energy, Inc.: | ||||
7.25% 2/1/14 | 1,300,000 | 1,277,250 | ||
7.375% 2/1/16 | 1,280,000 | 1,256,000 | ||
PPL Energy Supply LLC: | ||||
5.7% 10/15/35 | 655,000 | 628,289 | ||
6.2% 5/15/16 | 500,000 | 501,797 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (d) | 488,618 | 470,295 | ||
TXU Corp. 5.55% 11/15/14 | 3,140,000 | 2,852,062 | ||
15,522,116 | ||||
Multi-Utilities - 1.1% | ||||
CMS Energy Corp.: | ||||
6.3% 2/1/12 | 760,000 | 729,600 | ||
8.5% 4/15/11 | 545,000 | 572,250 | ||
9.875% 10/15/07 | 135,000 | 140,569 | ||
Dominion Resources, Inc.: | ||||
4.75% 12/15/10 | 535,000 | 514,422 | ||
5.95% 6/15/35 | 5,905,000 | 5,419,207 | ||
6.25% 6/30/12 | 270,000 | 273,445 | ||
Nonconvertible Bonds - continued | ||||
Principal | Value | |||
UTILITIES - continued | ||||
Multi-Utilities - continued | ||||
Dominion Resources, Inc.: - continued | ||||
7.5% 6/30/66 (f) | $ 1,495,000 | $ 1,504,279 | ||
MidAmerican Energy Holdings, Inc. 6.125% 4/1/36 (d) | 11,405,000 | 10,974,746 | ||
National Grid PLC 6.3% 8/1/16 | 5,245,000 | 5,280,121 | ||
Utilicorp Canada Finance Corp. 7.75% 6/15/11 | 105,000 | 108,806 | ||
25,517,445 | ||||
TOTAL UTILITIES | 65,306,936 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $526,688,826) | 531,646,623 | |||
U.S. Government and Government Agency Obligations - 22.2% | ||||
U.S. Government Agency Obligations - 2.9% | ||||
Fannie Mae: | ||||
3.25% 1/15/08 | 8,000,000 | 7,771,304 | ||
4.375% 7/17/13 | 8,745,000 | 8,240,282 | ||
4.625% 5/1/13 | 5,000,000 | 4,745,530 | ||
6.25% 2/1/11 | 19,170,000 | 19,786,277 | ||
Freddie Mac: | ||||
5.25% 11/5/12 | 280,000 | 273,395 | ||
5.875% 3/21/11 | 25,685,000 | 26,118,434 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 385,000 | 371,119 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 67,306,341 | |||
U.S. Treasury Inflation Protected Obligations - 4.4% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 3,206,220 | 3,035,640 | ||
2% 1/15/14 | 99,922,354 | 97,158,386 | ||
2.375% 4/15/11 | 2,040,120 | 2,040,580 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 102,234,606 | |||
U.S. Treasury Obligations - 14.9% | ||||
U.S. Treasury Bond - principal STRIPS: | ||||
2/15/15 | 78,530,000 | 51,510,497 | ||
5/15/30 | 35,870,000 | 10,737,089 | ||
U.S. Treasury Bonds 6.25% 5/15/30 | 5,861,000 | 6,745,185 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: | ||||
4.25% 8/15/13 | $ 81,769,000 | $ 78,463,079 | ||
4.75% 5/15/14 | 33,615,000 | 33,168,559 | ||
U.S. Treasury Notes - principal STRIPS: | ||||
8/15/10 | 131,350,000 | 108,364,364 | ||
2/15/12 | 60,740,000 | 46,479,402 | ||
8/15/12 | 14,300,000 | 10,694,069 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 346,162,244 | |||
TOTAL U.S. GOVERNMENT AND (Cost $513,123,592) | 515,703,191 | |||
U.S. Government Agency - Mortgage Securities - 23.1% | ||||
Fannie Mae - 21.0% | ||||
3.732% 1/1/35 (f) | 65,544 | 64,095 | ||
3.735% 10/1/33 (f) | 54,005 | 52,637 | ||
3.746% 12/1/34 (f) | 47,641 | 46,596 | ||
3.75% 1/1/34 (f) | 55,380 | 53,910 | ||
3.757% 10/1/33 (f) | 46,712 | 45,594 | ||
3.77% 12/1/34 (f) | 13,066 | 12,796 | ||
3.791% 6/1/34 (f) | 225,192 | 218,443 | ||
3.81% 6/1/33 (f) | 38,523 | 37,792 | ||
3.837% 4/1/33 (f) | 164,027 | 161,029 | ||
3.84% 1/1/35 (f) | 126,891 | 124,198 | ||
3.843% 1/1/35 (f) | 46,505 | 45,470 | ||
3.847% 5/1/34 (f) | 9,868,929 | 9,590,822 | ||
3.851% 10/1/33 (f) | 1,390,081 | 1,361,362 | ||
3.866% 1/1/35 (f) | 73,853 | 72,523 | ||
3.897% 10/1/34 (f) | 42,867 | 42,233 | ||
3.904% 1/1/35 (f) | 123,225 | 121,440 | ||
3.923% 5/1/34 (f) | 15,977 | 16,077 | ||
3.926% 12/1/34 (f) | 36,349 | 35,734 | ||
3.951% 1/1/35 (f) | 47,265 | 46,577 | ||
3.952% 12/1/34 (f) | 32,124 | 31,692 | ||
3.952% 12/1/34 (f) | 280,803 | 276,779 | ||
3.957% 5/1/33 (f) | 12,752 | 12,532 | ||
3.987% 12/1/34 (f) | 49,073 | 48,242 | ||
3.997% 12/1/34 (f) | 33,019 | 32,551 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
3.997% 1/1/35 (f) | $ 32,810 | $ 32,359 | ||
4.004% 2/1/35 (f) | 35,954 | 35,439 | ||
4.015% 12/1/34 (f) | 69,336 | 68,488 | ||
4.037% 1/1/35 (f) | 29,664 | 29,281 | ||
4.037% 1/1/35 (f) | 18,846 | 18,578 | ||
4.039% 2/1/35 (f) | 33,117 | 32,648 | ||
4.049% 10/1/18 (f) | 41,474 | 40,694 | ||
4.065% 1/1/35 (f) | 61,568 | 60,655 | ||
4.077% 2/1/35 (f) | 66,767 | 65,878 | ||
4.082% 4/1/33 (f) | 14,409 | 14,231 | ||
4.084% 2/1/35 (f) | 35,188 | 34,704 | ||
4.089% 2/1/35 (f) | 32,450 | 32,020 | ||
4.092% 11/1/34 (f) | 56,235 | 55,683 | ||
4.1% 2/1/35 (f) | 123,079 | 121,542 | ||
4.106% 1/1/35 (f) | 77,091 | 76,059 | ||
4.114% 1/1/35 (f) | 81,157 | 80,090 | ||
4.116% 2/1/35 (f) | 84,011 | 82,918 | ||
4.129% 1/1/35 (f) | 130,455 | 128,810 | ||
4.144% 1/1/35 (f) | 128,928 | 127,604 | ||
4.149% 2/1/35 (f) | 65,187 | 64,365 | ||
4.161% 1/1/35 (f) | 130,847 | 130,029 | ||
4.172% 1/1/35 (f) | 96,609 | 93,932 | ||
4.177% 1/1/35 (f) | 69,138 | 68,289 | ||
4.179% 10/1/34 (f) | 118,106 | 117,179 | ||
4.179% 11/1/34 (f) | 21,792 | 21,495 | ||
4.202% 1/1/35 (f) | 49,324 | 48,735 | ||
4.249% 1/1/34 (f) | 134,966 | 132,524 | ||
4.25% 2/1/35 (f) | 59,769 | 58,113 | ||
4.25% 2/1/35 (f) | 30,087 | 29,764 | ||
4.274% 8/1/33 (f) | 89,482 | 88,365 | ||
4.275% 3/1/35 (f) | 54,756 | 54,058 | ||
4.283% 7/1/34 (f) | 37,614 | 37,466 | ||
4.289% 12/1/34 (f) | 32,450 | 31,986 | ||
4.306% 5/1/35 (f) | 64,465 | 63,734 | ||
4.314% 3/1/33 (f) | 26,510 | 25,772 | ||
4.333% 9/1/34 (f) | 77,083 | 76,874 | ||
4.348% 9/1/34 (f) | 149,424 | 149,151 | ||
4.355% 1/1/35 (f) | 60,898 | 59,310 | ||
4.362% 2/1/34 (f) | 109,227 | 107,439 | ||
4.366% 4/1/35 (f) | 35,118 | 34,695 | ||
4.392% 11/1/34 (f) | 4,359,075 | 4,332,136 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
4.396% 2/1/35 (f) | $ 77,042 | $ 75,048 | ||
4.396% 5/1/35 (f) | 143,956 | 142,395 | ||
4.429% 10/1/34 (f) | 213,377 | 212,263 | ||
4.431% 1/1/35 (f) | 52,917 | 52,396 | ||
4.44% 3/1/35 (f) | 61,369 | 59,827 | ||
4.444% 12/1/34 (f) | 292,349 | 285,888 | ||
4.459% 8/1/34 (f) | 144,781 | 142,450 | ||
4.473% 5/1/35 (f) | 73,328 | 72,516 | ||
4.486% 1/1/35 (f) | 69,786 | 69,208 | ||
4.493% 3/1/35 (f) | 167,117 | 163,299 | ||
4.498% 8/1/34 (f) | 298,007 | 298,695 | ||
4.5% 5/1/18 to 3/1/35 | 97,077,512 | 92,342,210 | ||
4.5% 8/1/21 (e) | 6,264,781 | 5,982,365 | ||
4.5% 8/1/36 (e) | 20,000,000 | 18,372,600 | ||
4.516% 3/1/35 (f) | 150,129 | 146,643 | ||
4.525% 2/1/35 (f) | 7,431,078 | 7,328,381 | ||
4.529% 7/1/34 (f) | 63,921 | 63,536 | ||
4.536% 2/1/35 (f) | 309,217 | 306,619 | ||
4.545% 2/1/35 (f) | 43,250 | 42,862 | ||
4.545% 7/1/35 (f) | 176,919 | 174,973 | ||
4.547% 2/1/35 (f) | 41,909 | 41,567 | ||
4.574% 2/1/35 (f) | 139,650 | 136,798 | ||
4.575% 7/1/35 (f) | 197,105 | 195,005 | ||
4.586% 2/1/35 (f) | 3,934,080 | 3,849,891 | ||
4.606% 1/1/33 (f) | 238,734 | 236,936 | ||
4.614% 11/1/34 (f) | 152,738 | 150,105 | ||
4.666% 3/1/35 (f) | 3,052,294 | 3,030,226 | ||
4.669% 11/1/34 (f) | 162,705 | 160,113 | ||
4.716% 7/1/35 (f) | 3,696,635 | 3,594,164 | ||
4.726% 7/1/34 (f) | 146,735 | 144,798 | ||
4.733% 10/1/34 (f) | 196,706 | 193,968 | ||
4.776% 12/1/34 (f) | 133,984 | 131,851 | ||
4.791% 12/1/34 (f) | 48,063 | 47,258 | ||
4.797% 12/1/32 (f) | 63,731 | 63,496 | ||
4.801% 10/1/34 (f) | 100,971 | 99,740 | ||
4.811% 6/1/35 (f) | 244,592 | 242,809 | ||
4.817% 2/1/33 (f) | 84,863 | 84,415 | ||
4.82% 11/1/34 (f) | 169,978 | 167,382 | ||
4.876% 10/1/34 (f) | 5,418,589 | 5,354,487 | ||
5% 3/1/35 to 1/1/36 | 41,657,337 | 39,420,961 | ||
5% 8/1/36 (e) | 92,810,011 | 87,814,048 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Fannie Mae - continued | ||||
5.082% 9/1/34 (f) | $ 4,332,851 | $ 4,302,608 | ||
5.094% 9/1/34 (f) | 47,187 | 46,874 | ||
5.097% 5/1/35 (f) | 316,489 | 315,587 | ||
5.174% 5/1/35 (f) | 4,765,813 | 4,722,920 | ||
5.179% 5/1/35 (f) | 218,349 | 216,371 | ||
5.202% 6/1/35 (f) | 225,287 | 224,963 | ||
5.215% 5/1/35 (f) | 5,015,506 | 4,973,526 | ||
5.24% 3/1/35 (f) | 35,466 | 35,213 | ||
5.349% 12/1/34 (f) | 95,048 | 94,848 | ||
5.5% 11/1/16 to 4/1/36 | 62,802,904 | 61,377,879 | ||
5.5% 8/1/36 (e) | 54,265,689 | 52,696,868 | ||
5.506% 2/1/36 (f) | 8,639,700 | 8,619,310 | ||
5.636% 1/1/36 (f) | 273,795 | 273,792 | ||
5.927% 1/1/36 (f) | 980,245 | 982,755 | ||
6% 7/1/08 to 3/1/33 | 8,590,504 | 8,596,396 | ||
6% 8/1/21 (e) | 1,458,555 | 1,471,084 | ||
6% 8/1/36 (e) | 20,000,000 | 19,871,000 | ||
6.5% 6/1/09 to 4/1/36 | 12,902,161 | 13,089,172 | ||
6.5% 8/1/36 (e) | 12,877,350 | 13,026,212 | ||
7% 9/1/25 to 8/1/29 | 242,236 | 249,496 | ||
TOTAL FANNIE MAE | 486,195,282 | |||
Freddie Mac - 2.1% | ||||
4.042% 12/1/34 (f) | 47,663 | 46,849 | ||
4.086% 12/1/34 (f) | 79,708 | 78,415 | ||
4.133% 1/1/35 (f) | 193,345 | 190,279 | ||
4.26% 1/1/35 (f) | 182,051 | 179,384 | ||
4.26% 3/1/35 (f) | 67,089 | 66,080 | ||
4.288% 5/1/35 (f) | 125,515 | 123,773 | ||
4.3% 12/1/34 (f) | 77,333 | 75,037 | ||
4.33% 2/1/35 (f) | 135,892 | 133,940 | ||
4.357% 3/1/35 (f) | 105,567 | 102,500 | ||
4.383% 2/1/35 (f) | 134,447 | 130,557 | ||
4.441% 2/1/34 (f) | 68,181 | 66,902 | ||
4.445% 3/1/35 (f) | 65,082 | 63,308 | ||
4.457% 6/1/35 (f) | 76,607 | 75,490 | ||
4.461% 3/1/35 (f) | 81,073 | 78,845 | ||
4.545% 2/1/35 (f) | 118,516 | 115,468 | ||
5.004% 4/1/35 (f) | 2,891,584 | 2,872,500 | ||
5.133% 4/1/35 (f) | 3,146,069 | 3,104,792 | ||
5.321% 6/1/35 (f) | 250,856 | 248,717 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal | Value | |||
Freddie Mac - continued | ||||
5.512% 8/1/33 (f) | $ 29,016 | $ 29,006 | ||
5.566% 1/1/36 (f) | 478,857 | 476,530 | ||
6% 2/1/17 to 5/1/33 | 1,205,943 | 1,210,777 | ||
6% 8/1/36 (e) | 9,946,113 | 9,890,116 | ||
6% 8/14/36 (e) | 30,000,000 | 29,831,100 | ||
TOTAL FREDDIE MAC | 49,190,365 | |||
Government National Mortgage Association - 0.0% | ||||
5.5% 5/15/32 to 5/15/34 | 1,035,944 | 1,016,027 | ||
7% 7/15/31 to 12/15/32 | 93,683 | 96,853 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 1,112,880 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $534,690,679) | 536,498,527 | |||
Asset-Backed Securities - 3.6% | ||||
ACE Securities Corp.: | ||||
Series 2004-HE1: | ||||
Class M1, 5.885% 2/25/34 (f) | 125,000 | 125,288 | ||
Class M2, 6.485% 2/25/34 (f) | 125,000 | 125,984 | ||
Series 2005-SD1 Class A1, 5.785% 11/25/50 (f) | 74,537 | 74,644 | ||
Aircraft Lease Securitization Ltd. Series 2005-1 | 191,473 | 194,824 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2004-1 Class D, 5.07% 7/6/10 | 290,000 | 286,772 | ||
Series 2006-1: | ||||
Class A3, 5.11% 10/6/10 | 17,000 | 16,899 | ||
Class B1, 5.2% 3/6/11 | 50,000 | 49,611 | ||
Class C1, 5.28% 11/6/11 | 315,000 | 312,523 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2004-R2: | ||||
Class M1, 5.815% 4/25/34 (f) | 65,000 | 64,999 | ||
Class M2, 5.865% 4/25/34 (f) | 50,000 | 49,999 | ||
Series 2004-R8 Class M9, 8.135% 9/25/34 (f) | 725,000 | 730,654 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2003-HE7 Class A3, 5.7288% 12/15/33 (f) | 13,926 | 13,970 | ||
Series 2004-HE2 Class M1, 5.935% 4/25/34 (f) | 375,000 | 378,103 | ||
Bank One Issuance Trust: | ||||
Series 2002-C1 Class C1, 6.3288% 12/15/09 (f) | 425,000 | 427,177 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Bank One Issuance Trust: - continued | ||||
Series 2004-B2 Class B2, 4.37% 4/15/12 | $ 6,400,000 | $ 6,210,630 | ||
Capital Auto Receivables Asset Trust Series 2006-1: | ||||
Class A3, 5.03% 10/15/09 | 170,000 | 168,926 | ||
Class B, 5.26% 10/15/10 | 160,000 | 158,620 | ||
Class C, 5.55% 1/18/11 | 1,500,000 | 1,486,353 | ||
Class D, 7.16% 1/15/13 (d) | 160,000 | 158,888 | ||
Capital One Multi-Asset Execution Trust Series 2004-6 Class B, 4.15% 7/16/12 | 5,130,000 | 4,941,881 | ||
Capmark VII Ltd. Series 2006-7A Class H, 6.9391% 8/20/36 (d)(e)(f) | 500,000 | 500,000 | ||
Cendant Timeshare Receivables Funding LLC | 193,854 | 190,058 | ||
Chase Credit Card Owner Trust Series 2004-1 Class B, 5.5688% 5/15/09 (f) | 220,000 | 219,997 | ||
CIT Equipment Collateral Trust Series 2006-VT1 Class A3, 5.13% 12/21/08 | 550,000 | 547,905 | ||
Citibank Credit Card Issuance Trust: | ||||
Series 2005-B1 Class B1, 4.4% 9/15/10 | 238,000 | 232,734 | ||
Series 2006-B2 Class B2, 5.15% 3/7/11 | 385,000 | 381,741 | ||
CNH Equipment Trust Series 2006-A: | ||||
Class A3, 5.2% 8/16/10 | 415,000 | 413,893 | ||
Class A4, 5.27% 9/15/11 | 8,420,000 | 8,391,015 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 5.885% 5/25/34 (f) | 410,000 | 411,590 | ||
Series 2004-3 Class M1, 5.885% 6/25/34 (f) | 75,000 | 75,368 | ||
Series 2005-1: | ||||
Class MV1, 5.785% 7/25/35 (f) | 185,000 | 185,618 | ||
Class MV2, 5.825% 7/25/35 (f) | 220,000 | 220,912 | ||
Series 2005-3 Class MV1, 5.805% 8/25/35 (f) | 4,750,000 | 4,764,631 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A: | ||||
Class B, 4.878% 6/15/35 (d) | 309,000 | 301,002 | ||
Class C, 5.074% 6/15/35 (d) | 281,000 | 274,321 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (d) | 235,000 | 237,821 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 5.935% 3/25/34 (f) | 25,000 | 25,062 | ||
Class M4, 6.285% 3/25/34 (f) | 25,000 | 25,140 | ||
Ford Credit Auto Owner Trust Series 2006-A Class A3, 5.05% 11/15/09 | 400,000 | 397,744 | ||
Fremont Home Loan Trust Series 2004-A: | ||||
Class M1, 5.935% 1/25/34 (f) | 225,000 | 225,921 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Fremont Home Loan Trust Series 2004-A: - continued | ||||
Class M2, 6.535% 1/25/34 (f) | $ 250,098 | $ 251,470 | ||
GSAMP Trust Series 2004-FM2 Class M1, 5.885% 1/25/34 (f) | 249,683 | 249,679 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 6.265% 8/25/33 (f) | 20,726 | 20,768 | ||
Series 2003-4 Class M1, 6.185% 10/25/33 (f) | 22,730 | 22,801 | ||
Series 2004-3 Class M2, 6.585% 8/25/34 (f) | 120,000 | 121,613 | ||
HSBC Home Equity Loan Trust Series 2005-2: | ||||
Class M1, 5.8381% 1/20/35 (f) | 110,514 | 110,760 | ||
Class M2, 5.8681% 1/20/35 (f) | 83,632 | 83,928 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2004-1 Class A4, 5.26% 11/15/12 | 8,435,000 | 8,396,546 | ||
Series 2006-1: | ||||
Class A3, 5.13% 6/15/10 | 125,000 | 124,512 | ||
Class B, 5.29% 11/15/12 | 55,000 | 54,765 | ||
Class C, 5.34% 11/15/12 | 70,000 | 69,732 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 7.1856% 4/6/46 (d)(f) | 422,952 | 424,009 | ||
Long Beach Mortgage Loan Trust Series 2006-6 | 150,000 | 150,000 | ||
MBNA Credit Card Master Note Trust: | ||||
Series 2001-B2 Class B2, 5.7288% 1/15/09 (f) | 24,500,000 | 24,497,572 | ||
Series 2003-B2 Class B2, 5.7588% 10/15/10 (f) | 80,000 | 80,427 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.885% 7/25/34 (f) | 100,000 | 100,202 | ||
Class M2, 5.935% 7/25/34 (f) | 25,000 | 25,058 | ||
Class M3, 6.335% 7/25/34 (f) | 50,000 | 50,298 | ||
Class M4, 6.485% 7/25/34 (f) | 25,000 | 25,157 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 6.485% 12/27/32 (f) | 90,000 | 90,805 | ||
Series 2003-NC8 Class M1, 6.085% 9/25/33 (f) | 34,998 | 35,121 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 6.885% 1/25/32 (f) | 19,779 | 19,798 | ||
Series 2002-NC1 Class M1, 6.585% 2/25/32 (d)(f) | 138,907 | 142,747 | ||
Series 2002-NC3 Class M1, 6.105% 8/25/32 (f) | 75,000 | 75,093 | ||
National Collegiate Funding LLC Series 2004-GT1 | 455,000 | 125,445 | ||
National Collegiate Student Loan Trust Series 2005-GT1 Class AIO, 6.75% 12/25/09 (h) | 250,000 | 52,256 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 5.835% 6/25/34 (f) | 73,135 | 73,490 | ||
Class M4, 6.36% 6/25/34 (f) | 125,000 | 126,010 | ||
Asset-Backed Securities - continued | ||||
Principal | Value | |||
Ownit Mortgage Loan Asset-Backed Certificates | $ 3,955,513 | $ 3,955,911 | ||
Park Place Securities, Inc. Series 2005-WCH1: | ||||
Class M2, 5.905% 1/25/35 (f) | 225,000 | 226,237 | ||
Class M4, 6.215% 1/25/35 (f) | 750,000 | 756,199 | ||
Providian Master Note Trust Series 2006-B1A Class B1, 5.35% 3/15/13 (d) | 745,000 | 741,246 | ||
SBA CMBS Trust Series 2005-1A Class C, 5.731% 11/15/35 (d) | 500,000 | 496,554 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.2794% 6/15/33 (f) | 260,000 | 263,123 | ||
Structured Asset Securities Corp. Series 2006-BC1 | 100,000 | 87,555 | ||
Superior Wholesale Inventory Financing Trust VII | 4,670,000 | 4,670,000 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 970,000 | 954,132 | ||
WFS Financial Owner Trust Series 2004-3 Class D, 4.07% 2/17/12 | 167,589 | 165,401 | ||
World Omni Auto Receivables Trust Series 2006-A | 380,000 | 377,868 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $82,159,206) | 82,293,506 | |||
Collateralized Mortgage Obligations - 3.2% | ||||
Private Sponsor - 2.3% | ||||
Adjustable Rate Mortgage Trust floater: | ||||
Series 2005-1 Class 5A2, 5.715% 5/25/35 (f) | 164,353 | 163,906 | ||
Series 2005-2 Class 6A2, 5.665% 6/25/35 (f) | 67,233 | 67,338 | ||
Bank of America Mortgage Securities, Inc.: | ||||
Series 2003-K: | ||||
Class 1A1, 3.373% 12/25/33 (f) | 105,368 | 106,032 | ||
Class 2A1, 4.164% 12/25/33 (f) | 234,112 | 229,081 | ||
Series 2004-B: | ||||
Class 1A1, 3.4304% 3/25/34 (f) | 370,723 | 374,184 | ||
Class 2A2, 4.106% 3/25/34 (f) | 165,695 | 160,977 | ||
Series 2004-C Class 1A1, 3.351% 4/25/34 (f) | 262,171 | 263,529 | ||
Series 2004-D: | ||||
Class 1A1, 3.5315% 5/25/34 (f) | 336,928 | 333,799 | ||
Class 2A2, 4.1994% 5/25/34 (f) | 492,122 | 478,960 | ||
Series 2004-G Class 2A7, 4.5637% 8/25/34 (f) | 486,235 | 475,791 | ||
Series 2004-H Class 2A1, 4.4722% 9/25/34 (f) | 429,234 | 419,083 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
Private Sponsor - continued | ||||
Bank of America Mortgage Securities, Inc.: - continued | ||||
Series 2005-E Class 2A7, 4.6123% 6/25/35 (f) | $ 435,000 | $ 418,970 | ||
Bear Stearns Alt-A Trust floater Series 2005-1 Class A1, 5.665% 1/25/35 (f) | 9,141,095 | 9,155,999 | ||
Countrywide Alternative Loan Trust Series 2006-OC5N Class N, 7.25% 7/25/37 (d) | 185,688 | 185,140 | ||
CS First Boston Mortgage Securities Corp.: | ||||
floater: | ||||
Series 2004-AR3 Class 6A2, 5.755% 4/25/34 (f) | 40,257 | 40,288 | ||
Series 2004-AR6 Class 9A2, 5.755% 10/25/34 (f) | 84,799 | 84,951 | ||
Series 2004-3 Class DB4, 5.8436% 4/25/34 (f) | 120,655 | 71,186 | ||
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (d) | 180,213 | 148,028 | ||
Granite Master Issuer PLC floater Series 2006-1A | 400,000 | 399,924 | ||
Granite Mortgages PLC floater Series 2004-2 Class 1C, 6.1138% 6/20/44 (f) | 31,787 | 31,819 | ||
JPMorgan Mortgage Trust Series 2005-A8 Class 2A3, 4.9596% 11/25/35 (f) | 125,000 | 122,471 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.7838% 9/26/45 (d)(f) | 410,408 | 411,049 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 57,781 | 56,805 | ||
Master Asset Securitization Trust Series 2004-9 | 387,990 | 386,883 | ||
Master Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.236% 8/25/17 (f) | 276,421 | 279,262 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2005-B Class A2, 5.5475% 7/25/30 (f) | 308,500 | 308,558 | ||
Series 2003-E Class XA1, 0.9453% 10/25/28 (f)(h) | 832,043 | 6,322 | ||
Series 2003-G Class XA1, 1% 1/25/29 (h) | 1,172,179 | 9,113 | ||
Series 2003-H Class XA1, 1% 1/25/29 (d)(h) | 938,232 | 8,394 | ||
Opteum Mortgage Acceptance Corp. floater | 272,047 | 272,345 | ||
Residential Asset Mortgage Products, Inc. sequential pay: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | 358,380 | 359,625 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 44,990 | 45,371 | ||
Residential Finance LP/Residential Finance Development Corp. floater: | ||||
Series 2003-CB1: | ||||
Class B3, 6.795% 6/10/35 (d)(f) | 42,514 | 43,261 | ||
Class B4, 6.995% 6/10/35 (d)(f) | 37,790 | 38,510 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
Private Sponsor - continued | ||||
Residential Finance LP/Residential Finance Development Corp. floater: - continued | ||||
Class B5, 7.595% 6/10/35 (d)(f) | $ 28,343 | $ 28,988 | ||
Class B6, 8.095% 6/10/35 (d)(f) | 14,171 | 14,388 | ||
Series 2004-B: | ||||
Class B4, 6.445% 2/10/36 (d)(f) | 96,695 | 98,536 | ||
Class B5, 6.895% 2/10/36 (d)(f) | 96,695 | 97,766 | ||
Class B6, 7.345% 2/10/36 (d)(f) | 96,695 | 97,492 | ||
Series 2004-C: | ||||
Class B4, 6.295% 9/10/36 (f) | 97,427 | 98,429 | ||
Class B5, 6.695% 9/10/36 (f) | 97,427 | 98,203 | ||
Class B6, 7.095% 9/10/36 (f) | 97,427 | 98,198 | ||
Sequoia Mortgage Funding Trust Series 2003-A | 1,817,505 | 6,293 | ||
Sequoia Mortgage Trust floater Series 2005-2 Class A2, 5.19% 3/20/35 (f) | 250,013 | 249,723 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2001-14 Class A1, 5.695% 7/25/35 (f) | 793,481 | 796,652 | ||
Structured Asset Securities Corp. floater Series 2005-AR1 Class B1, 7.385% 9/25/35 (d)(f) | 530,000 | 454,475 | ||
Thornburg Mortgage Securities Trust floater | 8,132,967 | 8,119,457 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B | 100,000 | 98,353 | ||
WaMu Mortgage pass thru certificates floater | 6,385,815 | 6,386,462 | ||
Washington Mutual Mortgage Securities Corp. sequential pay: | ||||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | 42,599 | 43,674 | ||
Series 2004-RA2 Class 2A, 7% 7/25/33 | 80,545 | 81,552 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-T Class A1, 3.4552% 9/25/34 (f) | 411,313 | 414,572 | ||
Series 2005-AR10 Class 2A2, 4.1096% 6/25/35 (f) | 815,634 | 798,359 | ||
Series 2005-AR12 Class 2A6, 4.3193% 7/25/35 (f) | 769,862 | 750,959 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 9,651,328 | 9,417,247 | ||
Series 2005-AR9 Class 2A1, 4.3622% 5/25/35 (f) | 317,601 | 313,240 | ||
Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (f) | 9,080,000 | 8,962,650 | ||
TOTAL PRIVATE SPONSOR | 53,482,622 | |||
Collateralized Mortgage Obligations - continued | ||||
Principal | Value | |||
U.S. Government Agency - 0.9% | ||||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class Series 2004-81 Class KC, 4.5% 4/25/17 | $ 1,490,000 | $ 1,436,257 | ||
sequential pay: | ||||
Series 2004-3 Class BA, 4% 7/25/17 | 33,488 | 32,020 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 219,055 | 210,030 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 441,659 | 426,644 | ||
Freddie Mac planned amortization class Series 3033 Class UD, 5.5% 10/15/30 | 310,000 | 307,190 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2760 Class EB, 4.5% 9/15/16 | 8,662,000 | 8,330,286 | ||
Series 2773 Class EG, 4.5% 4/15/19 | 7,400,000 | 6,814,181 | ||
Series 2952 Class EC, 5.5% 11/15/28 | 915,000 | 906,971 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 495,000 | 490,329 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 780,000 | 772,824 | ||
sequential pay: | ||||
Series 2675 Class CB, 4% 5/15/16 | 635,192 | 611,875 | ||
Series 2683 Class JA, 4% 10/15/16 | 647,917 | 622,822 | ||
Series 2750 Class ZT, 5% 2/15/34 | 411,776 | 348,500 | ||
TOTAL U.S. GOVERNMENT AGENCY | 21,309,929 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $74,794,956) | 74,792,551 | |||
Commercial Mortgage Securities - 4.0% | ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A2, 7.0816% 2/14/43 (f) | 360,000 | 381,734 | ||
Class A3, 7.1316% 2/14/43 (f) | 385,000 | 396,911 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
Series 2005-1 Class A3, 4.877% 11/10/42 | 2,865,000 | 2,809,200 | ||
Series 2005-3 Series A3B, 5.09% 7/10/43 (f) | 8,590,000 | 8,358,641 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class C, 5.8388% 11/15/15 (d)(f) | 50,000 | 50,104 | ||
Class D, 5.9188% 11/15/15 (d)(f) | 80,000 | 80,187 | ||
Class F, 6.2688% 11/15/15 (d)(f) | 60,000 | 60,143 | ||
Class H, 6.7688% 11/15/15 (d)(f) | 50,000 | 50,137 | ||
Class J, 7.3188% 11/15/15 (d)(f) | 55,000 | 55,153 | ||
Class K, 7.9688% 11/15/15 (d)(f) | 50,000 | 49,931 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
Banc of America Large Loan, Inc.: - continued | ||||
floater: | ||||
Series 2005-BOCA: | ||||
Class D, 5.6988% 12/15/16 (d)(f) | $ 110,000 | $ 110,015 | ||
Class E, 5.7888% 12/15/16 (d)(f) | 100,000 | 100,016 | ||
Class F, 5.8688% 12/15/16 (d)(f) | 110,000 | 110,015 | ||
Class H, 6.3188% 12/15/16 (d)(f) | 120,000 | 120,043 | ||
Class K, 6.7188% 12/15/16 (d)(f) | 105,000 | 105,038 | ||
Series 2005-ESHA: | ||||
Class E, 5.9388% 7/14/20 (d)(f) | 190,000 | 190,778 | ||
Class F, 6.1088% 7/14/20 (d)(f) | 110,000 | 110,470 | ||
Class G, 6.2388% 7/14/20 (d)(f) | 100,000 | 100,427 | ||
Class H, 6.4588% 7/14/20 (d)(f) | 100,000 | 100,389 | ||
Series 2006-ESH: | ||||
Class A, 6.2288% 7/14/11 (d)(f) | 212,580 | 212,185 | ||
Class B, 6.3288% 7/14/11 (d)(f) | 106,007 | 105,712 | ||
Class C, 6.4788% 7/14/11 (d)(f) | 212,297 | 211,551 | ||
Class D, 7.1088% 7/14/11 (d)(f) | 123,385 | 123,025 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2004-1 Class A, 5.745% 4/25/34 (d)(f) | 255,714 | 256,353 | ||
Series 2004-2 Class A, 5.815% 8/25/34 (d)(f) | 298,088 | 299,206 | ||
Series 2004-3: | ||||
Class A1, 5.755% 1/25/35 (d)(f) | 283,473 | 284,359 | ||
Class A2, 5.805% 1/25/35 (d)(f) | 40,496 | 40,572 | ||
Class M1, 5.885% 1/25/35 (d)(f) | 40,496 | 40,724 | ||
Class M2, 6.385% 1/25/35 (d)(f) | 40,496 | 40,990 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (d)(h) | 2,814,375 | 153,203 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
sequential pay Series 2004-ESA Class A3, 4.741% 5/14/16 (d) | 180,000 | 177,323 | ||
Series 2004-ESA: | ||||
Class B, 4.888% 5/14/16 (d) | 325,000 | 320,584 | ||
Class C, 4.937% 5/14/16 (d) | 205,000 | 202,474 | ||
Class D, 4.986% 5/14/16 (d) | 75,000 | 74,171 | ||
Class E, 5.064% 5/14/16 (d) | 230,000 | 228,151 | ||
Class F, 5.182% 5/14/16 (d) | 55,000 | 54,573 | ||
COMM floater Series 2002-FL7 Class D, 5.9388% 11/15/14 (d)(f) | 28,571 | 28,587 | ||
Commercial Mortgage pass thru certificates sequential pay Series 2006-CN2A Class A2FX, 5.449% 2/5/19 (d) | 2,035,000 | 2,024,632 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
Commercial Mortgage Pass-Through Certificates sequential pay Series 2005-C6 Class A2, 4.999% 6/10/44 (f) | $ 940,000 | $ 925,488 | ||
CS First Boston Mortgage Securities Corp. sequential pay Series 2004-C1 Class A4, 4.75% 1/15/37 | 695,000 | 655,208 | ||
DLJ Commercial Mortgage Corp. sequential pay | 8,000,000 | 8,540,335 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential pay Series 2002-35 Class C, 5.8831% 10/16/23 (f) | 18,488 | 18,706 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay: | ||||
Series 2003-22 Class B, 3.963% 5/16/32 | 60,000 | 56,982 | ||
Series 2003-47 Class C, 4.227% 10/16/27 | 5,987,142 | 5,785,050 | ||
Series 2003-59 Class D, 3.654% 10/16/27 | 115,000 | 106,219 | ||
Series 2003-47 Class XA, 0.1793% 6/16/43 (f)(h) | 5,401,685 | 295,595 | ||
Global Signal Trust III Series 2006-1 Class F, 7.036% 2/15/36 (d) | 200,000 | 201,594 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential pay Series 2004-GG1 Class A4, 4.755% 6/10/36 | 1,195,000 | 1,168,711 | ||
Series 2006-GG7 Class A3, 6.1101% 7/10/38 | 2,860,000 | 2,913,863 | ||
GS Mortgage Securities Corp. II: | ||||
sequential pay Series 2003-C1 Class A2A, 3.59% 1/10/40 | 65,000 | 63,403 | ||
Series 2006-FL8 Class J, 7.12% 6/6/20 (d)(f) | 250,000 | 250,000 | ||
Series 2006-GG6 Class A2, 5.506% 4/10/38 (f) | 9,400,000 | 9,388,548 | ||
Series 2006-RR2: | ||||
Class M, 5.8158% 6/1/46 (f) | 100,000 | 75,645 | ||
Class N, 5.8158% 6/1/46 (f) | 100,000 | 69,094 | ||
Guggenheim Structure Real Estate Funding Ltd. | 250,000 | 250,000 | ||
Hilton Hotel Pool Trust Series 2000-HLTA Class D, 7.555% 10/3/15 (d) | 370,000 | 389,894 | ||
Host Marriott Pool Trust sequential pay Series 1999-HMTA Class D, 7.97% 8/3/15 (d) | 110,000 | 117,072 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential pay: | ||||
Series 2006-CB14 Class A3B, 5.6711% 12/12/44 (f) | 2,790,000 | 2,766,678 | ||
Series 2006-CB15 Class A3, 5.819% 6/12/43 (f) | 1,305,000 | 1,316,136 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2005-C3 Class A2, 4.553% 7/15/30 | 1,295,000 | 1,256,179 | ||
Series 2006-C1 Class A2, 5.084% 2/15/31 | 1,152,000 | 1,133,662 | ||
Commercial Mortgage Securities - continued | ||||
Principal | Value | |||
LB-UBS Commercial Mortgage Trust: - continued | ||||
Series 2000-C5 Class E, 7.29% 12/15/32 | $ 700,000 | $ 740,264 | ||
Series 2001-C3 Class B, 6.512% 6/15/36 | 295,000 | 307,512 | ||
Leafs CMBS I Ltd./Leafs CMBS I Corp. Series 2002-1A Class C, 4.13% 11/20/37 (d) | 6,600,000 | 5,812,349 | ||
Merrill Lynch Mortgage Trust sequential pay | 1,580,000 | 1,527,544 | ||
Morgan Stanley Capital I Trust Series 2006-T23 | 1,140,000 | 1,148,706 | ||
Morgan Stanley Capital I, Inc. Series 2005-IQ9 | 3,835,065 | 158,933 | ||
Mortgage Capital Funding, Inc. sequential pay | 269,743 | 272,433 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (d) | 353,175 | 436,982 | ||
Thirteen Affiliates of General Growth Properties, Inc. sequential pay Series 1 Class A2, 6.602% 11/15/07 (d) | 7,000,000 | 7,088,171 | ||
Trizechahn Office Properties Trust Series 2001-TZHA: | ||||
Class C3, 6.522% 3/15/13 (d) | 13,634 | 13,766 | ||
Class C4, 6.893% 5/15/16 (d) | 500,000 | 523,539 | ||
Class E3, 7.253% 3/15/13 (d) | 127,278 | 129,906 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
sequential pay: | ||||
Series 2003-C8 Class A3, 4.445% 11/15/35 | 785,000 | 754,477 | ||
Series 2006-C24 Class A2, 5.506% 3/15/45 | 16,615,000 | 16,576,347 | ||
Series 2004-C15: | ||||
Class 180A, 5.5782% 10/15/41 (d)(f) | 1,000,000 | 965,720 | ||
Class 180B, 5.5782% 10/15/41 (d)(f) | 500,000 | 486,790 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $92,677,210) | 92,905,208 | |||
Foreign Government and Government Agency Obligations - 2.2% | ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 1,309,410 | 1,227,572 | ||
4.889% 8/3/12 (f) | 1,563,750 | 1,451,160 | ||
7% 3/28/11 | 905,000 | 860,831 | ||
Brazilian Federative Republic: | ||||
8% 1/15/18 | 491,000 | 531,999 | ||
8.75% 2/4/25 | 275,000 | 317,213 | ||
10.5% 7/14/14 | 155,000 | 191,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
Brazilian Federative Republic: - continued | ||||
11% 8/17/40 | $ 1,400,000 | $ 1,798,300 | ||
12.25% 3/6/30 | 580,000 | 900,450 | ||
12.75% 1/15/20 | 290,000 | 430,650 | ||
Central Bank of Nigeria: | ||||
Brady 6.25% 11/15/20 | 500,000 | 497,500 | ||
promissory note 5.092% 1/5/10 | 279,236 | 269,415 | ||
City of Kiev 8.75% 8/8/08 | 100,000 | 102,750 | ||
Colombian Republic 11.75% 2/25/20 | 200,000 | 275,500 | ||
Dominican Republic: | ||||
Brady 5.7925% 8/30/09 (f) | 90,408 | 90,046 | ||
6.1875% 8/30/24 (f) | 1,250,000 | 1,196,875 | ||
9.5% 9/27/11 | 691,684 | 741,831 | ||
Ecuador Republic: | ||||
9% 8/15/30 (Reg. S) (c) | 1,105,000 | 1,118,813 | ||
9.375% 12/15/15 (d) | 800,000 | 836,000 | ||
euro par 5% 2/28/25 | 153,000 | 113,794 | ||
Indonesian Republic: | ||||
6.75% 3/10/14 | 950,000 | 947,625 | ||
7.25% 4/20/15 (d) | 60,000 | 61,578 | ||
7.25% 4/20/15 | 275,000 | 282,233 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (d) | 200,000 | 186,000 | ||
Israeli State 4.625% 6/15/13 | 20,000 | 18,618 | ||
Lebanon, Republic of: | ||||
8.5669% 11/30/09 (d)(f) | 105,000 | 103,163 | ||
8.5669% 11/30/09 (f) | 1,150,000 | 1,129,875 | ||
Pakistan International Sukuk Co. Ltd. 7.76% 1/27/10 (f) | 400,000 | 404,500 | ||
Peruvian Republic: | ||||
5.875% 3/7/27 (f) | 40,000 | 39,400 | ||
7.35% 7/21/25 | 575,000 | 585,638 | ||
euro Brady past due interest 5% 3/7/17 (f) | 1,177,100 | 1,153,558 | ||
Philippine Republic: | ||||
5.3203% 12/1/09 (f) | 23,800 | 23,443 | ||
8.25% 1/15/14 | 1,105,000 | 1,181,024 | ||
8.375% 2/15/11 | 660,000 | 702,108 | ||
8.875% 3/17/15 | 150,000 | 167,250 | ||
9% 2/15/13 | 630,000 | 698,544 | ||
9.875% 1/15/19 | 845,000 | 1,002,424 | ||
10.625% 3/16/25 | 665,000 | 852,065 | ||
Republic of Iraq 5.8% 1/15/28 (d) | 500,000 | 335,000 | ||
Russian Federation: | ||||
5% 3/31/30 (Reg. S) (c) | 3,177,000 | 3,456,973 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal | Value | |||
Russian Federation: - continued | ||||
12.75% 6/24/28 (Reg. S) | $ 590,000 | $ 1,023,650 | ||
State of Qatar 9.75% 6/15/30 (Reg. S) | 75,000 | 105,750 | ||
Turkish Republic: | ||||
11% 1/14/13 | 135,000 | 159,975 | ||
11.5% 1/23/12 | 200,000 | 238,500 | ||
11.75% 6/15/10 | 2,255,000 | 2,610,163 | ||
11.875% 1/15/30 | 1,320,000 | 1,920,600 | ||
Ukraine Government: | ||||
(Reg. S) 6.875% 3/4/11 | 575,000 | 572,125 | ||
8.235% 8/5/09 (f) | 1,050,000 | 1,106,490 | ||
United Mexican States: | ||||
5.875% 1/15/14 | 6,610,000 | 6,600,085 | ||
6.75% 9/27/34 | 3,790,000 | 3,865,800 | ||
7.5% 1/14/12 | 100,000 | 107,800 | ||
7.5% 4/8/33 | 605,000 | 671,550 | ||
8.3% 8/15/31 | 665,000 | 800,660 | ||
11.5% 5/15/26 | 50,000 | 76,625 | ||
Uruguay Republic: | ||||
7.5% 3/15/15 | 250,000 | 254,125 | ||
8% 11/18/22 | 135,000 | 135,338 | ||
Venezuelan Republic: | ||||
5.375% 8/7/10 | 265,000 | 255,460 | ||
6% 12/9/20 | 220,000 | 198,000 | ||
6.5106% 4/20/11 (f) | 820,000 | 822,050 | ||
7% 12/1/18 (Reg. S) | 220,000 | 218,900 | ||
7.65% 4/21/25 | 350,000 | 368,900 | ||
9.25% 9/15/27 | 325,000 | 401,538 | ||
10.75% 9/19/13 | 590,000 | 717,440 | ||
13.625% 8/15/18 | 548,000 | 811,040 | ||
euro Brady FLIRB B 5.985% 3/31/07 (f) | 23,805 | 23,805 | ||
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (c) | 90,000 | 71,100 | ||
TOTAL FOREIGN GOVERNMENT AND (Cost $48,637,957) | 50,421,000 | |||
Supranational Obligations - 0.1% | ||||
Corporacion Andina de Fomento 6.875% 3/15/12 | 910,000 | 953,277 | ||
Floating Rate Loans - 0.0% | ||||
Principal | Value | |||
CONSUMER DISCRETIONARY - 0.0% | ||||
Specialty Retail - 0.0% | ||||
Toys 'R' US, Inc. term loan 8.3463% 12/9/08 (f) | $ 250,000 | $ 248,438 | ||
INDUSTRIALS - 0.0% | ||||
Airlines - 0.0% | ||||
Delta Air Lines, Inc. Tranche C, term loan 12.7725% 3/16/08 (f) | 300,000 | 308,250 | ||
TOTAL FLOATING RATE LOANS (Cost $554,345) | 556,688 | |||
Sovereign Loan Participations - 0.0% | ||||
Indonesian Republic loan participation: | ||||
- Credit Suisse First Boston 6.375% 3/28/13 (f) | 109,785 | 106,492 | ||
- Deutsche Bank 6.375% 3/28/13 (f) | 12,922 | 12,534 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $107,424) | 119,026 |
Fixed-Income Funds - 20.7% | |||
Shares | |||
Fidelity Floating Rate Central Investment Portfolio (g) | 667,453 | 66,892,140 | |
Fidelity Ultra-Short Central Fund (g) | 4,161,697 | 414,005,618 | |
TOTAL FIXED-INCOME FUNDS (Cost $480,930,605) | 480,897,758 | ||
Preferred Securities - 0.3% | |||
Principal | |||
FINANCIALS - 0.3% | |||
Diversified Financial Services - 0.3% | |||
MUFG Capital Finance 1 Ltd. 6.346% (f) | $ 6,805,000 | 6,663,086 | |
TOTAL PREFERRED SECURITIES (Cost $6,760,122) | 6,663,086 | ||
Cash Equivalents - 7.2% | |||
Maturity | Value | ||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations) in a joint trading account at 5.3%, dated 7/31/06 due 8/1/06 | $ 166,817,541 | $ 166,793,000 | |
TOTAL INVESTMENT PORTFOLIO - 109.5% (Cost $2,528,862,776) | 2,540,243,441 | ||
NET OTHER ASSETS - (9.5)% | (219,929,045) | ||
NET ASSETS - 100% | $ 2,320,314,396 |
Swap Agreements | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley default event of Morgan Stanley ABS Capital I, Inc., par value of the proportional notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.885% 8/25/34 | Sept. 2034 | $ 134,000 | $ 2,985 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7 Class B3, 7.6913% 7/25/34 | August 2034 | 134,000 | 2,808 | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 134,000 | 3,162 | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 134,000 | 1,070 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | $ 134,000 | $ 883 | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 134,000 | 1,166 | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 100,000 | 27 | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 134,000 | 249 | ||
Receive monthly notional amount multiplied by 2.39% and pay UBS upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.73% 2/25/34 | March 2034 | 482,000 | 1,141 | ||
Receive monthly notional amount multiplied by 2.4% and pay Deutsche Bank upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.2288% 1/25/34 | Feb. 2034 | 139,680 | 185 | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 16,887 | 80 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | $ 134,000 | $ 1,601 | ||
Receive quarterly notional amount multiplied by .30% and pay Goldman Sachs upon default event of Entergy Corp., par value of the notional amount of Entergy Corp. 7.75% 12/15/09 | March 2008 | 485,000 | 665 | ||
Receive quarterly notional amount multiplied by .35% and pay Goldman Sachs upon default event of Southern California Edison Co., par value of the notional amount of Southern California Edison Co. 7.625% 1/15/10 | Sept. 2010 | 400,000 | 1,352 | ||
Receive quarterly notional amount multiplied by .37% and pay Goldman Sachs upon default event of Pacific Gas & Electric Co., par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 400,000 | 1,436 | ||
Receive quarterly notional amount multiplied by .37% and pay Morgan Stanley, Inc. upon default event of Pacific Gas & Electric Co. par value of the notional amount of Pacific Gas & Electric Co. 4.8% 3/1/14 | March 2011 | 600,000 | 2,154 | ||
Receive semi-annually notional amount multiplied by .5% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 420,000 | 1,109 | ||
Receive semi-annually notional amount multiplied by .5% and pay Deutsche Bank upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2008 | 760,000 | 1,938 | ||
Receive semi-annually notional amount multiplied by .56% and pay JPMorgan Chase, Inc. upon default of United Mexican States, par value of the notional amount of United Mexican States 7.5% 4/8/33 | August 2011 | 2,000,000 | 1,140 | ||
TOTAL CREDIT DEFAULT SWAPS | 6,875,567 | 25,151 | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | $ 1,250,000 | $ (40,650) | ||
Receive quarterly a fixed rate equal to 4.774% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2015 | 1,250,000 | (60,975) | ||
Receive quarterly a fixed rate equal to 4.898% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | July 2014 | 1,135,000 | (41,757) | ||
Receive semi-annually a fixed rate equal to 4.7515% and pay quarterly a floating rate based on 3-month LIBOR with UBS | Jan. 2009 | 15,000,000 | (226,650) | ||
Receive semi-annually a fixed rate equal to 5.276% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2011 | 20,000,000 | 142,400 | ||
Receive semi-annually a fixed rate equal to 5.375% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | April 2009 | 30,000,000 | 387,900 | ||
Receive semi-annually a fixed rate equal to 5.636% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2009 | 100,000,000 | 676,000 | ||
Receive semi-annually a fixed rate equal to 5.6485% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | July 2010 | 100,000,000 | 881,000 | ||
TOTAL INTEREST RATE SWAPS | 268,635,000 | 1,717,268 | |||
Total Return Swaps | |||||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR minus 25 basis points with Citibank | Oct. 2006 | 10,000,000 | 136,870 | ||
Receive monthly a return equal to Lehman Brothers CMBS AAA 8.5+ Index and pay monthly a floating rate based on 1-month LIBOR with Citibank | Sept. 2006 | 1,000,000 | 13,472 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps - continued | |||||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 20 basis points with Lehman Brothers | Jan. 2007 | $ 40,000,000 | $ 283,208 | ||
Receive quarterly a return equal to Banc of America Securities LLC AAA 10 Yr Mortgage Backed Securities Daily Index and pay quarterly a floating rate based on 3-month LIBOR minus 15 basis points with Bank of America | August 2006 | 2,000,000 | 12,212 | ||
TOTAL TOTAL RETURN SWAPS | 53,000,000 | 445,762 | |||
$ 328,510,567 | $ 2,188,181 |
Legend |
(a) Non-income producing - Issuer is in default. |
(b) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(c) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(d) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $99,105,199 or 4.3% of net assets. |
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(f) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(g) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each fixed-income central fund, as of the investing fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the fixed-income central fund's financial statements, which are not covered by the investing fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages. Principal shown is the par amount of the mortgage pool. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the fund from the affiliated Central funds is as follows: |
Fund | Income earned |
Fidelity Floating Rate Central Investment Portfolio | $ 1,174,909 |
Fidelity Ultra-Short Central Fund | 3,848,914 |
Total | $ 5,023,823 |
Additional information regarding the fund's fiscal year to date purchases and sales, including the ownership percentage, of the following fixed income Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity Floating Rate Central Investment Portfolio | $ - | $ 66,983,961 | $ - | $ 66,892,140 | 4.9% |
Fidelity Ultra-Short Central Fund | 54,002,121 | 384,961,270 | 25,002,507 | 414,005,618 | 5.4% |
Total | $ 54,002,121 | $ 451,945,231 | $ 25,002,507 | $ 480,897,758 |
Income Tax Information |
At July 31, 2006, the fund had a capital loss carryforward of approximately $401,905 all of which will expire on July 31, 2014. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
July 31, 2006 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $166,793,000) - Unaffiliated issuers (cost $2,047,932,171) | $ 2,059,345,683 | |
Affiliated Central Funds (cost $480,930,605) | 480,897,758 | |
Total Investments (cost $2,528,862,776) | $ 2,540,243,441 | |
Receivable for investments sold | 803,521 | |
Receivable for swap agreements | 3,461 | |
Receivable for fund shares sold | 4,470,762 | |
Interest receivable | 16,835,714 | |
Swap agreements, at value | 2,188,181 | |
Other receivables | 180 | |
Total assets | 2,564,545,260 | |
Liabilities | ||
Payable to custodian bank | $ 1,524 | |
Payable for investments purchased | 3,816,270 | |
Delayed delivery | 237,839,445 | |
Payable for fund shares redeemed | 1,225,184 | |
Distributions payable | 435,106 | |
Accrued management fee | 607,086 | |
Distribution fees payable | 3,986 | |
Other affiliated payables | 246,657 | |
Other payables and accrued expenses | 55,606 | |
Total liabilities | 244,230,864 | |
Net Assets | $ 2,320,314,396 | |
Net Assets consist of: | ||
Paid in capital | $ 2,308,461,544 | |
Undistributed net investment income | 2,168,613 | |
Accumulated undistributed net realized gain (loss) on investments | (3,884,607) | |
Net unrealized appreciation (depreciation) on investments | 13,568,846 | |
Net Assets | $ 2,320,314,396 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
July 31, 2006 | ||
Calculation of Maximum Offering Price | $ 10.28 | |
Maximum offering price per share (100/95.25 of $10.28) | $ 10.79 | |
Class T: | $ 10.27 | |
Maximum offering price per share (100/96.50 of $10.27) | $ 10.64 | |
Class B: | $ 10.28 | |
Class C: | $ 10.28 | |
Fidelity Total Bond Fund: | $ 10.28 | |
Institutional Class: | $ 10.27 |
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.
Annual Report
Statement of Operations
Year ended July 31, 2006 | ||
Investment Income | ||
Dividends | $ 153,546 | |
Interest | 33,296,400 | |
Income from affiliated Central Funds | 5,023,823 | |
Total income | 38,473,769 | |
Expenses | ||
Management fee | $ 2,293,052 | |
Transfer agent fees | 742,160 | |
Distribution fees | 52,639 | |
Fund wide operations fee | 205,256 | |
Independent trustees' compensation | 2,244 | |
Miscellaneous | 1,198 | |
Total expenses before reductions | 3,296,549 | |
Expense reductions | (6,204) | 3,290,345 |
Net investment income | 35,183,424 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (4,768,928) | |
Affiliated Central Funds | (12,063) | |
Swap agreements | (1,131,505) | |
Total net realized gain (loss) | (5,912,496) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 10,931,759 | |
Swap agreements | 2,016,138 | |
Total change in net unrealized appreciation (depreciation) | 12,947,897 | |
Net gain (loss) | 7,035,401 | |
Net increase (decrease) in net assets resulting from operations | $ 42,218,825 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
Year ended | Year ended | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 35,183,424 | $ 14,843,616 |
Net realized gain (loss) | (5,912,496) | 4,429,155 |
Change in net unrealized appreciation (depreciation) | 12,947,897 | 1,865,347 |
Net increase (decrease) in net assets resulting | 42,218,825 | 21,138,118 |
Distributions to shareholders from net investment income | (31,840,595) | (14,221,483) |
Distributions to shareholders from net realized gain | (1,679,853) | (3,063,178) |
Total distributions | (33,520,448) | (17,284,661) |
Share transactions - net increase (decrease) | 1,879,857,353 | 53,654,454 |
Total increase (decrease) in net assets | 1,888,555,730 | 57,507,911 |
Net Assets | ||
Beginning of period | 431,758,666 | 374,250,755 |
End of period (including undistributed net investment income of $2,168,613 and undistributed net investment income of $539,146, respectively) | $ 2,320,314,396 | $ 431,758,666 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .476 | .387 | .046 |
Net realized and unrealized gain (loss) | (.294) H | .183 | .145 |
Total from investment operations | .182 | .570 | .191 |
Distributions from net investment income | (.432) | (.370) | (.041) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.472) | (.460) | (.041) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | 1.78% | 5.52% | 1.85% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | .79% | .96% | .87% A |
Expenses net of fee waivers, if any | .79% | .80% | .80% A |
Expenses net of all reductions | .79% | .80% | .80% A |
Net investment income | 4.61% | 3.69% | 3.51% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 4,545 | $ 2,974 | $ 102 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.56 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .466 | .377 | .045 |
Net realized and unrealized gain (loss) | (.296) H | .173 | .144 |
Total from investment operations | .170 | .550 | .189 |
Distributions from net investment income | (.420) | (.360) | (.039) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.460) | (.450) | (.039) |
Net asset value, end of period | $ 10.27 | $ 10.56 | $ 10.46 |
Total Return B, C, D | 1.66% | 5.33% | 1.84% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | .91% | 1.13% | .96% A |
Expenses net of fee waivers, if any | .90% | .90% | .90% A |
Expenses net of all reductions | .90% | .90% | .90% A |
Net investment income | 4.50% | 3.59% | 3.41% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 4,583 | $ 5,739 | $ 102 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .399 | .309 | .036 |
Net realized and unrealized gain (loss) | (.296) H | .182 | .145 |
Total from investment operations | .103 | .491 | .181 |
Distributions from net investment income | (.353) | (.291) | (.031) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.393) | (.381) | (.031) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | 1.01% | 4.74% | 1.76% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | 1.59% | 1.75% | 1.62% A |
Expenses net of fee waivers, if any | 1.55% | 1.55% | 1.55% A |
Expenses net of all reductions | 1.55% | 1.55% | 1.55% A |
Net investment income | 3.85% | 2.94% | 2.76% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 1,667 | $ 2,029 | $ 104 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended July 31, | 2006 | 2005 | 2004 I |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income E | .389 | .299 | .035 |
Net realized and unrealized gain (loss) | (.293) H | .181 | .145 |
Total from investment operations | .096 | .480 | .180 |
Distributions from net investment income | (.346) | (.280) | (.030) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.386) | (.370) | (.030) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 |
Total Return B, C, D | .94% | 4.63% | 1.74% |
Ratios to Average Net Assets F, J | |||
Expenses before reductions | 1.62% | 1.74% | 1.74% A |
Expenses net of fee waivers, if any | 1.62% | 1.65% | 1.65% A |
Expenses net of all reductions | 1.62% | 1.65% | 1.65% A |
Net investment income | 3.78% | 2.84% | 2.66% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 1,770 | $ 677 | $ 142 |
Portfolio turnover rate G | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Amounts do not include the activity of the affiliated central funds.
G Amounts do not include the portfolio activity of the affiliated central funds.
H The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
I For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
J Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Total Bond
Years ended July 31, | 2006 | 2005 | 2004 | 2003 H |
Selected Per-Share Data | ||||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.28 | $ 10.00 |
Income from Investment Operations | ||||
Net investment income D | .506 | .411 | .340 | .232 |
Net realized and unrealized gain (loss) | (.290) G | .182 | .237 | .269 |
Total from investment operations | .216 | .593 | .577 | .501 |
Distributions from net investment income | (.466) | (.393) | (.337) | (.221) |
Distributions from net realized gain | (.040) | (.090) | (.060) | - |
Total distributions | (.506) | (.483) | (.397) | (.221) |
Net asset value, end of period | $ 10.28 | $ 10.57 | $ 10.46 | $ 10.28 |
Total Return B, C | 2.11% | 5.75% | 5.68% | 5.01% |
Ratios to Average Net Assets E, I | ||||
Expenses before reductions | .45% | .64% | .75% | 1.01% A |
Expenses net of fee waivers, if any | .45% | .61% | .65% | .65% A |
Expenses net of all reductions | .45% | .61% | .65% | .65% A |
Net investment income | 4.95% | 3.87% | 3.25% | 2.83% A |
Supplemental Data | ||||
Net assets, end of period (000 omitted) | $ 2,306,817 | $ 420,225 | $ 373,699 | $ 80,816 |
Portfolio turnover rate F | 99% | 193% | 251% | 423% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the affiliated central funds.
F Amounts do not include the portfolio activity of the affiliated central funds.
G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
H For the period October 15, 2002 (commencement of operations) to July 31, 2003.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended July 31, | 2006 | 2005 | 2004 H |
Selected Per-Share Data | |||
Net asset value, beginning of period | $ 10.57 | $ 10.46 | $ 10.31 |
Income from Investment Operations | |||
Net investment income D | .493 | .410 | .048 |
Net realized and unrealized gain (loss) | (.294) G | .182 | .145 |
Total from investment operations | .199 | .592 | .193 |
Distributions from net investment income | (.459) | (.392) | (.043) |
Distributions from net realized gain | (.040) | (.090) | - |
Total distributions | (.499) | (.482) | (.043) |
Net asset value, end of period | $ 10.27 | $ 10.57 | $ 10.46 |
Total Return B, C | 1.95% | 5.74% | 1.87% |
Ratios to Average Net Assets E, I | |||
Expenses before reductions | .56% | .62% | .71% A |
Expenses net of fee waivers, if any | .56% | .62% | .65% A |
Expenses net of all reductions | .56% | .61% | .65% A |
Net investment income | 4.84% | 3.87% | 3.66% A |
Supplemental Data | |||
Net assets, end of period (000 omitted) | $ 933 | $ 114 | $ 102 |
Portfolio turnover rate F | 99% | 193% | 251% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E Amounts do not include the activity of the affiliated central funds.
F Amounts do not include the portfolio activity of the affiliated central funds.
G The amount shown for a share outstanding does not correspond with the aggregate net gain (loss) on investments for the period due to the timing of sales and repurchases of shares in relation to fluctuating market values of the investments of the Fund.
H For the period June 16, 2004 (commencement of sale of shares) to July 31, 2004.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended July 31, 2006
1. Significant Accounting Policies.
Fidelity Total Bond Fund (the Fund) is a non-diversified fund of Fidelity Income Fund (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The Fund offers Class A, Class T, Class B, Class C, Total Bond (the original class), and Institutional Class 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. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The Fund may invest in Fidelity Ultra-Short Central Fund (Ultra-Short Central Fund) and fixed-income Central Investment Portfolios (CIPs), collectively referred to as the Central Funds, which are open-end investment companies available to investment companies and other accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the Fund, which are also consistently followed by the Central Funds:
On July 20, 2006, the Board of Trustees approved a change in the fiscal year-end of the Fund from July 31, to August 31, effective August 31, 2006.
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ
Annual Report
Notes to Financial Statements - continued
1. Significant Accounting Policies - continued
Security Valuation - continued
from published prices for the same securities. Investments in open-end mutual funds, including the Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. Security transactions, including the Fund's investment activity in the Central Funds, are accounted for as of trade date. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. 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 by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income 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 generally accepted accounting principles. In addition, the Fund will claim a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Annual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to defaulted bonds, market discount, partnerships (including allocations from CIPs), financing transactions, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The tax-basis components of distributable earnings and the federal tax cost as of period end were as follows:
Unrealized appreciation | $ 25,480,756 | |
Unrealized depreciation | (10,729,602) | |
Net unrealized appreciation (depreciation) | 14,751,154 | |
Undistributed ordinary income | 991,384 | |
Capital loss carryforward | (401,905) | |
Cost for federal income tax purposes | $ 2,525,492,287 |
The tax character of distributions paid was as follows:
July 31, 2006 | July 31, 2005 | |
Ordinary Income | $ 32,890,503 | $ 16,942,281 |
Long-term Capital Gains | 629,945 | 342,380 |
Total | $ 33,520,448 | $ 17,284,661 |
New Accounting Pronouncement. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48) was issued and is effective for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets and results of operations.
Annual Report
Notes to Financial Statements - continued
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery." Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the fund's Schedule of Investments.
Annual Report
2. Operating Policies - continued
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in
Annual Report
Notes to Financial Statements - continued
2. Operating Policies - continued
Swap Agreements - continued
compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $1,174,258,515 and $90,074,542, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .32% of the Fund's average net assets.
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 6,518 | $ 193 |
Class T | 0% | .25% | 14,532 | 7,540 |
Class B | .65% | .25% | 19,939 | 14,677 |
Class C | .75% | .25% | 11,650 | 6,833 |
$ 52,639 | $ 29,243 |
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares (.25% prior to February 24, 2006) and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 8,889 |
Class T | 2,719 |
Class B* | 749 |
Class C* | 1,715 |
$ 14,072 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Total Bond. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Total Bond shares. 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. FSC receives an
Annual Report
Notes to Financial Statements - continued
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
asset-based fee of .10% of Total Bond's average net assets. FIIOC and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 12,392 | .29 |
Class T | 18,034 | .31 |
Class B | 7,426 | .34 |
Class C | 3,090 | .27 |
Total Bond | 700,498 | .10 |
Institutional Class | 720 | .21 |
$ 742,160 |
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annual rate of .03% of average net assets.
Affiliated Central Funds. The Fund may invest in Ultra-Short Central Fund, managed by Fidelity Investments Money Management, Inc. (FIMM), which seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities.
The Fund may also invest in CIPs managed by FIMM, or Fidelity Management & Research Company Inc. (FMRC), each an affiliate of FMR.
The Floating Rate Central Investment Portfolio seeks a high level of income by normally investing in floating rate loans and other floating rate securities.
The Fund's Schedule of Investments lists the Central Funds as an investment of the Fund but does not include the underlying holdings of the Central Funds. Based on their investment objectives, the Central Funds may invest or participate in various investment vehicles or strategies that are similar to those of the investing fund. In addition, the Central Fund may also participate in derivatives. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks, including the
Annual Report
4. Fees and Other Transactions with Affiliates - continued
Affiliated Central Funds - continued
risk that a counterparty to one or more of these transactions may be unable or unwilling to comply with the terms of the governing agreement. This may result in a decline in value of the Central Funds and the Fund.
A complete unaudited list of holdings for the Central Funds, as of the Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the Central Funds financial statements, which are not covered by this Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
The Central Funds do not pay a management fee.
5. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounts to $1,198 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
6. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
The following classes were in reimbursement during the period:
Expense | Reimbursement | |
Class T | .90% | $ 695 |
Class B | 1.55% | 844 |
$ 1,539 |
Annual Report
Notes to Financial Statements - continued
6. Expense Reductions - continued
In addition, through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $3,201. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Total Bond | $ 1,464 |
7. 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.
Subsequent to fiscal year end, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. FIIOC will cause the books and records of the fund to reflect a conversion of the relevant Class B shares to Class A and is in the process of determining the impact to affected shareholder accounts for purposes of its remediation.
8. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended July 31, | ||
2006 | 2005 | |
From net investment income | ||
Class A | $ 180,734 | $ 44,038 |
Class T | 235,647 | 89,638 |
Class B | 75,406 | 27,061 |
Class C | 39,421 | 10,692 |
Total Bond | 31,294,037 | 14,046,106 |
Institutional Class | 15,350 | 3,948 |
Total | $ 31,840,595 | $ 14,221,483 |
Annual Report
8. Distributions to Shareholders - continued
Years ended July 31, | ||
2006 | 2005 | |
From net realized gain | ||
Class A | $ 12,832 | $ 1,823 |
Class T | 23,014 | 2,706 |
Class B | 8,379 | 2,453 |
Class C | 2,940 | 2,151 |
Total Bond | 1,632,006 | 3,053,158 |
Institutional Class | 682 | 887 |
Total | $ 1,679,853 | $ 3,063,178 |
9. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Years ended July 31, | Years ended July 31, | |||
2006 | 2005 | 2006 | 2005 | |
Class A | ||||
Shares sold | 390,963 | 284,201 | $ 4,048,068 | $ 3,006,382 |
Reinvestment of distributions | 16,805 | 4,224 | 174,112 | 44,746 |
Shares redeemed | (246,932) | (16,733) | (2,534,797) | (177,183) |
Net increase (decrease) | 160,836 | 271,692 | $ 1,687,383 | $ 2,873,945 |
Class T | ||||
Shares sold | 395,729 | 640,420 | $ 4,083,246 | $ 6,767,881 |
Reinvestment of distributions | 24,086 | 8,561 | 249,752 | 90,624 |
Shares redeemed | (517,046) | (115,159) | (5,305,428) | (1,215,824) |
Net increase (decrease) | (97,231) | 533,822 | $ (972,430) | $ 5,642,681 |
Class B | ||||
Shares sold | 117,578 | 198,926 | $ 1,220,621 | $ 2,105,652 |
Reinvestment of distributions | 6,955 | 2,416 | 72,205 | 25,606 |
Shares redeemed | (154,343) | (19,350) | (1,585,560) | (204,667) |
Net increase (decrease) | (29,810) | 181,992 | $ (292,734) | $ 1,926,591 |
Class C | ||||
Shares sold | 167,899 | 64,313 | $ 1,733,336 | $ 682,289 |
Reinvestment of distributions | 3,045 | 1,008 | 31,492 | 10,695 |
Shares redeemed | (62,848) | (14,837) | (646,689) | (156,875) |
Net increase (decrease) | 108,096 | 50,484 | $ 1,118,139 | $ 536,109 |
Total Bond | ||||
Shares sold | 196,541,228 | 15,519,844 | $ 1,999,048,539 | $ 164,657,854 |
Reinvestment of distributions | 2,948,119 | 1,546,242 | 30,457,852 | 16,406,907 |
Shares redeemed | (14,766,457) | (13,038,155) | (152,010,033) | (138,400,918) |
Net increase (decrease) | 184,722,890 | 4,027,931 | $ 1,877,496,358 | $ 42,663,843 |
Institutional Class | ||||
Shares sold | 87,064 | 615 | $ 891,633 | $ 6,559 |
Reinvestment of distributions | 888 | 453 | 9,142 | 4,801 |
Shares redeemed | (7,870) | (7) | (80,138) | (75) |
Net increase (decrease) | 80,082 | 1,061 | $ 820,637 | $ 11,285 |
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Total Bond Fund:
In our opinion, the accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Fidelity Total Bond Fund (a fund of Fidelity Income Fund) at July 31, 2006, and the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended and the financial highlights for each of the years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Fidelity Total Bond Fund's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at July 31, 2006 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 9, 2006
Annual Report
Trustees and Officers
The Trustees, Members of the Advisory Board, and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, and review the fund's performance. Except for William O. McCoy and Albert R. Gamper, Jr., each of the Trustees oversees 345 funds advised by FMR or an affiliate. Mr. McCoy oversees 347 funds advised by FMR or an affiliate. Mr. Gamper oversees 290 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 72nd birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers and Advisory Board Members hold office without limit in time, except that any officer and Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Annual Report
Trustees and Officers - continued
Name, Age; Principal Occupation | |
Edward C. Johnson 3d (76) | |
Year of Election or Appointment: 1984 Mr. Johnson is Chairman of the Board of Trustees. Mr. Johnson serves as President (2006-present), Chief Executive Officer, Chairman, and a Director of FMR Corp.; Chairman and a Director of FMR; Chairman and a Director of Fidelity Research & Analysis Company (FRAC); Chairman and a Director of Fidelity Investments Money Management, Inc.; and Chairman (2001-present) and a Director (1999-present) of FMR Co., Inc. In addition, Mr. Johnson serves as Chairman and Director of Fidelity International Limited (FIL). | |
Stephen P. Jonas (53) | |
Year of Election or Appointment: 2005 Mr. Jonas is Senior Vice President of the fund (2005-present). He also serves as Senior Vice President of other Fidelity funds (2005-present). Mr. Jonas is Executive Director of FMR (2005-present) and FMR Co., Inc. (2005-present). He also serves as a Director of Fidelity Investments Money Management, Inc. (2005-present) and FMR Corp. (2003-present). Previously, Mr. Jonas served as President of Fidelity Enterprise Operations and Risk Services (2004-2005), Chief Administrative Officer (2002-2004), and Chief Financial Officer of FMR Corp. (1998-2002). In addition, he serves on the Boards of Boston Ballet (2003-present) and Simmons College (2003-present). | |
Robert L. Reynolds (54) | |
Year of Election or Appointment: 2003 Mr. Reynolds is President and a Director of FMR (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and FMR Co., Inc. (2005-present). Mr. Reynolds also serves as a Director (2003-present) and Chief Operating Officer (2000-present) of FMR Corp. and a Director of Strategic Advisers, Inc. (2005-present). He also serves on the Board at Fidelity Investments Canada, Ltd. (2000-present). Previously, Mr. Reynolds served as President of Fidelity Investments Institutional Retirement Group (1996-2000). |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
Annual Report
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupation | |
Dennis J. Dirks (58) | |
Year of Election or Appointment: 2005 Prior to his retirement in May 2003, Mr. Dirks was Chief Operating Officer and a member of the Board of The Depository Trust & Clearing Corporation (DTCC) (1999-2003). He also served as President, Chief Operating Officer, and Board member of The Depository Trust Company (DTC) (1999-2003) and President and Board member of the National Securities Clearing Corporation (NSCC) (1999-2003). In addition, Mr. Dirks served as Chief Executive Officer and Board member of the Government Securities Clearing Corporation (2001-2003) and Chief Executive Officer and Board member of the Mortgage-Backed Securities Clearing Corporation (2001-2003). Mr. Dirks also serves as a Trustee and a member of the Finance Committee of Manhattan College (2005-present) and a Trustee and a member of the Finance Committee of AHRC of Nassau County (2006-present). | |
Albert R. Gamper, Jr. (64) | |
Year of Election or Appointment: 2006 Mr. Gamper also serves as a Trustee (2006-present) or Member of the Advisory Board (2005-present) of other investment companies advised by FMR. Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (1989-2002). He currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2001-present), Chairman of the Board of Governors, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. | |
Robert M. Gates (62) | |
Year of Election or Appointment: 1997 Dr. Gates is Chairman of the Independent Trustees (2006-present). Dr. Gates is President of Texas A&M University (2002-present). He was Director of the Central Intelligence Agency (CIA) from 1991 to 1993. From 1989 to 1991, Dr. Gates served as Assistant to the President of the United States and Deputy National Security Advisor. Dr. Gates is a Director of NACCO Industries, Inc. (mining and manufacturing), Parker Drilling Co., Inc. (drilling and rental tools for the energy industry, 2001-present), and Brinker International (restaurant management, 2003-present). Previously, Dr. Gates served as a Director of LucasVarity PLC (automotive components and diesel engines), a Director of TRW Inc. (automotive, space, defense, and information technology), and Dean of the George Bush School of Government and Public Service at Texas A&M University (1999-2001). | |
George H. Heilmeier (70) | |
Year of Election or Appointment: 2004 Dr. Heilmeier is Chairman Emeritus of Telcordia Technologies (communication software and systems), where prior to his retirement, he served as company Chairman and Chief Executive Officer. He currently serves on the Boards of Directors of The Mitre Corporation (systems engineering and information technology support for the government), and HRL Laboratories (private research and development, 2004-present). He is Chairman of the General Motors Science & Technology Advisory Board and a Life Fellow of the Institute of Electrical and Electronics Engineers (IEEE). Dr. Heilmeier is a member of the Defense Science Board and the National Security Agency Advisory Board. He is also a member of the National Academy of Engineering, the American Academy of Arts and Sciences, and the Board of Overseers of the School of Engineering and Applied Science of the University of Pennsylvania. Previously, Dr. Heilmeier served as a Director of TRW Inc. (automotive, space, defense, and information technology, 1992-2002), Compaq (1994-2002), Automatic Data Processing, Inc. (ADP) (technology-based business outsourcing, 1995-2002), INET Technologies Inc. (telecommunications network surveillance, 2001-2004), and Teletech Holdings (customer management services). He is the recipient of the 2005 Kyoto Prize in Advanced Technology for his invention of the liquid crystal display. | |
Marie L. Knowles (59) | |
Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. She currently serves as a Director of Phelps Dodge Corporation (copper mining and manufacturing) and McKesson Corporation (healthcare service, 2002-present). Ms. Knowles is a Trustee of the Brookings Institution and the Catalina Island Conservancy and also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. | |
Ned C. Lautenbach (62) | |
Year of Election or Appointment: 2000 Mr. Lautenbach has been a partner of Clayton, Dubilier & Rice, Inc. (private equity investment firm) since September 1998. Previously, Mr. Lautenbach was with the International Business Machines Corporation (IBM) from 1968 until his retirement in 1998. Mr. Lautenbach serves as a Director of Italtel Holding S.p.A. (telecommunications (Milan, Italy), 2004-present) and Eaton Corporation (diversified industrial) as well as the Philharmonic Center for the Arts in Naples, Florida. He also is a member of the Board of Trustees of Fairfield University (2005-present), as well as a member of the Council on Foreign Relations. | |
William O. McCoy (72) | |
Year of Election or Appointment: 1997 Prior to his retirement in December 1994, Mr. McCoy was Vice Chairman of the Board of BellSouth Corporation (telecommunications) and President of BellSouth Enterprises. He is currently a Director of Duke Realty Corporation (real estate). He is also a partner of Franklin Street Partners (private investment management firm). In addition, Mr. McCoy served as the Interim Chancellor (1999-2000) and a member of the Board of Visitors for the University of North Carolina at Chapel Hill and currently serves as Chairman of the Board of Directors of the University of North Carolina Health Care System. He also served as Vice President of Finance for the University of North Carolina (16-school system). | |
Cornelia M. Small (62) | |
Year of Election or Appointment: 2005 Ms. Small is a member (2000-present) and Chairperson (2002-present) of the Investment Committee, and a member (2002-present) of the Board of Trustees of Smith College. Previously, she served as Chief Investment Officer (1999-2000), Director of Global Equity Investments (1996-1999), and a member of the Board of Directors of Scudder, Stevens & Clark (1990-1997) and Scudder Kemper Investments (1997-1999). In addition, Ms. Small served as Co-Chair (2000-2003) of the Annual Fund for the Fletcher School of Law and Diplomacy. | |
William S. Stavropoulos (67) | |
Year of Election or Appointment: 2001 Mr. Stavropoulos is Chairman Emeritus of the Board of Directors of The Dow Chemical Company. Since joining The Dow Chemical Company in 1967, Mr. Stavropoulos served in numerous senior management positions, including President (1993-2000; 2002-2003), CEO (1995-2000; 2002-2004), and Chairman of the Executive Committee (2000-2004). Currently, he is a Director of NCR Corporation (data warehousing and technology solutions), BellSouth Corporation (telecommunications), Chemical Financial Corporation, Maersk Inc. (industrial conglomerate, 2002-present), and Metalmark Capital (private equity investment firm, 2005-present). He also serves as a member of the Board of Trustees of the American Enterprise Institute for Public Policy Research. In addition, Mr. Stavropoulos is a member of The Business Council, J.P. Morgan International Council and the University of Notre Dame Advisory Council for the College of Science. | |
Kenneth L. Wolfe (67) | |
Year of Election or Appointment: 2005 Prior to his retirement in 2001, Mr. Wolfe was Chairman and Chief Executive Officer of Hershey Foods Corporation (1993-2001). He currently serves as a member of the boards of Adelphia Communications Corporation (2003-present), Bausch & Lomb, Inc., and Revlon Inc. (2004-present). |
Annual Report
Advisory Board Members and Executive Officers:
Correspondence intended for Mr. Keyes may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235. Correspondence intended for each executive officer and Mr. Lynch may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
James H. Keyes (65) | |
Year of Election or Appointment: 2006 Member of the Advisory Board of Fidelity Income Fund. Prior to his retirement in 2003, Mr. Keyes was Chairman, President, and Chief Executive Officer of Johnson Controls, Inc. (automotive supplier, 1993-2003). He currently serves as a member of the boards of LSI Logic Corporation (semiconductor technologies, 1984-present), Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, 2002-present), and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-present). | |
Peter S. Lynch (62) | |
Year of Election or Appointment: 2003 Member of the Advisory Board of Fidelity Income Fund. Mr. Lynch is Vice Chairman and a Director of FMR, and Vice Chairman (2001-present) and a Director (1999-present) of FMR Co., Inc. Previously, Mr. Lynch served as a Trustee of the Fidelity funds (1990-2003). In addition, he serves as the Chairman of the Inner-City Scholarship Fund. | |
Walter C. Donovan (44) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. Donovan also serves as Vice President of Fidelity's High Income Funds (2005-present). Mr. Donovan also serves as Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present). Previously, Mr. Donovan served as Vice President of Fidelity's Fixed-Income Funds (2005-2006), certain Asset Allocation Funds (2005-2006), certain Balanced Funds (2005-2006), and as Vice President and Director of Fidelity's International Equity Trading group (1998-2005). | |
Boyce I. Greer (50) | |
Year of Election or Appointment: 2006 Vice President of the fund. Mr. Greer also serves as Vice President of certain Equity Funds (2005-present), certain Asset Allocation Funds (2005-present), Fixed-Income Funds (2006-present), and Money Market Funds (2006-present). Mr. Greer is also a Trustee of other investment companies advised by FMR (2003-present). He is an Executive Vice President of FMR (2005-present) and FMR Co., Inc. (2005-present), and Senior Vice President of Fidelity Investments Money Management, Inc. (2006-present). Previously, Mr. Greer served as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005), and Executive Vice President (2000-2002) and Money Market Group Leader (1997-2002) of the Fidelity Investments Fixed Income Division. He also served as Vice President of Fidelity's Money Market Funds (1997-2002), Senior Vice President of FMR (1997-2002), and Vice President of FIMM (1998-2002). | |
Robert A. Lawrence (53) | |
Year of Election or Appointment: 2006 Vice President of the fund. Mr. Lawrence also serves as Vice President of the High Income Funds. Mr. Lawrence is Senior Vice President of FMR (2006-present) and FMR Co., Inc. (2006-present). Previously, Mr. Lawrence served as President of Fidelity Strategic Investments (2002-2005). | |
David L. Murphy (58) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. Murphy also serves as Vice President of Fidelity's Money Market Funds (2002-present), certain Asset Allocation Funds (2003-present), Fixed-Income Funds (2005-present), and Balanced Funds (2005-present). He serves as Senior Vice President (2000-present) and Head (2004-present) of the Fidelity Investments Fixed Income Division. Mr. Murphy is also a Senior Vice President of Fidelity Investments Money Management, Inc. (2003-present) and an Executive Vice President of FMR (2005-present). Previously, Mr. Murphy served as Money Market Group Leader (2002-2004), Bond Group Leader (2000-2002), and Vice President of Fidelity's Taxable Bond Funds (2000-2002) and Fidelity's Municipal Bond Funds (2001-2002). | |
Thomas J. Silvia (45) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. Silvia also serves as Vice President of Fidelity's Fixed-Income Funds (2005-present), certain Balanced Funds (2005-present), certain Asset Allocation Funds (2005-present), and Senior Vice President and Bond Group Leader of the Fidelity Investments Fixed-Income Division (2005-present). Previously, Mr. Silvia served as Director of Fidelity's Taxable Bond portfolio managers (2002-2004) and a portfolio manager in the Bond Group (1997-2004). | |
Ford O'Neil (44) | |
Year of Election or Appointment: 2005 Vice President of the fund. Mr. O'Neil also serves as Vice President of other funds advised by FMR. Prior to assuming his current responsibilities, Mr. O'Neil worked as a research analyst and portfolio manager. | |
Eric D. Roiter (57) | |
Year of Election or Appointment: 2002 Secretary of the fund. He also serves as Secretary of other Fidelity funds; Vice President, General Counsel, and Secretary of FMR Co., Inc. (2001-present) and FMR; Assistant Secretary of Fidelity Management & Research (U.K.) Inc. (2001-present), Fidelity Research & Analysis Company (2001-present), and Fidelity Investments Money Management, Inc. (2001-present). Mr. Roiter is an Adjunct Member, Faculty of Law, at Boston College Law School (2003-present). Previously, Mr. Roiter served as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (1998-2005). | |
Stuart Fross (46) | |
Year of Election or Appointment: 2003 Assistant Secretary of the fund. Mr. Fross also serves as Assistant Secretary of other Fidelity funds (2003-present), Vice President and Secretary of FDC (2005-present), and is an employee of FMR. | |
Christine Reynolds (47) | |
Year of Election or Appointment: 2004 President and Treasurer of the fund. Ms. Reynolds also serves as President and Treasurer of other Fidelity funds (2004-present) and is a Vice President (2003-present) and an employee (2002-present) of FMR. Before joining Fidelity Investments, Ms. Reynolds worked at PricewaterhouseCoopers LLP (PwC) (1980-2002), where she was most recently an audit partner with PwC's investment management practice. | |
R. Stephen Ganis (40) | |
Year of Election or Appointment: 2006 Anti-Money Laundering (AML) officer of the fund. Mr. Ganis also serves as AML officer of other Fidelity funds (2006-present) and FMR Corp. (2003-present). Before joining Fidelity Investments, Mr. Ganis practiced law at Goodwin Procter, LLP (2000-2002). | |
Joseph B. Hollis (58) | |
Year of Election or Appointment: 2006 Chief Financial Officer of the fund. Mr. Hollis also serves as Chief Financial Officer of other Fidelity funds. Mr. Hollis is President of Fidelity Pricing and Cash Management Services (FPCMS) (2005-present). Mr. Hollis also serves as President and Director of Fidelity Service Company, Inc. (2006-present). Previously, Mr. Hollis served as Senior Vice President of Cash Management Services (1999-2002) and Investment Management Operations (2002-2005). | |
Kenneth A. Rathgeber (59) | |
Year of Election or Appointment: 2004 Chief Compliance Officer of the fund. Mr. Rathgeber also serves as Chief Compliance Officer of other Fidelity funds (2004-present) and Executive Vice President of Risk Oversight for Fidelity Investments (2002-present). He is Chief Compliance Officer of FMR (2005-present), FMR Co., Inc. (2005-present), Fidelity Management & Research (U.K.) Inc. (2005-present), Fidelity Research & Analysis Company (2005-present), Fidelity Investments Money Management, Inc. (2005-present), and Strategic Advisers, Inc. (2005-present). Previously, Mr. Rathgeber served as Executive Vice President and Chief Operating Officer for Fidelity Investments Institutional Services Company, Inc. (1998-2002). | |
Bryan A. Mehrmann (45) | |
Year of Election or Appointment: 2005 Deputy Treasurer of the fund. Mr. Mehrmann also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR. Previously, Mr. Mehrmann served as Vice President of Fidelity Investments Institutional Services Group (FIIS)/Fidelity Investments Institutional Operations Corporation, Inc. (FIIOC) Client Services (1998-2004). | |
Kimberley H. Monasterio (45) | |
Year of Election or Appointment: 2004 Deputy Treasurer of the fund. Ms. Monasterio also serves as Deputy Treasurer of other Fidelity funds (2004) and is an employee of FMR (2004). Before joining Fidelity Investments, Ms. Monasterio served as Treasurer (2000-2004) and Chief Financial Officer (2002-2004) of the Franklin Templeton Funds and Senior Vice President of Franklin Templeton Services, LLC (2000-2004). | |
Kenneth B. Robins (36) | |
Year of Election or Appointment: 2005 Deputy Treasurer of the fund. Mr. Robins also serves as Deputy Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2004-present). Before joining Fidelity Investments, Mr. Robins worked at KPMG LLP, where he was a partner in KPMG's department of professional practice (2002-2004) and a Senior Manager (1999-2000). In addition, Mr. Robins served as Assistant Chief Accountant, United States Securities and Exchange Commission (2000-2002). | |
Robert G. Byrnes (39) | |
Year of Election or Appointment: 2005 Assistant Treasurer of the fund. Mr. Byrnes also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Byrnes served as Vice President of FPCMS (2003-2005). Before joining Fidelity Investments, Mr. Byrnes worked at Deutsche Asset Management where he served as Vice President of the Investment Operations Group (2000-2003). | |
John H. Costello (59) | |
Year of Election or Appointment: 2002 Assistant Treasurer of the fund. Mr. Costello also serves as Assistant Treasurer of other Fidelity funds and is an employee of FMR. | |
Peter L. Lydecker (52) | |
Year of Election or Appointment: 2004 Assistant Treasurer of the fund. Mr. Lydecker also serves as Assistant Treasurer of other Fidelity funds (2004) and is an employee of FMR. | |
Mark Osterheld (51) | |
Year of Election or Appointment: 2002 Assistant Treasurer of the fund. Mr. Osterheld also serves as Assistant Treasurer of other Fidelity funds (2002) and is an employee of FMR. | |
Gary W. Ryan (47) | |
Year of Election or Appointment: 2005 Assistant Treasurer of the fund. Mr. Ryan also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Previously, Mr. Ryan served as Vice President of Fund Reporting in FPCMS (1999-2005). | |
Salvatore Schiavone (40) | |
Year of Election or Appointment: 2005 Assistant Treasurer of the fund. Mr. Schiavone also serves as Assistant Treasurer of other Fidelity funds (2005-present) and is an employee of FMR (2005-present). Before joining Fidelity Investments, Mr. Schiavone worked at Deutsche Asset Management, where he most recently served as Assistant Treasurer (2003-2005) of the Scudder Funds and Vice President and Head of Fund Reporting (1996-2003). |
Annual Report
Distributions
A total of 22.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $21,179,474 of distributions paid during the period January 1, 2006 to July 31, 2006 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2007 of amounts for use in preparing 2006 income tax returns.
Annual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on January 18, 2006. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Dennis J. Dirks | ||
Affirmative | 8,252,035,677.61 | 97.347 |
Withheld | 224,894,685.16 | 2.653 |
TOTAL | 8,476,930,362.77 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 8,252,680,829.70 | 97.355 |
Withheld | 224,249,533.07 | 2.645 |
TOTAL | 8,476,930,362.77 | 100.000 |
Robert M. Gates | ||
Affirmative | 8,239,007,314.92 | 97.193 |
Withheld | 237,923,047.85 | 2.807 |
TOTAL | 8,476,930,362.77 | 100.000 |
George H. Heilmeier | ||
Affirmative | 8,242,547,667.10 | 97.235 |
Withheld | 234,382,695.67 | 2.765 |
TOTAL | 8,476,930,362.77 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 8,207,133,817.28 | 96.817 |
Withheld | 269,796,545.49 | 3.183 |
TOTAL | 8,476,930,362.77 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 8,205,030,635.55 | 96.792 |
Withheld | 271,899,727.22 | 3.208 |
TOTAL | 8,476,930,362.77 | 100.000 |
Stephen P. Jonas | ||
Affirmative | 8,239,700,661.39 | 97.201 |
Withheld | 237,229,701.38 | 2.799 |
TOTAL | 8,476,930,362.77 | 100.000 |
# of | % of | |
Marie L. Knowles | ||
Affirmative | 8,246,135,458.96 | 97.277 |
Withheld | 230,794,903.81 | 2.723 |
TOTAL | 8,476,930,362.77 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 8,247,874,320.21 | 97.298 |
Withheld | 229,056,042.56 | 2.702 |
TOTAL | 8,476,930,362.77 | 100.000 |
William O. McCoy | ||
Affirmative | 8,229,632,189.68 | 97.083 |
Withheld | 247,298,173.09 | 2.917 |
TOTAL | 8,476,930,362.77 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 8,241,271,395.49 | 97.220 |
Withheld | 235,658,967.28 | 2.780 |
TOTAL | 8,476,930,362.77 | 100.000 |
Cornelia M. Small | ||
Affirmative | 8,249,991,018.59 | 97.323 |
Withheld | 226,939,344.18 | 2.677 |
TOTAL | 8,476,930,362.77 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 8,236,371,332.54 | 97.162 |
Withheld | 240,559,030.23 | 2.838 |
TOTAL | 8,476,930,362.77 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 8,244,328,417.87 | 97.256 |
Withheld | 232,601,944.90 | 2.744 |
TOTAL | 8,476,930,362.77 | 100.000 |
A Denotes trust-wide proposal and voting results. |
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Total Bond Fund
Each year, typically in June, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. At the time of the renewal, the Board had 12 standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically as needed throughout the year to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the Independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2006 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the management fee and total expenses of the fund; (iii) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and Independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. In addition, the Board considered the trading resources that are an integrated part of the fixed-income portfolio management investment process.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge. The Board noted that, since the last Advisory Contract renewals in June 2005, Fidelity has taken a number of actions that benefited particular funds, including (i) dedicating additional resources to investment research and to restructure the investment research teams; (ii) voluntarily entering into contractual arrangements with certain brokers pursuant to which Fidelity pays for research products and services separately out of its own resources, rather than bundling with fund commissions; (iii) launching the Fidelity Advantage Class of its five Spartan stock index funds and three Spartan bond index funds, which is a lower-fee class available to shareholders with higher account balances; (iv) contractually agreeing to impose expense limitations on Fidelity U.S. Bond Index Fund and reducing the fund's initial investment minimum; and (v) offering shareholders of each of the Fidelity Institutional Money Market Funds the privilege of exchanging shares of the fund for shares of other Fidelity funds.
Annual Report
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a broad-based securities market index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. Because the fund had been in existence less than five calendar years, the following charts considered by the Board show, over the one- and three-year periods ended December 31, 2005, as applicable, the cumulative total returns of Class C and Fidelity Total Bond (retail class), the cumulative total returns of a broad-based securities market index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Class C and Fidelity Total Bond (retail class) represent the performance of classes with the highest and lowest 12b-1 fees, respectively (not necessarily with the highest and lowest total expenses). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the class indicated.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Total Bond Fund
The Board reviewed the fund's relative investment performance against its Lipper peer group and stated that the performance of Fidelity Total Bond (retail class) was in the first quartile for all the periods shown. The Board also stated that the relative investment performance of the fund was lower than its benchmark for the one-year period, although the three-year cumulative total return of Fidelity Total Bond (retail class) compared favorably to its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Annual Report
The Board considered two proprietary management fee comparisons for the 12-month (or shorter) periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 8% means that 92% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Fidelity Total Bond Fund
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2005.
Furthermore, the Board considered that it had approved an amendment (effective June 1, 2005) to the fund's management contract that lowered the fund's individual fund fee rate from 30 basis points to 20 basis points. The Board considered that the chart reflects the fund's lower management fee for 2005, as if the lower rate were in effect for the entire year.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board also considered that it had approved changes (effective June 1, 2005) in the contractual arrangements for the fund that (i) have the effect of setting the total "fund-level" expenses (including, among certain other expenses, the management fee) for each class at 35 basis points, (ii) lower and limit the "class-level" transfer agent fee for Fidelity Total Bond (retail class) to 10 basis points, and (iii) limit the total expenses for Fidelity Total Bond (retail class) to 45 basis points. These contractual arrangements may not be increased without Board approval. The fund's Advisor classes continue to be subject to different class-level expenses (transfer agent fees and 12b-1 fees).
The Board noted that the total expenses of each class ranked below its competitive median for 2005. The Board considered that each class's total expenses reflect the contractual arrangements for 2005, as if the contractual arrangements were in effect for the entire year.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower fee rates as total fund assets under FMR's management increase, and for higher fee rates as total fund assets under FMR's management decrease. The Board noted that because the contractual arrangements that went into effect June 1, 2005 set the total fund-level expenses for each class at 35 basis points, increases or decreases in the management fee due to changes in the group fee rate will not impact total expenses. The Board realized, however, that the 35 basis point fee rate was below the lowest management fee rate available under the contractual arrangements that existed prior to June 1, 2005.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Annual Report
Based on its review, the Board concluded that the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including (Advisor classes only) reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases. The Board also noted that the reduction in the fund's individual fund fee rate by 10 basis points delivers significant economies to fund shareholders. The Board concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information on several topics, including (i) Fidelity's fund profitability methodology and profitability trends within certain funds; (ii) funds and accounts managed by Fidelity other than the Fidelity funds, including fee arrangements; (iii) the total expenses of certain funds and classes relative to competitors; (iv) fund performance trends; and (v) Fidelity's fee structures.
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
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Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
Fidelity Research & Analysis Company (formerly Fidelity Management & Research (Far East) Inc.)
Fidelity Investments
Money Management, Inc.
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
ATBI-UANN-0906
1.804580.102
(Fidelity Investment logo)(registered trademark)
Item 2. Code of Ethics
As of the end of the period, July 31, 2006, Fidelity Income Fund (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
(a) Audit Fees.
For the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate Audit Fees billed by PricewaterhouseCoopers LLP (PwC) for professional services rendered for the audits of the financial statements, or services that are normally provided in connection with statutory and regulatory filings or engagements for those fiscal years, for the Fidelity Total Bond Fund (the Fund) and for all funds in the Fidelity Group of Funds are shown in the table below.
Fund | 2006A | 2005A |
Fidelity Total Bond Fund | $59,000 | $46,000 |
All funds in the Fidelity Group of Funds audited by PwC | $12,800,000 | $11,600,000 |
A | Aggregate amounts may reflect rounding. |
(b) Audit-Related Fees.
In each of the fiscal years ended July 31, 2006 and July 31, 2005 the aggregate Audit-Related Fees billed by PwC for services rendered for assurance and related services to the Fund that are reasonably related to the performance of the audit or review of the Fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Fund | 2006A | 2005A |
Fidelity Total Bond Fund | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate Audit-Related Fees that were billed by PwC that were required to be approved by the Audit Committee for services rendered on behalf of Fidelity Management & Research Company (FMR) and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Fund Service Providers") for assurance and related services that relate directly to the operations and financial reporting of the Fund that are reasonably related to the performance of the audit or review of the Fund's financial statements, but not reported as Audit Fees, are shown in the table below.
Billed By | 2006A | 2005A |
PwC | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
Fees included in the audit-related category comprise assurance and related services (e.g., due diligence services) that are traditionally performed by the independent registered public accounting firm. These audit-related services include due diligence related to mergers and acquisitions, accounting consultations and audits in connection with acquisitions, internal control reviews, attest services that are not required by statute or regulation and consultation concerning financial accounting and reporting standards.
(c) Tax Fees.
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate Tax Fees billed by PwC for professional services rendered for tax compliance, tax advice, and tax planning for the Fund is shown in the table below.
Fund | 2006A | 2005A |
Fidelity Total Bond Fund | $2,700 | $2,500 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate Tax Fees billed by PwC that were required to be approved by the Audit Committee for professional services rendered on behalf of the Fund Service Providers for tax compliance, tax advice, and tax planning that relate directly to the operations and financial reporting of the Fund is shown in the table below.
Billed By | 2006A | 2005A |
PwC | $0 | $0 |
A | Aggregate amounts may reflect rounding. |
Fees included in the Tax Fees category comprise all services performed by professional staff in the independent registered public accounting firm's tax division except those services related to the audit. Typically, this category would include fees for tax compliance, tax planning, and tax advice. Tax compliance, tax advice, and tax planning services include preparation of original and amended tax returns, claims for refund and tax payment-planning services, assistance with tax audits and appeals, tax advice related to mergers and acquisitions and requests for rulings or technical advice from taxing authorities.
(d) All Other Fees.
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate Other Fees billed by PwC for all other non-audit services rendered to the Funds is shown in the table below.
Fund | 2006A | 2005A |
Fidelity Total Bond Fund | $1,800 | $1,700 |
A | Aggregate amounts may reflect rounding. |
In each of the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate Other Fees billed by PwC that were required to be approved by the Audit Committee for all other non-audit services rendered on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of the Fund is shown in the table below.
Billed By | 2006A | 2005A |
PwC | $155,000 | $280,000 |
A | Aggregate amounts may reflect rounding. |
Fees included in the All Other Fees category include services related to internal control reviews, strategy and other consulting, financial information systems design and implementation, consulting on other information systems, and other tax services unrelated to the fund.
(e) (1) | Audit Committee Pre-Approval Policies and Procedures: |
The trust's Audit Committee must pre-approve all audit and non-audit services provided by the independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The trust's Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity Fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund (Covered Service) are subject to approval by the Audit Committee before such service is provided. Non-audit services provided by a fund audit firm for a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund (Non-Covered Service) but that are expected to exceed $50,000 are also subject to pre-approval by the Audit Committee.
All Covered Services, as well as Non-Covered Services that are expected to exceed $50,000, must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee. Neither pre-approval nor advance notice of Non-Covered Service engagements for which fees are not expected to exceed $50,000 is required; such engagements are to be reported to the Audit Committee monthly.
(e) (2) | Services approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: |
Audit-Related Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended July 31, 2006 and July 31, 2005 on behalf of the Fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended July 31, 2006 and July 31, 2005 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of the Fund.
Tax Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended July 31, 2006 and July 31, 2005 on behalf of the Fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended July 31, 2006 and July 31, 2005 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of the Fund.
All Other Fees:
There were no amounts that were approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended July 31, 2006 and July 31, 2005 on behalf of the Fund.
There were no amounts that were required to be approved by the Audit Committee pursuant to the de minimis exception for the fiscal years ended July 31, 2006 and July 31, 2005 on behalf of the Fund Service Providers that relate directly to the operations and financial reporting of the Fund.
(f) Not applicable.
(g) For the fiscal years ended July 31, 2006 and July 31, 2005, the aggregate fees billed by PwC of $1,160,000A and $1,400,000A,B for non-audit services rendered on behalf of the Funds, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and Fund Service Providers relating to Covered Services and Non-Covered Services are shown in the table below.
2006A | 2005A | |
Covered Services | $160,000 | $300,000 |
Non-Covered Services | $1,000,000 | $1,100,000 B |
A | Aggregate amounts may reflect rounding. |
B | Reflects current period presentation. |
(h) The trust's Audit Committee has considered Non-Covered Services that were not pre-approved that were provided by PwC to Fund Service Providers to be compatible with maintaining the independence of PwC in its audit of the Fund, taking into account representations from PwC, in accordance with Independence Standards Board Standard No.1, regarding its independence from the Fund and its related entities.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. 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 Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) for the Fund provide reasonable assurances that material information relating to the Fund 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 Fund'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 Fund's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Income Fund
By: | /s/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | October 9, 2006 |
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/Kimberley Monasterio |
Kimberley Monasterio | |
President and Treasurer | |
Date: | October 9, 2006 |
By: | /s/Joseph B. Hollis |
Joseph B. Hollis | |
Chief Financial Officer | |
Date: | October 9, 2006 |