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)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Marc Bryant, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | August 31 |
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Date of reporting period: | August 31, 2015 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Government Income
Fund - Class A, Class T, Class B
and Class C
Annual Report
August 31, 2015
(Fidelity Cover Art)
Class A, Class T, Class B, and Class C are classes of Fidelity® Government Income Fund
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
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Trustees and Officers |
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Distributions |
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To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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. Returns reflect the conversion of Class B shares to Class A shares after a maximum of seven years.
Average Annual Total Returns
Periods ended August 31, 2015 | Past 1 | Past 5 | Past 10 |
Class A (incl. 4.00% sales charge) A | -2.40% | 1.21% | 3.47% |
Class T (incl. 4.00% sales charge) B | -2.39% | 1.22% | 3.49% |
Class B (incl. contingent deferred sales charge) C | -4.07% | 0.93% | 3.38% |
Class C (incl. contingent deferred sales charge) D | -0.12% | 1.27% | 3.21% |
A As of April 1, 2007, Class A shares bear a 0.25% 12b-1 fee. The initial offering of Class A shares took place on October 24, 2006. Returns between October 24, 2006, and March 31, 2007, reflect a 0.15% 12b-1 fee. Returns prior to October 24, 2006, are those of Fidelity® Government Income Fund, the original class of the fund, which has no 12b-1 fee. Had Class A's current 12b-1 fee been reflected, returns prior to April 1, 2007, would have been lower.
B Class T shares bear a 0.25% 12b-1 fee. The initial offering of Class T shares took place on October 24, 2006. Returns prior to October 24, 2006, are those of Fidelity® Government Income Fund, the original class of the fund, which has no 12b-1 fee. Had Class T's 12b-1 fee been reflected, returns prior to October 24, 2006, would have been lower.
C Class B shares bear a 0.90% 12b-1 fee. The initial offering of Class B shares took place on October 24, 2006. Returns prior to October 24, 2006, are those of Fidelity Government Income Fund, the original class of the fund, which has no 12b-1 fee. Had Class B's 12b-1 fee been reflected, returns prior to October 24, 2006, would have been lower. Class B shares' contingent deferred sales charges included in the past one year, past five years, and past ten years total return figures are 5%, 2%, and 0%, respectively.
D Class C shares bear a 1.00% 12b-1 fee. The initial offering of Class C shares took place on October 24, 2006. Returns prior to October 24, 2006, are those of Fidelity Government Income Fund, the original class of the fund, which has no 12b-1 fee. Had Class C's 12b-1 fee been reflected, returns prior to October 24, 2006, would have been lower. Class C shares' contingent deferred sales charges included in the past one year, past five years, and past ten years total return figures are 1%, 0%, and 0%, respectively.
Annual Report
Performance - continued
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Government Income Fund - Class A on August 31, 2005, and the current 4.00% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Government Bond Index performed over the same period. See footnote A on the previous page for additional information regarding the performance of Class A.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from William Irving, Lead Portfolio Manager: The fund's share classes posted low single-digit gains for the 12 months (excluding sales charges, if applicable), but overall lagged the 2.37% return of the benchmark Barclays 75% U.S. Government/25% U.S MBS Blended Index. Owning Treasury Inflation-Protected Securities (TIPS), which are not in the benchmark, hurt us. TIPS performed poorly as inflation expectations dropped to a five-year low. The fund's performance was hurt also by "pricing basis." The fund is priced daily at 4:00 p.m. Eastern time, while the benchmark is priced at 3:00 p.m. Eastern. This led to pricing dispersion on the final hour of the final day of the review period. In contrast, our focus on certain prepayment-resistant mortgage-backed securities (MBS) proved a plus, more than offsetting the modest amount of ground we lost by slightly overweighting the sector in lieu of comparable Treasuries. For example, our overweighting in high-coupon MBS aided our result. Overweighting reverse-mortgage securities, which can help older homeowners turn a portion of their home equity into cash, was another plus.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .76% |
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Actual |
| $ 1,000.00 | $ 996.80 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
Class T | .76% |
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Actual |
| $ 1,000.00 | $ 996.80 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
Class B | 1.48% |
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Actual |
| $ 1,000.00 | $ 993.10 | $ 7.44 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.74 | $ 7.53 |
Class C | 1.53% |
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Actual |
| $ 1,000.00 | $ 992.90 | $ 7.69 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.49 | $ 7.78 |
Government Income | .45% |
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Actual |
| $ 1,000.00 | $ 998.30 | $ 2.27 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
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Actual |
| $ 1,000.00 | $ 998.10 | $ 2.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Coupon Distribution as of August 31, 2015 | ||
| % of fund's investments | % of fund's investments |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 17.1 | 17.1 |
1 - 1.99% | 23.1 | 24.3 |
2 - 2.99% | 12.3 | 10.5 |
3 - 3.99% | 22.4 | 20.5 |
4 - 4.99% | 13.2 | 13.9 |
5 - 5.99% | 9.2 | 9.2 |
6 - 6.99% | 0.7 | 0.9 |
7% and above | 0.7 | 0.9 |
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Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of August 31, 2015 | ||
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| 6 months ago |
Years | 5.9 | 6.0 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
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| 6 months ago |
Years | 5.0 | 4.8 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Percentages shown as 0.0% may reflect amounts less than 0.05%. | |||||||
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Mortgage |
| ![]() | Mortgage |
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![]() | CMOs and |
| ![]() | CMOs and |
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![]() | U.S. Treasury |
| ![]() | U.S. Treasury |
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![]() | U.S. Government |
| ![]() | U.S. Government |
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![]() | Foreign Government & Government Agency Obligations 3.6% |
| ![]() | Foreign Government & Government Agency Obligations 2.9% |
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![]() | Short-Term |
| ![]() | Short-Term |
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* Foreign investments | 3.6% |
| ** Foreign investments | 2.9% |
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* Futures and Swaps | 3.2% |
| ** Futures and Swaps | 3.8% |
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† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investments in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
†† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 49.9% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 0.8% | ||||
Fannie Mae: | ||||
1.125% 7/20/18 | $ 229 | $ 229 | ||
1.625% 11/27/18 | 913 | 924 | ||
Small Business Administration guaranteed development participation certificates: | ||||
Series 2002-20J Class 1, 4.75% 10/1/22 | 1,359 | 1,431 | ||
Series 2002-20K Class 1, 5.08% 11/1/22 | 2,161 | 2,317 | ||
Series 2004-20H Class 1, 5.17% 8/1/24 | 744 | 806 | ||
Tennessee Valley Authority: | ||||
1.75% 10/15/18 | 23,006 | 23,365 | ||
5.25% 9/15/39 | 2,807 | 3,445 | ||
5.375% 4/1/56 | 3,438 | 4,241 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 36,758 | |||
U.S. Treasury Inflation-Protected Obligations - 1.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 58,733 | 52,833 | ||
1.375% 2/15/44 | 23,946 | 25,152 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 77,985 | |||
U.S. Treasury Obligations - 45.3% | ||||
U.S. Treasury Bonds: | ||||
2.875% 8/15/45 | 16,000 | 15,744 | ||
3% 11/15/44 | 22,500 | 22,611 | ||
3% 5/15/45 | 63,797 | 64,249 | ||
3.375% 5/15/44 | 6,265 | 6,764 | ||
3.625% 2/15/44 (e) | 27,582 | 31,186 | ||
4.375% 2/15/38 | 51,154 | 64,683 | ||
5% 5/15/37 (d) | 41,142 | 56,624 | ||
U.S. Treasury Notes: | ||||
0.375% 10/31/16 | 66,800 | 66,704 | ||
0.5% 2/28/17 | 64,339 | 64,236 | ||
0.5% 3/31/17 | 15,000 | 14,968 | ||
0.5% 4/30/17 | 49,500 | 49,371 | ||
0.625% 11/15/16 | 4,315 | 4,320 | ||
0.625% 12/15/16 | 1,129 | 1,130 | ||
0.625% 12/31/16 | 62,265 | 62,318 | ||
0.625% 2/15/17 | 12,000 | 12,003 | ||
0.625% 7/31/17 | 40,000 | 39,935 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
0.625% 8/31/17 | $ 20,000 | $ 19,953 | ||
0.75% 1/15/17 | 10,000 | 10,022 | ||
0.75% 6/30/17 | 3,736 | 3,738 | ||
0.75% 4/15/18 | 46,723 | 46,435 | ||
0.875% 11/30/16 | 7,522 | 7,554 | ||
0.875% 1/31/17 | 704 | 707 | ||
0.875% 5/15/17 | 15,893 | 15,944 | ||
0.875% 8/15/17 | 715 | 717 | ||
0.875% 10/15/17 | 4,191 | 4,195 | ||
0.875% 1/31/18 | 4,683 | 4,677 | ||
0.875% 7/31/19 | 6,174 | 6,056 | ||
1% 9/30/16 | 41,719 | 41,962 | ||
1% 10/31/16 | 39,991 | 40,219 | ||
1% 5/31/18 | 58,578 | 58,531 | ||
1% 8/15/18 | 20,000 | 19,966 | ||
1.25% 11/30/18 | 35,000 | 35,076 | ||
1.375% 7/31/18 | 14,780 | 14,908 | ||
1.375% 9/30/18 | 17,526 | 17,657 | ||
1.375% 2/28/19 | 69,770 | 70,048 | ||
1.375% 3/31/20 | 144,474 | 143,676 | ||
1.375% 4/30/20 | 4,172 | 4,146 | ||
1.375% 8/31/20 | 25,000 | 24,813 | ||
1.5% 12/31/18 | 10,768 | 10,868 | ||
1.5% 1/31/19 | 43,197 | 43,568 | ||
1.5% 1/31/22 | 59,399 | 57,988 | ||
1.625% 4/30/19 | 11,603 | 11,735 | ||
1.625% 6/30/19 | 51,223 | 51,747 | ||
1.625% 12/31/19 | 41,368 | 41,643 | ||
1.625% 6/30/20 | 21,692 | 21,777 | ||
1.625% 7/31/20 (b) | 30,000 | 30,100 | ||
1.75% 9/30/19 | 78,340 | 79,388 | ||
1.75% 10/31/20 | 18,000 | 18,096 | ||
1.75% 2/28/22 | 5,000 | 4,953 | ||
1.75% 3/31/22 | 19,942 | 19,740 | ||
1.875% 8/31/17 | 27,000 | 27,581 | ||
1.875% 9/30/17 | 67,400 | 68,865 | ||
1.875% 8/31/22 | 15,000 | 14,955 | ||
2% 5/31/21 | 10,000 | 10,119 | ||
2% 7/31/22 | 10,000 | 10,043 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2% 8/15/25 | $ 15,000 | $ 14,713 | ||
2.125% 6/30/21 | 22,000 | 22,400 | ||
2.125% 12/31/21 | 2,000 | 2,029 | ||
2.125% 6/30/22 | 51,197 | 51,860 | ||
2.125% 5/15/25 | 6,000 | 5,946 | ||
2.25% 3/31/21 | 17,358 | 17,828 | ||
2.25% 4/30/21 | 32,286 | 33,130 | ||
2.375% 7/31/17 | 741 | 764 | ||
2.5% 6/30/17 | 10,000 | 10,324 | ||
2.75% 11/30/16 | 18,530 | 19,043 | ||
3.125% 1/31/17 | 39,773 | 41,180 | ||
3.5% 2/15/18 | 23,836 | 25,314 | ||
4.5% 5/15/17 | 24,685 | 26,292 | ||
4.75% 8/15/17 | 12,983 | 13,985 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,975,820 | |||
Other Government Related - 2.0% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5385% 12/7/20 (NCUA Guaranteed) (f) | 4,583 | 4,576 | ||
Series 2011-R4 Class 1A, 0.5708% 3/6/20 (NCUA Guaranteed) (f) | 3,436 | 3,442 | ||
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 80,012 | ||
TOTAL OTHER GOVERNMENT RELATED | 88,030 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,157,352) | 2,178,593 | |||
U.S. Government Agency - Mortgage Securities - 3.6% | ||||
| ||||
Fannie Mae - 1.8% | ||||
1.85% 10/1/33 (f) | 186 | 193 | ||
1.885% 2/1/33 (f) | 112 | 117 | ||
1.91% 12/1/34 (f) | 196 | 205 | ||
1.91% 3/1/35 (f) | 96 | 101 | ||
1.915% 11/1/33 (f) | 277 | 291 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
1.931% 10/1/33 (f) | $ 65 | $ 68 | ||
1.94% 7/1/35 (f) | 68 | 71 | ||
2.05% 3/1/35 (f) | 16 | 17 | ||
2.149% 3/1/36 (f) | 664 | 701 | ||
2.19% 3/1/37 (f) | 115 | 122 | ||
2.194% 7/1/34 (f) | 118 | 125 | ||
2.273% 3/1/40 (f) | 2,140 | 2,285 | ||
2.302% 6/1/36 (f) | 189 | 202 | ||
2.334% 7/1/35 (f) | 252 | 267 | ||
2.36% 11/1/36 (f) | 119 | 127 | ||
2.421% 10/1/33 (f) | 133 | 142 | ||
2.458% 3/1/35 (f) | 100 | 107 | ||
2.511% 2/1/36 (f) | 50 | 53 | ||
2.544% 5/1/36 (f) | 182 | 194 | ||
2.557% 6/1/42 (f) | 415 | 429 | ||
2.69% 2/1/42 (f) | 2,314 | 2,393 | ||
2.758% 1/1/42 (f) | 2,206 | 2,294 | ||
2.96% 11/1/40 (f) | 244 | 256 | ||
2.982% 9/1/41 (f) | 251 | 261 | ||
3% 9/1/45 (c) | 20,700 | 20,789 | ||
3% 10/1/45 (c) | 20,700 | 20,738 | ||
3.059% 10/1/41 (f) | 111 | 116 | ||
3.239% 7/1/41 (f) | 418 | 442 | ||
3.309% 10/1/41 (f) | 235 | 247 | ||
3.554% 7/1/41 (f) | 476 | 504 | ||
4% 2/1/42 | 488 | 521 | ||
4.5% 7/1/33 to 4/1/39 | 4,804 | 5,265 | ||
4.5% 9/1/45 (c) | 4,800 | 5,200 | ||
5% 7/1/35 | 10,649 | 11,792 | ||
5.5% 1/1/29 | 2,275 | 2,542 | ||
6.5% 2/1/17 to 5/1/27 | 438 | 493 | ||
9.5% 10/1/20 | 13 | 14 | ||
11.5% 6/15/19 to 1/15/21 | 3 | 3 | ||
| 79,687 | |||
Freddie Mac - 0.5% | ||||
1.82% 3/1/35 (f) | 470 | 488 | ||
2.121% 5/1/37 (f) | 323 | 345 | ||
2.394% 10/1/42 (f) | 2,460 | 2,594 | ||
2.49% 6/1/35 (f) | 456 | 485 | ||
2.506% 2/1/36 (f) | 29 | 31 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
2.722% 3/1/33 (f) | $ 22 | $ 24 | ||
2.757% 7/1/36 (f) | 371 | 397 | ||
2.798% 7/1/35 (f) | 1,216 | 1,301 | ||
3% 11/1/42 to 2/1/43 | 4,474 | 4,529 | ||
3.091% 9/1/41 (f) | 2,412 | 2,510 | ||
3.155% 10/1/35 (f) | 180 | 191 | ||
3.22% 9/1/41 (f) | 271 | 284 | ||
3.235% 4/1/41 (f) | 293 | 307 | ||
3.289% 6/1/41 (f) | 311 | 329 | ||
3.444% 5/1/41 (f) | 290 | 304 | ||
3.62% 6/1/41 (f) | 452 | 478 | ||
3.705% 5/1/41 (f) | 386 | 409 | ||
4.5% 5/1/39 to 10/1/41 | 4,137 | 4,530 | ||
5.5% 7/1/29 | 46 | 52 | ||
6% 1/1/24 | 1,784 | 1,966 | ||
9.5% 6/1/18 to 8/1/21 | 24 | 26 | ||
| 21,580 | |||
Ginnie Mae - 1.3% | ||||
3.5% 9/1/45 (c) | 100 | 104 | ||
4.3% 8/20/61 (k) | 4,958 | 5,215 | ||
4.649% 2/20/62 (k) | 3,412 | 3,662 | ||
4.682% 2/20/62 (k) | 4,302 | 4,609 | ||
4.684% 1/20/62 (k) | 25,578 | 27,361 | ||
5.47% 8/20/59 (k) | 1,685 | 1,739 | ||
5.5% 11/15/35 | 2,634 | 2,983 | ||
5.612% 4/20/58 (k) | 1,470 | 1,493 | ||
6% 6/15/36 | 5,823 | 6,779 | ||
| 53,945 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $153,186) | 155,212 | |||
Collateralized Mortgage Obligations - 14.2% | ||||
| ||||
U.S. Government Agency - 14.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2001-38 Class QF, 1.1794% 8/25/31 (f) | 130 | 133 | ||
Series 2002-49 Class FB, 0.7996% 11/18/31 (f) | 118 | 119 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (f) | 51 | 52 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
floater: | ||||
Series 2002-75 Class FA, 1.1994% 11/25/32 (f) | $ 105 | $ 107 | ||
Series 2010-15 Class FJ, 1.1294% 6/25/36 (f) | 8,297 | 8,452 | ||
planned amortization class: | ||||
Series 2005-19 Class PA, 5.5% 7/25/34 | 2,806 | 3,039 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 2,058 | 2,134 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,775 | 3,041 | ||
Series 2005-68 Class CZ, 5.5% 8/25/35 | 5,673 | 6,372 | ||
Series 2006-45 Class OP, 0% 6/25/36 (i) | 1,186 | 1,053 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 7,053 | 7,607 | ||
Series 2015-5 Class CP, 3% 6/25/43 | 42,093 | 43,657 | ||
Series 2015-54 Class GA, 2.5% 7/25/45 | 12,965 | 13,320 | ||
sequential payer: | ||||
Series 2003-117 Class MD, 5% 12/25/23 | 1,373 | 1,509 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 8,205 | 9,070 | ||
Series 2005-117 Class JN, 4.5% 1/25/36 | 645 | 705 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,475 | 2,737 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 5,377 | 5,953 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 3,372 | 3,727 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (h) | 584 | 48 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (h) | 877 | 71 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 5,712 | 810 | ||
Series 2010-39 Class FG, 1.1194% 3/25/36 (f) | 5,215 | 5,347 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 1,866 | 137 | ||
Series 2012-27 Class EZ, 4.25% 3/25/42 | 7,980 | 8,596 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2530 Class FE, 0.7976% 2/15/32 (f) | 72 | 73 | ||
Series 2630 Class FL, 0.6976% 6/15/18 (f) | 57 | 57 | ||
Series 2682 Class FB, 1.0976% 10/15/33 (f) | 4,544 | 4,636 | ||
Series 2711 Class FC, 1.0976% 2/15/33 (f) | 2,845 | 2,897 | ||
planned amortization class: | ||||
Series 1141 Class G, 9% 9/15/21 | 60 | 69 | ||
Series 2356 Class GD, 6% 9/15/16 | 15 | 16 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 109 | 111 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 52 | 53 | ||
Series 2672 Class MG, 5% 9/15/23 | 6,659 | 7,214 | ||
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 845 | ||
Series 3415 Class PC, 5% 12/15/37 | 843 | 910 | ||
Series 3763 Class QA, 4% 4/15/34 | 2,437 | 2,524 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | $ 3,536 | $ 3,627 | ||
sequential payer: | ||||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 10,783 | 12,201 | ||
Series 2587 Class AD, 4.71% 3/15/33 | 5,180 | 5,574 | ||
Series 2773 Class HC, 4.5% 4/15/19 | 620 | 646 | ||
Series 2877 Class ZD, 5% 10/15/34 | 9,726 | 10,717 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 8,067 | 8,898 | ||
Series 3745 Class KV, 4.5% 12/15/26 | 7,333 | 8,079 | ||
Series 3871 Class KB, 5.5% 6/15/41 | 13,870 | 15,770 | ||
Series 3843 Class PZ, 5% 4/15/41 | 2,316 | 2,729 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-2 Class FD, 0.6828% 1/20/38 (f) | 363 | 366 | ||
Series 2008-73 Class FA, 1.0628% 8/20/38 (f) | 2,583 | 2,636 | ||
Series 2008-83 Class FB, 1.1028% 9/20/38 (f) | 2,578 | 2,632 | ||
Series 2009-108 Class CF, 0.7976% 11/16/39 (f) | 1,709 | 1,727 | ||
Series 2011-H20 Class FA, 0.7382% 9/20/61 (f)(k) | 10,852 | 10,888 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (f)(k) | 7,338 | 7,373 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (f)(k) | 6,142 | 6,179 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (f)(k) | 3,803 | 3,826 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (f)(k) | 5,818 | 5,854 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (f)(k) | 3,487 | 3,514 | ||
Series 2013-H19: | ||||
Class FC, 0.7882% 8/20/63 (f)(k) | 1,238 | 1,245 | ||
Class FD, 0.7882% 8/20/63 (f)(k) | 3,391 | 3,408 | ||
Series 2014-H02 Class FB, 0.8382% 12/20/63 (f)(k) | 40,266 | 40,466 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (f)(k) | 17,130 | 17,223 | ||
Series 2015-H07 Class FA, 0.3% 3/20/65 (f)(k) | 28,047 | 27,988 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (f)(k) | 45,007 | 44,917 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (f)(k) | 43,200 | 43,119 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 246 | 249 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 11,267 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (k) | 18,677 | 20,146 | ||
Series 2010-H17 Class XP, 5.3% 7/20/60 (f)(k) | 24,825 | 26,653 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
Series 2010-H18 Class PL, 5.01% 9/20/60 (f)(k) | $ 18,269 | $ 19,673 | ||
Series 2012-64 Class KB, 5.7099% 5/20/41 (f) | 1,269 | 1,442 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (f)(j) | 6,373 | 7,412 | ||
Class ST, 8.5297% 8/20/39 (f)(j) | 11,972 | 14,055 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 17,318 | 17,747 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (k) | 6,645 | 6,806 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (k) | 55,661 | 57,061 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $616,193) | 621,314 | |||
Commercial Mortgage Securities - 6.9% | ||||
| ||||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (f) | 550 | 548 | ||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,740 | 4,100 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 24,840 | 27,174 | ||
Series K009 Class A2, 3.808% 8/25/20 | 32,528 | 35,158 | ||
Series K034 Class A1, 2.669% 2/25/23 | 14,765 | 15,188 | ||
Series K717 Class A2, 2.991% 9/25/21 | 9,506 | 9,880 | ||
Series K032 Class A1, 3.016% 2/25/23 | 25,691 | 26,908 | ||
Series K039 Class A2, 3.303% 7/25/24 | 24,645 | 25,575 | ||
Series K042 Class A2, 2.67% 12/25/24 | 22,200 | 21,856 | ||
Series K047 Class A2, 3.329% 5/25/25 | 32,284 | 33,485 | ||
Series K501 Class A2, 1.655% 11/25/16 | 9,638 | 9,707 | ||
Series K716 Class A2, 3.13% 6/25/21 | 6,500 | 6,821 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates: | ||||
sequential payer Series K718 Class A2, 2.791% 1/25/22 | 27,400 | 28,149 | ||
Series K044 Class A2, 2.811% 1/25/25 | 58,600 | 58,225 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $303,620) | 302,774 | |||
Foreign Government and Government Agency Obligations - 3.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Israeli State: | ||||
(guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | $ 72,266 | $ 87,706 | ||
5.5% 12/4/23 | 48 | 58 | ||
5.5% 4/26/24 | 6,065 | 7,406 | ||
Jordanian Kingdom: | ||||
2.503% 10/30/20 | 41,050 | 42,349 | ||
3% 6/30/25 | 19,267 | 19,618 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $143,259) | 157,137 |
Fixed-Income Funds - 24.0% | |||
Shares |
| ||
Fidelity Mortgage Backed Securities Central Fund (g) | 9,569,826 |
| |
Cash Equivalents - 3.3% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15: | |||
(Collateralized by U.S. Government Obligations) # (a) | $ 11,302 | 11,302 | |
(Collateralized by U.S. Government Obligations) # | 131,859 | 131,858 | |
TOTAL CASH EQUIVALENTS (Cost $143,160) |
| ||
TOTAL INVESTMENT PORTFOLIO - 105.5% (Cost $4,512,831) | 4,602,832 | ||
NET OTHER ASSETS (LIABILITIES) - (5.5)% | (239,350) | ||
NET ASSETS - 100% | $ 4,363,482 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) | Value (000s) | |
Fannie Mae | |||
3% 9/1/45 | $ (20,700) | $ (20,789) | |
4.5% 9/1/45 | (4,800) | (5,200) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $26,075) | $ (25,989) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
207 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | $ 26,302 | $ (170) | ||
350 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 76,464 | (116) | ||
156 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 18,632 | (89) | ||
407 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 64,471 | (770) | ||
TOTAL TREASURY CONTRACTS | $ 185,869 | $ (1,145) |
The face value of futures purchased as a percentage of net assets is 4.3% |
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $214,309,000. |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) (000s) | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
LCH | Sep. 2017 | $ 11,600 | 3-month LIBOR | 1.5% | $ (59) | $ 0 | $ (59) |
LCH | Sep. 2020 | 6,800 | 3-month LIBOR | 2.25% | (126) | 0 | (126) |
CME | Sep. 2025 | 22,400 | 2.75% | 3-month LIBOR | 653 | 0 | 653 |
CME | Sep. 2045 | 1,100 | 3% | 3-month LIBOR | 63 | $ 0 | $ 63 |
LCH | Sep. 2045 | 19,300 | 3-month LIBOR | 3% | (1,217) | 0 | (1,217) |
TOTAL INTEREST RATE SWAPS | $ (686) | $ 0 | $ (686) |
|
(1) Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,465,000. |
(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $4,252,000. |
(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$11,302,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 11,302 |
$131,858,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 131,858 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Mortgage Backed Securities Central Fund | $ 22,562 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Mortgage Backed Securities Central Fund | $ 909,967 | $ 129,953 | $ 0 | $ 1,044,642 | 20.4% |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $ 2,178,593 | $ - | $ 2,178,593 | $ - |
U.S. Government Agency - Mortgage Securities | 155,212 | - | 155,212 | - |
Collateralized Mortgage Obligations | 621,314 | - | 621,314 | - |
Commercial Mortgage Securities | 302,774 | - | 302,774 | - |
Foreign Government and Government Agency Obligations | 157,137 | - | 157,137 | - |
Fixed-Income Funds | 1,044,642 | 1,044,642 | - | - |
Cash Equivalents | 143,160 | - | 143,160 | - |
Total Investments in Securities: | $ 4,602,832 | $ 1,044,642 | $ 3,558,190 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $ 716 | $ - | $ 716 | $ - |
Liabilities | ||||
Futures Contracts | $ (1,145) | $ (1,145) | $ - | $ - |
Swaps | (1,402) | - | (1,402) | - |
Total Liabilities: | $ (2,547) | $ (1,145) | $ (1,402) | $ - |
Total Derivative Instruments: | $ (1,831) | $ (1,145) | $ (686) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (25,989) | $ - | $ (25,989) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ - | $ (1,145) |
Swaps (b) | 716 | (1,402) |
Total Value of Derivatives | $ 716 | $ (2,547) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) |
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $11,081 and repurchase agreements of $143,160) - See accompanying schedule: Unaffiliated issuers (cost $3,516,770) | $ 3,558,190 |
|
Fidelity Central Funds (cost $996,061) | 1,044,642 |
|
Total Investments (cost $4,512,831) |
| $ 4,602,832 |
Cash |
| 1 |
Receivable for investments sold | 248 | |
Receivable for TBA sale commitments |
| 26,075 |
Receivable for fund shares sold | 4,671 | |
Interest receivable | 12,618 | |
Other receivables | 46 | |
Total assets | 4,646,491 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 181,734 |
|
Delayed delivery | 46,843 | |
TBA sale commitments, at value | 25,989 | |
Payable for fund shares redeemed | 14,832 | |
Distributions payable | 181 | |
Accrued management fee | 1,121 | |
Distribution and service plan fees payable | 131 | |
Payable for daily variation margin for derivative instruments | 280 | |
Other affiliated payables | 551 | |
Other payables and accrued expenses | 45 | |
Collateral on securities loaned, at value | 11,302 | |
Total liabilities | 283,009 | |
|
|
|
Net Assets | $ 4,363,482 | |
Net Assets consist of: |
| |
Paid in capital | $ 4,285,969 | |
Distributions in excess of net investment income | (1,257) | |
Accumulated undistributed net realized gain (loss) on investments | (9,486) | |
Net unrealized appreciation (depreciation) on investments | 88,256 | |
Net Assets | $ 4,363,482 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) |
| August 31, 2015 |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($221,548 ÷ 21,104 shares) | $ 10.50 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.50) | $ 10.94 | |
Class T: | ||
Net Asset Value and redemption price per share ($180,646 ÷ 17,210 shares) | $ 10.50 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.50) | $ 10.94 | |
Class B: | ||
Net Asset Value and offering price per share ($5,890 ÷ 561 shares)A | $ 10.50 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($54,262 ÷ 5,170 shares)A | $ 10.50 | |
|
|
|
Government Income: | ||
Net Asset Value, offering price and redemption price per share ($3,489,132 ÷ 332,903 shares) | $ 10.48 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($412,004 ÷ 39,251 shares) | $ 10.50 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended August 31, 2015 | |
|
|
|
Investment Income |
|
|
Interest |
| $ 60,410 |
Income from Fidelity Central Funds |
| 22,562 |
Total income |
| 82,972 |
|
|
|
Expenses | ||
Management fee | $ 13,128 | |
Transfer agent fees | 4,750 | |
Distribution and service plan fees | 1,735 | |
Fund wide operations fee | 1,652 | |
Independent trustees' compensation | 18 | |
Miscellaneous | 17 | |
Total expenses before reductions | 21,300 | |
Net investment income (loss) | 61,672 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 25,952 | |
Futures contracts | 7,745 | |
Swaps | (307) |
|
Total net realized gain (loss) |
| 33,390 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (21,347) | |
Futures contracts | (2,587) | |
Swaps | 28 |
|
Delayed delivery commitments | 353 |
|
Total change in net unrealized appreciation (depreciation) |
| (23,553) |
Net gain (loss) | 9,837 | |
Net increase (decrease) in net assets resulting from operations | $ 71,509 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 61,672 | $ 65,951 |
Net realized gain (loss) | 33,390 | 21,718 |
Change in net unrealized appreciation (depreciation) | (23,553) | 87,347 |
Net increase (decrease) in net assets resulting from operations | 71,509 | 175,016 |
Distributions to shareholders from net investment income | (57,747) | (66,200) |
Distributions to shareholders from net realized gain | (10,638) | (2,860) |
Total distributions | (68,385) | (69,060) |
Share transactions - net increase (decrease) | 395,805 | (454,179) |
Total increase (decrease) in net assets | 398,929 | (348,223) |
|
|
|
Net Assets | ||
Beginning of period | 3,964,553 | 4,312,776 |
End of period (including distributions in excess of net investment income of $1,257 and distributions in excess of net investment income of $6,396, respectively) | $ 4,363,482 | $ 3,964,553 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.70 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .126 | .138 | .105 | .141 | .015 | .199 |
Net realized and unrealized gain (loss) | .048 | .278 | (.454) | .327 | .199 | .108 |
Total from investment operations | .174 | .416 | (.349) | .468 | .214 | .307 |
Distributions from net investment income | (.116) | (.139) | (.099) | (.135) | (.014) | (.191) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.144) | (.146) | (.421) | (.398) | (.014) | (.447) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.70 |
Total ReturnB, C, D | 1.67% | 4.10% | (3.29)% | 4.39% | 2.00% | 2.94% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | .77% | .77% | .77% | .77% | .76%A | .77% |
Expenses net of fee waivers, if any | .77% | .77% | .77% | .77% | .76%A | .77% |
Expenses net of all reductions | .77% | .77% | .77% | .77% | .76%A | .77% |
Net investment income (loss) | 1.20% | 1.34% | .99% | 1.30% | 1.61%A | 1.88% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 222 | $ 246 | $ 291 | $ 380 | $ 345 | $ 329 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A, K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .127 | .140 | .107 | .143 | .015 | .201 |
Net realized and unrealized gain (loss) | .048 | .277 | (.454) | .327 | .209 | .098 |
Total from investment operations | .175 | .417 | (.347) | .470 | .224 | .299 |
Distributions from net investment income | (.117) | (.140) | (.101) | (.137) | (.014) | (.193) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.145) | (.147) | (.423) | (.400) | (.014) | (.449) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | 1.68% | 4.12% | (3.27)% | 4.41% | 2.10% | 2.86% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | .76% | .76% | .75% | .75% | .75%A | .76% |
Expenses net of fee waivers, if any | .76% | .76% | .75% | .75% | .75%A | .76% |
Expenses net of all reductions | .76% | .76% | .75% | .75% | .75%A | .76% |
Net investment income (loss) | 1.20% | 1.36% | 1.01% | 1.32% | 1.62%A | 1.89% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 181 | $ 196 | $ 228 | $ 309 | $ 286 | $ 272 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .049 | .063 | .028 | .062 | .008 | .122 |
Net realized and unrealized gain (loss) | .049 | .278 | (.454) | .328 | .210 | .098 |
Total from investment operations | .098 | .341 | (.426) | .390 | .218 | .220 |
Distributions from net investment income | (.040) | (.064) | (.022) | (.057) | (.008) | (.114) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.068) | (.071) | (.344) | (.320) | (.008) | (.370) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | .93% | 3.36% | (3.99)% | 3.64% | 2.04% | 2.10% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Expenses net of fee waivers, if any | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Expenses net of all reductions | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Net investment income (loss) | .46% | .61% | .26% | .58% | .90%A | 1.15% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 6 | $ 9 | $ 13 | $ 20 | $ 26 | $ 25 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.96 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .044 | .059 | .025 | .060 | .008 | .121 |
Net realized and unrealized gain (loss) | .048 | .278 | (.443) | .318 | .210 | .098 |
Total from investment operations | .092 | .337 | (.418) | .378 | .218 | .219 |
Distributions from net investment income | (.034) | (.060) | (.020) | (.055) | (.008) | (.113) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.062) | (.067) | (.342) | (.318) | (.008) | (.369) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.96 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | .88% | 3.32% | (3.93)% | 3.53% | 2.04% | 2.09% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Expenses net of fee waivers, if any | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Expenses net of all reductions | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Net investment income (loss) | .42% | .57% | .24% | .56% | .88%A | 1.14% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 54 | $ 58 | $ 73 | $ 98 | $ 95 | $ 89 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011G | 2011I |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.45 | $ 10.18 | $ 10.95 | $ 10.88 | $ 10.68 | $ 10.82 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)D | .159 | .171 | .138 | .175 | .018 | .233 |
Net realized and unrealized gain (loss) | .048 | .278 | (.453) | .328 | .199 | .108 |
Total from investment operations | .207 | .449 | (.315) | .503 | .217 | .341 |
Distributions from net investment income | (.149) | (.172) | (.133) | (.170) | (.017) | (.225) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.177) | (.179) | (.455) | (.433) | (.017) | (.481) |
Net asset value, end of period | $ 10.48 | $ 10.45 | $ 10.18 | $ 10.95 | $ 10.88 | $ 10.68 |
Total ReturnB, C | 1.99% | 4.45% | (2.99)% | 4.73% | 2.03% | 3.27% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Net investment income (loss) | 1.51% | 1.66% | 1.31% | 1.62% | 1.91%A | 2.20% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,489 | $ 3,157 | $ 3,412 | $ 4,313 | $ 4,270 | $ 4,167 |
Portfolio turnover rateF | 83% | 131% | 192% | 222% | 466%A,J | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I For the period ended July 31.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011G | 2011I |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)D | .154 | .166 | .133 | .169 | .017 | .225 |
Net realized and unrealized gain (loss) | .048 | .277 | (.454) | .327 | .210 | .099 |
Total from investment operations | .202 | .443 | (.321) | .496 | .227 | .324 |
Distributions from net investment income | (.144) | (.166) | (.127) | (.163) | (.017) | (.218) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.172) | (.173) | (.449) | (.426) | (.017) | (.474) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C | 1.94% | 4.38% | (3.03)% | 4.66% | 2.12% | 3.10% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .51% | .52%A | .52% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .51% | .52%A | .52% |
Expenses net of all reductions | .50% | .51% | .51% | .51% | .52%A | .52% |
Net investment income (loss) | 1.46% | 1.61% | 1.26% | 1.56% | 1.84%A | 2.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 412 | $ 298 | $ 296 | $ 334 | $ 344 | $ 344 |
Portfolio turnover rateF | 83% | 131% | 192% | 222% | 466%A,J | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I For the period ended July 31.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
(Amounts in thousands except percentages)
1. Organization.
Fidelity Government Income Fund (the Fund) is a 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 C, Government Income and Class I (formerly Institutional Class) shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment | Investment | Expense Ratio* |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual
shareholder report.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
Annual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations, U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 72,462 |
Gross unrealized depreciation | (33,811) |
Net unrealized appreciation (depreciation) on securities | $ 38,651 |
|
|
Tax cost | $ 4,564,181 |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 21,224 |
Undistributed long-term capital gain | $ 18,581 |
Net unrealized appreciation (depreciation) on securities and other investments | $ 37,753 |
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 61,170 | $ 69,060 |
Long-term Capital Gains | 7,215 | - |
Total | $ 68,385 | $ 69,060 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
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3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral
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4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk |
|
|
Futures Contracts | $ 7,745 | $ (2,587) |
Purchased Options | (1,266) | 1,216 |
Swaps | (307) | 28 |
Totals (a) | $ 6,172 | $ (1,343) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net
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4. Derivative Instruments - continued
Options - continued
realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $156,617 and $15,381, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.
In addition, under the expense contract, the investment adviser pays class-level expenses for Government Income, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an
Annual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services.
For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 593 | $ 4 |
Class T | -% | .25% | 476 | 2 |
Class B | .65% | .25% | 67 | 49 |
Class C | .75% | .25% | 599 | 46 |
|
|
| $ 1,735 | $ 101 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 14 |
Class T | 4 |
Class B* | 4 |
Class C* | 5 |
| $ 27 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Government Income. FIIOC receives an asset-based fee of .10% of Government Income's average net
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
|
Amount | % of |
Class A | $ 395 | .17 |
Class T | 305 | .16 |
Class B | 19 | .25 |
Class C | 115 | .19 |
Government Income | 3,368 | .10 |
Class I | 548 | .15 |
| $ 4,750 |
|
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
Annual Report
8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $143.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 | 2014 |
From net investment income |
|
|
Class A | $ 2,625 | $ 3,486 |
Class T | 2,118 | 2,832 |
Class B | 28 | 64 |
Class C | 195 | 374 |
Government Income | 47,788 | 54,450 |
Class I | 4,993 | 4,994 |
Total | $ 57,747 | $ 66,200 |
From net realized gain |
|
|
Class A | $ 646 | $ 183 |
Class T | 523 | 147 |
Class B | 22 | 8 |
Class C | 154 | 46 |
Government Income | 8,467 | 2,266 |
Class I | 826 | 210 |
Total | $ 10,638 | $ 2,860 |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
10. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015 | 2014 | 2015 | 2014 |
Class A |
|
|
|
|
Shares sold | 6,410 | 4,076 | $ 67,517 | $ 42,098 |
Reinvestment of distributions | 298 | 333 | 3,143 | 3,442 |
Shares redeemed | (9,109) | (9,464) | (95,762) | (97,492) |
Net increase (decrease) | (2,401) | (5,055) | $ (25,102) | $ (51,952) |
Class T |
|
|
|
|
Shares sold | 5,058 | 3,767 | $ 53,356 | $ 38,865 |
Reinvestment of distributions | 244 | 282 | 2,573 | 2,910 |
Shares redeemed | (6,808) | (7,679) | (71,811) | (79,131) |
Net increase (decrease) | (1,506) | (3,630) | $ (15,882) | $ (37,356) |
Class B |
|
|
|
|
Shares sold | 30 | 28 | $ 319 | $ 284 |
Reinvestment of distributions | 4 | 5 | 40 | 54 |
Shares redeemed | (303) | (468) | (3,186) | (4,813) |
Net increase (decrease) | (269) | (435) | $ (2,827) | $ (4,475) |
Class C |
|
|
|
|
Shares sold | 2,397 | 725 | $ 25,389 | $ 7,489 |
Reinvestment of distributions | 27 | 31 | 282 | 321 |
Shares redeemed | (2,806) | (2,355) | (29,497) | (24,278) |
Net increase (decrease) | (382) | (1,599) | $ (3,826) | $ (16,468) |
Government Income |
|
|
|
|
Shares sold | 102,857 | 58,390 | $ 1,086,736 | $ 600,976 |
Reinvestment of distributions | 5,138 | 5,285 | 54,081 | 54,536 |
Shares redeemed | (77,145) | (96,607) | (811,762) | (993,763) |
Net increase (decrease) | 30,850 | (32,932) | $ 329,055 | $ (338,251) |
Class I |
|
|
|
|
Shares sold | 22,692 | 9,661 | $ 240,263 | $ 99,548 |
Reinvestment of distributions | 536 | 488 | 5,652 | 5,040 |
Shares redeemed | (12,486) | (10,680) | (131,528) | (110,265) |
Net increase (decrease) | 10,742 | (531) | $ 114,387 | $ (5,677) |
Annual Report
11. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Government Income 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 Government Income Fund (a fund of Fidelity Income Fund) at August 31, 2015, 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 periods indicated, 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 Government Income 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversees 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
| Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007- |
Annual Report
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustee) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Trustee Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Advisory Board Member and Officers:
Correspondence intended for each officer, and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Fidelity Government Income Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class A | 10/12/15 | 10/09/15 | $0.082 |
Class T | 10/12/15 | 10/09/15 | $0.082 |
Class B | 10/12/15 | 10/09/15 | $0.082 |
Class C | 10/12/15 | 10/09/15 | $0.082 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015, $21,856,234, or, if subsequently determined to be different, the net capital gain of such year.
A total of 37.14% 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 $38,762,225 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money
Management, Inc.
FMR Investment Management (U.K.)
Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
AGVT-UANN-1015 1.834241.108
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Government Income
Fund - Class I
(formerly Institutional Class)
Annual Report
August 31, 2015
(Fidelity Cover Art)
Class I is a class of
Fidelity® Government Income Fund
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2015 | Past 1 | Past 5 | Past 10 |
Class I A | 1.94% | 2.30% | 4.14% |
A The initial offering of Class I shares took place on October 24, 2006. Returns prior to October 24, 2006, are those of Fidelity® Government Income Fund, the original class of the fund.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Government Income Fund - Class I on August 31, 2005. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Government Bond Index performed over the same period. See footnote A above for additional information regarding the performance of Class I.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from William Irving, Lead Portfolio Manager: The fund's share classes posted low single-digit gains for the 12 months (excluding sales charges, if applicable), but overall lagged the 2.37% return of the benchmark Barclays 75% U.S. Government/25% U.S MBS Blended Index. Owning Treasury Inflation-Protected Securities (TIPS), which are not in the benchmark, hurt us. TIPS performed poorly as inflation expectations dropped to a five-year low. The fund's performance was hurt also by "pricing basis." The fund is priced daily at 4:00 p.m. Eastern time, while the benchmark is priced at 3:00 p.m. Eastern. This led to pricing dispersion on the final hour of the final day of the review period. In contrast, our focus on certain prepayment-resistant mortgage-backed securities (MBS) proved a plus, more than offsetting the modest amount of ground we lost by slightly overweighting the sector in lieu of comparable Treasuries. For example, our overweighting in high-coupon MBS aided our result. Overweighting reverse-mortgage securities, which can help older homeowners turn a portion of their home equity into cash, was another plus.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 996.80 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
Class T | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 996.80 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
Class B | 1.48% |
|
|
|
Actual |
| $ 1,000.00 | $ 993.10 | $ 7.44 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.74 | $ 7.53 |
Class C | 1.53% |
|
|
|
Actual |
| $ 1,000.00 | $ 992.90 | $ 7.69 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.49 | $ 7.78 |
Government Income | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 998.30 | $ 2.27 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
|
|
|
Actual |
| $ 1,000.00 | $ 998.10 | $ 2.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Coupon Distribution as of August 31, 2015 | ||
| % of fund's investments | % of fund's investments |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 17.1 | 17.1 |
1 - 1.99% | 23.1 | 24.3 |
2 - 2.99% | 12.3 | 10.5 |
3 - 3.99% | 22.4 | 20.5 |
4 - 4.99% | 13.2 | 13.9 |
5 - 5.99% | 9.2 | 9.2 |
6 - 6.99% | 0.7 | 0.9 |
7% and above | 0.7 | 0.9 |
|
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.9 | 6.0 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.0 | 4.8 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Percentages shown as 0.0% may reflect amounts less than 0.05%. | |||||||
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Mortgage |
| ![]() | Mortgage |
| ||
![]() | CMOs and |
| ![]() | CMOs and |
| ||
![]() | U.S. Treasury |
| ![]() | U.S. Treasury |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & Government Agency Obligations 3.6% |
| ![]() | Foreign Government & Government Agency Obligations 2.9% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 3.6% |
| ** Foreign investments | 2.9% |
| ||
* Futures and Swaps | 3.2% |
| ** Futures and Swaps | 3.8% |
| ||
† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investments in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
†† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 49.9% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 0.8% | ||||
Fannie Mae: | ||||
1.125% 7/20/18 | $ 229 | $ 229 | ||
1.625% 11/27/18 | 913 | 924 | ||
Small Business Administration guaranteed development participation certificates: | ||||
Series 2002-20J Class 1, 4.75% 10/1/22 | 1,359 | 1,431 | ||
Series 2002-20K Class 1, 5.08% 11/1/22 | 2,161 | 2,317 | ||
Series 2004-20H Class 1, 5.17% 8/1/24 | 744 | 806 | ||
Tennessee Valley Authority: | ||||
1.75% 10/15/18 | 23,006 | 23,365 | ||
5.25% 9/15/39 | 2,807 | 3,445 | ||
5.375% 4/1/56 | 3,438 | 4,241 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 36,758 | |||
U.S. Treasury Inflation-Protected Obligations - 1.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 58,733 | 52,833 | ||
1.375% 2/15/44 | 23,946 | 25,152 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 77,985 | |||
U.S. Treasury Obligations - 45.3% | ||||
U.S. Treasury Bonds: | ||||
2.875% 8/15/45 | 16,000 | 15,744 | ||
3% 11/15/44 | 22,500 | 22,611 | ||
3% 5/15/45 | 63,797 | 64,249 | ||
3.375% 5/15/44 | 6,265 | 6,764 | ||
3.625% 2/15/44 (e) | 27,582 | 31,186 | ||
4.375% 2/15/38 | 51,154 | 64,683 | ||
5% 5/15/37 (d) | 41,142 | 56,624 | ||
U.S. Treasury Notes: | ||||
0.375% 10/31/16 | 66,800 | 66,704 | ||
0.5% 2/28/17 | 64,339 | 64,236 | ||
0.5% 3/31/17 | 15,000 | 14,968 | ||
0.5% 4/30/17 | 49,500 | 49,371 | ||
0.625% 11/15/16 | 4,315 | 4,320 | ||
0.625% 12/15/16 | 1,129 | 1,130 | ||
0.625% 12/31/16 | 62,265 | 62,318 | ||
0.625% 2/15/17 | 12,000 | 12,003 | ||
0.625% 7/31/17 | 40,000 | 39,935 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
0.625% 8/31/17 | $ 20,000 | $ 19,953 | ||
0.75% 1/15/17 | 10,000 | 10,022 | ||
0.75% 6/30/17 | 3,736 | 3,738 | ||
0.75% 4/15/18 | 46,723 | 46,435 | ||
0.875% 11/30/16 | 7,522 | 7,554 | ||
0.875% 1/31/17 | 704 | 707 | ||
0.875% 5/15/17 | 15,893 | 15,944 | ||
0.875% 8/15/17 | 715 | 717 | ||
0.875% 10/15/17 | 4,191 | 4,195 | ||
0.875% 1/31/18 | 4,683 | 4,677 | ||
0.875% 7/31/19 | 6,174 | 6,056 | ||
1% 9/30/16 | 41,719 | 41,962 | ||
1% 10/31/16 | 39,991 | 40,219 | ||
1% 5/31/18 | 58,578 | 58,531 | ||
1% 8/15/18 | 20,000 | 19,966 | ||
1.25% 11/30/18 | 35,000 | 35,076 | ||
1.375% 7/31/18 | 14,780 | 14,908 | ||
1.375% 9/30/18 | 17,526 | 17,657 | ||
1.375% 2/28/19 | 69,770 | 70,048 | ||
1.375% 3/31/20 | 144,474 | 143,676 | ||
1.375% 4/30/20 | 4,172 | 4,146 | ||
1.375% 8/31/20 | 25,000 | 24,813 | ||
1.5% 12/31/18 | 10,768 | 10,868 | ||
1.5% 1/31/19 | 43,197 | 43,568 | ||
1.5% 1/31/22 | 59,399 | 57,988 | ||
1.625% 4/30/19 | 11,603 | 11,735 | ||
1.625% 6/30/19 | 51,223 | 51,747 | ||
1.625% 12/31/19 | 41,368 | 41,643 | ||
1.625% 6/30/20 | 21,692 | 21,777 | ||
1.625% 7/31/20 (b) | 30,000 | 30,100 | ||
1.75% 9/30/19 | 78,340 | 79,388 | ||
1.75% 10/31/20 | 18,000 | 18,096 | ||
1.75% 2/28/22 | 5,000 | 4,953 | ||
1.75% 3/31/22 | 19,942 | 19,740 | ||
1.875% 8/31/17 | 27,000 | 27,581 | ||
1.875% 9/30/17 | 67,400 | 68,865 | ||
1.875% 8/31/22 | 15,000 | 14,955 | ||
2% 5/31/21 | 10,000 | 10,119 | ||
2% 7/31/22 | 10,000 | 10,043 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2% 8/15/25 | $ 15,000 | $ 14,713 | ||
2.125% 6/30/21 | 22,000 | 22,400 | ||
2.125% 12/31/21 | 2,000 | 2,029 | ||
2.125% 6/30/22 | 51,197 | 51,860 | ||
2.125% 5/15/25 | 6,000 | 5,946 | ||
2.25% 3/31/21 | 17,358 | 17,828 | ||
2.25% 4/30/21 | 32,286 | 33,130 | ||
2.375% 7/31/17 | 741 | 764 | ||
2.5% 6/30/17 | 10,000 | 10,324 | ||
2.75% 11/30/16 | 18,530 | 19,043 | ||
3.125% 1/31/17 | 39,773 | 41,180 | ||
3.5% 2/15/18 | 23,836 | 25,314 | ||
4.5% 5/15/17 | 24,685 | 26,292 | ||
4.75% 8/15/17 | 12,983 | 13,985 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,975,820 | |||
Other Government Related - 2.0% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5385% 12/7/20 (NCUA Guaranteed) (f) | 4,583 | 4,576 | ||
Series 2011-R4 Class 1A, 0.5708% 3/6/20 (NCUA Guaranteed) (f) | 3,436 | 3,442 | ||
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 80,012 | ||
TOTAL OTHER GOVERNMENT RELATED | 88,030 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,157,352) | 2,178,593 | |||
U.S. Government Agency - Mortgage Securities - 3.6% | ||||
| ||||
Fannie Mae - 1.8% | ||||
1.85% 10/1/33 (f) | 186 | 193 | ||
1.885% 2/1/33 (f) | 112 | 117 | ||
1.91% 12/1/34 (f) | 196 | 205 | ||
1.91% 3/1/35 (f) | 96 | 101 | ||
1.915% 11/1/33 (f) | 277 | 291 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
1.931% 10/1/33 (f) | $ 65 | $ 68 | ||
1.94% 7/1/35 (f) | 68 | 71 | ||
2.05% 3/1/35 (f) | 16 | 17 | ||
2.149% 3/1/36 (f) | 664 | 701 | ||
2.19% 3/1/37 (f) | 115 | 122 | ||
2.194% 7/1/34 (f) | 118 | 125 | ||
2.273% 3/1/40 (f) | 2,140 | 2,285 | ||
2.302% 6/1/36 (f) | 189 | 202 | ||
2.334% 7/1/35 (f) | 252 | 267 | ||
2.36% 11/1/36 (f) | 119 | 127 | ||
2.421% 10/1/33 (f) | 133 | 142 | ||
2.458% 3/1/35 (f) | 100 | 107 | ||
2.511% 2/1/36 (f) | 50 | 53 | ||
2.544% 5/1/36 (f) | 182 | 194 | ||
2.557% 6/1/42 (f) | 415 | 429 | ||
2.69% 2/1/42 (f) | 2,314 | 2,393 | ||
2.758% 1/1/42 (f) | 2,206 | 2,294 | ||
2.96% 11/1/40 (f) | 244 | 256 | ||
2.982% 9/1/41 (f) | 251 | 261 | ||
3% 9/1/45 (c) | 20,700 | 20,789 | ||
3% 10/1/45 (c) | 20,700 | 20,738 | ||
3.059% 10/1/41 (f) | 111 | 116 | ||
3.239% 7/1/41 (f) | 418 | 442 | ||
3.309% 10/1/41 (f) | 235 | 247 | ||
3.554% 7/1/41 (f) | 476 | 504 | ||
4% 2/1/42 | 488 | 521 | ||
4.5% 7/1/33 to 4/1/39 | 4,804 | 5,265 | ||
4.5% 9/1/45 (c) | 4,800 | 5,200 | ||
5% 7/1/35 | 10,649 | 11,792 | ||
5.5% 1/1/29 | 2,275 | 2,542 | ||
6.5% 2/1/17 to 5/1/27 | 438 | 493 | ||
9.5% 10/1/20 | 13 | 14 | ||
11.5% 6/15/19 to 1/15/21 | 3 | 3 | ||
| 79,687 | |||
Freddie Mac - 0.5% | ||||
1.82% 3/1/35 (f) | 470 | 488 | ||
2.121% 5/1/37 (f) | 323 | 345 | ||
2.394% 10/1/42 (f) | 2,460 | 2,594 | ||
2.49% 6/1/35 (f) | 456 | 485 | ||
2.506% 2/1/36 (f) | 29 | 31 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
2.722% 3/1/33 (f) | $ 22 | $ 24 | ||
2.757% 7/1/36 (f) | 371 | 397 | ||
2.798% 7/1/35 (f) | 1,216 | 1,301 | ||
3% 11/1/42 to 2/1/43 | 4,474 | 4,529 | ||
3.091% 9/1/41 (f) | 2,412 | 2,510 | ||
3.155% 10/1/35 (f) | 180 | 191 | ||
3.22% 9/1/41 (f) | 271 | 284 | ||
3.235% 4/1/41 (f) | 293 | 307 | ||
3.289% 6/1/41 (f) | 311 | 329 | ||
3.444% 5/1/41 (f) | 290 | 304 | ||
3.62% 6/1/41 (f) | 452 | 478 | ||
3.705% 5/1/41 (f) | 386 | 409 | ||
4.5% 5/1/39 to 10/1/41 | 4,137 | 4,530 | ||
5.5% 7/1/29 | 46 | 52 | ||
6% 1/1/24 | 1,784 | 1,966 | ||
9.5% 6/1/18 to 8/1/21 | 24 | 26 | ||
| 21,580 | |||
Ginnie Mae - 1.3% | ||||
3.5% 9/1/45 (c) | 100 | 104 | ||
4.3% 8/20/61 (k) | 4,958 | 5,215 | ||
4.649% 2/20/62 (k) | 3,412 | 3,662 | ||
4.682% 2/20/62 (k) | 4,302 | 4,609 | ||
4.684% 1/20/62 (k) | 25,578 | 27,361 | ||
5.47% 8/20/59 (k) | 1,685 | 1,739 | ||
5.5% 11/15/35 | 2,634 | 2,983 | ||
5.612% 4/20/58 (k) | 1,470 | 1,493 | ||
6% 6/15/36 | 5,823 | 6,779 | ||
| 53,945 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $153,186) | 155,212 | |||
Collateralized Mortgage Obligations - 14.2% | ||||
| ||||
U.S. Government Agency - 14.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2001-38 Class QF, 1.1794% 8/25/31 (f) | 130 | 133 | ||
Series 2002-49 Class FB, 0.7996% 11/18/31 (f) | 118 | 119 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (f) | 51 | 52 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
floater: | ||||
Series 2002-75 Class FA, 1.1994% 11/25/32 (f) | $ 105 | $ 107 | ||
Series 2010-15 Class FJ, 1.1294% 6/25/36 (f) | 8,297 | 8,452 | ||
planned amortization class: | ||||
Series 2005-19 Class PA, 5.5% 7/25/34 | 2,806 | 3,039 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 2,058 | 2,134 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,775 | 3,041 | ||
Series 2005-68 Class CZ, 5.5% 8/25/35 | 5,673 | 6,372 | ||
Series 2006-45 Class OP, 0% 6/25/36 (i) | 1,186 | 1,053 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 7,053 | 7,607 | ||
Series 2015-5 Class CP, 3% 6/25/43 | 42,093 | 43,657 | ||
Series 2015-54 Class GA, 2.5% 7/25/45 | 12,965 | 13,320 | ||
sequential payer: | ||||
Series 2003-117 Class MD, 5% 12/25/23 | 1,373 | 1,509 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 8,205 | 9,070 | ||
Series 2005-117 Class JN, 4.5% 1/25/36 | 645 | 705 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,475 | 2,737 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 5,377 | 5,953 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 3,372 | 3,727 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (h) | 584 | 48 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (h) | 877 | 71 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 5,712 | 810 | ||
Series 2010-39 Class FG, 1.1194% 3/25/36 (f) | 5,215 | 5,347 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 1,866 | 137 | ||
Series 2012-27 Class EZ, 4.25% 3/25/42 | 7,980 | 8,596 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2530 Class FE, 0.7976% 2/15/32 (f) | 72 | 73 | ||
Series 2630 Class FL, 0.6976% 6/15/18 (f) | 57 | 57 | ||
Series 2682 Class FB, 1.0976% 10/15/33 (f) | 4,544 | 4,636 | ||
Series 2711 Class FC, 1.0976% 2/15/33 (f) | 2,845 | 2,897 | ||
planned amortization class: | ||||
Series 1141 Class G, 9% 9/15/21 | 60 | 69 | ||
Series 2356 Class GD, 6% 9/15/16 | 15 | 16 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 109 | 111 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 52 | 53 | ||
Series 2672 Class MG, 5% 9/15/23 | 6,659 | 7,214 | ||
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 845 | ||
Series 3415 Class PC, 5% 12/15/37 | 843 | 910 | ||
Series 3763 Class QA, 4% 4/15/34 | 2,437 | 2,524 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | $ 3,536 | $ 3,627 | ||
sequential payer: | ||||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 10,783 | 12,201 | ||
Series 2587 Class AD, 4.71% 3/15/33 | 5,180 | 5,574 | ||
Series 2773 Class HC, 4.5% 4/15/19 | 620 | 646 | ||
Series 2877 Class ZD, 5% 10/15/34 | 9,726 | 10,717 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 8,067 | 8,898 | ||
Series 3745 Class KV, 4.5% 12/15/26 | 7,333 | 8,079 | ||
Series 3871 Class KB, 5.5% 6/15/41 | 13,870 | 15,770 | ||
Series 3843 Class PZ, 5% 4/15/41 | 2,316 | 2,729 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-2 Class FD, 0.6828% 1/20/38 (f) | 363 | 366 | ||
Series 2008-73 Class FA, 1.0628% 8/20/38 (f) | 2,583 | 2,636 | ||
Series 2008-83 Class FB, 1.1028% 9/20/38 (f) | 2,578 | 2,632 | ||
Series 2009-108 Class CF, 0.7976% 11/16/39 (f) | 1,709 | 1,727 | ||
Series 2011-H20 Class FA, 0.7382% 9/20/61 (f)(k) | 10,852 | 10,888 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (f)(k) | 7,338 | 7,373 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (f)(k) | 6,142 | 6,179 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (f)(k) | 3,803 | 3,826 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (f)(k) | 5,818 | 5,854 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (f)(k) | 3,487 | 3,514 | ||
Series 2013-H19: | ||||
Class FC, 0.7882% 8/20/63 (f)(k) | 1,238 | 1,245 | ||
Class FD, 0.7882% 8/20/63 (f)(k) | 3,391 | 3,408 | ||
Series 2014-H02 Class FB, 0.8382% 12/20/63 (f)(k) | 40,266 | 40,466 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (f)(k) | 17,130 | 17,223 | ||
Series 2015-H07 Class FA, 0.3% 3/20/65 (f)(k) | 28,047 | 27,988 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (f)(k) | 45,007 | 44,917 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (f)(k) | 43,200 | 43,119 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 246 | 249 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 11,267 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (k) | 18,677 | 20,146 | ||
Series 2010-H17 Class XP, 5.3% 7/20/60 (f)(k) | 24,825 | 26,653 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
Series 2010-H18 Class PL, 5.01% 9/20/60 (f)(k) | $ 18,269 | $ 19,673 | ||
Series 2012-64 Class KB, 5.7099% 5/20/41 (f) | 1,269 | 1,442 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (f)(j) | 6,373 | 7,412 | ||
Class ST, 8.5297% 8/20/39 (f)(j) | 11,972 | 14,055 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 17,318 | 17,747 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (k) | 6,645 | 6,806 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (k) | 55,661 | 57,061 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $616,193) | 621,314 | |||
Commercial Mortgage Securities - 6.9% | ||||
| ||||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (f) | 550 | 548 | ||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,740 | 4,100 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 24,840 | 27,174 | ||
Series K009 Class A2, 3.808% 8/25/20 | 32,528 | 35,158 | ||
Series K034 Class A1, 2.669% 2/25/23 | 14,765 | 15,188 | ||
Series K717 Class A2, 2.991% 9/25/21 | 9,506 | 9,880 | ||
Series K032 Class A1, 3.016% 2/25/23 | 25,691 | 26,908 | ||
Series K039 Class A2, 3.303% 7/25/24 | 24,645 | 25,575 | ||
Series K042 Class A2, 2.67% 12/25/24 | 22,200 | 21,856 | ||
Series K047 Class A2, 3.329% 5/25/25 | 32,284 | 33,485 | ||
Series K501 Class A2, 1.655% 11/25/16 | 9,638 | 9,707 | ||
Series K716 Class A2, 3.13% 6/25/21 | 6,500 | 6,821 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates: | ||||
sequential payer Series K718 Class A2, 2.791% 1/25/22 | 27,400 | 28,149 | ||
Series K044 Class A2, 2.811% 1/25/25 | 58,600 | 58,225 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $303,620) | 302,774 | |||
Foreign Government and Government Agency Obligations - 3.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Israeli State: | ||||
(guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | $ 72,266 | $ 87,706 | ||
5.5% 12/4/23 | 48 | 58 | ||
5.5% 4/26/24 | 6,065 | 7,406 | ||
Jordanian Kingdom: | ||||
2.503% 10/30/20 | 41,050 | 42,349 | ||
3% 6/30/25 | 19,267 | 19,618 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $143,259) | 157,137 |
Fixed-Income Funds - 24.0% | |||
Shares |
| ||
Fidelity Mortgage Backed Securities Central Fund (g) | 9,569,826 |
| |
Cash Equivalents - 3.3% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15: | |||
(Collateralized by U.S. Government Obligations) # (a) | $ 11,302 | 11,302 | |
(Collateralized by U.S. Government Obligations) # | 131,859 | 131,858 | |
TOTAL CASH EQUIVALENTS (Cost $143,160) |
| ||
TOTAL INVESTMENT PORTFOLIO - 105.5% (Cost $4,512,831) | 4,602,832 | ||
NET OTHER ASSETS (LIABILITIES) - (5.5)% | (239,350) | ||
NET ASSETS - 100% | $ 4,363,482 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) | Value (000s) | |
Fannie Mae | |||
3% 9/1/45 | $ (20,700) | $ (20,789) | |
4.5% 9/1/45 | (4,800) | (5,200) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $26,075) | $ (25,989) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
207 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | $ 26,302 | $ (170) | ||
350 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 76,464 | (116) | ||
156 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 18,632 | (89) | ||
407 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 64,471 | (770) | ||
TOTAL TREASURY CONTRACTS | $ 185,869 | $ (1,145) |
The face value of futures purchased as a percentage of net assets is 4.3% |
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $214,309,000. |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) (000s) | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
LCH | Sep. 2017 | $ 11,600 | 3-month LIBOR | 1.5% | $ (59) | $ 0 | $ (59) |
LCH | Sep. 2020 | 6,800 | 3-month LIBOR | 2.25% | (126) | 0 | (126) |
CME | Sep. 2025 | 22,400 | 2.75% | 3-month LIBOR | 653 | 0 | 653 |
CME | Sep. 2045 | 1,100 | 3% | 3-month LIBOR | 63 | $ 0 | $ 63 |
LCH | Sep. 2045 | 19,300 | 3-month LIBOR | 3% | (1,217) | 0 | (1,217) |
TOTAL INTEREST RATE SWAPS | $ (686) | $ 0 | $ (686) |
|
(1) Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,465,000. |
(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $4,252,000. |
(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$11,302,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 11,302 |
$131,858,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 131,858 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Mortgage Backed Securities Central Fund | $ 22,562 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Mortgage Backed Securities Central Fund | $ 909,967 | $ 129,953 | $ 0 | $ 1,044,642 | 20.4% |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $ 2,178,593 | $ - | $ 2,178,593 | $ - |
U.S. Government Agency - Mortgage Securities | 155,212 | - | 155,212 | - |
Collateralized Mortgage Obligations | 621,314 | - | 621,314 | - |
Commercial Mortgage Securities | 302,774 | - | 302,774 | - |
Foreign Government and Government Agency Obligations | 157,137 | - | 157,137 | - |
Fixed-Income Funds | 1,044,642 | 1,044,642 | - | - |
Cash Equivalents | 143,160 | - | 143,160 | - |
Total Investments in Securities: | $ 4,602,832 | $ 1,044,642 | $ 3,558,190 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $ 716 | $ - | $ 716 | $ - |
Liabilities | ||||
Futures Contracts | $ (1,145) | $ (1,145) | $ - | $ - |
Swaps | (1,402) | - | (1,402) | - |
Total Liabilities: | $ (2,547) | $ (1,145) | $ (1,402) | $ - |
Total Derivative Instruments: | $ (1,831) | $ (1,145) | $ (686) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (25,989) | $ - | $ (25,989) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ - | $ (1,145) |
Swaps (b) | 716 | (1,402) |
Total Value of Derivatives | $ 716 | $ (2,547) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) |
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $11,081 and repurchase agreements of $143,160) - See accompanying schedule: Unaffiliated issuers (cost $3,516,770) | $ 3,558,190 |
|
Fidelity Central Funds (cost $996,061) | 1,044,642 |
|
Total Investments (cost $4,512,831) |
| $ 4,602,832 |
Cash |
| 1 |
Receivable for investments sold | 248 | |
Receivable for TBA sale commitments |
| 26,075 |
Receivable for fund shares sold | 4,671 | |
Interest receivable | 12,618 | |
Other receivables | 46 | |
Total assets | 4,646,491 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 181,734 |
|
Delayed delivery | 46,843 | |
TBA sale commitments, at value | 25,989 | |
Payable for fund shares redeemed | 14,832 | |
Distributions payable | 181 | |
Accrued management fee | 1,121 | |
Distribution and service plan fees payable | 131 | |
Payable for daily variation margin for derivative instruments | 280 | |
Other affiliated payables | 551 | |
Other payables and accrued expenses | 45 | |
Collateral on securities loaned, at value | 11,302 | |
Total liabilities | 283,009 | |
|
|
|
Net Assets | $ 4,363,482 | |
Net Assets consist of: |
| |
Paid in capital | $ 4,285,969 | |
Distributions in excess of net investment income | (1,257) | |
Accumulated undistributed net realized gain (loss) on investments | (9,486) | |
Net unrealized appreciation (depreciation) on investments | 88,256 | |
Net Assets | $ 4,363,482 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) |
| August 31, 2015 |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($221,548 ÷ 21,104 shares) | $ 10.50 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.50) | $ 10.94 | |
Class T: | ||
Net Asset Value and redemption price per share ($180,646 ÷ 17,210 shares) | $ 10.50 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.50) | $ 10.94 | |
Class B: | ||
Net Asset Value and offering price per share ($5,890 ÷ 561 shares)A | $ 10.50 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($54,262 ÷ 5,170 shares)A | $ 10.50 | |
|
|
|
Government Income: | ||
Net Asset Value, offering price and redemption price per share ($3,489,132 ÷ 332,903 shares) | $ 10.48 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($412,004 ÷ 39,251 shares) | $ 10.50 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended August 31, 2015 | |
|
|
|
Investment Income |
|
|
Interest |
| $ 60,410 |
Income from Fidelity Central Funds |
| 22,562 |
Total income |
| 82,972 |
|
|
|
Expenses | ||
Management fee | $ 13,128 | |
Transfer agent fees | 4,750 | |
Distribution and service plan fees | 1,735 | |
Fund wide operations fee | 1,652 | |
Independent trustees' compensation | 18 | |
Miscellaneous | 17 | |
Total expenses before reductions | 21,300 | |
Net investment income (loss) | 61,672 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 25,952 | |
Futures contracts | 7,745 | |
Swaps | (307) |
|
Total net realized gain (loss) |
| 33,390 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (21,347) | |
Futures contracts | (2,587) | |
Swaps | 28 |
|
Delayed delivery commitments | 353 |
|
Total change in net unrealized appreciation (depreciation) |
| (23,553) |
Net gain (loss) | 9,837 | |
Net increase (decrease) in net assets resulting from operations | $ 71,509 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 61,672 | $ 65,951 |
Net realized gain (loss) | 33,390 | 21,718 |
Change in net unrealized appreciation (depreciation) | (23,553) | 87,347 |
Net increase (decrease) in net assets resulting from operations | 71,509 | 175,016 |
Distributions to shareholders from net investment income | (57,747) | (66,200) |
Distributions to shareholders from net realized gain | (10,638) | (2,860) |
Total distributions | (68,385) | (69,060) |
Share transactions - net increase (decrease) | 395,805 | (454,179) |
Total increase (decrease) in net assets | 398,929 | (348,223) |
|
|
|
Net Assets | ||
Beginning of period | 3,964,553 | 4,312,776 |
End of period (including distributions in excess of net investment income of $1,257 and distributions in excess of net investment income of $6,396, respectively) | $ 4,363,482 | $ 3,964,553 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.70 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .126 | .138 | .105 | .141 | .015 | .199 |
Net realized and unrealized gain (loss) | .048 | .278 | (.454) | .327 | .199 | .108 |
Total from investment operations | .174 | .416 | (.349) | .468 | .214 | .307 |
Distributions from net investment income | (.116) | (.139) | (.099) | (.135) | (.014) | (.191) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.144) | (.146) | (.421) | (.398) | (.014) | (.447) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.70 |
Total ReturnB, C, D | 1.67% | 4.10% | (3.29)% | 4.39% | 2.00% | 2.94% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | .77% | .77% | .77% | .77% | .76%A | .77% |
Expenses net of fee waivers, if any | .77% | .77% | .77% | .77% | .76%A | .77% |
Expenses net of all reductions | .77% | .77% | .77% | .77% | .76%A | .77% |
Net investment income (loss) | 1.20% | 1.34% | .99% | 1.30% | 1.61%A | 1.88% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 222 | $ 246 | $ 291 | $ 380 | $ 345 | $ 329 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A, K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .127 | .140 | .107 | .143 | .015 | .201 |
Net realized and unrealized gain (loss) | .048 | .277 | (.454) | .327 | .209 | .098 |
Total from investment operations | .175 | .417 | (.347) | .470 | .224 | .299 |
Distributions from net investment income | (.117) | (.140) | (.101) | (.137) | (.014) | (.193) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.145) | (.147) | (.423) | (.400) | (.014) | (.449) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | 1.68% | 4.12% | (3.27)% | 4.41% | 2.10% | 2.86% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | .76% | .76% | .75% | .75% | .75%A | .76% |
Expenses net of fee waivers, if any | .76% | .76% | .75% | .75% | .75%A | .76% |
Expenses net of all reductions | .76% | .76% | .75% | .75% | .75%A | .76% |
Net investment income (loss) | 1.20% | 1.36% | 1.01% | 1.32% | 1.62%A | 1.89% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 181 | $ 196 | $ 228 | $ 309 | $ 286 | $ 272 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .049 | .063 | .028 | .062 | .008 | .122 |
Net realized and unrealized gain (loss) | .049 | .278 | (.454) | .328 | .210 | .098 |
Total from investment operations | .098 | .341 | (.426) | .390 | .218 | .220 |
Distributions from net investment income | (.040) | (.064) | (.022) | (.057) | (.008) | (.114) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.068) | (.071) | (.344) | (.320) | (.008) | (.370) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | .93% | 3.36% | (3.99)% | 3.64% | 2.04% | 2.10% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Expenses net of fee waivers, if any | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Expenses net of all reductions | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Net investment income (loss) | .46% | .61% | .26% | .58% | .90%A | 1.15% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 6 | $ 9 | $ 13 | $ 20 | $ 26 | $ 25 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.96 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .044 | .059 | .025 | .060 | .008 | .121 |
Net realized and unrealized gain (loss) | .048 | .278 | (.443) | .318 | .210 | .098 |
Total from investment operations | .092 | .337 | (.418) | .378 | .218 | .219 |
Distributions from net investment income | (.034) | (.060) | (.020) | (.055) | (.008) | (.113) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.062) | (.067) | (.342) | (.318) | (.008) | (.369) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.96 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | .88% | 3.32% | (3.93)% | 3.53% | 2.04% | 2.09% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Expenses net of fee waivers, if any | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Expenses net of all reductions | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Net investment income (loss) | .42% | .57% | .24% | .56% | .88%A | 1.14% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 54 | $ 58 | $ 73 | $ 98 | $ 95 | $ 89 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011G | 2011I |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.45 | $ 10.18 | $ 10.95 | $ 10.88 | $ 10.68 | $ 10.82 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)D | .159 | .171 | .138 | .175 | .018 | .233 |
Net realized and unrealized gain (loss) | .048 | .278 | (.453) | .328 | .199 | .108 |
Total from investment operations | .207 | .449 | (.315) | .503 | .217 | .341 |
Distributions from net investment income | (.149) | (.172) | (.133) | (.170) | (.017) | (.225) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.177) | (.179) | (.455) | (.433) | (.017) | (.481) |
Net asset value, end of period | $ 10.48 | $ 10.45 | $ 10.18 | $ 10.95 | $ 10.88 | $ 10.68 |
Total ReturnB, C | 1.99% | 4.45% | (2.99)% | 4.73% | 2.03% | 3.27% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Net investment income (loss) | 1.51% | 1.66% | 1.31% | 1.62% | 1.91%A | 2.20% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,489 | $ 3,157 | $ 3,412 | $ 4,313 | $ 4,270 | $ 4,167 |
Portfolio turnover rateF | 83% | 131% | 192% | 222% | 466%A,J | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I For the period ended July 31.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011G | 2011I |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)D | .154 | .166 | .133 | .169 | .017 | .225 |
Net realized and unrealized gain (loss) | .048 | .277 | (.454) | .327 | .210 | .099 |
Total from investment operations | .202 | .443 | (.321) | .496 | .227 | .324 |
Distributions from net investment income | (.144) | (.166) | (.127) | (.163) | (.017) | (.218) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.172) | (.173) | (.449) | (.426) | (.017) | (.474) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C | 1.94% | 4.38% | (3.03)% | 4.66% | 2.12% | 3.10% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .51% | .52%A | .52% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .51% | .52%A | .52% |
Expenses net of all reductions | .50% | .51% | .51% | .51% | .52%A | .52% |
Net investment income (loss) | 1.46% | 1.61% | 1.26% | 1.56% | 1.84%A | 2.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 412 | $ 298 | $ 296 | $ 334 | $ 344 | $ 344 |
Portfolio turnover rateF | 83% | 131% | 192% | 222% | 466%A,J | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I For the period ended July 31.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
(Amounts in thousands except percentages)
1. Organization.
Fidelity Government Income Fund (the Fund) is a 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 C, Government Income and Class I (formerly Institutional Class) shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment | Investment | Expense Ratio* |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual
shareholder report.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
Annual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations, U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 72,462 |
Gross unrealized depreciation | (33,811) |
Net unrealized appreciation (depreciation) on securities | $ 38,651 |
|
|
Tax cost | $ 4,564,181 |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 21,224 |
Undistributed long-term capital gain | $ 18,581 |
Net unrealized appreciation (depreciation) on securities and other investments | $ 37,753 |
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 61,170 | $ 69,060 |
Long-term Capital Gains | 7,215 | - |
Total | $ 68,385 | $ 69,060 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Annual Report
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral
Annual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk |
|
|
Futures Contracts | $ 7,745 | $ (2,587) |
Purchased Options | (1,266) | 1,216 |
Swaps | (307) | 28 |
Totals (a) | $ 6,172 | $ (1,343) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net
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4. Derivative Instruments - continued
Options - continued
realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $156,617 and $15,381, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.
In addition, under the expense contract, the investment adviser pays class-level expenses for Government Income, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an
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6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services.
For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 593 | $ 4 |
Class T | -% | .25% | 476 | 2 |
Class B | .65% | .25% | 67 | 49 |
Class C | .75% | .25% | 599 | 46 |
|
|
| $ 1,735 | $ 101 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 14 |
Class T | 4 |
Class B* | 4 |
Class C* | 5 |
| $ 27 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Government Income. FIIOC receives an asset-based fee of .10% of Government Income's average net
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
|
Amount | % of |
Class A | $ 395 | .17 |
Class T | 305 | .16 |
Class B | 19 | .25 |
Class C | 115 | .19 |
Government Income | 3,368 | .10 |
Class I | 548 | .15 |
| $ 4,750 |
|
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
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8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $143.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 | 2014 |
From net investment income |
|
|
Class A | $ 2,625 | $ 3,486 |
Class T | 2,118 | 2,832 |
Class B | 28 | 64 |
Class C | 195 | 374 |
Government Income | 47,788 | 54,450 |
Class I | 4,993 | 4,994 |
Total | $ 57,747 | $ 66,200 |
From net realized gain |
|
|
Class A | $ 646 | $ 183 |
Class T | 523 | 147 |
Class B | 22 | 8 |
Class C | 154 | 46 |
Government Income | 8,467 | 2,266 |
Class I | 826 | 210 |
Total | $ 10,638 | $ 2,860 |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
10. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015 | 2014 | 2015 | 2014 |
Class A |
|
|
|
|
Shares sold | 6,410 | 4,076 | $ 67,517 | $ 42,098 |
Reinvestment of distributions | 298 | 333 | 3,143 | 3,442 |
Shares redeemed | (9,109) | (9,464) | (95,762) | (97,492) |
Net increase (decrease) | (2,401) | (5,055) | $ (25,102) | $ (51,952) |
Class T |
|
|
|
|
Shares sold | 5,058 | 3,767 | $ 53,356 | $ 38,865 |
Reinvestment of distributions | 244 | 282 | 2,573 | 2,910 |
Shares redeemed | (6,808) | (7,679) | (71,811) | (79,131) |
Net increase (decrease) | (1,506) | (3,630) | $ (15,882) | $ (37,356) |
Class B |
|
|
|
|
Shares sold | 30 | 28 | $ 319 | $ 284 |
Reinvestment of distributions | 4 | 5 | 40 | 54 |
Shares redeemed | (303) | (468) | (3,186) | (4,813) |
Net increase (decrease) | (269) | (435) | $ (2,827) | $ (4,475) |
Class C |
|
|
|
|
Shares sold | 2,397 | 725 | $ 25,389 | $ 7,489 |
Reinvestment of distributions | 27 | 31 | 282 | 321 |
Shares redeemed | (2,806) | (2,355) | (29,497) | (24,278) |
Net increase (decrease) | (382) | (1,599) | $ (3,826) | $ (16,468) |
Government Income |
|
|
|
|
Shares sold | 102,857 | 58,390 | $ 1,086,736 | $ 600,976 |
Reinvestment of distributions | 5,138 | 5,285 | 54,081 | 54,536 |
Shares redeemed | (77,145) | (96,607) | (811,762) | (993,763) |
Net increase (decrease) | 30,850 | (32,932) | $ 329,055 | $ (338,251) |
Class I |
|
|
|
|
Shares sold | 22,692 | 9,661 | $ 240,263 | $ 99,548 |
Reinvestment of distributions | 536 | 488 | 5,652 | 5,040 |
Shares redeemed | (12,486) | (10,680) | (131,528) | (110,265) |
Net increase (decrease) | 10,742 | (531) | $ 114,387 | $ (5,677) |
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11. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Government Income 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 Government Income Fund (a fund of Fidelity Income Fund) at August 31, 2015, 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 periods indicated, 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 Government Income 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversees 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
| Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007- |
Annual Report
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustee) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Trustee Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Advisory Board Member and Officers:
Correspondence intended for each officer, and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Fidelity Government Income Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class I | 10/12/15 | 10/09/15 | $0.082 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015, $21,856,234, or, if subsequently determined to be different, the net capital gain of such year.
A total of 37.14% 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 $38,762,225 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money
Management, Inc.
FMR Investment Management (U.K.)
Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
(Fidelity Investment logo)(registered trademark)
AGVTI-UANN-1015 1.834231.108
Fidelity®
Government Income
Fund
Annual Report
August 31, 2015
(Fidelity Cover Art)
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2015 | Past 1 | Past 5 | Past 10 |
Fidelity® Government Income Fund | 1.99% | 2.35% | 4.18% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Government Income Fund, a class of the fund, on August 31, 2005. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Government Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from William Irving, Lead Portfolio Manager: The fund's share classes posted low single-digit gains for the 12 months (excluding sales charges, if applicable), but overall lagged the 2.37% return of the benchmark Barclays 75% U.S. Government/25% U.S MBS Blended Index. Owning Treasury Inflation-Protected Securities (TIPS), which are not in the benchmark, hurt us. TIPS performed poorly as inflation expectations dropped to a five-year low. The fund's performance was hurt also by "pricing basis." The fund is priced daily at 4:00 p.m. Eastern time, while the benchmark is priced at 3:00 p.m. Eastern. This led to pricing dispersion on the final hour of the final day of the review period. In contrast, our focus on certain prepayment-resistant mortgage-backed securities (MBS) proved a plus, more than offsetting the modest amount of ground we lost by slightly overweighting the sector in lieu of comparable Treasuries. For example, our overweighting in high-coupon MBS aided our result. Overweighting reverse-mortgage securities, which can help older homeowners turn a portion of their home equity into cash, was another plus.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 996.80 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
Class T | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 996.80 | $ 3.83 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
Class B | 1.48% |
|
|
|
Actual |
| $ 1,000.00 | $ 993.10 | $ 7.44 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.74 | $ 7.53 |
Class C | 1.53% |
|
|
|
Actual |
| $ 1,000.00 | $ 992.90 | $ 7.69 |
HypotheticalA |
| $ 1,000.00 | $ 1,017.49 | $ 7.78 |
Government Income | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 998.30 | $ 2.27 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
|
|
|
Actual |
| $ 1,000.00 | $ 998.10 | $ 2.52 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Coupon Distribution as of August 31, 2015 | ||
| % of fund's investments | % of fund's investments |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 17.1 | 17.1 |
1 - 1.99% | 23.1 | 24.3 |
2 - 2.99% | 12.3 | 10.5 |
3 - 3.99% | 22.4 | 20.5 |
4 - 4.99% | 13.2 | 13.9 |
5 - 5.99% | 9.2 | 9.2 |
6 - 6.99% | 0.7 | 0.9 |
7% and above | 0.7 | 0.9 |
|
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.9 | 6.0 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.0 | 4.8 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Percentages shown as 0.0% may reflect amounts less than 0.05%. | |||||||
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Mortgage |
| ![]() | Mortgage |
| ||
![]() | CMOs and |
| ![]() | CMOs and |
| ||
![]() | U.S. Treasury |
| ![]() | U.S. Treasury |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & Government Agency Obligations 3.6% |
| ![]() | Foreign Government & Government Agency Obligations 2.9% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 3.6% |
| ** Foreign investments | 2.9% |
| ||
* Futures and Swaps | 3.2% |
| ** Futures and Swaps | 3.8% |
| ||
† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investments in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
†† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart. |
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 49.9% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 0.8% | ||||
Fannie Mae: | ||||
1.125% 7/20/18 | $ 229 | $ 229 | ||
1.625% 11/27/18 | 913 | 924 | ||
Small Business Administration guaranteed development participation certificates: | ||||
Series 2002-20J Class 1, 4.75% 10/1/22 | 1,359 | 1,431 | ||
Series 2002-20K Class 1, 5.08% 11/1/22 | 2,161 | 2,317 | ||
Series 2004-20H Class 1, 5.17% 8/1/24 | 744 | 806 | ||
Tennessee Valley Authority: | ||||
1.75% 10/15/18 | 23,006 | 23,365 | ||
5.25% 9/15/39 | 2,807 | 3,445 | ||
5.375% 4/1/56 | 3,438 | 4,241 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 36,758 | |||
U.S. Treasury Inflation-Protected Obligations - 1.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 58,733 | 52,833 | ||
1.375% 2/15/44 | 23,946 | 25,152 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 77,985 | |||
U.S. Treasury Obligations - 45.3% | ||||
U.S. Treasury Bonds: | ||||
2.875% 8/15/45 | 16,000 | 15,744 | ||
3% 11/15/44 | 22,500 | 22,611 | ||
3% 5/15/45 | 63,797 | 64,249 | ||
3.375% 5/15/44 | 6,265 | 6,764 | ||
3.625% 2/15/44 (e) | 27,582 | 31,186 | ||
4.375% 2/15/38 | 51,154 | 64,683 | ||
5% 5/15/37 (d) | 41,142 | 56,624 | ||
U.S. Treasury Notes: | ||||
0.375% 10/31/16 | 66,800 | 66,704 | ||
0.5% 2/28/17 | 64,339 | 64,236 | ||
0.5% 3/31/17 | 15,000 | 14,968 | ||
0.5% 4/30/17 | 49,500 | 49,371 | ||
0.625% 11/15/16 | 4,315 | 4,320 | ||
0.625% 12/15/16 | 1,129 | 1,130 | ||
0.625% 12/31/16 | 62,265 | 62,318 | ||
0.625% 2/15/17 | 12,000 | 12,003 | ||
0.625% 7/31/17 | 40,000 | 39,935 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
0.625% 8/31/17 | $ 20,000 | $ 19,953 | ||
0.75% 1/15/17 | 10,000 | 10,022 | ||
0.75% 6/30/17 | 3,736 | 3,738 | ||
0.75% 4/15/18 | 46,723 | 46,435 | ||
0.875% 11/30/16 | 7,522 | 7,554 | ||
0.875% 1/31/17 | 704 | 707 | ||
0.875% 5/15/17 | 15,893 | 15,944 | ||
0.875% 8/15/17 | 715 | 717 | ||
0.875% 10/15/17 | 4,191 | 4,195 | ||
0.875% 1/31/18 | 4,683 | 4,677 | ||
0.875% 7/31/19 | 6,174 | 6,056 | ||
1% 9/30/16 | 41,719 | 41,962 | ||
1% 10/31/16 | 39,991 | 40,219 | ||
1% 5/31/18 | 58,578 | 58,531 | ||
1% 8/15/18 | 20,000 | 19,966 | ||
1.25% 11/30/18 | 35,000 | 35,076 | ||
1.375% 7/31/18 | 14,780 | 14,908 | ||
1.375% 9/30/18 | 17,526 | 17,657 | ||
1.375% 2/28/19 | 69,770 | 70,048 | ||
1.375% 3/31/20 | 144,474 | 143,676 | ||
1.375% 4/30/20 | 4,172 | 4,146 | ||
1.375% 8/31/20 | 25,000 | 24,813 | ||
1.5% 12/31/18 | 10,768 | 10,868 | ||
1.5% 1/31/19 | 43,197 | 43,568 | ||
1.5% 1/31/22 | 59,399 | 57,988 | ||
1.625% 4/30/19 | 11,603 | 11,735 | ||
1.625% 6/30/19 | 51,223 | 51,747 | ||
1.625% 12/31/19 | 41,368 | 41,643 | ||
1.625% 6/30/20 | 21,692 | 21,777 | ||
1.625% 7/31/20 (b) | 30,000 | 30,100 | ||
1.75% 9/30/19 | 78,340 | 79,388 | ||
1.75% 10/31/20 | 18,000 | 18,096 | ||
1.75% 2/28/22 | 5,000 | 4,953 | ||
1.75% 3/31/22 | 19,942 | 19,740 | ||
1.875% 8/31/17 | 27,000 | 27,581 | ||
1.875% 9/30/17 | 67,400 | 68,865 | ||
1.875% 8/31/22 | 15,000 | 14,955 | ||
2% 5/31/21 | 10,000 | 10,119 | ||
2% 7/31/22 | 10,000 | 10,043 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2% 8/15/25 | $ 15,000 | $ 14,713 | ||
2.125% 6/30/21 | 22,000 | 22,400 | ||
2.125% 12/31/21 | 2,000 | 2,029 | ||
2.125% 6/30/22 | 51,197 | 51,860 | ||
2.125% 5/15/25 | 6,000 | 5,946 | ||
2.25% 3/31/21 | 17,358 | 17,828 | ||
2.25% 4/30/21 | 32,286 | 33,130 | ||
2.375% 7/31/17 | 741 | 764 | ||
2.5% 6/30/17 | 10,000 | 10,324 | ||
2.75% 11/30/16 | 18,530 | 19,043 | ||
3.125% 1/31/17 | 39,773 | 41,180 | ||
3.5% 2/15/18 | 23,836 | 25,314 | ||
4.5% 5/15/17 | 24,685 | 26,292 | ||
4.75% 8/15/17 | 12,983 | 13,985 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,975,820 | |||
Other Government Related - 2.0% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5385% 12/7/20 (NCUA Guaranteed) (f) | 4,583 | 4,576 | ||
Series 2011-R4 Class 1A, 0.5708% 3/6/20 (NCUA Guaranteed) (f) | 3,436 | 3,442 | ||
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 80,012 | ||
TOTAL OTHER GOVERNMENT RELATED | 88,030 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,157,352) | 2,178,593 | |||
U.S. Government Agency - Mortgage Securities - 3.6% | ||||
| ||||
Fannie Mae - 1.8% | ||||
1.85% 10/1/33 (f) | 186 | 193 | ||
1.885% 2/1/33 (f) | 112 | 117 | ||
1.91% 12/1/34 (f) | 196 | 205 | ||
1.91% 3/1/35 (f) | 96 | 101 | ||
1.915% 11/1/33 (f) | 277 | 291 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - continued | ||||
1.931% 10/1/33 (f) | $ 65 | $ 68 | ||
1.94% 7/1/35 (f) | 68 | 71 | ||
2.05% 3/1/35 (f) | 16 | 17 | ||
2.149% 3/1/36 (f) | 664 | 701 | ||
2.19% 3/1/37 (f) | 115 | 122 | ||
2.194% 7/1/34 (f) | 118 | 125 | ||
2.273% 3/1/40 (f) | 2,140 | 2,285 | ||
2.302% 6/1/36 (f) | 189 | 202 | ||
2.334% 7/1/35 (f) | 252 | 267 | ||
2.36% 11/1/36 (f) | 119 | 127 | ||
2.421% 10/1/33 (f) | 133 | 142 | ||
2.458% 3/1/35 (f) | 100 | 107 | ||
2.511% 2/1/36 (f) | 50 | 53 | ||
2.544% 5/1/36 (f) | 182 | 194 | ||
2.557% 6/1/42 (f) | 415 | 429 | ||
2.69% 2/1/42 (f) | 2,314 | 2,393 | ||
2.758% 1/1/42 (f) | 2,206 | 2,294 | ||
2.96% 11/1/40 (f) | 244 | 256 | ||
2.982% 9/1/41 (f) | 251 | 261 | ||
3% 9/1/45 (c) | 20,700 | 20,789 | ||
3% 10/1/45 (c) | 20,700 | 20,738 | ||
3.059% 10/1/41 (f) | 111 | 116 | ||
3.239% 7/1/41 (f) | 418 | 442 | ||
3.309% 10/1/41 (f) | 235 | 247 | ||
3.554% 7/1/41 (f) | 476 | 504 | ||
4% 2/1/42 | 488 | 521 | ||
4.5% 7/1/33 to 4/1/39 | 4,804 | 5,265 | ||
4.5% 9/1/45 (c) | 4,800 | 5,200 | ||
5% 7/1/35 | 10,649 | 11,792 | ||
5.5% 1/1/29 | 2,275 | 2,542 | ||
6.5% 2/1/17 to 5/1/27 | 438 | 493 | ||
9.5% 10/1/20 | 13 | 14 | ||
11.5% 6/15/19 to 1/15/21 | 3 | 3 | ||
| 79,687 | |||
Freddie Mac - 0.5% | ||||
1.82% 3/1/35 (f) | 470 | 488 | ||
2.121% 5/1/37 (f) | 323 | 345 | ||
2.394% 10/1/42 (f) | 2,460 | 2,594 | ||
2.49% 6/1/35 (f) | 456 | 485 | ||
2.506% 2/1/36 (f) | 29 | 31 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
2.722% 3/1/33 (f) | $ 22 | $ 24 | ||
2.757% 7/1/36 (f) | 371 | 397 | ||
2.798% 7/1/35 (f) | 1,216 | 1,301 | ||
3% 11/1/42 to 2/1/43 | 4,474 | 4,529 | ||
3.091% 9/1/41 (f) | 2,412 | 2,510 | ||
3.155% 10/1/35 (f) | 180 | 191 | ||
3.22% 9/1/41 (f) | 271 | 284 | ||
3.235% 4/1/41 (f) | 293 | 307 | ||
3.289% 6/1/41 (f) | 311 | 329 | ||
3.444% 5/1/41 (f) | 290 | 304 | ||
3.62% 6/1/41 (f) | 452 | 478 | ||
3.705% 5/1/41 (f) | 386 | 409 | ||
4.5% 5/1/39 to 10/1/41 | 4,137 | 4,530 | ||
5.5% 7/1/29 | 46 | 52 | ||
6% 1/1/24 | 1,784 | 1,966 | ||
9.5% 6/1/18 to 8/1/21 | 24 | 26 | ||
| 21,580 | |||
Ginnie Mae - 1.3% | ||||
3.5% 9/1/45 (c) | 100 | 104 | ||
4.3% 8/20/61 (k) | 4,958 | 5,215 | ||
4.649% 2/20/62 (k) | 3,412 | 3,662 | ||
4.682% 2/20/62 (k) | 4,302 | 4,609 | ||
4.684% 1/20/62 (k) | 25,578 | 27,361 | ||
5.47% 8/20/59 (k) | 1,685 | 1,739 | ||
5.5% 11/15/35 | 2,634 | 2,983 | ||
5.612% 4/20/58 (k) | 1,470 | 1,493 | ||
6% 6/15/36 | 5,823 | 6,779 | ||
| 53,945 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $153,186) | 155,212 | |||
Collateralized Mortgage Obligations - 14.2% | ||||
| ||||
U.S. Government Agency - 14.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2001-38 Class QF, 1.1794% 8/25/31 (f) | 130 | 133 | ||
Series 2002-49 Class FB, 0.7996% 11/18/31 (f) | 118 | 119 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (f) | 51 | 52 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
floater: | ||||
Series 2002-75 Class FA, 1.1994% 11/25/32 (f) | $ 105 | $ 107 | ||
Series 2010-15 Class FJ, 1.1294% 6/25/36 (f) | 8,297 | 8,452 | ||
planned amortization class: | ||||
Series 2005-19 Class PA, 5.5% 7/25/34 | 2,806 | 3,039 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 2,058 | 2,134 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,775 | 3,041 | ||
Series 2005-68 Class CZ, 5.5% 8/25/35 | 5,673 | 6,372 | ||
Series 2006-45 Class OP, 0% 6/25/36 (i) | 1,186 | 1,053 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 7,053 | 7,607 | ||
Series 2015-5 Class CP, 3% 6/25/43 | 42,093 | 43,657 | ||
Series 2015-54 Class GA, 2.5% 7/25/45 | 12,965 | 13,320 | ||
sequential payer: | ||||
Series 2003-117 Class MD, 5% 12/25/23 | 1,373 | 1,509 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 8,205 | 9,070 | ||
Series 2005-117 Class JN, 4.5% 1/25/36 | 645 | 705 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,475 | 2,737 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 5,377 | 5,953 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 3,372 | 3,727 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (h) | 584 | 48 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (h) | 877 | 71 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 5,712 | 810 | ||
Series 2010-39 Class FG, 1.1194% 3/25/36 (f) | 5,215 | 5,347 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 1,866 | 137 | ||
Series 2012-27 Class EZ, 4.25% 3/25/42 | 7,980 | 8,596 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2530 Class FE, 0.7976% 2/15/32 (f) | 72 | 73 | ||
Series 2630 Class FL, 0.6976% 6/15/18 (f) | 57 | 57 | ||
Series 2682 Class FB, 1.0976% 10/15/33 (f) | 4,544 | 4,636 | ||
Series 2711 Class FC, 1.0976% 2/15/33 (f) | 2,845 | 2,897 | ||
planned amortization class: | ||||
Series 1141 Class G, 9% 9/15/21 | 60 | 69 | ||
Series 2356 Class GD, 6% 9/15/16 | 15 | 16 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 109 | 111 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 52 | 53 | ||
Series 2672 Class MG, 5% 9/15/23 | 6,659 | 7,214 | ||
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 845 | ||
Series 3415 Class PC, 5% 12/15/37 | 843 | 910 | ||
Series 3763 Class QA, 4% 4/15/34 | 2,437 | 2,524 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | $ 3,536 | $ 3,627 | ||
sequential payer: | ||||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 10,783 | 12,201 | ||
Series 2587 Class AD, 4.71% 3/15/33 | 5,180 | 5,574 | ||
Series 2773 Class HC, 4.5% 4/15/19 | 620 | 646 | ||
Series 2877 Class ZD, 5% 10/15/34 | 9,726 | 10,717 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 8,067 | 8,898 | ||
Series 3745 Class KV, 4.5% 12/15/26 | 7,333 | 8,079 | ||
Series 3871 Class KB, 5.5% 6/15/41 | 13,870 | 15,770 | ||
Series 3843 Class PZ, 5% 4/15/41 | 2,316 | 2,729 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-2 Class FD, 0.6828% 1/20/38 (f) | 363 | 366 | ||
Series 2008-73 Class FA, 1.0628% 8/20/38 (f) | 2,583 | 2,636 | ||
Series 2008-83 Class FB, 1.1028% 9/20/38 (f) | 2,578 | 2,632 | ||
Series 2009-108 Class CF, 0.7976% 11/16/39 (f) | 1,709 | 1,727 | ||
Series 2011-H20 Class FA, 0.7382% 9/20/61 (f)(k) | 10,852 | 10,888 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (f)(k) | 7,338 | 7,373 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (f)(k) | 6,142 | 6,179 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (f)(k) | 3,803 | 3,826 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (f)(k) | 5,818 | 5,854 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (f)(k) | 3,487 | 3,514 | ||
Series 2013-H19: | ||||
Class FC, 0.7882% 8/20/63 (f)(k) | 1,238 | 1,245 | ||
Class FD, 0.7882% 8/20/63 (f)(k) | 3,391 | 3,408 | ||
Series 2014-H02 Class FB, 0.8382% 12/20/63 (f)(k) | 40,266 | 40,466 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (f)(k) | 17,130 | 17,223 | ||
Series 2015-H07 Class FA, 0.3% 3/20/65 (f)(k) | 28,047 | 27,988 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (f)(k) | 45,007 | 44,917 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (f)(k) | 43,200 | 43,119 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 246 | 249 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 11,267 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (k) | 18,677 | 20,146 | ||
Series 2010-H17 Class XP, 5.3% 7/20/60 (f)(k) | 24,825 | 26,653 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
Series 2010-H18 Class PL, 5.01% 9/20/60 (f)(k) | $ 18,269 | $ 19,673 | ||
Series 2012-64 Class KB, 5.7099% 5/20/41 (f) | 1,269 | 1,442 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (f)(j) | 6,373 | 7,412 | ||
Class ST, 8.5297% 8/20/39 (f)(j) | 11,972 | 14,055 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (k) | 17,318 | 17,747 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (k) | 6,645 | 6,806 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (k) | 55,661 | 57,061 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $616,193) | 621,314 | |||
Commercial Mortgage Securities - 6.9% | ||||
| ||||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (f) | 550 | 548 | ||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,740 | 4,100 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 24,840 | 27,174 | ||
Series K009 Class A2, 3.808% 8/25/20 | 32,528 | 35,158 | ||
Series K034 Class A1, 2.669% 2/25/23 | 14,765 | 15,188 | ||
Series K717 Class A2, 2.991% 9/25/21 | 9,506 | 9,880 | ||
Series K032 Class A1, 3.016% 2/25/23 | 25,691 | 26,908 | ||
Series K039 Class A2, 3.303% 7/25/24 | 24,645 | 25,575 | ||
Series K042 Class A2, 2.67% 12/25/24 | 22,200 | 21,856 | ||
Series K047 Class A2, 3.329% 5/25/25 | 32,284 | 33,485 | ||
Series K501 Class A2, 1.655% 11/25/16 | 9,638 | 9,707 | ||
Series K716 Class A2, 3.13% 6/25/21 | 6,500 | 6,821 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates: | ||||
sequential payer Series K718 Class A2, 2.791% 1/25/22 | 27,400 | 28,149 | ||
Series K044 Class A2, 2.811% 1/25/25 | 58,600 | 58,225 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $303,620) | 302,774 | |||
Foreign Government and Government Agency Obligations - 3.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Israeli State: | ||||
(guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | $ 72,266 | $ 87,706 | ||
5.5% 12/4/23 | 48 | 58 | ||
5.5% 4/26/24 | 6,065 | 7,406 | ||
Jordanian Kingdom: | ||||
2.503% 10/30/20 | 41,050 | 42,349 | ||
3% 6/30/25 | 19,267 | 19,618 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $143,259) | 157,137 |
Fixed-Income Funds - 24.0% | |||
Shares |
| ||
Fidelity Mortgage Backed Securities Central Fund (g) | 9,569,826 |
| |
Cash Equivalents - 3.3% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15: | |||
(Collateralized by U.S. Government Obligations) # (a) | $ 11,302 | 11,302 | |
(Collateralized by U.S. Government Obligations) # | 131,859 | 131,858 | |
TOTAL CASH EQUIVALENTS (Cost $143,160) |
| ||
TOTAL INVESTMENT PORTFOLIO - 105.5% (Cost $4,512,831) | 4,602,832 | ||
NET OTHER ASSETS (LIABILITIES) - (5.5)% | (239,350) | ||
NET ASSETS - 100% | $ 4,363,482 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) | Value (000s) | |
Fannie Mae | |||
3% 9/1/45 | $ (20,700) | $ (20,789) | |
4.5% 9/1/45 | (4,800) | (5,200) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $26,075) | $ (25,989) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
207 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | $ 26,302 | $ (170) | ||
350 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 76,464 | (116) | ||
156 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 18,632 | (89) | ||
407 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 64,471 | (770) | ||
TOTAL TREASURY CONTRACTS | $ 185,869 | $ (1,145) |
The face value of futures purchased as a percentage of net assets is 4.3% |
For the period, the average monthly underlying face amount at value for futures contracts in the aggregate was $214,309,000. |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) (000s) | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
LCH | Sep. 2017 | $ 11,600 | 3-month LIBOR | 1.5% | $ (59) | $ 0 | $ (59) |
LCH | Sep. 2020 | 6,800 | 3-month LIBOR | 2.25% | (126) | 0 | (126) |
CME | Sep. 2025 | 22,400 | 2.75% | 3-month LIBOR | 653 | 0 | 653 |
CME | Sep. 2045 | 1,100 | 3% | 3-month LIBOR | 63 | $ 0 | $ 63 |
LCH | Sep. 2045 | 19,300 | 3-month LIBOR | 3% | (1,217) | 0 | (1,217) |
TOTAL INTEREST RATE SWAPS | $ (686) | $ 0 | $ (686) |
|
(1) Swaps with CME Group (CME) and LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(d) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $2,465,000. |
(e) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $4,252,000. |
(f) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(g) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(h) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(i) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(j) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(k) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$11,302,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 11,302 |
$131,858,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 131,858 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Mortgage Backed Securities Central Fund | $ 22,562 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of |
Fidelity Mortgage Backed Securities Central Fund | $ 909,967 | $ 129,953 | $ 0 | $ 1,044,642 | 20.4% |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $ 2,178,593 | $ - | $ 2,178,593 | $ - |
U.S. Government Agency - Mortgage Securities | 155,212 | - | 155,212 | - |
Collateralized Mortgage Obligations | 621,314 | - | 621,314 | - |
Commercial Mortgage Securities | 302,774 | - | 302,774 | - |
Foreign Government and Government Agency Obligations | 157,137 | - | 157,137 | - |
Fixed-Income Funds | 1,044,642 | 1,044,642 | - | - |
Cash Equivalents | 143,160 | - | 143,160 | - |
Total Investments in Securities: | $ 4,602,832 | $ 1,044,642 | $ 3,558,190 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $ 716 | $ - | $ 716 | $ - |
Liabilities | ||||
Futures Contracts | $ (1,145) | $ (1,145) | $ - | $ - |
Swaps | (1,402) | - | (1,402) | - |
Total Liabilities: | $ (2,547) | $ (1,145) | $ (1,402) | $ - |
Total Derivative Instruments: | $ (1,831) | $ (1,145) | $ (686) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (25,989) | $ - | $ (25,989) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ - | $ (1,145) |
Swaps (b) | 716 | (1,402) |
Total Value of Derivatives | $ 716 | $ (2,547) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) |
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $11,081 and repurchase agreements of $143,160) - See accompanying schedule: Unaffiliated issuers (cost $3,516,770) | $ 3,558,190 |
|
Fidelity Central Funds (cost $996,061) | 1,044,642 |
|
Total Investments (cost $4,512,831) |
| $ 4,602,832 |
Cash |
| 1 |
Receivable for investments sold | 248 | |
Receivable for TBA sale commitments |
| 26,075 |
Receivable for fund shares sold | 4,671 | |
Interest receivable | 12,618 | |
Other receivables | 46 | |
Total assets | 4,646,491 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 181,734 |
|
Delayed delivery | 46,843 | |
TBA sale commitments, at value | 25,989 | |
Payable for fund shares redeemed | 14,832 | |
Distributions payable | 181 | |
Accrued management fee | 1,121 | |
Distribution and service plan fees payable | 131 | |
Payable for daily variation margin for derivative instruments | 280 | |
Other affiliated payables | 551 | |
Other payables and accrued expenses | 45 | |
Collateral on securities loaned, at value | 11,302 | |
Total liabilities | 283,009 | |
|
|
|
Net Assets | $ 4,363,482 | |
Net Assets consist of: |
| |
Paid in capital | $ 4,285,969 | |
Distributions in excess of net investment income | (1,257) | |
Accumulated undistributed net realized gain (loss) on investments | (9,486) | |
Net unrealized appreciation (depreciation) on investments | 88,256 | |
Net Assets | $ 4,363,482 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) |
| August 31, 2015 |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($221,548 ÷ 21,104 shares) | $ 10.50 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.50) | $ 10.94 | |
Class T: | ||
Net Asset Value and redemption price per share ($180,646 ÷ 17,210 shares) | $ 10.50 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.50) | $ 10.94 | |
Class B: | ||
Net Asset Value and offering price per share ($5,890 ÷ 561 shares)A | $ 10.50 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($54,262 ÷ 5,170 shares)A | $ 10.50 | |
|
|
|
Government Income: | ||
Net Asset Value, offering price and redemption price per share ($3,489,132 ÷ 332,903 shares) | $ 10.48 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($412,004 ÷ 39,251 shares) | $ 10.50 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended August 31, 2015 | |
|
|
|
Investment Income |
|
|
Interest |
| $ 60,410 |
Income from Fidelity Central Funds |
| 22,562 |
Total income |
| 82,972 |
|
|
|
Expenses | ||
Management fee | $ 13,128 | |
Transfer agent fees | 4,750 | |
Distribution and service plan fees | 1,735 | |
Fund wide operations fee | 1,652 | |
Independent trustees' compensation | 18 | |
Miscellaneous | 17 | |
Total expenses before reductions | 21,300 | |
Net investment income (loss) | 61,672 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 25,952 | |
Futures contracts | 7,745 | |
Swaps | (307) |
|
Total net realized gain (loss) |
| 33,390 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (21,347) | |
Futures contracts | (2,587) | |
Swaps | 28 |
|
Delayed delivery commitments | 353 |
|
Total change in net unrealized appreciation (depreciation) |
| (23,553) |
Net gain (loss) | 9,837 | |
Net increase (decrease) in net assets resulting from operations | $ 71,509 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 61,672 | $ 65,951 |
Net realized gain (loss) | 33,390 | 21,718 |
Change in net unrealized appreciation (depreciation) | (23,553) | 87,347 |
Net increase (decrease) in net assets resulting from operations | 71,509 | 175,016 |
Distributions to shareholders from net investment income | (57,747) | (66,200) |
Distributions to shareholders from net realized gain | (10,638) | (2,860) |
Total distributions | (68,385) | (69,060) |
Share transactions - net increase (decrease) | 395,805 | (454,179) |
Total increase (decrease) in net assets | 398,929 | (348,223) |
|
|
|
Net Assets | ||
Beginning of period | 3,964,553 | 4,312,776 |
End of period (including distributions in excess of net investment income of $1,257 and distributions in excess of net investment income of $6,396, respectively) | $ 4,363,482 | $ 3,964,553 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.70 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .126 | .138 | .105 | .141 | .015 | .199 |
Net realized and unrealized gain (loss) | .048 | .278 | (.454) | .327 | .199 | .108 |
Total from investment operations | .174 | .416 | (.349) | .468 | .214 | .307 |
Distributions from net investment income | (.116) | (.139) | (.099) | (.135) | (.014) | (.191) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.144) | (.146) | (.421) | (.398) | (.014) | (.447) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.70 |
Total ReturnB, C, D | 1.67% | 4.10% | (3.29)% | 4.39% | 2.00% | 2.94% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | .77% | .77% | .77% | .77% | .76%A | .77% |
Expenses net of fee waivers, if any | .77% | .77% | .77% | .77% | .76%A | .77% |
Expenses net of all reductions | .77% | .77% | .77% | .77% | .76%A | .77% |
Net investment income (loss) | 1.20% | 1.34% | .99% | 1.30% | 1.61%A | 1.88% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 222 | $ 246 | $ 291 | $ 380 | $ 345 | $ 329 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A, K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .127 | .140 | .107 | .143 | .015 | .201 |
Net realized and unrealized gain (loss) | .048 | .277 | (.454) | .327 | .209 | .098 |
Total from investment operations | .175 | .417 | (.347) | .470 | .224 | .299 |
Distributions from net investment income | (.117) | (.140) | (.101) | (.137) | (.014) | (.193) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.145) | (.147) | (.423) | (.400) | (.014) | (.449) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | 1.68% | 4.12% | (3.27)% | 4.41% | 2.10% | 2.86% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | .76% | .76% | .75% | .75% | .75%A | .76% |
Expenses net of fee waivers, if any | .76% | .76% | .75% | .75% | .75%A | .76% |
Expenses net of all reductions | .76% | .76% | .75% | .75% | .75%A | .76% |
Net investment income (loss) | 1.20% | 1.36% | 1.01% | 1.32% | 1.62%A | 1.89% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 181 | $ 196 | $ 228 | $ 309 | $ 286 | $ 272 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .049 | .063 | .028 | .062 | .008 | .122 |
Net realized and unrealized gain (loss) | .049 | .278 | (.454) | .328 | .210 | .098 |
Total from investment operations | .098 | .341 | (.426) | .390 | .218 | .220 |
Distributions from net investment income | (.040) | (.064) | (.022) | (.057) | (.008) | (.114) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.068) | (.071) | (.344) | (.320) | (.008) | (.370) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | .93% | 3.36% | (3.99)% | 3.64% | 2.04% | 2.10% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Expenses net of fee waivers, if any | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Expenses net of all reductions | 1.50% | 1.50% | 1.50% | 1.49% | 1.49%A | 1.50% |
Net investment income (loss) | .46% | .61% | .26% | .58% | .90%A | 1.15% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 6 | $ 9 | $ 13 | $ 20 | $ 26 | $ 25 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011H | 2011J |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.96 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)E | .044 | .059 | .025 | .060 | .008 | .121 |
Net realized and unrealized gain (loss) | .048 | .278 | (.443) | .318 | .210 | .098 |
Total from investment operations | .092 | .337 | (.418) | .378 | .218 | .219 |
Distributions from net investment income | (.034) | (.060) | (.020) | (.055) | (.008) | (.113) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.062) | (.067) | (.342) | (.318) | (.008) | (.369) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.96 | $ 10.90 | $ 10.69 |
Total ReturnB, C, D | .88% | 3.32% | (3.93)% | 3.53% | 2.04% | 2.09% |
Ratios to Average Net AssetsF, I |
|
|
|
|
|
|
Expenses before reductions | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Expenses net of fee waivers, if any | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Expenses net of all reductions | 1.55% | 1.54% | 1.52% | 1.51% | 1.50%A | 1.51% |
Net investment income (loss) | .42% | .57% | .24% | .56% | .88%A | 1.14% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 54 | $ 58 | $ 73 | $ 98 | $ 95 | $ 89 |
Portfolio turnover rateG | 83% | 131% | 192% | 222% | 466%A,K | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
J For the period ended July 31.
K Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011G | 2011I |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.45 | $ 10.18 | $ 10.95 | $ 10.88 | $ 10.68 | $ 10.82 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)D | .159 | .171 | .138 | .175 | .018 | .233 |
Net realized and unrealized gain (loss) | .048 | .278 | (.453) | .328 | .199 | .108 |
Total from investment operations | .207 | .449 | (.315) | .503 | .217 | .341 |
Distributions from net investment income | (.149) | (.172) | (.133) | (.170) | (.017) | (.225) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.177) | (.179) | (.455) | (.433) | (.017) | (.481) |
Net asset value, end of period | $ 10.48 | $ 10.45 | $ 10.18 | $ 10.95 | $ 10.88 | $ 10.68 |
Total ReturnB, C | 1.99% | 4.45% | (2.99)% | 4.73% | 2.03% | 3.27% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Net investment income (loss) | 1.51% | 1.66% | 1.31% | 1.62% | 1.91%A | 2.20% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,489 | $ 3,157 | $ 3,412 | $ 4,313 | $ 4,270 | $ 4,167 |
Portfolio turnover rateF | 83% | 131% | 192% | 222% | 466%A,J | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I For the period ended July 31.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Government Income Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011G | 2011I |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 | $ 10.84 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss)D | .154 | .166 | .133 | .169 | .017 | .225 |
Net realized and unrealized gain (loss) | .048 | .277 | (.454) | .327 | .210 | .099 |
Total from investment operations | .202 | .443 | (.321) | .496 | .227 | .324 |
Distributions from net investment income | (.144) | (.166) | (.127) | (.163) | (.017) | (.218) |
Distributions from net realized gain | (.028) | (.007) | (.322) | (.263) | - | (.256) |
Total distributions | (.172) | (.173) | (.449) | (.426) | (.017) | (.474) |
Net asset value, end of period | $ 10.50 | $ 10.47 | $ 10.20 | $ 10.97 | $ 10.90 | $ 10.69 |
Total ReturnB, C | 1.94% | 4.38% | (3.03)% | 4.66% | 2.12% | 3.10% |
Ratios to Average Net AssetsE, H |
|
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .51% | .52%A | .52% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .51% | .52%A | .52% |
Expenses net of all reductions | .50% | .51% | .51% | .51% | .52%A | .52% |
Net investment income (loss) | 1.46% | 1.61% | 1.26% | 1.56% | 1.84%A | 2.13% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 412 | $ 298 | $ 296 | $ 334 | $ 344 | $ 344 |
Portfolio turnover rateF | 83% | 131% | 192% | 222% | 466%A,J | 430% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds were less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the one month period ended August 31. The Fund changed its fiscal year from July 31 to August 31, effective August 31, 2011.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I For the period ended July 31.
J Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
(Amounts in thousands except percentages)
1. Organization.
Fidelity Government Income Fund (the Fund) is a 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 C, Government Income and Class I (formerly Institutional Class) shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment | Investment | Expense Ratio* |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual
shareholder report.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
Annual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations, U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 72,462 |
Gross unrealized depreciation | (33,811) |
Net unrealized appreciation (depreciation) on securities | $ 38,651 |
|
|
Tax cost | $ 4,564,181 |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 21,224 |
Undistributed long-term capital gain | $ 18,581 |
Net unrealized appreciation (depreciation) on securities and other investments | $ 37,753 |
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 61,170 | $ 69,060 |
Long-term Capital Gains | 7,215 | - |
Total | $ 68,385 | $ 69,060 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
Annual Report
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral
Annual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk |
|
|
Futures Contracts | $ 7,745 | $ (2,587) |
Purchased Options | (1,266) | 1,216 |
Swaps | (307) | 28 |
Totals (a) | $ 6,172 | $ (1,343) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net
Annual Report
4. Derivative Instruments - continued
Options - continued
realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $156,617 and $15,381, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee and Expense Contract. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .31% of the Fund's average net assets.
In addition, under the expense contract, the investment adviser pays class-level expenses for Government Income, so that the total expenses, except the compensation of the independent Trustees and certain other expenses such as interest expense, including commitment fees do not exceed .45% of the Class' average net assets. This agreement does not apply to any of the other classes and any change or modification that would increase expenses can only be made with shareholder approval.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an
Annual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees - continued
annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services.
For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 593 | $ 4 |
Class T | -% | .25% | 476 | 2 |
Class B | .65% | .25% | 67 | 49 |
Class C | .75% | .25% | 599 | 46 |
|
|
| $ 1,735 | $ 101 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 14 |
Class T | 4 |
Class B* | 4 |
Class C* | 5 |
| $ 27 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Government Income. FIIOC receives an asset-based fee of .10% of Government Income's average net
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
|
Amount | % of |
Class A | $ 395 | .17 |
Class T | 305 | .16 |
Class B | 19 | .25 |
Class C | 115 | .19 |
Government Income | 3,368 | .10 |
Class I | 548 | .15 |
| $ 4,750 |
|
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $6 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
Annual Report
8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $143.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 | 2014 |
From net investment income |
|
|
Class A | $ 2,625 | $ 3,486 |
Class T | 2,118 | 2,832 |
Class B | 28 | 64 |
Class C | 195 | 374 |
Government Income | 47,788 | 54,450 |
Class I | 4,993 | 4,994 |
Total | $ 57,747 | $ 66,200 |
From net realized gain |
|
|
Class A | $ 646 | $ 183 |
Class T | 523 | 147 |
Class B | 22 | 8 |
Class C | 154 | 46 |
Government Income | 8,467 | 2,266 |
Class I | 826 | 210 |
Total | $ 10,638 | $ 2,860 |
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
10. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015 | 2014 | 2015 | 2014 |
Class A |
|
|
|
|
Shares sold | 6,410 | 4,076 | $ 67,517 | $ 42,098 |
Reinvestment of distributions | 298 | 333 | 3,143 | 3,442 |
Shares redeemed | (9,109) | (9,464) | (95,762) | (97,492) |
Net increase (decrease) | (2,401) | (5,055) | $ (25,102) | $ (51,952) |
Class T |
|
|
|
|
Shares sold | 5,058 | 3,767 | $ 53,356 | $ 38,865 |
Reinvestment of distributions | 244 | 282 | 2,573 | 2,910 |
Shares redeemed | (6,808) | (7,679) | (71,811) | (79,131) |
Net increase (decrease) | (1,506) | (3,630) | $ (15,882) | $ (37,356) |
Class B |
|
|
|
|
Shares sold | 30 | 28 | $ 319 | $ 284 |
Reinvestment of distributions | 4 | 5 | 40 | 54 |
Shares redeemed | (303) | (468) | (3,186) | (4,813) |
Net increase (decrease) | (269) | (435) | $ (2,827) | $ (4,475) |
Class C |
|
|
|
|
Shares sold | 2,397 | 725 | $ 25,389 | $ 7,489 |
Reinvestment of distributions | 27 | 31 | 282 | 321 |
Shares redeemed | (2,806) | (2,355) | (29,497) | (24,278) |
Net increase (decrease) | (382) | (1,599) | $ (3,826) | $ (16,468) |
Government Income |
|
|
|
|
Shares sold | 102,857 | 58,390 | $ 1,086,736 | $ 600,976 |
Reinvestment of distributions | 5,138 | 5,285 | 54,081 | 54,536 |
Shares redeemed | (77,145) | (96,607) | (811,762) | (993,763) |
Net increase (decrease) | 30,850 | (32,932) | $ 329,055 | $ (338,251) |
Class I |
|
|
|
|
Shares sold | 22,692 | 9,661 | $ 240,263 | $ 99,548 |
Reinvestment of distributions | 536 | 488 | 5,652 | 5,040 |
Shares redeemed | (12,486) | (10,680) | (131,528) | (110,265) |
Net increase (decrease) | 10,742 | (531) | $ 114,387 | $ (5,677) |
Annual Report
11. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Government Income 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 Government Income Fund (a fund of Fidelity Income Fund) at August 31, 2015, 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 periods indicated, 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 Government Income 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversees 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
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 Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
| Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007- |
Annual Report
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustee) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Trustee Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Advisory Board Member and Officers:
Correspondence intended for each officer, and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Fidelity Government Income Fund voted to pay on October 12, 2015 to shareholders of record at the opening of business on October 9, 2015, a distribution of $0.082 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015, $21,856,234, or, if subsequently determined to be different, the net capital gain of such year.
A total of 37.14% 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 $38,762,225 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments
Money Management, Inc.
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GOV-UANN-1015 1.789246.112
Fidelity® Intermediate
Government Income Fund
Annual Report
August 31, 2015
(Fidelity Cover Art)
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
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Trustees and Officers |
| |
Distributions |
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To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the fund's distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2015 | Past 1 | Past 5 | Past 10 |
Fidelity® Intermediate Government Income Fund | 1.50% | 1.70% | 3.66% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Intermediate Government Income Fund on August 31, 2005. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Intermediate Government Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from Lead Portfolio Manager Franco Castagliuolo: For the year, the fund lagged the 1.89% return of the benchmark Barclays U.S. Intermediate Government Bond Index. The fund's performance was hurt by "pricing basis." The fund is priced daily at 4:00 p.m. Eastern time, while the benchmark is priced at 3:00 p.m. Eastern time. This led to pricing dispersion in the final hour of the final day of the review period. Owning Treasury Inflation-Protected Securities (TIPS), which are not in the benchmark, hurt as well. TIPS performed poorly as inflation expectations dropped to a five-year low. In contrast, our focus on certain prepayment-resistant mortgage-backed securities (MBS) proved a plus, more than offsetting the modest amount of ground we lost by slightly overweighting the sector in lieu of comparable Treasuries. For example, our overweighting in high-coupon MBS aided our result. Overweighting reverse-mortgage securities, which can help older homeowners turn a portion of their home equity into cash, was another plus.
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, and (2) ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount.
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.
Annual Report
| Annualized | Beginning | Ending | Expenses Paid |
Actual | .45% | $ 1,000.00 | $ 1,003.10 | $ 2.27 |
HypotheticalA |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
Annual Report
Investment Changes (Unaudited)
Coupon Distribution as of August 31, 2015 | ||
| % of fund's investments | % of fund's |
0.01 - 0.99% | 22.3 | 20.6 |
1 - 1.99% | 27.8 | 28.9 |
2 - 2.99% | 20.5 | 18.9 |
3 - 3.99% | 9.3 | 9.4 |
4 - 4.99% | 5.9 | 7.6 |
5 - 5.99% | 8.5 | 8.7 |
6 - 6.99% | 1.1 | 1.2 |
7 - 7.99% | 0.1 | 0.1 |
8% and above | 2.5 | 2.8 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 4.1 | 4.2 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 3.6 | 3.6 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Mortgage Securities 3.6% |
| ![]() | Mortgage Securities 6.4% |
| ||
![]() | CMOs and Other Mortgage Related Securities 25.6% |
| ![]() | CMOs and Other Mortgage Related Securities 19.4% |
| ||
![]() | U.S. Treasury |
| ![]() | U.S. Treasury |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & Government Agency Obligations 4.4% |
| ![]() | Foreign Government & Government Agency Obligations 3.6% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 4.4% |
| ** Foreign investments | 3.6% |
| ||
* Futures and Swaps | 4.9% |
| ** Futures and Swaps | 6.0% |
|
† Includes NCUA Guaranteed Notes. |
†† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 68.5% | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 1.1% | ||||
Federal Home Loan Bank 1% 6/21/17 | $ 3,190 | $ 3,202 | ||
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 | 144 | 156 | ||
Tennessee Valley Authority 1.75% 10/15/18 | 4,850 | 4,926 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 8,284 | |||
U.S. Treasury Inflation-Protected Obligations - 3.8% | ||||
U.S. Treasury Inflation-Indexed Notes 0.25% 1/15/25 | 29,218 | 28,172 | ||
U.S. Treasury Obligations - 59.2% | ||||
U.S. Treasury Bonds 8.75% 5/15/17 | 12,750 | 14,489 | ||
U.S. Treasury Notes: | ||||
0.375% 10/31/16 | 4,000 | 3,994 | ||
0.5% 2/28/17 | 3,776 | 3,770 | ||
0.625% 12/31/16 | 18,905 | 18,921 | ||
0.75% 6/30/17 | 14,678 | 14,687 | ||
0.75% 4/15/18 | 6,035 | 5,998 | ||
0.875% 1/31/18 | 15,546 | 15,526 | ||
0.875% 7/31/19 | 22,596 | 22,162 | ||
1% 9/30/16 | 6,000 | 6,035 | ||
1% 10/31/16 | 4,099 | 4,122 | ||
1% 5/31/18 | 15,739 | 15,726 | ||
1% 8/15/18 | 7,000 | 6,988 | ||
1.125% 6/15/18 | 9,055 | 9,077 | ||
1.25% 11/30/18 | 7,000 | 7,015 | ||
1.375% 7/31/18 | 8,863 | 8,940 | ||
1.375% 9/30/18 | 3,911 | 3,940 | ||
1.375% 2/28/19 | 12,639 | 12,689 | ||
1.375% 3/31/20 | 11,714 | 11,649 | ||
1.375% 4/30/20 | 972 | 966 | ||
1.5% 12/31/18 | 1,151 | 1,162 | ||
1.5% 1/31/19 | 10,148 | 10,235 | ||
1.5% 1/31/22 | 30,862 | 30,129 | ||
1.625% 4/30/19 | 13,043 | 13,192 | ||
1.625% 6/30/19 | 15,724 | 15,885 | ||
1.625% 12/31/19 | 9,696 | 9,761 | ||
1.625% 6/30/20 | 725 | 728 | ||
1.625% 7/31/20 | 3,000 | 3,010 | ||
1.75% 9/30/19 | 9,904 | 10,036 | ||
1.75% 10/31/20 | 5,000 | 5,027 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
1.75% 2/28/22 | $ 4,000 | $ 3,963 | ||
1.75% 4/30/22 | 3,240 | 3,205 | ||
1.875% 10/31/17 | 1,923 | 1,965 | ||
1.875% 8/31/22 | 4,000 | 3,985 | ||
2% 5/31/21 | 8,000 | 8,095 | ||
2% 7/31/22 | 5,000 | 5,021 | ||
2% 8/15/25 | 4,500 | 4,414 | ||
2.125% 6/30/22 | 7,357 | 7,452 | ||
2.25% 3/31/21 | 40,560 | 41,658 | ||
2.25% 4/30/21 | 2,805 | 2,878 | ||
2.375% 7/31/17 | 12,000 | 12,372 | ||
2.375% 6/30/18 | 2,062 | 2,138 | ||
2.375% 8/15/24 | 3,959 | 4,022 | ||
3% 2/28/17 | 16,424 | 17,009 | ||
3.125% 1/31/17 | 1,323 | 1,370 | ||
3.5% 2/15/18 (c) | 4,299 | 4,566 | ||
4.5% 5/15/17 (b) | 1,369 | 1,458 | ||
4.625% 2/15/17 | 12,625 | 13,357 | ||
4.75% 8/15/17 | 12,139 | 13,076 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 437,863 | |||
Other Government Related - 4.4% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5385% 12/7/20 (NCUA Guaranteed) (d) | 1,081 | 1,079 | ||
Series 2011-R1 Class 1A, 0.6365% 1/8/20 (NCUA Guaranteed) (d) | 2,307 | 2,317 | ||
Series 2011-R4 Class 1A, 0.5708% 3/6/20 (NCUA Guaranteed) (d) | 742 | 743 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
2.35% 6/12/17 (NCUA Guaranteed) | 14,740 | 15,124 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 12,000 | 12,975 | ||
TOTAL OTHER GOVERNMENT RELATED | 32,238 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $501,968) | 506,557 | |||
U.S. Government Agency - Mortgage Securities - 3.6% | ||||
| Principal Amount (000s) | Value (000s) | ||
Fannie Mae - 1.4% | ||||
1.885% 2/1/33 (d) | $ 12 | $ 13 | ||
1.91% 12/1/34 (d) | 19 | 20 | ||
1.91% 3/1/35 (d) | 12 | 13 | ||
1.915% 11/1/33 (d) | 29 | 31 | ||
1.931% 10/1/33 (d) | 8 | 8 | ||
1.94% 7/1/35 (d) | 8 | 8 | ||
1.952% 10/1/35 (d) | 10 | 11 | ||
2.05% 3/1/35 (d) | 2 | 2 | ||
2.06% 1/1/35 (d) | 91 | 97 | ||
2.143% 9/1/36 (d) | 42 | 45 | ||
2.19% 3/1/37 (d) | 11 | 11 | ||
2.194% 7/1/34 (d) | 14 | 15 | ||
2.243% 3/1/33 (d) | 40 | 42 | ||
2.273% 3/1/40 (d) | 496 | 529 | ||
2.278% 6/1/47 (d) | 61 | 65 | ||
2.299% 7/1/36 (d) | 68 | 72 | ||
2.302% 6/1/36 (d) | 18 | 19 | ||
2.334% 7/1/35 (d) | 19 | 21 | ||
2.36% 11/1/36 (d) | 120 | 127 | ||
2.36% 2/1/37 (d) | 192 | 205 | ||
2.421% 10/1/33 (d) | 17 | 18 | ||
2.458% 3/1/35 (d) | 12 | 13 | ||
2.511% 2/1/36 (d) | 5 | 5 | ||
2.512% 4/1/36 (d) | 137 | 147 | ||
2.544% 5/1/36 (d) | 18 | 19 | ||
2.69% 2/1/42 (d) | 627 | 649 | ||
2.758% 1/1/42 (d) | 584 | 607 | ||
2.845% 8/1/35 (d) | 264 | 283 | ||
5% 1/1/22 to 7/1/35 (a) | 1,903 | 2,106 | ||
5.5% 10/1/20 to 1/1/29 | 2,728 | 2,948 | ||
6% 6/1/16 to 3/1/34 | 475 | 543 | ||
6.5% 6/1/16 to 8/1/36 | 1,645 | 1,900 | ||
10.25% 10/1/18 | 1 | 1 | ||
11.5% 6/15/19 | 0 | 0* | ||
| 10,593 | |||
Freddie Mac - 0.6% | ||||
1.82% 3/1/35 (d) | 46 | 48 | ||
1.825% 3/1/37 (d) | 8 | 8 | ||
2.022% 2/1/37 (d) | 22 | 23 | ||
2.04% 7/1/35 (d) | 484 | 507 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Freddie Mac - continued | ||||
2.05% 6/1/37 (d) | $ 12 | $ 13 | ||
2.055% 11/1/35 (d) | 105 | 110 | ||
2.095% 8/1/37 (d) | 32 | 34 | ||
2.121% 5/1/37 (d) | 31 | 34 | ||
2.274% 6/1/33 (d) | 105 | 111 | ||
2.297% 7/1/35 (d) | 64 | 69 | ||
2.328% 10/1/36 (d) | 139 | 147 | ||
2.333% 4/1/37 (d) | 39 | 41 | ||
2.351% 10/1/35 (d) | 58 | 61 | ||
2.385% 5/1/37 (d) | 388 | 414 | ||
2.385% 5/1/37 (d) | 197 | 210 | ||
2.394% 10/1/42 (d) | 664 | 700 | ||
2.415% 6/1/37 (d) | 107 | 114 | ||
2.436% 5/1/37 (d) | 30 | 32 | ||
2.477% 4/1/34 (d) | 414 | 441 | ||
2.506% 2/1/36 (d) | 4 | 4 | ||
2.595% 4/1/37 (d) | 4 | 4 | ||
2.722% 3/1/33 (d) | 2 | 3 | ||
2.757% 7/1/36 (d) | 36 | 39 | ||
2.798% 7/1/35 (d) | 123 | 131 | ||
3.091% 9/1/41 (d) | 679 | 707 | ||
3.155% 10/1/35 (d) | 17 | 19 | ||
6% 1/1/24 | 379 | 417 | ||
6.5% 12/1/21 | 107 | 118 | ||
9.5% 7/1/16 to 8/1/21 | 21 | 23 | ||
10% 3/1/16 to 3/1/21 | 30 | 33 | ||
10.5% 1/1/21 | 1 | 1 | ||
11% 9/1/20 | 1 | 1 | ||
| 4,617 | |||
Ginnie Mae - 1.6% | ||||
4.3% 8/20/61 (g) | 1,036 | 1,090 | ||
4.649% 2/20/62 (g) | 718 | 771 | ||
4.682% 2/20/62 (g) | 899 | 963 | ||
4.684% 1/20/62 (g) | 5,506 | 5,889 | ||
5.47% 8/20/59 (g) | 355 | 367 | ||
5.5% 11/15/35 | 555 | 629 | ||
5.612% 4/20/58 (g) | 319 | 324 | ||
6% 6/15/36 | 1,209 | 1,408 | ||
8% 12/15/23 | 97 | 111 | ||
8.5% 2/15/17 | 1 | 1 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
Ginnie Mae - continued | ||||
10.5% 1/20/16 to 10/15/21 | $ 92 | $ 103 | ||
11% 5/20/16 to 1/20/21 | 10 | 11 | ||
| 11,667 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $26,211) | 26,877 | |||
Collateralized Mortgage Obligations - 17.6% | ||||
| ||||
U.S. Government Agency - 17.6% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 1994-42 Class FK, 1.82% 4/25/24 (d) | 637 | 643 | ||
Series 2001-38 Class QF, 1.1794% 8/25/31 (d) | 122 | 124 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (d) | 26 | 26 | ||
Series 2002-74 Class FV, 0.6494% 11/25/32 (d) | 1,339 | 1,348 | ||
Series 2002-75 Class FA, 1.1994% 11/25/32 (d) | 52 | 54 | ||
Series 2008-76 Class EF, 0.6994% 9/25/23 (d) | 234 | 235 | ||
Series 2010-15 Class FJ, 1.1294% 6/25/36 (d) | 1,795 | 1,829 | ||
planned amortization class: | ||||
Series 1988-21 Class G, 9.5% 8/25/18 | 7 | 8 | ||
Series 2002-16 Class PG, 6% 4/25/17 | 40 | 41 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 3 | 3 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 292 | 319 | ||
Series 2005-19 Class PA, 5.5% 7/25/34 | 605 | 655 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 434 | 450 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 10 | 10 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 598 | 656 | ||
Series 2005-68 Class CZ, 5.5% 8/25/35 | 1,157 | 1,300 | ||
Series 2015-54 Class GA, 2.5% 7/25/45 | 2,198 | 2,259 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 15 | 16 | ||
Series 2003-117 Class MD, 5% 12/25/23 | 289 | 318 | ||
Series 2004-52 Class KZ, 5.5% 7/25/34 | 3,126 | 3,500 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 1,815 | 2,006 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 705 | 779 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (e) | 1,318 | 187 | ||
Series 2010-39 Class FG, 1.1194% 3/25/36 (d) | 1,124 | 1,152 | ||
Series 2011-67 Class AI, 4% 7/25/26 (e) | 345 | 39 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: | ||||
floater: | ||||
Series 2526 Class FC, 0.5976% 11/15/32 (d) | $ 223 | $ 224 | ||
Series 2630 Class FL, 0.6976% 6/15/18 (d) | 6 | 6 | ||
Series 2711 Class FC, 1.0976% 2/15/33 (d) | 614 | 625 | ||
floater planned amortization class Series 2770 Class FH, 0.5976% 3/15/34 (d) | 559 | 563 | ||
planned amortization class: | ||||
Series 2356 Class GD, 6% 9/15/16 | 11 | 11 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 11 | 11 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 5 | 5 | ||
Series 2425 Class JH, 6% 3/15/17 | 17 | 18 | ||
Series 2672 Class MG, 5% 9/15/23 | 1,524 | 1,652 | ||
Series 2802 Class OB, 6% 5/15/34 | 761 | 854 | ||
Series 3415 Class PC, 5% 12/15/37 | 237 | 256 | ||
Series 3763 Class QA, 4% 4/15/34 | 508 | 526 | ||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 744 | 763 | ||
sequential payer: | ||||
Series 1929 Class EZ, 7.5% 2/17/27 | 662 | 749 | ||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 2,261 | 2,558 | ||
Series 2004-2862 Class NE, 5% 9/15/24 | 5,165 | 5,578 | ||
Series 2145 Class MZ, 6.5% 4/15/29 | 777 | 898 | ||
Series 2357 Class ZB, 6.5% 9/15/31 | 408 | 473 | ||
Series 2877 Class ZD, 5% 10/15/34 | 2,144 | 2,362 | ||
Series 2998 Class LY, 5.5% 7/15/25 | 231 | 255 | ||
Series 3007 Class EW, 5.5% 7/15/25 | 1,023 | 1,128 | ||
Series 3745 Class KV, 4.5% 12/15/26 | 1,254 | 1,382 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-59 Class FC, 0.7028% 7/20/37 (d) | 311 | 313 | ||
Series 2008-2 Class FD, 0.6828% 1/20/38 (d) | 76 | 77 | ||
Series 2009-108 Class CF, 0.7976% 11/16/39 (d) | 354 | 358 | ||
Series 2009-116 Class KF, 0.7276% 12/16/39 (d) | 277 | 279 | ||
Series 2010-9 Class FA, 0.7176% 1/16/40 (d) | 450 | 454 | ||
Series 2010-H17 Class FA, 0.519% 7/20/60 (d)(g) | 2,778 | 2,765 | ||
Series 2010-H18 Class AF, 0.4882% 9/20/60 (d)(g) | 3,252 | 3,233 | ||
Series 2010-H19 Class FG, 0.4882% 8/20/60 (d)(g) | 3,898 | 3,876 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2010-H27 Series FA, 0.5682% 12/20/60 (d)(g) | $ 968 | $ 966 | ||
Series 2011-H05 Class FA, 0.6882% 12/20/60 (d)(g) | 1,910 | 1,912 | ||
Series 2011-H07 Class FA, 0.6882% 2/20/61 (d)(g) | 3,543 | 3,547 | ||
Series 2011-H12 Class FA, 0.6782% 2/20/61 (d)(g) | 4,089 | 4,095 | ||
Series 2011-H13 Class FA, 0.6882% 4/20/61 (d)(g) | 1,583 | 1,585 | ||
Series 2011-H14: | ||||
Class FB, 0.6882% 5/20/61 (d)(g) | 1,805 | 1,807 | ||
Class FC, 0.6882% 5/20/61 (d)(g) | 1,649 | 1,651 | ||
Series 2011-H17 Class FA, 0.7182% 6/20/61 (d)(g) | 2,129 | 2,133 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (d)(g) | 2,106 | 2,116 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (d)(g) | 1,763 | 1,774 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (d)(g) | 1,095 | 1,102 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (d)(g) | 1,668 | 1,678 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (d)(g) | 1,004 | 1,012 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (d)(g) | 7,759 | 7,744 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (d)(g) | 7,400 | 7,386 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 53 | 54 | ||
planned amortization class: | ||||
Series 2011-136 Class WI, 4.5% 5/20/40 (e) | 784 | 129 | ||
Series 2011-68 Class EC, 3.5% 4/20/41 | 1,390 | 1,464 | ||
Series 1999-18 Class Z, 6.25% 5/16/29 | 1,434 | 1,608 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (g) | 4,038 | 4,356 | ||
Series 2010-H17 Class XP, 5.3% 7/20/60 (d)(g) | 5,254 | 5,641 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(g) | 3,846 | 4,141 | ||
Series 2012-64 Class KB, 5.7099% 5/20/41 (d) | 272 | 310 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (d)(f) | 1,300 | 1,513 | ||
Class ST, 8.5297% 8/20/39 (d)(f) | 2,443 | 2,868 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
Series 2015-H17 Class HA, 2.5% 5/20/65 (g) | $ 3,914 | $ 4,011 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (a)(g) | 1,125 | 1,152 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (a)(g) | 12,042 | 12,345 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $129,142) | 130,309 | |||
Commercial Mortgage Securities - 8.0% | ||||
| ||||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (d) | 152 | 152 | ||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 780 | 855 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 5,360 | 5,864 | ||
Series K009 Class A2, 3.808% 8/25/20 | 6,820 | 7,371 | ||
Series K034 Class A1, 2.669% 2/25/23 | 3,143 | 3,234 | ||
Series K717 Class A2, 2.991% 9/25/21 | 1,630 | 1,694 | ||
Series K032 Class A1, 3.016% 2/25/23 | 5,469 | 5,728 | ||
Series K039 Class A2, 3.303% 7/25/24 | 5,032 | 5,222 | ||
Series K042 Class A2, 2.67% 12/25/24 | 4,200 | 4,135 | ||
Series K047 Class A2, 3.329% 5/25/25 | 5,300 | 5,497 | ||
Series K501 Class A2, 1.655% 11/25/16 | 2,077 | 2,092 | ||
Series K714 Class A2, 3.034% 10/25/20 | 6,000 | 6,307 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates: | ||||
sequential payer Series K718 Class A2, 2.791% 1/25/22 | 4,700 | 4,829 | ||
Series K044 Class A2, 2.811% 1/25/25 | 6,300 | 6,260 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $58,999) | 59,240 | |||
Foreign Government and Government Agency Obligations - 4.4% | ||||
| Principal Amount (000s) | Value (000s) | ||
Israeli State: | ||||
(guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | $ 4,551 | $ 5,523 | ||
5.5% 12/4/23 | 10,710 | 13,043 | ||
5.5% 4/26/24 | 1,100 | 1,343 | ||
Jordanian Kingdom: | ||||
2.503% 10/30/20 | 8,609 | 8,881 | ||
3% 6/30/25 | 3,329 | 3,390 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $30,381) | 32,180 |
Cash Equivalents - 2.0% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15 (Collateralized by U.S. Government Obligations) # | $ 14,944 |
| |
TOTAL INVESTMENT PORTFOLIO - 104.1% (Cost $761,645) | 770,107 | ||
NET OTHER ASSETS (LIABILITIES) - (4.1)% | (30,119) | ||
NET ASSETS - 100% | $ 739,988 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
55 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | $ 6,988 | $ (45) | ||
119 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 25,998 | (39) | ||
117 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 13,974 | (67) | ||
TOTAL TREASURY CONTRACTS | $ 46,960 | $ (151) | |||
Futures Contracts - continued | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Sold | |||||
Treasury Contracts | |||||
3 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | $ 475 | $ 17 | ||
| $ 47,435 | $ (134) |
|
The face value of futures purchased as a percentage of net assets is 6.3% |
|
The face value of futures sold as a percentage of net assets is 0.1% |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) (000s) |
| |||||||
LCH | Sep. 2017 | $ 2,400 | 3-month LIBOR | 1.5% | $ (12) | $ 0 | $ (12) |
LCH | Sep. 2020 | 1,400 | 3-month LIBOR | 2.25% | (26) | 0 | (26) |
LCH | Sep. 2025 | 6,700 | 3-month LIBOR | 2.75% | (225) | 0 | (225) |
TOTAL INTEREST RATE SWAPS | $ (263) | $ 0 | $ (263) |
|
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
|
For the period, the average monthly notional amount for swaps in the aggregate was $11,181,000. |
Legend |
(a) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(b) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $257,000. |
(c) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $425,000. |
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(e) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(f) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(g) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
* Values shown as $0 may reflect amounts less than $500. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$14,944,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 14,944 |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $ 506,557 | $ - | $ 506,557 | $ - |
U.S. Government Agency - Mortgage Securities | 26,877 | - | 26,877 | - |
Collateralized Mortgage Obligations | 130,309 | - | 130,309 | - |
Commercial Mortgage Securities | 59,240 | - | 59,240 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Foreign Government and Government Agency Obligations | $ 32,180 | $ - | $ 32,180 | $ - |
Cash Equivalents | 14,944 | - | 14,944 | - |
Total Investments in Securities: | $ 770,107 | $ - | $ 770,107 | $ - |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 17 | $ 17 | $ - | $ - |
Liabilities | ||||
Futures Contracts | $ (151) | $ (151) | $ - | $ - |
Swaps | (263) | - | (263) | - |
Total Liabilities | $ (414) | $ (151) | $ (263) | $ - |
Total Derivative Instruments: | $ (397) | $ (134) | $ (263) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ 17 | $ (151) |
Swaps (b) | - | (263) |
Total Interest Rate Risk | 17 | (414) |
Total Value of Derivatives | $ 17 | $ (414) |
(a) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) |
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including repurchase agreements of $14,944) - See accompanying schedule: Unaffiliated issuers (cost $761,645) |
| $ 770,107 |
Cash |
| 1 |
Receivable for investments sold | 85 | |
Receivable for fund shares sold | 306 | |
Interest receivable | 2,646 | |
Total assets | 773,145 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 16,165 |
|
Delayed delivery | 15,580 | |
Payable for fund shares redeemed | 1,057 | |
Distributions payable | 49 | |
Accrued management fee | 191 | |
Payable for daily variation margin for derivative instruments | 26 | |
Other affiliated payables | 88 | |
Other payables and accrued expenses | 1 | |
Total liabilities | 33,157 | |
|
|
|
Net Assets | $ 739,988 | |
Net Assets consist of: |
| |
Paid in capital | $ 728,434 | |
Undistributed net investment income | 135 | |
Accumulated undistributed net realized gain (loss) on investments | 3,354 | |
Net unrealized appreciation (depreciation) on investments | 8,065 | |
Net Assets, for 69,068 shares outstanding | $ 739,988 | |
Net Asset Value, offering price and redemption price per share ($739,988 ÷ 69,068 shares) | $ 10.71 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended August 31, 2015 | |
Investment Income |
|
|
Interest |
| $ 13,944 |
|
|
|
Expenses | ||
Management fee | $ 2,414 | |
Transfer agent fees | 777 | |
Fund wide operations fee | 303 | |
Independent trustees' compensation | 3 | |
Miscellaneous | 4 | |
Total expenses |
| 3,501 |
Net investment income (loss) | 10,443 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 5,198 |
|
Futures contracts | 521 | |
Swaps | (699) |
|
Total net realized gain (loss) |
| 5,020 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (3,278) | |
Futures contracts | (147) | |
Swaps | 148 | |
Total change in net unrealized appreciation (depreciation) |
| (3,277) |
Net gain (loss) | 1,743 | |
Net increase (decrease) in net assets resulting from operations | $ 12,186 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 10,443 | $ 10,798 |
Net realized gain (loss) | 5,020 | 4,589 |
Change in net unrealized appreciation (depreciation) | (3,277) | 7,644 |
Net increase (decrease) in net assets resulting from operations | 12,186 | 23,031 |
Distributions to shareholders from net investment income | (9,405) | (10,539) |
Distributions to shareholders from net realized gain | - | (4,764) |
Total distributions | (9,405) | (15,303) |
Share transactions |
|
|
Proceeds from sales of shares | 103,216 | 81,769 |
Reinvestment of distributions | 8,644 | 13,634 |
Cost of shares redeemed | (197,881) | (196,207) |
Net increase (decrease) in net assets resulting from share transactions | (86,021) | (100,804) |
Total increase (decrease) in net assets | (83,240) | (93,076) |
|
|
|
Net Assets | ||
Beginning of period | 823,228 | 916,304 |
End of period (including undistributed net investment income of $135 and distributions in excess of net investment income of $1,194, respectively) | $ 739,988 | $ 823,228 |
Other Information Shares | ||
Sold | 9,625 | 7,699 |
Issued in reinvestment of distributions | 806 | 1,284 |
Redeemed | (18,470) | (18,482) |
Net increase (decrease) | (8,039) | (9,499) |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 D | 2011 F |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 10.68 | $ 10.58 | $ 11.09 | $ 11.12 | $ 10.97 | $ 11.10 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) C | .144 | .133 | .116 | .128 | .013 | .171 |
Net realized and unrealized gain (loss) | .016 | .153 | (.294) | .159 | .151 | .155 |
Total from investment operations | .160 | .286 | (.178) | .287 | .164 | .326 |
Distributions from net investment income | (.130) | (.130) | (.116) | (.129) | (.014) | (.172) |
Distributions from net realized gain | - | (.056) | (.216) | (.188) | - | (.284) |
Total distributions | (.130) | (.186) | (.332) | (.317) | (.014) | (.456) |
Net asset value, end of period | $ 10.71 | $ 10.68 | $ 10.58 | $ 11.09 | $ 11.12 | $ 10.97 |
Total ReturnB | 1.50% | 2.72% | (1.66)% | 2.63% | 1.49% | 3.04% |
Ratios to Average Net AssetsE |
|
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45%A | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45%A | .45% |
Net investment income (loss) | 1.34% | 1.25% | 1.07% | 1.16% | 1.37%A | 1.57% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 740 | $ 823 | $ 916 | $ 1,132 | $ 1,206 | $ 1,191 |
Portfolio turnover rate | 71% | 153% | 179% | 198% | 258%A | 339% |
A Annualized
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Calculated based on average shares outstanding during the period.
D For the one month period ended August 31. The Fund changed its fiscal year end from July 31 to August 31, effective August 31, 2011.
E Expense ratios reflect operating expenses of the Fund. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from expense offset arrangements and do not represent the amount paid by the Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the Fund.
F For the period ended July 31.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
(Amounts in thousands except percentages)
1. Organization.
Fidelity Intermediate Government Income Fund (the Fund) is a fund of Fidelity Income Fund (the Trust) and is authorized to issue an unlimited number of shares. Share transactions on the Statement of Changes in Net Assets may contain exchanges between funds. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
2. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Annual Report
2. Significant Accounting Policies - continued
Investment Valuation - continued
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Foreign government and government agency obligations and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and Net Asset Value (NAV) include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except percentages)
2. Significant Accounting Policies - continued
Investment Transactions and Income - continued
of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Annual Report
2. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Book-tax differences are primarily due to futures contracts, swaps, market discount, deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and futures transactions.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 10,883 |
Gross unrealized depreciation | (2,676) |
Net unrealized appreciation (depreciation) on securities | $ 8,207 |
|
|
Tax Cost | $ 761,900 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 1,529 |
Undistributed long-term capital gain | $ 2,139 |
Net unrealized appreciation (depreciation) on securities and other investments | $ 7,889 |
At the prior fiscal period end, the Fund was required to defer approximately of $9,466 of losses on future contracts.
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 9,405 | $ 11,121 |
Long-term Capital Gains | - | 4,182 |
Total | $ 9,405 | $ 15,303 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission (the SEC), the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
2. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
3. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as
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3. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk |
|
|
Futures Contracts | $ 521 | $ (147) |
Purchased Options | (267) | 257 |
Swaps | (699) | 148 |
Totals A | $ (445) | $ 258 |
A A summary of the value of derivatives by primary risk exposure as of period end, if any, is included at the end of the Schedule of Investments.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the
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3. Derivative Instruments - continued
Options - continued
expiration date. The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to the market fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
3. Derivative Instruments - continued
Swaps - continued
of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps."
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
4. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $5,047 and $3,220, respectively.
5. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the
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5. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of the investment adviser, is the Fund's transfer, dividend disbursing and shareholder servicing agent. FIIOC receives an asset-based fee of .10% of the Fund's average net assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser has agreed to provide for fund level expenses (which do not include transfer agent, 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 .04% of average net assets.
6. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $1 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
7. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may
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Notes to Financial Statements - continued
(Amounts in thousands except percentages)
7. Security Lending - continued
apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $11.
8. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and the Shareholders of Fidelity Intermediate Government Income 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 Intermediate Government Income Fund (a fund of Fidelity Income Fund) at August 31, 2015, 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 periods indicated, 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 Intermediate Government Income 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 22, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversees 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
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Trustees and Officers - continued
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
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 Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
| Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
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Trustees and Officers - continued
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for the fund.
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustee) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Trustee Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Trustees and Officers - continued
Advisory Board Member and Officers:
Correspondence intended for each officer and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Fidelity Intermediate Government Income Fund voted to pay on October 12, 2015, to shareholders of record at the opening of business on October 9, 2015, a distribution of $0.050 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015, $2,138,502, or, if subsequently determined to be different, the net capital gain of such year.
A total of 52.53% 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 $6,025,816 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Investment Management
(U.K.) Limited
Fidelity Investments
Money Management, Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York Mellon
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
SLM-UANN-1015 1.844592.108
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Total Bond
Fund - Class A, Class T, Class B,
and Class C
Annual Report
August 31, 2015
(Fidelity Cover Art)
Class A, Class T, Class B,
and Class C are classes of
Fidelity® Total Bond Fund
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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. Returns reflect the conversion of Class B shares to Class A shares after a maximum of seven years.
Average Annual Total Returns
Periods ended August 31, 2015 | Past 1 | Past 5 | Past 10 |
Class A (incl. 4.00% sales charge) A | -3.45% | 2.63% | 4.11% |
Class T (incl. 4.00% sales charge) | -3.55% | 2.62% | 4.09% |
Class B (incl. contingent deferred sales charge) B | -5.01% | 2.41% | 4.00% |
Class C (incl. contingent deferred sales charge) C | -1.17% | 2.72% | 3.76% |
A As of April 1, 2007, Class A shares bear a 0.25% 12b-1 fee. Returns prior to April 1, 2007 reflect a 0.15% 12b-1 fee. Had Class A shares' current 12b-1 fee been reflected, returns prior to April 1, 2007, would have been lower.
B Class B shares' contingent deferred sales charges included in the past one year, past five years, and past ten years total return figures are 5%, 2%, and 0%, respectively.
C Class C shares' contingent deferred sales charges included in the past one year, past five years, and past ten years total return figures are 1%, 0%, and 0%, respectively.
Annual Report
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Total Bond Fund - Class A on August 31, 2005, and the current 4.00% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from Lead Portfolio Manager Ford O'Neil: For the year, the fund's share classes (excluding sales charges, if applicable) lagged the Barclays Aggregate index. I continued to take the investment approach I've used since I began managing the fund in 2004, because I think it is the best way to achieve my goal of beating our primary benchmark over longer periods of time. I have ultimate authority and accountability for asset allocations decisions, as well as for securities selection in the investment-grade portion of the fund. I also tap the best ideas of Fidelity's fixed-income specialists. Since we don't chase yield, we believe it's important to fully understand the risk/return profile of each of our investments to ensure we're assuming a reasonable trade-off by owning them. Sector selection detracted most from relative performance, especially underweighting comparatively strong U.S. Treasuries and overweighting the lagging high-yield corporate, emerging-markets debt and investment-grade credit sectors. Conversely, good picks among both high-yield and investment-grade corporate securities was a plus, as was yield-curve positioning. However, security selection among government-related bonds hurt, particularly holdings in taxable municipal bonds issued by Illinois and Chicago.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .75% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.40 | $ 3.76 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.42 | $ 3.82 |
Class T | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.30 | $ 3.86 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.32 | $ 3.92 |
Class B | 1.44% |
|
|
|
Actual |
| $ 1,000.00 | $ 984.90 | $ 7.20 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.95 | $ 7.32 |
Class C | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 983.60 | $ 7.55 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.59 | $ 7.68 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.80 | $ 2.26 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
|
|
|
Actual |
| $ 1,000.00 | $ 988.60 | $ 2.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
Class Z | .36% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.30 | $ 1.81 |
Hypothetical A |
| $ 1,000.00 | $ 1,023.39 | $ 1.84 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combine investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2015 | As of February 28, 2015 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 3.1% |
| ![]() | AAA 3.9% |
| ||
![]() | AA 2.3% |
| ![]() | AA 2.1% |
| ||
![]() | A 13.0% |
| ![]() | A 9.4% |
| ||
![]() | BBB 25.4% |
| ![]() | BBB 22.7% |
| ||
![]() | BB and Below 16.8% |
| ![]() | BB and Below 15.7% |
| ||
![]() | Not Rated 1.4% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Equities 0.1% |
| ![]() | Equities 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 7.8 | 7.4 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.4 | 5.1 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Corporate Bonds 44.2% |
| ![]() | Corporate Bonds 37.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related |
| ![]() | CMOs and Other Mortgage Related |
| ||
![]() | Municipal Bonds 1.5% |
| ![]() | Municipal Bonds 1.5% |
| ||
![]() | Stocks 0.1% |
| ![]() | Stocks 0.3% |
| ||
![]() | Other Investments 8.4% |
| ![]() | Other Investments 7.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 11.4% |
| ** Foreign investments | 10.2% |
| ||
* Futures and Swaps | (0.3)% |
| ** Futures and Swaps | (0.2)% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
Nonconvertible Bonds - 44.2% | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - 4.8% | ||||
Auto Components - 0.0% | ||||
J.B. Poindexter & Co., Inc. 9% 4/1/22 (h) | $ 3,045,000 | $ 3,303,825 | ||
Tenedora Nemak SA de CV 5.5% 2/28/23 (h) | 1,940,000 | 1,935,150 | ||
Tupy Overseas SA 6.625% 7/17/24 (h) | 530,000 | 501,513 | ||
| 5,740,488 | |||
Automobiles - 1.2% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (h) | 7,526,000 | 7,547,035 | ||
General Motors Co.: | ||||
3.5% 10/2/18 | 9,215,000 | 9,344,563 | ||
5.2% 4/1/45 | 4,250,000 | 3,990,278 | ||
6.25% 10/2/43 | 1,543,000 | 1,651,376 | ||
General Motors Financial Co., Inc.: | ||||
2.4% 4/10/18 | 40,000,000 | 39,523,760 | ||
2.625% 7/10/17 | 2,955,000 | 2,980,310 | ||
3% 9/25/17 | 6,726,000 | 6,757,955 | ||
3.15% 1/15/20 | 27,252,000 | 26,908,053 | ||
3.2% 7/13/20 | 20,200,000 | 19,930,209 | ||
3.25% 5/15/18 | 4,810,000 | 4,836,893 | ||
3.5% 7/10/19 | 10,761,000 | 10,844,064 | ||
4% 1/15/25 | 18,085,000 | 17,106,113 | ||
4.25% 5/15/23 | 5,420,000 | 5,325,670 | ||
4.375% 9/25/21 | 47,963,000 | 48,394,763 | ||
4.75% 8/15/17 | 5,050,000 | 5,236,244 | ||
Volkswagen Group of America Finance LLC 2.45% 11/20/19 (h) | 33,222,000 | 33,219,907 | ||
| 243,597,193 | |||
Diversified Consumer Services - 0.1% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 | 1,206,000 | 1,220,062 | ||
4.25% 6/15/23 | 8,466,000 | 8,681,705 | ||
| 9,901,767 | |||
Hotels, Restaurants & Leisure - 0.4% | ||||
24 Hour Holdings III LLC 8% 6/1/22 (h) | 5,650,000 | 4,491,750 | ||
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 | 2,165,000 | 1,813,188 | ||
Eldorado Resorts, Inc. 7% 8/1/23 (h) | 1,060,000 | 1,052,050 | ||
ESH Hospitality, Inc. 5.25% 5/1/25 (h) | 1,100,000 | 1,067,000 | ||
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 139,050 | ||
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (h) | 5,000,000 | 5,137,500 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
InterContinental Hotel Group PLC 3.75% 8/14/25 | GBP | 1,650,000 | $ 2,493,392 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (h) | 4,070,000 | 3,968,250 | ||
MCE Finance Ltd. 5% 2/15/21 (h) | 10,530,000 | 9,634,950 | ||
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 8% 10/1/20 | 2,790,000 | 2,755,125 | ||
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 (h) | 540,000 | 534,600 | ||
Scientific Games Corp.: | ||||
6.625% 5/15/21 | 9,310,000 | 6,889,400 | ||
7% 1/1/22 (h) | 7,445,000 | 7,612,513 | ||
10% 12/1/22 | 10,060,000 | 9,230,050 | ||
Speedway Motorsports, Inc. 5.125% 2/1/23 | 3,315,000 | 3,281,850 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 740,700 | 897,563 | ||
Whitbread PLC 3.375% 10/16/25 (Reg. S) | GBP | 1,500,000 | 2,275,947 | |
Wynn Macau Ltd. 5.25% 10/15/21 (h) | 14,650,000 | 13,441,375 | ||
| 76,715,553 | |||
Household Durables - 0.2% | ||||
Meritage Homes Corp. 6% 6/1/25 | 1,905,000 | 1,920,469 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 2,935,000 | 3,026,719 | ||
8.25% 2/15/21 (n) | 3,885,000 | 3,996,694 | ||
Standard Pacific Corp. 5.875% 11/15/24 | 1,775,000 | 1,819,375 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (h) | 1,495,000 | 1,498,738 | ||
TRI Pointe Homes, Inc.: | ||||
4.375% 6/15/19 | 570,000 | 565,013 | ||
5.875% 6/15/24 | 415,000 | 408,775 | ||
William Lyon Homes, Inc.: | ||||
5.75% 4/15/19 | 5,935,000 | 5,990,611 | ||
7% 8/15/22 | 10,230,000 | 10,562,475 | ||
| 29,788,869 | |||
Internet & Catalog Retail - 0.0% | ||||
Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (h) | 5,000,000 | 4,950,000 | ||
Media - 2.8% | ||||
21st Century Fox America, Inc.: | ||||
6.15% 3/1/37 | 4,759,000 | 5,280,039 | ||
6.15% 2/15/41 | 11,572,000 | 13,012,240 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
21st Century Fox America, Inc.: - continued | ||||
7.75% 12/1/45 | $ 3,932,000 | $ 5,328,352 | ||
Altice SA: | ||||
5.375% 7/15/23 (h) | 2,560,000 | 2,534,400 | ||
7.625% 2/15/25 (h) | 9,805,000 | 9,314,750 | ||
7.75% 5/15/22 (h) | 20,575,000 | 20,060,625 | ||
7.75% 7/15/25 (h) | 1,795,000 | 1,718,713 | ||
7.75% 7/15/25 (h) | 1,610,000 | 1,569,750 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 625,349 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 1,130,000 | 1,127,175 | ||
5.125% 5/1/23 (h) | 4,370,000 | 4,370,000 | ||
5.875% 5/1/27 (h) | 7,115,000 | 6,972,700 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
4.464% 7/23/22 (h) | 20,419,000 | 20,310,555 | ||
4.908% 7/23/25 (h) | 20,419,000 | 20,278,885 | ||
6.484% 10/23/45 (h) | 20,419,000 | 20,709,195 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 12/15/16 | 8,985,000 | 8,490,825 | ||
6.875% 6/15/18 | 2,270,000 | 1,974,900 | ||
9% 12/15/19 | 9,000,000 | 8,471,250 | ||
10% 1/15/18 | 4,260,000 | 3,093,825 | ||
Cogeco Cable, Inc. 4.875% 5/1/20 (h) | 2,335,000 | 2,383,218 | ||
Columbus International, Inc. 7.375% 3/30/21 (h) | 11,476,000 | 12,078,490 | ||
Comcast Corp.: | ||||
3.6% 3/1/24 | 24,000,000 | 24,468,240 | ||
4.6% 8/15/45 | 33,362,000 | 33,903,599 | ||
4.95% 6/15/16 | 2,344,000 | 2,420,841 | ||
6.45% 3/15/37 | 2,196,000 | 2,728,947 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 5,944,000 | 6,647,550 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 1,789,000 | 1,665,985 | ||
6.35% 6/1/40 | 6,392,000 | 6,613,681 | ||
DISH DBS Corp. 5.875% 11/15/24 | 6,760,000 | 6,160,050 | ||
Globo Comunicacao e Participacoes SA: | ||||
4.843% 6/8/25 (h) | 850,000 | 798,745 | ||
4.875% 4/11/22 (h) | 565,000 | 572,063 | ||
iHeartCommunications, Inc. 10.625% 3/15/23 | 2,695,000 | 2,418,763 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (n) | $ 6,521,000 | $ 7,173,100 | ||
MDC Partners, Inc. 6.75% 4/1/20 (h) | 4,985,000 | 4,941,381 | ||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (h)(n) | 13,130,000 | 13,261,300 | ||
Midcontinent Communications & Midcontinent Finance Corp. 6.875% 8/15/23 (h) | 4,530,000 | 4,563,975 | ||
Myriad International Holding BV 6% 7/18/20 (h) | 515,000 | 551,299 | ||
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 13,007,912 | ||
Numericable Group SA: | ||||
4.875% 5/15/19 (h) | 2,352,000 | 2,366,700 | ||
6% 5/15/22 (h) | 5,000,000 | 5,000,000 | ||
6.25% 5/15/24 (h) | 1,490,000 | 1,489,538 | ||
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (h) | 1,460,000 | 1,543,950 | ||
Thomson Reuters Corp.: | ||||
1.3% 2/23/17 | 3,690,000 | 3,676,129 | ||
3.85% 9/29/24 | 11,394,000 | 11,200,929 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 20,277,000 | 20,384,549 | ||
4.5% 9/15/42 | 34,498,000 | 27,566,800 | ||
5.5% 9/1/41 | 12,973,000 | 11,685,585 | ||
5.85% 5/1/17 | 3,419,000 | 3,626,913 | ||
5.875% 11/15/40 | 16,544,000 | 15,610,786 | ||
6.55% 5/1/37 | 38,302,000 | 38,463,749 | ||
6.75% 7/1/18 | 13,763,000 | 15,246,927 | ||
7.3% 7/1/38 | 23,728,000 | 25,119,434 | ||
8.25% 4/1/19 | 24,391,000 | 28,489,859 | ||
Time Warner, Inc.: | ||||
3.6% 7/15/25 | 6,406,000 | 6,192,514 | ||
6.2% 3/15/40 | 11,792,000 | 13,150,391 | ||
6.5% 11/15/36 | 9,243,000 | 10,649,480 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 2,250,000 | 2,126,250 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (h) | 2,750,000 | 2,688,125 | ||
Univision Communications, Inc.: | ||||
5.125% 5/15/23 (h) | 3,000,000 | 2,955,000 | ||
5.125% 2/15/25 (h) | 2,805,000 | 2,720,850 | ||
Viacom, Inc. 2.5% 9/1/18 | 1,478,000 | 1,468,913 | ||
VTR Finance BV 6.875% 1/15/24 (h) | 1,730,000 | 1,704,050 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Wave Holdco LLC/Wave Holdco Corp. 9% 7/15/19 pay-in-kind (h)(n) | $ 215,000 | $ 210,378 | ||
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (h) | 3,025,000 | 2,994,750 | ||
WMG Acquisition Corp.: | ||||
6% 1/15/21 (h) | 1,585,000 | 1,616,700 | ||
6.75% 4/15/22 (h) | 3,265,000 | 3,118,075 | ||
| 564,669,991 | |||
Multiline Retail - 0.1% | ||||
Family Tree Escrow LLC 5.75% 3/1/23 (h) | 2,240,000 | 2,346,400 | ||
JC Penney Corp., Inc.: | ||||
5.65% 6/1/20 | 12,290,000 | 11,245,350 | ||
7.4% 4/1/37 | 8,835,000 | 7,001,738 | ||
8.125% 10/1/19 | 6,040,000 | 6,130,600 | ||
| 26,724,088 | |||
Specialty Retail - 0.0% | ||||
Hot Topic, Inc. 9.25% 6/15/21 (h) | 4,395,000 | 4,438,950 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Polymer Group, Inc. 6.875% 6/1/19 (h) | 1,600,000 | 1,624,000 | ||
TOTAL CONSUMER DISCRETIONARY | 968,150,899 | |||
CONSUMER STAPLES - 2.4% | ||||
Beverages - 0.3% | ||||
Constellation Brands, Inc.: | ||||
3.875% 11/15/19 | 2,360,000 | 2,421,950 | ||
4.25% 5/1/23 | 5,205,000 | 5,236,230 | ||
6% 5/1/22 | 23,545,000 | 25,958,363 | ||
Heineken NV: | ||||
1.4% 10/1/17 (h) | 7,323,000 | 7,297,465 | ||
2.75% 4/1/23 (h) | 7,651,000 | 7,322,734 | ||
JB y Co. SA de CV 3.75% 5/13/25 (h) | 565,000 | 544,623 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (h) | 10,217,000 | 10,515,674 | ||
| 59,297,039 | |||
Food & Staples Retailing - 0.6% | ||||
CVS Health Corp.: | ||||
1.9% 7/20/18 | 15,731,000 | 15,776,730 | ||
2.25% 12/5/18 | 8,524,000 | 8,602,242 | ||
2.8% 7/20/20 | 15,202,000 | 15,356,133 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
CVS Health Corp.: - continued | ||||
3.5% 7/20/22 | $ 8,944,000 | $ 9,137,351 | ||
4% 12/5/23 | 8,525,000 | 8,881,209 | ||
ESAL GmbH 6.25% 2/5/23 (h) | 18,310,000 | 17,806,475 | ||
Minerva Luxmbourg SA: | ||||
7.75% 1/31/23 (h) | 10,040,000 | 9,814,100 | ||
7.75% 1/31/23 (Reg. S) | 1,030,000 | 1,006,825 | ||
SUPERVALU, Inc.: | ||||
6.75% 6/1/21 | 3,045,000 | 3,071,644 | ||
7.75% 11/15/22 | 1,300,000 | 1,345,500 | ||
Tesco PLC 5% 3/24/23 | GBP | 2,500,000 | 3,830,381 | |
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (h) | 5,155,000 | 5,129,225 | ||
Walgreens Boots Alliance, Inc.: | ||||
1.75% 11/17/17 | 3,756,000 | 3,760,045 | ||
2.7% 11/18/19 | 8,473,000 | 8,477,355 | ||
3.3% 11/18/21 | 10,050,000 | 9,945,229 | ||
3.8% 11/18/24 | 7,676,000 | 7,499,360 | ||
WM Morrison Supermarkets PLC 4.625% 12/8/23 | GBP | 750,000 | 1,160,877 | |
| 130,600,681 | |||
Food Products - 0.2% | ||||
ConAgra Foods, Inc. 1.9% 1/25/18 | 4,611,000 | 4,578,239 | ||
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (h) | 2,100,000 | 2,199,750 | ||
Gruma S.A.B. de CV 4.875% 12/1/24 (h) | 625,000 | 656,875 | ||
JBS Investments GmbH: | ||||
7.25% 4/3/24 (h) | 13,050,000 | 13,082,625 | ||
7.75% 10/28/20 (h) | 6,470,000 | 6,900,255 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | ||||
5.75% 6/15/25 (h) | 1,155,000 | 1,120,350 | ||
5.875% 7/15/24 (h) | 6,410,000 | 6,385,963 | ||
7.25% 6/1/21 (h) | 2,730,000 | 2,849,438 | ||
8.25% 2/1/20 (h) | 1,510,000 | 1,591,163 | ||
Sigma Alimentos SA de CV 6.875% 12/16/19 (h) | 575,000 | 642,563 | ||
| 40,007,221 | |||
Tobacco - 1.3% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 9,573,000 | 9,204,018 | ||
4% 1/31/24 | 6,408,000 | 6,508,266 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Tobacco - continued | ||||
Altria Group, Inc.: - continued | ||||
4.25% 8/9/42 | $ 9,573,000 | $ 8,553,849 | ||
4.75% 5/5/21 | 7,000,000 | 7,544,733 | ||
Imperial Tobacco Finance PLC: | ||||
2.05% 7/20/18 (h) | 8,743,000 | 8,702,065 | ||
2.95% 7/21/20 (h) | 20,000,000 | 19,854,640 | ||
3.75% 7/21/22 (h) | 20,300,000 | 20,101,385 | ||
4.25% 7/21/25 (h) | 22,467,000 | 22,263,179 | ||
Reynolds American, Inc.: | ||||
2.3% 6/12/18 | 7,358,000 | 7,402,692 | ||
3.25% 6/12/20 | 6,084,000 | 6,160,525 | ||
3.25% 11/1/22 | 7,368,000 | 7,164,687 | ||
4% 6/12/22 | 11,386,000 | 11,689,517 | ||
4.45% 6/12/25 | 24,787,000 | 25,442,542 | ||
4.75% 11/1/42 | 31,385,000 | 29,064,173 | ||
5.7% 8/15/35 | 4,237,000 | 4,488,326 | ||
5.85% 8/15/45 | 35,690,000 | 38,564,687 | ||
6.15% 9/15/43 | 4,511,000 | 4,938,611 | ||
6.75% 6/15/17 | 3,719,000 | 4,023,471 | ||
7.25% 6/15/37 | 5,056,000 | 6,079,754 | ||
Vector Group Ltd. 7.75% 2/15/21 | 6,480,000 | 6,894,720 | ||
| 254,645,840 | |||
TOTAL CONSUMER STAPLES | 484,550,781 | |||
ENERGY - 6.3% | ||||
Energy Equipment & Services - 0.5% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (h) | 11,333,000 | 10,276,628 | ||
5.35% 3/15/20 (h) | 8,816,000 | 8,566,895 | ||
5.85% 5/21/43 (h)(n) | 6,758,000 | 5,169,870 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 10,806,000 | 10,860,225 | ||
5% 10/1/21 | 7,366,000 | 7,531,897 | ||
6.5% 4/1/20 | 738,000 | 819,197 | ||
Ensco PLC: | ||||
5.2% 3/15/25 | 7,885,000 | 7,046,241 | ||
5.75% 10/1/44 | 7,801,000 | 5,876,688 | ||
Exterran Partners LP/EXLP Finance Corp.: | ||||
6% 4/1/21 | 3,210,000 | 2,568,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Exterran Partners LP/EXLP Finance Corp.: - continued | ||||
6% 10/1/22 | $ 995,000 | $ 791,025 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 8,236,000 | 5,353,400 | ||
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,005,000 | 2,704,500 | ||
Noble Holding International Ltd.: | ||||
4% 3/16/18 | 1,187,000 | 1,172,115 | ||
5.95% 4/1/25 | 7,570,000 | 6,675,294 | ||
6.95% 4/1/45 | 7,307,000 | 5,913,460 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (h) | 2,790,000 | 2,148,300 | ||
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S) | 920,000 | 1,195,579 | ||
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S) | 1,175,000 | 1,051,463 | ||
Transocean, Inc.: | ||||
3% 10/15/17 (n) | 1,000,000 | 920,000 | ||
5.55% 12/15/16 (n) | 7,572,000 | 7,592,823 | ||
Unit Corp. 6.625% 5/15/21 | 2,350,000 | 2,023,938 | ||
| 96,257,538 | |||
Oil, Gas & Consumable Fuels - 5.8% | ||||
Afren PLC: | ||||
6.625% 12/9/20 (d)(h) | 1,375,000 | 41,250 | ||
10.25% 4/8/19 (Reg. S) (d) | 2,075,000 | 72,625 | ||
American Energy-Permian Basin LLC/ AEPB Finance Corp. 6.8037% 8/1/19 (h)(n) | 4,328,000 | 2,293,840 | ||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 19,790,000 | 21,411,414 | ||
Antero Resources Corp.: | ||||
5.125% 12/1/22 | 5,995,000 | 5,426,734 | ||
5.625% 6/1/23 (h) | 1,360,000 | 1,237,600 | ||
Baytex Energy Corp.: | ||||
5.125% 6/1/21 (h) | 1,065,000 | 907,380 | ||
5.625% 6/1/24 (h) | 1,185,000 | 988,906 | ||
BP Capital Markets PLC: | ||||
1.674% 2/13/18 | 18,888,000 | 18,890,758 | ||
2.315% 2/13/20 | 37,777,000 | 37,728,230 | ||
3.535% 11/4/24 | 15,450,000 | 15,302,854 | ||
3.814% 2/10/24 | 11,032,000 | 11,085,847 | ||
4.5% 10/1/20 | 5,954,000 | 6,481,542 | ||
4.742% 3/11/21 | 8,800,000 | 9,631,090 | ||
California Resources Corp.: | ||||
5% 1/15/20 | 4,140,000 | 3,259,422 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
California Resources Corp.: - continued | ||||
5.5% 9/15/21 | $ 2,195,000 | $ 1,701,959 | ||
6% 11/15/24 | 495,000 | 367,043 | ||
Canadian Natural Resources Ltd.: | ||||
1.75% 1/15/18 | 6,049,000 | 5,964,719 | ||
3.9% 2/1/25 | 24,997,000 | 23,084,380 | ||
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 2,975,000 | 2,677,500 | ||
Cenovus Energy, Inc. 5.7% 10/15/19 | 16,926,000 | 18,489,912 | ||
Chesapeake Energy Corp.: | ||||
4.875% 4/15/22 | 2,500,000 | 1,812,500 | ||
5.75% 3/15/23 | 2,970,000 | 2,214,165 | ||
6.125% 2/15/21 | 6,750,000 | 5,227,065 | ||
6.5% 8/15/17 | 1,280,000 | 1,222,669 | ||
Citgo Holding, Inc. 10.75% 2/15/20 (h) | 1,350,000 | 1,333,125 | ||
Citgo Petroleum Corp. 6.25% 8/15/22 (h) | 3,145,000 | 3,050,650 | ||
Columbia Pipeline Group, Inc.: | ||||
2.45% 6/1/18 (h) | 3,149,000 | 3,140,495 | ||
3.3% 6/1/20 (h) | 15,490,000 | 15,452,452 | ||
4.5% 6/1/25 (h) | 4,707,000 | 4,486,628 | ||
5.8% 6/1/45 (h) | 5,906,000 | 5,653,796 | ||
ConocoPhillips Co. 5.75% 2/1/19 | 2,930,000 | 3,275,371 | ||
CONSOL Energy, Inc.: | ||||
5.875% 4/15/22 | 4,935,000 | 3,528,525 | ||
8% 4/1/23 (h) | 2,710,000 | 2,046,050 | ||
Consolidated Energy Finance SA 6.75% 10/15/19 (h) | 9,367,000 | 9,248,039 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 (h) | 685,000 | 619,925 | ||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | 5,924,000 | 5,597,155 | ||
2.7% 4/1/19 | 14,993,000 | 13,182,625 | ||
3.875% 3/15/23 | 5,532,000 | 4,522,438 | ||
Denbury Resources, Inc. 5.5% 5/1/22 | 5,050,000 | 3,598,125 | ||
DTEK Finance PLC 7.875% 4/4/18 (Reg. S) | 200,000 | 76,000 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,524,000 | 1,525,829 | ||
6.45% 11/3/36 (h) | 13,741,000 | 11,965,759 | ||
EDC Finance Ltd. 4.875% 4/17/20 (h) | 3,670,000 | 3,073,625 | ||
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 17,808,585 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 1,166,000 | 1,236,935 | ||
Empresa Nacional de Petroleo 4.375% 10/30/24 (h) | 9,045,000 | 8,805,181 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enable Midstream Partners LP: | ||||
2.4% 5/15/19 (h) | $ 4,028,000 | $ 3,787,504 | ||
3.9% 5/15/24 (h) | 4,249,000 | 3,731,136 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 13,331,000 | 13,450,539 | ||
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (h) | 11,735,000 | 10,974,689 | ||
Energy Transfer Equity LP 5.5% 6/1/27 | 2,210,000 | 2,055,300 | ||
Enterprise Products Operating LP: | ||||
2.55% 10/15/19 | 2,971,000 | 2,957,491 | ||
3.75% 2/15/25 | 9,982,000 | 9,535,156 | ||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||
6.375% 6/15/23 | 4,845,000 | 4,118,250 | ||
7.75% 9/1/22 | 6,075,000 | 5,589,000 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 13,400,000 | 12,998,000 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 6.75% 8/1/22 | 4,390,000 | 4,258,300 | ||
Georgian Oil & Gas Corp.: | ||||
6.875% 5/16/17 (h) | 950,000 | 951,188 | ||
6.875% 5/16/17 (Reg. S) | 200,000 | 200,250 | ||
Gibson Energy, Inc. 6.75% 7/15/21 (h) | 1,935,000 | 1,881,788 | ||
Global Partners LP/GLP Finance Corp. 7% 6/15/23 (h) | 4,995,000 | 4,645,350 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (h) | 221,000 | 228,967 | ||
Halcon Resources Corp. 8.625% 2/1/20 (h) | 7,035,000 | 6,173,213 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
5% 12/1/24 (h) | 1,305,000 | 1,128,956 | ||
5.75% 10/1/25 (h) | 2,135,000 | 1,921,500 | ||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | 750,000 | 712,635 | ||
Indo Energy Finance BV 7% 5/7/18 (h) | 400,000 | 256,000 | ||
Jupiter Resources, Inc. 8.5% 10/1/22 (h) | 5,150,000 | 3,218,750 | ||
KazMunaiGaz Finance Sub BV: | ||||
6% 11/7/44 (h) | 665,000 | 528,420 | ||
9.125% 7/2/18 (h) | 510,000 | 568,625 | ||
KazMunaiGaz National Co. 5.75% 4/30/43 (h) | 1,065,000 | 829,891 | ||
Kinder Morgan, Inc. 2% 12/1/17 | 5,467,000 | 5,413,205 | ||
Kosmos Energy Ltd. 7.875% 8/1/21 (h) | 645,000 | 557,925 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (n) | 5,260,000 | 2,051,400 | ||
6.5% 5/15/19 | 720,000 | 307,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Marathon Petroleum Corp. 5.125% 3/1/21 | $ 10,178,000 | $ 11,074,153 | ||
Motiva Enterprises LLC 5.75% 1/15/20 (h) | 4,187,000 | 4,594,508 | ||
MPLX LP 4% 2/15/25 | 2,532,000 | 2,336,256 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 1,975,000 | 2,256,438 | ||
Noble Energy, Inc.: | ||||
5.625% 5/1/21 | 6,305,000 | 6,365,024 | ||
5.875% 6/1/24 | 535,000 | 552,869 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 4,675,000 | 4,721,750 | ||
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (h) | 1,630,000 | 1,365,125 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h) | 4,701,000 | 2,538,540 | ||
Pan American Energy LLC 7.875% 5/7/21 (h) | 583,000 | 591,745 | ||
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (h) | 2,165,000 | 2,089,225 | ||
Peabody Energy Corp.: | ||||
6% 11/15/18 | 2,155,000 | 716,538 | ||
6.25% 11/15/21 | 2,765,000 | 725,813 | ||
7.875% 11/1/26 | 1,790,000 | 478,825 | ||
10% 3/15/22 (h) | 2,425,000 | 970,000 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 1,965,000 | 2,003,318 | ||
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 4,242,919 | ||
Petrobras Global Finance BV: | ||||
2.4288% 1/15/19 (n) | 3,100,000 | 2,728,000 | ||
2.75% 1/15/18 | EUR | 4,350,000 | 4,490,883 | |
3% 1/15/19 | 4,038,000 | 3,517,461 | ||
3.25% 3/17/17 | 26,728,000 | 25,608,097 | ||
4.375% 5/20/23 | 20,096,000 | 15,789,427 | ||
4.875% 3/17/20 | 26,750,000 | 23,409,193 | ||
5.625% 5/20/43 | 18,504,000 | 12,799,217 | ||
6.25% 3/17/24 | 1,200,000 | 1,050,960 | ||
6.85% 6/5/2115 | 645,000 | 485,298 | ||
7.25% 3/17/44 | 640,000 | 515,200 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 10,192,000 | 10,186,598 | ||
5.375% 1/27/21 | 44,755,000 | 39,451,533 | ||
5.75% 1/20/20 | 11,270,000 | 10,251,530 | ||
5.875% 3/1/18 | 460,000 | 451,375 | ||
6.875% 1/20/40 | 2,760,000 | 2,152,745 | ||
7.875% 3/15/19 | 14,017,000 | 14,126,052 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: | ||||
5.375% 4/12/27 | $ 1,775,000 | $ 592,850 | ||
5.5% 4/12/37 | 655,000 | 216,150 | ||
8.5% 11/2/17 (h) | 14,695,000 | 10,099,874 | ||
9.75% 5/17/35 (h) | 3,430,000 | 1,308,545 | ||
12.75% 2/17/22 (h) | 1,595,000 | 743,270 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 | 1,776,000 | 1,771,560 | ||
3.5% 7/18/18 | 14,963,000 | 15,247,297 | ||
3.5% 7/23/20 (h) | 13,960,000 | 13,824,309 | ||
3.5% 1/30/23 | 11,489,000 | 10,687,642 | ||
4.5% 1/23/26 (h) | 46,043,000 | 43,743,152 | ||
4.875% 1/24/22 | 12,142,000 | 12,324,130 | ||
4.875% 1/18/24 | 13,072,000 | 13,032,784 | ||
5.5% 1/21/21 | 12,069,000 | 12,944,003 | ||
5.5% 6/27/44 (h) | 640,000 | 553,760 | ||
5.5% 6/27/44 | 22,304,000 | 19,298,536 | ||
5.625% 1/23/46 (h) | 36,355,000 | 32,355,950 | ||
6% 3/5/20 | 6,145,000 | 6,694,978 | ||
6.375% 1/23/45 | 14,382,000 | 14,019,574 | ||
6.5% 6/2/41 | 25,567,000 | 25,567,000 | ||
6.625% (h)(i) | 5,520,000 | 5,464,800 | ||
8% 5/3/19 | 8,600,000 | 9,891,290 | ||
Petronas Capital Ltd. 3.5% 3/18/25 (h) | 525,000 | 506,372 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 12,618,000 | 13,167,135 | ||
4.875% 11/15/44 | 34,230,000 | 32,535,410 | ||
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,281,173 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 5,217,000 | 5,052,325 | ||
6.125% 1/15/17 | 6,185,000 | 6,564,246 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (h) | 595,000 | 576,436 | ||
5.25% 5/23/21 (h) | 815,000 | 821,113 | ||
6% 5/3/42 (h) | 395,000 | 345,625 | ||
6.5% 5/27/41 (h) | 1,900,000 | 1,762,250 | ||
Rice Energy, Inc.: | ||||
6.25% 5/1/22 | 8,365,000 | 7,444,850 | ||
7.25% 5/1/23 (h) | 3,620,000 | 3,366,600 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sabine Pass Liquefaction LLC: | ||||
5.625% 3/1/25 (h) | $ 12,415,000 | $ 12,003,753 | ||
5.75% 5/15/24 | 5,045,000 | 4,931,488 | ||
SemGroup Corp. 7.5% 6/15/21 | 4,750,000 | 4,702,500 | ||
Shell International Finance BV: | ||||
3.25% 5/11/25 | 20,000,000 | 19,686,200 | ||
4.375% 5/11/45 | 20,000,000 | 19,706,180 | ||
Sibur Securities Ltd. 3.914% 1/31/18 (h) | 1,870,000 | 1,764,813 | ||
Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22 | 2,750,000 | 2,788,734 | ||
SM Energy Co. 6.5% 11/15/21 | 1,205,000 | 1,168,850 | ||
Southwestern Energy Co.: | ||||
3.3% 1/23/18 | 6,403,000 | 6,383,445 | ||
4.05% 1/23/20 | 11,618,000 | 11,502,970 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 308,000 | 330,949 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 4,717,000 | 4,765,411 | ||
2.95% 9/25/18 | 1,960,000 | 1,980,464 | ||
4.6% 6/15/21 | 2,694,000 | 2,804,416 | ||
Sunoco LP / Sunoco Finance Corp.: | ||||
5.5% 8/1/20 (h) | 3,405,000 | 3,387,975 | ||
6.375% 4/1/23 (h) | 1,035,000 | 1,040,175 | ||
Teine Energy Ltd. 6.875% 9/30/22 (h) | 6,310,000 | 5,458,150 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | ||||
6.125% 10/15/21 | 505,000 | 506,263 | ||
6.25% 10/15/22 (h) | 800,000 | 800,000 | ||
The Williams Companies, Inc.: | ||||
3.7% 1/15/23 | 10,780,000 | 9,339,544 | ||
4.55% 6/24/24 | 53,471,000 | 47,328,145 | ||
Transportadora de Gas del Sur SA 9.625% 5/14/20 (h) | 3,042,567 | 3,065,386 | ||
Western Gas Partners LP 5.375% 6/1/21 | 16,424,000 | 17,400,390 | ||
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 | 2,105,000 | 2,126,050 | ||
Western Refining, Inc. 6.25% 4/1/21 | 4,085,000 | 4,044,150 | ||
Whiting Petroleum Corp. 5% 3/15/19 | 2,070,000 | 1,852,650 | ||
Williams Partners LP: | ||||
4.125% 11/15/20 | 2,399,000 | 2,438,550 | ||
4.3% 3/4/24 | 8,588,000 | 8,041,829 | ||
WPX Energy, Inc. 7.5% 8/1/20 | 2,070,000 | 1,987,987 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
YPF SA: | ||||
8.5% 7/28/25 (h) | $ 1,660,000 | $ 1,556,250 | ||
8.75% 4/4/24 (h) | 3,215,000 | 3,086,400 | ||
8.875% 12/19/18 (h) | 1,610,000 | 1,660,313 | ||
8.875% 12/19/18 (Reg. S) | 1,300,000 | 1,340,625 | ||
Zhaikmunai International BV 7.125% 11/13/19 (h) | 2,840,000 | 2,357,200 | ||
| 1,177,559,754 | |||
TOTAL ENERGY | 1,273,817,292 | |||
FINANCIALS - 18.6% | ||||
Banks - 7.4% | ||||
Banco Daycoval SA 5.75% 3/19/19 (h) | 625,000 | 608,594 | ||
Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S) | 697,825 | 732,716 | ||
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) | EUR | 1,300,000 | 1,434,602 | |
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (h) | 10,570,000 | 10,543,575 | ||
4% 4/14/19 (h) | 12,355,000 | 11,799,025 | ||
5.5% 7/12/20 (h) | 575,000 | 567,813 | ||
5.75% 9/26/23 (h) | 10,860,000 | 10,208,400 | ||
6.369% 6/16/18 (h) | 13,435,000 | 13,720,494 | ||
6.5% 6/10/19 (Reg. S) | 1,000,000 | 1,032,000 | ||
Bank Nederlandse Gemeenten NV: | ||||
1.375% 9/27/17 (h) | 8,770,000 | 8,827,978 | ||
1.375% 9/27/17 (Reg. S) | 2,720,000 | 2,739,764 | ||
Bank of America Corp.: | ||||
2% 1/11/18 | 50,000,000 | 49,990,200 | ||
2.25% 4/21/20 | 87,156,000 | 85,545,706 | ||
2.6% 1/15/19 | 8,068,000 | 8,123,903 | ||
2.65% 4/1/19 | 6,430,000 | 6,482,887 | ||
3.3% 1/11/23 | 31,429,000 | 30,945,182 | ||
3.875% 3/22/17 | 25,777,000 | 26,650,608 | ||
3.95% 4/21/25 | 25,000,000 | 24,173,150 | ||
4.1% 7/24/23 | 11,481,000 | 11,844,075 | ||
4.2% 8/26/24 | 16,813,000 | 16,658,909 | ||
4.25% 10/22/26 | 14,724,000 | 14,476,755 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Bank of America Corp.: - continued | ||||
5.65% 5/1/18 | $ 8,780,000 | $ 9,554,730 | ||
5.75% 12/1/17 | 21,955,000 | 23,749,997 | ||
5.875% 1/5/21 | 6,530,000 | 7,432,505 | ||
6.5% 8/1/16 | 9,000,000 | 9,422,991 | ||
Bank of Ireland: | ||||
4.25% 6/11/24 (Reg. S) (n) | EUR | 3,800,000 | 4,349,394 | |
10% 7/30/16 | EUR | 2,350,000 | 2,796,739 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (h) | 1,265,000 | 1,214,742 | ||
Barclays Bank PLC: | ||||
4.25% 1/12/22 | GBP | 4,000,000 | 6,878,722 | |
6.75% 1/16/23 (n) | GBP | 2,250,000 | 3,718,097 | |
Barclays PLC 2.75% 11/8/19 | 12,249,000 | 12,211,273 | ||
BBVA Bancomer SA 6.75% 9/30/22 (h) | 375,000 | 406,125 | ||
BBVA Colombia SA 4.875% 4/21/25 (h) | 390,000 | 377,910 | ||
BBVA Paraguay SA 9.75% 2/11/16 (h) | 1,145,000 | 1,175,412 | ||
BPCE SA 5.7% 10/22/23 (h) | 6,050,000 | 6,404,409 | ||
Capital One NA 2.95% 7/23/21 | 18,827,000 | 18,330,137 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 17,175,000 | 17,158,770 | ||
1.7% 4/27/18 | 120,000,000 | 118,934,520 | ||
1.8% 2/5/18 | 33,287,000 | 33,132,016 | ||
1.85% 11/24/17 | 33,365,000 | 33,346,950 | ||
2.4% 2/18/20 | 60,588,000 | 59,961,762 | ||
2.5% 7/29/19 | 46,387,000 | 46,340,706 | ||
4.05% 7/30/22 | 5,303,000 | 5,427,562 | ||
4.4% 6/10/25 | 40,790,000 | 41,006,269 | ||
5.5% 9/13/25 | 4,478,000 | 4,862,369 | ||
6.125% 5/15/18 | 3,779,000 | 4,170,561 | ||
Citizens Financial Group, Inc. 4.15% 9/28/22 (h) | 13,462,000 | 13,577,221 | ||
Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (n) | EUR | 2,700,000 | 2,883,720 | |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 19,650,716 | ||
Credit Suisse Group Funding Guernsey Ltd.: | ||||
2.75% 3/26/20 (h) | 19,455,000 | 19,338,737 | ||
3.75% 3/26/25 (h) | 19,450,000 | 18,816,864 | ||
Development Bank of Philippines 8.375% (i)(n) | 1,930,000 | 2,016,142 | ||
Discover Bank: | ||||
4.2% 8/8/23 | 7,852,000 | 7,940,696 | ||
7% 4/15/20 | 2,030,000 | 2,339,210 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | $ 798,000 | $ 847,756 | ||
8.25% 3/1/38 | 4,667,000 | 6,607,137 | ||
Finansbank A/S: | ||||
5.5% 5/11/16 (Reg. S) | 1,300,000 | 1,312,168 | ||
6.25% 4/30/19 (h) | 1,100,000 | 1,115,598 | ||
Georgia Bank Joint Stock Co.: | ||||
7.75% 7/5/17 (h) | 2,200,000 | 2,257,790 | ||
7.75% 7/5/17 (Reg. S) | 350,000 | 359,194 | ||
GTB Finance BV: | ||||
6% 11/8/18 (h) | 2,725,000 | 2,471,575 | ||
7.5% 5/19/16 (h) | 1,245,000 | 1,241,888 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 6,693,958 | ||
HSBC Holdings PLC 4.25% 3/14/24 | 6,192,000 | 6,198,663 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,071,934 | ||
HSBK BV: | ||||
7.25% 5/3/17 (h) | 2,285,000 | 2,317,584 | ||
7.25% 5/3/17 (Reg. S) | 250,000 | 253,565 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,392,636 | ||
Industrial Senior Trust 5.5% 11/1/22 (h) | 220,000 | 208,230 | ||
Intesa Sanpaolo SpA: | ||||
3.875% 1/16/18 | 4,140,000 | 4,250,281 | ||
6.625% 9/13/23 (Reg. S) | EUR | 2,000,000 | 2,715,356 | |
Itau Unibanco Holding SA: | ||||
2.85% 5/26/18 (h) | 655,000 | 636,005 | ||
5.125% 5/13/23 (Reg. S) | 1,100,000 | 1,001,000 | ||
5.5% 8/6/22 (h) | 655,000 | 614,849 | ||
6.2% 12/21/21 (Reg. S) | 980,000 | 960,890 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 12,580,000 | 12,459,446 | ||
2% 8/15/17 | 11,000,000 | 11,072,512 | ||
2.2% 10/22/19 | 7,268,000 | 7,206,091 | ||
2.25% 1/23/20 | 40,000,000 | 39,478,680 | ||
2.35% 1/28/19 | 6,857,000 | 6,880,664 | ||
3.25% 9/23/22 | 18,423,000 | 18,270,771 | ||
3.875% 9/10/24 | 39,644,000 | 39,008,190 | ||
4.125% 12/15/26 | 50,896,000 | 50,501,963 | ||
4.25% 10/15/20 | 6,995,000 | 7,490,169 | ||
4.35% 8/15/21 | 20,267,000 | 21,634,901 | ||
4.5% 1/24/22 | 22,046,000 | 23,537,037 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
4.625% 5/10/21 | $ 6,879,000 | $ 7,450,033 | ||
4.95% 3/25/20 | 22,079,000 | 24,197,877 | ||
KeyBank NA 5.45% 3/3/16 | 3,939,000 | 4,027,143 | ||
OJSC Russian Agricultural Bank: | ||||
6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 415,000 | 420,188 | ||
7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 1,000,000 | 1,027,780 | ||
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 26,008,067 | ||
Regions Bank 6.45% 6/26/37 | 24,618,000 | 28,831,888 | ||
Regions Financial Corp. 2% 5/15/18 | 13,127,000 | 13,056,416 | ||
Royal Bank of Scotland Group PLC: | ||||
5.125% 5/28/24 | 64,006,000 | 64,539,234 | ||
6% 12/19/23 | 25,897,000 | 27,626,453 | ||
6.1% 6/10/23 | 16,183,000 | 17,359,763 | ||
6.125% 12/15/22 | 42,557,000 | 45,842,869 | ||
RSHB Capital SA 5.298% 12/27/17 (h) | 1,425,000 | 1,406,874 | ||
SB Capital SA 5.5% 2/26/24 (h)(n) | 2,285,000 | 1,841,002 | ||
Turkiye Halk Bankasi A/S 4.75% 6/4/19 (h) | 980,000 | 975,100 | ||
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (h)(n) | 645,000 | 617,007 | ||
Wachovia Corp. 5.75% 6/15/17 | 2,933,000 | 3,154,735 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 34,000,000 | 34,134,878 | ||
3.676% 6/15/16 | 4,301,000 | 4,398,693 | ||
4.48% 1/16/24 | 4,804,000 | 5,009,525 | ||
Yapi ve Kredi Bankasi A/S 5.125% 10/22/19 (Reg. S) | 4,000,000 | 4,000,640 | ||
Zenith Bank PLC 6.25% 4/22/19 (h) | 3,070,000 | 2,778,350 | ||
| 1,508,807,306 | |||
Capital Markets - 3.7% | ||||
Affiliated Managers Group, Inc.: | ||||
3.5% 8/1/25 | 19,025,000 | 18,163,187 | ||
4.25% 2/15/24 | 12,758,000 | 13,246,925 | ||
Argos Merger Sub, Inc. 7.125% 3/15/23 (h) | 8,620,000 | 9,029,450 | ||
Deutsche Bank AG 4.5% 4/1/25 | 48,248,000 | 46,654,899 | ||
Deutsche Bank AG London Branch 1.875% 2/13/18 | 37,777,000 | 37,591,288 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 42,024,000 | 41,923,815 | ||
2.55% 10/23/19 | 33,080,000 | 33,142,157 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Goldman Sachs Group, Inc.: - continued | ||||
2.625% 1/31/19 | $ 50,400,000 | $ 50,909,191 | ||
2.9% 7/19/18 | 17,494,000 | 17,884,624 | ||
3.75% 5/22/25 | 40,000,000 | 39,796,760 | ||
5.25% 7/27/21 | 17,105,000 | 19,015,492 | ||
5.625% 1/15/17 | 3,200,000 | 3,359,987 | ||
5.95% 1/18/18 | 4,975,000 | 5,427,536 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 10,151,000 | 10,674,853 | ||
6.85% 6/15/17 | 1,263,000 | 1,367,037 | ||
Morgan Stanley: | ||||
1.875% 1/5/18 | 16,953,000 | 16,952,508 | ||
2.125% 4/25/18 | 12,586,000 | 12,630,227 | ||
2.375% 7/23/19 | 26,932,000 | 26,909,458 | ||
2.8% 6/16/20 | 30,000,000 | 30,096,810 | ||
3.7% 10/23/24 | 24,714,000 | 24,666,623 | ||
4% 7/23/25 | 21,522,000 | 21,940,022 | ||
4.35% 9/8/26 | 30,000,000 | 29,929,590 | ||
4.875% 11/1/22 | 26,240,000 | 27,761,868 | ||
5% 11/24/25 | 3,189,000 | 3,353,425 | ||
5.45% 1/9/17 | 13,970,000 | 14,696,007 | ||
5.5% 1/26/20 | 88,000,000 | 97,921,032 | ||
5.625% 9/23/19 | 12,714,000 | 14,132,437 | ||
5.75% 1/25/21 | 19,879,000 | 22,522,668 | ||
6.625% 4/1/18 | 16,118,000 | 17,962,286 | ||
UBS AG Stamford Branch: | ||||
1.375% 6/1/17 | 12,643,000 | 12,582,946 | ||
1.8% 3/26/18 | 24,142,000 | 24,057,165 | ||
| 746,302,273 | |||
Consumer Finance - 1.8% | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | ||||
4.25% 7/1/20 | 3,025,000 | 3,047,688 | ||
4.5% 5/15/21 | 2,800,000 | 2,845,500 | ||
4.625% 7/1/22 | 2,685,000 | 2,705,138 | ||
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,448,045 | ||
Credito Real S.A.B. de CV 7.5% 3/13/19 (h) | 840,000 | 851,550 | ||
Discover Financial Services: | ||||
3.85% 11/21/22 | 25,882,000 | 25,225,710 | ||
3.95% 11/6/24 | 9,738,000 | 9,366,057 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: - continued | ||||
5.2% 4/27/22 | $ 12,545,000 | $ 13,232,203 | ||
6.45% 6/12/17 | 10,366,000 | 11,211,565 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 7,229,000 | 7,194,279 | ||
1.7% 5/9/16 | 19,473,000 | 19,518,431 | ||
1.724% 12/6/17 | 18,742,000 | 18,570,567 | ||
2.24% 6/15/18 | 19,162,000 | 19,062,128 | ||
2.597% 11/4/19 | 40,209,000 | 39,630,392 | ||
2.875% 10/1/18 | 13,000,000 | 13,100,217 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 10,247,000 | 10,270,302 | ||
4.625% 1/7/21 | 19,476,000 | 21,380,207 | ||
4.65% 10/17/21 | 5,377,000 | 5,910,216 | ||
5.625% 9/15/17 | 5,858,000 | 6,335,445 | ||
5.625% 5/1/18 | 25,000,000 | 27,480,675 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (h) | 14,591,000 | 14,558,097 | ||
1.625% 10/2/15 (h) | 4,565,000 | 4,565,278 | ||
1.875% 8/9/16 (h) | 2,974,000 | 2,987,440 | ||
2.125% 10/2/17 (h) | 18,524,000 | 18,576,905 | ||
2.875% 8/9/18 (h) | 5,276,000 | 5,382,401 | ||
Navient Corp.: | ||||
5% 10/26/20 | 915,000 | 814,350 | ||
5.875% 3/25/21 | 3,215,000 | 2,885,463 | ||
5.875% 10/25/24 | 8,775,000 | 7,414,875 | ||
SLM Corp.: | ||||
4.875% 6/17/19 | 2,160,000 | 2,019,600 | ||
5.5% 1/15/19 | 2,025,000 | 1,933,875 | ||
5.5% 1/25/23 | 6,135,000 | 5,168,738 | ||
6.125% 3/25/24 | 4,280,000 | 3,638,000 | ||
8% 3/25/20 | 395,000 | 399,938 | ||
Synchrony Financial: | ||||
1.875% 8/15/17 | 3,341,000 | 3,326,781 | ||
3% 8/15/19 | 4,907,000 | 4,914,596 | ||
3.75% 8/15/21 | 7,409,000 | 7,347,720 | ||
4.25% 8/15/24 | 7,458,000 | 7,335,607 | ||
| 360,655,979 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - 0.5% | ||||
Brixmor Operating Partnership LP: | ||||
3.85% 2/1/25 | $ 14,325,000 | $ 13,660,492 | ||
3.875% 8/15/22 | 11,641,000 | 11,575,170 | ||
Cimpor Financial Operations BV 5.75% 7/17/24 (h) | 850,000 | 633,250 | ||
CNH Industrial Capital LLC 3.875% 7/16/18 (h) | 3,170,000 | 3,158,113 | ||
Deutsche Boerse AG 2.75% 2/5/41 (Reg. S) (n) | EUR | 1,200,000 | 1,353,002 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
4.875% 3/15/19 | 1,665,000 | 1,686,645 | ||
5.875% 2/1/22 | 18,611,000 | 18,801,763 | ||
6% 8/1/20 | 4,745,000 | 4,898,121 | ||
ILFC E-Capital Trust I 4.69% 12/21/65 (h)(n) | 10,340,000 | 9,784,225 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (h)(n) | 4,765,000 | 4,508,881 | ||
ING U.S., Inc. 5.5% 7/15/22 | 25,716,000 | 28,972,186 | ||
MSCI, Inc. 5.75% 8/15/25 (h) | 3,010,000 | 3,070,200 | ||
TMK Capital SA: | ||||
6.75% 4/3/20 (Reg. S) | 885,000 | 737,488 | ||
7.75% 1/27/18 | 1,300,000 | 1,231,750 | ||
| 104,071,286 | |||
Insurance - 1.8% | ||||
AIA Group Ltd. 2.25% 3/11/19 (h) | 2,566,000 | 2,553,404 | ||
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (h) | 5,405,000 | 5,256,363 | ||
Allianz SE 2.241% 7/7/45 (Reg. S) (n) | EUR | 2,900,000 | 2,949,134 | |
American International Group, Inc.: | ||||
2.3% 7/16/19 | 6,461,000 | 6,441,746 | ||
3.875% 1/15/35 | 19,041,000 | 17,244,063 | ||
4.875% 6/1/22 | 3,590,000 | 3,914,432 | ||
5.6% 10/18/16 | 10,702,000 | 11,210,923 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 11,274,000 | 11,454,440 | ||
3.5% 9/30/15 | 4,451,000 | 4,459,212 | ||
5% 9/30/20 | 3,854,000 | 4,242,892 | ||
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (n) | 4,900,000 | 5,060,112 | ||
Assicurazioni Generali SpA 7.75% 12/12/42 (n) | EUR | 4,400,000 | 6,026,565 | |
Aviva PLC 6.625% 6/3/41 (n) | GBP | 4,150,000 | 6,904,102 | |
Five Corners Funding Trust 4.419% 11/15/23 (h) | 12,460,000 | 12,904,922 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(n) | 1,859,000 | 1,896,180 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | $ 14,787,000 | $ 16,418,923 | ||
5.375% 3/15/17 | 194,000 | 204,723 | ||
Liberty Mutual Group, Inc. 5% 6/1/21 (h) | 12,644,000 | 13,716,110 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,763,472 | ||
Massachusetts Mutual Life Insurance Co.: | ||||
4.5% 4/15/65 (h) | 30,523,000 | 27,679,050 | ||
5.375% 12/1/41 (h) | 3,840,000 | 4,261,951 | ||
MetLife, Inc.: | ||||
1.903% 12/15/17 (n) | 2,987,000 | 3,001,526 | ||
3.048% 12/15/22 (n) | 12,433,000 | 12,183,283 | ||
4.368% 9/15/23 | 9,625,000 | 10,189,766 | ||
4.75% 2/8/21 | 4,032,000 | 4,432,636 | ||
6.75% 6/1/16 | 7,610,000 | 7,934,218 | ||
Metropolitan Life Global Funding I 3% 1/10/23 (h) | 7,896,000 | 7,701,972 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 7,041,000 | 10,587,270 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (h) | 19,436,000 | 19,925,010 | ||
6% 2/10/20 (h) | 12,654,000 | 14,237,851 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 1,622,000 | 1,639,323 | ||
4.5% 11/16/21 | 6,390,000 | 6,972,640 | ||
5.375% 5/15/45 (n) | 17,492,000 | 17,300,638 | ||
6.2% 11/15/40 | 4,318,000 | 5,117,758 | ||
7.375% 6/15/19 | 3,230,000 | 3,790,327 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 6,375,000 | 6,534,809 | ||
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (h) | 18,083,000 | 18,510,356 | ||
TIAA Asset Management Finance LLC: | ||||
2.95% 11/1/19 (h) | 4,172,000 | 4,196,594 | ||
4.125% 11/1/24 (h) | 6,048,000 | 6,106,732 | ||
Unum Group: | ||||
5.625% 9/15/20 | 8,386,000 | 9,383,699 | ||
5.75% 8/15/42 | 16,937,000 | 18,844,428 | ||
7.125% 9/30/16 | 587,000 | 621,415 | ||
| 361,774,970 | |||
Real Estate Investment Trusts - 1.7% | ||||
Alexandria Real Estate Equities, Inc.: | ||||
2.75% 1/15/20 | 2,884,000 | 2,853,112 | ||
4.6% 4/1/22 | 4,025,000 | 4,174,939 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | $ 3,491,000 | $ 3,390,438 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 5,005,000 | 5,200,230 | ||
4.2% 12/15/23 | 12,000,000 | 12,529,692 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 14,583,000 | 14,806,966 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 6,621,000 | 6,356,471 | ||
4.25% 1/15/24 | 9,191,000 | 9,500,268 | ||
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,325,598 | ||
Communications Sales & Leasing, Inc. 8.25% 10/15/23 (h) | 1,455,000 | 1,324,050 | ||
Corporate Office Properties LP 5% 7/1/25 | 8,095,000 | 7,900,987 | ||
DDR Corp.: | ||||
3.625% 2/1/25 | 7,690,000 | 7,227,646 | ||
4.625% 7/15/22 | 10,758,000 | 11,185,846 | ||
4.75% 4/15/18 | 11,273,000 | 11,914,682 | ||
7.5% 4/1/17 | 5,574,000 | 6,039,022 | ||
7.875% 9/1/20 | 323,000 | 392,813 | ||
9.625% 3/15/16 | 3,691,000 | 3,852,179 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 6,287,000 | 6,168,396 | ||
3.75% 12/1/24 | 5,408,000 | 5,265,040 | ||
3.875% 10/15/22 | 11,543,000 | 11,638,461 | ||
4.375% 6/15/22 | 7,323,000 | 7,576,918 | ||
5.95% 2/15/17 | 102,000 | 108,357 | ||
6.5% 1/15/18 | 3,795,000 | 4,175,475 | ||
6.75% 3/15/20 | 10,379,000 | 12,023,532 | ||
8.25% 8/15/19 | 75,000 | 90,575 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 18,100,000 | 18,029,066 | ||
6% 9/15/17 | 1,212,000 | 1,308,027 | ||
6.25% 1/15/17 | 1,027,000 | 1,087,078 | ||
ERP Operating LP: | ||||
2.375% 7/1/19 | 8,777,000 | 8,791,500 | ||
4.625% 12/15/21 | 17,159,000 | 18,535,461 | ||
4.75% 7/15/20 | 7,700,000 | 8,404,450 | ||
5.375% 8/1/16 | 2,768,000 | 2,873,079 | ||
5.75% 6/15/17 | 14,407,000 | 15,447,027 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,848,691 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HCP, Inc. 3.75% 2/1/16 | $ 6,084,000 | $ 6,151,356 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 5,151,000 | 5,157,985 | ||
4.7% 9/15/17 | 1,538,000 | 1,622,252 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 650,684 | ||
HRPT Properties Trust: | ||||
6.25% 6/15/17 | 1,232,000 | 1,291,660 | ||
6.65% 1/15/18 | 867,000 | 931,770 | ||
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,638,463 | ||
Omega Healthcare Investors, Inc.: | ||||
4.5% 1/15/25 | 4,655,000 | 4,572,774 | ||
4.5% 4/1/27 (h) | 45,578,000 | 43,784,460 | ||
4.95% 4/1/24 | 3,875,000 | 3,987,673 | ||
5.875% 3/15/24 | 290,000 | 305,225 | ||
6.75% 10/15/22 | 345,000 | 357,938 | ||
Retail Opportunity Investments Partnership LP: | ||||
4% 12/15/24 | 3,376,000 | 3,289,544 | ||
5% 12/15/23 | 2,030,000 | 2,139,920 | ||
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 278,757 | ||
Simon Property Group LP 4.125% 12/1/21 | 7,287,000 | 7,721,101 | ||
The GEO Group, Inc. 5.875% 1/15/22 | 2,285,000 | 2,376,400 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,670,616 | ||
WP Carey, Inc. 4% 2/1/25 | 21,616,000 | 20,894,393 | ||
| 348,169,043 | |||
Real Estate Management & Development - 1.7% | ||||
BioMed Realty LP: | ||||
2.625% 5/1/19 | 7,539,000 | 7,527,428 | ||
3.85% 4/15/16 | 16,284,000 | 16,495,024 | ||
4.25% 7/15/22 | 5,809,000 | 5,923,693 | ||
6.125% 4/15/20 | 3,429,000 | 3,859,751 | ||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | 12,775,000 | 12,544,130 | ||
4.1% 10/1/24 | 15,881,000 | 15,800,452 | ||
4.55% 10/1/29 | 15,881,000 | 15,422,309 | ||
4.95% 4/15/18 | 12,690,000 | 13,476,184 | ||
5.7% 5/1/17 | 7,049,000 | 7,453,493 | ||
6% 4/1/16 | 2,699,000 | 2,766,613 | ||
CBRE Group, Inc. 5% 3/15/23 | 10,300,000 | 10,398,138 | ||
Citycon Oyj 3.75% 6/24/20 (Reg. S) | EUR | 2,500,000 | 3,043,919 | |
Citycon Treasury BV 2.5% 10/1/24 (Reg. S) | EUR | 350,000 | 386,217 | |
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Deutsche Annington Finance BV 5% 10/2/23 (h) | $ 3,750,000 | $ 3,987,863 | ||
Digital Realty Trust LP: | ||||
3.95% 7/1/22 | 11,369,000 | 11,381,153 | ||
5.25% 3/15/21 | 5,708,000 | 6,213,580 | ||
Essex Portfolio LP: | ||||
3.875% 5/1/24 | 8,802,000 | 8,807,123 | ||
5.5% 3/15/17 | 3,597,000 | 3,794,058 | ||
Host Hotels & Resorts LP: | ||||
4.75% 3/1/23 | 150,000 | 156,208 | ||
6% 11/1/20 | 105,000 | 108,621 | ||
Howard Hughes Corp. 6.875% 10/1/21 (h) | 2,035,000 | 2,121,488 | ||
Hunt Companies, Inc. 9.625% 3/1/21 (h) | 870,000 | 835,200 | ||
Inmobiliaria Colonial SA 1.863% 6/5/19 (Reg. S) | EUR | 2,900,000 | 3,248,052 | |
Inversiones y Representaciones SA: | ||||
8.5% 2/2/17 (Reg. S) | 65,000 | 64,675 | ||
11.5% 7/20/20 (Reg. S) | 5,000 | 5,550 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 6,574,000 | 6,326,943 | ||
4.125% 6/15/22 | 6,280,000 | 6,419,812 | ||
4.4% 2/15/24 | 13,017,000 | 13,390,015 | ||
4.75% 10/1/20 | 11,282,000 | 12,170,300 | ||
5.5% 12/15/16 | 1,891,000 | 1,979,036 | ||
6.625% 10/1/17 | 4,835,000 | 5,292,923 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 9,223,000 | 9,251,813 | ||
3.15% 5/15/23 | 14,735,000 | 13,078,447 | ||
4.5% 4/18/22 | 4,072,000 | 4,058,485 | ||
5.8% 1/15/16 | 10,000,000 | 10,147,530 | ||
7.75% 8/15/19 | 700,000 | 806,132 | ||
Mid-America Apartments LP: | ||||
4.3% 10/15/23 | 2,224,000 | 2,274,632 | ||
6.05% 9/1/16 | 2,000,000 | 2,086,998 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,500,114 | ||
Prime Property Funding, Inc. 5.7% 4/15/17 (h) | 4,546,000 | 4,757,194 | ||
Realogy Corp. 7.625% 1/15/20 (h) | 981,000 | 1,031,276 | ||
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (h) | 235,000 | 236,469 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 7,123,000 | 7,300,911 | ||
Regency Centers LP 5.875% 6/15/17 | 2,874,000 | 3,085,276 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: | ||||
3.75% 12/1/24 | $ 10,161,000 | $ 9,927,795 | ||
3.875% 12/1/23 | 4,812,000 | 4,777,002 | ||
6.125% 6/1/20 | 14,318,000 | 16,277,604 | ||
Ventas Realty LP: | ||||
1.55% 9/26/16 | 7,655,000 | 7,668,947 | ||
3.5% 2/1/25 | 4,631,000 | 4,380,296 | ||
3.75% 5/1/24 | 20,000,000 | 19,579,180 | ||
4.125% 1/15/26 | 5,557,000 | 5,501,135 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | 8,050,000 | 8,073,015 | ||
4% 4/30/19 | 3,747,000 | 3,918,234 | ||
4.25% 3/1/22 | 300,000 | 311,040 | ||
Vesteda Finance BV 1.75% 7/22/19 (Reg. S) | EUR | 3,000,000 | 3,393,462 | |
| 345,822,938 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Wrightwood Capital LLC 1.9% 4/20/20 (d) | 362 | 12,138 | ||
TOTAL FINANCIALS | 3,775,615,933 | |||
HEALTH CARE - 2.6% | ||||
Biotechnology - 0.2% | ||||
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (h) | 845,000 | 865,069 | ||
Amgen, Inc.: | ||||
1.25% 5/22/17 | 14,862,000 | 14,821,278 | ||
2.2% 5/22/19 | 14,136,000 | 14,023,986 | ||
| 29,710,333 | |||
Health Care Equipment & Supplies - 0.0% | ||||
Becton, Dickinson & Co. 2.675% 12/15/19 | 4,539,000 | 4,538,737 | ||
Hill-Rom Holdings, Inc. 5.75% 9/1/23 (h)(j) | 1,220,000 | 1,241,350 | ||
Hologic, Inc. 5.25% 7/15/22 (h) | 1,620,000 | 1,650,375 | ||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (h) | 655,000 | 650,088 | ||
| 8,080,550 | |||
Health Care Providers & Services - 1.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 1,914,945 | ||
Community Health Systems, Inc. 6.875% 2/1/22 | 5,375,000 | 5,712,604 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 24,746,000 | 26,451,148 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HCA Holdings, Inc.: | ||||
3.75% 3/15/19 | $ 18,722,000 | $ 18,815,610 | ||
4.25% 10/15/19 | 7,590,000 | 7,741,800 | ||
4.75% 5/1/23 | 595,000 | 603,175 | ||
5.875% 3/15/22 | 715,000 | 777,563 | ||
6.5% 2/15/20 | 30,303,000 | 33,484,815 | ||
HealthSouth Corp.: | ||||
5.125% 3/15/23 | 860,000 | 851,400 | ||
5.75% 11/1/24 (h) | 1,035,000 | 1,049,387 | ||
5.75% 11/1/24 | 1,155,000 | 1,171,055 | ||
Kindred Escrow Corp. II: | ||||
8% 1/15/20 (h) | 3,740,000 | 4,097,638 | ||
8.75% 1/15/23 (h) | 9,820,000 | 10,998,400 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 1,176,000 | 1,176,734 | ||
4.125% 9/15/20 | 7,486,000 | 7,909,753 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 500,000 | 517,500 | ||
5.5% 2/1/21 | 5,400,000 | 5,643,000 | ||
Tenet Healthcare Corp.: | ||||
3.7861% 6/15/20 (h)(n) | 1,550,000 | 1,558,525 | ||
5% 3/1/19 | 2,285,000 | 2,280,978 | ||
6% 10/1/20 | 605,000 | 647,350 | ||
6.75% 6/15/23 | 2,530,000 | 2,605,900 | ||
6.875% 11/15/31 | 130,000 | 120,250 | ||
8.125% 4/1/22 | 16,575,000 | 18,356,813 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 2,398,000 | 2,309,437 | ||
2.875% 3/15/23 | 16,114,000 | 15,682,467 | ||
3.35% 7/15/22 | 6,192,000 | 6,333,648 | ||
3.75% 7/15/25 | 19,000,000 | 19,448,913 | ||
4.625% 7/15/35 | 12,193,000 | 12,717,835 | ||
4.75% 7/15/45 | 20,331,000 | 21,277,306 | ||
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,239,174 | ||
| 238,495,123 | |||
Health Care Technology - 0.0% | ||||
Emdeon, Inc. 6% 2/15/21 (h) | 1,345,000 | 1,324,825 | ||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 3,107,000 | 3,089,557 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Life Sciences Tools & Services - continued | ||||
Thermo Fisher Scientific, Inc.: - continued | ||||
2.4% 2/1/19 | $ 1,959,000 | $ 1,954,390 | ||
4.15% 2/1/24 | 3,010,000 | 3,067,094 | ||
| 8,111,041 | |||
Pharmaceuticals - 1.2% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 13,509,000 | 13,497,409 | ||
2.9% 11/6/22 | 13,855,000 | 13,364,824 | ||
3.6% 5/14/25 | 24,114,000 | 23,711,682 | ||
4.5% 5/14/35 | 23,238,000 | 22,197,031 | ||
4.7% 5/14/45 | 23,197,000 | 22,539,759 | ||
Actavis Funding SCS: | ||||
3% 3/12/20 | 13,777,000 | 13,713,089 | ||
3.45% 3/15/22 | 18,597,000 | 18,189,819 | ||
3.8% 3/15/25 | 27,765,000 | 26,897,316 | ||
4.75% 3/15/45 | 10,716,000 | 9,820,850 | ||
Bayer AG 2.375% 4/2/75 (Reg. S) (n) | EUR | 2,450,000 | 2,622,251 | |
Bayer U.S. Finance LLC: | ||||
2.375% 10/8/19 (h) | 10,323,000 | 10,366,501 | ||
3% 10/8/21 (h) | 7,536,000 | 7,547,063 | ||
3.375% 10/8/24 (h) | 3,362,000 | 3,335,417 | ||
Endo Finance LLC 5.375% 1/15/23 (h) | 1,530,000 | 1,541,475 | ||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.: | ||||
6% 7/15/23 (h) | 1,885,000 | 1,960,400 | ||
6% 2/1/25 (h) | 3,680,000 | 3,781,200 | ||
Mylan, Inc. 1.35% 11/29/16 | 3,628,000 | 3,595,562 | ||
Perrigo Co. PLC: | ||||
1.3% 11/8/16 | 2,954,000 | 2,936,034 | ||
2.3% 11/8/18 | 3,161,000 | 3,153,107 | ||
Perrigo Finance PLC: | ||||
3.5% 12/15/21 | 3,657,000 | 3,567,458 | ||
3.9% 12/15/24 | 5,449,000 | 5,278,446 | ||
4.9% 12/15/44 | 2,390,000 | 2,267,522 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
5.375% 3/15/20 (h) | 4,015,000 | 4,085,263 | ||
5.875% 5/15/23 (h) | 3,240,000 | 3,304,800 | ||
6.125% 4/15/25 (h) | 5,460,000 | 5,623,800 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 4,757,000 | 4,738,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 2,006,000 | $ 1,993,180 | ||
3.25% 2/1/23 | 4,892,000 | 4,638,815 | ||
| 240,268,873 | |||
TOTAL HEALTH CARE | 525,990,745 | |||
INDUSTRIALS - 1.5% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
3.8% 10/7/24 (h) | 9,122,000 | 9,152,933 | ||
6.375% 6/1/19 (h) | 8,071,000 | 9,151,207 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (h) | 7,620,000 | 7,315,200 | ||
TransDigm, Inc.: | ||||
5.5% 10/15/20 | 4,530,000 | 4,440,080 | ||
6% 7/15/22 | 2,885,000 | 2,842,158 | ||
6.5% 5/15/25 (h) | 1,355,000 | 1,332,981 | ||
| 34,234,559 | |||
Airlines - 0.2% | ||||
Air Canada 6.625% 5/15/18 (h) | 1,465,000 | 1,519,791 | ||
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 9/15/20 (h) | 3,225,000 | 3,118,660 | ||
Allegiant Travel Co. 5.5% 7/15/19 | 4,220,000 | 4,293,850 | ||
American Airlines Group, Inc.: | ||||
4.625% 3/1/20 (h) | 2,670,000 | 2,623,275 | ||
5.5% 10/1/19 (h) | 8,970,000 | 9,183,038 | ||
American Airlines, Inc. pass-thru certificates equipment trust certificate 5.625% 1/15/21 (h) | 207,953 | 214,191 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 9.798% 4/1/21 | 234,393 | 256,660 | ||
6.125% 4/29/18 | 240,000 | 249,000 | ||
6.648% 3/15/19 | 945,121 | 971,111 | ||
6.9% 7/2/19 | 381,986 | 398,449 | ||
9.25% 5/10/17 | 1,325,326 | 1,441,292 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.375% 7/2/17 (h) | 1,515,000 | 1,533,938 | ||
6.75% 5/23/17 | 1,515,000 | 1,533,938 | ||
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 927,444 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,711,125 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru certificates: - continued | ||||
Series 2013-1 Class B, 5.375% 5/15/23 | $ 323,913 | $ 335,250 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 1,366,062 | 1,448,025 | ||
8.36% 1/20/19 | 837,230 | 896,883 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 631,364 | 669,246 | ||
12% 1/15/16 (h) | 157,666 | 163,973 | ||
United Continental Holdings, Inc.: | ||||
6% 12/1/20 | 2,600,000 | 2,713,750 | ||
6.375% 6/1/18 | 140,000 | 146,475 | ||
| 36,349,364 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 5.375% 11/15/24 (h) | 3,095,000 | 3,095,000 | ||
USG Corp. 5.5% 3/1/25 (h) | 3,175,000 | 3,159,125 | ||
| 6,254,125 | |||
Commercial Services & Supplies - 0.3% | ||||
ADT Corp.: | ||||
3.5% 7/15/22 | 6,296,000 | 5,636,809 | ||
4.125% 4/15/19 | 2,860,000 | 2,902,900 | ||
4.125% 6/15/23 | 5,040,000 | 4,624,200 | ||
5.25% 3/15/20 | 2,035,000 | 2,080,788 | ||
6.25% 10/15/21 | 2,065,000 | 2,132,113 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 | 12,550,000 | 12,189,188 | ||
8.75% 12/1/20 | 13,055,000 | 11,455,763 | ||
Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (h) | 5,020,000 | 4,492,900 | ||
Cenveo Corp. 6% 8/1/19 (h) | 325,000 | 273,813 | ||
Garda World Security Corp.: | ||||
7.25% 11/15/21 (h) | 8,485,000 | 7,933,475 | ||
7.25% 11/15/21 (h) | 400,000 | 374,000 | ||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h) | 3,500,000 | 3,605,000 | ||
R.R. Donnelley & Sons Co.: | ||||
6.5% 11/15/23 | 1,280,000 | 1,232,000 | ||
7% 2/15/22 | 660,000 | 646,800 | ||
| 59,579,749 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Construction & Engineering - 0.0% | ||||
Abengoa Greenfield SA 6.5% 10/1/19 (h) | $ 2,595,000 | $ 1,518,075 | ||
Cementos Progreso Trust 7.125% 11/6/23 (h) | 570,000 | 609,900 | ||
Odebrecht Finance Ltd. 4.375% 4/25/25 (h) | 650,000 | 427,375 | ||
| 2,555,350 | |||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 5.75% 10/1/22 (n) | 1,920,000 | 1,718,400 | ||
Sensata Technologies BV 5% 10/1/25 (h) | 2,285,000 | 2,216,450 | ||
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 6,500,000 | 6,903,018 | |
| 10,837,868 | |||
Industrial Conglomerates - 0.1% | ||||
Alfa SA de CV 5.25% 3/25/24 (h) | 450,000 | 462,375 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,154,286 | ||
| 19,616,661 | |||
Machinery - 0.0% | ||||
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (h) | 1,340,000 | 1,266,300 | ||
Schaeffler Finance BV 4.75% 5/15/21 (h) | 1,540,000 | 1,514,020 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 | 1,645,000 | 1,677,900 | ||
| 4,458,220 | |||
Marine - 0.1% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (h) | 4,350,000 | 4,154,250 | ||
Navios Maritime Holdings, Inc.: | ||||
7.375% 1/15/22 (h) | 8,910,000 | 7,395,300 | ||
8.125% 2/15/19 | 2,885,000 | 2,293,575 | ||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (h) | 885,000 | 816,413 | ||
| 14,659,538 | |||
Professional Services - 0.0% | ||||
IHS, Inc. 5% 11/1/22 | 2,895,000 | 2,927,569 | ||
Road & Rail - 0.1% | ||||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,004,464 | |
Firstgroup PLC 5.25% 11/29/22 | GBP | 1,000,000 | 1,646,759 | |
JSC Georgian Railway 7.75% 7/11/22 (h) | 650,000 | 670,313 | ||
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (h) | 570,000 | 571,140 | ||
OPE KAG Finance Sub, Inc. 7.875% 7/31/23 (h) | 5,045,000 | 5,145,900 | ||
| 12,038,576 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.5% | ||||
Air Lease Corp.: | ||||
2.125% 1/15/18 | $ 7,271,000 | $ 7,198,290 | ||
2.625% 9/4/18 | 16,438,000 | 16,396,116 | ||
3.75% 2/1/22 | 16,396,000 | 16,384,998 | ||
3.875% 4/1/21 | 14,814,000 | 14,962,140 | ||
4.25% 9/15/24 | 12,030,000 | 11,894,663 | ||
4.75% 3/1/20 | 11,796,000 | 12,489,369 | ||
Aircastle Ltd.: | ||||
5.125% 3/15/21 | 1,575,000 | 1,610,438 | ||
6.25% 12/1/19 | 830,000 | 900,550 | ||
Building Materials Holding Corp. 9% 9/15/18 (h) | 2,690,000 | 2,861,488 | ||
FLY Leasing Ltd.: | ||||
6.375% 10/15/21 | 5,600,000 | 5,726,000 | ||
6.75% 12/15/20 | 2,795,000 | 2,878,850 | ||
International Lease Finance Corp. 4.625% 4/15/21 | 955,000 | 971,713 | ||
Travis Perkins PLC 4.375% 9/15/21 (Reg. S) | GBP | 1,000,000 | 1,548,751 | |
United Rentals North America, Inc. 5.5% 7/15/25 | 1,045,000 | 1,008,425 | ||
| 96,831,791 | |||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA: | ||||
10.75% 12/1/20 (h) | 1,566,180 | 1,650,362 | ||
10.75% 12/1/20 (Reg. S) | 87,780 | 92,498 | ||
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 2,400,000 | 4,134,168 | |
| 5,877,028 | |||
TOTAL INDUSTRIALS | 306,220,398 | |||
INFORMATION TECHNOLOGY - 0.7% | ||||
Communications Equipment - 0.2% | ||||
Alcatel-Lucent U.S.A., Inc.: | ||||
6.75% 11/15/20 (h) | 5,575,000 | 5,951,313 | ||
8.875% 1/1/20 (h) | 1,970,000 | 2,138,681 | ||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (h) | 2,070,000 | 2,070,000 | ||
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 1,430,000 | 1,365,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 15,450,000 | $ 16,154,829 | ||
6.5% 1/15/28 | 4,782,000 | 4,973,280 | ||
| 32,653,753 | |||
Electronic Equipment & Components - 0.0% | ||||
Amphenol Corp. 3.125% 9/15/21 | 4,703,000 | 4,658,213 | ||
Tyco Electronics Group SA: | ||||
2.375% 12/17/18 | 2,244,000 | 2,255,072 | ||
6.55% 10/1/17 | 1,383,000 | 1,517,607 | ||
| 8,430,892 | |||
IT Services - 0.1% | ||||
Audatex North America, Inc.: | ||||
6% 6/15/21 (h) | 3,200,000 | 3,124,672 | ||
6.125% 11/1/23 (h) | 2,290,000 | 2,269,711 | ||
Capgemini SA 2.5% 7/1/23 (Reg. S) | EUR | 3,700,000 | 4,264,153 | |
Global Cash Access, Inc. 10% 1/15/22 (h) | 5,220,000 | 4,932,900 | ||
| 14,591,436 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Infineon Technologies AG 1.5% 3/10/22 (Reg. S) | EUR | 4,400,000 | 4,819,623 | |
Micron Technology, Inc.: | ||||
5.25% 8/1/23 (h) | 5,285,000 | 4,928,263 | ||
5.25% 1/15/24 (h) | 5,165,000 | 4,790,538 | ||
5.625% 1/15/26 (h) | 2,165,000 | 1,964,738 | ||
5.875% 2/15/22 | 2,310,000 | 2,275,350 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (h) | 600,000 | 603,000 | ||
| 19,381,512 | |||
Software - 0.1% | ||||
Blue Coat Systems, Inc. 8.375% 6/1/23 (h) | 6,820,000 | 6,833,640 | ||
Italics Merger Sub, Inc. 7.125% 7/15/23 (h) | 2,715,000 | 2,626,192 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (h) | 3,315,000 | 3,321,232 | ||
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (h) | 1,175,000 | 1,211,660 | ||
| 13,992,724 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||
Apple, Inc.: | ||||
3.2% 5/13/25 | $ 20,000,000 | $ 19,879,440 | ||
4.375% 5/13/45 | 20,000,000 | 19,768,580 | ||
| 39,648,020 | |||
TOTAL INFORMATION TECHNOLOGY | 128,698,337 | |||
MATERIALS - 1.4% | ||||
Chemicals - 0.2% | ||||
Braskem Finance Ltd.: | ||||
5.375% 5/2/22 (h) | 735,000 | 643,125 | ||
5.75% 4/15/21 (h) | 430,000 | 389,150 | ||
6.45% 2/3/24 | 455,000 | 412,867 | ||
Evolution Escrow Issuer LLC 7.5% 3/15/22 (h) | 4,150,000 | 3,340,750 | ||
LSB Industries, Inc. 7.75% 8/1/19 | 1,055,000 | 1,062,913 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (h) | 3,175,000 | 3,182,938 | ||
OCP SA 5.625% 4/25/24 (h) | 390,000 | 399,828 | ||
Platform Specialty Products Corp. 6.5% 2/1/22 (h) | 2,210,000 | 2,140,009 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (h) | 1,755,000 | 1,640,925 | ||
8.25% 1/15/21 (h) | 865,000 | 817,425 | ||
The Chemours Company LLC 6.625% 5/15/23 (h) | 4,065,000 | 3,536,550 | ||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 10,888,000 | 11,337,794 | ||
4.25% 11/15/20 | 5,898,000 | 6,249,975 | ||
| 35,154,249 | |||
Construction Materials - 0.1% | ||||
CEMEX Finance LLC: | ||||
6% 4/1/24 (h) | 1,670,000 | 1,586,500 | ||
9.375% 10/12/22 (h) | 710,000 | 793,425 | ||
CEMEX S.A.B. de CV: | ||||
6.125% 5/5/25 (h) | 5,695,000 | 5,438,725 | ||
6.5% 12/10/19 (h) | 4,195,000 | 4,257,925 | ||
Union Andina de Cementos SAA 5.875% 10/30/21 (h) | 635,000 | 631,635 | ||
| 12,708,210 | |||
Containers & Packaging - 0.2% | ||||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (h)(n) | 14,962,327 | 15,512,816 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
3.2859% 12/15/19 (h)(n) | $ 7,335,000 | $ 7,188,300 | ||
7% 11/15/20 (h) | 2,655,000 | 2,681,550 | ||
Ball Corp. 5.25% 7/1/25 | 4,920,000 | 4,895,400 | ||
Beverage Packaging Holdings II SA (Luxembourg) 6% 6/15/17 (h) | 2,190,000 | 2,179,050 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h) | 1,355,000 | 1,178,850 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 | 2,345,000 | 2,295,169 | ||
Owens-Brockway Glass Container, Inc.: | ||||
5.875% 8/15/23 (h) | 2,290,000 | 2,330,075 | ||
6.375% 8/15/25 (h) | 2,290,000 | 2,341,525 | ||
Sappi Papier Holding GmbH 6.625% 4/15/21 (h) | 6,885,000 | 7,057,125 | ||
| 47,659,860 | |||
Metals & Mining - 0.9% | ||||
Alcoa, Inc. 5.125% 10/1/24 | 9,954,000 | 9,754,920 | ||
Alrosa Finance SA 7.75% 11/3/20 (h) | 700,000 | 722,645 | ||
Anglo American Capital PLC: | ||||
3.625% 5/14/20 (h) | 29,122,000 | 27,689,052 | ||
4.875% 5/14/25 (h) | 29,080,000 | 26,226,525 | ||
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 | 230,000 | 196,650 | ||
Compania Minera Ares SAC 7.75% 1/23/21 (h) | 860,000 | 826,460 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (h) | 11,456,000 | 11,527,715 | ||
4.875% 11/4/44 (h) | 5,532,000 | 4,903,244 | ||
CSN Resources SA 6.5% 7/21/20 (h) | 500,000 | 307,500 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (h) | 2,030,000 | 1,768,638 | ||
9.5% 4/24/18 (Reg. S) | 3,100,000 | 3,162,000 | ||
Ferrexpo Finance PLC 10.375% 4/7/19 (h) | 2,347,000 | 1,936,275 | ||
First Quantum Minerals Ltd.: | ||||
6.75% 2/15/20 (h) | 8,075,000 | 5,773,625 | ||
7.25% 5/15/22 (h) | 3,745,000 | 2,612,138 | ||
Freeport-McMoRan, Inc. 2.3% 11/14/17 | 9,771,000 | 9,087,030 | ||
Gerdau Trade, Inc. 5.75% 1/30/21 (h) | 460,000 | 429,640 | ||
Gold Fields Orogen Holding BVI Ltd.: | ||||
4.875% 10/7/20 (h) | 2,530,000 | 2,150,500 | ||
4.875% 10/7/20 (Reg. S) | 200,000 | 170,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
GTL Trade Finance, Inc. 5.893% 4/29/24 (h) | $ 1,025,000 | $ 893,493 | ||
JMC Steel Group, Inc. 8.25% 3/15/18 (h) | 2,460,000 | 1,949,550 | ||
Lundin Mining Corp.: | ||||
7.5% 11/1/20 (h) | 4,430,000 | 4,374,625 | ||
7.875% 11/1/22 (h) | 6,840,000 | 6,737,400 | ||
Metalloinvest Finance Ltd. 5.625% 4/17/20 (h) | 1,440,000 | 1,314,101 | ||
Metinvest BV: | ||||
8.75% 2/14/18 (Reg. S) | 400,000 | 224,000 | ||
10.5% 11/28/17 (h) | 3,575,000 | 2,073,500 | ||
Murray Energy Corp. 11.25% 4/15/21 (h) | 9,760,000 | 4,514,000 | ||
New Gold, Inc. 6.25% 11/15/22 (h) | 4,830,000 | 4,081,350 | ||
Nord Gold NV 6.375% 5/7/18 (h) | 1,660,000 | 1,630,950 | ||
Polyus Gold International Ltd.: | ||||
5.625% 4/29/20 (h) | 3,110,000 | 2,938,950 | ||
5.625% 4/29/20 (Reg. S) | 200,000 | 189,000 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 12,175,000 | 12,086,804 | ||
Samarco Mineracao SA 5.75% 10/24/23 (h) | 655,000 | 613,080 | ||
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (h) | 1,600,000 | 1,544,000 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 530,000 | 508,784 | ||
7.5% 7/27/35 | 910,000 | 942,178 | ||
Steel Dynamics, Inc.: | ||||
5.125% 10/1/21 | 4,850,000 | 4,755,425 | ||
5.5% 10/1/24 | 4,070,000 | 3,952,988 | ||
6.125% 8/15/19 | 2,683,000 | 2,780,259 | ||
Urenco Finance NV 2.25% 8/5/22 (Reg. S) | EUR | 1,650,000 | 1,839,227 | |
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 12,000,000 | 11,127,600 | ||
6.25% 1/11/16 | 5,000,000 | 5,070,000 | ||
6.25% 1/23/17 | 5,581,000 | 5,796,817 | ||
6.875% 11/21/36 | 640,000 | 544,640 | ||
Vedanta Resources PLC 6% 1/31/19 (h) | 1,090,000 | 945,575 | ||
| 192,672,853 | |||
Paper & Forest Products - 0.0% | ||||
Sino-Forest Corp. 6.25% 10/21/17 (d)(h) | 1,365,000 | 0 | ||
TOTAL MATERIALS | 288,195,172 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 2.2% | ||||
Altice Financing SA: | ||||
6.5% 1/15/22 (h) | $ 1,865,000 | $ 1,869,663 | ||
6.625% 2/15/23 (h) | 2,780,000 | 2,766,100 | ||
7.875% 12/15/19 (h) | 272,000 | 284,240 | ||
Altice Finco SA: | ||||
7.625% 2/15/25 (h) | 2,720,000 | 2,665,600 | ||
8.125% 1/15/24 (h) | 1,000,000 | 1,010,000 | ||
9.875% 12/15/20 (h) | 6,135,000 | 6,733,163 | ||
AT&T, Inc.: | ||||
2.45% 6/30/20 | 11,294,000 | 11,187,407 | ||
3% 6/30/22 | 29,259,000 | 28,079,570 | ||
3.4% 5/15/25 | 39,520,000 | 37,617,626 | ||
4.75% 5/15/46 | 31,335,000 | 28,570,344 | ||
4.8% 6/15/44 | 15,000,000 | 13,777,905 | ||
6.3% 1/15/38 | 16,665,000 | 18,177,365 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 48,413 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 972,000 | 996,300 | ||
6% 4/1/17 | 2,432,000 | 2,535,360 | ||
6.15% 9/15/19 | 6,992,000 | 7,324,120 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 8,346,000 | 8,625,174 | ||
7.995% 6/1/36 | 4,717,000 | 4,988,228 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (h) | 2,775,000 | 2,913,750 | ||
GCI, Inc. 6.875% 4/15/25 | 5,080,000 | 5,219,700 | ||
Intelsat Luxembourg SA 7.75% 6/1/21 | 2,700,000 | 2,022,975 | ||
Level 3 Financing, Inc.: | ||||
5.125% 5/1/23 (h) | 3,245,000 | 3,163,875 | ||
5.375% 8/15/22 | 6,925,000 | 6,949,515 | ||
5.375% 5/1/25 (h) | 1,080,000 | 1,043,550 | ||
Qtel International Finance Ltd. 5% 10/19/25 (h) | 645,000 | 696,781 | ||
Sable International Finance Ltd. 6.875% 8/1/22 (h) | 1,340,000 | 1,353,400 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 23,495,000 | 20,205,700 | ||
8.75% 3/15/32 | 3,305,000 | 3,127,356 | ||
TDC A/S 3.5% 2/26/3015 (Reg. S) (n) | EUR | 1,550,000 | 1,669,585 | |
Telecom Italia Capital SA 6% 9/30/34 | 1,350,000 | 1,323,000 | ||
Telecom Italia SpA 5.303% 5/30/24 (h) | 1,350,000 | 1,360,125 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h) | 590,000 | 594,425 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon Communications, Inc.: | ||||
1.35% 6/9/17 | $ 20,956,000 | $ 20,887,600 | ||
2.625% 2/21/20 | 21,379,000 | 21,388,107 | ||
4.5% 9/15/20 | 36,000,000 | 38,720,880 | ||
5.012% 8/21/54 | 55,038,000 | 50,205,113 | ||
6.25% 4/1/37 | 2,348,000 | 2,631,364 | ||
6.4% 9/15/33 | 10,915,000 | 12,445,709 | ||
6.55% 9/15/43 | 54,849,000 | 64,763,725 | ||
Wind Acquisition Finance SA: | ||||
4.75% 7/15/20 (h) | 3,205,000 | 3,229,038 | ||
7.375% 4/23/21 (h) | 10,860,000 | 11,104,350 | ||
| 454,276,201 | |||
Wireless Telecommunication Services - 0.6% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | 15,982,000 | 16,149,811 | ||
3.125% 7/16/22 | 9,218,000 | 9,036,498 | ||
Comcel Trust 6.875% 2/6/24 (h) | 560,000 | 575,400 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (h) | 9,220,000 | 8,443,768 | ||
6.75% 3/1/23 (h) | 2,795,000 | 2,564,413 | ||
7% 2/15/20 (h) | 425,000 | 422,875 | ||
7.125% 4/1/22 (h) | 1,885,000 | 1,642,306 | ||
8.25% 9/30/20 (h) | 9,040,000 | 8,362,000 | ||
Everything Everywhere Finance PLC 4.375% 3/28/19 | GBP | 850,000 | 1,384,160 | |
Intelsat Jackson Holdings SA: | ||||
5.5% 8/1/23 | 1,490,000 | 1,311,200 | ||
7.25% 10/15/20 | 1,810,000 | 1,739,863 | ||
Millicom International Cellular SA: | ||||
4.75% 5/22/20 (h) | 650,000 | 622,375 | ||
6% 3/15/25 (h) | 6,675,000 | 6,307,875 | ||
6.625% 10/15/21 (h) | 1,450,000 | 1,443,475 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (h) | 2,680,000 | 2,832,674 | ||
SoftBank Corp. 5.375% 7/30/22 (Reg. S) | 4,200,000 | 4,215,750 | ||
Sprint Communications, Inc. 9% 11/15/18 (h) | 3,890,000 | 4,332,488 | ||
Sprint Corp.: | ||||
7.625% 2/15/25 | 5,395,000 | 5,034,209 | ||
7.875% 9/15/23 | 9,220,000 | 8,862,725 | ||
T-Mobile U.S.A., Inc.: | ||||
6% 3/1/23 | 4,060,000 | 4,139,129 | ||
6.375% 3/1/25 | 9,470,000 | 9,678,340 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
T-Mobile U.S.A., Inc.: - continued | ||||
6.464% 4/28/19 | $ 1,520,000 | $ 1,563,700 | ||
6.5% 1/15/24 | 3,045,000 | 3,128,738 | ||
6.625% 4/1/23 | 4,145,000 | 4,323,235 | ||
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 480,000 | 472,800 | ||
Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) | 650,000 | 689,619 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,260,000 | 4,223,603 | ||
| 113,503,029 | |||
TOTAL TELECOMMUNICATION SERVICES | 567,779,230 | |||
UTILITIES - 3.1% | ||||
Electric Utilities - 1.7% | ||||
AmerenUE 6.4% 6/15/17 | 2,491,000 | 2,707,894 | ||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 5,213,000 | 5,196,167 | ||
2.95% 12/15/22 | 4,935,000 | 4,766,134 | ||
American Transmission Systems, Inc. 5% 9/1/44 (h) | 2,638,000 | 2,696,015 | ||
Ceske Energeticke Zavody A/S 4.25% 4/3/22 (Reg. S) | 5,000,000 | 5,257,690 | ||
CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23 | 3,000,000 | 2,900,562 | ||
Dayton Power & Light Co. 1.875% 9/15/16 | 3,740,000 | 3,746,145 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (h) | 29,344,000 | 33,330,529 | ||
6.4% 9/15/20 (h) | 25,897,000 | 29,651,314 | ||
Edison International 3.75% 9/15/17 | 6,674,000 | 6,951,291 | ||
Eversource Energy: | ||||
1.45% 5/1/18 | 3,325,000 | 3,281,659 | ||
2.8% 5/1/23 | 15,104,000 | 14,481,036 | ||
Exelon Corp.: | ||||
1.55% 6/9/17 | 3,319,000 | 3,310,802 | ||
2.85% 6/15/20 | 4,888,000 | 4,877,168 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 36,397,000 | 36,513,616 | ||
4.25% 3/15/23 | 31,243,000 | 31,304,080 | ||
7.375% 11/15/31 | 24,589,000 | 29,595,320 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 21,966,892 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
IPALCO Enterprises, Inc. 3.45% 7/15/20 (h) | $ 27,495,000 | $ 27,013,838 | ||
Lamar Funding Ltd. 3.958% 5/7/25 (h) | 565,000 | 528,981 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 7,369,000 | 7,388,226 | ||
3.75% 11/15/20 | 1,450,000 | 1,519,207 | ||
Monongahela Power Co. 4.1% 4/15/24 (h) | 3,982,000 | 4,081,522 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 883,546 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 9,494,717 | 10,467,926 | ||
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 4,054,467 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 828,168 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 7,047,000 | 7,056,189 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,074,868 | ||
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 12,849,721 | ||
RJS Power Holdings LLC 5.125% 7/15/19 (h) | 8,575,000 | 8,103,375 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,600,240 | ||
5.15% 3/15/20 | 3,761,000 | 4,107,110 | ||
| 341,091,698 | |||
Gas Utilities - 0.0% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 965,000 | 984,532 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 466,407 | ||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,729,213 | ||
| 5,180,152 | |||
Independent Power and Renewable Electricity Producers - 0.5% | ||||
Calpine Corp.: | ||||
5.375% 1/15/23 | 4,730,000 | 4,563,031 | ||
5.75% 1/15/25 | 910,000 | 881,563 | ||
Dolphin Subsidiary II, Inc.: | ||||
6.5% 10/15/16 | 19,000,000 | 19,475,000 | ||
7.25% 10/15/21 | 21,425,000 | 22,094,531 | ||
Dynegy, Inc.: | ||||
6.75% 11/1/19 | 6,850,000 | 7,102,594 | ||
7.375% 11/1/22 | 8,135,000 | 8,419,725 | ||
7.625% 11/1/24 | 14,025,000 | 14,597,220 | ||
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 650,000 | 666,250 | ||
NRG Energy, Inc.: | ||||
6.25% 7/15/22 | 8,395,000 | 8,185,125 | ||
6.25% 5/1/24 | 8,475,000 | 8,051,250 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - continued | ||||
PPL Energy Supply LLC 6.5% 6/1/25 (h) | $ 1,180,000 | $ 1,094,450 | ||
TerraForm Power Operating LLC: | ||||
5.875% 2/1/23 (h) | 1,595,000 | 1,515,250 | ||
6.125% 6/15/25 (h) | 500,000 | 471,250 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 3,775,000 | 3,510,750 | ||
7.375% 7/1/21 | 1,515,000 | 1,632,413 | ||
| 102,260,402 | |||
Multi-Utilities - 0.9% | ||||
Dominion Resources, Inc.: | ||||
2.5818% 9/30/66 (n) | 35,229,000 | 30,674,771 | ||
7.5% 6/30/66 (n) | 10,345,000 | 9,219,981 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 | 15,809,000 | 15,719,221 | ||
2% 11/15/18 | 12,172,000 | 12,142,860 | ||
NiSource Finance Corp.: | ||||
5.25% 2/15/43 | 12,739,000 | 13,572,589 | ||
5.45% 9/15/20 | 11,473,000 | 12,834,845 | ||
5.8% 2/1/42 | 6,336,000 | 7,204,114 | ||
5.95% 6/15/41 | 11,832,000 | 13,708,271 | ||
6.4% 3/15/18 | 1,228,000 | 1,364,078 | ||
6.8% 1/15/19 | 6,774,000 | 7,729,059 | ||
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,688,160 | ||
Puget Energy, Inc.: | ||||
6% 9/1/21 | 15,565,000 | 17,789,705 | ||
6.5% 12/15/20 | 5,125,000 | 6,015,069 | ||
RWE AG 7% 10/12/72 (Reg. S) (n) | 2,700,000 | 2,808,000 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 14,116,000 | 14,290,798 | ||
2.875% 10/1/22 | 5,760,000 | 5,520,286 | ||
SP PowerAssets Ltd. 2.7% 9/14/22 (Reg. S) | 3,000,000 | 2,926,464 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (n) | 3,860,000 | 3,343,725 | ||
| 178,551,996 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Water Utilities - 0.0% | ||||
Yorkshire Water Services Finance Ltd. 6% 4/24/25 (n) | GBP | 3,500,000 | $ 5,681,512 | |
TOTAL UTILITIES | 632,765,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $9,021,912,936) |
| |||
U.S. Government and Government Agency Obligations - 19.0% | ||||
| ||||
U.S. Treasury Inflation-Protected Obligations - 2.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 202,680,000 | 182,320,864 | ||
1.375% 2/15/44 | 135,651,571 | 142,485,411 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.125% 7/15/24 | 166,092,620 | 159,512,508 | ||
0.25% 1/15/25 | 75,564,750 | 72,857,924 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 557,176,707 | |||
U.S. Treasury Obligations - 16.2% | ||||
U.S. Treasury Bonds: | ||||
2.5% 2/15/45 | 200,000 | 181,130 | ||
2.875% 8/15/45 | 101,360,000 | 99,736,618 | ||
3% 5/15/45 | 650,487,000 | 655,094,399 | ||
4.375% 2/15/38 | 430,000 | 543,726 | ||
U.S. Treasury Notes: | ||||
0.5% 1/31/17 (k) | 5,510,000 | 5,503,614 | ||
0.5% 2/28/17 | 1,450,000 | 1,447,677 | ||
1.125% 6/15/18 | 836,229,000 | 838,265,138 | ||
1.25% 10/31/18 | 616,376,000 | 618,214,033 | ||
1.375% 7/31/18 | 50,772,000 | 51,210,315 | ||
1.375% 4/30/20 | 18,176,000 | 18,062,873 | ||
1.625% 6/30/20 | 48,699,000 | 48,890,484 | ||
1.625% 7/31/20 | 5,593,000 | 5,611,641 | ||
2% 2/15/25 | 1,140,000 | 1,118,744 | ||
2% 8/15/25 (g) | 115,730,000 | 113,517,821 | ||
2.125% 5/15/25 | 704,209,000 | 697,900,696 | ||
2.25% 11/15/24 | 50,000,000 | 50,199,200 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.375% 8/15/24 | $ 76,723,000 | $ 77,941,745 | ||
2.5% 5/15/24 | 3,700,000 | 3,802,231 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,287,242,085 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,870,084,540) |
| |||
U.S. Government Agency - Mortgage Securities - 14.0% | ||||
| ||||
Fannie Mae - 8.1% | ||||
1.75% 10/1/34 (n) | 4,028 | 4,199 | ||
1.85% 10/1/33 (n) | 3,169 | 3,297 | ||
1.88% 1/1/35 (n) | 3,093 | 3,223 | ||
1.88% 1/1/35 (n) | 309,395 | 324,512 | ||
1.885% 2/1/33 (n) | 1,792 | 1,865 | ||
1.91% 12/1/34 (n) | 57,465 | 59,952 | ||
1.91% 3/1/35 (n) | 27,587 | 28,790 | ||
1.931% 10/1/33 (n) | 19,545 | 20,396 | ||
1.94% 7/1/35 (n) | 20,411 | 21,481 | ||
2.05% 3/1/35 (n) | 5,168 | 5,346 | ||
2.06% 1/1/35 (n) | 215,423 | 228,417 | ||
2.07% 4/1/37 (n) | 97,606 | 102,683 | ||
2.09% 10/1/33 (n) | 489,320 | 519,030 | ||
2.115% 12/1/34 (n) | 12,487 | 13,147 | ||
2.141% 9/1/36 (n) | 79,534 | 85,139 | ||
2.143% 9/1/36 (n) | 102,393 | 109,609 | ||
2.19% 3/1/37 (n) | 25,716 | 27,259 | ||
2.194% 7/1/34 (n) | 35,633 | 37,737 | ||
2.243% 3/1/33 (n) | 101,377 | 106,975 | ||
2.251% 5/1/35 (n) | 258,113 | 274,011 | ||
2.273% 3/1/40 (n) | 471,571 | 503,592 | ||
2.278% 6/1/47 (n) | 144,202 | 154,364 | ||
2.302% 6/1/36 (n) | 168,324 | 179,765 | ||
2.31% 12/1/39 (n) | 238,411 | 255,212 | ||
2.317% 5/1/36 (n) | 180,101 | 190,491 | ||
2.334% 7/1/35 (n) | 119,463 | 126,919 | ||
2.335% 9/1/35 (n) | 129,423 | 138,543 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
2.36% 11/1/36 (n) | $ 105,469 | $ 112,259 | ||
2.375% 2/1/36 (n) | 412,275 | 439,592 | ||
2.421% 10/1/33 (n) | 106,225 | 113,711 | ||
2.444% 6/1/36 (n) | 374,752 | 400,869 | ||
2.445% 12/1/35 (n) | 303,914 | 325,330 | ||
2.458% 3/1/35 (n) | 73,733 | 78,929 | ||
2.5% 5/1/27 to 8/1/43 | 61,129,557 | 61,465,205 | ||
2.53% 9/1/37 (n) | 31,520 | 33,741 | ||
2.544% 5/1/36 (n) | 190,203 | 203,028 | ||
2.546% 7/1/37 (n) | 179,300 | 191,928 | ||
2.557% 6/1/42 (n) | 338,990 | 350,421 | ||
2.615% 7/1/34 (n) | 238,719 | 255,541 | ||
2.69% 2/1/42 (n) | 1,940,959 | 2,007,691 | ||
2.758% 1/1/42 (n) | 2,380,632 | 2,474,945 | ||
2.96% 11/1/40 (n) | 203,472 | 213,177 | ||
2.982% 9/1/41 (n) | 208,873 | 217,652 | ||
3% 8/1/41 (n) | 1,196,246 | 1,242,725 | ||
3% 4/1/42 to 8/1/45 | 137,188,791 | 138,400,337 | ||
3% 9/1/45 (j) | 11,000,000 | 11,047,266 | ||
3% 9/1/45 (j) | 15,750,000 | 15,817,676 | ||
3% 9/1/45 (j) | 700,000 | 703,008 | ||
3% 9/1/45 (j) | 12,950,000 | 13,005,645 | ||
3% 10/1/45 (j) | 11,000,000 | 11,020,195 | ||
3% 10/1/45 (j) | 19,500,000 | 19,535,800 | ||
3.059% 10/1/41 (n) | 90,567 | 94,222 | ||
3.239% 7/1/41 (n) | 345,772 | 365,763 | ||
3.309% 10/1/41 (n) | 197,256 | 207,389 | ||
3.346% 9/1/41 (n) | 330,440 | 347,356 | ||
3.461% 12/1/40 (n) | 16,327,608 | 17,313,509 | ||
3.5% 5/1/21 to 8/1/45 | 195,532,121 | 203,539,049 | ||
3.5% 9/1/45 (j) | 21,300,000 | 22,072,123 | ||
3.5% 9/1/45 (j) | 62,400,000 | 64,661,994 | ||
3.5% 9/1/45 (j) | 54,400,000 | 56,371,995 | ||
3.5% 9/1/45 (j) | 118,400,000 | 122,691,988 | ||
3.554% 7/1/41 (n) | 393,834 | 416,390 | ||
4% 9/1/24 to 8/1/45 | 245,067,075 | 261,785,930 | ||
4% 9/1/45 (j) | 33,200,000 | 35,259,436 | ||
4% 9/1/45 (j) | 29,800,000 | 31,648,530 | ||
4% 9/1/45 (j) | 700,000 | 743,422 | ||
4.5% 2/1/33 to 4/1/45 | 239,339,417 | 260,852,450 | ||
4.5% 9/1/45 (j) | 104,900,000 | 113,636,198 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
4.5% 9/1/45 (j) | $ 66,500,000 | $ 72,038,200 | ||
5% 3/1/18 to 1/1/40 | 12,863,130 | 14,311,086 | ||
5.204% 7/1/37 (n) | 38,769 | 41,410 | ||
5.5% 12/1/17 to 3/1/41 | 41,331,160 | 46,286,955 | ||
5.565% 8/1/46 (n) | 35,732 | 37,960 | ||
6% 2/1/17 to 1/1/42 | 19,996,559 | 22,958,828 | ||
6.5% 1/1/16 to 4/1/37 | 8,527,275 | 9,849,648 | ||
7% 12/1/15 to 7/1/37 | 1,737,692 | 2,014,141 | ||
7.5% 6/1/25 to 2/1/32 | 743,846 | 874,496 | ||
8% 12/1/17 to 3/1/37 | 14,369 | 17,374 | ||
8.5% 1/1/17 to 7/1/31 | 5,368 | 6,427 | ||
9.5% 4/1/16 to 9/1/21 | 19,301 | 21,005 | ||
TOTAL FANNIE MAE | 1,643,647,899 | |||
Freddie Mac - 2.8% | ||||
1.5% 8/1/37 (n) | 36,329 | 37,466 | ||
1.82% 3/1/35 (n) | 109,500 | 113,785 | ||
1.825% 3/1/37 (n) | 17,605 | 18,412 | ||
1.852% 1/1/36 (n) | 94,641 | 99,746 | ||
1.914% 3/1/36 (n) | 192,332 | 201,498 | ||
1.981% 12/1/35 (n) | 268,185 | 282,848 | ||
2.022% 2/1/37 (n) | 183,077 | 192,081 | ||
2.05% 6/1/37 (n) | 30,132 | 31,675 | ||
2.055% 11/1/35 (n) | 203,364 | 214,431 | ||
2.095% 8/1/37 (n) | 77,851 | 82,228 | ||
2.105% 3/1/36 (n) | 222,387 | 234,156 | ||
2.121% 5/1/37 (n) | 75,262 | 80,330 | ||
2.274% 6/1/33 (n) | 249,066 | 263,084 | ||
2.328% 10/1/36 (n) | 351,588 | 372,184 | ||
2.333% 4/1/37 (n) | 93,267 | 99,840 | ||
2.351% 10/1/35 (n) | 135,925 | 143,969 | ||
2.385% 6/1/37 (n) | 25,390 | 27,023 | ||
2.394% 10/1/42 (n) | 3,383,968 | 3,567,757 | ||
2.415% 6/1/37 (n) | 258,833 | 276,770 | ||
2.436% 5/1/37 (n) | 70,764 | 75,744 | ||
2.448% 6/1/37 (n) | 57,600 | 61,659 | ||
2.489% 4/1/36 (n) | 186,736 | 199,418 | ||
2.526% 6/1/33 (n) | 757,843 | 808,047 | ||
2.571% 3/1/35 (n) | 1,151,839 | 1,233,007 | ||
2.595% 4/1/37 (n) | 8,560 | 9,163 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac - continued | ||||
2.67% 6/1/36 (n) | $ 68,904 | $ 73,701 | ||
2.722% 3/1/33 (n) | 6,318 | 6,764 | ||
2.757% 7/1/36 (n) | 86,515 | 92,612 | ||
2.757% 12/1/36 (n) | 318,536 | 340,983 | ||
3% 8/1/42 to 8/1/45 | 47,690,227 | 48,108,823 | ||
3% 9/1/45 (j) | 86,000,000 | 86,120,933 | ||
3.091% 9/1/41 (n) | 2,030,935 | 2,113,642 | ||
3.155% 10/1/35 (n) | 159,157 | 168,471 | ||
3.22% 9/1/41 (n) | 225,766 | 236,291 | ||
3.235% 4/1/41 (n) | 240,343 | 252,169 | ||
3.289% 6/1/41 (n) | 259,197 | 273,827 | ||
3.292% 7/1/41 (n) | 1,120,711 | 1,177,579 | ||
3.434% 12/1/40 (n) | 7,526,902 | 7,901,094 | ||
3.444% 5/1/41 (n) | 238,099 | 249,527 | ||
3.5% 4/1/42 to 6/1/45 (l) | 167,391,191 | 173,884,580 | ||
3.62% 6/1/41 (n) | 371,011 | 392,910 | ||
3.705% 5/1/41 (n) | 321,478 | 340,673 | ||
4% 6/1/33 to 5/1/45 | 95,880,320 | 102,497,114 | ||
4.5% 6/1/25 to 1/1/45 (m) | 48,439,808 | 52,890,490 | ||
5% 6/1/20 to 7/1/41 | 39,215,875 | 43,514,438 | ||
5.124% 4/1/38 (n) | 290,635 | 310,435 | ||
5.5% 10/1/17 to 3/1/41 | 15,770,507 | 17,584,709 | ||
6% 7/1/16 to 12/1/37 | 3,971,271 | 4,522,658 | ||
6.5% 2/1/16 to 9/1/39 | 5,732,729 | 6,570,082 | ||
7% 6/1/21 to 9/1/36 | 1,644,878 | 1,915,403 | ||
7.5% 9/1/15 to 6/1/32 | 29,492 | 34,633 | ||
8% 7/1/16 to 1/1/37 | 53,610 | 64,732 | ||
8.5% 2/1/19 to 1/1/28 | 48,910 | 58,013 | ||
9% 5/1/17 to 10/1/20 | 166 | 176 | ||
9.5% 5/1/21 to 7/1/21 | 511 | 560 | ||
10% 11/15/18 to 8/1/21 | 203 | 222 | ||
11% 11/1/15 to 9/1/20 | 94 | 99 | ||
TOTAL FREDDIE MAC | 560,424,664 | |||
Ginnie Mae - 3.1% | ||||
3% 6/15/42 to 8/20/45 | 111,771,485 | 113,457,642 | ||
3.5% 11/15/40 to 8/20/45 | 172,237,420 | 179,663,750 | ||
3.5% 9/1/45 (j) | 35,100,000 | 36,547,871 | ||
3.5% 9/1/45 (j) | 37,500,000 | 39,046,871 | ||
4% 5/20/33 to 7/20/45 | 111,877,857 | 119,462,467 | ||
4.5% 6/20/33 to 8/15/41 | 91,213,383 | 99,679,207 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Ginnie Mae - continued | ||||
5% 12/15/32 to 9/15/41 | $ 36,742,724 | $ 41,102,560 | ||
5.5% 4/15/29 to 9/15/39 | 6,140,630 | 6,975,713 | ||
6% 10/15/30 to 11/15/39 | 861,975 | 986,119 | ||
6.5% 3/20/31 to 10/15/38 | 479,858 | 556,448 | ||
7% 10/15/22 to 3/15/33 | 1,547,249 | 1,821,714 | ||
7.5% 1/15/17 to 9/15/31 | 709,891 | 830,024 | ||
8% 4/15/17 to 11/15/29 | 245,587 | 284,939 | ||
8.5% 10/15/21 to 1/15/31 | 41,290 | 49,513 | ||
9% 8/15/19 to 1/15/23 | 2,420 | 2,690 | ||
9.5% 12/15/20 to 2/15/25 | 946 | 1,062 | ||
10.5% 3/20/16 to 1/20/18 | 2,450 | 2,606 | ||
11% 12/20/15 to 9/20/19 | 917 | 1,041 | ||
TOTAL GINNIE MAE | 640,472,237 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,831,006,807) |
| |||
Asset-Backed Securities - 0.8% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.9044% 4/25/35 (n) | 664,344 | 596,925 | ||
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8494% 3/25/34 (n) | 286,904 | 273,372 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.6976% 6/15/32 (h)(n) | 3,444,066 | 1,515,389 | ||
American Homes 4 Rent: | ||||
Series 2014-SFR1 Class E, 2.75% 6/17/31 (h)(n) | 551,000 | 524,938 | ||
Series 2014-SFR2 Class E, 6.231% 10/17/36 (h) | 147,000 | 150,742 | ||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (h) | 428,000 | 445,845 | ||
Series 2015-SFR1 Class E, 5.639% 4/17/52 (h) | 326,438 | 320,064 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2494% 12/25/33 (n) | 48,772 | 45,099 | ||
Series 2004-R2 Class M3, 1.0244% 4/25/34 (n) | 89,819 | 65,990 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9794% 3/25/34 (n) | 47,932 | 44,434 | ||
Series 2004-W11 Class M2, 1.2494% 11/25/34 (n) | 561,149 | 545,162 | ||
Series 2004-W7 Class M1, 1.0244% 5/25/34 (n) | 1,542,998 | 1,484,870 | ||
Series 2006-W4 Class A2C, 0.3594% 5/25/36 (n) | 1,159,665 | 413,860 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0244% 4/25/34 (n) | $ 1,729,008 | $ 1,586,936 | ||
Series 2006-HE2 Class M1, 0.5694% 3/25/36 (n) | 21,261 | 170 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 11,540,000 | 11,553,017 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3394% 12/25/36 (n) | 1,802,588 | 1,188,800 | ||
CFC LLC: | ||||
Series 2013-1A Class B, 2.75% 11/15/18 (h) | 5,916,550 | 5,949,428 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (h) | 1,621,937 | 1,623,064 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4494% 3/25/32 (n) | 3,192 | 2,854 | ||
Series 2004-3 Class M4, 1.6544% 4/25/34 (n) | 69,614 | 62,739 | ||
Series 2004-4 Class M2, 0.9944% 6/25/34 (n) | 104,055 | 94,678 | ||
Series 2004-7 Class AF5, 5.868% 1/25/35 | 3,145,875 | 3,275,973 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 341,219 | 334,014 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9538% 5/28/35 (n) | 38,916 | 36,081 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3744% 8/25/34 (n) | 290,872 | 272,097 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0244% 3/25/34 (n) | 10,384 | 9,839 | ||
Flagship Credit Auto Trust Series 2015-2 Class A, 1.98% 10/15/20 (h) | 20,000,000 | 20,009,920 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.9344% 1/25/35 (n) | 948,695 | 808,921 | ||
Class M4, 1.2194% 1/25/35 (n) | 347,133 | 223,666 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7091% 2/25/47 (h)(n) | 1,273,689 | 1,189,741 | ||
GE Business Loan Trust Series 2006-2A: | ||||
Class A, 0.3776% 11/15/34 (h)(n) | 938,833 | 902,521 | ||
Class B, 0.4776% 11/15/34 (h)(n) | 339,135 | 314,893 | ||
Class C, 0.5776% 11/15/34 (h)(n) | 563,628 | 496,466 | ||
Class D, 0.9476% 11/15/34 (h)(n) | 214,028 | 176,783 | ||
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h) | 153,266 | 4,537 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5194% 8/25/33 (n) | 273,785 | 259,059 | ||
Series 2003-3 Class M1, 1.4894% 8/25/33 (n) | 454,678 | 438,275 | ||
Series 2003-5 Class A2, 0.8905% 12/25/33 (n) | 32,929 | 30,792 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3894% 1/25/37 (n) | 1,522,035 | 1,014,623 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Invitation Homes Trust: | ||||
Series 2013-SFR1 Class F, 3.9% 12/17/30 (h)(n) | $ 590,000 | $ 571,177 | ||
Series 2014-SFR1 Class F, 3.936% 6/17/31 (h)(n) | 557,000 | 538,739 | ||
Series 2014-SFR3 Class E, 4.705% 12/17/31 (h)(n) | 206,000 | 207,598 | ||
Series 2014-SRF2 Class F, 4.188% 9/17/31 (h)(n) | 335,000 | 325,233 | ||
Series 2015-SFR2 Class E, 3.336% 6/17/32 (h)(n) | 485,000 | 468,290 | ||
Series 2015-SFR3 Class E, 3.933% 8/17/32 (h)(n) | 7,658,000 | 7,590,057 | ||
Series 2015-SRF1 Class E, 4.386% 3/17/32 (h)(n) | 624,000 | 621,456 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.4905% 7/25/36 (n) | 181,664 | 75,097 | ||
Series 2007-CH1: | ||||
Class AF3, 5.532% 11/25/36 | 12,426,183 | 12,626,284 | ||
Class AV4, 0.3205% 11/25/36 (n) | 389,062 | 388,255 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.612% 12/27/29 (n) | 139,195 | 138,422 | ||
Series 2006-A Class 2C, 1.432% 3/27/42 (n) | 3,243,000 | 1,604,046 | ||
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3594% 11/25/36 (n) | 4,685,962 | 2,071,624 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6294% 5/25/46 (h)(n) | 250,000 | 241,250 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4994% 5/25/37 (n) | 338,532 | 4,791 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9494% 7/25/34 (n) | 118,699 | 99,508 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1744% 7/25/34 (n) | 341,646 | 312,159 | ||
Series 2006-FF1 Class M2, 0.4894% 8/25/36 (n) | 13,300,000 | 12,600,483 | ||
Series 2006-FM1 Class A2B, 0.3094% 4/25/37 (n) | 245,450 | 243,356 | ||
Series 2006-OPT1 Class A1A, 0.7194% 6/25/35 (n) | 1,672,262 | 1,615,510 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8794% 8/25/34 (n) | 57,368 | 53,552 | ||
Series 2004-NC6 Class M3, 2.3744% 7/25/34 (n) | 16,524 | 14,833 | ||
Series 2004-NC8 Class M6, 2.0744% 9/25/34 (n) | 18,949 | 16,970 | ||
Series 2005-NC1 Class M1, 0.8594% 1/25/35 (n) | 289,373 | 273,254 | ||
Series 2005-NC2 Class B1, 1.9544% 3/25/35 (n) | 225,910 | 4,278 | ||
Nationstar HECM Loan Trust Series 2015-1A Class A, 3.875% 5/25/18 (h) | 7,470,766 | 7,480,104 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7005% 9/25/35 (n) | 1,426,957 | 1,268,640 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 2.0744% 9/25/34 (n) | 532,896 | 504,264 | ||
Class M4, 2.3744% 9/25/34 (n) | 683,353 | 315,806 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1 Class M4, 1.4444% 1/25/36 (n) | $ 1,475,804 | $ 1,300,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1494% 9/25/46 (h)(n) | 250,000 | 63,000 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9994% 4/25/33 (n) | 5,108 | 4,830 | ||
Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20 | 7,985,000 | 8,044,464 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9944% 3/25/35 (n) | 794,671 | 730,890 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2359% 6/15/33 (n) | 685,690 | 664,796 | ||
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (h) | 10,910,794 | 10,948,981 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9244% 9/25/34 (n) | 42,679 | 37,459 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0594% 9/25/34 (n) | 28,819 | 25,690 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8435% 4/6/42 (h)(n) | 2,683,017 | 1,529,320 | ||
Truman Capital Mortgage Loan Trust Series 2014-NPL2 Class A1, 3.125% 6/25/54 (h) | 285,294 | 284,109 | ||
Vericrest Opportunity Loan Trust: | ||||
Series 2014-NP11 Class A1, 3.875% 4/25/55 (h) | 6,280,446 | 6,278,571 | ||
Series 2014-NPL7 Class A1, 3.375% 8/27/57 (h) | 10,529,615 | 10,515,284 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0951% 10/25/44 (h)(n) | 1,789,540 | 1,784,312 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: | ||||
Class A1, 0.6534% 11/21/40 (h)(n) | 186,318 | 181,791 | ||
Class D, 1.1834% 11/21/40 (h)(n) | 305,000 | 245,678 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $143,347,784) |
| |||
Collateralized Mortgage Obligations - 2.9% | ||||
| ||||
Private Sponsor - 0.8% | ||||
Banc of America Funding Corp.: | ||||
sequential payer Series 2010-R4 Class 6A1, 0.3341% 1/26/37 (h)(n) | 22,807 | 22,753 | ||
Series 2015-R3 Class 10A1, 0.3305% 6/27/36 (h)(n) | 19,607,233 | 18,914,493 | ||
BCAP LLC Trust sequential payer: | ||||
Series 2013-RR3 Class 2A1, 2.3758% 2/26/37 (h)(n) | 6,322,728 | 6,296,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
BCAP LLC Trust sequential payer: - continued | ||||
Series 2013-RR4 Class 2A1, 2.7793% 5/26/47 (h)(n) | $ 9,143,721 | $ 9,105,994 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7594% 1/25/35 (n) | 1,091,384 | 1,061,798 | ||
Citigroup Mortgage Loan Trust sequential payer: | ||||
Series 2012-A Class A, 2.5% 6/25/51 (h) | 8,438,307 | 8,299,102 | ||
Series 2014-8 Class 2A1, 3.45% 6/27/37 (h)(n) | 12,485,108 | 12,619,020 | ||
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.1124% 10/26/37 (h)(n) | 786,763 | 770,452 | ||
CSMC: | ||||
floater Series 2015-1R Class 6A1, 0.467% 5/27/37 (h)(n) | 13,041,125 | 12,109,226 | ||
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (h) | 11,998,746 | 11,870,902 | ||
Series 2014-3R Class 2A1, 0.8847% 5/27/37 (h)(n) | 1,977,086 | 1,874,527 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5683% 10/25/34 (n) | 598,303 | 594,326 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K6 Class B, 5.3578% 12/25/46 (h)(n) | 910,000 | 1,004,129 | ||
Series 2010-K7 Class B, 5.4406% 4/25/20 (h)(n) | 1,000,000 | 1,115,921 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.3028% 12/20/54 (n) | 205,017 | 202,147 | ||
Series 2006-1A Class C2, 1.4028% 12/20/54 (h)(n) | 6,523,000 | 6,443,419 | ||
Series 2006-2 Class C1, 1.1428% 12/20/54 (n) | 21,543,000 | 21,014,871 | ||
Series 2006-3 Class C2, 1.2028% 12/20/54 (n) | 1,124,000 | 1,107,252 | ||
Series 2006-4: | ||||
Class C1, 0.9628% 12/20/54 (n) | 2,767,000 | 2,677,747 | ||
Class M1, 0.5428% 12/20/54 (n) | 1,190,000 | 1,160,238 | ||
Series 2007-1: | ||||
Class 1C1, 0.8028% 12/20/54 (n) | 2,234,000 | 2,146,567 | ||
Class 1M1, 0.5028% 12/20/54 (n) | 1,493,000 | 1,440,894 | ||
Class 2C1, 1.0628% 12/20/54 (n) | 1,015,000 | 986,625 | ||
Class 2M1, 0.7028% 12/20/54 (n) | 1,917,000 | 1,878,526 | ||
Series 2007-2 Class 2C1, 1.0576% 12/17/54 (n) | 2,654,000 | 2,579,945 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.737% 1/20/44 (n) | 430,241 | 426,023 | ||
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.0124% 3/25/37 (n) | 890,132 | 866,142 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5847% 8/25/36 (n) | 1,296,420 | 1,096,226 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4094% 5/25/47 (n) | 1,233,231 | 1,139,906 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3694% 2/25/37 (n) | $ 3,448,741 | $ 3,103,867 | ||
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (h) | 106,645 | 109,193 | ||
Oak Hill Advisors Residential Loan Trust Series 2014-NPL2 Class A1, 3.475% 4/25/54 (h) | 8,684,546 | 8,676,874 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4894% 7/25/35 (n) | 1,017,296 | 962,640 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.5385% 6/10/35 (h)(n) | 403,347 | 366,193 | ||
Class B6, 3.0385% 6/10/35 (h)(n) | 89,932 | 82,862 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (n) | 23,167 | 22,738 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5121% 4/25/33 (n) | 199,322 | 196,290 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-BB Class A2, 2.6192% 1/25/35 (n) | 3,152,051 | 3,163,190 | ||
Series 2005-AR10 Class 2A15, 2.6681% 6/25/35 (n) | 15,817,688 | 16,075,405 | ||
Series 2005-AR2 Class 1A2, 2.6165% 3/25/35 (n) | 1,906,824 | 1,763,150 | ||
TOTAL PRIVATE SPONSOR | 165,348,378 | |||
U.S. Government Agency - 2.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2002-18 Class FD, 0.9994% 2/25/32 (n) | 34,321 | 34,884 | ||
Series 2002-39 Class FD, 1.1996% 3/18/32 (n) | 54,829 | 56,047 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (n) | 71,759 | 73,519 | ||
Series 2002-63 Class FN, 1.1994% 10/25/32 (n) | 98,533 | 100,891 | ||
Series 2002-7 Class FC, 0.9494% 1/25/32 (n) | 36,334 | 37,142 | ||
Series 2002-94 Class FB, 0.5994% 1/25/18 (n) | 47,775 | 47,931 | ||
Series 2003-118 Class S, 7.9006% 12/25/33 (n)(o)(q) | 1,141,847 | 265,347 | ||
Series 2006-104 Class GI, 6.4806% 11/25/36 (n)(o)(q) | 838,434 | 165,650 | ||
Series 2006-33 Class CF, 0.4994% 5/25/36 (n) | 704,805 | 706,628 | ||
Series 2007-57 Class FA, 0.4294% 6/25/37 (n) | 898,475 | 898,620 | ||
Series 2008-76 Class EF, 0.6994% 9/25/23 (n) | 461,381 | 463,189 | ||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | 54,633 | 59,987 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
planned amortization class: | ||||
Series 1993-207 Class H, 6.5% 11/25/23 | $ 670,346 | $ 749,254 | ||
Series 1994-23 Class PZ, 6% 2/25/24 | 1,817,625 | 2,006,775 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 218,950 | 244,799 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 575,834 | 632,653 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 497,538 | 547,734 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 322,551 | 355,846 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 39,775 | 44,934 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 26,299 | 27,023 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 395,584 | 432,157 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 65,150 | 66,821 | ||
Series 2005-102 Class CO, 11/25/35 (p) | 324,410 | 294,104 | ||
Series 2005-73 Class SA, 17.0316% 8/25/35 (n)(q) | 127,624 | 165,687 | ||
Series 2005-81 Class PC, 5.5% 9/25/35 | 427,876 | 496,859 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 352,232 | 358,425 | ||
Series 2006-12 Class BO, 10/25/35 (p) | 1,344,951 | 1,261,425 | ||
Series 2006-37 Class OW, 5/25/36 (p) | 155,439 | 137,493 | ||
Series 2006-45 Class OP, 6/25/36 (p) | 414,275 | 367,953 | ||
Series 2006-62 Class KP, 4/25/36 (p) | 594,171 | 529,242 | ||
sequential payer: | ||||
Series 1997-41 Class J, 7.5% 6/18/27 | 115,120 | 135,166 | ||
Series 1999-25 Class Z, 6% 6/25/29 | 438,753 | 495,984 | ||
Series 2001-20 Class Z, 6% 5/25/31 | 576,301 | 634,633 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 304,566 | 350,904 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 159,403 | 185,786 | ||
Series 2002-74 Class SV, 7.3506% 11/25/32 (n)(o) | 718,460 | 130,088 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 799,761 | 891,611 | ||
Series 2010-50 Class FA, 0.5494% 1/25/24 (n) | 12,799 | 12,800 | ||
Series 2012-67 Class AI, 4.5% 7/25/27 (o) | 4,199,468 | 571,464 | ||
Series 06-116 Class SG, 6.4406% 12/25/36 (n)(o)(q) | 561,436 | 109,000 | ||
Series 07-40 Class SE, 6.2406% 5/25/37 (n)(o)(q) | 351,504 | 58,427 | ||
Series 1993-165 Class SH, 19.2358% 9/25/23 (n)(q) | 26,591 | 36,152 | ||
Series 2003-21 Class SK, 7.9006% 3/25/33 (n)(o)(q) | 99,830 | 27,222 | ||
Series 2003-35 Class TQ, 7.3006% 5/25/18 (n)(o)(q) | 47,833 | 3,149 | ||
Series 2005-72 Class ZC, 5.5% 8/25/35 | 3,477,956 | 3,917,817 | ||
Series 2007-57 Class SA, 39.4236% 6/25/37 (n)(q) | 268,961 | 539,070 | ||
Series 2007-66: | ||||
Class FB, 0.5994% 7/25/37 (n) | 1,078,031 | 1,086,635 | ||
Class SA, 38.4036% 7/25/37 (n)(q) | 410,590 | 806,581 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
Series 2007-66: | ||||
Class SB, 38.4036% 7/25/37 (n)(q) | $ 179,672 | $ 344,115 | ||
Series 2008-12 Class SG, 6.1506% 3/25/38 (n)(o)(q) | 2,418,678 | 435,433 | ||
Series 2009-114 Class AI, 5% 12/25/23 (o) | 444,056 | 18,281 | ||
Series 2009-16 Class SA, 6.0506% 3/25/24 (n)(o)(q) | 251,947 | 8,967 | ||
Series 2009-76 Class MI, 5.5% 9/25/24 (o) | 219,368 | 10,697 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (o) | 246,918 | 20,483 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (o) | 371,345 | 30,118 | ||
Series 2010-112 Class SG, 6.1606% 6/25/21 (n)(o)(q) | 330,203 | 24,365 | ||
Series 2010-12 Class AI, 5% 12/25/18 (o) | 923,657 | 49,935 | ||
Series 2010-135 Class LS, 5.8506% 12/25/40 (n)(o)(q) | 2,194,654 | 390,924 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (o) | 2,142,589 | 303,990 | ||
Series 2010-17 Class DI, 4.5% 6/25/21 (o) | 247,906 | 14,535 | ||
Series 2010-23: | ||||
Class AI, 5% 12/25/18 (o) | 390,489 | 19,018 | ||
Class HI, 4.5% 10/25/18 (o) | 271,579 | 13,433 | ||
Series 2010-29 Class LI, 4.5% 6/25/19 (o) | 837,644 | 39,066 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (o) | 792,747 | 57,999 | ||
Series 2011-39 Class ZA, 6% 11/25/32 | 1,474,496 | 1,684,984 | ||
Series 2011-67 Class AI, 4% 7/25/26 (o) | 664,689 | 75,776 | ||
Series 2011-83 Class DI, 6% 9/25/26 (o) | 1,073,476 | 144,530 | ||
Series 2013-N1 Class A, 6.5206% 6/25/35 (n)(o)(q) | 1,726,662 | 377,616 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
Series 339: | ||||
Class 29, 5.5% 8/25/18 (o) | 141,617 | 7,051 | ||
Class 5, 5.5% 7/25/33 (o) | 328,031 | 68,974 | ||
Series 343 Class 16, 5.5% 5/25/34 (o) | 262,596 | 51,101 | ||
Series 348 Class 14, 6.5% 8/25/34 (n)(o) | 187,570 | 41,486 | ||
Series 351: | ||||
Class 12, 5.5% 4/25/34 (n)(o) | 131,347 | 23,327 | ||
Class 13, 6% 3/25/34 (o) | 173,945 | 34,742 | ||
Series 359 Class 19, 6% 7/25/35 (n)(o) | 122,725 | 25,476 | ||
Series 384 Class 6, 5% 7/25/37 (o) | 1,557,588 | 322,907 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2412 Class FK, 0.9976% 1/15/32 (n) | 28,001 | 28,450 | ||
Series 2423 Class FA, 1.0976% 3/15/32 (n) | 38,910 | 39,705 | ||
Series 2424 Class FM, 1.1976% 3/15/32 (n) | 52,218 | 53,488 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 2432: | ||||
Class FE, 1.0976% 6/15/31 (n) | $ 69,662 | $ 71,111 | ||
Class FG, 1.0976% 3/15/32 (n) | 23,206 | 23,673 | ||
floater planned amortization class Series 3153 Class FX, 0.5476% 5/15/36 (n) | 1,455,341 | 1,460,620 | ||
floater target amortization class Series 3366 Class FD, 0.4476% 5/15/37 (n) | 1,654,255 | 1,653,262 | ||
planned amortization class: | ||||
Series 2006-15 Class OP, 3/25/36 (p) | 1,098,432 | 990,254 | ||
Series 2095 Class PE, 6% 11/15/28 | 619,739 | 684,543 | ||
Series 2101 Class PD, 6% 11/15/28 | 56,690 | 62,327 | ||
Series 2121 Class MG, 6% 2/15/29 | 256,041 | 281,945 | ||
Series 2131 Class BG, 6% 3/15/29 | 1,688,868 | 1,864,419 | ||
Series 2137 Class PG, 6% 3/15/29 | 277,365 | 305,626 | ||
Series 2154 Class PT, 6% 5/15/29 | 424,428 | 467,209 | ||
Series 2162 Class PH, 6% 6/15/29 | 107,139 | 117,584 | ||
Series 2425 Class JH, 6% 3/15/17 | 40,767 | 41,988 | ||
Series 2520 Class BE, 6% 11/15/32 | 572,734 | 631,918 | ||
Series 2585 Class KS, 7.4024% 3/15/23 (n)(o)(q) | 40,713 | 6,047 | ||
Series 2693 Class MD, 5.5% 10/15/33 | 6,509,800 | 7,287,373 | ||
Series 2802 Class OB, 6% 5/15/34 | 1,167,945 | 1,311,362 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 1,514,116 | 1,585,135 | ||
Series 2962 Class BE, 4.5% 4/15/20 | 1,516,669 | 1,596,730 | ||
Series 3002 Class NE, 5% 7/15/35 | 1,636,757 | 1,803,192 | ||
Series 3110 Class OP, 9/15/35 (p) | 775,962 | 734,775 | ||
Series 3119 Class PO, 2/15/36 (p) | 1,207,557 | 1,047,822 | ||
Series 3121 Class KO, 3/15/36 (p) | 250,122 | 223,246 | ||
Series 3123 Class LO, 3/15/36 (p) | 726,084 | 646,729 | ||
Series 3145 Class GO, 4/15/36 (p) | 683,632 | 615,187 | ||
Series 3189 Class PD, 6% 7/15/36 | 1,514,483 | 1,739,193 | ||
Series 3225 Class EO, 10/15/36 (p) | 437,334 | 387,304 | ||
Series 3258 Class PM, 5.5% 12/15/36 | 692,229 | 779,257 | ||
Series 3415 Class PC, 5% 12/15/37 | 647,977 | 699,024 | ||
Series 3786 Class HI, 4% 3/15/38 (o) | 1,935,377 | 224,310 | ||
Series 3806 Class UP, 4.5% 2/15/41 | 3,745,520 | 4,053,320 | ||
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,698,128 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 115,333 | 126,950 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 134,310 | 154,678 | ||
Series 2281 Class ZB, 6% 3/15/30 | 332,529 | 364,540 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 144,038 | $ 159,179 | ||
Series 2357 Class ZB, 6.5% 9/15/31 | 992,608 | 1,152,413 | ||
Series 2502 Class ZC, 6% 9/15/32 | 296,840 | 329,068 | ||
Series 2519 Class ZD, 5.5% 11/15/32 | 530,934 | 579,601 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 254,056 | 272,632 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 118,104 | 131,091 | ||
Series 2998 Class LY, 5.5% 7/15/25 | 313,890 | 345,400 | ||
Series 06-3115 Class SM, 6.4024% 2/15/36 (n)(o)(q) | 468,674 | 81,264 | ||
Series 2013-4281 Class AI, 4% 12/15/28 (o) | 7,241,957 | 818,134 | ||
Series 2844: | ||||
Class SC, 45.5156% 8/15/24 (n)(q) | 15,994 | 27,876 | ||
Class SD, 83.8812% 8/15/24 (n)(q) | 23,530 | 56,834 | ||
Series 2935 Class ZK, 5.5% 2/15/35 | 4,664,532 | 5,303,266 | ||
Series 2947 Class XZ, 6% 3/15/35 | 1,705,251 | 1,922,437 | ||
Series 3055 Class CS, 6.3924% 10/15/35 (n)(o) | 663,769 | 131,598 | ||
Series 3244 Class SG, 6.4624% 11/15/36 (n)(o)(q) | 1,573,668 | 301,271 | ||
Series 3274 Class SM, 6.2324% 2/15/37 (n)(o) | 787,325 | 143,656 | ||
Series 3284 Class CI, 5.9224% 3/15/37 (n)(o) | 3,665,485 | 671,754 | ||
Series 3287 Class SD, 6.5524% 3/15/37 (n)(o)(q) | 2,368,438 | 559,372 | ||
Series 3297 Class BI, 6.5624% 4/15/37 (n)(o)(q) | 3,474,601 | 704,247 | ||
Series 3336 Class LI, 6.3824% 6/15/37 (n)(o) | 1,260,743 | 181,668 | ||
Series 3772 Class BI, 4.5% 10/15/18 (o) | 987,233 | 49,352 | ||
Series 3949 Class MK, 4.5% 10/15/34 | 1,162,691 | 1,260,336 | ||
Series 3955 Class YI, 3% 11/15/21 (o) | 4,090,266 | 246,243 | ||
Series 4471 Class PA 4% 12/15/40 | 16,542,139 | 17,482,450 | ||
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 350,826 | 385,183 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 1.0976% 2/15/24 (n) | 143,037 | 145,067 | ||
sequential payer: | ||||
Series 2043 Class ZH, 6% 4/15/28 | 278,747 | 306,998 | ||
Series 2056 Class Z, 6% 5/15/28 | 493,989 | 544,097 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates Series 4386 Class AZ, 4.5% 11/15/40 | 9,175,093 | 10,327,662 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-37 Class TS, 6.4924% 6/16/37 (n)(o)(q) | 666,871 | 116,266 | ||
Series 2010-H03 Class FA, 0.739% 3/20/60 (n)(r) | 7,239,958 | 7,254,778 | ||
Series 2010-H17 Class FA, 0.519% 7/20/60 (n)(r) | 784,120 | 780,609 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2010-H18 Class AF, 0.4882% 9/20/60 (n)(r) | $ 939,927 | $ 934,403 | ||
Series 2010-H19 Class FG, 0.4882% 8/20/60 (n)(r) | 1,124,650 | 1,118,127 | ||
Series 2010-H27 Series FA, 0.5682% 12/20/60 (n)(r) | 1,881,037 | 1,877,644 | ||
Series 2011-H05 Class FA, 0.6882% 12/20/60 (n)(r) | 3,058,776 | 3,062,612 | ||
Series 2011-H07 Class FA, 0.6882% 2/20/61 (n)(r) | 5,744,796 | 5,751,178 | ||
Series 2011-H12 Class FA, 0.6782% 2/20/61 (n)(r) | 7,672,367 | 7,682,249 | ||
Series 2011-H13 Class FA, 0.6882% 4/20/61 (n)(r) | 2,954,143 | 2,957,818 | ||
Series 2011-H14: | ||||
Class FB, 0.6882% 5/20/61 (n)(r) | 3,408,666 | 3,413,605 | ||
Class FC, 0.6882% 5/20/61 (n)(r) | 3,111,103 | 3,115,253 | ||
Series 2011-H17 Class FA, 0.7182% 6/20/61 (n)(r) | 4,100,268 | 4,109,223 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (n)(r) | 7,977,929 | 8,016,814 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (n)(r) | 3,853,340 | 3,876,537 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (n)(r) | 2,412,451 | 2,427,037 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (n)(r) | 3,713,802 | 3,736,656 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (n)(r) | 2,233,512 | 2,250,873 | ||
Series 2012-H23 Class WA, 0.7082% 10/20/62 (n)(r) | 1,972,568 | 1,977,101 | ||
Series 2012-H26, Class CA, 0.7182% 7/20/60 (n)(r) | 8,393,046 | 8,409,572 | ||
Series 2013-H07 Class BA, 0.5482% 3/20/63 (n)(r) | 3,088,896 | 3,064,778 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (n)(r) | 3,557,562 | 3,576,929 | ||
Series 2014-H05 Class FB, 0.7882% 12/20/63 (n)(r) | 8,840,658 | 8,888,132 | ||
Series 2014-H11 Class BA, 0.6882% 6/20/64 (n)(r) | 14,231,600 | 14,289,964 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2014-H20 Class BF, 0.6882% 9/20/64 (n)(r) | $ 45,507,119 | $ 45,432,123 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (n)(r) | 25,469,565 | 25,418,600 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (n)(r) | 23,700,000 | 23,655,563 | ||
planned amortization class: | ||||
Series 1993-13 Class PD, 6% 5/20/29 | 576,554 | 658,056 | ||
Series 1997-8 Class PE, 7.5% 5/16/27 | 242,407 | 286,190 | ||
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | 1,489,777 | 244,883 | ||
sequential payer Series 2004-24 Class ZM, 5% 4/20/34 | 2,348,217 | 2,601,424 | ||
Series 2004-32 Class GS, 6.3024% 5/16/34 (n)(o)(q) | 354,374 | 76,792 | ||
Series 2004-73 Class AL, 7.0024% 8/17/34 (n)(o)(q) | 426,172 | 82,363 | ||
Series 2007-35 Class SC, 39.0144% 6/16/37 (n)(q) | 28,844 | 55,931 | ||
Series 2010-H10 Class FA, 0.519% 5/20/60 (n)(r) | 2,445,477 | 2,434,013 | ||
Series 2012-76 Class GS, 6.5024% 6/16/42 (n)(o)(q) | 1,443,066 | 301,234 | ||
Series 2012-97 Class JS, 6.0524% 8/16/42 (n)(o)(q) | 4,573,075 | 784,352 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (n)(q) | 4,142,567 | 4,818,231 | ||
Class ST, 8.5297% 8/20/39 (n)(q) | 7,781,810 | 9,136,388 | ||
Series 2013-160 Class MS, 5.9973% 9/20/32 (n)(o)(q) | 6,145,514 | 1,119,942 | ||
Series 2015-H13 Class HA, 2.5% 8/20/64 (r) | 33,560,356 | 34,389,062 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (r) | 28,442,055 | 29,147,390 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (j)(r) | 30,750,363 | 31,495,100 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (j)(r) | 6,637,302 | 6,804,272 | ||
TOTAL U.S. GOVERNMENT AGENCY | 429,373,477 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $561,302,341) |
| |||
Commercial Mortgage Securities - 6.7% | ||||
| ||||
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (h) | 180,000 | 201,179 | ||
Asset Securitization Corp.: | ||||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 129,872 | ||
Series 1997-D5 Class PS1, 1.4464% 2/14/43 (n)(o) | 456,274 | 5,710 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (h)(n) | $ 1,500,000 | $ 1,470,703 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-4 Class AJ, 5.038% 7/10/45 (n) | 254,963 | 254,820 | ||
Series 2006-2 Class A4, 5.7271% 5/10/45 (n) | 17,625,794 | 17,815,553 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 51,155,192 | 52,078,185 | ||
Series 2006-4 Class AM, 5.675% 7/10/46 | 1,000,000 | 1,034,448 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,823,035 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (n) | 26,299,622 | 27,050,502 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 185,051 | ||
Series 2005-1 Class CJ, 5.3371% 11/10/42 (n) | 175,766 | 175,573 | ||
Series 2005-5 Class D, 5.3247% 10/10/45 (n) | 1,180,000 | 1,183,728 | ||
Series 2005-6 Class AJ, 5.1559% 9/10/47 (n) | 300,000 | 301,608 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 122,411 | ||
Series 2007-2 Class A4, 5.6126% 4/10/49 (n) | 8,292,000 | 8,634,567 | ||
Series 2007-3 Class A4, 5.5746% 6/10/49 (n) | 20,967,320 | 21,956,977 | ||
Series 2008-1 Class D, 6.2584% 2/10/51 (h)(n) | 125,000 | 95,414 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 6,743,694 | 7,053,028 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.4744% 12/25/33 (h)(n) | 33,328 | 30,064 | ||
Series 2005-4A: | ||||
Class A2, 0.5894% 1/25/36 (h)(n) | 788,356 | 700,667 | ||
Class B1, 1.5994% 1/25/36 (h)(n) | 32,921 | 20,941 | ||
Class M1, 0.6494% 1/25/36 (h)(n) | 254,309 | 206,031 | ||
Class M2, 0.6694% 1/25/36 (h)(n) | 76,293 | 59,816 | ||
Class M3, 0.6994% 1/25/36 (h)(n) | 111,419 | 83,999 | ||
Class M4, 0.8094% 1/25/36 (h)(n) | 61,621 | 45,484 | ||
Class M5, 0.8494% 1/25/36 (h)(n) | 61,621 | 45,238 | ||
Class M6, 0.8994% 1/25/36 (h)(n) | 65,448 | 46,847 | ||
Series 2006-3A Class M4, 0.6294% 10/25/36 (h)(n) | 32,221 | 3,308 | ||
Series 2007-1 Class A2, 0.4694% 3/25/37 (h)(n) | 527,262 | 441,664 | ||
Series 2007-2A: | ||||
Class A1, 0.4694% 7/25/37 (h)(n) | 541,279 | 461,786 | ||
Class A2, 0.5194% 7/25/37 (h)(n) | 505,752 | 416,077 | ||
Class M1, 0.5694% 7/25/37 (h)(n) | 177,592 | 135,918 | ||
Class M2, 0.6094% 7/25/37 (h)(n) | 97,043 | 68,317 | ||
Class M3, 0.6894% 7/25/37 (h)(n) | 74,751 | 43,833 | ||
Series 2007-3: | ||||
Class A2, 0.4894% 7/25/37 (h)(n) | 483,895 | 394,167 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M1, 0.5094% 7/25/37 (h)(n) | $ 105,098 | $ 81,257 | ||
Class M2, 0.5394% 7/25/37 (h)(n) | 112,645 | 80,894 | ||
Class M3, 0.5694% 7/25/37 (h)(n) | 177,501 | 78,035 | ||
Class M4, 0.6994% 7/25/37 (h)(n) | 278,704 | 81,819 | ||
Class M5, 0.7994% 7/25/37 (h)(n) | 133,533 | 26,213 | ||
Series 2007-4A Class M1, 1.1494% 9/25/37 (h)(n) | 190,162 | 36,301 | ||
Series 2006-3A, Class IO, 0% 10/25/36 (h)(n)(o) | 5,108,763 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (h)(n)(o) | 4,852,783 | 15,441 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.43% 3/11/39 (n) | 450,000 | 454,935 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 624,806 | ||
Series 2006-T22 Class AJ, 5.5924% 4/12/38 (n) | 400,000 | 408,402 | ||
Series 2007-PW16 Class A4, 5.7053% 6/11/40 (n) | 1,112,000 | 1,175,544 | ||
Series 1999-C1 Class I, 5.64% 2/14/31 (h) | 107,279 | 106,292 | ||
Series 2006-T22: | ||||
Class A4, 5.5924% 4/12/38 (n) | 166,540 | 167,970 | ||
Class B, 5.5924% 4/12/38 (h)(n) | 200,000 | 207,422 | ||
Series 2007-PW18 Class X2, 0.3003% 6/11/50 (h)(n)(o) | 87,557,706 | 91,760 | ||
Series 2007-T28 Class X2, 0.1359% 9/11/42 (h)(n)(o) | 54,532,420 | 5,999 | ||
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (h) | 724,139 | 773,609 | ||
BLCP Hotel Trust: | ||||
floater Series 2014-CLRN Class F, 3.2316% 8/15/29 (h)(n) | 832,000 | 804,016 | ||
Series 2014-CLMZ Class M, 5.9255% 8/15/29 (h)(n) | 1,665,702 | 1,654,329 | ||
Boca Hotel Portfolio Trust Series 2013-BOCA Class E, 3.9476% 8/15/26 (h)(n) | 700,000 | 699,389 | ||
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/13/35 (h)(n) | 1,000,000 | 964,051 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4694% 5/25/36 (h)(n) | 304,743 | 289,950 | ||
Carefree Portfolio Trust floater: | ||||
Series 2014-CARE: | ||||
Class E, 4.198% 11/15/19 (h)(n) | 1,574,000 | 1,582,622 | ||
Class F, 2.7817% 11/15/19 (h)(n) | 119,000 | 116,162 | ||
Series 2014-CMZA Class MZA, 6.1745% 11/15/19 (h)(n) | 1,537,000 | 1,534,947 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Carefree Portfolio Trust 2014-Car floater Series 2014-CMZB Class MZB, 7.9199% 11/15/29 (h)(n) | $ 1,158,000 | $ 1,155,600 | ||
CDGJ Commercial Mortgage Trust Series 2014-BXCH: | ||||
Class A, 1.5873% 12/15/27 (h)(n) | 19,500,000 | 19,469,619 | ||
Class DPA, 3.1976% 12/15/27 (h)(n) | 6,164,000 | 6,151,968 | ||
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5743% 12/15/47 (h)(n) | 750,000 | 849,273 | ||
CG-CCRE Commercial Mortgage Trust: | ||||
Series 2014-FL1: | ||||
Class YTC2, 2.6745% 6/15/31 (h)(n) | 511,000 | 492,718 | ||
Class YTC3, 2.6745% 6/15/31 (h)(n) | 184,000 | 174,962 | ||
Series 2014-FL1, 2.6745% 6/15/31 (h)(n) | 511,000 | 498,730 | ||
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class F, 3.7859% 4/10/28 (h)(n) | 902,000 | 857,869 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 839,749 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 487,111 | 438,161 | ||
Citigroup Commercial Mortgage Trust: | ||||
Series 2013-GC15 Class D, 5.1051% 9/10/46 (h)(n) | 1,010,000 | 982,380 | ||
Series 2015-SHP2 Class E, 4.535% 7/15/27 (h)(n) | 1,239,000 | 1,236,100 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD3 Class A5, 5.617% 10/15/48 | 8,179,818 | 8,409,163 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 172,969 | 173,873 | ||
Class A4, 5.322% 12/11/49 | 31,258,000 | 32,322,272 | ||
Series 2005-CD1 Class AJ, 5.2018% 7/15/44 (n) | 500,000 | 499,462 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (h)(n) | CAD | 138,000 | 104,063 | |
Class G, 5.01% 5/15/44 (h)(n) | CAD | 30,000 | 22,212 | |
Class H, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 14,457 | |
Class J, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 13,890 | |
Class K, 5.01% 5/15/44 (h)(n) | CAD | 10,000 | 6,808 | |
Class L, 5.01% 5/15/44 (h)(n) | CAD | 36,000 | 23,563 | |
Class M, 5.01% 5/15/44 (h)(n) | CAD | 165,000 | 101,880 | |
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (n) | 2,125,000 | 2,064,238 | ||
COMM Mortgage Trust: | ||||
floater Series 2014-PAT Class E, 3.336% 8/13/27 (h)(n) | 735,000 | 727,228 | ||
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (h) | 1,410,000 | 1,123,606 | ||
Series 2012-CR5 Class D, 4.3356% 12/10/45 (h)(n) | 740,000 | 743,849 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
COMM Mortgage Trust: - continued | ||||
Series 2013-CR10: | ||||
Class C, 4.7925% 8/10/46 (h)(n) | $ 270,000 | $ 278,724 | ||
Class D, 4.7925% 8/10/46 (h)(n) | 790,000 | 743,386 | ||
Series 2013-CR12 Class D, 5.0847% 10/10/46 (h)(n) | 1,680,000 | 1,655,826 | ||
Series 2013-CR9: | ||||
Class C, 4.2581% 7/10/45 (h)(n) | 525,000 | 526,183 | ||
Class D, 4.2581% 7/10/45 (h)(n) | 756,000 | 709,490 | ||
Series 2013-LC6 Class D, 4.2865% 1/10/46 (h)(n) | 1,109,000 | 1,044,351 | ||
Series 2014-CR15 Class D, 4.7657% 2/10/47 (h)(n) | 258,000 | 249,179 | ||
Series 2014-CR17 Class D, 4.7994% 5/10/47 (h)(n) | 567,000 | 535,956 | ||
Series 2014-UBS2 Class D, 5.0154% 3/10/47 (h)(n) | 844,000 | 797,880 | ||
Series 2015-3BP Class F, 3.2384% 2/10/35 (h)(n) | 1,000,000 | 876,537 | ||
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (h)(n) | 483,000 | 443,848 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater Series 2005-F10A Class J, 1.0476% 4/15/17 (h)(n) | 126,140 | 126,169 | ||
sequential payer Series 2006-C7 Class A1A, 5.7386% 6/10/46 (n) | 2,335,546 | 2,396,691 | ||
Series 2005-LP5 Class F, 4.9795% 5/10/43 (h)(n) | 1,290,000 | 1,302,585 | ||
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (h) | 1,275,189 | 1,227,269 | ||
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 | 623,315 | 660,148 | ||
Commercial Mortgage Trust pass-thru certificates: | ||||
Series 2012-CR1: | ||||
Class C, 5.3592% 5/15/45 (n) | 850,000 | 921,955 | ||
Class D, 5.3592% 5/15/45 (h)(n) | 1,510,000 | 1,546,614 | ||
Series 2012-CR2: | ||||
Class E, 4.8572% 8/15/45 (h)(n) | 1,727,000 | 1,696,629 | ||
Class F, 4.25% 8/15/45 (h) | 1,418,000 | 1,286,981 | ||
Series 2012-LC4: | ||||
Class C, 5.6452% 12/10/44 (n) | 260,000 | 287,285 | ||
Class D, 5.6452% 12/10/44 (h)(n) | 1,143,000 | 1,203,828 | ||
Series 2014-CR2 Class G, 4.25% 8/15/45 (h) | 403,000 | 317,407 | ||
Core Industrial Trust: | ||||
Series 2015-CALW Class G, 3.8504% 2/10/34 (h)(n) | 544,000 | 497,418 | ||
Series 2015-WEST Class F, 4.2268% 2/10/37 (h)(n) | 731,000 | 645,605 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C2 Class A2, 5.448% 1/15/49 (n) | 27,691 | 27,691 | ||
Series 2007-C3 Class A4, 5.6993% 6/15/39 (n) | 16,762,633 | 17,570,408 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2007-C5 Class A4, 5.695% 9/15/40 (n) | $ 1,722,000 | $ 1,818,079 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6% 5/17/40 (h) | 1,212,440 | 1,289,831 | ||
Class H, 6% 5/17/40 (h) | 90,315 | 75,213 | ||
Series 1998-C2: | ||||
Class F, 6.75% 11/15/30 (h) | 499,779 | 512,111 | ||
Class G, 6.75% 11/15/30 (h) | 180,000 | 190,863 | ||
Series 2001-CKN5 Class AX, 0% 9/15/34 (h)(n)(o) | 2,730 | 0 | ||
Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (h)(n) | 140,650 | 141,253 | ||
CSMC Series 2015-TOWN: | ||||
Class B, 2.0976% 3/15/17 (h)(n) | 3,043,000 | 3,022,405 | ||
Class C, 2.4476% 3/15/17 (h)(n) | 2,964,000 | 2,944,035 | ||
Class D, 3.3976% 3/15/17 (h)(n) | 4,485,000 | 4,447,873 | ||
Class E, 4.336% 3/15/17 (h)(n) | 20,318,000 | 20,139,263 | ||
CSMC Trust floater Series 2015-DEAL: | ||||
Class E, 4.198% 4/15/29 (h)(n) | 724,000 | 716,966 | ||
Class F, 4.948% 4/15/29 (h)(n) | 1,453,000 | 1,439,041 | ||
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (h)(n) | 967,000 | 905,463 | ||
DBUBS Mortgage Trust Series 2011-LC1A: | ||||
Class D, 5.5569% 11/10/46 (h)(n) | 500,000 | 547,023 | ||
Class E, 5.5569% 11/10/46 (h)(n) | 1,332,000 | 1,437,385 | ||
Class F, 5.5569% 11/10/46 (h)(n) | 1,560,000 | 1,554,691 | ||
Class G, 4.652% 11/10/46 (h) | 1,654,000 | 1,433,581 | ||
Class XB, 0.2464% 11/10/46 (h)(n)(o) | 20,920,000 | 308,967 | ||
Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (h) | 1,000,000 | 1,002,424 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(n) | 23,852 | 23,797 | ||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (n) | 416,659 | 415,720 | ||
pass-thru certificates: | ||||
Series K011 Class X3, 2.5753% 12/25/43 (n)(o) | 1,640,000 | 201,549 | ||
Series K012 Class X3, 2.287% 1/25/41 (n)(o) | 1,799,999 | 199,348 | ||
Series K013 Class X3, 2.8069% 1/25/43 (n)(o) | 820,000 | 110,965 | ||
sequential payer: | ||||
Series K033 Class A2, 3.06% 7/25/23 | 23,417,768 | 24,087,149 | ||
Series K034 Class A2, 3.531% 7/25/23 | 20,251,185 | 21,448,172 | ||
Series K035 Class A2, 3.458% 8/25/23 | 2,961,000 | 3,118,602 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac: - continued | ||||
Series K032 Class A2, 3.31% 5/25/23 | $ 4,715,000 | $ 4,936,150 | ||
Series K036 Class A2, 3.527% 10/25/23 | 7,763,000 | 8,205,755 | ||
Series K047 Class A2, 3.329% 5/25/25 | 17,400,000 | 18,047,141 | ||
Series KAIV Class X2, 3.6147% 6/25/46 (n)(o) | 420,000 | 74,622 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 | 4,722,000 | 4,934,721 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K9 Class B, 5.1937% 9/25/45 (h)(n) | 1,290,000 | 1,416,967 | ||
Series 2011-K10 Class B, 4.6215% 11/25/49 (h)(n) | 240,000 | 257,267 | ||
Series 2011-K11 Class B, 4.4209% 12/25/48 (h)(n) | 750,000 | 797,774 | ||
GAHR Commercial Mortgage Trust Series 2015-NRF: | ||||
Class BFX, 3.3822% 12/15/19 (h)(n) | 18,910,000 | 18,965,749 | ||
Class CFX, 3.4949% 12/15/19 (h)(n) | 14,152,000 | 13,945,292 | ||
Class DFX, 3.3822% 12/15/19 (h)(n) | 11,994,000 | 11,679,349 | ||
Class EFX, 3.3822% 12/15/19 (h)(n) | 1,500,000 | 1,402,278 | ||
Class FFX, 3.3822% 12/15/19 (h)(n) | 383,000 | 351,176 | ||
GCCFC Commercial Mortgage Trust Series 2005-GG3 Class B, 4.894% 8/10/42 (n) | 60,372 | 60,356 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 42,220,000 | 43,752,544 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 405,110 | 362,225 | ||
Series 1997-C2 Class G, 6.75% 4/15/29 (n) | 215,232 | 227,426 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 756,193 | ||
Series 1999-C3 Class K, 6.974% 8/15/36 (h) | 2,645 | 2,620 | ||
GP Portfolio Trust Series 2014-GPP: | ||||
Class D, 2.938% 2/15/27 (h)(n) | 291,000 | 289,847 | ||
Class E, 4.0373% 2/15/27 (h)(n) | 378,000 | 376,173 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 15,541,635 | 16,217,401 | ||
Series 2006-GG7 Class A4, 5.8187% 7/10/38 (n) | 45,337,123 | 46,013,144 | ||
GS Mortgage Securities Corp. II: | ||||
Series 2006-GG6 Class A4, 5.553% 4/10/38 (n) | 6,458,463 | 6,466,058 | ||
Series 2010-C1: | ||||
Class D, 6.0843% 8/10/43 (h)(n) | 1,255,000 | 1,358,143 | ||
Class E, 4% 8/10/43 (h) | 1,240,000 | 1,142,381 | ||
Class F, 4% 8/10/43 (h) | 894,000 | 756,302 | ||
Class X, 1.4847% 8/10/43 (h)(n)(o) | 5,136,803 | 298,474 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
GS Mortgage Securities Trust: | ||||
floater Series 2014-GSFL Class A, 1.1873% 7/15/31 (h)(n) | $ 614,960 | $ 613,139 | ||
sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 | 17,702,100 | 18,239,553 | ||
Series 2010-C2: | ||||
Class D, 5.2456% 12/10/43 (h)(n) | 720,000 | 761,053 | ||
Class XA, 0.6486% 12/10/43 (h)(n)(o) | 3,860,847 | 27,926 | ||
Series 2011-GC5: | ||||
Class C, 5.3081% 8/10/44 (h)(n) | 1,050,000 | 1,137,595 | ||
Class D, 5.3081% 8/10/44 (h)(n) | 480,000 | 494,415 | ||
Class E, 5.3081% 8/10/44 (h)(n) | 210,000 | 205,187 | ||
Class F, 4.5% 8/10/44 (h) | 1,020,000 | 842,850 | ||
Series 2012-GC6: | ||||
Class D, 5.6315% 1/10/45 (h)(n) | 861,000 | 885,730 | ||
Class E, 5% 1/10/45 (h)(n) | 412,000 | 380,231 | ||
Series 2012-GC6I Class F, 5% 1/10/45 (n) | 390,000 | 322,150 | ||
Series 2012-GCJ7: | ||||
Class C, 5.7229% 5/10/45 (n) | 630,000 | 690,673 | ||
Class D, 5.7229% 5/10/45 (h)(n) | 1,054,000 | 1,080,186 | ||
Class E, 5% 5/10/45 (h) | 1,311,000 | 1,199,529 | ||
Class F, 5% 5/10/45 (h) | 2,079,000 | 1,682,309 | ||
Series 2012-GCJ9: | ||||
Class D, 4.8533% 11/10/45 (h)(n) | 1,170,000 | 1,133,200 | ||
Class E, 4.8533% 11/10/45 (h)(n) | 1,290,000 | 1,142,338 | ||
Series 2013-GC10 Class D, 4.4138% 2/10/46 (h)(n) | 740,000 | 695,187 | ||
Series 2013-GC12 Class D, 4.4768% 6/10/46 (h)(n) | 219,000 | 205,177 | ||
Series 2013-GC13 Class D, 4.0697% 7/10/46 (h)(n) | 1,543,000 | 1,393,132 | ||
Series 2013-GC16: | ||||
Class C, 5.3156% 11/10/46 (n) | 662,844 | 711,006 | ||
Class D, 5.3156% 11/10/46 (h)(n) | 967,000 | 939,589 | ||
Class F, 3.5% 11/10/46 (h) | 999,000 | 758,793 | ||
Hilton U.S.A. Trust: | ||||
floater Series 2014-ORL Class E, 3.438% 7/15/29 (h)(n) | 617,000 | 619,841 | ||
Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (h) | 2,450,000 | 2,444,632 | ||
Class DFX, 4.4065% 11/5/30 (h) | 23,706,000 | 23,758,945 | ||
Class EFX, 4.4533% 11/5/30 (h)(n) | 2,000,000 | 2,005,760 | ||
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.6756% 11/15/29 (h)(n) | 406,000 | 392,842 | ||
JPMBB Commercial Mortgage Securities Trust: | ||||
Series 2014-C22 Class D, 4.5612% 9/15/47 (h)(n) | 525,000 | 457,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMBB Commercial Mortgage Securities Trust: - continued | ||||
Series 2015-C31 Class ASB, 3.5373% 8/15/48 | $ 30,200,000 | $ 31,145,275 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (h)(n) | 500,000 | 501,940 | ||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (h) | 440,000 | 473,471 | ||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | 12,581 | 12,563 | ||
Class F, 5.6404% 1/12/37 (h)(n) | 250,000 | 246,250 | ||
Series 2009-IWST: | ||||
Class C, 7.4453% 12/5/27 (h)(n) | 380,000 | 447,928 | ||
Class D, 7.4453% 12/5/27 (h)(n) | 1,885,000 | 2,217,094 | ||
Series 2010-CNTR Class D, 6.1838% 8/5/32 (h)(n) | 695,000 | 793,396 | ||
Series 2012-CBX: | ||||
Class C, 5.2386% 6/15/45 (n) | 250,000 | 263,891 | ||
Class D, 5.2386% 6/16/45 (h)(n) | 690,000 | 706,106 | ||
Class E, 5.2386% 6/15/45 (h)(n) | 620,000 | 607,380 | ||
Class F, 4% 6/15/45 (h) | 820,000 | 732,380 | ||
Class G 4% 6/15/45 (h) | 1,079,000 | 770,533 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-FL2A: | ||||
Class E, 0.4776% 11/15/18 (h)(n) | 137,659 | 134,947 | ||
Class F, 0.5276% 11/15/18 (h)(n) | 380,931 | 366,233 | ||
Class G, 0.5576% 11/15/18 (h)(n) | 330,997 | 316,800 | ||
Class H, 0.6976% 11/15/18 (h)(n) | 254,476 | 243,031 | ||
Class J, 0.8476% 11/15/18 (h)(n) | 257,928 | 245,844 | ||
Series 2014-BXH: | ||||
Class A, 1.0976% 4/15/27 (h)(n) | 3,000,000 | 2,993,256 | ||
Class C, 1.8476% 4/15/27 (h)(n) | 4,460,000 | 4,451,731 | ||
Class D, 2.4476% 4/15/27 (h)(n) | 9,517,000 | 9,485,956 | ||
Series 2014-FBLU Class E, 3.6873% 12/15/28 (h)(n) | 1,058,000 | 1,052,710 | ||
Series 2014-INN: | ||||
Class E, 3.798% 6/15/29 (h)(n) | 683,000 | 680,107 | ||
Class F, 4.198% 6/15/29 (h)(n) | 1,006,000 | 989,645 | ||
sequential payer: | ||||
Series 2006-CB16: | ||||
Class A1A, 5.546% 5/12/45 | 15,065,112 | 15,490,098 | ||
Class A4, 5.552% 5/12/45 | 5,665,501 | 5,761,508 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
sequential payer: | ||||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | $ 7,203,918 | $ 7,424,314 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 5,645,570 | 5,811,132 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 9,000,176 | 9,320,420 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 2,362,745 | 2,458,961 | ||
Series 2007-CB19 Class A4, 5.695% 2/12/49 (n) | 12,396,984 | 13,058,979 | ||
Series 2007-LD11 Class A4, 5.7743% 6/15/49 (n) | 29,428,107 | 30,984,324 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 23,975,987 | 25,007,266 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (n) | 170,000 | 169,307 | ||
Series 2004-LN2 Class D, 5.3433% 7/15/41 (n) | 420,000 | 357,085 | ||
Series 2005-LDP2 Class C, 4.911% 7/15/42 (n) | 660,000 | 661,664 | ||
Series 2005-LDP5 Class AJ, 5.3599% 12/15/44 (n) | 360,000 | 363,020 | ||
Series 2006-LDP7 Class A4, 5.9047% 4/15/45 (n) | 11,598,929 | 11,794,266 | ||
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (n) | 110,240 | 345 | ||
Series 2011-C3 Class J, 4.409% 2/15/46 (h)(n) | 106,000 | 89,241 | ||
Series 2011-C4: | ||||
Class E, 5.4158% 7/15/46 (h)(n) | 1,130,000 | 1,168,293 | ||
Class F, 3.873% 7/15/46 (h) | 105,000 | 96,463 | ||
Class H, 3.873% 7/15/46 (h) | 672,000 | 549,678 | ||
Class NR, 3.873% 7/15/46 (h) | 385,000 | 254,142 | ||
Class TAC2, 7.99% 7/15/46 (h) | 671,000 | 709,877 | ||
Series 2011-C5: | ||||
Class B. 5.3229% 8/15/46 (h)(n) | 1,140,000 | 1,260,607 | ||
Class C, 5.3229% 8/15/46 (h)(n) | 1,102,648 | 1,189,079 | ||
Series 2013-LC11: | ||||
Class C, 3.9582% 4/15/46 (n) | 1,115,000 | 1,082,208 | ||
Class D, 4.2392% 4/15/46 (n) | 1,430,000 | 1,313,642 | ||
Class F, 3.25% 4/15/46 (h)(n) | 1,682,000 | 1,208,863 | ||
Series 2014-DSTY: | ||||
Class D, 3.8046% 6/10/27 (h)(n) | 816,000 | 795,902 | ||
Class E, 3.8046% 6/10/27 (h)(n) | 1,156,000 | 1,084,292 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0965% 7/15/44 (n) | 21,263,403 | 22,500,996 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-C7 Class AJ, 5.323% 11/15/40 (n) | 1,254,286 | 1,256,377 | ||
Series 2006-C6: | ||||
Class A4, 5.372% 9/15/39 | 855,696 | 879,626 | ||
Class AM, 5.413% 9/15/39 | 1,500,000 | 1,554,450 | ||
Series 2006-C7: | ||||
Class A2, 5.3% 11/15/38 | 595,713 | 599,313 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 165,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C1 Class A4, 5.424% 2/15/40 | $ 16,273,684 | $ 16,935,469 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,230,362 | 3,377,085 | ||
Series 2004-C2 Class G, 4.595% 3/15/36 (h)(n) | 186,455 | 186,521 | ||
Series 2005-C1 Class E, 4.924% 2/15/40 | 317,127 | 317,153 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (n) | 1,016,000 | 1,021,050 | ||
Series 2006-C1 Class AM, 5.217% 2/15/31 (n) | 6,847,000 | 6,904,871 | ||
Series 2006-C4: | ||||
Class AJ, 5.8521% 6/15/38 (n) | 1,060,000 | 1,083,970 | ||
Class AM, 5.8521% 6/15/38 (n) | 500,000 | 514,576 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (n) | 1,870,177 | 1,949,738 | ||
Series 2007-C7 Class A3, 5.866% 9/15/45 | 12,747,748 | 13,733,506 | ||
LSTAR Commercial Mortgage Trust: | ||||
Series 2011-1 Class D, 5.4769% 6/25/43 (h)(n) | 67,004 | 66,951 | ||
Series 2014-2: | ||||
Class D, 5.0498% 1/20/41 (h)(n) | 256,000 | 241,516 | ||
Class E, 5.0498% 1/20/41 (h)(n) | 400,000 | 336,046 | ||
Mach One Trust LLC Series 2004-1A Class H, 6.0869% 5/28/40 (h)(n) | 115,481 | 115,562 | ||
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3906% 10/12/39 (h)(n) | CAD | 320,000 | 244,593 | |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (n) | 183,308 | 183,218 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 05-LC1 Class AJ, 5.3621% 1/12/44 (n) | 220,000 | 221,689 | ||
Series 2005-LC1 Class F, 5.4161% 1/12/44 (h)(n) | 1,655,000 | 1,633,424 | ||
Series 2006-C1: | ||||
Class AJ, 5.6761% 5/12/39 (n) | 530,000 | 533,216 | ||
Class AM, 5.6761% 5/12/39 (n) | 100,000 | 102,190 | ||
Series 2007-C1 Class A4, 5.8347% 6/12/50 (n) | 9,429,517 | 9,840,823 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 2,936,477 | 3,128,152 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (n) | 778,304 | 803,053 | ||
Class ASB, 5.133% 12/12/49 (n) | 111,340 | 111,588 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 17,767,087 | 18,475,265 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (n) | 14,650,000 | 15,351,457 | ||
Series 2007-7 Class A4, 5.7429% 6/12/50 (n) | 6,223,318 | 6,587,805 | ||
Series 2006-1 Class AM, 5.5154% 2/12/39 (n) | 5,120,000 | 5,182,131 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (n) | 1,902,000 | 594,617 | ||
Series 2007-8 Class A3, 5.8811% 8/12/49 (n) | 1,640,000 | 1,745,567 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley BAML Trust: | ||||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (h) | $ 750,000 | $ 675,225 | ||
Series 2012-C6 Class D, 4.8133% 11/15/45 (h)(n) | 1,357,000 | 1,382,240 | ||
Series 2013-C12 Class D, 4.767% 10/15/46 (h)(n) | 1,000,000 | 971,250 | ||
Series 2013-C13: | ||||
Class D, 4.8945% 11/15/46 (h)(n) | 1,019,000 | 992,175 | ||
Class E, 4.8945% 11/15/46 (h)(n) | 887,000 | 797,878 | ||
Series 2013-C7: | ||||
Class D, 4.2973% 2/15/46 (h)(n) | 810,000 | 777,148 | ||
Class E, 4.2973% 2/15/46 (h)(n) | 340,000 | 305,162 | ||
Series 2013-C8 Class D, 4.17% 12/15/48 (h)(n) | 400,000 | 372,432 | ||
Series 2013-C9: | ||||
Class C, 4.2082% 5/15/46 (n) | 620,000 | 609,774 | ||
Class D, 4.1578% 5/15/46 (h)(n) | 1,740,000 | 1,621,161 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.398% 7/15/19 (h)(n) | 357,716 | 357,966 | ||
Class J, 0.6155% 7/15/19 (h)(n) | 335,939 | 335,105 | ||
Series 2007-XLFA: | ||||
Class D, 0.374% 10/15/20 (h)(n) | 633,568 | 631,626 | ||
Class E, 0.4355% 10/15/20 (h)(n) | 834,661 | 829,265 | ||
Class F, 0.4855% 10/15/20 (h)(n) | 500,899 | 497,723 | ||
Class G, 0.5255% 10/15/20 (h)(n) | 619,188 | 614,482 | ||
Class H, 0.6155% 10/15/20 (h)(n) | 389,758 | 379,000 | ||
Class J, 0.7655% 10/15/20 (h)(n) | 225,021 | 207,559 | ||
sequential payer: | ||||
Series 2006-HQ10 Class AM, 5.36% 11/12/41 | 620,000 | 643,794 | ||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 | 104,322 | 104,222 | ||
Series 2012-C4 Class E, 5.5247% 3/15/45 (h)(n) | 1,210,000 | 1,248,725 | ||
Series 1997-RR Class F, 7.4369% 4/30/39 (h)(n) | 63,561 | 63,796 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (h) | 207,862 | 208,710 | ||
Series 1999-WF1: | ||||
Class N, 5.91% 11/15/31 (h) | 210,000 | 209,561 | ||
Class O, 5.91% 11/15/31 (h) | 166,077 | 137,242 | ||
Series 2004-IQ7 Class E, 5.1708% 6/15/38 (h)(n) | 74,602 | 76,329 | ||
Series 2006-IQ11 Class A4, 5.7068% 10/15/42 (n) | 334,934 | 335,997 | ||
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 | 719,000 | 750,874 | ||
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 89,155,000 | 93,458,423 | ||
Series 2011-C1: | ||||
Class C, 5.3313% 9/15/47 (h)(n) | 970,000 | 1,062,944 | ||
Class D, 5.3313% 9/15/47 (h)(n) | 1,760,000 | 1,896,872 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2011-C1: | ||||
Class E, 5.3313% 9/15/47 (h)(n) | $ 573,100 | $ 588,828 | ||
Series 2011-C2: | ||||
Class D, 5.3029% 6/15/44 (h)(n) | 580,000 | 619,591 | ||
Class E, 5.3029% 6/15/44 (h)(n) | 600,000 | 629,740 | ||
Class F, 5.3029% 6/15/44 (h)(n) | 550,000 | 536,782 | ||
Class XB, 0.4584% 6/15/44 (h)(n)(o) | 9,001,008 | 234,854 | ||
Series 2011-C3: | ||||
Class C, 5.1784% 7/15/49 (h)(n) | 1,000,000 | 1,078,789 | ||
Class D, 5.1784% 7/15/49 (h)(n) | 1,130,000 | 1,200,615 | ||
Class E, 5.1784% 7/15/49 (h)(n) | 400,000 | 420,752 | ||
Class G, 5.1784% 7/15/49 (h)(n) | 924,000 | 822,421 | ||
Series 2012-C4: | ||||
Class D, 5.7088% 3/15/45 (h)(n) | 330,000 | 352,966 | ||
Class F, 3.07% 3/15/45 (h) | 623,000 | 522,362 | ||
Series 2015-MS1: | ||||
Class C, 4.1633% 5/15/48 (n) | 734,000 | 665,939 | ||
Class D, 4.163% 5/15/48 (h) | 437,000 | 355,947 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5079% 7/15/33 (h)(n) | 150,000 | 167,549 | ||
Motel 6 Trust Series 2015-MTL6: | ||||
Class E, 5.2785% 2/5/30 (h) | 1,571,000 | 1,534,715 | ||
Class F, 5% 2/5/30 (h) | 499,000 | 481,653 | ||
NationsLink Funding Corp. Series 1999-LTL1: | ||||
Class C, 7.399% 1/22/26 (h) | 273,000 | 282,582 | ||
Class D, 6.45% 1/22/26 (h) | 740,731 | 798,495 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (h) | 1,005,147 | 1,275,229 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 82,528 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 41,175 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 26,730 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 25,958 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 12,583 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 17,137 | |
Class M, 4.456% 9/12/38 | CAD | 104,391 | 63,371 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 97,360 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 32,206 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 31,962 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 31,720 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 15,740 | |
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Real Estate Asset Liquidity Trust: - continued | ||||
Series 2007-1: | ||||
Class L, 4.57% 4/12/23 | CAD | 63,000 | $ 46,865 | |
Class M, 4.57% 4/12/23 | CAD | 155,242 | 100,926 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (h) | 247,956 | 78,414 | ||
SCG Trust Series 2013-SRP1 Class D, 3.531% 11/15/26 (h)(n) | 1,330,000 | 1,329,557 | ||
Starwood Retail Property Trust Series 2014-STAR Class D, 3.4476% 11/15/27 (h)(n) | 794,000 | 789,385 | ||
TIAA Seasoned Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C4 Class AJ, 5.4769% 8/15/39 (n) | 118,718 | 119,103 | ||
Series 2007-C4 Class F, 5.4769% 8/15/39 (n) | 820,000 | 781,449 | ||
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (h) | 270,000 | 276,460 | ||
UBS Commercial Mortgage Trust Series 2012-C1 Class D, 5.5422% 5/10/45 (h)(n) | 1,197,000 | 1,253,996 | ||
UBS-BAMLL Trust: | ||||
Series 12-WRM Class D, 4.238% 6/10/30 (h)(n) | 310,000 | 300,234 | ||
Series 2012-WRM Class E, 4.238% 6/10/30 (h)(n) | 970,000 | 912,401 | ||
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (h)(n) | 1,299,000 | 1,246,776 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (h) | 180,000 | 206,013 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater Series 2006-WL7A Class J, 0.7976% 9/15/21 (h)(n) | 395,545 | 375,604 | ||
sequential payer: | ||||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 8,076,675 | 8,413,812 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 24,454,000 | 25,445,282 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 52,563,000 | 53,619,674 | ||
Series 2007-C32 Class A3, 5.7146% 6/15/49 (n) | 40,608,000 | 42,723,380 | ||
Series 2007-C33: | ||||
Class A4, 5.9507% 2/15/51 (n) | 31,834,336 | 33,267,677 | ||
Class A5, 5.9507% 2/15/51 (n) | 19,259,000 | 20,679,736 | ||
Series 2004-C11: | ||||
Class D, 5.1404% 1/15/41 (n) | 360,000 | 365,255 | ||
Class E, 5.1904% 1/15/41 (n) | 327,000 | 331,357 | ||
Series 2005-C22 Class B, 5.3736% 12/15/44 (n) | 4,218,000 | 4,196,594 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (n) | 7,870,000 | 7,923,673 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (n) | 21,703,452 | 22,312,712 | ||
Series 2007-C31 Class C, 5.6711% 4/15/47 (n) | 522,000 | 506,986 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Wells Fargo Commercial Mortgage Trust: | ||||
Series 2010-C1 Class XB, 0.5751% 11/15/43 (h)(n)(o) | $ 20,614,217 | $ 558,006 | ||
Series 2012-LC5: | ||||
Class C, 4.693% 10/15/45 (n) | 569,000 | 587,615 | ||
Class D, 4.7772% 10/15/45 (h)(n) | 1,621,000 | 1,605,471 | ||
Series 2013-LC12 Class C, 4.3013% 7/15/46 (n) | 600,000 | 597,456 | ||
Series 2015-SG1 Class ASB, 3.381% 12/15/47 | 9,000,000 | 9,280,949 | ||
WF-RBS Commercial Mortgage Trust: | ||||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (h) | 325,000 | 270,050 | ||
Series 2011-C3: | ||||
Class C, 5.335% 3/15/44 (h) | 360,000 | 386,167 | ||
Class D, 5.549% 3/15/44 (h)(n) | 800,000 | 854,287 | ||
Class E, 5% 3/15/44 (h) | 890,000 | 856,920 | ||
Class F, 5% 3/15/44 (h) | 693,000 | 570,839 | ||
Series 2011-C4: | ||||
Class D, 5.2658% 6/15/44 (h)(n) | 408,000 | 436,609 | ||
Class E, 5.2658% 6/15/44 (h)(n) | 439,432 | 458,950 | ||
Series 2011-C5: | ||||
Class C, 5.6346% 11/15/44 (h)(n) | 260,000 | 285,216 | ||
Class D, 5.6346% 11/15/44 (h)(n) | 600,000 | 656,164 | ||
Class E, 5.6346% 11/15/44 (h)(n) | 1,410,000 | 1,503,088 | ||
Class F, 5.25% 11/15/44 (h)(n) | 933,000 | 903,371 | ||
Class G, 5.25% 11/15/44 (h)(n) | 329,000 | 290,030 | ||
Class XA, 1.9616% 11/15/44 (h)(n)(o) | 4,923,294 | 389,255 | ||
Series 2012-C10: | ||||
Class D, 4.4569% 12/15/45 (h)(n) | 422,000 | 404,640 | ||
Class E, 4.4569% 12/15/45 (h)(n) | 1,190,000 | 1,040,947 | ||
Class F, 4.4569% 12/15/45 (h)(n) | 1,726,000 | 1,359,158 | ||
Series 2012-C6 Class D, 5.5612% 4/15/45 (h)(n) | 540,000 | 558,332 | ||
Series 2012-C7: | ||||
Class C, 4.8388% 6/15/45 (n) | 1,270,000 | 1,330,428 | ||
Class E, 4.8388% 6/15/45 (h)(n) | 2,501,000 | 2,482,220 | ||
Class F, 4.5% 6/15/45 (h) | 357,000 | 328,195 | ||
Class G, 4.5% 6/15/45 (h) | 1,076,000 | 822,541 | ||
Series 2012-C8 Class D, 4.8753% 8/15/45 (h)(n) | 650,000 | 680,150 | ||
Series 2013-C11: | ||||
Class D, 4.1805% 3/15/45 (h)(n) | 870,000 | 829,203 | ||
Class E, 4.1805% 3/15/45 (h)(n) | 1,750,000 | 1,489,002 | ||
Series 2013-C13 Class D, 4.1386% 5/15/45 (h)(n) | 600,000 | 563,078 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | ||||
Class F, 3.9179% 11/15/29 (h)(n) | $ 1,054,900 | $ 1,043,394 | ||
Class G, 3.2176% 11/15/29 (h)(n) | 164,703 | 152,834 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,348,981,101) |
| |||
Municipal Securities - 1.5% | ||||
| ||||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 2,650,000 | 3,677,458 | ||
7.3% 10/1/39 | 18,415,000 | 25,490,780 | ||
7.5% 4/1/34 | 9,105,000 | 12,691,368 | ||
7.6% 11/1/40 | 12,540,000 | 18,395,177 | ||
7.625% 3/1/40 | 5,410,000 | 7,793,862 | ||
Chicago Gen. Oblig.: | ||||
(Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,337,748 | ||
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 14,170,829 | ||
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 2,647,119 | ||
6.314% 1/1/44 | 19,560,000 | 17,022,677 | ||
Illinois Gen. Oblig.: | ||||
Series 2003: | ||||
4.35% 6/1/18 | 8,770,000 | 9,013,806 | ||
4.95% 6/1/23 | 16,725,000 | 17,003,639 | ||
5.1% 6/1/33 | 63,045,000 | 58,497,564 | ||
Series 2010 5, 6.2% 7/1/21 | 6,680,000 | 7,318,742 | ||
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 12,294,272 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 330,000 | 354,661 | ||
6.725% 4/1/35 | 17,810,000 | 18,434,953 | ||
7.35% 7/1/35 | 8,165,000 | 8,753,125 | ||
Series 2011: | ||||
4.961% 3/1/16 | 1,035,000 | 1,052,347 | ||
5.365% 3/1/17 | 395,000 | 408,549 | ||
5.665% 3/1/18 | 13,360,000 | 14,287,718 | ||
5.877% 3/1/19 | 44,605,000 | 48,723,826 | ||
Municipal Securities - continued | ||||
| Principal Amount (e) | Value | ||
Illinois Gen. Oblig.: - continued | ||||
Series 2013: | ||||
2.69% 12/1/17 | $ 3,365,000 | $ 3,352,583 | ||
3.14% 12/1/18 | 3,490,000 | 3,487,662 | ||
TOTAL MUNICIPAL SECURITIES (Cost $310,397,367) |
| |||
Foreign Government and Government Agency Obligations - 1.1% | ||||
| ||||
Arab Republic 5.875% 6/11/25 (h) | 380,000 | 367,232 | ||
Argentine Republic: | ||||
7% 10/3/15 | 300,000 | 299,800 | ||
7% 4/17/17 | 21,130,000 | 20,081,130 | ||
8.28% 12/31/33 | 525,764 | 538,908 | ||
8.75% 6/2/17 | 1,645,000 | 1,657,319 | ||
Azerbaijan Republic 4.75% 3/18/24 (h) | 760,000 | 725,800 | ||
Belarus Republic 8.95% 1/26/18 | 4,880,000 | 4,762,490 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 10,005,000 | 9,279,638 | ||
5.625% 1/7/41 | 14,565,000 | 12,962,850 | ||
7.125% 1/20/37 | 3,270,000 | 3,458,025 | ||
8.25% 1/20/34 | 3,535,000 | 4,144,788 | ||
Buenos Aires Province: | ||||
9.375% 9/14/18 (h) | 1,210,000 | 1,188,825 | ||
9.95% 6/9/21 | 960,000 | 936,000 | ||
10.875% 1/26/21 (Reg. S) | 3,645,000 | 3,590,325 | ||
City of Buenos Aires: | ||||
8.95% 2/19/21 (h) | 1,860,000 | 1,920,450 | ||
9.95% 3/1/17 (h) | 793,000 | 820,854 | ||
Colombian Republic: | ||||
5% 6/15/45 | 400,000 | 355,500 | ||
5.625% 2/26/44 | 550,000 | 534,188 | ||
6.125% 1/18/41 | 635,000 | 658,813 | ||
7.375% 9/18/37 | 745,000 | 877,238 | ||
10.375% 1/28/33 | 2,100,000 | 3,050,250 | ||
Congo Republic 4% 6/30/29 (f) | 4,360,501 | 3,750,031 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (h) | 1,250,000 | 1,146,875 | ||
5.625% 4/30/43 (h) | 490,000 | 396,900 | ||
7% 4/4/44 (h) | 1,450,000 | 1,355,750 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (h) | 410,000 | 422,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Croatia Republic: - continued | ||||
6% 1/26/24 (h) | $ 600,000 | $ 640,128 | ||
6.375% 3/24/21 (h) | 760,000 | 820,002 | ||
6.625% 7/14/20 (h) | 545,000 | 594,159 | ||
6.75% 11/5/19 (h) | 350,000 | 382,604 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6% 1/14/19 (h) | 325,000 | 329,875 | ||
6.25% 10/4/20 (h) | 1,355,000 | 1,371,938 | ||
6.25% 7/27/21 (h) | 360,000 | 360,900 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (n) | 2,950,000 | 2,854,125 | ||
5.5% 1/27/25 (h) | 710,000 | 702,900 | ||
5.875% 4/18/24 | 585,000 | 593,775 | ||
6.85% 1/27/45 (h) | 1,395,000 | 1,384,538 | ||
7.45% 4/30/44 (h) | 2,240,000 | 2,374,400 | ||
7.5% 5/6/21 (h) | 1,880,000 | 2,075,050 | ||
El Salvador Republic 7.625% 2/1/41 (h) | 250,000 | 236,250 | ||
Georgia Republic 6.875% 4/12/21 (h) | 720,000 | 752,400 | ||
Hungarian Republic: | ||||
5.375% 3/25/24 | 594,000 | 649,362 | ||
5.75% 11/22/23 | 910,000 | 1,014,650 | ||
7.625% 3/29/41 | 1,100,000 | 1,499,542 | ||
Indonesian Republic: | ||||
2.875% 7/8/21(Reg. S) | EUR | 2,400,000 | 2,659,496 | |
3.375% 4/15/23 (h) | 555,000 | 513,375 | ||
4.875% 5/5/21 (h) | 490,000 | 510,825 | ||
5.25% 1/17/42 (h) | 715,000 | 663,163 | ||
5.375% 10/17/23 | 400,000 | 420,000 | ||
5.875% 3/13/20 (h) | 385,000 | 423,019 | ||
5.875% 3/13/20 (Reg. S) | 2,450,000 | 2,691,938 | ||
6.625% 2/17/37 (h) | 950,000 | 1,021,250 | ||
6.75% 1/15/44 (h) | 490,000 | 542,087 | ||
7.75% 1/17/38 (h) | 2,270,000 | 2,752,375 | ||
8.5% 10/12/35 (Reg. S) | 2,060,000 | 2,657,400 | ||
Islamic Republic of Pakistan: | ||||
7.125% 3/31/16 (h) | 2,560,000 | 2,608,128 | ||
7.125% 3/31/16 (Reg. S) | 100,000 | 101,880 | ||
7.25% 4/15/19 (h) | 2,685,000 | 2,763,603 | ||
8.25% 4/15/24 (h) | 1,000,000 | 1,052,500 | ||
Ivory Coast 5.75% 12/31/32 | 3,150,000 | 2,835,504 | ||
Jamaican Government 7.875% 7/28/45 | 335,000 | 331,650 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Kazakhstan Republic: | ||||
5.125% 7/21/25 (h) | $ 915,000 | $ 893,269 | ||
6.5% 7/21/45 (h) | 645,000 | 622,425 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 2,486,250 | 2,461,388 | ||
5.45% 11/28/19 | 575,000 | 574,713 | ||
Moroccan Kingdom 4.25% 12/11/22 (h) | 600,000 | 604,020 | ||
Panamanian Republic: | ||||
6.7% 1/26/36 | 460,000 | 560,050 | ||
8.875% 9/30/27 | 335,000 | 469,000 | ||
9.375% 4/1/29 | 415,000 | 606,419 | ||
Peruvian Republic 4% 3/7/27 (f) | 1,360,000 | 1,360,000 | ||
Philippine Republic: | ||||
7.75% 1/14/31 | 665,000 | 962,588 | ||
9.5% 2/2/30 | 895,000 | 1,454,375 | ||
10.625% 3/16/25 | 260,000 | 414,050 | ||
Plurinational State of Bolivia: | ||||
5.95% 8/22/23 (h) | 485,000 | 501,975 | ||
5.95% 8/22/23 | 55,000 | 56,925 | ||
Provincia de Cordoba 12.375% 8/17/17 (h) | 1,990,000 | 2,014,875 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,100,000 | 1,068,595 | ||
Republic of Armenia: | ||||
6% 9/30/20 (h) | 1,756,000 | 1,673,292 | ||
7.15% 3/26/25 (h) | 720,000 | 688,464 | ||
Republic of Iceland 5.875% 5/11/22 (h) | 560,000 | 635,085 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 4,000,000 | 3,055,728 | ||
Republic of Nigeria 5.125% 7/12/18 (h) | 930,000 | 906,285 | ||
Republic of Serbia: | ||||
5.875% 12/3/18 (h) | 1,430,000 | 1,505,504 | ||
6.75% 11/1/24 (h) | 2,196,478 | 2,223,933 | ||
7.25% 9/28/21 (h) | 1,450,000 | 1,638,245 | ||
Romanian Republic: | ||||
4.375% 8/22/23 (h) | 706,000 | 735,864 | ||
6.125% 1/22/44 (h) | 852,000 | 994,199 | ||
Russian Federation: | ||||
4.875% 9/16/23 (h) | 1,135,000 | 1,085,491 | ||
5% 4/29/20 (h) | 625,000 | 629,638 | ||
5.625% 4/4/42 (h) | 400,000 | 362,521 | ||
5.875% 9/16/43 (h) | 1,700,000 | 1,583,040 | ||
7.5% 3/31/30 (Reg. S) | 535,625 | 627,120 | ||
12.75% 6/24/28 (Reg. S) | 5,345,000 | 8,188,273 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
South African Republic: | ||||
5.875% 9/16/25 | $ 1,235,000 | $ 1,333,523 | ||
6.25% 3/8/41 | 500,000 | 550,190 | ||
Turkish Republic: | ||||
3.25% 3/23/23 | 245,000 | 223,163 | ||
4.875% 4/16/43 | 640,000 | 562,368 | ||
5.125% 3/25/22 | 315,000 | 324,986 | ||
5.625% 3/30/21 | 965,000 | 1,024,955 | ||
6.25% 9/26/22 | 680,000 | 743,936 | ||
6.75% 4/3/18 | 565,000 | 616,856 | ||
6.75% 5/30/40 | 975,000 | 1,082,601 | ||
6.875% 3/17/36 | 1,795,000 | 2,013,236 | ||
7% 3/11/19 | 685,000 | 761,446 | ||
7.25% 3/5/38 | 1,150,000 | 1,347,685 | ||
7.375% 2/5/25 | 1,170,000 | 1,372,995 | ||
7.5% 11/7/19 | 1,215,000 | 1,385,756 | ||
8% 2/14/34 | 570,000 | 712,728 | ||
11.875% 1/15/30 | 630,000 | 1,032,494 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h) | 790,000 | 556,316 | ||
Ukraine Government: | ||||
7.8% 11/28/22 (h) | 1,870,000 | 1,338,172 | ||
9.25% 7/24/17 (h) | 1,595,000 | 1,139,628 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.75% 1/22/17 | GBP | 1,380,000 | 2,152,546 | |
3.25% 1/22/44 | GBP | 1,600,000 | 2,789,279 | |
4.5% 9/7/34 | GBP | 1,835,000 | 3,701,097 | |
United Mexican States: | ||||
4.6% 1/23/46 | 695,000 | 634,188 | ||
4.75% 3/8/44 | 13,812,000 | 12,879,690 | ||
5.55% 1/21/45 | 650,000 | 679,250 | ||
6.05% 1/11/40 | 1,366,000 | 1,529,920 | ||
6.75% 9/27/34 | 650,000 | 791,375 | ||
United Republic of Tanzania 6.3971% 3/9/20 (n) | 205,000 | 202,950 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,130,000 | 1,473,238 | ||
Venezuelan Republic: | ||||
5.75% 2/26/16 (Reg S.) | 7,620,000 | 6,057,900 | ||
9% 5/7/23 (Reg. S) | 695,000 | 254,023 | ||
9.25% 9/15/27 | 1,250,000 | 523,750 | ||
9.25% 5/7/28 (Reg. S) | 480,000 | 175,920 | ||
11.75% 10/21/26 (Reg. S) | 1,115,000 | 461,053 | ||
11.95% 8/5/31 (Reg. S) | 3,855,000 | 1,595,970 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Venezuelan Republic: - continued | ||||
12.75% 8/23/22 | $ 2,000,000 | $ 932,000 | ||
Vietnamese Socialist Republic: | ||||
1.2139% 3/12/16 (n) | 256,522 | 252,995 | ||
4% 3/12/28 (f) | 5,357,917 | 5,163,692 | ||
4.8% 11/19/24 (h) | 1,000,000 | 960,000 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $228,712,522) |
| |||
Supranational Obligations - 0.0% | ||||
| ||||
European Investment Bank 1.75% 9/15/45(Reg. S) | EUR | 65,000 |
|
Common Stocks - 0.0% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 846,728 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 2,680,932 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
FairPoint Communications, Inc. (a) | 19,400 | 317,384 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E, | 1 | 134,408 | |
TOTAL TELECOMMUNICATION SERVICES | 451,792 | ||
TOTAL COMMON STOCKS (Cost $5,726,831) |
| ||
Preferred Stocks - 0.1% | |||
Shares | Value | ||
Convertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D 7.00% | 9,000 | $ 246,094 | |
FelCor Lodging Trust, Inc. Series A, 1.95% | 18,000 | 458,100 | |
| 704,194 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.1% | |||
Real Estate Investment Trusts - 0.1% | |||
Alexandria Real Estate Equities, Inc. Series E, 6.45% | 15,000 | 391,500 | |
Annaly Capital Management, Inc.: | |||
Series C, 7.625% | 27,600 | 680,340 | |
Series D, 7.50% | 5,942 | 145,520 | |
Boston Properties, Inc. 5.25% | 17,500 | 432,950 | |
CBL & Associates Properties, Inc.: | |||
Series D, 7.375% | 7,720 | 195,702 | |
Series E, 6.625% | 25,000 | 624,750 | |
Cedar Shopping Centers, Inc. Series B, 7.25% | 10,000 | 251,800 | |
Corporate Office Properties Trust Series L, 7.375% | 12,221 | 317,868 | |
CYS Investments, Inc. Series B, 7.50% | 21,700 | 479,787 | |
DDR Corp. Series K, 6.25% | 17,823 | 445,575 | |
Digital Realty Trust, Inc. Series E, 7.00% | 10,000 | 258,000 | |
Equity Lifestyle Properties, Inc. Series C, 6.75% | 22,449 | 577,164 | |
Essex Property Trust, Inc. Series H, 7.125% | 9,354 | 241,801 | |
First Potomac Realty Trust 7.75% | 15,000 | 381,000 | |
Hersha Hospitality Trust Series B, 8.00% | 13,844 | 353,160 | |
Hospitality Properties Trust Series D, 7.125% | 10,000 | 263,000 | |
LaSalle Hotel Properties Series H, 7.50% | 10,000 | 258,400 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 552,600 | |
PS Business Parks, Inc.: | |||
Series R, 6.875% | 10,000 | 253,800 | |
Series S, 6.45% | 21,000 | 547,050 | |
Public Storage: | |||
Series P, 6.50% | 12,000 | 305,880 | |
Series R, 6.35% | 10,500 | 272,580 | |
Series S, 5.90% | 20,000 | 508,800 | |
Realty Income Corp. Series F, 6.625% | 12,000 | 318,960 | |
Regency Centers Corp. Series 6, 6.625% | 5,510 | 143,536 | |
Retail Properties America, Inc. 7.00% | 24,109 | 614,780 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 464,964 | |
Stag Industrial, Inc. Series A, 9.00% | 20,000 | 551,200 | |
Preferred Stocks - continued | |||
Shares | Value | ||
Nonconvertible Preferred Stocks - continued | |||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Sun Communities, Inc. Series A, 7.125% | 34,260 | $ 880,482 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 288,325 | |
| 12,001,274 | ||
TOTAL PREFERRED STOCKS (Cost $12,416,231) |
|
Bank Loan Obligations - 5.3% | ||||
| Principal Amount (e) |
| ||
CONSUMER DISCRETIONARY - 1.8% | ||||
Auto Components - 0.0% | ||||
Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (n) | $ 1,490,472 | 1,453,583 | ||
North American Lifting Holdings, Inc.: | ||||
Tranche 1LN, term loan 5.5% 11/27/20 (n) | 4,635,496 | 4,380,544 | ||
Tranche 2LN, term loan 10% 11/27/21 (n) | 1,594,000 | 1,442,570 | ||
Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (n) | 1,041,398 | 1,034,025 | ||
| 8,310,722 | |||
Automobiles - 0.0% | ||||
Chrysler Group LLC term loan 3.25% 12/31/18 (n) | 1,287,594 | 1,281,968 | ||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (n) | 1,284,463 | 1,277,399 | ||
Diversified Consumer Services - 0.2% | ||||
Bright Horizons Family Solutions Tranche B 2LN, term loan 4.2506% 1/30/20 (n) | 1,497,475 | 1,497,475 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (n) | 1,087,423 | 1,085,477 | ||
Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (n) | 5,283,450 | 5,205,836 | ||
Creative Artists Agency LLC Tranche B, term loan 5.5% 12/17/21 (n) | 3,932,240 | 3,956,817 | ||
KC Mergersub, Inc.: | ||||
Tranche 1LN, term loan 6% 8/13/22 (n) | 2,500,000 | 2,450,000 | ||
Tranche L 2LN, term loan 10.25% 8/13/23 (n) | 1,000,000 | 980,000 | ||
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (n) | 15,849,926 | 14,552,292 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Diversified Consumer Services - continued | ||||
Nord Anglia Education Tranche B, term loan 4.5% 3/31/21 (n) | $ 5,965,779 | $ 5,921,035 | ||
The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (n) | 2,834,462 | 2,818,277 | ||
Wash Multifamily Acquisition, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 5/14/22 (n) | 915,000 | 905,850 | ||
Tranche B 2LN, term loan 8% 5/14/23 (n) | 360,000 | 360,000 | ||
William Morris Endeavor Entertainment, LLC. Tranche B 1LN, term loan 5.25% 5/6/21 (n) | 745,236 | 741,510 | ||
| 40,474,569 | |||
Hotels, Restaurants & Leisure - 0.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (n) | 3,524,276 | 3,387,710 | ||
American Casino & Entertainment Properties LLC Tranche B, term loan 5% 7/7/22 (n) | 1,500,000 | 1,503,750 | ||
Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (n) | 5,515,708 | 5,532,255 | ||
Belmond Interfin Ltd. Tranche B, term loan 4% 3/21/21 (n) | 2,273,489 | 2,258,324 | ||
Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (n) | 2,856,793 | 2,852,508 | ||
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (n) | 7,028,323 | 6,697,008 | ||
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (n) | 17,116,415 | 14,834,284 | ||
CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (n) | 2,451,144 | 2,448,840 | ||
CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (n) | 1,573,000 | 1,569,068 | ||
ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 7/24/20 (n) | 3,764,000 | 3,757,714 | ||
Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (n) | 2,305,000 | 2,305,000 | ||
Equinox Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 8/1/20 (n) | 903,000 | 915,037 | ||
Tranche B 1LN, term loan 5% 2/1/20 (n) | 4,617,678 | 4,614,815 | ||
ESH Hospitality, Inc. Tranche B, term loan 5% 6/24/19 (n) | 1,285,062 | 1,293,903 | ||
Four Seasons Holdings, Inc.: | ||||
Tranche 2LN, term loan 6.25% 12/27/20 (n) | 3,037,000 | 3,037,000 | ||
Tranche B 1LN, term loan 3.5% 6/27/20 (n) | 5,140,410 | 5,099,698 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Golden Nugget, Inc. Tranche B, term loan: | ||||
5.5% 11/21/19 (n) | $ 5,193,455 | $ 5,196,726 | ||
5.5% 11/21/19 (n) | 2,225,348 | 2,226,750 | ||
Graton Economic Development Authority Tranche B, term loan 4.75% 8/5/22 (n) | 5,100,000 | 5,100,000 | ||
Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (n) | 6,905,978 | 6,890,854 | ||
La Quinta Intermediate Holdings LLC Tranche B LN, Tranche B, term loan 3.75% 4/14/21 (n) | 5,574,271 | 5,557,994 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (n) | 3,682,168 | 3,685,445 | ||
Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (n) | 566,375 | 563,050 | ||
LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (n) | 3,020,000 | 2,994,511 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (n) | 1,923,138 | 1,905,349 | ||
Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 11/19/19 (n) | 5,332,010 | 5,278,690 | ||
NCL Corp. Ltd. Tranche B, term loan 4% 11/19/21 (n) | 347,200 | 347,054 | ||
Planet Fitness Holdings, LLC. Tranche B, term loan 4.75% 3/31/21 (n) | 2,572,141 | 2,568,926 | ||
Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (n) | 2,397,797 | 2,382,811 | ||
Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (n) | 3,398,622 | 3,415,615 | ||
Scientific Games Corp.: | ||||
Tranche B 2LN, term loan 6% 10/1/21 (n) | 14,058,355 | 13,886,984 | ||
Tranche B, term loan 6% 10/18/20 (n) | 511,404 | 505,364 | ||
SMG Tranche B 1LN, term loan 4.5% 2/27/20 (n) | 1,621,768 | 1,611,632 | ||
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (n) | 3,044,898 | 3,037,286 | ||
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (n) | 1,975,000 | 1,975,000 | ||
Town Sports International LLC Tranche B, term loan 4.5% 11/15/20 (n) | 2,131,182 | 1,502,483 | ||
Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (n) | 1,512,304 | 1,502,217 | ||
Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (n) | 501,980 | 490,268 | ||
| 134,731,923 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.0% | ||||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (n) | $ 2,119,133 | $ 2,099,277 | ||
Leisure Products - 0.0% | ||||
SRAM LLC. Tranche B, term loan 4.0205% 4/10/20 (n) | 2,920,929 | 2,818,697 | ||
Media - 0.5% | ||||
Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (n) | 2,992,500 | 2,956,979 | ||
CDS U.S. Intermediate Holdings, Inc.: | ||||
Tranche B 1LN, term loan 5% 7/8/22 (n) | 1,255,000 | 1,253,431 | ||
Tranche B 2LN, term loan 9.25% 7/8/23 (n) | 465,000 | 459,769 | ||
Cengage Learning Acquisitions, Inc. Tranche 1LN, term loan 7% 3/31/20 (n) | 4,211,365 | 4,201,511 | ||
Charter Communications Operating LLC: | ||||
Tranche E, term loan 3% 7/1/20 (n) | 1,493,381 | 1,479,253 | ||
Tranche F, term loan 3% 1/3/21 (n) | 6,767,749 | 6,698,380 | ||
Tranche H, term loan 3.25% 8/24/21 (n) | 1,000,000 | 996,940 | ||
Tranche I, term loan 3.5% 1/24/23 (n) | 6,335,000 | 6,320,746 | ||
Clear Channel Communications, Inc. Tranche D, term loan 6.948% 1/30/19 (n) | 14,695,000 | 12,949,969 | ||
CSC Holdings LLC Tranche B, term loan 2.698% 4/17/20 (n) | 1,305,622 | 1,286,861 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (n) | 6,471,811 | 4,081,836 | ||
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (n) | 3,000,000 | 2,962,500 | ||
ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (n) | 1,497,475 | 1,493,731 | ||
Karman Buyer Corp.: | ||||
Tranche 1LN, term loan 4.25% 7/25/21 (n) | 3,681,201 | 3,636,585 | ||
Tranche 2LN, term loan 7.5% 7/25/22 (n) | 1,880,000 | 1,822,660 | ||
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 4.5% 1/7/22 (n) | 1,620,000 | 1,572,745 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 4.75% 3/22/19 (n) | 1,952,153 | 1,952,641 | ||
McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (n) | 1,853,591 | 1,848,957 | ||
Numericable LLC: | ||||
Tranche B 1LN, term loan 4% 7/20/22 (n) | 1,000,000 | 995,140 | ||
Tranche B 1LN, term loan 4.5% 5/8/20 (n) | 5,809,355 | 5,803,139 | ||
Tranche B 2LN, term loan 4.5% 5/8/20 (n) | 5,025,944 | 5,020,566 | ||
Proquest LLC Tranche B, term loan 5.25% 10/24/21 (n) | 2,995,927 | 2,994,069 | ||
Regal Cinemas Corp. Tranche B, term loan 3.75% 4/1/22 (n) | 1,000,000 | 998,750 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (n) | $ 10,885,086 | $ 10,789,841 | ||
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (n) | 2,577,423 | 2,557,293 | ||
UPC Broadband Holding BV Tranche AH, term loan 3.25% 6/30/21 (n) | 1,355,000 | 1,334,431 | ||
Virgin Media Investment Holdings Ltd. Tranche B, term loan 3.5% 6/30/23 (n) | 1,013,348 | 1,001,046 | ||
WideOpenWest Finance LLC Tranche B, term loan 4.5% 4/1/19 (n) | 997,500 | 993,600 | ||
WMG Acquisition Corp. term loan 3.75% 7/1/20 (n) | 1,480,466 | 1,449,628 | ||
Ziggo B.V.: | ||||
Tranche B 1LN, term loan 3.5% 1/15/22 (n) | 1,391,000 | 1,371,150 | ||
Tranche B 2LN, term loan 3.5% 1/15/22 (n) | 897,000 | 884,200 | ||
Tranche B 3LN, term loan 3.5% 1/15/22 (n) | 1,475,000 | 1,453,952 | ||
| 95,622,299 | |||
Multiline Retail - 0.2% | ||||
Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 3/9/22 (n) | 4,000,000 | 4,000,000 | ||
JC Penney Corp., Inc. Tranche B, term loan: | ||||
5% 6/20/19 (n) | 3,292,869 | 3,278,875 | ||
6% 5/22/18 (n) | 15,590,789 | 15,546,979 | ||
Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (n) | 6,132,790 | 6,046,931 | ||
| 28,872,785 | |||
Specialty Retail - 0.2% | ||||
Academy Ltd. Tranche B, term loan 5% 7/2/22 (n) | 4,500,000 | 4,477,500 | ||
Davids Bridal, Inc. Tranche B, term loan 5.25% 10/11/19 (n) | 1,882,000 | 1,793,791 | ||
General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (n) | 1,646,368 | 1,628,884 | ||
J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (n) | 7,355,193 | 5,694,170 | ||
Party City Holdings, Inc. Tranche B, term loan 8/19/22 (s) | 3,655,000 | 3,648,165 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (n) | 1,344,958 | 1,341,596 | ||
PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (n) | 11,214,893 | 11,191,566 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n) | $ 3,137,000 | $ 2,670,371 | ||
Staples, Inc. Tranche B, term loan 4/24/21 (s) | 3,000,000 | 2,985,000 | ||
| 35,431,043 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Calceus Acquisition, Inc. Tranche B 1LN, term loan 5% 2/1/20 (n) | 1,474,714 | 1,405,889 | ||
Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (n) | 2,445,180 | 2,448,236 | ||
Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (n) | 4,026,009 | 4,026,009 | ||
| 7,880,134 | |||
TOTAL CONSUMER DISCRETIONARY | 358,800,816 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.0% | ||||
Blue Ribbon LLC: | ||||
Tranche 2LN, term loan 9.25% 11/13/22 (n) | 1,332,000 | 1,308,690 | ||
Tranche B 1LN, term loan 5.75% 11/13/21 (n) | 6,357,861 | 6,353,919 | ||
| 7,662,609 | |||
Food & Staples Retailing - 0.3% | ||||
Albertson's LLC: | ||||
Tranche B 2LN, term loan 5.375% 3/21/19 (n) | 3,736,436 | 3,732,625 | ||
Tranche B 3LN, term loan 5% 8/25/19 (n) | 1,693,236 | 1,692,186 | ||
Tranche B 4LN, term loan 5.5% 8/25/21 (n) | 15,960,260 | 15,956,270 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 2LN, term loan 8.5% 3/31/20 (n) | 653,000 | 646,470 | ||
Tranche B 1LN, term loan 4.5% 9/26/19 (n) | 5,968,867 | 5,941,828 | ||
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (n) | 1,478,476 | 1,452,603 | ||
GOBP Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.25% 10/21/22 (n) | 1,129,000 | 1,120,533 | ||
Tranche B 1LN, term loan 4.75% 10/21/21 (n) | 3,428,800 | 3,412,719 | ||
Performance Food Group, Inc. Tranche 2LN, term loan 6.25% 11/14/19 (n) | 6,695,838 | 6,695,838 | ||
Shearer's Foods, Inc.: | ||||
Tranche 2LN, term loan 7.75% 6/30/22 (n) | 2,913,000 | 2,854,740 | ||
Tranche B 1LN, term loan 4.5% 6/30/21 (n) | 3,400,867 | 3,362,607 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (n) | $ 2,378,000 | $ 2,367,608 | ||
SUPERVALU, Inc. Tranche B, term loan 4.5% 3/21/19 (n) | 1,118,958 | 1,121,577 | ||
| 50,357,604 | |||
Food Products - 0.1% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (n) | 1,481,000 | 1,486,554 | ||
Ferrara Candy Co., Inc. Tranche B, term loan 7.5% 6/18/18 (n) | 2,119,101 | 2,111,154 | ||
Hostess Brands LLC: | ||||
Tranche B 1LN, term loan 4.5% 8/3/22 (n) | 1,070,000 | 1,069,668 | ||
Tranche B 2LN, term loan 8.5% 8/3/23 (n) | 125,000 | 125,156 | ||
JBS U.S.A. LLC Tranche B, term loan 8/18/22 (s) | 3,540,000 | 3,524,530 | ||
Post Holdings, Inc. Tranche B, term loan 3.75% 6/2/21 (n) | 480,696 | 479,696 | ||
| 8,796,758 | |||
Household Products - 0.0% | ||||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (n) | 2,429,444 | 2,335,303 | ||
Personal Products - 0.0% | ||||
Prestige Brands, Inc. Tranche B 3LN, term loan 3.5088% 9/3/21 (n) | 289,703 | 289,040 | ||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (n) | 2,652,718 | 2,641,125 | ||
| 2,930,165 | |||
TOTAL CONSUMER STAPLES | 72,082,439 | |||
ENERGY - 0.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (n) | 8,938,420 | 6,435,663 | ||
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (n) | 4,106,261 | 3,161,821 | ||
Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (n) | 6,113,277 | 5,058,737 | ||
Floatel International Ltd. Tranche B, term loan 6% 6/27/20 (n) | 2,328,212 | 1,639,061 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (n) | $ 2,112,223 | $ 1,522,554 | ||
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (n) | 1,114,343 | 759,425 | ||
Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (n) | 417,737 | 325,835 | ||
| 18,903,096 | |||
Oil, Gas & Consumable Fuels - 0.3% | ||||
Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.75% 6/20/21 (n) | 978,701 | 972,281 | ||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (n) | 1,468,469 | 1,468,469 | ||
Chelsea Petroleum Products I LLC Tranche B, term loan 7/22/22 (s) | 2,385,000 | 2,346,244 | ||
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (n) | 4,612,000 | 3,973,238 | ||
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (n) | 2,453,505 | 2,458,608 | ||
Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (n) | 533,313 | 531,479 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (n) | 5,952,913 | 5,446,916 | ||
Energy Transfer Equity LP Tranche C, term loan 4% 12/2/19 (n) | 1,937,824 | 1,908,155 | ||
Fieldwood Energy, LLC: | ||||
Tranche 2LN, term loan 8.375% 9/30/20 (n) | 4,629,000 | 1,747,448 | ||
Tranche B 1LN, term loan 3.875% 9/30/18 (n) | 1,833,674 | 1,603,328 | ||
Foresight Energy LLC Tranche B, term loan 5.5% 8/23/20 (n) | 1,105,000 | 1,051,595 | ||
Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (n) | 5,856,496 | 5,622,236 | ||
Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (n) | 9,096,000 | 8,777,640 | ||
Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (n) | 521,367 | 517,889 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (n) | 3,767,028 | 3,578,677 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (n) | 1,020,000 | 951,150 | ||
Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (n) | 6,895,944 | 5,062,795 | ||
Penn Products Terminals LLC Tranche B, term loan 4.75% 4/13/22 (n) | 1,291,763 | 1,278,845 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sheridan Investment Partners I term loan 4.25% 12/16/20 (n) | $ 3,004,343 | $ 2,343,388 | ||
Sheridan Investment Partners I, LLC: | ||||
Tranche B 2LN, term loan 4.25% 10/1/19 (n) | 3,477,061 | 2,746,878 | ||
Tranche B, term loan 4.25% 10/1/18 (n) | 727,481 | 571,072 | ||
Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (n) | 155,414 | 121,223 | ||
Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (n) | 1,717,327 | 1,640,047 | ||
Targa Resources Corp. term loan 5.75% 2/27/22 (n) | 1,470,512 | 1,468,673 | ||
TPF II Power, LLC Tranche B, term loan 5.5% 10/2/21 (n) | 1,804,221 | 1,805,718 | ||
Western Refining, Inc. Tranche B, term loan 4.25% 11/12/20 (n) | 837,747 | 832,512 | ||
| 60,826,504 | |||
TOTAL ENERGY | 79,729,600 | |||
FINANCIALS - 0.2% | ||||
Capital Markets - 0.0% | ||||
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (n) | 931,384 | 925,563 | ||
IBC Capital U.S. LLC: | ||||
Tranche 2LN, term loan 8% 11/15/22 (n) | 2,505,000 | 2,436,113 | ||
Tranche B 1LN, term loan 4.75% 11/15/21 (n) | 1,989,015 | 1,924,372 | ||
| 5,286,048 | |||
Consumer Finance - 0.0% | ||||
Flying Fortress Holdings, Inc. Tranche B, term loan 3.5% 4/30/20 (n) | 2,000,000 | 1,998,760 | ||
Diversified Financial Services - 0.1% | ||||
Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (n) | 1,618,000 | 1,615,169 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (n) | 634,249 | 604,122 | ||
TransUnion LLC Tranche B 2LN, term loan 3.75% 4/9/21 (n) | 8,004,735 | 7,937,175 | ||
| 10,156,466 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - 0.0% | ||||
Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (n) | $ 2,500,000 | $ 2,489,075 | ||
HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (n) | 690,000 | 681,665 | ||
| 3,170,740 | |||
Real Estate Management & Development - 0.1% | ||||
CityCenter 8.74% 7/12/16 (n) | 331,828 | 331,828 | ||
DTZ U.S. Borrower LLC: | ||||
Tranche 2LN, term loan 9.25% 11/4/22 (n) | 1,882,000 | 1,886,705 | ||
Tranche B 1LN, term loan 11/4/21 (s) | 500,000 | 494,585 | ||
Tranche B 1LN, term loan 5.5% 11/4/21 (n) | 3,745,180 | 3,704,620 | ||
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (n) | 16,957 | 16,788 | ||
Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (n) | 8,718,645 | 8,685,950 | ||
| 15,120,476 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 2/15/18 (n) | 3,523,844 | 3,499,318 | ||
TOTAL FINANCIALS | 39,231,808 | |||
HEALTH CARE - 0.4% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (n) | 1,490,000 | 1,488,972 | ||
DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (n) | 1,150,000 | 1,143,100 | ||
Hill-Rom Holdings, Inc. Tranche B, term loan 7/30/22 (s) | 1,500,000 | 1,500,315 | ||
| 4,132,387 | |||
Health Care Providers & Services - 0.2% | ||||
AmSurg Corp. Tranche B, term loan 3.75% 7/16/21 (n) | 2,426,568 | 2,423,851 | ||
Community Health Systems, Inc.: | ||||
Tranche F, term loan 3.5749% 12/31/18 (n) | 997,500 | 996,253 | ||
Tranche G, term loan 3.75% 12/31/19 (n) | 1,980,760 | 1,977,056 | ||
Tranche H, term loan 4% 1/27/21 (n) | 7,019,240 | 7,032,015 | ||
Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (n) | 1,000,000 | 996,670 | ||
Dialysis Newco, Inc.: | ||||
Tranche 2LN, term loan 7.75% 10/22/21 (n) | 1,882,000 | 1,898,468 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Dialysis Newco, Inc.: - continued | ||||
Tranche B 1LN, term loan 4.5% 4/23/21 (n) | $ 4,105,266 | $ 4,088,147 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (n) | 1,887,166 | 1,884,335 | ||
Genesis HealthCare Corp. Tranche B, term loan 10% 12/4/17 (n) | 2,152,000 | 2,184,280 | ||
HCA Holdings, Inc.: | ||||
Tranche B 4LN, term loan 3.0318% 5/1/18 (n) | 2,620,663 | 2,615,107 | ||
Tranche B 5LN, term loan 2.948% 3/31/17 (n) | 4,331,954 | 4,321,688 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (n) | 5,550,018 | 5,272,517 | ||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (n) | 5,635,000 | 5,596,964 | ||
Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (n) | 2,567,035 | 2,562,235 | ||
MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (n) | 455,448 | 449,400 | ||
Quintiles Transnational Corp. Tranche B, term loan 3.25% 5/12/22 (n) | 590,000 | 588,525 | ||
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (n) | 227,855 | 227,570 | ||
U.S. Renal Care, Inc.: | ||||
Tranche 2LN, term loan 8.5% 1/3/20 (n) | 540,000 | 540,675 | ||
Tranche B 2LN, term loan 4.25% 7/3/19 (n) | 1,638,661 | 1,633,204 | ||
| 47,288,960 | |||
Life Sciences Tools & Services - 0.0% | ||||
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (n) | 7,100,141 | 7,012,525 | ||
Pharmaceuticals - 0.2% | ||||
Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (n) | 1,451,625 | 1,444,367 | ||
Concordia Healthcare Corp. Tranche B, term loan 4.75% 4/21/22 (n) | 730,000 | 730,460 | ||
Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (n) | 1,780,800 | 1,780,355 | ||
Endo Pharmaceuticals, Inc. Tranche B, term loan 6/24/22 (s) | 3,000,000 | 2,999,460 | ||
Genoa, a QoL Healthcare Co. LLC: | ||||
Tranche 1LN, term loan 4.5% 4/30/22 (n) | 1,510,000 | 1,507,176 | ||
Tranche 2LN, term loan 8.75% 4/30/23 (n) | 1,000,000 | 1,000,000 | ||
Grifols, S.A. Tranche B, term loan 3.198% 2/27/21 (n) | 1,486,474 | 1,483,263 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (n) | $ 1,065,000 | $ 1,063,669 | ||
Pharmedium Healthcare Corp.: | ||||
Tranche 2LN, term loan 7.75% 1/28/22 (n) | 2,625,000 | 2,615,156 | ||
Tranche B 1LN, term loan 4.25% 1/28/21 (n) | 8,199,843 | 8,111,038 | ||
PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (n) | 3,811,711 | 3,807,899 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
Tranche BD 2LN, term loan 3.5% 2/13/19 (n) | 1,882,000 | 1,875,131 | ||
Tranche E, term loan 3.75% 8/5/20 (n) | 1,882,000 | 1,875,526 | ||
| 30,293,500 | |||
TOTAL HEALTH CARE | 88,727,372 | |||
INDUSTRIALS - 0.5% | ||||
Aerospace & Defense - 0.1% | ||||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (n) | 509,394 | 506,633 | ||
Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (n) | 271,338 | 269,302 | ||
Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (n) | 2,017,819 | 2,014,449 | ||
TransDigm, Inc.: | ||||
Tranche C, term loan 3.75% 2/28/20 (n) | 3,666,862 | 3,626,930 | ||
Tranche D, term loan 3.75% 6/4/21 (n) | 6,073,277 | 6,004,953 | ||
| 12,422,267 | |||
Airlines - 0.0% | ||||
American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (n) | 1,985,000 | 1,968,465 | ||
U.S. Airways, Inc. Tranche B 1LN, term loan 3.5% 5/23/19 (n) | 1,567,010 | 1,557,216 | ||
| 3,525,681 | |||
Building Products - 0.1% | ||||
GYP Holdings III Corp.: | ||||
Tranche 1LN, term loan 4.75% 4/1/21 (n) | 7,013,682 | 6,851,526 | ||
Tranche 2LN, term loan 7.75% 4/1/22 (n) | 1,260,000 | 1,232,444 | ||
Jeld-Wen, Inc. Tranche B, term loan 5% 7/1/22 (n) | 1,000,000 | 996,880 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
LBM Borrower LLC Tranche B 1LN, term loan 7.5% 8/20/22 (n) | $ 6,615,000 | $ 6,482,700 | ||
Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (n) | 872,582 | 862,547 | ||
| 16,426,097 | |||
Commercial Services & Supplies - 0.1% | ||||
ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (n) | 3,598,919 | 3,562,930 | ||
ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (n) | 1,493,438 | 1,486,509 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (n) | 4,886,176 | 4,389,399 | ||
Garda World Security Corp.: | ||||
term loan 4.0032% 11/8/20 (n) | 3,213,302 | 3,159,737 | ||
Tranche DD, term loan 4.0032% 11/8/20 (n) | 750,389 | 737,880 | ||
Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (n) | 7,261,424 | 6,989,120 | ||
Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (n) | 2,145,000 | 2,131,594 | ||
Metal Services LLC Tranche B, term loan 6% 6/30/17 (n) | 1,111,359 | 1,101,167 | ||
Redtop Acquisitions Ltd. Tranche 2LN, term loan 8.25% 6/3/21 (n) | 612,889 | 607,784 | ||
The Brickman Group, Ltd.: | ||||
Tranche 2LN, term loan 7.5% 12/18/21 (n) | 560,000 | 546,700 | ||
Tranche B 1LN, term loan 4% 12/18/20 (n) | 4,421,612 | 4,349,053 | ||
WTG Holdings III Corp. Tranche B 1LN, term loan 4.75% 1/15/21 (n) | 555,182 | 551,018 | ||
| 29,612,891 | |||
Construction & Engineering - 0.1% | ||||
Drumm Investors LLC Tranche B, term loan 6.75% 5/4/18 (n) | 9,257,383 | 9,309,502 | ||
Ls Deco LLC Tranche B, term loan 5.5% 5/21/22 (n) | 3,250,000 | 3,266,250 | ||
| 12,575,752 | |||
Electrical Equipment - 0.0% | ||||
Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (n) | 1,374,691 | 1,361,810 | ||
Machinery - 0.1% | ||||
Doosan Infracore, Inc. Tranche B, term loan 4.5% 5/28/21 (n) | 825,432 | 827,495 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (n) | $ 1,287,713 | $ 1,260,349 | ||
Mueller Water Products, Inc. Tranche B, term loan 4% 11/25/21 (n) | 1,520,360 | 1,520,360 | ||
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 4.25% 3/13/22 (n) | 2,973,548 | 2,969,206 | ||
Rexnord LLC Tranche B, term loan 4% 8/21/20 (n) | 3,449,756 | 3,413,534 | ||
The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (n) | 1,120,356 | 1,071,340 | ||
| 11,062,284 | |||
Marine - 0.0% | ||||
American Commercial Lines, Inc. Tranche B, term loan 7.5% 9/22/19 (n) | 2,205,718 | 2,197,446 | ||
Harvey Gulf International Tranche B, term loan 5.5% 6/18/20 (n) | 1,097,415 | 764,536 | ||
Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (n) | 2,036,582 | 2,031,491 | ||
| 4,993,473 | |||
Professional Services - 0.0% | ||||
AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (n) | 2,125,000 | 2,122,875 | ||
On Assignment, Inc. Tranche B, term loan 3.75% 6/5/22 (n) | 1,200,873 | 1,197,871 | ||
Research Now Group, Inc.: | ||||
Tranche 2LN, term loan 9.75% 3/18/22 (n) | 285,000 | 283,575 | ||
Tranche B 1LN, term loan 5.5% 3/18/21 (n) | 872,813 | 864,084 | ||
Science Applications International Corp. Tranche B, term loan 3.75% 5/4/22 (n) | 1,995,000 | 1,994,003 | ||
| 6,462,408 | |||
Road & Rail - 0.0% | ||||
Hertz Corp. Tranche B 2LN, term loan 3% 3/11/18 (n) | 1,123,254 | 1,112,022 | ||
YRC Worldwide, Inc. Tranche B, term loan 8.25% 2/13/19 (n) | 2,223,712 | 2,139,211 | ||
| 3,251,233 | |||
Trading Companies & Distributors - 0.0% | ||||
Fly Funding II Sarl Tranche B, term loan 3.5% 8/9/19 (n) | 2,343,787 | 2,330,615 | ||
TOTAL INDUSTRIALS | 104,024,511 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.0% | ||||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (n) | $ 1,752,721 | $ 1,742,871 | ||
Mitel U.S. Holdings, Inc. Tranche B, term loan 5% 4/29/22 (n) | 1,785,000 | 1,772,166 | ||
| 3,515,037 | |||
Electronic Equipment & Components - 0.1% | ||||
Carros U.S., LLC Tranche B, term loan 4.5% 9/30/21 (n) | 660,672 | 659,020 | ||
CPI Acquisition, Inc. Tranche B, term loan 8/14/22 (s) | 1,500,000 | 1,475,625 | ||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (n) | 4,955,498 | 4,808,617 | ||
Lux FinCo U.S. SPV: | ||||
Tranche 2LN, term loan 7/31/23 (s) | 670,000 | 665,813 | ||
Tranche B 1LN, term loan 7/31/22 (s) | 1,345,000 | 1,338,275 | ||
TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (n) | 4,330,000 | 4,091,850 | ||
| 13,039,200 | |||
Internet Software & Services - 0.0% | ||||
Datapipe, Inc. Tranche B 1LN, term loan 5.25% 3/15/19 (n) | 4,084,908 | 4,064,484 | ||
TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (n) | 946,343 | 939,245 | ||
TELX, Inc. Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 748,221 | 744,951 | ||
| 5,748,680 | |||
IT Services - 0.1% | ||||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (n) | 1,482,550 | 1,426,584 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (n) | 1,867,451 | 1,851,409 | ||
First Data Corp. term loan 3.7004% 3/24/17 (n) | 7,113,000 | 7,089,883 | ||
G.I. Peak Merger Sub Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/17/22 (n) | 515,000 | 489,250 | ||
Tranche B 1LN, term loan 5% 6/17/21 (n) | 1,164,121 | 1,158,300 | ||
WP Mustang Holdings, LLC.: | ||||
Tranche 2LN, term loan 8.5% 5/29/22 (n) | 752,000 | 729,440 | ||
Tranche B 1LN, term loan 5.5% 5/29/21 (n) | 880,553 | 874,503 | ||
| 13,619,369 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Avago Technologies, Inc. Tranche B, term loan 3.75% 5/6/21 (n) | $ 1,594,269 | $ 1,592,276 | ||
Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (n) | 2,673,001 | 2,668,831 | ||
NXP BV Tranche D, term loan 3.25% 1/11/20 (n) | 1,867,496 | 1,856,609 | ||
| 6,117,716 | |||
Software - 0.2% | ||||
Applied Systems, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 1/23/21 (n) | 455,667 | 454,300 | ||
Tranche B 2LN, term loan 7.5% 1/23/22 (n) | 116,000 | 115,246 | ||
Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (n) | 2,135,000 | 2,118,988 | ||
BMC Software Finance, Inc. Tranche B, term loan: | ||||
5% 9/10/20 (n) | 671,591 | 613,948 | ||
5% 9/10/20 (n) | 10,689,020 | 9,811,024 | ||
Epicor Software Corp. Tranche B, term loan 4.75% 6/1/22 (n) | 3,000,000 | 2,988,210 | ||
Hyland Software, Inc. Tranche B 1LN, term loan 4.75% 7/1/22 (n) | 180,000 | 179,494 | ||
Informatica Corp. Tranche B, term loan 4.5% 8/6/22 (n) | 985,000 | 978,026 | ||
Kronos, Inc.: | ||||
Tranche 2LN, term loan 9.75% 4/30/20 (n) | 12,974,594 | 13,179,982 | ||
Tranche B 1LN, term loan 4.5% 10/30/19 (n) | 3,680,000 | 3,678,859 | ||
Renaissance Learning, Inc.: | ||||
Tranche 1LN, term loan 4.5% 4/9/21 (n) | 3,726,134 | 3,629,887 | ||
Tranche 2LN, term loan 8% 4/9/22 (n) | 1,693,000 | 1,640,805 | ||
SS&C Technologies, Inc.: | ||||
Tranche B 1LN, term loan 4% 7/8/22 (n) | 3,210,762 | 3,213,042 | ||
Tranche B 2LN, term loan 4% 7/8/22 (n) | 520,179 | 520,549 | ||
Transfirst, Inc.: | ||||
Tranche 2LN, term loan 9% 11/12/22 (n) | 931,000 | 924,790 | ||
Tranche B 1LN, term loan 4.75% 11/12/21 (n) | 923,934 | 922,086 | ||
| 44,969,236 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||
Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (n) | $ 14,733,075 | $ 14,645,119 | ||
Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (n) | 2,568,960 | 2,552,904 | ||
| 17,198,023 | |||
TOTAL INFORMATION TECHNOLOGY | 104,207,261 | |||
MATERIALS - 0.5% | ||||
Chemicals - 0.2% | ||||
A. Schulman, Inc. Tranche B, term loan 4% 6/1/22 (n) | 1,770,563 | 1,761,710 | ||
AgroFresh, Inc. Tranche B, term loan 5.75% 7/31/21 (n) | 2,500,000 | 2,496,875 | ||
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (n) | 1,117,357 | 1,106,183 | ||
Arizona Chem U.S., Inc.: | ||||
Tranche 2LN, term loan 7.5% 6/12/22 (n) | 781,000 | 772,800 | ||
Tranche B 1LN, term loan 4.5% 6/12/21 (n) | 625,180 | 623,505 | ||
Aruba Investments, Inc. Tranche B, term loan 4.5% 2/2/22 (n) | 992,015 | 987,055 | ||
Chromaflo Technologies Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/2/20 (n) | 751,971 | 706,853 | ||
Tranche B 1LN, term loan 4.5% 12/2/19 (n) | 1,482,473 | 1,437,999 | ||
Eco Services Operations LLC Tranche B, term loan 4.75% 12/1/21 (n) | 2,210,890 | 2,199,836 | ||
Hilex Poly Co. LLC: | ||||
Tranche 2LN, term loan 9.75% 6/5/22 (n) | 1,129,000 | 1,126,178 | ||
Tranche B 1LN, term loan 6% 12/5/21 (n) | 4,108,355 | 4,094,222 | ||
MacDermid, Inc. Tranche B 2LN, term loan 4.75% 6/7/20 (n) | 1,113,206 | 1,112,860 | ||
Royal Holdings, Inc.: | ||||
Tranche B 1LN, term loan 4.5% 6/19/22 (n) | 2,135,000 | 2,125,222 | ||
Tranche B 2LN, term loan 8.5% 6/19/23 (n) | 500,000 | 498,125 | ||
Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (n) | 4,104,375 | 4,124,897 | ||
The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (n) | 2,410,000 | 2,322,638 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (n) | 1,620,000 | 1,615,140 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (n) | $ 512,923 | $ 510,553 | ||
Univar, Inc. Tranche B, term loan 4% 7/1/22 (n) | 1,235,000 | 1,225,738 | ||
| 30,848,389 | |||
Containers & Packaging - 0.2% | ||||
Anchor Glass Container Corp. Tranche B, term loan 4.5% 7/1/22 (n) | 2,408,602 | 2,409,349 | ||
Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (n) | 4,754,924 | 4,731,150 | ||
Berlin Packaging, LLC: | ||||
Tranche 2LN, term loan 7.75% 10/1/22 (n) | 1,129,000 | 1,115,825 | ||
Tranche B 1LN, term loan 4.5% 10/1/21 (n) | 5,609,739 | 5,606,261 | ||
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (n) | 3,552,000 | 3,520,920 | ||
BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (n) | 2,175,494 | 2,175,494 | ||
Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (n) | 730,000 | 727,810 | ||
Charter NEX U.S. Holdings, Inc. Tranche 2LN, term loan 9.25% 2/5/23 (n) | 752,000 | 753,880 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (n) | 3,519,049 | 3,328,422 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.5% 12/1/18 (n) | 9,135,595 | 9,127,647 | ||
Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (n) | 2,708,667 | 2,674,808 | ||
Tricorbraun, Inc. Tranche B, term loan 4% 5/3/18 (n) | 732,664 | 725,338 | ||
| 36,896,904 | |||
Metals & Mining - 0.1% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 12/19/19 (n) | 2,614,761 | 1,838,177 | ||
Tranche B 2LN, term loan 8.75% 12/19/20 (n) | 1,296,000 | 874,800 | ||
Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 1,615,000 | 1,604,503 | ||
Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (n) | 3,596,880 | 3,106,805 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (n) | 15,116,357 | 12,185,447 | ||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (n) | 1,700,010 | 1,685,135 | ||
MRC Global, Inc. Tranche B, term loan 4.75% 11/9/19 (n) | 531,924 | 518,961 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Murray Energy Corp.: | ||||
Tranche B 1LN, term loan 7% 4/16/17 (n) | $ 780,000 | $ 709,153 | ||
Tranche B 2LN, term loan 7.5% 4/16/20 (n) | 6,355,000 | 4,758,306 | ||
Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (n) | 752,000 | 682,440 | ||
Walter Energy, Inc. Tranche B, term loan 5.8% 4/1/18 (n) | 4,707,000 | 1,908,877 | ||
| 29,872,604 | |||
TOTAL MATERIALS | 97,617,897 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Altice Financing SA: | ||||
Tranche B 2LN, term loan 5.25% 1/30/22 (n) | 2,634,000 | 2,647,170 | ||
Tranche B, term loan 5.5% 6/24/19 (n) | 12,993,045 | 13,041,769 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (n) | 6,807,181 | 6,821,340 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (n) | 2,992,500 | 2,983,523 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 3.5% 5/31/22 (n) | 3,764,000 | 3,726,360 | ||
Tranche B 3LN, term loan 4% 8/1/19 (n) | 2,742,000 | 2,737,887 | ||
Tranche B 4LN, term loan 4% 1/15/20 (n) | 3,011,000 | 3,008,170 | ||
LTS Buyer LLC: | ||||
Tranche 2LN, term loan 8% 4/12/21 (n) | 163,000 | 162,865 | ||
Tranche B 1LN, term loan 4% 4/11/20 (n) | 8,914,096 | 8,858,383 | ||
Securus Technologies Holdings, Inc.: | ||||
Tranche 2LN, term loan 9% 4/30/21 (n) | 3,724,000 | 3,337,635 | ||
Tranche B 1LN, term loan 4.75% 4/30/20 (n) | 2,824,628 | 2,717,829 | ||
Securus Technologies, Inc. Tranche B2 1LN, term loan 5.25% 4/30/20 (n) | 1,000,000 | 971,250 | ||
| 51,014,181 | |||
Wireless Telecommunication Services - 0.1% | ||||
Crown Castle Operating Co. Tranche B 2LN, term loan 3% 1/31/21 (n) | 1,501,379 | 1,494,893 | ||
Digicel International Finance Ltd.: | ||||
Tranche D 1LN, term loan 3.8125% 3/31/17 (n) | 1,382,317 | 1,299,378 | ||
Tranche D-2, term loan 3.7818% 3/31/19 (n) | 5,012,683 | 4,724,454 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (n) | $ 4,150,000 | $ 4,072,188 | ||
Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (n) | 1,882,000 | 1,731,440 | ||
| 13,322,353 | |||
TOTAL TELECOMMUNICATION SERVICES | 64,336,534 | |||
UTILITIES - 0.3% | ||||
Electric Utilities - 0.2% | ||||
Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | ||||
6.375% 8/13/18 (n) | 161,490 | 161,652 | ||
6.375% 8/13/19 (n) | 2,444,528 | 2,446,972 | ||
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (n) | 3,011,587 | 2,940,815 | ||
Empire Generating Co. LLC: | ||||
Tranche B, term loan 5.25% 3/14/21 (n) | 3,589,368 | 3,409,900 | ||
Tranche C, term loan 5.25% 3/14/21 (n) | 263,000 | 249,850 | ||
Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (n) | 6,215,916 | 6,200,376 | ||
Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (n) | 5,064,411 | 4,853,377 | ||
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (n) | 3,042,000 | 3,042,000 | ||
InterGen NV Tranche B, term loan 5.5% 6/13/20 (n) | 4,396,131 | 4,132,363 | ||
Longview Power LLC Tranche B, term loan 7% 4/13/21 (n) | 2,000,000 | 2,002,500 | ||
Southeast Powergen LLC Tranche B, term loan 4.5% 12/2/21 (n) | 554,215 | 556,293 | ||
Star West Generation LLC Tranche B, term loan 4.25% 3/13/20 (n) | 2,006,000 | 2,000,985 | ||
TXU Energy LLC Tranche B, term loan 4.6741% 10/10/17 (d)(n) | 1,088,000 | 490,840 | ||
USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (n) | 589,990 | 583,352 | ||
| 33,071,275 | |||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (n) | 4,052,000 | 3,835,907 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southcross Holdings Borrower LP Tranche B, term loan 6% 8/4/21 (n) | $ 2,642,653 | $ 2,191,209 | ||
Veresen Midstream LP Tranche B, term loan 5.25% 3/31/22 (n) | 1,815,450 | 1,812,418 | ||
| 7,839,534 | |||
Independent Power and Renewable Electricity Producers - 0.1% | ||||
Calpine Corp.: | ||||
Tranche B 3LN, term loan 4% 10/9/19 (n) | 2,516,064 | 2,511,132 | ||
Tranche B 4LN, term loan 4% 10/31/20 (n) | 3,727,081 | 3,714,856 | ||
Tranche B 5LN, term loan 3.5% 5/28/22 (n) | 1,500,000 | 1,478,910 | ||
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (n) | 2,653,000 | 2,653,000 | ||
ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (n) | 466,891 | 471,560 | ||
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (n) | 2,799,716 | 2,624,734 | ||
Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (n) | 2,902,415 | 2,851,623 | ||
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 8/11/22 (s) | 3,000,000 | 2,970,000 | ||
| 19,275,815 | |||
TOTAL UTILITIES | 60,186,624 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $1,092,574,461) |
| |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (n) | 904,290 | 886,205 | ||
Goldman Sachs 1.25% 12/14/19 (n) | 775,000 | 759,500 | ||
Mizuho 1.25% 12/14/19 (n) | 363,384 | 356,116 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $1,875,319) |
| |||
Bank Notes - 1.2% | ||||
| Principal Amount (e) | Value | ||
Bank of America NA: | ||||
1.65% 3/26/18 | $ 22,324,000 | $ 22,212,693 | ||
1.75% 6/5/18 | 84,682,000 | 84,232,169 | ||
5.3% 3/15/17 | 3,467,000 | 3,644,614 | ||
Barclays Bank PLC 2.5% 2/20/19 | 7,200,000 | 7,266,816 | ||
Capital One NA 1.65% 2/5/18 | 18,801,000 | 18,561,926 | ||
Discover Bank: | ||||
(Delaware) 3.2% 8/9/21 | 23,245,000 | 22,850,439 | ||
3.1% 6/4/20 | 22,584,000 | 22,536,641 | ||
8.7% 11/18/19 | 2,958,000 | 3,535,484 | ||
JPMorgan Chase Bank 6% 10/1/17 | 11,313,000 | 12,209,555 | ||
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,523,678 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 14,669,000 | 15,309,889 | ||
Regions Bank 7.5% 5/15/18 | 24,647,000 | 27,954,430 | ||
Wachovia Bank NA 6% 11/15/17 | 2,243,000 | 2,450,439 | ||
TOTAL BANK NOTES (Cost $242,512,420) | 245,288,773 | |||
Preferred Securities - 0.8% | ||||
| ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Automobiles - 0.0% | ||||
Volkswagen International Finance NV 2.5%(Reg. S) (i)(n) | EUR | 2,150,000 | 2,343,384 | |
CONSUMER STAPLES - 0.0% | ||||
Food Products - 0.0% | ||||
Cosan Overseas Ltd. 8.25% (i) | 1,725,000 | 1,627,629 | ||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Total SA 2.625% (Reg. S) (i)(n) | EUR | 2,150,000 | 2,299,559 | |
FINANCIALS - 0.8% | ||||
Banks - 0.7% | ||||
BAC Capital Trust XIV 4% (i)(n) | 1,245,000 | 967,734 | ||
Banco Do Brasil SA 9% (h)(i)(n) | 1,415,000 | 1,147,484 | ||
Bank of America Corp.: | ||||
6.1% (i)(n) | 3,225,000 | 3,238,216 | ||
6.25% (i)(n) | 3,680,000 | 3,755,700 | ||
6.5% (i)(n) | 3,000,000 | 3,159,795 | ||
Bank of Ireland 7.375% (Reg. S) (i)(n) | EUR | 2,000,000 | 2,326,877 | |
Barclays Bank PLC 7.625% 11/21/22 | 20,775,000 | 24,126,874 | ||
Barclays PLC: | ||||
6.625% (i)(n) | 7,940,000 | 7,862,515 | ||
8.25% (i)(n) | 5,470,000 | 5,897,920 | ||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
BNP Paribas SA: | ||||
7.375% (h)(i)(n) | $ 3,830,000 | $ 3,931,898 | ||
7.375% 12/29/49 (Reg. S) (n) | 3,100,000 | 3,182,476 | ||
Citigroup, Inc.: | ||||
5.875% (i)(n) | 4,305,000 | 4,378,134 | ||
5.95% (i)(n) | 2,285,000 | 2,273,527 | ||
5.95% (i)(n) | 6,945,000 | 6,787,466 | ||
6.3% (i)(n) | 7,100,000 | 7,019,488 | ||
Credit Agricole SA: | ||||
6.625% (h)(i)(n) | 14,035,000 | 13,938,915 | ||
6.625% (Reg. S) (i)(n) | 2,850,000 | 2,830,489 | ||
8.125% 9/19/33 (Reg. S) (n) | 2,500,000 | 2,861,487 | ||
JPMorgan Chase & Co.: | ||||
5.3% (i)(n) | 3,245,000 | 3,260,582 | ||
6% (i)(n) | 10,455,000 | 10,403,293 | ||
6.75% (i)(n) | 10,085,000 | 10,697,020 | ||
Royal Bank of Scotland Group PLC: | ||||
7.5% (i)(n) | 2,285,000 | 2,300,980 | ||
8% (i)(n) | 1,140,000 | 1,169,689 | ||
Wells Fargo & Co. 5.875% (i)(n) | 2,000,000 | 2,072,541 | ||
| 129,591,100 | |||
Capital Markets - 0.1% | ||||
Credit Suisse Group AG 6.25% (h)(i)(n) | 5,000,000 | 4,864,037 | ||
Deutsche Bank AG 7.5% (i)(n) | 7,600,000 | 7,670,144 | ||
Goldman Sachs Group, Inc. 5.375% (i)(n) | 3,250,000 | 3,245,271 | ||
UBS Group AG: | ||||
6.875% (Reg. S) (i)(n) | 1,950,000 | 1,944,259 | ||
7.125% (Reg. S) (i)(n) | 1,700,000 | 1,836,629 | ||
| 19,560,340 | |||
Diversified Financial Services - 0.0% | ||||
Magnesita Finance Ltd.: | ||||
8.625% (h)(i) | 650,000 | 496,336 | ||
8.625% (Reg. S) (i) | 200,000 | 152,719 | ||
| 649,055 | |||
TOTAL FINANCIALS | 149,800,495 | |||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - 0.0% | ||||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd.: | ||||
7.5% (h)(i) | $ 4,705,000 | $ 3,369,267 | ||
7.5% (Reg. S) (i) | 100,000 | 71,610 | ||
| 3,440,877 | |||
MATERIALS - 0.0% | ||||
Metals & Mining - 0.0% | ||||
CSN Islands XII Corp. 7% (Reg. S) (i) | 2,100,000 | 1,035,971 | ||
UTILITIES - 0.0% | ||||
Electric Utilities - 0.0% | ||||
EDF SA 5.625% (Reg. S) (i)(n) | 2,700,000 | 2,764,547 | ||
TOTAL PREFERRED SECURITIES (Cost $163,665,548) |
|
Money Market Funds - 5.9% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.15% (b) | 1,185,530,172 |
| |
Cash Equivalents - 0.5% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15 (Collateralized by U.S. Government Obligations) # (c) | $ 110,825,462 |
|
See accompanying notes which are an integral part of the financial statements.
Annual Report
Purchased Swaptions - 0.0% | |||||
Expiration Date | Notional Amount (e) | Value | |||
Put Options - 0.0% | |||||
Option on a credit default swap with Morgan Stanley Capital Group, Inc. to buy protection on the 5-Year iTraxx Europe Crossover Series 23 Index expiring June 2020 exercise rate 3.125% | 9/16/15 | EUR | 17,600,000 | $ 206,315 |
TOTAL INVESTMENT PORTFOLIO - 104.0% (Cost $21,131,127,040) | 21,078,070,800 | ||
NET OTHER ASSETS (LIABILITIES) - (4.0)% | (808,453,417) | ||
NET ASSETS - 100% | $ 20,269,617,383 | ||
TBA Sale Commitments | |||
| Principal Amount (e) |
| |
Fannie Mae | |||
3% 9/1/45 | $ (700,000) | (703,008) | |
3% 9/1/45 | (700,000) | (703,008) | |
3% 9/1/45 | (2,100,000) | (2,109,023) | |
3% 9/1/45 | (33,200,000) | (33,342,657) | |
3% 9/1/45 | (12,950,000) | (13,005,645) | |
3% 9/1/45 | (9,700,000) | (9,741,680) | |
3% 9/1/45 | (27,500,000) | (27,618,165) | |
3% 9/1/45 | (11,000,000) | (11,047,266) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (13,200,000) | (14,018,812) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (3,600,000) | (3,823,312) | |
4% 9/1/45 | (28,000,000) | (29,736,874) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (10,000,000) | (10,832,812) | |
TOTAL FANNIE MAE | (346,389,752) | ||
TBA Sale Commitments - continued | |||
| Principal Amount (e) | Value | |
Freddie Mac | |||
3% 9/1/45 | $ (1,500,000) | $ (1,502,109) | |
3% 9/1/45 | (3,200,000) | (3,204,500) | |
TOTAL FREDDIE MAC | (4,706,609) | ||
Ginnie Mae | |||
3.5% 9/1/45 | (31,500,000) | (32,799,372) | |
3.5% 9/1/45 | (20,000,000) | (20,824,998) | |
TOTAL GINNIE MAE | (53,624,370) |
TOTAL TBA SALE COMMITMENTS (Proceeds $404,373,664) | $ (404,720,731) |
Futures Contracts | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Purchased | |||||
Bond Index Contracts | |||||
9 Eurex Euro-Bobl Contracts (Germany) | Sept. 2015 | $ 1,313,218 | $ (3,300) | ||
21 Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | Sept. 2015 | 3,572,005 | (57,360) | ||
2 OSE Japan 10 Year Bond Contracts (Japan) | Sept. 2015 | 2,440,879 | 20,099 | ||
64 TME 10 Year Canadian Note Contracts (Canada) | Dec. 2015 | 6,879,659 | (118,481) | ||
TOTAL BOND INDEX CONTRACTS | $ 14,205,761 | $ (159,042) | |||
Treasury Contracts | |||||
21 ASX 10 Year Treasury Bond Index Contracts (Australia) | Sept. 2015 | 1,924,905 | 80,165 | ||
96 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 20,973,000 | (55,692) | ||
24 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 2,866,500 | (23,111) | ||
50 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 7,920,313 | (286,818) | ||
TOTAL TREASURY CONTRACTS | $ 33,684,718 | $ (285,456) | |||
TOTAL PURCHASED | $ 47,890,479 | $ (444,498) | |||
Futures Contracts - continued | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Sold | |||||
Bond Index Contracts | |||||
3 Eurex Euro-Bund Contracts (Germany) | Sept. 2015 | $ 515,370 | $ (5,052) | ||
20 ICE Long Gilt Contracts (United Kingdom) | Dec. 2015 | 3,596,561 | 19,791 | ||
112 ICE Medium Gilt Contracts (United Kingdom) | Dec. 2015 | 19,051,124 | 22,345 | ||
TOTAL BOND INDEX CONTRACTS | $ 23,163,055 | $ 37,084 | |||
Treasury Contracts | |||||
10 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 1,270,625 | 9,883 | ||
38 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 5,875,750 | 182,799 | ||
TOTAL TREASURY CONTRACTS | $ 7,146,375 | $ 192,682 | |||
TOTAL SOLD | $ 30,309,430 | $ 229,766 | |||
| $ 78,199,909 | $ (214,732) |
The face value of futures purchased as a percentage of net assets is 0.2% |
The face value of futures sold as a percentage of net assets is 0.1% |
Foreign Currency Contracts | ||||||
Settlement Date | Currency | Counterparty | Type | Quantity | Contract Amount (e) | Unrealized Appreciation/ |
11/20/15 | AUD | Credit Suisse Intl. | Sell | 204,000 | $ 149,743 | $ 5,155 |
11/20/15 | CAD | JPMorgan Chase Bank, N.A. | Sell | 135,000 | 102,856 | 262 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 127,000 | 145,663 | (2,968) |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 211,000 | 233,130 | 3,947 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 404,000 | 453,573 | 356 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 237,000 | 267,054 | 764 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 1,603,000 | 1,771,357 | (29,753) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Buy | 194,000 | 226,297 | (8,321) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Sell | 67,385,000 | 74,790,342 | (922,557) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 174,000 | 272,420 | (5,534) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 231,000 | 354,868 | (553) |
11/20/15 | GBP | Credit Suisse Intl. | Sell | 288,000 | 453,631 | 11,888 |
11/20/15 | GBP | JPMorgan Chase Bank, N.A. | Sell | 33,946,000 | 52,958,340 | 890,873 |
11/20/15 | JPY | JPMorgan Chase Bank, N.A. | Sell | 14,350,000 | 115,567 | (2,940) |
| $ (59,381) |
For the period, the average contract value for foreign currency contracts was $177,993,164. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively. |
Swaps | |||||||||
Credit Default Swaps |
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/(Paid) | Notional Amount | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
Buy Protection | |||||||||
Carlsberg Breweries A/S |
| Jun. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 2,600,000 | $ (8,869) | $ 30,763 | $ 21,894 |
Kering SA |
| Sep. | Morgan Stanley Capital Group, Inc. | (1%) | EUR | 3,500,000 | (78,250) | 8,252 | (69,998) |
Metro AG |
| Dec. | Credit Suisse International | (1%) | EUR | 3,850,000 | (6,470) | (28,271) | (34,741) |
Metro AG |
| Dec. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 600,000 | (1,008) | (1,718) | (2,726) |
Standard Chartered Bank |
| Sep. | Citibank, N.A. | (1%) | EUR | 2,700,000 | 155,943 | (145,356) | 10,587 |
Valeo SA |
| Sep. | Credit Suisse International | (1%) | EUR | 3,500,000 | (57,598) | (53,854) | (111,452) |
TOTAL BUY PROTECTION | 3,748 | (190,184) | (186,436) | ||||||
Sell Protection | |||||||||
Commerzbank AG | Ba2 | Sep. | Credit Suisse International | 5% | EUR | 1,850,000 | 342,816 | (369,344) | (26,528) |
Italy Republic Of | A2 | Sep. | JPMorgan Chase Bank, N.A. | 1% |
| 2,800,000 | (13,065) | 21,241 | 8,176 |
Pemex Project Funding Master Trust | A3 | Sep. | Barclays Bank PLC | 1% |
| 3,550,000 | (191,039) | 170,506 | (20,533) |
TOTAL SELL PROTECTION | 138,712 | (177,597) | (38,885) | ||||||
TOTAL CREDIT DEFAULT SWAPS | $ 142,460 | $ (367,781) | $ (225,321) |
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(2) Notional amount is stated in U.S. dollars unless otherwise noted. |
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
Swaps - continued | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) | Payment Received | Payment Paid | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
LCH | Sep. 2020 | $ 35,400,000 | 3-month LIBOR | 2.25% | $ (657,215) | $ 0 | $ (657,215) |
LCH | Sep. 2025 | 20,500,000 | 3-month LIBOR | 2.75% | (686,088) | 0 | (686,088) |
LCH | Sep. 2045 | 8,700,000 | 3-month LIBOR | 3% | (543,452) | 0 | (543,452) |
TOTAL INTEREST RATE SWAPS | $ (1,886,755) | $ 0 | $ (1,886,755) |
(1) Notional amount is stated in U.S. dollars unless otherwise noted. |
|
(2) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(3) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(e) Amount is stated in United States dollars unless otherwise noted. |
(f) 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. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,370,236,323 or 11.7% of net assets. |
(i) Security is perpetual in nature with no stated maturity date. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $873,986. |
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,713,112. |
(m) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $182,501. |
(n) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(o) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(p) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(q) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(r) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(s) The coupon rate will be determined upon settlement of the loan after period end. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$110,825,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 110,825,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 913,060 |
Fidelity Floating Rate Central Fund | 17,840,584 |
Fidelity Mortgage Backed Securities Central Fund | 4,263,089 |
Total | $ 23,016,733 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 440,816,855 | $ 589,842,295 | $ 1,013,143,899 | $ - | 0.0% |
Fidelity Mortgage Backed Securities Central Fund | 2,130,357,633 | - | 2,121,313,208 | - | 0.0% |
Total | $ 2,571,174,488 | $ 589,842,295 | $ 3,134,457,107 | $ - |
* Includes the value of shares redeemed through in-kind transactions. See Note 6 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 846,728 | $ 846,728 | $ - | $ - |
Financials | 12,705,468 | 12,459,374 | 246,094 | - |
Materials | 2,680,932 | 2,680,932 | - | - |
Telecommunication Services | 451,792 | 317,384 | - | 134,408 |
Corporate Bonds | 8,951,784,547 | - | 8,951,772,409 | 12,138 |
U.S. Government and Government Agency Obligations | 3,844,418,792 | - | 3,844,418,792 | - |
U.S. Government Agency - Mortgage Securities | 2,844,544,800 | - | 2,844,544,800 | - |
Asset-Backed Securities | 153,200,820 | - | 149,424,222 | 3,776,598 |
Collateralized Mortgage Obligations | 594,721,855 | - | 594,721,855 | - |
Commercial Mortgage Securities | 1,364,361,739 | - | 1,363,122,289 | 1,239,450 |
Municipal Securities | 307,210,465 | - | 307,210,465 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Foreign Government and Government Agency Obligations | $ 224,958,802 | $ - | $ 223,345,807 | $ 1,612,995 |
Supranational Obligations | 74,655 | - | 74,655 | - |
Bank Loan Obligations | 1,068,944,862 | - | 1,057,929,638 | 11,015,224 |
Sovereign Loan Participations | 2,001,821 | - | - | 2,001,821 |
Bank Notes | 245,288,773 | - | 245,288,773 | - |
Preferred Securities | 163,312,462 | - | 163,312,462 | - |
Money Market Funds | 1,185,530,172 | 1,185,530,172 | - | - |
Cash Equivalents | 110,825,000 | - | 110,825,000 | - |
Purchased Swaptions | 206,315 | - | 206,315 | - |
Total Investments in Securities: | $ 21,078,070,800 | $ 1,201,834,590 | $ 19,856,443,576 | $ 19,792,634 |
Other Derivative | ||||
Assets | ||||
Foreign Currency Contracts | $ 913,245 | $ - | $ 913,245 | $ - |
Futures Contracts | 335,082 | 335,082 | - | - |
Swaps | 498,759 | - | 498,759 | - |
Total Assets | $ 1,747,086 | $ 335,082 | $ 1,412,004 | $ - |
Liabilities | ||||
Foreign Currency Contracts | $ (972,626) | $ - | $ (972,626) | $ - |
Futures Contracts | (549,814) | (549,814) | - | - |
Swaps | (2,243,054) | - | (2,243,054) | - |
Total Liabilities | $ (3,765,494) | $ (549,814) | $ (3,215,680) | $ - |
Total Other Derivative Instruments: | $ (2,018,408) | $ (214,732) | $ (1,803,676) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (404,720,731) | $ - | $ (404,720,731) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Purchased Swaptions (c) | $ 206,315 | $ - |
Swaps (d) | 498,759 | (356,299) |
Total Credit Risk | 705,074 | (356,299) |
Foreign Exchange Risk | ||
Foreign Currency Contracts (a) | 913,245 | (972,626) |
Interest Rate Risk | ||
Futures Contracts (b) | 335,082 | (549,814) |
Swaps (d) | - | (1,886,755) |
Total Interest Rate Risk | 335,082 | (2,436,569) |
Total Value of Derivatives | $ 1,953,401 | $ (3,765,494) |
(a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on foreign currency contracts line-items. |
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item. |
(d) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 88.6% |
United Kingdom | 2.6% |
Mexico | 1.8% |
Luxembourg | 1.2% |
Others (Individually Less Than 1%) | 5.8% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
|
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $108,651,950 and repurchase agreements of $110,825,000) - See accompanying schedule: Unaffiliated issuers (cost $19,945,596,868) | $ 19,892,540,628 |
|
Fidelity Central Funds (cost $1,185,530,172) | 1,185,530,172 |
|
Total Investments (cost $21,131,127,040) |
| $ 21,078,070,800 |
Cash |
| 4,601,208 |
Foreign currency held at value (cost $1,296,971) | 1,290,124 | |
Receivable for investments sold | 153,384,612 | |
Receivable for TBA sale commitments |
| 404,373,664 |
Unrealized appreciation on foreign currency contracts | 913,245 | |
Receivable for fund shares sold | 27,302,194 | |
Dividends receivable | 242,549 | |
Interest receivable | 158,024,967 | |
Distributions receivable from Fidelity Central Funds | 188,651 | |
Bi-lateral OTC swaps, at value | 498,759 | |
Other receivables | 112,232 | |
Total assets | 21,829,003,005 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 68,454,513 |
|
Delayed delivery | 790,446,815 | |
TBA sale commitments, at value | 404,720,731 | |
Unrealized depreciation on foreign currency contracts | 972,626 | |
Payable for fund shares redeemed | 173,044,860 | |
Distributions payable | 2,134,426 | |
Bi-lateral OTC swaps, at value | 356,299 | |
Accrued management fee | 5,298,334 | |
Distribution and service plan fees payable | 313,760 | |
Payable for daily variation margin for derivative instruments | 17,256 | |
Other affiliated payables | 2,448,328 | |
Other payables and accrued expenses | 352,674 | |
Collateral on securities loaned, at value | 110,825,000 | |
Total liabilities | 1,559,385,622 | |
|
|
|
Net Assets | $ 20,269,617,383 | |
Net Assets consist of: |
| |
Paid in capital | $ 20,225,298,052 | |
Undistributed net investment income | 36,361,125 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 63,760,134 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (55,801,928) | |
Net Assets | $ 20,269,617,383 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| August 31, 2015 | |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($852,242,899 ÷ 80,933,467 shares) | $ 10.53 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.53) | $ 10.97 | |
Class T: | ||
Net Asset Value and redemption price per share ($101,673,134 ÷ 9,671,869 shares) | $ 10.51 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.51) | $ 10.95 | |
Class B: | ||
Net Asset Value and offering price per share ($3,305,036 ÷ 313,709 shares)A | $ 10.54 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($139,264,398 ÷ 13,223,547 shares)A | $ 10.53 | |
|
|
|
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($17,359,293,916 ÷ 1,648,977,386 shares) | $ 10.53 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($1,266,870,294 ÷ 120,521,809 shares) | $ 10.51 | |
|
|
|
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($546,967,706 ÷ 52,032,071 shares) | $ 10.51 |
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 August 31, 2015 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 6,479,130 |
Interest |
| 612,468,413 |
Income from Fidelity Central Funds |
| 23,016,733 |
Total income |
| 641,964,276 |
|
|
|
Expenses | ||
Management fee | $ 57,874,540 | |
Transfer agent fees | 19,640,595 | |
Distribution and service plan fees | 3,324,779 | |
Fund wide operations fee | 7,291,490 | |
Independent trustees' compensation | 75,099 | |
Miscellaneous | 43,573 | |
Total expenses before reductions | 88,250,076 | |
Expense reductions | (7,127) | 88,242,949 |
Net investment income (loss) | 553,721,327 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 128,436,511 | |
Fidelity Central Funds | 206,487,401 |
|
Foreign currency transactions | 20,043,666 | |
Futures contracts | 1,751,878 | |
Swaps | (3,476,434) |
|
Total net realized gain (loss) |
| 353,243,022 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (775,667,108) | |
Assets and liabilities in foreign currencies | (5,291,385) | |
Futures contracts | (421,238) | |
Swaps | (1,389,874) | |
Delayed delivery commitments | 206,650 |
|
Total change in net unrealized appreciation (depreciation) |
| (782,562,955) |
Net gain (loss) | (429,319,933) | |
Net increase (decrease) in net assets resulting from operations | $ 124,401,394 |
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 (loss) | $ 553,721,327 | $ 415,512,458 |
Net realized gain (loss) | 353,243,022 | 77,368,067 |
Change in net unrealized appreciation (depreciation) | (782,562,955) | 416,914,720 |
Net increase (decrease) in net assets resulting from operations | 124,401,394 | 909,795,245 |
Distributions to shareholders from net investment income | (523,227,512) | (392,171,286) |
Distributions to shareholders from net realized gain | (52,368,873) | (128,031,263) |
Total distributions | (575,596,385) | (520,202,549) |
Share transactions - net increase (decrease) | 4,814,116,048 | 3,089,248,773 |
Total increase (decrease) in net assets | 4,362,921,057 | 3,478,841,469 |
|
|
|
Net Assets | ||
Beginning of period | 15,906,696,326 | 12,427,854,857 |
End of period (including undistributed net investment income of $36,361,125 and undistributed net investment income of $23,414,948, respectively) | $ 20,269,617,383 | $ 15,906,696,326 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .287 | .292 | .263 | .322 | .381 |
Net realized and unrealized gain (loss) | (.224) | .382 | (.468) | .438 | .187 |
Total from investment operations | .063 | .674 | (.205) | .760 | .568 |
Distributions from net investment income | (.270) | (.275) | (.250) | (.335) | (.367) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.303) | (.384) | (.605) | (.510) | (.578) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | .58% | 6.56% | (1.94)% | 7.11% | 5.35% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .75% | .76% | .79% | .82% | .83% |
Expenses net of fee waivers, if any | .75% | .76% | .79% | .82% | .83% |
Expenses net of all reductions | .75% | .76% | .79% | .82% | .83% |
Net investment income (loss) | 2.69% | 2.76% | 2.41% | 2.92% | 3.50% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 852,243 | $ 639,235 | $ 517,259 | $ 643,995 | $ 1,225,165 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .285 | .290 | .265 | .328 | .386 |
Net realized and unrealized gain (loss) | (.234) | .392 | (.477) | .433 | .186 |
Total from investment operations | .051 | .682 | (.212) | .761 | .572 |
Distributions from net investment income | (.268) | (.273) | (.253) | (.336) | (.371) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.301) | (.382) | (.608) | (.511) | (.582) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 |
Total ReturnA, B | .47% | 6.65% | (2.01)% | 7.14% | 5.39% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .77% | .78% | .76% | .77% | .80% |
Expenses net of fee waivers, if any | .77% | .78% | .76% | .77% | .80% |
Expenses net of all reductions | .77% | .78% | .76% | .77% | .80% |
Net investment income (loss) | 2.67% | 2.74% | 2.44% | 2.97% | 3.54% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 101,673 | $ 57,972 | $ 52,848 | $ 59,896 | $ 60,500 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .213 | .217 | .189 | .247 | .307 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.469) | .434 | .177 |
Total from investment operations | (.011) | .609 | (.280) | .681 | .484 |
Distributions from net investment income | (.196) | (.200) | (.175) | (.256) | (.293) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.229) | (.309) | (.530) | (.431) | (.504) |
Net asset value, end of period | $ 10.54 | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.12)% | 5.91% | (2.61)% | 6.36% | 4.54% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of fee waivers, if any | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of all reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Net investment income (loss) | 1.99% | 2.04% | 1.73% | 2.24% | 2.82% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,305 | $ 4,460 | $ 7,112 | $ 11,515 | $ 9,225 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .205 | .211 | .185 | .246 | .308 |
Net realized and unrealized gain (loss) | (.225) | .382 | (.469) | .434 | .187 |
Total from investment operations | (.020) | .593 | (.284) | .680 | .495 |
Distributions from net investment income | (.187) | (.194) | (.171) | (.255) | (.294) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.220) | (.303) | (.526) | (.430) | (.505) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.20)% | 5.75% | (2.65)% | 6.34% | 4.65% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of all reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Net investment income (loss) | 1.92% | 1.99% | 1.69% | 2.23% | 2.83% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 139,264 | $ 83,818 | $ 79,711 | $ 102,385 | $ 63,867 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .320 | .326 | .300 | .363 | .423 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.478) | .434 | .187 |
Total from investment operations | .096 | .718 | (.178) | .797 | .610 |
Distributions from net investment income | (.303) | (.309) | (.287) | (.372) | (.409) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.336) | (.418) | (.642) | (.547) | (.620) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 |
Total ReturnA | .88% | 7.00% | (1.70)% | 7.48% | 5.76% |
Ratios to Average Net AssetsC, E |
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.99% | 3.07% | 2.75% | 3.29% | 3.89% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 17,359,294 | $ 14,547,801 | $ 11,526,014 | $ 13,963,154 | $ 11,418,458 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .313 | .319 | .295 | .353 | .413 |
Net realized and unrealized gain (loss) | (.233) | .393 | (.469) | .435 | .178 |
Total from investment operations | .080 | .712 | (.174) | .788 | .591 |
Distributions from net investment income | (.297) | (.303) | (.281) | (.363) | (.400) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.330) | (.412) | (.636) | (.538) | (.611) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 |
Total ReturnA | .73% | 6.95% | (1.67)% | 7.40% | 5.58% |
Ratios to Average Net AssetsC, E |
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .53% | .54% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .53% | .54% |
Expenses net of all reductions | .50% | .51% | .51% | .53% | .54% |
Net investment income (loss) | 2.94% | 3.02% | 2.69% | 3.20% | 3.80% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,266,870 | $ 573,410 | $ 244,911 | $ 596,238 | $ 531,451 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class Z
Year ended August 31, | 2015 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 10.66 |
Income from Investment Operations |
|
Net investment income (loss)D | .234 |
Net realized and unrealized gain (loss) | (.167) |
Total from investment operations | .067 |
Distributions from net investment income | (.217) |
Net asset value, end of period | $ 10.51 |
Total ReturnB, C | .59% |
Ratios to Average Net AssetsE, H |
|
Expenses before reductions | .36%A |
Expenses net of fee waivers, if any | .36%A |
Expenses net of all reductions | .36%A |
Net investment income (loss) | 3.29%A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 546,968 |
Portfolio turnover rateF | 140%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
1. Organization.
Fidelity Total Bond Fund (the Fund) is a 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 commenced sale of Class Z shares on December 22, 2014. The Fund offers Class A, Class T, Class C, Total Bond, Class I (formerly Institutional Class) and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense Ratio* |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct
| Less than .005% |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance
Annual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Annual Report
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, closed foreign currency contracts, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency including foreign currency contracts, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to future contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 345,834,958 |
Gross unrealized depreciation | (409,484,462) |
Net unrealized appreciation (depreciation) on securities | $ (63,649,504) |
Tax Cost | $ 21,141,720,304 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 46,977,149 |
Undistributed long-term capital gain | $ 64,917,805 |
Net unrealized appreciation (depreciation) on securities and other investments | $ (67,484,185) |
At period end, the Fund was required to defer approximately $1,162,429 of losses on futures contracts.
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 565,758,842 | $ 392,171,286 |
Long-term Capital Gains | 9,837,543 | 128,031,263 |
Total | $ 575,596,385 | $ 520,202,549 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take
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3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
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Notes to Financial Statements - continued
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as foreign currency contracts, options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on
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4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Purchased Options | $ 170,483 | 63,753 |
Swaps | (135,206) | 128,070 |
Total Credit Risk | 35,277 | 191,823 |
Foreign Exchange Risk |
|
|
Foreign Currency Contracts | 20,954,439 | (5,376,167) |
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives - continued
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ 1,751,878 | (421,238) |
Swaps | (3,341,228) | (1,517,944) |
Total Interest Rate Risk | (1,589,350) | (1,939,182) |
TotalsA | $ 19,400,366 | $ (7,123,526) |
A A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Foreign Currency Contracts. Foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on foreign currency contracts during the period is included in the Statement of Operations as part of net realized gain (loss) on foreign currency transactions and change in unrealized gain (loss) on assets and liabilities in foreign currencies, respectively.
Any open foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on
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4. Derivative Instruments - continued
Futures Contracts - continued
the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to potential credit events.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fundwill realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Options - continued
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
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4. Derivative Instruments - continued
Swaps - continued
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Credit Default Swaps - continued
reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, in-kind transactions and U.S. government securities, aggregated $7,860,792,369 and $2,304,473,823, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
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6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 1,905,468 | $ 92,792 |
Class T | -% | .25% | 199,114 | 263 |
Class B | .65% | .25% | 35,423 | 25,610 |
Class C | .75% | .25% | 1,184,774 | 414,221 |
|
|
| $ 3,324,779 | $ 532,886 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 110,705 |
Class T | 18,730 |
Class B* | 3,938 |
Class C* | 29,613 |
| $ 162,986 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC pays
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Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,171,236 | .15 |
Class T | 135,484 | .17 |
Class B | 8,031 | .20 |
Class C | 207,015 | .17 |
Total Bond | 16,555,477 | .10 |
Class I | 1,553,662 | .15 |
Class Z | 9,690 | .01* |
| $ 19,640,595 |
|
* Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
Exchanges In-Kind. During the period, the Fund redeemed in-kind all of its shares of Fidelity Floating Rate Central Fund and Fidelity Mortgage-Backed Securities Central Fund in exchange for cash and investments, including accrued interest totaling $3,134,457,108. Net realized gain (loss) of $206,487,401 on the redemptions of the Fidelity Floating Rate Central Fund and Fidelity Mortgage Backed Securities Central Fund shares is included in the accompanying Statement of Operations as "Realized gain (loss) on Fidelity Central Funds." The transaction generally did not result in the recognition of gains or losses for federal income tax purposes.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity
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7. Committed Line of Credit - continued
purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $25,772 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $979,154.
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $185 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,942.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class A | $ 19,261,143 | $ 13,954,534 |
Class T | 1,998,555 | 1,278,101 |
Class B | 71,894 | 98,704 |
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Notes to Financial Statements - continued
10. Distributions to Shareholders - continued
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class C | $ 2,070,818 | $ 1,370,977 |
Total Bond | 468,456,666 | 365,495,794 |
Class I | 28,443,167 | 9,973,176 |
Class Z | 2,925,269 | - |
Total | $ 523,227,512 | $ 392,171,286 |
From net realized gain |
|
|
Class A | $ 2,146,775 | $ 5,373,525 |
Class T | 193,116 | 488,998 |
Class B | 13,138 | 67,567 |
Class C | 303,573 | 778,077 |
Total Bond | 47,388,889 | 118,942,382 |
Class I | 2,323,382 | 2,380,714 |
Total | $ 52,368,873 | $ 128,031,263 |
A Distributions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class A |
|
|
|
|
Shares sold | 46,571,257 | 26,077,273 | $ 499,377,221 | $ 277,129,495 |
Reinvestment of distributions | 1,930,629 | 1,748,624 | 20,670,065 | 18,500,215 |
Shares redeemed | (26,903,901) | (17,864,267) | (288,269,536) | (188,866,328) |
Net increase (decrease) | 21,597,985 | 9,961,630 | $ 231,777,750 | $ 106,763,382 |
Class T |
|
|
|
|
Shares sold | 6,974,914 | 2,788,455 | $ 74,605,782 | $ 29,566,996 |
Reinvestment of distributions | 199,988 | 156,306 | 2,136,905 | 1,651,554 |
Shares redeemed | (2,893,126) | (2,607,297) | (30,963,185) | (27,459,813) |
Net increase (decrease) | 4,281,776 | 337,464 | $ 45,779,502 | $ 3,758,737 |
Class B |
|
|
|
|
Shares sold | 54,717 | 54,926 | $ 586,026 | $ 586,880 |
Reinvestment of distributions | 6,657 | 13,145 | 71,357 | 138,775 |
Shares redeemed | (161,541) | (332,831) | (1,731,933) | (3,513,622) |
Net increase (decrease) | (100,167) | (264,760) | $ (1,074,550) | $ (2,787,967) |
Annual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class C |
|
|
|
|
Shares sold | 8,235,348 | 3,017,051 | $ 88,316,556 | $ 32,060,704 |
Reinvestment of distributions | 196,619 | 175,726 | 2,104,956 | 1,856,402 |
Shares redeemed | (2,989,581) | (3,020,982) | (31,990,728) | (31,912,884) |
Net increase (decrease) | 5,442,386 | 171,795 | $ 58,430,784 | $ 2,004,222 |
Total Bond |
|
|
|
|
Shares sold | 1,119,099,210 | 472,537,567 | $ 12,023,173,893 | $ 5,013,051,437 |
Reinvestment of distributions | 46,138,120 | 43,741,412 | 493,997,692 | 463,024,654 |
Shares redeemed | (866,846,007) | (266,060,657) | (9,307,894,830) | (2,814,029,450) |
Net increase (decrease) | 298,391,323 | 250,218,322 | $ 3,209,276,755 | $ 2,662,046,641 |
Class I |
|
|
|
|
Shares sold | 96,458,549 | 37,515,573 | $ 1,031,052,872 | $ 397,915,160 |
Reinvestment of distributions | 2,698,883 | 1,097,010 | 28,838,468 | 11,632,287 |
Shares redeemed | (31,950,235) | (8,713,037) | (340,167,664) | (92,083,689) |
Net increase (decrease) | 67,207,197 | 29,899,546 | $ 719,723,676 | $ 317,463,758 |
Class Z |
|
|
|
|
Shares sold | 56,087,638 | - | $ 592,975,149 | $ - |
Reinvestment of distributions | 276,639 | - | 2,920,079 | - |
Shares redeemed | (4,332,206) | - | (45,693,097) | - |
Net increase (decrease) | 52,032,071 | - | $ 550,202,131 | $ - |
A Share transactions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, Strategic Advisers Core Income Fund was the owner of record of approximately 24% of the total outstanding shares of the Fund. Mutual funds managed by the investment adviser or its affiliates were the owners of record, in the aggregate, of approximately 25% of the total outstanding shares of the Fund.
13. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 August 31, 2015, 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 periods indicated, 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 23, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversee 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Trustees and Officers - continued
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
Annual Report
Trustees and Officers - continued
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
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, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Trustees and Officers - continued
Advisory Board Member and Officers:
Correspondence intended for each officer and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class A | 10/12/15 | 10/09/15 | $0.059 |
Class T | 10/12/15 | 10/09/15 | $0.059 |
Class B | 10/12/15 | 10/09/15 | $0.059 |
Class C | 10/12/15 | 10/09/15 | $0.059 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015 $74,755,347, or, if subsequently determined to be different, the net capital gain of such year.
A total of 12.07% 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 $322,364,085 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
FMR Investment Management
(U.K.) Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
(Fidelity Investment logo)(registered trademark)
ATB-UANN-1015 1.804574.111
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Total Bond
Fund - Class I
(formerly Institutional Class)
Annual Report
August 31, 2015
(Fidelity Cover Art)
Class I is a class of Fidelity® Total Bond Fund
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2015 | Past 1 | Past 5 | Past 10 |
Class I | 0.73% | 3.73% | 4.81% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Total Bond Fund - Class I on August 31, 2005. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from Lead Portfolio Manager Ford O'Neil: For the year, the fund's share classes (excluding sales charges, if applicable) lagged the Barclays Aggregate index. I continued to take the investment approach I've used since I began managing the fund in 2004, because I think it is the best way to achieve my goal of beating our primary benchmark over longer periods of time. I have ultimate authority and accountability for asset allocations decisions, as well as for securities selection in the investment-grade portion of the fund. I also tap the best ideas of Fidelity's fixed-income specialists. Since we don't chase yield, we believe it's important to fully understand the risk/return profile of each of our investments to ensure we're assuming a reasonable trade-off by owning them. Sector selection detracted most from relative performance, especially underweighting comparatively strong U.S. Treasuries and overweighting the lagging high-yield corporate, emerging-markets debt and investment-grade credit sectors. Conversely, good picks among both high-yield and investment-grade corporate securities was a plus, as was yield-curve positioning. However, security selection among government-related bonds hurt, particularly holdings in taxable municipal bonds issued by Illinois and Chicago.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .75% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.40 | $ 3.76 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.42 | $ 3.82 |
Class T | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.30 | $ 3.86 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.32 | $ 3.92 |
Class B | 1.44% |
|
|
|
Actual |
| $ 1,000.00 | $ 984.90 | $ 7.20 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.95 | $ 7.32 |
Class C | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 983.60 | $ 7.55 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.59 | $ 7.68 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.80 | $ 2.26 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
|
|
|
Actual |
| $ 1,000.00 | $ 988.60 | $ 2.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
Class Z | .36% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.30 | $ 1.81 |
Hypothetical A |
| $ 1,000.00 | $ 1,023.39 | $ 1.84 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combine investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2015 | As of February 28, 2015 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 3.1% |
| ![]() | AAA 3.9% |
| ||
![]() | AA 2.3% |
| ![]() | AA 2.1% |
| ||
![]() | A 13.0% |
| ![]() | A 9.4% |
| ||
![]() | BBB 25.4% |
| ![]() | BBB 22.7% |
| ||
![]() | BB and Below 16.8% |
| ![]() | BB and Below 15.7% |
| ||
![]() | Not Rated 1.4% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Equities 0.1% |
| ![]() | Equities 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 7.8 | 7.4 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.4 | 5.1 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Corporate Bonds 44.2% |
| ![]() | Corporate Bonds 37.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related |
| ![]() | CMOs and Other Mortgage Related |
| ||
![]() | Municipal Bonds 1.5% |
| ![]() | Municipal Bonds 1.5% |
| ||
![]() | Stocks 0.1% |
| ![]() | Stocks 0.3% |
| ||
![]() | Other Investments 8.4% |
| ![]() | Other Investments 7.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 11.4% |
| ** Foreign investments | 10.2% |
| ||
* Futures and Swaps | (0.3)% |
| ** Futures and Swaps | (0.2)% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
Nonconvertible Bonds - 44.2% | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - 4.8% | ||||
Auto Components - 0.0% | ||||
J.B. Poindexter & Co., Inc. 9% 4/1/22 (h) | $ 3,045,000 | $ 3,303,825 | ||
Tenedora Nemak SA de CV 5.5% 2/28/23 (h) | 1,940,000 | 1,935,150 | ||
Tupy Overseas SA 6.625% 7/17/24 (h) | 530,000 | 501,513 | ||
| 5,740,488 | |||
Automobiles - 1.2% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (h) | 7,526,000 | 7,547,035 | ||
General Motors Co.: | ||||
3.5% 10/2/18 | 9,215,000 | 9,344,563 | ||
5.2% 4/1/45 | 4,250,000 | 3,990,278 | ||
6.25% 10/2/43 | 1,543,000 | 1,651,376 | ||
General Motors Financial Co., Inc.: | ||||
2.4% 4/10/18 | 40,000,000 | 39,523,760 | ||
2.625% 7/10/17 | 2,955,000 | 2,980,310 | ||
3% 9/25/17 | 6,726,000 | 6,757,955 | ||
3.15% 1/15/20 | 27,252,000 | 26,908,053 | ||
3.2% 7/13/20 | 20,200,000 | 19,930,209 | ||
3.25% 5/15/18 | 4,810,000 | 4,836,893 | ||
3.5% 7/10/19 | 10,761,000 | 10,844,064 | ||
4% 1/15/25 | 18,085,000 | 17,106,113 | ||
4.25% 5/15/23 | 5,420,000 | 5,325,670 | ||
4.375% 9/25/21 | 47,963,000 | 48,394,763 | ||
4.75% 8/15/17 | 5,050,000 | 5,236,244 | ||
Volkswagen Group of America Finance LLC 2.45% 11/20/19 (h) | 33,222,000 | 33,219,907 | ||
| 243,597,193 | |||
Diversified Consumer Services - 0.1% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 | 1,206,000 | 1,220,062 | ||
4.25% 6/15/23 | 8,466,000 | 8,681,705 | ||
| 9,901,767 | |||
Hotels, Restaurants & Leisure - 0.4% | ||||
24 Hour Holdings III LLC 8% 6/1/22 (h) | 5,650,000 | 4,491,750 | ||
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 | 2,165,000 | 1,813,188 | ||
Eldorado Resorts, Inc. 7% 8/1/23 (h) | 1,060,000 | 1,052,050 | ||
ESH Hospitality, Inc. 5.25% 5/1/25 (h) | 1,100,000 | 1,067,000 | ||
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 139,050 | ||
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (h) | 5,000,000 | 5,137,500 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
InterContinental Hotel Group PLC 3.75% 8/14/25 | GBP | 1,650,000 | $ 2,493,392 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (h) | 4,070,000 | 3,968,250 | ||
MCE Finance Ltd. 5% 2/15/21 (h) | 10,530,000 | 9,634,950 | ||
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 8% 10/1/20 | 2,790,000 | 2,755,125 | ||
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 (h) | 540,000 | 534,600 | ||
Scientific Games Corp.: | ||||
6.625% 5/15/21 | 9,310,000 | 6,889,400 | ||
7% 1/1/22 (h) | 7,445,000 | 7,612,513 | ||
10% 12/1/22 | 10,060,000 | 9,230,050 | ||
Speedway Motorsports, Inc. 5.125% 2/1/23 | 3,315,000 | 3,281,850 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 740,700 | 897,563 | ||
Whitbread PLC 3.375% 10/16/25 (Reg. S) | GBP | 1,500,000 | 2,275,947 | |
Wynn Macau Ltd. 5.25% 10/15/21 (h) | 14,650,000 | 13,441,375 | ||
| 76,715,553 | |||
Household Durables - 0.2% | ||||
Meritage Homes Corp. 6% 6/1/25 | 1,905,000 | 1,920,469 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 2,935,000 | 3,026,719 | ||
8.25% 2/15/21 (n) | 3,885,000 | 3,996,694 | ||
Standard Pacific Corp. 5.875% 11/15/24 | 1,775,000 | 1,819,375 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (h) | 1,495,000 | 1,498,738 | ||
TRI Pointe Homes, Inc.: | ||||
4.375% 6/15/19 | 570,000 | 565,013 | ||
5.875% 6/15/24 | 415,000 | 408,775 | ||
William Lyon Homes, Inc.: | ||||
5.75% 4/15/19 | 5,935,000 | 5,990,611 | ||
7% 8/15/22 | 10,230,000 | 10,562,475 | ||
| 29,788,869 | |||
Internet & Catalog Retail - 0.0% | ||||
Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (h) | 5,000,000 | 4,950,000 | ||
Media - 2.8% | ||||
21st Century Fox America, Inc.: | ||||
6.15% 3/1/37 | 4,759,000 | 5,280,039 | ||
6.15% 2/15/41 | 11,572,000 | 13,012,240 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
21st Century Fox America, Inc.: - continued | ||||
7.75% 12/1/45 | $ 3,932,000 | $ 5,328,352 | ||
Altice SA: | ||||
5.375% 7/15/23 (h) | 2,560,000 | 2,534,400 | ||
7.625% 2/15/25 (h) | 9,805,000 | 9,314,750 | ||
7.75% 5/15/22 (h) | 20,575,000 | 20,060,625 | ||
7.75% 7/15/25 (h) | 1,795,000 | 1,718,713 | ||
7.75% 7/15/25 (h) | 1,610,000 | 1,569,750 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 625,349 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 1,130,000 | 1,127,175 | ||
5.125% 5/1/23 (h) | 4,370,000 | 4,370,000 | ||
5.875% 5/1/27 (h) | 7,115,000 | 6,972,700 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
4.464% 7/23/22 (h) | 20,419,000 | 20,310,555 | ||
4.908% 7/23/25 (h) | 20,419,000 | 20,278,885 | ||
6.484% 10/23/45 (h) | 20,419,000 | 20,709,195 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 12/15/16 | 8,985,000 | 8,490,825 | ||
6.875% 6/15/18 | 2,270,000 | 1,974,900 | ||
9% 12/15/19 | 9,000,000 | 8,471,250 | ||
10% 1/15/18 | 4,260,000 | 3,093,825 | ||
Cogeco Cable, Inc. 4.875% 5/1/20 (h) | 2,335,000 | 2,383,218 | ||
Columbus International, Inc. 7.375% 3/30/21 (h) | 11,476,000 | 12,078,490 | ||
Comcast Corp.: | ||||
3.6% 3/1/24 | 24,000,000 | 24,468,240 | ||
4.6% 8/15/45 | 33,362,000 | 33,903,599 | ||
4.95% 6/15/16 | 2,344,000 | 2,420,841 | ||
6.45% 3/15/37 | 2,196,000 | 2,728,947 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 5,944,000 | 6,647,550 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 1,789,000 | 1,665,985 | ||
6.35% 6/1/40 | 6,392,000 | 6,613,681 | ||
DISH DBS Corp. 5.875% 11/15/24 | 6,760,000 | 6,160,050 | ||
Globo Comunicacao e Participacoes SA: | ||||
4.843% 6/8/25 (h) | 850,000 | 798,745 | ||
4.875% 4/11/22 (h) | 565,000 | 572,063 | ||
iHeartCommunications, Inc. 10.625% 3/15/23 | 2,695,000 | 2,418,763 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (n) | $ 6,521,000 | $ 7,173,100 | ||
MDC Partners, Inc. 6.75% 4/1/20 (h) | 4,985,000 | 4,941,381 | ||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (h)(n) | 13,130,000 | 13,261,300 | ||
Midcontinent Communications & Midcontinent Finance Corp. 6.875% 8/15/23 (h) | 4,530,000 | 4,563,975 | ||
Myriad International Holding BV 6% 7/18/20 (h) | 515,000 | 551,299 | ||
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 13,007,912 | ||
Numericable Group SA: | ||||
4.875% 5/15/19 (h) | 2,352,000 | 2,366,700 | ||
6% 5/15/22 (h) | 5,000,000 | 5,000,000 | ||
6.25% 5/15/24 (h) | 1,490,000 | 1,489,538 | ||
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (h) | 1,460,000 | 1,543,950 | ||
Thomson Reuters Corp.: | ||||
1.3% 2/23/17 | 3,690,000 | 3,676,129 | ||
3.85% 9/29/24 | 11,394,000 | 11,200,929 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 20,277,000 | 20,384,549 | ||
4.5% 9/15/42 | 34,498,000 | 27,566,800 | ||
5.5% 9/1/41 | 12,973,000 | 11,685,585 | ||
5.85% 5/1/17 | 3,419,000 | 3,626,913 | ||
5.875% 11/15/40 | 16,544,000 | 15,610,786 | ||
6.55% 5/1/37 | 38,302,000 | 38,463,749 | ||
6.75% 7/1/18 | 13,763,000 | 15,246,927 | ||
7.3% 7/1/38 | 23,728,000 | 25,119,434 | ||
8.25% 4/1/19 | 24,391,000 | 28,489,859 | ||
Time Warner, Inc.: | ||||
3.6% 7/15/25 | 6,406,000 | 6,192,514 | ||
6.2% 3/15/40 | 11,792,000 | 13,150,391 | ||
6.5% 11/15/36 | 9,243,000 | 10,649,480 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 2,250,000 | 2,126,250 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (h) | 2,750,000 | 2,688,125 | ||
Univision Communications, Inc.: | ||||
5.125% 5/15/23 (h) | 3,000,000 | 2,955,000 | ||
5.125% 2/15/25 (h) | 2,805,000 | 2,720,850 | ||
Viacom, Inc. 2.5% 9/1/18 | 1,478,000 | 1,468,913 | ||
VTR Finance BV 6.875% 1/15/24 (h) | 1,730,000 | 1,704,050 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Wave Holdco LLC/Wave Holdco Corp. 9% 7/15/19 pay-in-kind (h)(n) | $ 215,000 | $ 210,378 | ||
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (h) | 3,025,000 | 2,994,750 | ||
WMG Acquisition Corp.: | ||||
6% 1/15/21 (h) | 1,585,000 | 1,616,700 | ||
6.75% 4/15/22 (h) | 3,265,000 | 3,118,075 | ||
| 564,669,991 | |||
Multiline Retail - 0.1% | ||||
Family Tree Escrow LLC 5.75% 3/1/23 (h) | 2,240,000 | 2,346,400 | ||
JC Penney Corp., Inc.: | ||||
5.65% 6/1/20 | 12,290,000 | 11,245,350 | ||
7.4% 4/1/37 | 8,835,000 | 7,001,738 | ||
8.125% 10/1/19 | 6,040,000 | 6,130,600 | ||
| 26,724,088 | |||
Specialty Retail - 0.0% | ||||
Hot Topic, Inc. 9.25% 6/15/21 (h) | 4,395,000 | 4,438,950 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Polymer Group, Inc. 6.875% 6/1/19 (h) | 1,600,000 | 1,624,000 | ||
TOTAL CONSUMER DISCRETIONARY | 968,150,899 | |||
CONSUMER STAPLES - 2.4% | ||||
Beverages - 0.3% | ||||
Constellation Brands, Inc.: | ||||
3.875% 11/15/19 | 2,360,000 | 2,421,950 | ||
4.25% 5/1/23 | 5,205,000 | 5,236,230 | ||
6% 5/1/22 | 23,545,000 | 25,958,363 | ||
Heineken NV: | ||||
1.4% 10/1/17 (h) | 7,323,000 | 7,297,465 | ||
2.75% 4/1/23 (h) | 7,651,000 | 7,322,734 | ||
JB y Co. SA de CV 3.75% 5/13/25 (h) | 565,000 | 544,623 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (h) | 10,217,000 | 10,515,674 | ||
| 59,297,039 | |||
Food & Staples Retailing - 0.6% | ||||
CVS Health Corp.: | ||||
1.9% 7/20/18 | 15,731,000 | 15,776,730 | ||
2.25% 12/5/18 | 8,524,000 | 8,602,242 | ||
2.8% 7/20/20 | 15,202,000 | 15,356,133 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
CVS Health Corp.: - continued | ||||
3.5% 7/20/22 | $ 8,944,000 | $ 9,137,351 | ||
4% 12/5/23 | 8,525,000 | 8,881,209 | ||
ESAL GmbH 6.25% 2/5/23 (h) | 18,310,000 | 17,806,475 | ||
Minerva Luxmbourg SA: | ||||
7.75% 1/31/23 (h) | 10,040,000 | 9,814,100 | ||
7.75% 1/31/23 (Reg. S) | 1,030,000 | 1,006,825 | ||
SUPERVALU, Inc.: | ||||
6.75% 6/1/21 | 3,045,000 | 3,071,644 | ||
7.75% 11/15/22 | 1,300,000 | 1,345,500 | ||
Tesco PLC 5% 3/24/23 | GBP | 2,500,000 | 3,830,381 | |
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (h) | 5,155,000 | 5,129,225 | ||
Walgreens Boots Alliance, Inc.: | ||||
1.75% 11/17/17 | 3,756,000 | 3,760,045 | ||
2.7% 11/18/19 | 8,473,000 | 8,477,355 | ||
3.3% 11/18/21 | 10,050,000 | 9,945,229 | ||
3.8% 11/18/24 | 7,676,000 | 7,499,360 | ||
WM Morrison Supermarkets PLC 4.625% 12/8/23 | GBP | 750,000 | 1,160,877 | |
| 130,600,681 | |||
Food Products - 0.2% | ||||
ConAgra Foods, Inc. 1.9% 1/25/18 | 4,611,000 | 4,578,239 | ||
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (h) | 2,100,000 | 2,199,750 | ||
Gruma S.A.B. de CV 4.875% 12/1/24 (h) | 625,000 | 656,875 | ||
JBS Investments GmbH: | ||||
7.25% 4/3/24 (h) | 13,050,000 | 13,082,625 | ||
7.75% 10/28/20 (h) | 6,470,000 | 6,900,255 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | ||||
5.75% 6/15/25 (h) | 1,155,000 | 1,120,350 | ||
5.875% 7/15/24 (h) | 6,410,000 | 6,385,963 | ||
7.25% 6/1/21 (h) | 2,730,000 | 2,849,438 | ||
8.25% 2/1/20 (h) | 1,510,000 | 1,591,163 | ||
Sigma Alimentos SA de CV 6.875% 12/16/19 (h) | 575,000 | 642,563 | ||
| 40,007,221 | |||
Tobacco - 1.3% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 9,573,000 | 9,204,018 | ||
4% 1/31/24 | 6,408,000 | 6,508,266 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Tobacco - continued | ||||
Altria Group, Inc.: - continued | ||||
4.25% 8/9/42 | $ 9,573,000 | $ 8,553,849 | ||
4.75% 5/5/21 | 7,000,000 | 7,544,733 | ||
Imperial Tobacco Finance PLC: | ||||
2.05% 7/20/18 (h) | 8,743,000 | 8,702,065 | ||
2.95% 7/21/20 (h) | 20,000,000 | 19,854,640 | ||
3.75% 7/21/22 (h) | 20,300,000 | 20,101,385 | ||
4.25% 7/21/25 (h) | 22,467,000 | 22,263,179 | ||
Reynolds American, Inc.: | ||||
2.3% 6/12/18 | 7,358,000 | 7,402,692 | ||
3.25% 6/12/20 | 6,084,000 | 6,160,525 | ||
3.25% 11/1/22 | 7,368,000 | 7,164,687 | ||
4% 6/12/22 | 11,386,000 | 11,689,517 | ||
4.45% 6/12/25 | 24,787,000 | 25,442,542 | ||
4.75% 11/1/42 | 31,385,000 | 29,064,173 | ||
5.7% 8/15/35 | 4,237,000 | 4,488,326 | ||
5.85% 8/15/45 | 35,690,000 | 38,564,687 | ||
6.15% 9/15/43 | 4,511,000 | 4,938,611 | ||
6.75% 6/15/17 | 3,719,000 | 4,023,471 | ||
7.25% 6/15/37 | 5,056,000 | 6,079,754 | ||
Vector Group Ltd. 7.75% 2/15/21 | 6,480,000 | 6,894,720 | ||
| 254,645,840 | |||
TOTAL CONSUMER STAPLES | 484,550,781 | |||
ENERGY - 6.3% | ||||
Energy Equipment & Services - 0.5% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (h) | 11,333,000 | 10,276,628 | ||
5.35% 3/15/20 (h) | 8,816,000 | 8,566,895 | ||
5.85% 5/21/43 (h)(n) | 6,758,000 | 5,169,870 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 10,806,000 | 10,860,225 | ||
5% 10/1/21 | 7,366,000 | 7,531,897 | ||
6.5% 4/1/20 | 738,000 | 819,197 | ||
Ensco PLC: | ||||
5.2% 3/15/25 | 7,885,000 | 7,046,241 | ||
5.75% 10/1/44 | 7,801,000 | 5,876,688 | ||
Exterran Partners LP/EXLP Finance Corp.: | ||||
6% 4/1/21 | 3,210,000 | 2,568,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Exterran Partners LP/EXLP Finance Corp.: - continued | ||||
6% 10/1/22 | $ 995,000 | $ 791,025 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 8,236,000 | 5,353,400 | ||
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,005,000 | 2,704,500 | ||
Noble Holding International Ltd.: | ||||
4% 3/16/18 | 1,187,000 | 1,172,115 | ||
5.95% 4/1/25 | 7,570,000 | 6,675,294 | ||
6.95% 4/1/45 | 7,307,000 | 5,913,460 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (h) | 2,790,000 | 2,148,300 | ||
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S) | 920,000 | 1,195,579 | ||
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S) | 1,175,000 | 1,051,463 | ||
Transocean, Inc.: | ||||
3% 10/15/17 (n) | 1,000,000 | 920,000 | ||
5.55% 12/15/16 (n) | 7,572,000 | 7,592,823 | ||
Unit Corp. 6.625% 5/15/21 | 2,350,000 | 2,023,938 | ||
| 96,257,538 | |||
Oil, Gas & Consumable Fuels - 5.8% | ||||
Afren PLC: | ||||
6.625% 12/9/20 (d)(h) | 1,375,000 | 41,250 | ||
10.25% 4/8/19 (Reg. S) (d) | 2,075,000 | 72,625 | ||
American Energy-Permian Basin LLC/ AEPB Finance Corp. 6.8037% 8/1/19 (h)(n) | 4,328,000 | 2,293,840 | ||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 19,790,000 | 21,411,414 | ||
Antero Resources Corp.: | ||||
5.125% 12/1/22 | 5,995,000 | 5,426,734 | ||
5.625% 6/1/23 (h) | 1,360,000 | 1,237,600 | ||
Baytex Energy Corp.: | ||||
5.125% 6/1/21 (h) | 1,065,000 | 907,380 | ||
5.625% 6/1/24 (h) | 1,185,000 | 988,906 | ||
BP Capital Markets PLC: | ||||
1.674% 2/13/18 | 18,888,000 | 18,890,758 | ||
2.315% 2/13/20 | 37,777,000 | 37,728,230 | ||
3.535% 11/4/24 | 15,450,000 | 15,302,854 | ||
3.814% 2/10/24 | 11,032,000 | 11,085,847 | ||
4.5% 10/1/20 | 5,954,000 | 6,481,542 | ||
4.742% 3/11/21 | 8,800,000 | 9,631,090 | ||
California Resources Corp.: | ||||
5% 1/15/20 | 4,140,000 | 3,259,422 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
California Resources Corp.: - continued | ||||
5.5% 9/15/21 | $ 2,195,000 | $ 1,701,959 | ||
6% 11/15/24 | 495,000 | 367,043 | ||
Canadian Natural Resources Ltd.: | ||||
1.75% 1/15/18 | 6,049,000 | 5,964,719 | ||
3.9% 2/1/25 | 24,997,000 | 23,084,380 | ||
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 2,975,000 | 2,677,500 | ||
Cenovus Energy, Inc. 5.7% 10/15/19 | 16,926,000 | 18,489,912 | ||
Chesapeake Energy Corp.: | ||||
4.875% 4/15/22 | 2,500,000 | 1,812,500 | ||
5.75% 3/15/23 | 2,970,000 | 2,214,165 | ||
6.125% 2/15/21 | 6,750,000 | 5,227,065 | ||
6.5% 8/15/17 | 1,280,000 | 1,222,669 | ||
Citgo Holding, Inc. 10.75% 2/15/20 (h) | 1,350,000 | 1,333,125 | ||
Citgo Petroleum Corp. 6.25% 8/15/22 (h) | 3,145,000 | 3,050,650 | ||
Columbia Pipeline Group, Inc.: | ||||
2.45% 6/1/18 (h) | 3,149,000 | 3,140,495 | ||
3.3% 6/1/20 (h) | 15,490,000 | 15,452,452 | ||
4.5% 6/1/25 (h) | 4,707,000 | 4,486,628 | ||
5.8% 6/1/45 (h) | 5,906,000 | 5,653,796 | ||
ConocoPhillips Co. 5.75% 2/1/19 | 2,930,000 | 3,275,371 | ||
CONSOL Energy, Inc.: | ||||
5.875% 4/15/22 | 4,935,000 | 3,528,525 | ||
8% 4/1/23 (h) | 2,710,000 | 2,046,050 | ||
Consolidated Energy Finance SA 6.75% 10/15/19 (h) | 9,367,000 | 9,248,039 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 (h) | 685,000 | 619,925 | ||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | 5,924,000 | 5,597,155 | ||
2.7% 4/1/19 | 14,993,000 | 13,182,625 | ||
3.875% 3/15/23 | 5,532,000 | 4,522,438 | ||
Denbury Resources, Inc. 5.5% 5/1/22 | 5,050,000 | 3,598,125 | ||
DTEK Finance PLC 7.875% 4/4/18 (Reg. S) | 200,000 | 76,000 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,524,000 | 1,525,829 | ||
6.45% 11/3/36 (h) | 13,741,000 | 11,965,759 | ||
EDC Finance Ltd. 4.875% 4/17/20 (h) | 3,670,000 | 3,073,625 | ||
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 17,808,585 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 1,166,000 | 1,236,935 | ||
Empresa Nacional de Petroleo 4.375% 10/30/24 (h) | 9,045,000 | 8,805,181 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enable Midstream Partners LP: | ||||
2.4% 5/15/19 (h) | $ 4,028,000 | $ 3,787,504 | ||
3.9% 5/15/24 (h) | 4,249,000 | 3,731,136 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 13,331,000 | 13,450,539 | ||
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (h) | 11,735,000 | 10,974,689 | ||
Energy Transfer Equity LP 5.5% 6/1/27 | 2,210,000 | 2,055,300 | ||
Enterprise Products Operating LP: | ||||
2.55% 10/15/19 | 2,971,000 | 2,957,491 | ||
3.75% 2/15/25 | 9,982,000 | 9,535,156 | ||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||
6.375% 6/15/23 | 4,845,000 | 4,118,250 | ||
7.75% 9/1/22 | 6,075,000 | 5,589,000 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 13,400,000 | 12,998,000 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 6.75% 8/1/22 | 4,390,000 | 4,258,300 | ||
Georgian Oil & Gas Corp.: | ||||
6.875% 5/16/17 (h) | 950,000 | 951,188 | ||
6.875% 5/16/17 (Reg. S) | 200,000 | 200,250 | ||
Gibson Energy, Inc. 6.75% 7/15/21 (h) | 1,935,000 | 1,881,788 | ||
Global Partners LP/GLP Finance Corp. 7% 6/15/23 (h) | 4,995,000 | 4,645,350 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (h) | 221,000 | 228,967 | ||
Halcon Resources Corp. 8.625% 2/1/20 (h) | 7,035,000 | 6,173,213 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
5% 12/1/24 (h) | 1,305,000 | 1,128,956 | ||
5.75% 10/1/25 (h) | 2,135,000 | 1,921,500 | ||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | 750,000 | 712,635 | ||
Indo Energy Finance BV 7% 5/7/18 (h) | 400,000 | 256,000 | ||
Jupiter Resources, Inc. 8.5% 10/1/22 (h) | 5,150,000 | 3,218,750 | ||
KazMunaiGaz Finance Sub BV: | ||||
6% 11/7/44 (h) | 665,000 | 528,420 | ||
9.125% 7/2/18 (h) | 510,000 | 568,625 | ||
KazMunaiGaz National Co. 5.75% 4/30/43 (h) | 1,065,000 | 829,891 | ||
Kinder Morgan, Inc. 2% 12/1/17 | 5,467,000 | 5,413,205 | ||
Kosmos Energy Ltd. 7.875% 8/1/21 (h) | 645,000 | 557,925 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (n) | 5,260,000 | 2,051,400 | ||
6.5% 5/15/19 | 720,000 | 307,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Marathon Petroleum Corp. 5.125% 3/1/21 | $ 10,178,000 | $ 11,074,153 | ||
Motiva Enterprises LLC 5.75% 1/15/20 (h) | 4,187,000 | 4,594,508 | ||
MPLX LP 4% 2/15/25 | 2,532,000 | 2,336,256 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 1,975,000 | 2,256,438 | ||
Noble Energy, Inc.: | ||||
5.625% 5/1/21 | 6,305,000 | 6,365,024 | ||
5.875% 6/1/24 | 535,000 | 552,869 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 4,675,000 | 4,721,750 | ||
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (h) | 1,630,000 | 1,365,125 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h) | 4,701,000 | 2,538,540 | ||
Pan American Energy LLC 7.875% 5/7/21 (h) | 583,000 | 591,745 | ||
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (h) | 2,165,000 | 2,089,225 | ||
Peabody Energy Corp.: | ||||
6% 11/15/18 | 2,155,000 | 716,538 | ||
6.25% 11/15/21 | 2,765,000 | 725,813 | ||
7.875% 11/1/26 | 1,790,000 | 478,825 | ||
10% 3/15/22 (h) | 2,425,000 | 970,000 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 1,965,000 | 2,003,318 | ||
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 4,242,919 | ||
Petrobras Global Finance BV: | ||||
2.4288% 1/15/19 (n) | 3,100,000 | 2,728,000 | ||
2.75% 1/15/18 | EUR | 4,350,000 | 4,490,883 | |
3% 1/15/19 | 4,038,000 | 3,517,461 | ||
3.25% 3/17/17 | 26,728,000 | 25,608,097 | ||
4.375% 5/20/23 | 20,096,000 | 15,789,427 | ||
4.875% 3/17/20 | 26,750,000 | 23,409,193 | ||
5.625% 5/20/43 | 18,504,000 | 12,799,217 | ||
6.25% 3/17/24 | 1,200,000 | 1,050,960 | ||
6.85% 6/5/2115 | 645,000 | 485,298 | ||
7.25% 3/17/44 | 640,000 | 515,200 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 10,192,000 | 10,186,598 | ||
5.375% 1/27/21 | 44,755,000 | 39,451,533 | ||
5.75% 1/20/20 | 11,270,000 | 10,251,530 | ||
5.875% 3/1/18 | 460,000 | 451,375 | ||
6.875% 1/20/40 | 2,760,000 | 2,152,745 | ||
7.875% 3/15/19 | 14,017,000 | 14,126,052 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: | ||||
5.375% 4/12/27 | $ 1,775,000 | $ 592,850 | ||
5.5% 4/12/37 | 655,000 | 216,150 | ||
8.5% 11/2/17 (h) | 14,695,000 | 10,099,874 | ||
9.75% 5/17/35 (h) | 3,430,000 | 1,308,545 | ||
12.75% 2/17/22 (h) | 1,595,000 | 743,270 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 | 1,776,000 | 1,771,560 | ||
3.5% 7/18/18 | 14,963,000 | 15,247,297 | ||
3.5% 7/23/20 (h) | 13,960,000 | 13,824,309 | ||
3.5% 1/30/23 | 11,489,000 | 10,687,642 | ||
4.5% 1/23/26 (h) | 46,043,000 | 43,743,152 | ||
4.875% 1/24/22 | 12,142,000 | 12,324,130 | ||
4.875% 1/18/24 | 13,072,000 | 13,032,784 | ||
5.5% 1/21/21 | 12,069,000 | 12,944,003 | ||
5.5% 6/27/44 (h) | 640,000 | 553,760 | ||
5.5% 6/27/44 | 22,304,000 | 19,298,536 | ||
5.625% 1/23/46 (h) | 36,355,000 | 32,355,950 | ||
6% 3/5/20 | 6,145,000 | 6,694,978 | ||
6.375% 1/23/45 | 14,382,000 | 14,019,574 | ||
6.5% 6/2/41 | 25,567,000 | 25,567,000 | ||
6.625% (h)(i) | 5,520,000 | 5,464,800 | ||
8% 5/3/19 | 8,600,000 | 9,891,290 | ||
Petronas Capital Ltd. 3.5% 3/18/25 (h) | 525,000 | 506,372 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 12,618,000 | 13,167,135 | ||
4.875% 11/15/44 | 34,230,000 | 32,535,410 | ||
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,281,173 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 5,217,000 | 5,052,325 | ||
6.125% 1/15/17 | 6,185,000 | 6,564,246 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (h) | 595,000 | 576,436 | ||
5.25% 5/23/21 (h) | 815,000 | 821,113 | ||
6% 5/3/42 (h) | 395,000 | 345,625 | ||
6.5% 5/27/41 (h) | 1,900,000 | 1,762,250 | ||
Rice Energy, Inc.: | ||||
6.25% 5/1/22 | 8,365,000 | 7,444,850 | ||
7.25% 5/1/23 (h) | 3,620,000 | 3,366,600 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sabine Pass Liquefaction LLC: | ||||
5.625% 3/1/25 (h) | $ 12,415,000 | $ 12,003,753 | ||
5.75% 5/15/24 | 5,045,000 | 4,931,488 | ||
SemGroup Corp. 7.5% 6/15/21 | 4,750,000 | 4,702,500 | ||
Shell International Finance BV: | ||||
3.25% 5/11/25 | 20,000,000 | 19,686,200 | ||
4.375% 5/11/45 | 20,000,000 | 19,706,180 | ||
Sibur Securities Ltd. 3.914% 1/31/18 (h) | 1,870,000 | 1,764,813 | ||
Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22 | 2,750,000 | 2,788,734 | ||
SM Energy Co. 6.5% 11/15/21 | 1,205,000 | 1,168,850 | ||
Southwestern Energy Co.: | ||||
3.3% 1/23/18 | 6,403,000 | 6,383,445 | ||
4.05% 1/23/20 | 11,618,000 | 11,502,970 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 308,000 | 330,949 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 4,717,000 | 4,765,411 | ||
2.95% 9/25/18 | 1,960,000 | 1,980,464 | ||
4.6% 6/15/21 | 2,694,000 | 2,804,416 | ||
Sunoco LP / Sunoco Finance Corp.: | ||||
5.5% 8/1/20 (h) | 3,405,000 | 3,387,975 | ||
6.375% 4/1/23 (h) | 1,035,000 | 1,040,175 | ||
Teine Energy Ltd. 6.875% 9/30/22 (h) | 6,310,000 | 5,458,150 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | ||||
6.125% 10/15/21 | 505,000 | 506,263 | ||
6.25% 10/15/22 (h) | 800,000 | 800,000 | ||
The Williams Companies, Inc.: | ||||
3.7% 1/15/23 | 10,780,000 | 9,339,544 | ||
4.55% 6/24/24 | 53,471,000 | 47,328,145 | ||
Transportadora de Gas del Sur SA 9.625% 5/14/20 (h) | 3,042,567 | 3,065,386 | ||
Western Gas Partners LP 5.375% 6/1/21 | 16,424,000 | 17,400,390 | ||
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 | 2,105,000 | 2,126,050 | ||
Western Refining, Inc. 6.25% 4/1/21 | 4,085,000 | 4,044,150 | ||
Whiting Petroleum Corp. 5% 3/15/19 | 2,070,000 | 1,852,650 | ||
Williams Partners LP: | ||||
4.125% 11/15/20 | 2,399,000 | 2,438,550 | ||
4.3% 3/4/24 | 8,588,000 | 8,041,829 | ||
WPX Energy, Inc. 7.5% 8/1/20 | 2,070,000 | 1,987,987 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
YPF SA: | ||||
8.5% 7/28/25 (h) | $ 1,660,000 | $ 1,556,250 | ||
8.75% 4/4/24 (h) | 3,215,000 | 3,086,400 | ||
8.875% 12/19/18 (h) | 1,610,000 | 1,660,313 | ||
8.875% 12/19/18 (Reg. S) | 1,300,000 | 1,340,625 | ||
Zhaikmunai International BV 7.125% 11/13/19 (h) | 2,840,000 | 2,357,200 | ||
| 1,177,559,754 | |||
TOTAL ENERGY | 1,273,817,292 | |||
FINANCIALS - 18.6% | ||||
Banks - 7.4% | ||||
Banco Daycoval SA 5.75% 3/19/19 (h) | 625,000 | 608,594 | ||
Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S) | 697,825 | 732,716 | ||
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) | EUR | 1,300,000 | 1,434,602 | |
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (h) | 10,570,000 | 10,543,575 | ||
4% 4/14/19 (h) | 12,355,000 | 11,799,025 | ||
5.5% 7/12/20 (h) | 575,000 | 567,813 | ||
5.75% 9/26/23 (h) | 10,860,000 | 10,208,400 | ||
6.369% 6/16/18 (h) | 13,435,000 | 13,720,494 | ||
6.5% 6/10/19 (Reg. S) | 1,000,000 | 1,032,000 | ||
Bank Nederlandse Gemeenten NV: | ||||
1.375% 9/27/17 (h) | 8,770,000 | 8,827,978 | ||
1.375% 9/27/17 (Reg. S) | 2,720,000 | 2,739,764 | ||
Bank of America Corp.: | ||||
2% 1/11/18 | 50,000,000 | 49,990,200 | ||
2.25% 4/21/20 | 87,156,000 | 85,545,706 | ||
2.6% 1/15/19 | 8,068,000 | 8,123,903 | ||
2.65% 4/1/19 | 6,430,000 | 6,482,887 | ||
3.3% 1/11/23 | 31,429,000 | 30,945,182 | ||
3.875% 3/22/17 | 25,777,000 | 26,650,608 | ||
3.95% 4/21/25 | 25,000,000 | 24,173,150 | ||
4.1% 7/24/23 | 11,481,000 | 11,844,075 | ||
4.2% 8/26/24 | 16,813,000 | 16,658,909 | ||
4.25% 10/22/26 | 14,724,000 | 14,476,755 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Bank of America Corp.: - continued | ||||
5.65% 5/1/18 | $ 8,780,000 | $ 9,554,730 | ||
5.75% 12/1/17 | 21,955,000 | 23,749,997 | ||
5.875% 1/5/21 | 6,530,000 | 7,432,505 | ||
6.5% 8/1/16 | 9,000,000 | 9,422,991 | ||
Bank of Ireland: | ||||
4.25% 6/11/24 (Reg. S) (n) | EUR | 3,800,000 | 4,349,394 | |
10% 7/30/16 | EUR | 2,350,000 | 2,796,739 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (h) | 1,265,000 | 1,214,742 | ||
Barclays Bank PLC: | ||||
4.25% 1/12/22 | GBP | 4,000,000 | 6,878,722 | |
6.75% 1/16/23 (n) | GBP | 2,250,000 | 3,718,097 | |
Barclays PLC 2.75% 11/8/19 | 12,249,000 | 12,211,273 | ||
BBVA Bancomer SA 6.75% 9/30/22 (h) | 375,000 | 406,125 | ||
BBVA Colombia SA 4.875% 4/21/25 (h) | 390,000 | 377,910 | ||
BBVA Paraguay SA 9.75% 2/11/16 (h) | 1,145,000 | 1,175,412 | ||
BPCE SA 5.7% 10/22/23 (h) | 6,050,000 | 6,404,409 | ||
Capital One NA 2.95% 7/23/21 | 18,827,000 | 18,330,137 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 17,175,000 | 17,158,770 | ||
1.7% 4/27/18 | 120,000,000 | 118,934,520 | ||
1.8% 2/5/18 | 33,287,000 | 33,132,016 | ||
1.85% 11/24/17 | 33,365,000 | 33,346,950 | ||
2.4% 2/18/20 | 60,588,000 | 59,961,762 | ||
2.5% 7/29/19 | 46,387,000 | 46,340,706 | ||
4.05% 7/30/22 | 5,303,000 | 5,427,562 | ||
4.4% 6/10/25 | 40,790,000 | 41,006,269 | ||
5.5% 9/13/25 | 4,478,000 | 4,862,369 | ||
6.125% 5/15/18 | 3,779,000 | 4,170,561 | ||
Citizens Financial Group, Inc. 4.15% 9/28/22 (h) | 13,462,000 | 13,577,221 | ||
Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (n) | EUR | 2,700,000 | 2,883,720 | |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 19,650,716 | ||
Credit Suisse Group Funding Guernsey Ltd.: | ||||
2.75% 3/26/20 (h) | 19,455,000 | 19,338,737 | ||
3.75% 3/26/25 (h) | 19,450,000 | 18,816,864 | ||
Development Bank of Philippines 8.375% (i)(n) | 1,930,000 | 2,016,142 | ||
Discover Bank: | ||||
4.2% 8/8/23 | 7,852,000 | 7,940,696 | ||
7% 4/15/20 | 2,030,000 | 2,339,210 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | $ 798,000 | $ 847,756 | ||
8.25% 3/1/38 | 4,667,000 | 6,607,137 | ||
Finansbank A/S: | ||||
5.5% 5/11/16 (Reg. S) | 1,300,000 | 1,312,168 | ||
6.25% 4/30/19 (h) | 1,100,000 | 1,115,598 | ||
Georgia Bank Joint Stock Co.: | ||||
7.75% 7/5/17 (h) | 2,200,000 | 2,257,790 | ||
7.75% 7/5/17 (Reg. S) | 350,000 | 359,194 | ||
GTB Finance BV: | ||||
6% 11/8/18 (h) | 2,725,000 | 2,471,575 | ||
7.5% 5/19/16 (h) | 1,245,000 | 1,241,888 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 6,693,958 | ||
HSBC Holdings PLC 4.25% 3/14/24 | 6,192,000 | 6,198,663 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,071,934 | ||
HSBK BV: | ||||
7.25% 5/3/17 (h) | 2,285,000 | 2,317,584 | ||
7.25% 5/3/17 (Reg. S) | 250,000 | 253,565 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,392,636 | ||
Industrial Senior Trust 5.5% 11/1/22 (h) | 220,000 | 208,230 | ||
Intesa Sanpaolo SpA: | ||||
3.875% 1/16/18 | 4,140,000 | 4,250,281 | ||
6.625% 9/13/23 (Reg. S) | EUR | 2,000,000 | 2,715,356 | |
Itau Unibanco Holding SA: | ||||
2.85% 5/26/18 (h) | 655,000 | 636,005 | ||
5.125% 5/13/23 (Reg. S) | 1,100,000 | 1,001,000 | ||
5.5% 8/6/22 (h) | 655,000 | 614,849 | ||
6.2% 12/21/21 (Reg. S) | 980,000 | 960,890 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 12,580,000 | 12,459,446 | ||
2% 8/15/17 | 11,000,000 | 11,072,512 | ||
2.2% 10/22/19 | 7,268,000 | 7,206,091 | ||
2.25% 1/23/20 | 40,000,000 | 39,478,680 | ||
2.35% 1/28/19 | 6,857,000 | 6,880,664 | ||
3.25% 9/23/22 | 18,423,000 | 18,270,771 | ||
3.875% 9/10/24 | 39,644,000 | 39,008,190 | ||
4.125% 12/15/26 | 50,896,000 | 50,501,963 | ||
4.25% 10/15/20 | 6,995,000 | 7,490,169 | ||
4.35% 8/15/21 | 20,267,000 | 21,634,901 | ||
4.5% 1/24/22 | 22,046,000 | 23,537,037 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
4.625% 5/10/21 | $ 6,879,000 | $ 7,450,033 | ||
4.95% 3/25/20 | 22,079,000 | 24,197,877 | ||
KeyBank NA 5.45% 3/3/16 | 3,939,000 | 4,027,143 | ||
OJSC Russian Agricultural Bank: | ||||
6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 415,000 | 420,188 | ||
7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 1,000,000 | 1,027,780 | ||
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 26,008,067 | ||
Regions Bank 6.45% 6/26/37 | 24,618,000 | 28,831,888 | ||
Regions Financial Corp. 2% 5/15/18 | 13,127,000 | 13,056,416 | ||
Royal Bank of Scotland Group PLC: | ||||
5.125% 5/28/24 | 64,006,000 | 64,539,234 | ||
6% 12/19/23 | 25,897,000 | 27,626,453 | ||
6.1% 6/10/23 | 16,183,000 | 17,359,763 | ||
6.125% 12/15/22 | 42,557,000 | 45,842,869 | ||
RSHB Capital SA 5.298% 12/27/17 (h) | 1,425,000 | 1,406,874 | ||
SB Capital SA 5.5% 2/26/24 (h)(n) | 2,285,000 | 1,841,002 | ||
Turkiye Halk Bankasi A/S 4.75% 6/4/19 (h) | 980,000 | 975,100 | ||
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (h)(n) | 645,000 | 617,007 | ||
Wachovia Corp. 5.75% 6/15/17 | 2,933,000 | 3,154,735 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 34,000,000 | 34,134,878 | ||
3.676% 6/15/16 | 4,301,000 | 4,398,693 | ||
4.48% 1/16/24 | 4,804,000 | 5,009,525 | ||
Yapi ve Kredi Bankasi A/S 5.125% 10/22/19 (Reg. S) | 4,000,000 | 4,000,640 | ||
Zenith Bank PLC 6.25% 4/22/19 (h) | 3,070,000 | 2,778,350 | ||
| 1,508,807,306 | |||
Capital Markets - 3.7% | ||||
Affiliated Managers Group, Inc.: | ||||
3.5% 8/1/25 | 19,025,000 | 18,163,187 | ||
4.25% 2/15/24 | 12,758,000 | 13,246,925 | ||
Argos Merger Sub, Inc. 7.125% 3/15/23 (h) | 8,620,000 | 9,029,450 | ||
Deutsche Bank AG 4.5% 4/1/25 | 48,248,000 | 46,654,899 | ||
Deutsche Bank AG London Branch 1.875% 2/13/18 | 37,777,000 | 37,591,288 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 42,024,000 | 41,923,815 | ||
2.55% 10/23/19 | 33,080,000 | 33,142,157 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Goldman Sachs Group, Inc.: - continued | ||||
2.625% 1/31/19 | $ 50,400,000 | $ 50,909,191 | ||
2.9% 7/19/18 | 17,494,000 | 17,884,624 | ||
3.75% 5/22/25 | 40,000,000 | 39,796,760 | ||
5.25% 7/27/21 | 17,105,000 | 19,015,492 | ||
5.625% 1/15/17 | 3,200,000 | 3,359,987 | ||
5.95% 1/18/18 | 4,975,000 | 5,427,536 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 10,151,000 | 10,674,853 | ||
6.85% 6/15/17 | 1,263,000 | 1,367,037 | ||
Morgan Stanley: | ||||
1.875% 1/5/18 | 16,953,000 | 16,952,508 | ||
2.125% 4/25/18 | 12,586,000 | 12,630,227 | ||
2.375% 7/23/19 | 26,932,000 | 26,909,458 | ||
2.8% 6/16/20 | 30,000,000 | 30,096,810 | ||
3.7% 10/23/24 | 24,714,000 | 24,666,623 | ||
4% 7/23/25 | 21,522,000 | 21,940,022 | ||
4.35% 9/8/26 | 30,000,000 | 29,929,590 | ||
4.875% 11/1/22 | 26,240,000 | 27,761,868 | ||
5% 11/24/25 | 3,189,000 | 3,353,425 | ||
5.45% 1/9/17 | 13,970,000 | 14,696,007 | ||
5.5% 1/26/20 | 88,000,000 | 97,921,032 | ||
5.625% 9/23/19 | 12,714,000 | 14,132,437 | ||
5.75% 1/25/21 | 19,879,000 | 22,522,668 | ||
6.625% 4/1/18 | 16,118,000 | 17,962,286 | ||
UBS AG Stamford Branch: | ||||
1.375% 6/1/17 | 12,643,000 | 12,582,946 | ||
1.8% 3/26/18 | 24,142,000 | 24,057,165 | ||
| 746,302,273 | |||
Consumer Finance - 1.8% | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | ||||
4.25% 7/1/20 | 3,025,000 | 3,047,688 | ||
4.5% 5/15/21 | 2,800,000 | 2,845,500 | ||
4.625% 7/1/22 | 2,685,000 | 2,705,138 | ||
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,448,045 | ||
Credito Real S.A.B. de CV 7.5% 3/13/19 (h) | 840,000 | 851,550 | ||
Discover Financial Services: | ||||
3.85% 11/21/22 | 25,882,000 | 25,225,710 | ||
3.95% 11/6/24 | 9,738,000 | 9,366,057 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: - continued | ||||
5.2% 4/27/22 | $ 12,545,000 | $ 13,232,203 | ||
6.45% 6/12/17 | 10,366,000 | 11,211,565 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 7,229,000 | 7,194,279 | ||
1.7% 5/9/16 | 19,473,000 | 19,518,431 | ||
1.724% 12/6/17 | 18,742,000 | 18,570,567 | ||
2.24% 6/15/18 | 19,162,000 | 19,062,128 | ||
2.597% 11/4/19 | 40,209,000 | 39,630,392 | ||
2.875% 10/1/18 | 13,000,000 | 13,100,217 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 10,247,000 | 10,270,302 | ||
4.625% 1/7/21 | 19,476,000 | 21,380,207 | ||
4.65% 10/17/21 | 5,377,000 | 5,910,216 | ||
5.625% 9/15/17 | 5,858,000 | 6,335,445 | ||
5.625% 5/1/18 | 25,000,000 | 27,480,675 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (h) | 14,591,000 | 14,558,097 | ||
1.625% 10/2/15 (h) | 4,565,000 | 4,565,278 | ||
1.875% 8/9/16 (h) | 2,974,000 | 2,987,440 | ||
2.125% 10/2/17 (h) | 18,524,000 | 18,576,905 | ||
2.875% 8/9/18 (h) | 5,276,000 | 5,382,401 | ||
Navient Corp.: | ||||
5% 10/26/20 | 915,000 | 814,350 | ||
5.875% 3/25/21 | 3,215,000 | 2,885,463 | ||
5.875% 10/25/24 | 8,775,000 | 7,414,875 | ||
SLM Corp.: | ||||
4.875% 6/17/19 | 2,160,000 | 2,019,600 | ||
5.5% 1/15/19 | 2,025,000 | 1,933,875 | ||
5.5% 1/25/23 | 6,135,000 | 5,168,738 | ||
6.125% 3/25/24 | 4,280,000 | 3,638,000 | ||
8% 3/25/20 | 395,000 | 399,938 | ||
Synchrony Financial: | ||||
1.875% 8/15/17 | 3,341,000 | 3,326,781 | ||
3% 8/15/19 | 4,907,000 | 4,914,596 | ||
3.75% 8/15/21 | 7,409,000 | 7,347,720 | ||
4.25% 8/15/24 | 7,458,000 | 7,335,607 | ||
| 360,655,979 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - 0.5% | ||||
Brixmor Operating Partnership LP: | ||||
3.85% 2/1/25 | $ 14,325,000 | $ 13,660,492 | ||
3.875% 8/15/22 | 11,641,000 | 11,575,170 | ||
Cimpor Financial Operations BV 5.75% 7/17/24 (h) | 850,000 | 633,250 | ||
CNH Industrial Capital LLC 3.875% 7/16/18 (h) | 3,170,000 | 3,158,113 | ||
Deutsche Boerse AG 2.75% 2/5/41 (Reg. S) (n) | EUR | 1,200,000 | 1,353,002 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
4.875% 3/15/19 | 1,665,000 | 1,686,645 | ||
5.875% 2/1/22 | 18,611,000 | 18,801,763 | ||
6% 8/1/20 | 4,745,000 | 4,898,121 | ||
ILFC E-Capital Trust I 4.69% 12/21/65 (h)(n) | 10,340,000 | 9,784,225 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (h)(n) | 4,765,000 | 4,508,881 | ||
ING U.S., Inc. 5.5% 7/15/22 | 25,716,000 | 28,972,186 | ||
MSCI, Inc. 5.75% 8/15/25 (h) | 3,010,000 | 3,070,200 | ||
TMK Capital SA: | ||||
6.75% 4/3/20 (Reg. S) | 885,000 | 737,488 | ||
7.75% 1/27/18 | 1,300,000 | 1,231,750 | ||
| 104,071,286 | |||
Insurance - 1.8% | ||||
AIA Group Ltd. 2.25% 3/11/19 (h) | 2,566,000 | 2,553,404 | ||
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (h) | 5,405,000 | 5,256,363 | ||
Allianz SE 2.241% 7/7/45 (Reg. S) (n) | EUR | 2,900,000 | 2,949,134 | |
American International Group, Inc.: | ||||
2.3% 7/16/19 | 6,461,000 | 6,441,746 | ||
3.875% 1/15/35 | 19,041,000 | 17,244,063 | ||
4.875% 6/1/22 | 3,590,000 | 3,914,432 | ||
5.6% 10/18/16 | 10,702,000 | 11,210,923 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 11,274,000 | 11,454,440 | ||
3.5% 9/30/15 | 4,451,000 | 4,459,212 | ||
5% 9/30/20 | 3,854,000 | 4,242,892 | ||
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (n) | 4,900,000 | 5,060,112 | ||
Assicurazioni Generali SpA 7.75% 12/12/42 (n) | EUR | 4,400,000 | 6,026,565 | |
Aviva PLC 6.625% 6/3/41 (n) | GBP | 4,150,000 | 6,904,102 | |
Five Corners Funding Trust 4.419% 11/15/23 (h) | 12,460,000 | 12,904,922 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(n) | 1,859,000 | 1,896,180 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | $ 14,787,000 | $ 16,418,923 | ||
5.375% 3/15/17 | 194,000 | 204,723 | ||
Liberty Mutual Group, Inc. 5% 6/1/21 (h) | 12,644,000 | 13,716,110 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,763,472 | ||
Massachusetts Mutual Life Insurance Co.: | ||||
4.5% 4/15/65 (h) | 30,523,000 | 27,679,050 | ||
5.375% 12/1/41 (h) | 3,840,000 | 4,261,951 | ||
MetLife, Inc.: | ||||
1.903% 12/15/17 (n) | 2,987,000 | 3,001,526 | ||
3.048% 12/15/22 (n) | 12,433,000 | 12,183,283 | ||
4.368% 9/15/23 | 9,625,000 | 10,189,766 | ||
4.75% 2/8/21 | 4,032,000 | 4,432,636 | ||
6.75% 6/1/16 | 7,610,000 | 7,934,218 | ||
Metropolitan Life Global Funding I 3% 1/10/23 (h) | 7,896,000 | 7,701,972 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 7,041,000 | 10,587,270 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (h) | 19,436,000 | 19,925,010 | ||
6% 2/10/20 (h) | 12,654,000 | 14,237,851 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 1,622,000 | 1,639,323 | ||
4.5% 11/16/21 | 6,390,000 | 6,972,640 | ||
5.375% 5/15/45 (n) | 17,492,000 | 17,300,638 | ||
6.2% 11/15/40 | 4,318,000 | 5,117,758 | ||
7.375% 6/15/19 | 3,230,000 | 3,790,327 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 6,375,000 | 6,534,809 | ||
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (h) | 18,083,000 | 18,510,356 | ||
TIAA Asset Management Finance LLC: | ||||
2.95% 11/1/19 (h) | 4,172,000 | 4,196,594 | ||
4.125% 11/1/24 (h) | 6,048,000 | 6,106,732 | ||
Unum Group: | ||||
5.625% 9/15/20 | 8,386,000 | 9,383,699 | ||
5.75% 8/15/42 | 16,937,000 | 18,844,428 | ||
7.125% 9/30/16 | 587,000 | 621,415 | ||
| 361,774,970 | |||
Real Estate Investment Trusts - 1.7% | ||||
Alexandria Real Estate Equities, Inc.: | ||||
2.75% 1/15/20 | 2,884,000 | 2,853,112 | ||
4.6% 4/1/22 | 4,025,000 | 4,174,939 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | $ 3,491,000 | $ 3,390,438 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 5,005,000 | 5,200,230 | ||
4.2% 12/15/23 | 12,000,000 | 12,529,692 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 14,583,000 | 14,806,966 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 6,621,000 | 6,356,471 | ||
4.25% 1/15/24 | 9,191,000 | 9,500,268 | ||
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,325,598 | ||
Communications Sales & Leasing, Inc. 8.25% 10/15/23 (h) | 1,455,000 | 1,324,050 | ||
Corporate Office Properties LP 5% 7/1/25 | 8,095,000 | 7,900,987 | ||
DDR Corp.: | ||||
3.625% 2/1/25 | 7,690,000 | 7,227,646 | ||
4.625% 7/15/22 | 10,758,000 | 11,185,846 | ||
4.75% 4/15/18 | 11,273,000 | 11,914,682 | ||
7.5% 4/1/17 | 5,574,000 | 6,039,022 | ||
7.875% 9/1/20 | 323,000 | 392,813 | ||
9.625% 3/15/16 | 3,691,000 | 3,852,179 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 6,287,000 | 6,168,396 | ||
3.75% 12/1/24 | 5,408,000 | 5,265,040 | ||
3.875% 10/15/22 | 11,543,000 | 11,638,461 | ||
4.375% 6/15/22 | 7,323,000 | 7,576,918 | ||
5.95% 2/15/17 | 102,000 | 108,357 | ||
6.5% 1/15/18 | 3,795,000 | 4,175,475 | ||
6.75% 3/15/20 | 10,379,000 | 12,023,532 | ||
8.25% 8/15/19 | 75,000 | 90,575 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 18,100,000 | 18,029,066 | ||
6% 9/15/17 | 1,212,000 | 1,308,027 | ||
6.25% 1/15/17 | 1,027,000 | 1,087,078 | ||
ERP Operating LP: | ||||
2.375% 7/1/19 | 8,777,000 | 8,791,500 | ||
4.625% 12/15/21 | 17,159,000 | 18,535,461 | ||
4.75% 7/15/20 | 7,700,000 | 8,404,450 | ||
5.375% 8/1/16 | 2,768,000 | 2,873,079 | ||
5.75% 6/15/17 | 14,407,000 | 15,447,027 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,848,691 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HCP, Inc. 3.75% 2/1/16 | $ 6,084,000 | $ 6,151,356 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 5,151,000 | 5,157,985 | ||
4.7% 9/15/17 | 1,538,000 | 1,622,252 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 650,684 | ||
HRPT Properties Trust: | ||||
6.25% 6/15/17 | 1,232,000 | 1,291,660 | ||
6.65% 1/15/18 | 867,000 | 931,770 | ||
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,638,463 | ||
Omega Healthcare Investors, Inc.: | ||||
4.5% 1/15/25 | 4,655,000 | 4,572,774 | ||
4.5% 4/1/27 (h) | 45,578,000 | 43,784,460 | ||
4.95% 4/1/24 | 3,875,000 | 3,987,673 | ||
5.875% 3/15/24 | 290,000 | 305,225 | ||
6.75% 10/15/22 | 345,000 | 357,938 | ||
Retail Opportunity Investments Partnership LP: | ||||
4% 12/15/24 | 3,376,000 | 3,289,544 | ||
5% 12/15/23 | 2,030,000 | 2,139,920 | ||
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 278,757 | ||
Simon Property Group LP 4.125% 12/1/21 | 7,287,000 | 7,721,101 | ||
The GEO Group, Inc. 5.875% 1/15/22 | 2,285,000 | 2,376,400 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,670,616 | ||
WP Carey, Inc. 4% 2/1/25 | 21,616,000 | 20,894,393 | ||
| 348,169,043 | |||
Real Estate Management & Development - 1.7% | ||||
BioMed Realty LP: | ||||
2.625% 5/1/19 | 7,539,000 | 7,527,428 | ||
3.85% 4/15/16 | 16,284,000 | 16,495,024 | ||
4.25% 7/15/22 | 5,809,000 | 5,923,693 | ||
6.125% 4/15/20 | 3,429,000 | 3,859,751 | ||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | 12,775,000 | 12,544,130 | ||
4.1% 10/1/24 | 15,881,000 | 15,800,452 | ||
4.55% 10/1/29 | 15,881,000 | 15,422,309 | ||
4.95% 4/15/18 | 12,690,000 | 13,476,184 | ||
5.7% 5/1/17 | 7,049,000 | 7,453,493 | ||
6% 4/1/16 | 2,699,000 | 2,766,613 | ||
CBRE Group, Inc. 5% 3/15/23 | 10,300,000 | 10,398,138 | ||
Citycon Oyj 3.75% 6/24/20 (Reg. S) | EUR | 2,500,000 | 3,043,919 | |
Citycon Treasury BV 2.5% 10/1/24 (Reg. S) | EUR | 350,000 | 386,217 | |
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Deutsche Annington Finance BV 5% 10/2/23 (h) | $ 3,750,000 | $ 3,987,863 | ||
Digital Realty Trust LP: | ||||
3.95% 7/1/22 | 11,369,000 | 11,381,153 | ||
5.25% 3/15/21 | 5,708,000 | 6,213,580 | ||
Essex Portfolio LP: | ||||
3.875% 5/1/24 | 8,802,000 | 8,807,123 | ||
5.5% 3/15/17 | 3,597,000 | 3,794,058 | ||
Host Hotels & Resorts LP: | ||||
4.75% 3/1/23 | 150,000 | 156,208 | ||
6% 11/1/20 | 105,000 | 108,621 | ||
Howard Hughes Corp. 6.875% 10/1/21 (h) | 2,035,000 | 2,121,488 | ||
Hunt Companies, Inc. 9.625% 3/1/21 (h) | 870,000 | 835,200 | ||
Inmobiliaria Colonial SA 1.863% 6/5/19 (Reg. S) | EUR | 2,900,000 | 3,248,052 | |
Inversiones y Representaciones SA: | ||||
8.5% 2/2/17 (Reg. S) | 65,000 | 64,675 | ||
11.5% 7/20/20 (Reg. S) | 5,000 | 5,550 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 6,574,000 | 6,326,943 | ||
4.125% 6/15/22 | 6,280,000 | 6,419,812 | ||
4.4% 2/15/24 | 13,017,000 | 13,390,015 | ||
4.75% 10/1/20 | 11,282,000 | 12,170,300 | ||
5.5% 12/15/16 | 1,891,000 | 1,979,036 | ||
6.625% 10/1/17 | 4,835,000 | 5,292,923 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 9,223,000 | 9,251,813 | ||
3.15% 5/15/23 | 14,735,000 | 13,078,447 | ||
4.5% 4/18/22 | 4,072,000 | 4,058,485 | ||
5.8% 1/15/16 | 10,000,000 | 10,147,530 | ||
7.75% 8/15/19 | 700,000 | 806,132 | ||
Mid-America Apartments LP: | ||||
4.3% 10/15/23 | 2,224,000 | 2,274,632 | ||
6.05% 9/1/16 | 2,000,000 | 2,086,998 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,500,114 | ||
Prime Property Funding, Inc. 5.7% 4/15/17 (h) | 4,546,000 | 4,757,194 | ||
Realogy Corp. 7.625% 1/15/20 (h) | 981,000 | 1,031,276 | ||
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (h) | 235,000 | 236,469 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 7,123,000 | 7,300,911 | ||
Regency Centers LP 5.875% 6/15/17 | 2,874,000 | 3,085,276 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: | ||||
3.75% 12/1/24 | $ 10,161,000 | $ 9,927,795 | ||
3.875% 12/1/23 | 4,812,000 | 4,777,002 | ||
6.125% 6/1/20 | 14,318,000 | 16,277,604 | ||
Ventas Realty LP: | ||||
1.55% 9/26/16 | 7,655,000 | 7,668,947 | ||
3.5% 2/1/25 | 4,631,000 | 4,380,296 | ||
3.75% 5/1/24 | 20,000,000 | 19,579,180 | ||
4.125% 1/15/26 | 5,557,000 | 5,501,135 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | 8,050,000 | 8,073,015 | ||
4% 4/30/19 | 3,747,000 | 3,918,234 | ||
4.25% 3/1/22 | 300,000 | 311,040 | ||
Vesteda Finance BV 1.75% 7/22/19 (Reg. S) | EUR | 3,000,000 | 3,393,462 | |
| 345,822,938 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Wrightwood Capital LLC 1.9% 4/20/20 (d) | 362 | 12,138 | ||
TOTAL FINANCIALS | 3,775,615,933 | |||
HEALTH CARE - 2.6% | ||||
Biotechnology - 0.2% | ||||
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (h) | 845,000 | 865,069 | ||
Amgen, Inc.: | ||||
1.25% 5/22/17 | 14,862,000 | 14,821,278 | ||
2.2% 5/22/19 | 14,136,000 | 14,023,986 | ||
| 29,710,333 | |||
Health Care Equipment & Supplies - 0.0% | ||||
Becton, Dickinson & Co. 2.675% 12/15/19 | 4,539,000 | 4,538,737 | ||
Hill-Rom Holdings, Inc. 5.75% 9/1/23 (h)(j) | 1,220,000 | 1,241,350 | ||
Hologic, Inc. 5.25% 7/15/22 (h) | 1,620,000 | 1,650,375 | ||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (h) | 655,000 | 650,088 | ||
| 8,080,550 | |||
Health Care Providers & Services - 1.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 1,914,945 | ||
Community Health Systems, Inc. 6.875% 2/1/22 | 5,375,000 | 5,712,604 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 24,746,000 | 26,451,148 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HCA Holdings, Inc.: | ||||
3.75% 3/15/19 | $ 18,722,000 | $ 18,815,610 | ||
4.25% 10/15/19 | 7,590,000 | 7,741,800 | ||
4.75% 5/1/23 | 595,000 | 603,175 | ||
5.875% 3/15/22 | 715,000 | 777,563 | ||
6.5% 2/15/20 | 30,303,000 | 33,484,815 | ||
HealthSouth Corp.: | ||||
5.125% 3/15/23 | 860,000 | 851,400 | ||
5.75% 11/1/24 (h) | 1,035,000 | 1,049,387 | ||
5.75% 11/1/24 | 1,155,000 | 1,171,055 | ||
Kindred Escrow Corp. II: | ||||
8% 1/15/20 (h) | 3,740,000 | 4,097,638 | ||
8.75% 1/15/23 (h) | 9,820,000 | 10,998,400 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 1,176,000 | 1,176,734 | ||
4.125% 9/15/20 | 7,486,000 | 7,909,753 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 500,000 | 517,500 | ||
5.5% 2/1/21 | 5,400,000 | 5,643,000 | ||
Tenet Healthcare Corp.: | ||||
3.7861% 6/15/20 (h)(n) | 1,550,000 | 1,558,525 | ||
5% 3/1/19 | 2,285,000 | 2,280,978 | ||
6% 10/1/20 | 605,000 | 647,350 | ||
6.75% 6/15/23 | 2,530,000 | 2,605,900 | ||
6.875% 11/15/31 | 130,000 | 120,250 | ||
8.125% 4/1/22 | 16,575,000 | 18,356,813 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 2,398,000 | 2,309,437 | ||
2.875% 3/15/23 | 16,114,000 | 15,682,467 | ||
3.35% 7/15/22 | 6,192,000 | 6,333,648 | ||
3.75% 7/15/25 | 19,000,000 | 19,448,913 | ||
4.625% 7/15/35 | 12,193,000 | 12,717,835 | ||
4.75% 7/15/45 | 20,331,000 | 21,277,306 | ||
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,239,174 | ||
| 238,495,123 | |||
Health Care Technology - 0.0% | ||||
Emdeon, Inc. 6% 2/15/21 (h) | 1,345,000 | 1,324,825 | ||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 3,107,000 | 3,089,557 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Life Sciences Tools & Services - continued | ||||
Thermo Fisher Scientific, Inc.: - continued | ||||
2.4% 2/1/19 | $ 1,959,000 | $ 1,954,390 | ||
4.15% 2/1/24 | 3,010,000 | 3,067,094 | ||
| 8,111,041 | |||
Pharmaceuticals - 1.2% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 13,509,000 | 13,497,409 | ||
2.9% 11/6/22 | 13,855,000 | 13,364,824 | ||
3.6% 5/14/25 | 24,114,000 | 23,711,682 | ||
4.5% 5/14/35 | 23,238,000 | 22,197,031 | ||
4.7% 5/14/45 | 23,197,000 | 22,539,759 | ||
Actavis Funding SCS: | ||||
3% 3/12/20 | 13,777,000 | 13,713,089 | ||
3.45% 3/15/22 | 18,597,000 | 18,189,819 | ||
3.8% 3/15/25 | 27,765,000 | 26,897,316 | ||
4.75% 3/15/45 | 10,716,000 | 9,820,850 | ||
Bayer AG 2.375% 4/2/75 (Reg. S) (n) | EUR | 2,450,000 | 2,622,251 | |
Bayer U.S. Finance LLC: | ||||
2.375% 10/8/19 (h) | 10,323,000 | 10,366,501 | ||
3% 10/8/21 (h) | 7,536,000 | 7,547,063 | ||
3.375% 10/8/24 (h) | 3,362,000 | 3,335,417 | ||
Endo Finance LLC 5.375% 1/15/23 (h) | 1,530,000 | 1,541,475 | ||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.: | ||||
6% 7/15/23 (h) | 1,885,000 | 1,960,400 | ||
6% 2/1/25 (h) | 3,680,000 | 3,781,200 | ||
Mylan, Inc. 1.35% 11/29/16 | 3,628,000 | 3,595,562 | ||
Perrigo Co. PLC: | ||||
1.3% 11/8/16 | 2,954,000 | 2,936,034 | ||
2.3% 11/8/18 | 3,161,000 | 3,153,107 | ||
Perrigo Finance PLC: | ||||
3.5% 12/15/21 | 3,657,000 | 3,567,458 | ||
3.9% 12/15/24 | 5,449,000 | 5,278,446 | ||
4.9% 12/15/44 | 2,390,000 | 2,267,522 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
5.375% 3/15/20 (h) | 4,015,000 | 4,085,263 | ||
5.875% 5/15/23 (h) | 3,240,000 | 3,304,800 | ||
6.125% 4/15/25 (h) | 5,460,000 | 5,623,800 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 4,757,000 | 4,738,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 2,006,000 | $ 1,993,180 | ||
3.25% 2/1/23 | 4,892,000 | 4,638,815 | ||
| 240,268,873 | |||
TOTAL HEALTH CARE | 525,990,745 | |||
INDUSTRIALS - 1.5% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
3.8% 10/7/24 (h) | 9,122,000 | 9,152,933 | ||
6.375% 6/1/19 (h) | 8,071,000 | 9,151,207 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (h) | 7,620,000 | 7,315,200 | ||
TransDigm, Inc.: | ||||
5.5% 10/15/20 | 4,530,000 | 4,440,080 | ||
6% 7/15/22 | 2,885,000 | 2,842,158 | ||
6.5% 5/15/25 (h) | 1,355,000 | 1,332,981 | ||
| 34,234,559 | |||
Airlines - 0.2% | ||||
Air Canada 6.625% 5/15/18 (h) | 1,465,000 | 1,519,791 | ||
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 9/15/20 (h) | 3,225,000 | 3,118,660 | ||
Allegiant Travel Co. 5.5% 7/15/19 | 4,220,000 | 4,293,850 | ||
American Airlines Group, Inc.: | ||||
4.625% 3/1/20 (h) | 2,670,000 | 2,623,275 | ||
5.5% 10/1/19 (h) | 8,970,000 | 9,183,038 | ||
American Airlines, Inc. pass-thru certificates equipment trust certificate 5.625% 1/15/21 (h) | 207,953 | 214,191 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 9.798% 4/1/21 | 234,393 | 256,660 | ||
6.125% 4/29/18 | 240,000 | 249,000 | ||
6.648% 3/15/19 | 945,121 | 971,111 | ||
6.9% 7/2/19 | 381,986 | 398,449 | ||
9.25% 5/10/17 | 1,325,326 | 1,441,292 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.375% 7/2/17 (h) | 1,515,000 | 1,533,938 | ||
6.75% 5/23/17 | 1,515,000 | 1,533,938 | ||
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 927,444 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,711,125 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru certificates: - continued | ||||
Series 2013-1 Class B, 5.375% 5/15/23 | $ 323,913 | $ 335,250 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 1,366,062 | 1,448,025 | ||
8.36% 1/20/19 | 837,230 | 896,883 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 631,364 | 669,246 | ||
12% 1/15/16 (h) | 157,666 | 163,973 | ||
United Continental Holdings, Inc.: | ||||
6% 12/1/20 | 2,600,000 | 2,713,750 | ||
6.375% 6/1/18 | 140,000 | 146,475 | ||
| 36,349,364 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 5.375% 11/15/24 (h) | 3,095,000 | 3,095,000 | ||
USG Corp. 5.5% 3/1/25 (h) | 3,175,000 | 3,159,125 | ||
| 6,254,125 | |||
Commercial Services & Supplies - 0.3% | ||||
ADT Corp.: | ||||
3.5% 7/15/22 | 6,296,000 | 5,636,809 | ||
4.125% 4/15/19 | 2,860,000 | 2,902,900 | ||
4.125% 6/15/23 | 5,040,000 | 4,624,200 | ||
5.25% 3/15/20 | 2,035,000 | 2,080,788 | ||
6.25% 10/15/21 | 2,065,000 | 2,132,113 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 | 12,550,000 | 12,189,188 | ||
8.75% 12/1/20 | 13,055,000 | 11,455,763 | ||
Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (h) | 5,020,000 | 4,492,900 | ||
Cenveo Corp. 6% 8/1/19 (h) | 325,000 | 273,813 | ||
Garda World Security Corp.: | ||||
7.25% 11/15/21 (h) | 8,485,000 | 7,933,475 | ||
7.25% 11/15/21 (h) | 400,000 | 374,000 | ||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h) | 3,500,000 | 3,605,000 | ||
R.R. Donnelley & Sons Co.: | ||||
6.5% 11/15/23 | 1,280,000 | 1,232,000 | ||
7% 2/15/22 | 660,000 | 646,800 | ||
| 59,579,749 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Construction & Engineering - 0.0% | ||||
Abengoa Greenfield SA 6.5% 10/1/19 (h) | $ 2,595,000 | $ 1,518,075 | ||
Cementos Progreso Trust 7.125% 11/6/23 (h) | 570,000 | 609,900 | ||
Odebrecht Finance Ltd. 4.375% 4/25/25 (h) | 650,000 | 427,375 | ||
| 2,555,350 | |||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 5.75% 10/1/22 (n) | 1,920,000 | 1,718,400 | ||
Sensata Technologies BV 5% 10/1/25 (h) | 2,285,000 | 2,216,450 | ||
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 6,500,000 | 6,903,018 | |
| 10,837,868 | |||
Industrial Conglomerates - 0.1% | ||||
Alfa SA de CV 5.25% 3/25/24 (h) | 450,000 | 462,375 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,154,286 | ||
| 19,616,661 | |||
Machinery - 0.0% | ||||
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (h) | 1,340,000 | 1,266,300 | ||
Schaeffler Finance BV 4.75% 5/15/21 (h) | 1,540,000 | 1,514,020 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 | 1,645,000 | 1,677,900 | ||
| 4,458,220 | |||
Marine - 0.1% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (h) | 4,350,000 | 4,154,250 | ||
Navios Maritime Holdings, Inc.: | ||||
7.375% 1/15/22 (h) | 8,910,000 | 7,395,300 | ||
8.125% 2/15/19 | 2,885,000 | 2,293,575 | ||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (h) | 885,000 | 816,413 | ||
| 14,659,538 | |||
Professional Services - 0.0% | ||||
IHS, Inc. 5% 11/1/22 | 2,895,000 | 2,927,569 | ||
Road & Rail - 0.1% | ||||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,004,464 | |
Firstgroup PLC 5.25% 11/29/22 | GBP | 1,000,000 | 1,646,759 | |
JSC Georgian Railway 7.75% 7/11/22 (h) | 650,000 | 670,313 | ||
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (h) | 570,000 | 571,140 | ||
OPE KAG Finance Sub, Inc. 7.875% 7/31/23 (h) | 5,045,000 | 5,145,900 | ||
| 12,038,576 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.5% | ||||
Air Lease Corp.: | ||||
2.125% 1/15/18 | $ 7,271,000 | $ 7,198,290 | ||
2.625% 9/4/18 | 16,438,000 | 16,396,116 | ||
3.75% 2/1/22 | 16,396,000 | 16,384,998 | ||
3.875% 4/1/21 | 14,814,000 | 14,962,140 | ||
4.25% 9/15/24 | 12,030,000 | 11,894,663 | ||
4.75% 3/1/20 | 11,796,000 | 12,489,369 | ||
Aircastle Ltd.: | ||||
5.125% 3/15/21 | 1,575,000 | 1,610,438 | ||
6.25% 12/1/19 | 830,000 | 900,550 | ||
Building Materials Holding Corp. 9% 9/15/18 (h) | 2,690,000 | 2,861,488 | ||
FLY Leasing Ltd.: | ||||
6.375% 10/15/21 | 5,600,000 | 5,726,000 | ||
6.75% 12/15/20 | 2,795,000 | 2,878,850 | ||
International Lease Finance Corp. 4.625% 4/15/21 | 955,000 | 971,713 | ||
Travis Perkins PLC 4.375% 9/15/21 (Reg. S) | GBP | 1,000,000 | 1,548,751 | |
United Rentals North America, Inc. 5.5% 7/15/25 | 1,045,000 | 1,008,425 | ||
| 96,831,791 | |||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA: | ||||
10.75% 12/1/20 (h) | 1,566,180 | 1,650,362 | ||
10.75% 12/1/20 (Reg. S) | 87,780 | 92,498 | ||
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 2,400,000 | 4,134,168 | |
| 5,877,028 | |||
TOTAL INDUSTRIALS | 306,220,398 | |||
INFORMATION TECHNOLOGY - 0.7% | ||||
Communications Equipment - 0.2% | ||||
Alcatel-Lucent U.S.A., Inc.: | ||||
6.75% 11/15/20 (h) | 5,575,000 | 5,951,313 | ||
8.875% 1/1/20 (h) | 1,970,000 | 2,138,681 | ||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (h) | 2,070,000 | 2,070,000 | ||
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 1,430,000 | 1,365,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 15,450,000 | $ 16,154,829 | ||
6.5% 1/15/28 | 4,782,000 | 4,973,280 | ||
| 32,653,753 | |||
Electronic Equipment & Components - 0.0% | ||||
Amphenol Corp. 3.125% 9/15/21 | 4,703,000 | 4,658,213 | ||
Tyco Electronics Group SA: | ||||
2.375% 12/17/18 | 2,244,000 | 2,255,072 | ||
6.55% 10/1/17 | 1,383,000 | 1,517,607 | ||
| 8,430,892 | |||
IT Services - 0.1% | ||||
Audatex North America, Inc.: | ||||
6% 6/15/21 (h) | 3,200,000 | 3,124,672 | ||
6.125% 11/1/23 (h) | 2,290,000 | 2,269,711 | ||
Capgemini SA 2.5% 7/1/23 (Reg. S) | EUR | 3,700,000 | 4,264,153 | |
Global Cash Access, Inc. 10% 1/15/22 (h) | 5,220,000 | 4,932,900 | ||
| 14,591,436 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Infineon Technologies AG 1.5% 3/10/22 (Reg. S) | EUR | 4,400,000 | 4,819,623 | |
Micron Technology, Inc.: | ||||
5.25% 8/1/23 (h) | 5,285,000 | 4,928,263 | ||
5.25% 1/15/24 (h) | 5,165,000 | 4,790,538 | ||
5.625% 1/15/26 (h) | 2,165,000 | 1,964,738 | ||
5.875% 2/15/22 | 2,310,000 | 2,275,350 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (h) | 600,000 | 603,000 | ||
| 19,381,512 | |||
Software - 0.1% | ||||
Blue Coat Systems, Inc. 8.375% 6/1/23 (h) | 6,820,000 | 6,833,640 | ||
Italics Merger Sub, Inc. 7.125% 7/15/23 (h) | 2,715,000 | 2,626,192 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (h) | 3,315,000 | 3,321,232 | ||
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (h) | 1,175,000 | 1,211,660 | ||
| 13,992,724 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||
Apple, Inc.: | ||||
3.2% 5/13/25 | $ 20,000,000 | $ 19,879,440 | ||
4.375% 5/13/45 | 20,000,000 | 19,768,580 | ||
| 39,648,020 | |||
TOTAL INFORMATION TECHNOLOGY | 128,698,337 | |||
MATERIALS - 1.4% | ||||
Chemicals - 0.2% | ||||
Braskem Finance Ltd.: | ||||
5.375% 5/2/22 (h) | 735,000 | 643,125 | ||
5.75% 4/15/21 (h) | 430,000 | 389,150 | ||
6.45% 2/3/24 | 455,000 | 412,867 | ||
Evolution Escrow Issuer LLC 7.5% 3/15/22 (h) | 4,150,000 | 3,340,750 | ||
LSB Industries, Inc. 7.75% 8/1/19 | 1,055,000 | 1,062,913 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (h) | 3,175,000 | 3,182,938 | ||
OCP SA 5.625% 4/25/24 (h) | 390,000 | 399,828 | ||
Platform Specialty Products Corp. 6.5% 2/1/22 (h) | 2,210,000 | 2,140,009 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (h) | 1,755,000 | 1,640,925 | ||
8.25% 1/15/21 (h) | 865,000 | 817,425 | ||
The Chemours Company LLC 6.625% 5/15/23 (h) | 4,065,000 | 3,536,550 | ||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 10,888,000 | 11,337,794 | ||
4.25% 11/15/20 | 5,898,000 | 6,249,975 | ||
| 35,154,249 | |||
Construction Materials - 0.1% | ||||
CEMEX Finance LLC: | ||||
6% 4/1/24 (h) | 1,670,000 | 1,586,500 | ||
9.375% 10/12/22 (h) | 710,000 | 793,425 | ||
CEMEX S.A.B. de CV: | ||||
6.125% 5/5/25 (h) | 5,695,000 | 5,438,725 | ||
6.5% 12/10/19 (h) | 4,195,000 | 4,257,925 | ||
Union Andina de Cementos SAA 5.875% 10/30/21 (h) | 635,000 | 631,635 | ||
| 12,708,210 | |||
Containers & Packaging - 0.2% | ||||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (h)(n) | 14,962,327 | 15,512,816 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
3.2859% 12/15/19 (h)(n) | $ 7,335,000 | $ 7,188,300 | ||
7% 11/15/20 (h) | 2,655,000 | 2,681,550 | ||
Ball Corp. 5.25% 7/1/25 | 4,920,000 | 4,895,400 | ||
Beverage Packaging Holdings II SA (Luxembourg) 6% 6/15/17 (h) | 2,190,000 | 2,179,050 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h) | 1,355,000 | 1,178,850 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 | 2,345,000 | 2,295,169 | ||
Owens-Brockway Glass Container, Inc.: | ||||
5.875% 8/15/23 (h) | 2,290,000 | 2,330,075 | ||
6.375% 8/15/25 (h) | 2,290,000 | 2,341,525 | ||
Sappi Papier Holding GmbH 6.625% 4/15/21 (h) | 6,885,000 | 7,057,125 | ||
| 47,659,860 | |||
Metals & Mining - 0.9% | ||||
Alcoa, Inc. 5.125% 10/1/24 | 9,954,000 | 9,754,920 | ||
Alrosa Finance SA 7.75% 11/3/20 (h) | 700,000 | 722,645 | ||
Anglo American Capital PLC: | ||||
3.625% 5/14/20 (h) | 29,122,000 | 27,689,052 | ||
4.875% 5/14/25 (h) | 29,080,000 | 26,226,525 | ||
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 | 230,000 | 196,650 | ||
Compania Minera Ares SAC 7.75% 1/23/21 (h) | 860,000 | 826,460 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (h) | 11,456,000 | 11,527,715 | ||
4.875% 11/4/44 (h) | 5,532,000 | 4,903,244 | ||
CSN Resources SA 6.5% 7/21/20 (h) | 500,000 | 307,500 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (h) | 2,030,000 | 1,768,638 | ||
9.5% 4/24/18 (Reg. S) | 3,100,000 | 3,162,000 | ||
Ferrexpo Finance PLC 10.375% 4/7/19 (h) | 2,347,000 | 1,936,275 | ||
First Quantum Minerals Ltd.: | ||||
6.75% 2/15/20 (h) | 8,075,000 | 5,773,625 | ||
7.25% 5/15/22 (h) | 3,745,000 | 2,612,138 | ||
Freeport-McMoRan, Inc. 2.3% 11/14/17 | 9,771,000 | 9,087,030 | ||
Gerdau Trade, Inc. 5.75% 1/30/21 (h) | 460,000 | 429,640 | ||
Gold Fields Orogen Holding BVI Ltd.: | ||||
4.875% 10/7/20 (h) | 2,530,000 | 2,150,500 | ||
4.875% 10/7/20 (Reg. S) | 200,000 | 170,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
GTL Trade Finance, Inc. 5.893% 4/29/24 (h) | $ 1,025,000 | $ 893,493 | ||
JMC Steel Group, Inc. 8.25% 3/15/18 (h) | 2,460,000 | 1,949,550 | ||
Lundin Mining Corp.: | ||||
7.5% 11/1/20 (h) | 4,430,000 | 4,374,625 | ||
7.875% 11/1/22 (h) | 6,840,000 | 6,737,400 | ||
Metalloinvest Finance Ltd. 5.625% 4/17/20 (h) | 1,440,000 | 1,314,101 | ||
Metinvest BV: | ||||
8.75% 2/14/18 (Reg. S) | 400,000 | 224,000 | ||
10.5% 11/28/17 (h) | 3,575,000 | 2,073,500 | ||
Murray Energy Corp. 11.25% 4/15/21 (h) | 9,760,000 | 4,514,000 | ||
New Gold, Inc. 6.25% 11/15/22 (h) | 4,830,000 | 4,081,350 | ||
Nord Gold NV 6.375% 5/7/18 (h) | 1,660,000 | 1,630,950 | ||
Polyus Gold International Ltd.: | ||||
5.625% 4/29/20 (h) | 3,110,000 | 2,938,950 | ||
5.625% 4/29/20 (Reg. S) | 200,000 | 189,000 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 12,175,000 | 12,086,804 | ||
Samarco Mineracao SA 5.75% 10/24/23 (h) | 655,000 | 613,080 | ||
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (h) | 1,600,000 | 1,544,000 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 530,000 | 508,784 | ||
7.5% 7/27/35 | 910,000 | 942,178 | ||
Steel Dynamics, Inc.: | ||||
5.125% 10/1/21 | 4,850,000 | 4,755,425 | ||
5.5% 10/1/24 | 4,070,000 | 3,952,988 | ||
6.125% 8/15/19 | 2,683,000 | 2,780,259 | ||
Urenco Finance NV 2.25% 8/5/22 (Reg. S) | EUR | 1,650,000 | 1,839,227 | |
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 12,000,000 | 11,127,600 | ||
6.25% 1/11/16 | 5,000,000 | 5,070,000 | ||
6.25% 1/23/17 | 5,581,000 | 5,796,817 | ||
6.875% 11/21/36 | 640,000 | 544,640 | ||
Vedanta Resources PLC 6% 1/31/19 (h) | 1,090,000 | 945,575 | ||
| 192,672,853 | |||
Paper & Forest Products - 0.0% | ||||
Sino-Forest Corp. 6.25% 10/21/17 (d)(h) | 1,365,000 | 0 | ||
TOTAL MATERIALS | 288,195,172 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 2.2% | ||||
Altice Financing SA: | ||||
6.5% 1/15/22 (h) | $ 1,865,000 | $ 1,869,663 | ||
6.625% 2/15/23 (h) | 2,780,000 | 2,766,100 | ||
7.875% 12/15/19 (h) | 272,000 | 284,240 | ||
Altice Finco SA: | ||||
7.625% 2/15/25 (h) | 2,720,000 | 2,665,600 | ||
8.125% 1/15/24 (h) | 1,000,000 | 1,010,000 | ||
9.875% 12/15/20 (h) | 6,135,000 | 6,733,163 | ||
AT&T, Inc.: | ||||
2.45% 6/30/20 | 11,294,000 | 11,187,407 | ||
3% 6/30/22 | 29,259,000 | 28,079,570 | ||
3.4% 5/15/25 | 39,520,000 | 37,617,626 | ||
4.75% 5/15/46 | 31,335,000 | 28,570,344 | ||
4.8% 6/15/44 | 15,000,000 | 13,777,905 | ||
6.3% 1/15/38 | 16,665,000 | 18,177,365 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 48,413 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 972,000 | 996,300 | ||
6% 4/1/17 | 2,432,000 | 2,535,360 | ||
6.15% 9/15/19 | 6,992,000 | 7,324,120 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 8,346,000 | 8,625,174 | ||
7.995% 6/1/36 | 4,717,000 | 4,988,228 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (h) | 2,775,000 | 2,913,750 | ||
GCI, Inc. 6.875% 4/15/25 | 5,080,000 | 5,219,700 | ||
Intelsat Luxembourg SA 7.75% 6/1/21 | 2,700,000 | 2,022,975 | ||
Level 3 Financing, Inc.: | ||||
5.125% 5/1/23 (h) | 3,245,000 | 3,163,875 | ||
5.375% 8/15/22 | 6,925,000 | 6,949,515 | ||
5.375% 5/1/25 (h) | 1,080,000 | 1,043,550 | ||
Qtel International Finance Ltd. 5% 10/19/25 (h) | 645,000 | 696,781 | ||
Sable International Finance Ltd. 6.875% 8/1/22 (h) | 1,340,000 | 1,353,400 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 23,495,000 | 20,205,700 | ||
8.75% 3/15/32 | 3,305,000 | 3,127,356 | ||
TDC A/S 3.5% 2/26/3015 (Reg. S) (n) | EUR | 1,550,000 | 1,669,585 | |
Telecom Italia Capital SA 6% 9/30/34 | 1,350,000 | 1,323,000 | ||
Telecom Italia SpA 5.303% 5/30/24 (h) | 1,350,000 | 1,360,125 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h) | 590,000 | 594,425 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon Communications, Inc.: | ||||
1.35% 6/9/17 | $ 20,956,000 | $ 20,887,600 | ||
2.625% 2/21/20 | 21,379,000 | 21,388,107 | ||
4.5% 9/15/20 | 36,000,000 | 38,720,880 | ||
5.012% 8/21/54 | 55,038,000 | 50,205,113 | ||
6.25% 4/1/37 | 2,348,000 | 2,631,364 | ||
6.4% 9/15/33 | 10,915,000 | 12,445,709 | ||
6.55% 9/15/43 | 54,849,000 | 64,763,725 | ||
Wind Acquisition Finance SA: | ||||
4.75% 7/15/20 (h) | 3,205,000 | 3,229,038 | ||
7.375% 4/23/21 (h) | 10,860,000 | 11,104,350 | ||
| 454,276,201 | |||
Wireless Telecommunication Services - 0.6% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | 15,982,000 | 16,149,811 | ||
3.125% 7/16/22 | 9,218,000 | 9,036,498 | ||
Comcel Trust 6.875% 2/6/24 (h) | 560,000 | 575,400 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (h) | 9,220,000 | 8,443,768 | ||
6.75% 3/1/23 (h) | 2,795,000 | 2,564,413 | ||
7% 2/15/20 (h) | 425,000 | 422,875 | ||
7.125% 4/1/22 (h) | 1,885,000 | 1,642,306 | ||
8.25% 9/30/20 (h) | 9,040,000 | 8,362,000 | ||
Everything Everywhere Finance PLC 4.375% 3/28/19 | GBP | 850,000 | 1,384,160 | |
Intelsat Jackson Holdings SA: | ||||
5.5% 8/1/23 | 1,490,000 | 1,311,200 | ||
7.25% 10/15/20 | 1,810,000 | 1,739,863 | ||
Millicom International Cellular SA: | ||||
4.75% 5/22/20 (h) | 650,000 | 622,375 | ||
6% 3/15/25 (h) | 6,675,000 | 6,307,875 | ||
6.625% 10/15/21 (h) | 1,450,000 | 1,443,475 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (h) | 2,680,000 | 2,832,674 | ||
SoftBank Corp. 5.375% 7/30/22 (Reg. S) | 4,200,000 | 4,215,750 | ||
Sprint Communications, Inc. 9% 11/15/18 (h) | 3,890,000 | 4,332,488 | ||
Sprint Corp.: | ||||
7.625% 2/15/25 | 5,395,000 | 5,034,209 | ||
7.875% 9/15/23 | 9,220,000 | 8,862,725 | ||
T-Mobile U.S.A., Inc.: | ||||
6% 3/1/23 | 4,060,000 | 4,139,129 | ||
6.375% 3/1/25 | 9,470,000 | 9,678,340 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
T-Mobile U.S.A., Inc.: - continued | ||||
6.464% 4/28/19 | $ 1,520,000 | $ 1,563,700 | ||
6.5% 1/15/24 | 3,045,000 | 3,128,738 | ||
6.625% 4/1/23 | 4,145,000 | 4,323,235 | ||
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 480,000 | 472,800 | ||
Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) | 650,000 | 689,619 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,260,000 | 4,223,603 | ||
| 113,503,029 | |||
TOTAL TELECOMMUNICATION SERVICES | 567,779,230 | |||
UTILITIES - 3.1% | ||||
Electric Utilities - 1.7% | ||||
AmerenUE 6.4% 6/15/17 | 2,491,000 | 2,707,894 | ||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 5,213,000 | 5,196,167 | ||
2.95% 12/15/22 | 4,935,000 | 4,766,134 | ||
American Transmission Systems, Inc. 5% 9/1/44 (h) | 2,638,000 | 2,696,015 | ||
Ceske Energeticke Zavody A/S 4.25% 4/3/22 (Reg. S) | 5,000,000 | 5,257,690 | ||
CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23 | 3,000,000 | 2,900,562 | ||
Dayton Power & Light Co. 1.875% 9/15/16 | 3,740,000 | 3,746,145 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (h) | 29,344,000 | 33,330,529 | ||
6.4% 9/15/20 (h) | 25,897,000 | 29,651,314 | ||
Edison International 3.75% 9/15/17 | 6,674,000 | 6,951,291 | ||
Eversource Energy: | ||||
1.45% 5/1/18 | 3,325,000 | 3,281,659 | ||
2.8% 5/1/23 | 15,104,000 | 14,481,036 | ||
Exelon Corp.: | ||||
1.55% 6/9/17 | 3,319,000 | 3,310,802 | ||
2.85% 6/15/20 | 4,888,000 | 4,877,168 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 36,397,000 | 36,513,616 | ||
4.25% 3/15/23 | 31,243,000 | 31,304,080 | ||
7.375% 11/15/31 | 24,589,000 | 29,595,320 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 21,966,892 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
IPALCO Enterprises, Inc. 3.45% 7/15/20 (h) | $ 27,495,000 | $ 27,013,838 | ||
Lamar Funding Ltd. 3.958% 5/7/25 (h) | 565,000 | 528,981 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 7,369,000 | 7,388,226 | ||
3.75% 11/15/20 | 1,450,000 | 1,519,207 | ||
Monongahela Power Co. 4.1% 4/15/24 (h) | 3,982,000 | 4,081,522 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 883,546 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 9,494,717 | 10,467,926 | ||
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 4,054,467 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 828,168 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 7,047,000 | 7,056,189 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,074,868 | ||
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 12,849,721 | ||
RJS Power Holdings LLC 5.125% 7/15/19 (h) | 8,575,000 | 8,103,375 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,600,240 | ||
5.15% 3/15/20 | 3,761,000 | 4,107,110 | ||
| 341,091,698 | |||
Gas Utilities - 0.0% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 965,000 | 984,532 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 466,407 | ||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,729,213 | ||
| 5,180,152 | |||
Independent Power and Renewable Electricity Producers - 0.5% | ||||
Calpine Corp.: | ||||
5.375% 1/15/23 | 4,730,000 | 4,563,031 | ||
5.75% 1/15/25 | 910,000 | 881,563 | ||
Dolphin Subsidiary II, Inc.: | ||||
6.5% 10/15/16 | 19,000,000 | 19,475,000 | ||
7.25% 10/15/21 | 21,425,000 | 22,094,531 | ||
Dynegy, Inc.: | ||||
6.75% 11/1/19 | 6,850,000 | 7,102,594 | ||
7.375% 11/1/22 | 8,135,000 | 8,419,725 | ||
7.625% 11/1/24 | 14,025,000 | 14,597,220 | ||
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 650,000 | 666,250 | ||
NRG Energy, Inc.: | ||||
6.25% 7/15/22 | 8,395,000 | 8,185,125 | ||
6.25% 5/1/24 | 8,475,000 | 8,051,250 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - continued | ||||
PPL Energy Supply LLC 6.5% 6/1/25 (h) | $ 1,180,000 | $ 1,094,450 | ||
TerraForm Power Operating LLC: | ||||
5.875% 2/1/23 (h) | 1,595,000 | 1,515,250 | ||
6.125% 6/15/25 (h) | 500,000 | 471,250 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 3,775,000 | 3,510,750 | ||
7.375% 7/1/21 | 1,515,000 | 1,632,413 | ||
| 102,260,402 | |||
Multi-Utilities - 0.9% | ||||
Dominion Resources, Inc.: | ||||
2.5818% 9/30/66 (n) | 35,229,000 | 30,674,771 | ||
7.5% 6/30/66 (n) | 10,345,000 | 9,219,981 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 | 15,809,000 | 15,719,221 | ||
2% 11/15/18 | 12,172,000 | 12,142,860 | ||
NiSource Finance Corp.: | ||||
5.25% 2/15/43 | 12,739,000 | 13,572,589 | ||
5.45% 9/15/20 | 11,473,000 | 12,834,845 | ||
5.8% 2/1/42 | 6,336,000 | 7,204,114 | ||
5.95% 6/15/41 | 11,832,000 | 13,708,271 | ||
6.4% 3/15/18 | 1,228,000 | 1,364,078 | ||
6.8% 1/15/19 | 6,774,000 | 7,729,059 | ||
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,688,160 | ||
Puget Energy, Inc.: | ||||
6% 9/1/21 | 15,565,000 | 17,789,705 | ||
6.5% 12/15/20 | 5,125,000 | 6,015,069 | ||
RWE AG 7% 10/12/72 (Reg. S) (n) | 2,700,000 | 2,808,000 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 14,116,000 | 14,290,798 | ||
2.875% 10/1/22 | 5,760,000 | 5,520,286 | ||
SP PowerAssets Ltd. 2.7% 9/14/22 (Reg. S) | 3,000,000 | 2,926,464 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (n) | 3,860,000 | 3,343,725 | ||
| 178,551,996 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Water Utilities - 0.0% | ||||
Yorkshire Water Services Finance Ltd. 6% 4/24/25 (n) | GBP | 3,500,000 | $ 5,681,512 | |
TOTAL UTILITIES | 632,765,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $9,021,912,936) |
| |||
U.S. Government and Government Agency Obligations - 19.0% | ||||
| ||||
U.S. Treasury Inflation-Protected Obligations - 2.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 202,680,000 | 182,320,864 | ||
1.375% 2/15/44 | 135,651,571 | 142,485,411 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.125% 7/15/24 | 166,092,620 | 159,512,508 | ||
0.25% 1/15/25 | 75,564,750 | 72,857,924 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 557,176,707 | |||
U.S. Treasury Obligations - 16.2% | ||||
U.S. Treasury Bonds: | ||||
2.5% 2/15/45 | 200,000 | 181,130 | ||
2.875% 8/15/45 | 101,360,000 | 99,736,618 | ||
3% 5/15/45 | 650,487,000 | 655,094,399 | ||
4.375% 2/15/38 | 430,000 | 543,726 | ||
U.S. Treasury Notes: | ||||
0.5% 1/31/17 (k) | 5,510,000 | 5,503,614 | ||
0.5% 2/28/17 | 1,450,000 | 1,447,677 | ||
1.125% 6/15/18 | 836,229,000 | 838,265,138 | ||
1.25% 10/31/18 | 616,376,000 | 618,214,033 | ||
1.375% 7/31/18 | 50,772,000 | 51,210,315 | ||
1.375% 4/30/20 | 18,176,000 | 18,062,873 | ||
1.625% 6/30/20 | 48,699,000 | 48,890,484 | ||
1.625% 7/31/20 | 5,593,000 | 5,611,641 | ||
2% 2/15/25 | 1,140,000 | 1,118,744 | ||
2% 8/15/25 (g) | 115,730,000 | 113,517,821 | ||
2.125% 5/15/25 | 704,209,000 | 697,900,696 | ||
2.25% 11/15/24 | 50,000,000 | 50,199,200 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.375% 8/15/24 | $ 76,723,000 | $ 77,941,745 | ||
2.5% 5/15/24 | 3,700,000 | 3,802,231 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,287,242,085 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,870,084,540) |
| |||
U.S. Government Agency - Mortgage Securities - 14.0% | ||||
| ||||
Fannie Mae - 8.1% | ||||
1.75% 10/1/34 (n) | 4,028 | 4,199 | ||
1.85% 10/1/33 (n) | 3,169 | 3,297 | ||
1.88% 1/1/35 (n) | 3,093 | 3,223 | ||
1.88% 1/1/35 (n) | 309,395 | 324,512 | ||
1.885% 2/1/33 (n) | 1,792 | 1,865 | ||
1.91% 12/1/34 (n) | 57,465 | 59,952 | ||
1.91% 3/1/35 (n) | 27,587 | 28,790 | ||
1.931% 10/1/33 (n) | 19,545 | 20,396 | ||
1.94% 7/1/35 (n) | 20,411 | 21,481 | ||
2.05% 3/1/35 (n) | 5,168 | 5,346 | ||
2.06% 1/1/35 (n) | 215,423 | 228,417 | ||
2.07% 4/1/37 (n) | 97,606 | 102,683 | ||
2.09% 10/1/33 (n) | 489,320 | 519,030 | ||
2.115% 12/1/34 (n) | 12,487 | 13,147 | ||
2.141% 9/1/36 (n) | 79,534 | 85,139 | ||
2.143% 9/1/36 (n) | 102,393 | 109,609 | ||
2.19% 3/1/37 (n) | 25,716 | 27,259 | ||
2.194% 7/1/34 (n) | 35,633 | 37,737 | ||
2.243% 3/1/33 (n) | 101,377 | 106,975 | ||
2.251% 5/1/35 (n) | 258,113 | 274,011 | ||
2.273% 3/1/40 (n) | 471,571 | 503,592 | ||
2.278% 6/1/47 (n) | 144,202 | 154,364 | ||
2.302% 6/1/36 (n) | 168,324 | 179,765 | ||
2.31% 12/1/39 (n) | 238,411 | 255,212 | ||
2.317% 5/1/36 (n) | 180,101 | 190,491 | ||
2.334% 7/1/35 (n) | 119,463 | 126,919 | ||
2.335% 9/1/35 (n) | 129,423 | 138,543 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
2.36% 11/1/36 (n) | $ 105,469 | $ 112,259 | ||
2.375% 2/1/36 (n) | 412,275 | 439,592 | ||
2.421% 10/1/33 (n) | 106,225 | 113,711 | ||
2.444% 6/1/36 (n) | 374,752 | 400,869 | ||
2.445% 12/1/35 (n) | 303,914 | 325,330 | ||
2.458% 3/1/35 (n) | 73,733 | 78,929 | ||
2.5% 5/1/27 to 8/1/43 | 61,129,557 | 61,465,205 | ||
2.53% 9/1/37 (n) | 31,520 | 33,741 | ||
2.544% 5/1/36 (n) | 190,203 | 203,028 | ||
2.546% 7/1/37 (n) | 179,300 | 191,928 | ||
2.557% 6/1/42 (n) | 338,990 | 350,421 | ||
2.615% 7/1/34 (n) | 238,719 | 255,541 | ||
2.69% 2/1/42 (n) | 1,940,959 | 2,007,691 | ||
2.758% 1/1/42 (n) | 2,380,632 | 2,474,945 | ||
2.96% 11/1/40 (n) | 203,472 | 213,177 | ||
2.982% 9/1/41 (n) | 208,873 | 217,652 | ||
3% 8/1/41 (n) | 1,196,246 | 1,242,725 | ||
3% 4/1/42 to 8/1/45 | 137,188,791 | 138,400,337 | ||
3% 9/1/45 (j) | 11,000,000 | 11,047,266 | ||
3% 9/1/45 (j) | 15,750,000 | 15,817,676 | ||
3% 9/1/45 (j) | 700,000 | 703,008 | ||
3% 9/1/45 (j) | 12,950,000 | 13,005,645 | ||
3% 10/1/45 (j) | 11,000,000 | 11,020,195 | ||
3% 10/1/45 (j) | 19,500,000 | 19,535,800 | ||
3.059% 10/1/41 (n) | 90,567 | 94,222 | ||
3.239% 7/1/41 (n) | 345,772 | 365,763 | ||
3.309% 10/1/41 (n) | 197,256 | 207,389 | ||
3.346% 9/1/41 (n) | 330,440 | 347,356 | ||
3.461% 12/1/40 (n) | 16,327,608 | 17,313,509 | ||
3.5% 5/1/21 to 8/1/45 | 195,532,121 | 203,539,049 | ||
3.5% 9/1/45 (j) | 21,300,000 | 22,072,123 | ||
3.5% 9/1/45 (j) | 62,400,000 | 64,661,994 | ||
3.5% 9/1/45 (j) | 54,400,000 | 56,371,995 | ||
3.5% 9/1/45 (j) | 118,400,000 | 122,691,988 | ||
3.554% 7/1/41 (n) | 393,834 | 416,390 | ||
4% 9/1/24 to 8/1/45 | 245,067,075 | 261,785,930 | ||
4% 9/1/45 (j) | 33,200,000 | 35,259,436 | ||
4% 9/1/45 (j) | 29,800,000 | 31,648,530 | ||
4% 9/1/45 (j) | 700,000 | 743,422 | ||
4.5% 2/1/33 to 4/1/45 | 239,339,417 | 260,852,450 | ||
4.5% 9/1/45 (j) | 104,900,000 | 113,636,198 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
4.5% 9/1/45 (j) | $ 66,500,000 | $ 72,038,200 | ||
5% 3/1/18 to 1/1/40 | 12,863,130 | 14,311,086 | ||
5.204% 7/1/37 (n) | 38,769 | 41,410 | ||
5.5% 12/1/17 to 3/1/41 | 41,331,160 | 46,286,955 | ||
5.565% 8/1/46 (n) | 35,732 | 37,960 | ||
6% 2/1/17 to 1/1/42 | 19,996,559 | 22,958,828 | ||
6.5% 1/1/16 to 4/1/37 | 8,527,275 | 9,849,648 | ||
7% 12/1/15 to 7/1/37 | 1,737,692 | 2,014,141 | ||
7.5% 6/1/25 to 2/1/32 | 743,846 | 874,496 | ||
8% 12/1/17 to 3/1/37 | 14,369 | 17,374 | ||
8.5% 1/1/17 to 7/1/31 | 5,368 | 6,427 | ||
9.5% 4/1/16 to 9/1/21 | 19,301 | 21,005 | ||
TOTAL FANNIE MAE | 1,643,647,899 | |||
Freddie Mac - 2.8% | ||||
1.5% 8/1/37 (n) | 36,329 | 37,466 | ||
1.82% 3/1/35 (n) | 109,500 | 113,785 | ||
1.825% 3/1/37 (n) | 17,605 | 18,412 | ||
1.852% 1/1/36 (n) | 94,641 | 99,746 | ||
1.914% 3/1/36 (n) | 192,332 | 201,498 | ||
1.981% 12/1/35 (n) | 268,185 | 282,848 | ||
2.022% 2/1/37 (n) | 183,077 | 192,081 | ||
2.05% 6/1/37 (n) | 30,132 | 31,675 | ||
2.055% 11/1/35 (n) | 203,364 | 214,431 | ||
2.095% 8/1/37 (n) | 77,851 | 82,228 | ||
2.105% 3/1/36 (n) | 222,387 | 234,156 | ||
2.121% 5/1/37 (n) | 75,262 | 80,330 | ||
2.274% 6/1/33 (n) | 249,066 | 263,084 | ||
2.328% 10/1/36 (n) | 351,588 | 372,184 | ||
2.333% 4/1/37 (n) | 93,267 | 99,840 | ||
2.351% 10/1/35 (n) | 135,925 | 143,969 | ||
2.385% 6/1/37 (n) | 25,390 | 27,023 | ||
2.394% 10/1/42 (n) | 3,383,968 | 3,567,757 | ||
2.415% 6/1/37 (n) | 258,833 | 276,770 | ||
2.436% 5/1/37 (n) | 70,764 | 75,744 | ||
2.448% 6/1/37 (n) | 57,600 | 61,659 | ||
2.489% 4/1/36 (n) | 186,736 | 199,418 | ||
2.526% 6/1/33 (n) | 757,843 | 808,047 | ||
2.571% 3/1/35 (n) | 1,151,839 | 1,233,007 | ||
2.595% 4/1/37 (n) | 8,560 | 9,163 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac - continued | ||||
2.67% 6/1/36 (n) | $ 68,904 | $ 73,701 | ||
2.722% 3/1/33 (n) | 6,318 | 6,764 | ||
2.757% 7/1/36 (n) | 86,515 | 92,612 | ||
2.757% 12/1/36 (n) | 318,536 | 340,983 | ||
3% 8/1/42 to 8/1/45 | 47,690,227 | 48,108,823 | ||
3% 9/1/45 (j) | 86,000,000 | 86,120,933 | ||
3.091% 9/1/41 (n) | 2,030,935 | 2,113,642 | ||
3.155% 10/1/35 (n) | 159,157 | 168,471 | ||
3.22% 9/1/41 (n) | 225,766 | 236,291 | ||
3.235% 4/1/41 (n) | 240,343 | 252,169 | ||
3.289% 6/1/41 (n) | 259,197 | 273,827 | ||
3.292% 7/1/41 (n) | 1,120,711 | 1,177,579 | ||
3.434% 12/1/40 (n) | 7,526,902 | 7,901,094 | ||
3.444% 5/1/41 (n) | 238,099 | 249,527 | ||
3.5% 4/1/42 to 6/1/45 (l) | 167,391,191 | 173,884,580 | ||
3.62% 6/1/41 (n) | 371,011 | 392,910 | ||
3.705% 5/1/41 (n) | 321,478 | 340,673 | ||
4% 6/1/33 to 5/1/45 | 95,880,320 | 102,497,114 | ||
4.5% 6/1/25 to 1/1/45 (m) | 48,439,808 | 52,890,490 | ||
5% 6/1/20 to 7/1/41 | 39,215,875 | 43,514,438 | ||
5.124% 4/1/38 (n) | 290,635 | 310,435 | ||
5.5% 10/1/17 to 3/1/41 | 15,770,507 | 17,584,709 | ||
6% 7/1/16 to 12/1/37 | 3,971,271 | 4,522,658 | ||
6.5% 2/1/16 to 9/1/39 | 5,732,729 | 6,570,082 | ||
7% 6/1/21 to 9/1/36 | 1,644,878 | 1,915,403 | ||
7.5% 9/1/15 to 6/1/32 | 29,492 | 34,633 | ||
8% 7/1/16 to 1/1/37 | 53,610 | 64,732 | ||
8.5% 2/1/19 to 1/1/28 | 48,910 | 58,013 | ||
9% 5/1/17 to 10/1/20 | 166 | 176 | ||
9.5% 5/1/21 to 7/1/21 | 511 | 560 | ||
10% 11/15/18 to 8/1/21 | 203 | 222 | ||
11% 11/1/15 to 9/1/20 | 94 | 99 | ||
TOTAL FREDDIE MAC | 560,424,664 | |||
Ginnie Mae - 3.1% | ||||
3% 6/15/42 to 8/20/45 | 111,771,485 | 113,457,642 | ||
3.5% 11/15/40 to 8/20/45 | 172,237,420 | 179,663,750 | ||
3.5% 9/1/45 (j) | 35,100,000 | 36,547,871 | ||
3.5% 9/1/45 (j) | 37,500,000 | 39,046,871 | ||
4% 5/20/33 to 7/20/45 | 111,877,857 | 119,462,467 | ||
4.5% 6/20/33 to 8/15/41 | 91,213,383 | 99,679,207 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Ginnie Mae - continued | ||||
5% 12/15/32 to 9/15/41 | $ 36,742,724 | $ 41,102,560 | ||
5.5% 4/15/29 to 9/15/39 | 6,140,630 | 6,975,713 | ||
6% 10/15/30 to 11/15/39 | 861,975 | 986,119 | ||
6.5% 3/20/31 to 10/15/38 | 479,858 | 556,448 | ||
7% 10/15/22 to 3/15/33 | 1,547,249 | 1,821,714 | ||
7.5% 1/15/17 to 9/15/31 | 709,891 | 830,024 | ||
8% 4/15/17 to 11/15/29 | 245,587 | 284,939 | ||
8.5% 10/15/21 to 1/15/31 | 41,290 | 49,513 | ||
9% 8/15/19 to 1/15/23 | 2,420 | 2,690 | ||
9.5% 12/15/20 to 2/15/25 | 946 | 1,062 | ||
10.5% 3/20/16 to 1/20/18 | 2,450 | 2,606 | ||
11% 12/20/15 to 9/20/19 | 917 | 1,041 | ||
TOTAL GINNIE MAE | 640,472,237 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,831,006,807) |
| |||
Asset-Backed Securities - 0.8% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.9044% 4/25/35 (n) | 664,344 | 596,925 | ||
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8494% 3/25/34 (n) | 286,904 | 273,372 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.6976% 6/15/32 (h)(n) | 3,444,066 | 1,515,389 | ||
American Homes 4 Rent: | ||||
Series 2014-SFR1 Class E, 2.75% 6/17/31 (h)(n) | 551,000 | 524,938 | ||
Series 2014-SFR2 Class E, 6.231% 10/17/36 (h) | 147,000 | 150,742 | ||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (h) | 428,000 | 445,845 | ||
Series 2015-SFR1 Class E, 5.639% 4/17/52 (h) | 326,438 | 320,064 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2494% 12/25/33 (n) | 48,772 | 45,099 | ||
Series 2004-R2 Class M3, 1.0244% 4/25/34 (n) | 89,819 | 65,990 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9794% 3/25/34 (n) | 47,932 | 44,434 | ||
Series 2004-W11 Class M2, 1.2494% 11/25/34 (n) | 561,149 | 545,162 | ||
Series 2004-W7 Class M1, 1.0244% 5/25/34 (n) | 1,542,998 | 1,484,870 | ||
Series 2006-W4 Class A2C, 0.3594% 5/25/36 (n) | 1,159,665 | 413,860 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0244% 4/25/34 (n) | $ 1,729,008 | $ 1,586,936 | ||
Series 2006-HE2 Class M1, 0.5694% 3/25/36 (n) | 21,261 | 170 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 11,540,000 | 11,553,017 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3394% 12/25/36 (n) | 1,802,588 | 1,188,800 | ||
CFC LLC: | ||||
Series 2013-1A Class B, 2.75% 11/15/18 (h) | 5,916,550 | 5,949,428 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (h) | 1,621,937 | 1,623,064 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4494% 3/25/32 (n) | 3,192 | 2,854 | ||
Series 2004-3 Class M4, 1.6544% 4/25/34 (n) | 69,614 | 62,739 | ||
Series 2004-4 Class M2, 0.9944% 6/25/34 (n) | 104,055 | 94,678 | ||
Series 2004-7 Class AF5, 5.868% 1/25/35 | 3,145,875 | 3,275,973 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 341,219 | 334,014 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9538% 5/28/35 (n) | 38,916 | 36,081 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3744% 8/25/34 (n) | 290,872 | 272,097 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0244% 3/25/34 (n) | 10,384 | 9,839 | ||
Flagship Credit Auto Trust Series 2015-2 Class A, 1.98% 10/15/20 (h) | 20,000,000 | 20,009,920 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.9344% 1/25/35 (n) | 948,695 | 808,921 | ||
Class M4, 1.2194% 1/25/35 (n) | 347,133 | 223,666 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7091% 2/25/47 (h)(n) | 1,273,689 | 1,189,741 | ||
GE Business Loan Trust Series 2006-2A: | ||||
Class A, 0.3776% 11/15/34 (h)(n) | 938,833 | 902,521 | ||
Class B, 0.4776% 11/15/34 (h)(n) | 339,135 | 314,893 | ||
Class C, 0.5776% 11/15/34 (h)(n) | 563,628 | 496,466 | ||
Class D, 0.9476% 11/15/34 (h)(n) | 214,028 | 176,783 | ||
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h) | 153,266 | 4,537 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5194% 8/25/33 (n) | 273,785 | 259,059 | ||
Series 2003-3 Class M1, 1.4894% 8/25/33 (n) | 454,678 | 438,275 | ||
Series 2003-5 Class A2, 0.8905% 12/25/33 (n) | 32,929 | 30,792 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3894% 1/25/37 (n) | 1,522,035 | 1,014,623 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Invitation Homes Trust: | ||||
Series 2013-SFR1 Class F, 3.9% 12/17/30 (h)(n) | $ 590,000 | $ 571,177 | ||
Series 2014-SFR1 Class F, 3.936% 6/17/31 (h)(n) | 557,000 | 538,739 | ||
Series 2014-SFR3 Class E, 4.705% 12/17/31 (h)(n) | 206,000 | 207,598 | ||
Series 2014-SRF2 Class F, 4.188% 9/17/31 (h)(n) | 335,000 | 325,233 | ||
Series 2015-SFR2 Class E, 3.336% 6/17/32 (h)(n) | 485,000 | 468,290 | ||
Series 2015-SFR3 Class E, 3.933% 8/17/32 (h)(n) | 7,658,000 | 7,590,057 | ||
Series 2015-SRF1 Class E, 4.386% 3/17/32 (h)(n) | 624,000 | 621,456 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.4905% 7/25/36 (n) | 181,664 | 75,097 | ||
Series 2007-CH1: | ||||
Class AF3, 5.532% 11/25/36 | 12,426,183 | 12,626,284 | ||
Class AV4, 0.3205% 11/25/36 (n) | 389,062 | 388,255 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.612% 12/27/29 (n) | 139,195 | 138,422 | ||
Series 2006-A Class 2C, 1.432% 3/27/42 (n) | 3,243,000 | 1,604,046 | ||
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3594% 11/25/36 (n) | 4,685,962 | 2,071,624 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6294% 5/25/46 (h)(n) | 250,000 | 241,250 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4994% 5/25/37 (n) | 338,532 | 4,791 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9494% 7/25/34 (n) | 118,699 | 99,508 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1744% 7/25/34 (n) | 341,646 | 312,159 | ||
Series 2006-FF1 Class M2, 0.4894% 8/25/36 (n) | 13,300,000 | 12,600,483 | ||
Series 2006-FM1 Class A2B, 0.3094% 4/25/37 (n) | 245,450 | 243,356 | ||
Series 2006-OPT1 Class A1A, 0.7194% 6/25/35 (n) | 1,672,262 | 1,615,510 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8794% 8/25/34 (n) | 57,368 | 53,552 | ||
Series 2004-NC6 Class M3, 2.3744% 7/25/34 (n) | 16,524 | 14,833 | ||
Series 2004-NC8 Class M6, 2.0744% 9/25/34 (n) | 18,949 | 16,970 | ||
Series 2005-NC1 Class M1, 0.8594% 1/25/35 (n) | 289,373 | 273,254 | ||
Series 2005-NC2 Class B1, 1.9544% 3/25/35 (n) | 225,910 | 4,278 | ||
Nationstar HECM Loan Trust Series 2015-1A Class A, 3.875% 5/25/18 (h) | 7,470,766 | 7,480,104 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7005% 9/25/35 (n) | 1,426,957 | 1,268,640 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 2.0744% 9/25/34 (n) | 532,896 | 504,264 | ||
Class M4, 2.3744% 9/25/34 (n) | 683,353 | 315,806 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1 Class M4, 1.4444% 1/25/36 (n) | $ 1,475,804 | $ 1,300,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1494% 9/25/46 (h)(n) | 250,000 | 63,000 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9994% 4/25/33 (n) | 5,108 | 4,830 | ||
Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20 | 7,985,000 | 8,044,464 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9944% 3/25/35 (n) | 794,671 | 730,890 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2359% 6/15/33 (n) | 685,690 | 664,796 | ||
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (h) | 10,910,794 | 10,948,981 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9244% 9/25/34 (n) | 42,679 | 37,459 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0594% 9/25/34 (n) | 28,819 | 25,690 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8435% 4/6/42 (h)(n) | 2,683,017 | 1,529,320 | ||
Truman Capital Mortgage Loan Trust Series 2014-NPL2 Class A1, 3.125% 6/25/54 (h) | 285,294 | 284,109 | ||
Vericrest Opportunity Loan Trust: | ||||
Series 2014-NP11 Class A1, 3.875% 4/25/55 (h) | 6,280,446 | 6,278,571 | ||
Series 2014-NPL7 Class A1, 3.375% 8/27/57 (h) | 10,529,615 | 10,515,284 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0951% 10/25/44 (h)(n) | 1,789,540 | 1,784,312 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: | ||||
Class A1, 0.6534% 11/21/40 (h)(n) | 186,318 | 181,791 | ||
Class D, 1.1834% 11/21/40 (h)(n) | 305,000 | 245,678 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $143,347,784) |
| |||
Collateralized Mortgage Obligations - 2.9% | ||||
| ||||
Private Sponsor - 0.8% | ||||
Banc of America Funding Corp.: | ||||
sequential payer Series 2010-R4 Class 6A1, 0.3341% 1/26/37 (h)(n) | 22,807 | 22,753 | ||
Series 2015-R3 Class 10A1, 0.3305% 6/27/36 (h)(n) | 19,607,233 | 18,914,493 | ||
BCAP LLC Trust sequential payer: | ||||
Series 2013-RR3 Class 2A1, 2.3758% 2/26/37 (h)(n) | 6,322,728 | 6,296,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
BCAP LLC Trust sequential payer: - continued | ||||
Series 2013-RR4 Class 2A1, 2.7793% 5/26/47 (h)(n) | $ 9,143,721 | $ 9,105,994 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7594% 1/25/35 (n) | 1,091,384 | 1,061,798 | ||
Citigroup Mortgage Loan Trust sequential payer: | ||||
Series 2012-A Class A, 2.5% 6/25/51 (h) | 8,438,307 | 8,299,102 | ||
Series 2014-8 Class 2A1, 3.45% 6/27/37 (h)(n) | 12,485,108 | 12,619,020 | ||
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.1124% 10/26/37 (h)(n) | 786,763 | 770,452 | ||
CSMC: | ||||
floater Series 2015-1R Class 6A1, 0.467% 5/27/37 (h)(n) | 13,041,125 | 12,109,226 | ||
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (h) | 11,998,746 | 11,870,902 | ||
Series 2014-3R Class 2A1, 0.8847% 5/27/37 (h)(n) | 1,977,086 | 1,874,527 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5683% 10/25/34 (n) | 598,303 | 594,326 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K6 Class B, 5.3578% 12/25/46 (h)(n) | 910,000 | 1,004,129 | ||
Series 2010-K7 Class B, 5.4406% 4/25/20 (h)(n) | 1,000,000 | 1,115,921 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.3028% 12/20/54 (n) | 205,017 | 202,147 | ||
Series 2006-1A Class C2, 1.4028% 12/20/54 (h)(n) | 6,523,000 | 6,443,419 | ||
Series 2006-2 Class C1, 1.1428% 12/20/54 (n) | 21,543,000 | 21,014,871 | ||
Series 2006-3 Class C2, 1.2028% 12/20/54 (n) | 1,124,000 | 1,107,252 | ||
Series 2006-4: | ||||
Class C1, 0.9628% 12/20/54 (n) | 2,767,000 | 2,677,747 | ||
Class M1, 0.5428% 12/20/54 (n) | 1,190,000 | 1,160,238 | ||
Series 2007-1: | ||||
Class 1C1, 0.8028% 12/20/54 (n) | 2,234,000 | 2,146,567 | ||
Class 1M1, 0.5028% 12/20/54 (n) | 1,493,000 | 1,440,894 | ||
Class 2C1, 1.0628% 12/20/54 (n) | 1,015,000 | 986,625 | ||
Class 2M1, 0.7028% 12/20/54 (n) | 1,917,000 | 1,878,526 | ||
Series 2007-2 Class 2C1, 1.0576% 12/17/54 (n) | 2,654,000 | 2,579,945 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.737% 1/20/44 (n) | 430,241 | 426,023 | ||
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.0124% 3/25/37 (n) | 890,132 | 866,142 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5847% 8/25/36 (n) | 1,296,420 | 1,096,226 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4094% 5/25/47 (n) | 1,233,231 | 1,139,906 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3694% 2/25/37 (n) | $ 3,448,741 | $ 3,103,867 | ||
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (h) | 106,645 | 109,193 | ||
Oak Hill Advisors Residential Loan Trust Series 2014-NPL2 Class A1, 3.475% 4/25/54 (h) | 8,684,546 | 8,676,874 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4894% 7/25/35 (n) | 1,017,296 | 962,640 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.5385% 6/10/35 (h)(n) | 403,347 | 366,193 | ||
Class B6, 3.0385% 6/10/35 (h)(n) | 89,932 | 82,862 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (n) | 23,167 | 22,738 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5121% 4/25/33 (n) | 199,322 | 196,290 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-BB Class A2, 2.6192% 1/25/35 (n) | 3,152,051 | 3,163,190 | ||
Series 2005-AR10 Class 2A15, 2.6681% 6/25/35 (n) | 15,817,688 | 16,075,405 | ||
Series 2005-AR2 Class 1A2, 2.6165% 3/25/35 (n) | 1,906,824 | 1,763,150 | ||
TOTAL PRIVATE SPONSOR | 165,348,378 | |||
U.S. Government Agency - 2.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2002-18 Class FD, 0.9994% 2/25/32 (n) | 34,321 | 34,884 | ||
Series 2002-39 Class FD, 1.1996% 3/18/32 (n) | 54,829 | 56,047 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (n) | 71,759 | 73,519 | ||
Series 2002-63 Class FN, 1.1994% 10/25/32 (n) | 98,533 | 100,891 | ||
Series 2002-7 Class FC, 0.9494% 1/25/32 (n) | 36,334 | 37,142 | ||
Series 2002-94 Class FB, 0.5994% 1/25/18 (n) | 47,775 | 47,931 | ||
Series 2003-118 Class S, 7.9006% 12/25/33 (n)(o)(q) | 1,141,847 | 265,347 | ||
Series 2006-104 Class GI, 6.4806% 11/25/36 (n)(o)(q) | 838,434 | 165,650 | ||
Series 2006-33 Class CF, 0.4994% 5/25/36 (n) | 704,805 | 706,628 | ||
Series 2007-57 Class FA, 0.4294% 6/25/37 (n) | 898,475 | 898,620 | ||
Series 2008-76 Class EF, 0.6994% 9/25/23 (n) | 461,381 | 463,189 | ||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | 54,633 | 59,987 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
planned amortization class: | ||||
Series 1993-207 Class H, 6.5% 11/25/23 | $ 670,346 | $ 749,254 | ||
Series 1994-23 Class PZ, 6% 2/25/24 | 1,817,625 | 2,006,775 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 218,950 | 244,799 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 575,834 | 632,653 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 497,538 | 547,734 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 322,551 | 355,846 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 39,775 | 44,934 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 26,299 | 27,023 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 395,584 | 432,157 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 65,150 | 66,821 | ||
Series 2005-102 Class CO, 11/25/35 (p) | 324,410 | 294,104 | ||
Series 2005-73 Class SA, 17.0316% 8/25/35 (n)(q) | 127,624 | 165,687 | ||
Series 2005-81 Class PC, 5.5% 9/25/35 | 427,876 | 496,859 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 352,232 | 358,425 | ||
Series 2006-12 Class BO, 10/25/35 (p) | 1,344,951 | 1,261,425 | ||
Series 2006-37 Class OW, 5/25/36 (p) | 155,439 | 137,493 | ||
Series 2006-45 Class OP, 6/25/36 (p) | 414,275 | 367,953 | ||
Series 2006-62 Class KP, 4/25/36 (p) | 594,171 | 529,242 | ||
sequential payer: | ||||
Series 1997-41 Class J, 7.5% 6/18/27 | 115,120 | 135,166 | ||
Series 1999-25 Class Z, 6% 6/25/29 | 438,753 | 495,984 | ||
Series 2001-20 Class Z, 6% 5/25/31 | 576,301 | 634,633 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 304,566 | 350,904 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 159,403 | 185,786 | ||
Series 2002-74 Class SV, 7.3506% 11/25/32 (n)(o) | 718,460 | 130,088 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 799,761 | 891,611 | ||
Series 2010-50 Class FA, 0.5494% 1/25/24 (n) | 12,799 | 12,800 | ||
Series 2012-67 Class AI, 4.5% 7/25/27 (o) | 4,199,468 | 571,464 | ||
Series 06-116 Class SG, 6.4406% 12/25/36 (n)(o)(q) | 561,436 | 109,000 | ||
Series 07-40 Class SE, 6.2406% 5/25/37 (n)(o)(q) | 351,504 | 58,427 | ||
Series 1993-165 Class SH, 19.2358% 9/25/23 (n)(q) | 26,591 | 36,152 | ||
Series 2003-21 Class SK, 7.9006% 3/25/33 (n)(o)(q) | 99,830 | 27,222 | ||
Series 2003-35 Class TQ, 7.3006% 5/25/18 (n)(o)(q) | 47,833 | 3,149 | ||
Series 2005-72 Class ZC, 5.5% 8/25/35 | 3,477,956 | 3,917,817 | ||
Series 2007-57 Class SA, 39.4236% 6/25/37 (n)(q) | 268,961 | 539,070 | ||
Series 2007-66: | ||||
Class FB, 0.5994% 7/25/37 (n) | 1,078,031 | 1,086,635 | ||
Class SA, 38.4036% 7/25/37 (n)(q) | 410,590 | 806,581 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
Series 2007-66: | ||||
Class SB, 38.4036% 7/25/37 (n)(q) | $ 179,672 | $ 344,115 | ||
Series 2008-12 Class SG, 6.1506% 3/25/38 (n)(o)(q) | 2,418,678 | 435,433 | ||
Series 2009-114 Class AI, 5% 12/25/23 (o) | 444,056 | 18,281 | ||
Series 2009-16 Class SA, 6.0506% 3/25/24 (n)(o)(q) | 251,947 | 8,967 | ||
Series 2009-76 Class MI, 5.5% 9/25/24 (o) | 219,368 | 10,697 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (o) | 246,918 | 20,483 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (o) | 371,345 | 30,118 | ||
Series 2010-112 Class SG, 6.1606% 6/25/21 (n)(o)(q) | 330,203 | 24,365 | ||
Series 2010-12 Class AI, 5% 12/25/18 (o) | 923,657 | 49,935 | ||
Series 2010-135 Class LS, 5.8506% 12/25/40 (n)(o)(q) | 2,194,654 | 390,924 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (o) | 2,142,589 | 303,990 | ||
Series 2010-17 Class DI, 4.5% 6/25/21 (o) | 247,906 | 14,535 | ||
Series 2010-23: | ||||
Class AI, 5% 12/25/18 (o) | 390,489 | 19,018 | ||
Class HI, 4.5% 10/25/18 (o) | 271,579 | 13,433 | ||
Series 2010-29 Class LI, 4.5% 6/25/19 (o) | 837,644 | 39,066 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (o) | 792,747 | 57,999 | ||
Series 2011-39 Class ZA, 6% 11/25/32 | 1,474,496 | 1,684,984 | ||
Series 2011-67 Class AI, 4% 7/25/26 (o) | 664,689 | 75,776 | ||
Series 2011-83 Class DI, 6% 9/25/26 (o) | 1,073,476 | 144,530 | ||
Series 2013-N1 Class A, 6.5206% 6/25/35 (n)(o)(q) | 1,726,662 | 377,616 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
Series 339: | ||||
Class 29, 5.5% 8/25/18 (o) | 141,617 | 7,051 | ||
Class 5, 5.5% 7/25/33 (o) | 328,031 | 68,974 | ||
Series 343 Class 16, 5.5% 5/25/34 (o) | 262,596 | 51,101 | ||
Series 348 Class 14, 6.5% 8/25/34 (n)(o) | 187,570 | 41,486 | ||
Series 351: | ||||
Class 12, 5.5% 4/25/34 (n)(o) | 131,347 | 23,327 | ||
Class 13, 6% 3/25/34 (o) | 173,945 | 34,742 | ||
Series 359 Class 19, 6% 7/25/35 (n)(o) | 122,725 | 25,476 | ||
Series 384 Class 6, 5% 7/25/37 (o) | 1,557,588 | 322,907 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2412 Class FK, 0.9976% 1/15/32 (n) | 28,001 | 28,450 | ||
Series 2423 Class FA, 1.0976% 3/15/32 (n) | 38,910 | 39,705 | ||
Series 2424 Class FM, 1.1976% 3/15/32 (n) | 52,218 | 53,488 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 2432: | ||||
Class FE, 1.0976% 6/15/31 (n) | $ 69,662 | $ 71,111 | ||
Class FG, 1.0976% 3/15/32 (n) | 23,206 | 23,673 | ||
floater planned amortization class Series 3153 Class FX, 0.5476% 5/15/36 (n) | 1,455,341 | 1,460,620 | ||
floater target amortization class Series 3366 Class FD, 0.4476% 5/15/37 (n) | 1,654,255 | 1,653,262 | ||
planned amortization class: | ||||
Series 2006-15 Class OP, 3/25/36 (p) | 1,098,432 | 990,254 | ||
Series 2095 Class PE, 6% 11/15/28 | 619,739 | 684,543 | ||
Series 2101 Class PD, 6% 11/15/28 | 56,690 | 62,327 | ||
Series 2121 Class MG, 6% 2/15/29 | 256,041 | 281,945 | ||
Series 2131 Class BG, 6% 3/15/29 | 1,688,868 | 1,864,419 | ||
Series 2137 Class PG, 6% 3/15/29 | 277,365 | 305,626 | ||
Series 2154 Class PT, 6% 5/15/29 | 424,428 | 467,209 | ||
Series 2162 Class PH, 6% 6/15/29 | 107,139 | 117,584 | ||
Series 2425 Class JH, 6% 3/15/17 | 40,767 | 41,988 | ||
Series 2520 Class BE, 6% 11/15/32 | 572,734 | 631,918 | ||
Series 2585 Class KS, 7.4024% 3/15/23 (n)(o)(q) | 40,713 | 6,047 | ||
Series 2693 Class MD, 5.5% 10/15/33 | 6,509,800 | 7,287,373 | ||
Series 2802 Class OB, 6% 5/15/34 | 1,167,945 | 1,311,362 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 1,514,116 | 1,585,135 | ||
Series 2962 Class BE, 4.5% 4/15/20 | 1,516,669 | 1,596,730 | ||
Series 3002 Class NE, 5% 7/15/35 | 1,636,757 | 1,803,192 | ||
Series 3110 Class OP, 9/15/35 (p) | 775,962 | 734,775 | ||
Series 3119 Class PO, 2/15/36 (p) | 1,207,557 | 1,047,822 | ||
Series 3121 Class KO, 3/15/36 (p) | 250,122 | 223,246 | ||
Series 3123 Class LO, 3/15/36 (p) | 726,084 | 646,729 | ||
Series 3145 Class GO, 4/15/36 (p) | 683,632 | 615,187 | ||
Series 3189 Class PD, 6% 7/15/36 | 1,514,483 | 1,739,193 | ||
Series 3225 Class EO, 10/15/36 (p) | 437,334 | 387,304 | ||
Series 3258 Class PM, 5.5% 12/15/36 | 692,229 | 779,257 | ||
Series 3415 Class PC, 5% 12/15/37 | 647,977 | 699,024 | ||
Series 3786 Class HI, 4% 3/15/38 (o) | 1,935,377 | 224,310 | ||
Series 3806 Class UP, 4.5% 2/15/41 | 3,745,520 | 4,053,320 | ||
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,698,128 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 115,333 | 126,950 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 134,310 | 154,678 | ||
Series 2281 Class ZB, 6% 3/15/30 | 332,529 | 364,540 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 144,038 | $ 159,179 | ||
Series 2357 Class ZB, 6.5% 9/15/31 | 992,608 | 1,152,413 | ||
Series 2502 Class ZC, 6% 9/15/32 | 296,840 | 329,068 | ||
Series 2519 Class ZD, 5.5% 11/15/32 | 530,934 | 579,601 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 254,056 | 272,632 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 118,104 | 131,091 | ||
Series 2998 Class LY, 5.5% 7/15/25 | 313,890 | 345,400 | ||
Series 06-3115 Class SM, 6.4024% 2/15/36 (n)(o)(q) | 468,674 | 81,264 | ||
Series 2013-4281 Class AI, 4% 12/15/28 (o) | 7,241,957 | 818,134 | ||
Series 2844: | ||||
Class SC, 45.5156% 8/15/24 (n)(q) | 15,994 | 27,876 | ||
Class SD, 83.8812% 8/15/24 (n)(q) | 23,530 | 56,834 | ||
Series 2935 Class ZK, 5.5% 2/15/35 | 4,664,532 | 5,303,266 | ||
Series 2947 Class XZ, 6% 3/15/35 | 1,705,251 | 1,922,437 | ||
Series 3055 Class CS, 6.3924% 10/15/35 (n)(o) | 663,769 | 131,598 | ||
Series 3244 Class SG, 6.4624% 11/15/36 (n)(o)(q) | 1,573,668 | 301,271 | ||
Series 3274 Class SM, 6.2324% 2/15/37 (n)(o) | 787,325 | 143,656 | ||
Series 3284 Class CI, 5.9224% 3/15/37 (n)(o) | 3,665,485 | 671,754 | ||
Series 3287 Class SD, 6.5524% 3/15/37 (n)(o)(q) | 2,368,438 | 559,372 | ||
Series 3297 Class BI, 6.5624% 4/15/37 (n)(o)(q) | 3,474,601 | 704,247 | ||
Series 3336 Class LI, 6.3824% 6/15/37 (n)(o) | 1,260,743 | 181,668 | ||
Series 3772 Class BI, 4.5% 10/15/18 (o) | 987,233 | 49,352 | ||
Series 3949 Class MK, 4.5% 10/15/34 | 1,162,691 | 1,260,336 | ||
Series 3955 Class YI, 3% 11/15/21 (o) | 4,090,266 | 246,243 | ||
Series 4471 Class PA 4% 12/15/40 | 16,542,139 | 17,482,450 | ||
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 350,826 | 385,183 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 1.0976% 2/15/24 (n) | 143,037 | 145,067 | ||
sequential payer: | ||||
Series 2043 Class ZH, 6% 4/15/28 | 278,747 | 306,998 | ||
Series 2056 Class Z, 6% 5/15/28 | 493,989 | 544,097 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates Series 4386 Class AZ, 4.5% 11/15/40 | 9,175,093 | 10,327,662 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-37 Class TS, 6.4924% 6/16/37 (n)(o)(q) | 666,871 | 116,266 | ||
Series 2010-H03 Class FA, 0.739% 3/20/60 (n)(r) | 7,239,958 | 7,254,778 | ||
Series 2010-H17 Class FA, 0.519% 7/20/60 (n)(r) | 784,120 | 780,609 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2010-H18 Class AF, 0.4882% 9/20/60 (n)(r) | $ 939,927 | $ 934,403 | ||
Series 2010-H19 Class FG, 0.4882% 8/20/60 (n)(r) | 1,124,650 | 1,118,127 | ||
Series 2010-H27 Series FA, 0.5682% 12/20/60 (n)(r) | 1,881,037 | 1,877,644 | ||
Series 2011-H05 Class FA, 0.6882% 12/20/60 (n)(r) | 3,058,776 | 3,062,612 | ||
Series 2011-H07 Class FA, 0.6882% 2/20/61 (n)(r) | 5,744,796 | 5,751,178 | ||
Series 2011-H12 Class FA, 0.6782% 2/20/61 (n)(r) | 7,672,367 | 7,682,249 | ||
Series 2011-H13 Class FA, 0.6882% 4/20/61 (n)(r) | 2,954,143 | 2,957,818 | ||
Series 2011-H14: | ||||
Class FB, 0.6882% 5/20/61 (n)(r) | 3,408,666 | 3,413,605 | ||
Class FC, 0.6882% 5/20/61 (n)(r) | 3,111,103 | 3,115,253 | ||
Series 2011-H17 Class FA, 0.7182% 6/20/61 (n)(r) | 4,100,268 | 4,109,223 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (n)(r) | 7,977,929 | 8,016,814 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (n)(r) | 3,853,340 | 3,876,537 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (n)(r) | 2,412,451 | 2,427,037 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (n)(r) | 3,713,802 | 3,736,656 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (n)(r) | 2,233,512 | 2,250,873 | ||
Series 2012-H23 Class WA, 0.7082% 10/20/62 (n)(r) | 1,972,568 | 1,977,101 | ||
Series 2012-H26, Class CA, 0.7182% 7/20/60 (n)(r) | 8,393,046 | 8,409,572 | ||
Series 2013-H07 Class BA, 0.5482% 3/20/63 (n)(r) | 3,088,896 | 3,064,778 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (n)(r) | 3,557,562 | 3,576,929 | ||
Series 2014-H05 Class FB, 0.7882% 12/20/63 (n)(r) | 8,840,658 | 8,888,132 | ||
Series 2014-H11 Class BA, 0.6882% 6/20/64 (n)(r) | 14,231,600 | 14,289,964 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2014-H20 Class BF, 0.6882% 9/20/64 (n)(r) | $ 45,507,119 | $ 45,432,123 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (n)(r) | 25,469,565 | 25,418,600 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (n)(r) | 23,700,000 | 23,655,563 | ||
planned amortization class: | ||||
Series 1993-13 Class PD, 6% 5/20/29 | 576,554 | 658,056 | ||
Series 1997-8 Class PE, 7.5% 5/16/27 | 242,407 | 286,190 | ||
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | 1,489,777 | 244,883 | ||
sequential payer Series 2004-24 Class ZM, 5% 4/20/34 | 2,348,217 | 2,601,424 | ||
Series 2004-32 Class GS, 6.3024% 5/16/34 (n)(o)(q) | 354,374 | 76,792 | ||
Series 2004-73 Class AL, 7.0024% 8/17/34 (n)(o)(q) | 426,172 | 82,363 | ||
Series 2007-35 Class SC, 39.0144% 6/16/37 (n)(q) | 28,844 | 55,931 | ||
Series 2010-H10 Class FA, 0.519% 5/20/60 (n)(r) | 2,445,477 | 2,434,013 | ||
Series 2012-76 Class GS, 6.5024% 6/16/42 (n)(o)(q) | 1,443,066 | 301,234 | ||
Series 2012-97 Class JS, 6.0524% 8/16/42 (n)(o)(q) | 4,573,075 | 784,352 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (n)(q) | 4,142,567 | 4,818,231 | ||
Class ST, 8.5297% 8/20/39 (n)(q) | 7,781,810 | 9,136,388 | ||
Series 2013-160 Class MS, 5.9973% 9/20/32 (n)(o)(q) | 6,145,514 | 1,119,942 | ||
Series 2015-H13 Class HA, 2.5% 8/20/64 (r) | 33,560,356 | 34,389,062 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (r) | 28,442,055 | 29,147,390 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (j)(r) | 30,750,363 | 31,495,100 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (j)(r) | 6,637,302 | 6,804,272 | ||
TOTAL U.S. GOVERNMENT AGENCY | 429,373,477 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $561,302,341) |
| |||
Commercial Mortgage Securities - 6.7% | ||||
| ||||
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (h) | 180,000 | 201,179 | ||
Asset Securitization Corp.: | ||||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 129,872 | ||
Series 1997-D5 Class PS1, 1.4464% 2/14/43 (n)(o) | 456,274 | 5,710 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (h)(n) | $ 1,500,000 | $ 1,470,703 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-4 Class AJ, 5.038% 7/10/45 (n) | 254,963 | 254,820 | ||
Series 2006-2 Class A4, 5.7271% 5/10/45 (n) | 17,625,794 | 17,815,553 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 51,155,192 | 52,078,185 | ||
Series 2006-4 Class AM, 5.675% 7/10/46 | 1,000,000 | 1,034,448 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,823,035 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (n) | 26,299,622 | 27,050,502 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 185,051 | ||
Series 2005-1 Class CJ, 5.3371% 11/10/42 (n) | 175,766 | 175,573 | ||
Series 2005-5 Class D, 5.3247% 10/10/45 (n) | 1,180,000 | 1,183,728 | ||
Series 2005-6 Class AJ, 5.1559% 9/10/47 (n) | 300,000 | 301,608 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 122,411 | ||
Series 2007-2 Class A4, 5.6126% 4/10/49 (n) | 8,292,000 | 8,634,567 | ||
Series 2007-3 Class A4, 5.5746% 6/10/49 (n) | 20,967,320 | 21,956,977 | ||
Series 2008-1 Class D, 6.2584% 2/10/51 (h)(n) | 125,000 | 95,414 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 6,743,694 | 7,053,028 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.4744% 12/25/33 (h)(n) | 33,328 | 30,064 | ||
Series 2005-4A: | ||||
Class A2, 0.5894% 1/25/36 (h)(n) | 788,356 | 700,667 | ||
Class B1, 1.5994% 1/25/36 (h)(n) | 32,921 | 20,941 | ||
Class M1, 0.6494% 1/25/36 (h)(n) | 254,309 | 206,031 | ||
Class M2, 0.6694% 1/25/36 (h)(n) | 76,293 | 59,816 | ||
Class M3, 0.6994% 1/25/36 (h)(n) | 111,419 | 83,999 | ||
Class M4, 0.8094% 1/25/36 (h)(n) | 61,621 | 45,484 | ||
Class M5, 0.8494% 1/25/36 (h)(n) | 61,621 | 45,238 | ||
Class M6, 0.8994% 1/25/36 (h)(n) | 65,448 | 46,847 | ||
Series 2006-3A Class M4, 0.6294% 10/25/36 (h)(n) | 32,221 | 3,308 | ||
Series 2007-1 Class A2, 0.4694% 3/25/37 (h)(n) | 527,262 | 441,664 | ||
Series 2007-2A: | ||||
Class A1, 0.4694% 7/25/37 (h)(n) | 541,279 | 461,786 | ||
Class A2, 0.5194% 7/25/37 (h)(n) | 505,752 | 416,077 | ||
Class M1, 0.5694% 7/25/37 (h)(n) | 177,592 | 135,918 | ||
Class M2, 0.6094% 7/25/37 (h)(n) | 97,043 | 68,317 | ||
Class M3, 0.6894% 7/25/37 (h)(n) | 74,751 | 43,833 | ||
Series 2007-3: | ||||
Class A2, 0.4894% 7/25/37 (h)(n) | 483,895 | 394,167 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M1, 0.5094% 7/25/37 (h)(n) | $ 105,098 | $ 81,257 | ||
Class M2, 0.5394% 7/25/37 (h)(n) | 112,645 | 80,894 | ||
Class M3, 0.5694% 7/25/37 (h)(n) | 177,501 | 78,035 | ||
Class M4, 0.6994% 7/25/37 (h)(n) | 278,704 | 81,819 | ||
Class M5, 0.7994% 7/25/37 (h)(n) | 133,533 | 26,213 | ||
Series 2007-4A Class M1, 1.1494% 9/25/37 (h)(n) | 190,162 | 36,301 | ||
Series 2006-3A, Class IO, 0% 10/25/36 (h)(n)(o) | 5,108,763 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (h)(n)(o) | 4,852,783 | 15,441 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.43% 3/11/39 (n) | 450,000 | 454,935 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 624,806 | ||
Series 2006-T22 Class AJ, 5.5924% 4/12/38 (n) | 400,000 | 408,402 | ||
Series 2007-PW16 Class A4, 5.7053% 6/11/40 (n) | 1,112,000 | 1,175,544 | ||
Series 1999-C1 Class I, 5.64% 2/14/31 (h) | 107,279 | 106,292 | ||
Series 2006-T22: | ||||
Class A4, 5.5924% 4/12/38 (n) | 166,540 | 167,970 | ||
Class B, 5.5924% 4/12/38 (h)(n) | 200,000 | 207,422 | ||
Series 2007-PW18 Class X2, 0.3003% 6/11/50 (h)(n)(o) | 87,557,706 | 91,760 | ||
Series 2007-T28 Class X2, 0.1359% 9/11/42 (h)(n)(o) | 54,532,420 | 5,999 | ||
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (h) | 724,139 | 773,609 | ||
BLCP Hotel Trust: | ||||
floater Series 2014-CLRN Class F, 3.2316% 8/15/29 (h)(n) | 832,000 | 804,016 | ||
Series 2014-CLMZ Class M, 5.9255% 8/15/29 (h)(n) | 1,665,702 | 1,654,329 | ||
Boca Hotel Portfolio Trust Series 2013-BOCA Class E, 3.9476% 8/15/26 (h)(n) | 700,000 | 699,389 | ||
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/13/35 (h)(n) | 1,000,000 | 964,051 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4694% 5/25/36 (h)(n) | 304,743 | 289,950 | ||
Carefree Portfolio Trust floater: | ||||
Series 2014-CARE: | ||||
Class E, 4.198% 11/15/19 (h)(n) | 1,574,000 | 1,582,622 | ||
Class F, 2.7817% 11/15/19 (h)(n) | 119,000 | 116,162 | ||
Series 2014-CMZA Class MZA, 6.1745% 11/15/19 (h)(n) | 1,537,000 | 1,534,947 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Carefree Portfolio Trust 2014-Car floater Series 2014-CMZB Class MZB, 7.9199% 11/15/29 (h)(n) | $ 1,158,000 | $ 1,155,600 | ||
CDGJ Commercial Mortgage Trust Series 2014-BXCH: | ||||
Class A, 1.5873% 12/15/27 (h)(n) | 19,500,000 | 19,469,619 | ||
Class DPA, 3.1976% 12/15/27 (h)(n) | 6,164,000 | 6,151,968 | ||
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5743% 12/15/47 (h)(n) | 750,000 | 849,273 | ||
CG-CCRE Commercial Mortgage Trust: | ||||
Series 2014-FL1: | ||||
Class YTC2, 2.6745% 6/15/31 (h)(n) | 511,000 | 492,718 | ||
Class YTC3, 2.6745% 6/15/31 (h)(n) | 184,000 | 174,962 | ||
Series 2014-FL1, 2.6745% 6/15/31 (h)(n) | 511,000 | 498,730 | ||
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class F, 3.7859% 4/10/28 (h)(n) | 902,000 | 857,869 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 839,749 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 487,111 | 438,161 | ||
Citigroup Commercial Mortgage Trust: | ||||
Series 2013-GC15 Class D, 5.1051% 9/10/46 (h)(n) | 1,010,000 | 982,380 | ||
Series 2015-SHP2 Class E, 4.535% 7/15/27 (h)(n) | 1,239,000 | 1,236,100 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD3 Class A5, 5.617% 10/15/48 | 8,179,818 | 8,409,163 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 172,969 | 173,873 | ||
Class A4, 5.322% 12/11/49 | 31,258,000 | 32,322,272 | ||
Series 2005-CD1 Class AJ, 5.2018% 7/15/44 (n) | 500,000 | 499,462 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (h)(n) | CAD | 138,000 | 104,063 | |
Class G, 5.01% 5/15/44 (h)(n) | CAD | 30,000 | 22,212 | |
Class H, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 14,457 | |
Class J, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 13,890 | |
Class K, 5.01% 5/15/44 (h)(n) | CAD | 10,000 | 6,808 | |
Class L, 5.01% 5/15/44 (h)(n) | CAD | 36,000 | 23,563 | |
Class M, 5.01% 5/15/44 (h)(n) | CAD | 165,000 | 101,880 | |
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (n) | 2,125,000 | 2,064,238 | ||
COMM Mortgage Trust: | ||||
floater Series 2014-PAT Class E, 3.336% 8/13/27 (h)(n) | 735,000 | 727,228 | ||
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (h) | 1,410,000 | 1,123,606 | ||
Series 2012-CR5 Class D, 4.3356% 12/10/45 (h)(n) | 740,000 | 743,849 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
COMM Mortgage Trust: - continued | ||||
Series 2013-CR10: | ||||
Class C, 4.7925% 8/10/46 (h)(n) | $ 270,000 | $ 278,724 | ||
Class D, 4.7925% 8/10/46 (h)(n) | 790,000 | 743,386 | ||
Series 2013-CR12 Class D, 5.0847% 10/10/46 (h)(n) | 1,680,000 | 1,655,826 | ||
Series 2013-CR9: | ||||
Class C, 4.2581% 7/10/45 (h)(n) | 525,000 | 526,183 | ||
Class D, 4.2581% 7/10/45 (h)(n) | 756,000 | 709,490 | ||
Series 2013-LC6 Class D, 4.2865% 1/10/46 (h)(n) | 1,109,000 | 1,044,351 | ||
Series 2014-CR15 Class D, 4.7657% 2/10/47 (h)(n) | 258,000 | 249,179 | ||
Series 2014-CR17 Class D, 4.7994% 5/10/47 (h)(n) | 567,000 | 535,956 | ||
Series 2014-UBS2 Class D, 5.0154% 3/10/47 (h)(n) | 844,000 | 797,880 | ||
Series 2015-3BP Class F, 3.2384% 2/10/35 (h)(n) | 1,000,000 | 876,537 | ||
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (h)(n) | 483,000 | 443,848 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater Series 2005-F10A Class J, 1.0476% 4/15/17 (h)(n) | 126,140 | 126,169 | ||
sequential payer Series 2006-C7 Class A1A, 5.7386% 6/10/46 (n) | 2,335,546 | 2,396,691 | ||
Series 2005-LP5 Class F, 4.9795% 5/10/43 (h)(n) | 1,290,000 | 1,302,585 | ||
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (h) | 1,275,189 | 1,227,269 | ||
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 | 623,315 | 660,148 | ||
Commercial Mortgage Trust pass-thru certificates: | ||||
Series 2012-CR1: | ||||
Class C, 5.3592% 5/15/45 (n) | 850,000 | 921,955 | ||
Class D, 5.3592% 5/15/45 (h)(n) | 1,510,000 | 1,546,614 | ||
Series 2012-CR2: | ||||
Class E, 4.8572% 8/15/45 (h)(n) | 1,727,000 | 1,696,629 | ||
Class F, 4.25% 8/15/45 (h) | 1,418,000 | 1,286,981 | ||
Series 2012-LC4: | ||||
Class C, 5.6452% 12/10/44 (n) | 260,000 | 287,285 | ||
Class D, 5.6452% 12/10/44 (h)(n) | 1,143,000 | 1,203,828 | ||
Series 2014-CR2 Class G, 4.25% 8/15/45 (h) | 403,000 | 317,407 | ||
Core Industrial Trust: | ||||
Series 2015-CALW Class G, 3.8504% 2/10/34 (h)(n) | 544,000 | 497,418 | ||
Series 2015-WEST Class F, 4.2268% 2/10/37 (h)(n) | 731,000 | 645,605 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C2 Class A2, 5.448% 1/15/49 (n) | 27,691 | 27,691 | ||
Series 2007-C3 Class A4, 5.6993% 6/15/39 (n) | 16,762,633 | 17,570,408 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2007-C5 Class A4, 5.695% 9/15/40 (n) | $ 1,722,000 | $ 1,818,079 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6% 5/17/40 (h) | 1,212,440 | 1,289,831 | ||
Class H, 6% 5/17/40 (h) | 90,315 | 75,213 | ||
Series 1998-C2: | ||||
Class F, 6.75% 11/15/30 (h) | 499,779 | 512,111 | ||
Class G, 6.75% 11/15/30 (h) | 180,000 | 190,863 | ||
Series 2001-CKN5 Class AX, 0% 9/15/34 (h)(n)(o) | 2,730 | 0 | ||
Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (h)(n) | 140,650 | 141,253 | ||
CSMC Series 2015-TOWN: | ||||
Class B, 2.0976% 3/15/17 (h)(n) | 3,043,000 | 3,022,405 | ||
Class C, 2.4476% 3/15/17 (h)(n) | 2,964,000 | 2,944,035 | ||
Class D, 3.3976% 3/15/17 (h)(n) | 4,485,000 | 4,447,873 | ||
Class E, 4.336% 3/15/17 (h)(n) | 20,318,000 | 20,139,263 | ||
CSMC Trust floater Series 2015-DEAL: | ||||
Class E, 4.198% 4/15/29 (h)(n) | 724,000 | 716,966 | ||
Class F, 4.948% 4/15/29 (h)(n) | 1,453,000 | 1,439,041 | ||
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (h)(n) | 967,000 | 905,463 | ||
DBUBS Mortgage Trust Series 2011-LC1A: | ||||
Class D, 5.5569% 11/10/46 (h)(n) | 500,000 | 547,023 | ||
Class E, 5.5569% 11/10/46 (h)(n) | 1,332,000 | 1,437,385 | ||
Class F, 5.5569% 11/10/46 (h)(n) | 1,560,000 | 1,554,691 | ||
Class G, 4.652% 11/10/46 (h) | 1,654,000 | 1,433,581 | ||
Class XB, 0.2464% 11/10/46 (h)(n)(o) | 20,920,000 | 308,967 | ||
Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (h) | 1,000,000 | 1,002,424 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(n) | 23,852 | 23,797 | ||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (n) | 416,659 | 415,720 | ||
pass-thru certificates: | ||||
Series K011 Class X3, 2.5753% 12/25/43 (n)(o) | 1,640,000 | 201,549 | ||
Series K012 Class X3, 2.287% 1/25/41 (n)(o) | 1,799,999 | 199,348 | ||
Series K013 Class X3, 2.8069% 1/25/43 (n)(o) | 820,000 | 110,965 | ||
sequential payer: | ||||
Series K033 Class A2, 3.06% 7/25/23 | 23,417,768 | 24,087,149 | ||
Series K034 Class A2, 3.531% 7/25/23 | 20,251,185 | 21,448,172 | ||
Series K035 Class A2, 3.458% 8/25/23 | 2,961,000 | 3,118,602 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac: - continued | ||||
Series K032 Class A2, 3.31% 5/25/23 | $ 4,715,000 | $ 4,936,150 | ||
Series K036 Class A2, 3.527% 10/25/23 | 7,763,000 | 8,205,755 | ||
Series K047 Class A2, 3.329% 5/25/25 | 17,400,000 | 18,047,141 | ||
Series KAIV Class X2, 3.6147% 6/25/46 (n)(o) | 420,000 | 74,622 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 | 4,722,000 | 4,934,721 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K9 Class B, 5.1937% 9/25/45 (h)(n) | 1,290,000 | 1,416,967 | ||
Series 2011-K10 Class B, 4.6215% 11/25/49 (h)(n) | 240,000 | 257,267 | ||
Series 2011-K11 Class B, 4.4209% 12/25/48 (h)(n) | 750,000 | 797,774 | ||
GAHR Commercial Mortgage Trust Series 2015-NRF: | ||||
Class BFX, 3.3822% 12/15/19 (h)(n) | 18,910,000 | 18,965,749 | ||
Class CFX, 3.4949% 12/15/19 (h)(n) | 14,152,000 | 13,945,292 | ||
Class DFX, 3.3822% 12/15/19 (h)(n) | 11,994,000 | 11,679,349 | ||
Class EFX, 3.3822% 12/15/19 (h)(n) | 1,500,000 | 1,402,278 | ||
Class FFX, 3.3822% 12/15/19 (h)(n) | 383,000 | 351,176 | ||
GCCFC Commercial Mortgage Trust Series 2005-GG3 Class B, 4.894% 8/10/42 (n) | 60,372 | 60,356 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 42,220,000 | 43,752,544 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 405,110 | 362,225 | ||
Series 1997-C2 Class G, 6.75% 4/15/29 (n) | 215,232 | 227,426 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 756,193 | ||
Series 1999-C3 Class K, 6.974% 8/15/36 (h) | 2,645 | 2,620 | ||
GP Portfolio Trust Series 2014-GPP: | ||||
Class D, 2.938% 2/15/27 (h)(n) | 291,000 | 289,847 | ||
Class E, 4.0373% 2/15/27 (h)(n) | 378,000 | 376,173 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 15,541,635 | 16,217,401 | ||
Series 2006-GG7 Class A4, 5.8187% 7/10/38 (n) | 45,337,123 | 46,013,144 | ||
GS Mortgage Securities Corp. II: | ||||
Series 2006-GG6 Class A4, 5.553% 4/10/38 (n) | 6,458,463 | 6,466,058 | ||
Series 2010-C1: | ||||
Class D, 6.0843% 8/10/43 (h)(n) | 1,255,000 | 1,358,143 | ||
Class E, 4% 8/10/43 (h) | 1,240,000 | 1,142,381 | ||
Class F, 4% 8/10/43 (h) | 894,000 | 756,302 | ||
Class X, 1.4847% 8/10/43 (h)(n)(o) | 5,136,803 | 298,474 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
GS Mortgage Securities Trust: | ||||
floater Series 2014-GSFL Class A, 1.1873% 7/15/31 (h)(n) | $ 614,960 | $ 613,139 | ||
sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 | 17,702,100 | 18,239,553 | ||
Series 2010-C2: | ||||
Class D, 5.2456% 12/10/43 (h)(n) | 720,000 | 761,053 | ||
Class XA, 0.6486% 12/10/43 (h)(n)(o) | 3,860,847 | 27,926 | ||
Series 2011-GC5: | ||||
Class C, 5.3081% 8/10/44 (h)(n) | 1,050,000 | 1,137,595 | ||
Class D, 5.3081% 8/10/44 (h)(n) | 480,000 | 494,415 | ||
Class E, 5.3081% 8/10/44 (h)(n) | 210,000 | 205,187 | ||
Class F, 4.5% 8/10/44 (h) | 1,020,000 | 842,850 | ||
Series 2012-GC6: | ||||
Class D, 5.6315% 1/10/45 (h)(n) | 861,000 | 885,730 | ||
Class E, 5% 1/10/45 (h)(n) | 412,000 | 380,231 | ||
Series 2012-GC6I Class F, 5% 1/10/45 (n) | 390,000 | 322,150 | ||
Series 2012-GCJ7: | ||||
Class C, 5.7229% 5/10/45 (n) | 630,000 | 690,673 | ||
Class D, 5.7229% 5/10/45 (h)(n) | 1,054,000 | 1,080,186 | ||
Class E, 5% 5/10/45 (h) | 1,311,000 | 1,199,529 | ||
Class F, 5% 5/10/45 (h) | 2,079,000 | 1,682,309 | ||
Series 2012-GCJ9: | ||||
Class D, 4.8533% 11/10/45 (h)(n) | 1,170,000 | 1,133,200 | ||
Class E, 4.8533% 11/10/45 (h)(n) | 1,290,000 | 1,142,338 | ||
Series 2013-GC10 Class D, 4.4138% 2/10/46 (h)(n) | 740,000 | 695,187 | ||
Series 2013-GC12 Class D, 4.4768% 6/10/46 (h)(n) | 219,000 | 205,177 | ||
Series 2013-GC13 Class D, 4.0697% 7/10/46 (h)(n) | 1,543,000 | 1,393,132 | ||
Series 2013-GC16: | ||||
Class C, 5.3156% 11/10/46 (n) | 662,844 | 711,006 | ||
Class D, 5.3156% 11/10/46 (h)(n) | 967,000 | 939,589 | ||
Class F, 3.5% 11/10/46 (h) | 999,000 | 758,793 | ||
Hilton U.S.A. Trust: | ||||
floater Series 2014-ORL Class E, 3.438% 7/15/29 (h)(n) | 617,000 | 619,841 | ||
Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (h) | 2,450,000 | 2,444,632 | ||
Class DFX, 4.4065% 11/5/30 (h) | 23,706,000 | 23,758,945 | ||
Class EFX, 4.4533% 11/5/30 (h)(n) | 2,000,000 | 2,005,760 | ||
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.6756% 11/15/29 (h)(n) | 406,000 | 392,842 | ||
JPMBB Commercial Mortgage Securities Trust: | ||||
Series 2014-C22 Class D, 4.5612% 9/15/47 (h)(n) | 525,000 | 457,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMBB Commercial Mortgage Securities Trust: - continued | ||||
Series 2015-C31 Class ASB, 3.5373% 8/15/48 | $ 30,200,000 | $ 31,145,275 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (h)(n) | 500,000 | 501,940 | ||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (h) | 440,000 | 473,471 | ||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | 12,581 | 12,563 | ||
Class F, 5.6404% 1/12/37 (h)(n) | 250,000 | 246,250 | ||
Series 2009-IWST: | ||||
Class C, 7.4453% 12/5/27 (h)(n) | 380,000 | 447,928 | ||
Class D, 7.4453% 12/5/27 (h)(n) | 1,885,000 | 2,217,094 | ||
Series 2010-CNTR Class D, 6.1838% 8/5/32 (h)(n) | 695,000 | 793,396 | ||
Series 2012-CBX: | ||||
Class C, 5.2386% 6/15/45 (n) | 250,000 | 263,891 | ||
Class D, 5.2386% 6/16/45 (h)(n) | 690,000 | 706,106 | ||
Class E, 5.2386% 6/15/45 (h)(n) | 620,000 | 607,380 | ||
Class F, 4% 6/15/45 (h) | 820,000 | 732,380 | ||
Class G 4% 6/15/45 (h) | 1,079,000 | 770,533 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-FL2A: | ||||
Class E, 0.4776% 11/15/18 (h)(n) | 137,659 | 134,947 | ||
Class F, 0.5276% 11/15/18 (h)(n) | 380,931 | 366,233 | ||
Class G, 0.5576% 11/15/18 (h)(n) | 330,997 | 316,800 | ||
Class H, 0.6976% 11/15/18 (h)(n) | 254,476 | 243,031 | ||
Class J, 0.8476% 11/15/18 (h)(n) | 257,928 | 245,844 | ||
Series 2014-BXH: | ||||
Class A, 1.0976% 4/15/27 (h)(n) | 3,000,000 | 2,993,256 | ||
Class C, 1.8476% 4/15/27 (h)(n) | 4,460,000 | 4,451,731 | ||
Class D, 2.4476% 4/15/27 (h)(n) | 9,517,000 | 9,485,956 | ||
Series 2014-FBLU Class E, 3.6873% 12/15/28 (h)(n) | 1,058,000 | 1,052,710 | ||
Series 2014-INN: | ||||
Class E, 3.798% 6/15/29 (h)(n) | 683,000 | 680,107 | ||
Class F, 4.198% 6/15/29 (h)(n) | 1,006,000 | 989,645 | ||
sequential payer: | ||||
Series 2006-CB16: | ||||
Class A1A, 5.546% 5/12/45 | 15,065,112 | 15,490,098 | ||
Class A4, 5.552% 5/12/45 | 5,665,501 | 5,761,508 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
sequential payer: | ||||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | $ 7,203,918 | $ 7,424,314 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 5,645,570 | 5,811,132 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 9,000,176 | 9,320,420 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 2,362,745 | 2,458,961 | ||
Series 2007-CB19 Class A4, 5.695% 2/12/49 (n) | 12,396,984 | 13,058,979 | ||
Series 2007-LD11 Class A4, 5.7743% 6/15/49 (n) | 29,428,107 | 30,984,324 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 23,975,987 | 25,007,266 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (n) | 170,000 | 169,307 | ||
Series 2004-LN2 Class D, 5.3433% 7/15/41 (n) | 420,000 | 357,085 | ||
Series 2005-LDP2 Class C, 4.911% 7/15/42 (n) | 660,000 | 661,664 | ||
Series 2005-LDP5 Class AJ, 5.3599% 12/15/44 (n) | 360,000 | 363,020 | ||
Series 2006-LDP7 Class A4, 5.9047% 4/15/45 (n) | 11,598,929 | 11,794,266 | ||
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (n) | 110,240 | 345 | ||
Series 2011-C3 Class J, 4.409% 2/15/46 (h)(n) | 106,000 | 89,241 | ||
Series 2011-C4: | ||||
Class E, 5.4158% 7/15/46 (h)(n) | 1,130,000 | 1,168,293 | ||
Class F, 3.873% 7/15/46 (h) | 105,000 | 96,463 | ||
Class H, 3.873% 7/15/46 (h) | 672,000 | 549,678 | ||
Class NR, 3.873% 7/15/46 (h) | 385,000 | 254,142 | ||
Class TAC2, 7.99% 7/15/46 (h) | 671,000 | 709,877 | ||
Series 2011-C5: | ||||
Class B. 5.3229% 8/15/46 (h)(n) | 1,140,000 | 1,260,607 | ||
Class C, 5.3229% 8/15/46 (h)(n) | 1,102,648 | 1,189,079 | ||
Series 2013-LC11: | ||||
Class C, 3.9582% 4/15/46 (n) | 1,115,000 | 1,082,208 | ||
Class D, 4.2392% 4/15/46 (n) | 1,430,000 | 1,313,642 | ||
Class F, 3.25% 4/15/46 (h)(n) | 1,682,000 | 1,208,863 | ||
Series 2014-DSTY: | ||||
Class D, 3.8046% 6/10/27 (h)(n) | 816,000 | 795,902 | ||
Class E, 3.8046% 6/10/27 (h)(n) | 1,156,000 | 1,084,292 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0965% 7/15/44 (n) | 21,263,403 | 22,500,996 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-C7 Class AJ, 5.323% 11/15/40 (n) | 1,254,286 | 1,256,377 | ||
Series 2006-C6: | ||||
Class A4, 5.372% 9/15/39 | 855,696 | 879,626 | ||
Class AM, 5.413% 9/15/39 | 1,500,000 | 1,554,450 | ||
Series 2006-C7: | ||||
Class A2, 5.3% 11/15/38 | 595,713 | 599,313 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 165,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C1 Class A4, 5.424% 2/15/40 | $ 16,273,684 | $ 16,935,469 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,230,362 | 3,377,085 | ||
Series 2004-C2 Class G, 4.595% 3/15/36 (h)(n) | 186,455 | 186,521 | ||
Series 2005-C1 Class E, 4.924% 2/15/40 | 317,127 | 317,153 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (n) | 1,016,000 | 1,021,050 | ||
Series 2006-C1 Class AM, 5.217% 2/15/31 (n) | 6,847,000 | 6,904,871 | ||
Series 2006-C4: | ||||
Class AJ, 5.8521% 6/15/38 (n) | 1,060,000 | 1,083,970 | ||
Class AM, 5.8521% 6/15/38 (n) | 500,000 | 514,576 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (n) | 1,870,177 | 1,949,738 | ||
Series 2007-C7 Class A3, 5.866% 9/15/45 | 12,747,748 | 13,733,506 | ||
LSTAR Commercial Mortgage Trust: | ||||
Series 2011-1 Class D, 5.4769% 6/25/43 (h)(n) | 67,004 | 66,951 | ||
Series 2014-2: | ||||
Class D, 5.0498% 1/20/41 (h)(n) | 256,000 | 241,516 | ||
Class E, 5.0498% 1/20/41 (h)(n) | 400,000 | 336,046 | ||
Mach One Trust LLC Series 2004-1A Class H, 6.0869% 5/28/40 (h)(n) | 115,481 | 115,562 | ||
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3906% 10/12/39 (h)(n) | CAD | 320,000 | 244,593 | |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (n) | 183,308 | 183,218 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 05-LC1 Class AJ, 5.3621% 1/12/44 (n) | 220,000 | 221,689 | ||
Series 2005-LC1 Class F, 5.4161% 1/12/44 (h)(n) | 1,655,000 | 1,633,424 | ||
Series 2006-C1: | ||||
Class AJ, 5.6761% 5/12/39 (n) | 530,000 | 533,216 | ||
Class AM, 5.6761% 5/12/39 (n) | 100,000 | 102,190 | ||
Series 2007-C1 Class A4, 5.8347% 6/12/50 (n) | 9,429,517 | 9,840,823 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 2,936,477 | 3,128,152 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (n) | 778,304 | 803,053 | ||
Class ASB, 5.133% 12/12/49 (n) | 111,340 | 111,588 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 17,767,087 | 18,475,265 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (n) | 14,650,000 | 15,351,457 | ||
Series 2007-7 Class A4, 5.7429% 6/12/50 (n) | 6,223,318 | 6,587,805 | ||
Series 2006-1 Class AM, 5.5154% 2/12/39 (n) | 5,120,000 | 5,182,131 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (n) | 1,902,000 | 594,617 | ||
Series 2007-8 Class A3, 5.8811% 8/12/49 (n) | 1,640,000 | 1,745,567 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley BAML Trust: | ||||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (h) | $ 750,000 | $ 675,225 | ||
Series 2012-C6 Class D, 4.8133% 11/15/45 (h)(n) | 1,357,000 | 1,382,240 | ||
Series 2013-C12 Class D, 4.767% 10/15/46 (h)(n) | 1,000,000 | 971,250 | ||
Series 2013-C13: | ||||
Class D, 4.8945% 11/15/46 (h)(n) | 1,019,000 | 992,175 | ||
Class E, 4.8945% 11/15/46 (h)(n) | 887,000 | 797,878 | ||
Series 2013-C7: | ||||
Class D, 4.2973% 2/15/46 (h)(n) | 810,000 | 777,148 | ||
Class E, 4.2973% 2/15/46 (h)(n) | 340,000 | 305,162 | ||
Series 2013-C8 Class D, 4.17% 12/15/48 (h)(n) | 400,000 | 372,432 | ||
Series 2013-C9: | ||||
Class C, 4.2082% 5/15/46 (n) | 620,000 | 609,774 | ||
Class D, 4.1578% 5/15/46 (h)(n) | 1,740,000 | 1,621,161 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.398% 7/15/19 (h)(n) | 357,716 | 357,966 | ||
Class J, 0.6155% 7/15/19 (h)(n) | 335,939 | 335,105 | ||
Series 2007-XLFA: | ||||
Class D, 0.374% 10/15/20 (h)(n) | 633,568 | 631,626 | ||
Class E, 0.4355% 10/15/20 (h)(n) | 834,661 | 829,265 | ||
Class F, 0.4855% 10/15/20 (h)(n) | 500,899 | 497,723 | ||
Class G, 0.5255% 10/15/20 (h)(n) | 619,188 | 614,482 | ||
Class H, 0.6155% 10/15/20 (h)(n) | 389,758 | 379,000 | ||
Class J, 0.7655% 10/15/20 (h)(n) | 225,021 | 207,559 | ||
sequential payer: | ||||
Series 2006-HQ10 Class AM, 5.36% 11/12/41 | 620,000 | 643,794 | ||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 | 104,322 | 104,222 | ||
Series 2012-C4 Class E, 5.5247% 3/15/45 (h)(n) | 1,210,000 | 1,248,725 | ||
Series 1997-RR Class F, 7.4369% 4/30/39 (h)(n) | 63,561 | 63,796 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (h) | 207,862 | 208,710 | ||
Series 1999-WF1: | ||||
Class N, 5.91% 11/15/31 (h) | 210,000 | 209,561 | ||
Class O, 5.91% 11/15/31 (h) | 166,077 | 137,242 | ||
Series 2004-IQ7 Class E, 5.1708% 6/15/38 (h)(n) | 74,602 | 76,329 | ||
Series 2006-IQ11 Class A4, 5.7068% 10/15/42 (n) | 334,934 | 335,997 | ||
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 | 719,000 | 750,874 | ||
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 89,155,000 | 93,458,423 | ||
Series 2011-C1: | ||||
Class C, 5.3313% 9/15/47 (h)(n) | 970,000 | 1,062,944 | ||
Class D, 5.3313% 9/15/47 (h)(n) | 1,760,000 | 1,896,872 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2011-C1: | ||||
Class E, 5.3313% 9/15/47 (h)(n) | $ 573,100 | $ 588,828 | ||
Series 2011-C2: | ||||
Class D, 5.3029% 6/15/44 (h)(n) | 580,000 | 619,591 | ||
Class E, 5.3029% 6/15/44 (h)(n) | 600,000 | 629,740 | ||
Class F, 5.3029% 6/15/44 (h)(n) | 550,000 | 536,782 | ||
Class XB, 0.4584% 6/15/44 (h)(n)(o) | 9,001,008 | 234,854 | ||
Series 2011-C3: | ||||
Class C, 5.1784% 7/15/49 (h)(n) | 1,000,000 | 1,078,789 | ||
Class D, 5.1784% 7/15/49 (h)(n) | 1,130,000 | 1,200,615 | ||
Class E, 5.1784% 7/15/49 (h)(n) | 400,000 | 420,752 | ||
Class G, 5.1784% 7/15/49 (h)(n) | 924,000 | 822,421 | ||
Series 2012-C4: | ||||
Class D, 5.7088% 3/15/45 (h)(n) | 330,000 | 352,966 | ||
Class F, 3.07% 3/15/45 (h) | 623,000 | 522,362 | ||
Series 2015-MS1: | ||||
Class C, 4.1633% 5/15/48 (n) | 734,000 | 665,939 | ||
Class D, 4.163% 5/15/48 (h) | 437,000 | 355,947 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5079% 7/15/33 (h)(n) | 150,000 | 167,549 | ||
Motel 6 Trust Series 2015-MTL6: | ||||
Class E, 5.2785% 2/5/30 (h) | 1,571,000 | 1,534,715 | ||
Class F, 5% 2/5/30 (h) | 499,000 | 481,653 | ||
NationsLink Funding Corp. Series 1999-LTL1: | ||||
Class C, 7.399% 1/22/26 (h) | 273,000 | 282,582 | ||
Class D, 6.45% 1/22/26 (h) | 740,731 | 798,495 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (h) | 1,005,147 | 1,275,229 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 82,528 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 41,175 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 26,730 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 25,958 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 12,583 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 17,137 | |
Class M, 4.456% 9/12/38 | CAD | 104,391 | 63,371 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 97,360 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 32,206 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 31,962 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 31,720 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 15,740 | |
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Real Estate Asset Liquidity Trust: - continued | ||||
Series 2007-1: | ||||
Class L, 4.57% 4/12/23 | CAD | 63,000 | $ 46,865 | |
Class M, 4.57% 4/12/23 | CAD | 155,242 | 100,926 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (h) | 247,956 | 78,414 | ||
SCG Trust Series 2013-SRP1 Class D, 3.531% 11/15/26 (h)(n) | 1,330,000 | 1,329,557 | ||
Starwood Retail Property Trust Series 2014-STAR Class D, 3.4476% 11/15/27 (h)(n) | 794,000 | 789,385 | ||
TIAA Seasoned Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C4 Class AJ, 5.4769% 8/15/39 (n) | 118,718 | 119,103 | ||
Series 2007-C4 Class F, 5.4769% 8/15/39 (n) | 820,000 | 781,449 | ||
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (h) | 270,000 | 276,460 | ||
UBS Commercial Mortgage Trust Series 2012-C1 Class D, 5.5422% 5/10/45 (h)(n) | 1,197,000 | 1,253,996 | ||
UBS-BAMLL Trust: | ||||
Series 12-WRM Class D, 4.238% 6/10/30 (h)(n) | 310,000 | 300,234 | ||
Series 2012-WRM Class E, 4.238% 6/10/30 (h)(n) | 970,000 | 912,401 | ||
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (h)(n) | 1,299,000 | 1,246,776 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (h) | 180,000 | 206,013 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater Series 2006-WL7A Class J, 0.7976% 9/15/21 (h)(n) | 395,545 | 375,604 | ||
sequential payer: | ||||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 8,076,675 | 8,413,812 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 24,454,000 | 25,445,282 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 52,563,000 | 53,619,674 | ||
Series 2007-C32 Class A3, 5.7146% 6/15/49 (n) | 40,608,000 | 42,723,380 | ||
Series 2007-C33: | ||||
Class A4, 5.9507% 2/15/51 (n) | 31,834,336 | 33,267,677 | ||
Class A5, 5.9507% 2/15/51 (n) | 19,259,000 | 20,679,736 | ||
Series 2004-C11: | ||||
Class D, 5.1404% 1/15/41 (n) | 360,000 | 365,255 | ||
Class E, 5.1904% 1/15/41 (n) | 327,000 | 331,357 | ||
Series 2005-C22 Class B, 5.3736% 12/15/44 (n) | 4,218,000 | 4,196,594 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (n) | 7,870,000 | 7,923,673 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (n) | 21,703,452 | 22,312,712 | ||
Series 2007-C31 Class C, 5.6711% 4/15/47 (n) | 522,000 | 506,986 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Wells Fargo Commercial Mortgage Trust: | ||||
Series 2010-C1 Class XB, 0.5751% 11/15/43 (h)(n)(o) | $ 20,614,217 | $ 558,006 | ||
Series 2012-LC5: | ||||
Class C, 4.693% 10/15/45 (n) | 569,000 | 587,615 | ||
Class D, 4.7772% 10/15/45 (h)(n) | 1,621,000 | 1,605,471 | ||
Series 2013-LC12 Class C, 4.3013% 7/15/46 (n) | 600,000 | 597,456 | ||
Series 2015-SG1 Class ASB, 3.381% 12/15/47 | 9,000,000 | 9,280,949 | ||
WF-RBS Commercial Mortgage Trust: | ||||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (h) | 325,000 | 270,050 | ||
Series 2011-C3: | ||||
Class C, 5.335% 3/15/44 (h) | 360,000 | 386,167 | ||
Class D, 5.549% 3/15/44 (h)(n) | 800,000 | 854,287 | ||
Class E, 5% 3/15/44 (h) | 890,000 | 856,920 | ||
Class F, 5% 3/15/44 (h) | 693,000 | 570,839 | ||
Series 2011-C4: | ||||
Class D, 5.2658% 6/15/44 (h)(n) | 408,000 | 436,609 | ||
Class E, 5.2658% 6/15/44 (h)(n) | 439,432 | 458,950 | ||
Series 2011-C5: | ||||
Class C, 5.6346% 11/15/44 (h)(n) | 260,000 | 285,216 | ||
Class D, 5.6346% 11/15/44 (h)(n) | 600,000 | 656,164 | ||
Class E, 5.6346% 11/15/44 (h)(n) | 1,410,000 | 1,503,088 | ||
Class F, 5.25% 11/15/44 (h)(n) | 933,000 | 903,371 | ||
Class G, 5.25% 11/15/44 (h)(n) | 329,000 | 290,030 | ||
Class XA, 1.9616% 11/15/44 (h)(n)(o) | 4,923,294 | 389,255 | ||
Series 2012-C10: | ||||
Class D, 4.4569% 12/15/45 (h)(n) | 422,000 | 404,640 | ||
Class E, 4.4569% 12/15/45 (h)(n) | 1,190,000 | 1,040,947 | ||
Class F, 4.4569% 12/15/45 (h)(n) | 1,726,000 | 1,359,158 | ||
Series 2012-C6 Class D, 5.5612% 4/15/45 (h)(n) | 540,000 | 558,332 | ||
Series 2012-C7: | ||||
Class C, 4.8388% 6/15/45 (n) | 1,270,000 | 1,330,428 | ||
Class E, 4.8388% 6/15/45 (h)(n) | 2,501,000 | 2,482,220 | ||
Class F, 4.5% 6/15/45 (h) | 357,000 | 328,195 | ||
Class G, 4.5% 6/15/45 (h) | 1,076,000 | 822,541 | ||
Series 2012-C8 Class D, 4.8753% 8/15/45 (h)(n) | 650,000 | 680,150 | ||
Series 2013-C11: | ||||
Class D, 4.1805% 3/15/45 (h)(n) | 870,000 | 829,203 | ||
Class E, 4.1805% 3/15/45 (h)(n) | 1,750,000 | 1,489,002 | ||
Series 2013-C13 Class D, 4.1386% 5/15/45 (h)(n) | 600,000 | 563,078 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | ||||
Class F, 3.9179% 11/15/29 (h)(n) | $ 1,054,900 | $ 1,043,394 | ||
Class G, 3.2176% 11/15/29 (h)(n) | 164,703 | 152,834 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,348,981,101) |
| |||
Municipal Securities - 1.5% | ||||
| ||||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 2,650,000 | 3,677,458 | ||
7.3% 10/1/39 | 18,415,000 | 25,490,780 | ||
7.5% 4/1/34 | 9,105,000 | 12,691,368 | ||
7.6% 11/1/40 | 12,540,000 | 18,395,177 | ||
7.625% 3/1/40 | 5,410,000 | 7,793,862 | ||
Chicago Gen. Oblig.: | ||||
(Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,337,748 | ||
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 14,170,829 | ||
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 2,647,119 | ||
6.314% 1/1/44 | 19,560,000 | 17,022,677 | ||
Illinois Gen. Oblig.: | ||||
Series 2003: | ||||
4.35% 6/1/18 | 8,770,000 | 9,013,806 | ||
4.95% 6/1/23 | 16,725,000 | 17,003,639 | ||
5.1% 6/1/33 | 63,045,000 | 58,497,564 | ||
Series 2010 5, 6.2% 7/1/21 | 6,680,000 | 7,318,742 | ||
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 12,294,272 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 330,000 | 354,661 | ||
6.725% 4/1/35 | 17,810,000 | 18,434,953 | ||
7.35% 7/1/35 | 8,165,000 | 8,753,125 | ||
Series 2011: | ||||
4.961% 3/1/16 | 1,035,000 | 1,052,347 | ||
5.365% 3/1/17 | 395,000 | 408,549 | ||
5.665% 3/1/18 | 13,360,000 | 14,287,718 | ||
5.877% 3/1/19 | 44,605,000 | 48,723,826 | ||
Municipal Securities - continued | ||||
| Principal Amount (e) | Value | ||
Illinois Gen. Oblig.: - continued | ||||
Series 2013: | ||||
2.69% 12/1/17 | $ 3,365,000 | $ 3,352,583 | ||
3.14% 12/1/18 | 3,490,000 | 3,487,662 | ||
TOTAL MUNICIPAL SECURITIES (Cost $310,397,367) |
| |||
Foreign Government and Government Agency Obligations - 1.1% | ||||
| ||||
Arab Republic 5.875% 6/11/25 (h) | 380,000 | 367,232 | ||
Argentine Republic: | ||||
7% 10/3/15 | 300,000 | 299,800 | ||
7% 4/17/17 | 21,130,000 | 20,081,130 | ||
8.28% 12/31/33 | 525,764 | 538,908 | ||
8.75% 6/2/17 | 1,645,000 | 1,657,319 | ||
Azerbaijan Republic 4.75% 3/18/24 (h) | 760,000 | 725,800 | ||
Belarus Republic 8.95% 1/26/18 | 4,880,000 | 4,762,490 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 10,005,000 | 9,279,638 | ||
5.625% 1/7/41 | 14,565,000 | 12,962,850 | ||
7.125% 1/20/37 | 3,270,000 | 3,458,025 | ||
8.25% 1/20/34 | 3,535,000 | 4,144,788 | ||
Buenos Aires Province: | ||||
9.375% 9/14/18 (h) | 1,210,000 | 1,188,825 | ||
9.95% 6/9/21 | 960,000 | 936,000 | ||
10.875% 1/26/21 (Reg. S) | 3,645,000 | 3,590,325 | ||
City of Buenos Aires: | ||||
8.95% 2/19/21 (h) | 1,860,000 | 1,920,450 | ||
9.95% 3/1/17 (h) | 793,000 | 820,854 | ||
Colombian Republic: | ||||
5% 6/15/45 | 400,000 | 355,500 | ||
5.625% 2/26/44 | 550,000 | 534,188 | ||
6.125% 1/18/41 | 635,000 | 658,813 | ||
7.375% 9/18/37 | 745,000 | 877,238 | ||
10.375% 1/28/33 | 2,100,000 | 3,050,250 | ||
Congo Republic 4% 6/30/29 (f) | 4,360,501 | 3,750,031 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (h) | 1,250,000 | 1,146,875 | ||
5.625% 4/30/43 (h) | 490,000 | 396,900 | ||
7% 4/4/44 (h) | 1,450,000 | 1,355,750 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (h) | 410,000 | 422,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Croatia Republic: - continued | ||||
6% 1/26/24 (h) | $ 600,000 | $ 640,128 | ||
6.375% 3/24/21 (h) | 760,000 | 820,002 | ||
6.625% 7/14/20 (h) | 545,000 | 594,159 | ||
6.75% 11/5/19 (h) | 350,000 | 382,604 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6% 1/14/19 (h) | 325,000 | 329,875 | ||
6.25% 10/4/20 (h) | 1,355,000 | 1,371,938 | ||
6.25% 7/27/21 (h) | 360,000 | 360,900 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (n) | 2,950,000 | 2,854,125 | ||
5.5% 1/27/25 (h) | 710,000 | 702,900 | ||
5.875% 4/18/24 | 585,000 | 593,775 | ||
6.85% 1/27/45 (h) | 1,395,000 | 1,384,538 | ||
7.45% 4/30/44 (h) | 2,240,000 | 2,374,400 | ||
7.5% 5/6/21 (h) | 1,880,000 | 2,075,050 | ||
El Salvador Republic 7.625% 2/1/41 (h) | 250,000 | 236,250 | ||
Georgia Republic 6.875% 4/12/21 (h) | 720,000 | 752,400 | ||
Hungarian Republic: | ||||
5.375% 3/25/24 | 594,000 | 649,362 | ||
5.75% 11/22/23 | 910,000 | 1,014,650 | ||
7.625% 3/29/41 | 1,100,000 | 1,499,542 | ||
Indonesian Republic: | ||||
2.875% 7/8/21(Reg. S) | EUR | 2,400,000 | 2,659,496 | |
3.375% 4/15/23 (h) | 555,000 | 513,375 | ||
4.875% 5/5/21 (h) | 490,000 | 510,825 | ||
5.25% 1/17/42 (h) | 715,000 | 663,163 | ||
5.375% 10/17/23 | 400,000 | 420,000 | ||
5.875% 3/13/20 (h) | 385,000 | 423,019 | ||
5.875% 3/13/20 (Reg. S) | 2,450,000 | 2,691,938 | ||
6.625% 2/17/37 (h) | 950,000 | 1,021,250 | ||
6.75% 1/15/44 (h) | 490,000 | 542,087 | ||
7.75% 1/17/38 (h) | 2,270,000 | 2,752,375 | ||
8.5% 10/12/35 (Reg. S) | 2,060,000 | 2,657,400 | ||
Islamic Republic of Pakistan: | ||||
7.125% 3/31/16 (h) | 2,560,000 | 2,608,128 | ||
7.125% 3/31/16 (Reg. S) | 100,000 | 101,880 | ||
7.25% 4/15/19 (h) | 2,685,000 | 2,763,603 | ||
8.25% 4/15/24 (h) | 1,000,000 | 1,052,500 | ||
Ivory Coast 5.75% 12/31/32 | 3,150,000 | 2,835,504 | ||
Jamaican Government 7.875% 7/28/45 | 335,000 | 331,650 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Kazakhstan Republic: | ||||
5.125% 7/21/25 (h) | $ 915,000 | $ 893,269 | ||
6.5% 7/21/45 (h) | 645,000 | 622,425 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 2,486,250 | 2,461,388 | ||
5.45% 11/28/19 | 575,000 | 574,713 | ||
Moroccan Kingdom 4.25% 12/11/22 (h) | 600,000 | 604,020 | ||
Panamanian Republic: | ||||
6.7% 1/26/36 | 460,000 | 560,050 | ||
8.875% 9/30/27 | 335,000 | 469,000 | ||
9.375% 4/1/29 | 415,000 | 606,419 | ||
Peruvian Republic 4% 3/7/27 (f) | 1,360,000 | 1,360,000 | ||
Philippine Republic: | ||||
7.75% 1/14/31 | 665,000 | 962,588 | ||
9.5% 2/2/30 | 895,000 | 1,454,375 | ||
10.625% 3/16/25 | 260,000 | 414,050 | ||
Plurinational State of Bolivia: | ||||
5.95% 8/22/23 (h) | 485,000 | 501,975 | ||
5.95% 8/22/23 | 55,000 | 56,925 | ||
Provincia de Cordoba 12.375% 8/17/17 (h) | 1,990,000 | 2,014,875 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,100,000 | 1,068,595 | ||
Republic of Armenia: | ||||
6% 9/30/20 (h) | 1,756,000 | 1,673,292 | ||
7.15% 3/26/25 (h) | 720,000 | 688,464 | ||
Republic of Iceland 5.875% 5/11/22 (h) | 560,000 | 635,085 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 4,000,000 | 3,055,728 | ||
Republic of Nigeria 5.125% 7/12/18 (h) | 930,000 | 906,285 | ||
Republic of Serbia: | ||||
5.875% 12/3/18 (h) | 1,430,000 | 1,505,504 | ||
6.75% 11/1/24 (h) | 2,196,478 | 2,223,933 | ||
7.25% 9/28/21 (h) | 1,450,000 | 1,638,245 | ||
Romanian Republic: | ||||
4.375% 8/22/23 (h) | 706,000 | 735,864 | ||
6.125% 1/22/44 (h) | 852,000 | 994,199 | ||
Russian Federation: | ||||
4.875% 9/16/23 (h) | 1,135,000 | 1,085,491 | ||
5% 4/29/20 (h) | 625,000 | 629,638 | ||
5.625% 4/4/42 (h) | 400,000 | 362,521 | ||
5.875% 9/16/43 (h) | 1,700,000 | 1,583,040 | ||
7.5% 3/31/30 (Reg. S) | 535,625 | 627,120 | ||
12.75% 6/24/28 (Reg. S) | 5,345,000 | 8,188,273 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
South African Republic: | ||||
5.875% 9/16/25 | $ 1,235,000 | $ 1,333,523 | ||
6.25% 3/8/41 | 500,000 | 550,190 | ||
Turkish Republic: | ||||
3.25% 3/23/23 | 245,000 | 223,163 | ||
4.875% 4/16/43 | 640,000 | 562,368 | ||
5.125% 3/25/22 | 315,000 | 324,986 | ||
5.625% 3/30/21 | 965,000 | 1,024,955 | ||
6.25% 9/26/22 | 680,000 | 743,936 | ||
6.75% 4/3/18 | 565,000 | 616,856 | ||
6.75% 5/30/40 | 975,000 | 1,082,601 | ||
6.875% 3/17/36 | 1,795,000 | 2,013,236 | ||
7% 3/11/19 | 685,000 | 761,446 | ||
7.25% 3/5/38 | 1,150,000 | 1,347,685 | ||
7.375% 2/5/25 | 1,170,000 | 1,372,995 | ||
7.5% 11/7/19 | 1,215,000 | 1,385,756 | ||
8% 2/14/34 | 570,000 | 712,728 | ||
11.875% 1/15/30 | 630,000 | 1,032,494 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h) | 790,000 | 556,316 | ||
Ukraine Government: | ||||
7.8% 11/28/22 (h) | 1,870,000 | 1,338,172 | ||
9.25% 7/24/17 (h) | 1,595,000 | 1,139,628 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.75% 1/22/17 | GBP | 1,380,000 | 2,152,546 | |
3.25% 1/22/44 | GBP | 1,600,000 | 2,789,279 | |
4.5% 9/7/34 | GBP | 1,835,000 | 3,701,097 | |
United Mexican States: | ||||
4.6% 1/23/46 | 695,000 | 634,188 | ||
4.75% 3/8/44 | 13,812,000 | 12,879,690 | ||
5.55% 1/21/45 | 650,000 | 679,250 | ||
6.05% 1/11/40 | 1,366,000 | 1,529,920 | ||
6.75% 9/27/34 | 650,000 | 791,375 | ||
United Republic of Tanzania 6.3971% 3/9/20 (n) | 205,000 | 202,950 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,130,000 | 1,473,238 | ||
Venezuelan Republic: | ||||
5.75% 2/26/16 (Reg S.) | 7,620,000 | 6,057,900 | ||
9% 5/7/23 (Reg. S) | 695,000 | 254,023 | ||
9.25% 9/15/27 | 1,250,000 | 523,750 | ||
9.25% 5/7/28 (Reg. S) | 480,000 | 175,920 | ||
11.75% 10/21/26 (Reg. S) | 1,115,000 | 461,053 | ||
11.95% 8/5/31 (Reg. S) | 3,855,000 | 1,595,970 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Venezuelan Republic: - continued | ||||
12.75% 8/23/22 | $ 2,000,000 | $ 932,000 | ||
Vietnamese Socialist Republic: | ||||
1.2139% 3/12/16 (n) | 256,522 | 252,995 | ||
4% 3/12/28 (f) | 5,357,917 | 5,163,692 | ||
4.8% 11/19/24 (h) | 1,000,000 | 960,000 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $228,712,522) |
| |||
Supranational Obligations - 0.0% | ||||
| ||||
European Investment Bank 1.75% 9/15/45(Reg. S) | EUR | 65,000 |
|
Common Stocks - 0.0% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 846,728 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 2,680,932 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
FairPoint Communications, Inc. (a) | 19,400 | 317,384 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E, | 1 | 134,408 | |
TOTAL TELECOMMUNICATION SERVICES | 451,792 | ||
TOTAL COMMON STOCKS (Cost $5,726,831) |
| ||
Preferred Stocks - 0.1% | |||
Shares | Value | ||
Convertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D 7.00% | 9,000 | $ 246,094 | |
FelCor Lodging Trust, Inc. Series A, 1.95% | 18,000 | 458,100 | |
| 704,194 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.1% | |||
Real Estate Investment Trusts - 0.1% | |||
Alexandria Real Estate Equities, Inc. Series E, 6.45% | 15,000 | 391,500 | |
Annaly Capital Management, Inc.: | |||
Series C, 7.625% | 27,600 | 680,340 | |
Series D, 7.50% | 5,942 | 145,520 | |
Boston Properties, Inc. 5.25% | 17,500 | 432,950 | |
CBL & Associates Properties, Inc.: | |||
Series D, 7.375% | 7,720 | 195,702 | |
Series E, 6.625% | 25,000 | 624,750 | |
Cedar Shopping Centers, Inc. Series B, 7.25% | 10,000 | 251,800 | |
Corporate Office Properties Trust Series L, 7.375% | 12,221 | 317,868 | |
CYS Investments, Inc. Series B, 7.50% | 21,700 | 479,787 | |
DDR Corp. Series K, 6.25% | 17,823 | 445,575 | |
Digital Realty Trust, Inc. Series E, 7.00% | 10,000 | 258,000 | |
Equity Lifestyle Properties, Inc. Series C, 6.75% | 22,449 | 577,164 | |
Essex Property Trust, Inc. Series H, 7.125% | 9,354 | 241,801 | |
First Potomac Realty Trust 7.75% | 15,000 | 381,000 | |
Hersha Hospitality Trust Series B, 8.00% | 13,844 | 353,160 | |
Hospitality Properties Trust Series D, 7.125% | 10,000 | 263,000 | |
LaSalle Hotel Properties Series H, 7.50% | 10,000 | 258,400 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 552,600 | |
PS Business Parks, Inc.: | |||
Series R, 6.875% | 10,000 | 253,800 | |
Series S, 6.45% | 21,000 | 547,050 | |
Public Storage: | |||
Series P, 6.50% | 12,000 | 305,880 | |
Series R, 6.35% | 10,500 | 272,580 | |
Series S, 5.90% | 20,000 | 508,800 | |
Realty Income Corp. Series F, 6.625% | 12,000 | 318,960 | |
Regency Centers Corp. Series 6, 6.625% | 5,510 | 143,536 | |
Retail Properties America, Inc. 7.00% | 24,109 | 614,780 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 464,964 | |
Stag Industrial, Inc. Series A, 9.00% | 20,000 | 551,200 | |
Preferred Stocks - continued | |||
Shares | Value | ||
Nonconvertible Preferred Stocks - continued | |||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Sun Communities, Inc. Series A, 7.125% | 34,260 | $ 880,482 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 288,325 | |
| 12,001,274 | ||
TOTAL PREFERRED STOCKS (Cost $12,416,231) |
|
Bank Loan Obligations - 5.3% | ||||
| Principal Amount (e) |
| ||
CONSUMER DISCRETIONARY - 1.8% | ||||
Auto Components - 0.0% | ||||
Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (n) | $ 1,490,472 | 1,453,583 | ||
North American Lifting Holdings, Inc.: | ||||
Tranche 1LN, term loan 5.5% 11/27/20 (n) | 4,635,496 | 4,380,544 | ||
Tranche 2LN, term loan 10% 11/27/21 (n) | 1,594,000 | 1,442,570 | ||
Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (n) | 1,041,398 | 1,034,025 | ||
| 8,310,722 | |||
Automobiles - 0.0% | ||||
Chrysler Group LLC term loan 3.25% 12/31/18 (n) | 1,287,594 | 1,281,968 | ||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (n) | 1,284,463 | 1,277,399 | ||
Diversified Consumer Services - 0.2% | ||||
Bright Horizons Family Solutions Tranche B 2LN, term loan 4.2506% 1/30/20 (n) | 1,497,475 | 1,497,475 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (n) | 1,087,423 | 1,085,477 | ||
Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (n) | 5,283,450 | 5,205,836 | ||
Creative Artists Agency LLC Tranche B, term loan 5.5% 12/17/21 (n) | 3,932,240 | 3,956,817 | ||
KC Mergersub, Inc.: | ||||
Tranche 1LN, term loan 6% 8/13/22 (n) | 2,500,000 | 2,450,000 | ||
Tranche L 2LN, term loan 10.25% 8/13/23 (n) | 1,000,000 | 980,000 | ||
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (n) | 15,849,926 | 14,552,292 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Diversified Consumer Services - continued | ||||
Nord Anglia Education Tranche B, term loan 4.5% 3/31/21 (n) | $ 5,965,779 | $ 5,921,035 | ||
The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (n) | 2,834,462 | 2,818,277 | ||
Wash Multifamily Acquisition, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 5/14/22 (n) | 915,000 | 905,850 | ||
Tranche B 2LN, term loan 8% 5/14/23 (n) | 360,000 | 360,000 | ||
William Morris Endeavor Entertainment, LLC. Tranche B 1LN, term loan 5.25% 5/6/21 (n) | 745,236 | 741,510 | ||
| 40,474,569 | |||
Hotels, Restaurants & Leisure - 0.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (n) | 3,524,276 | 3,387,710 | ||
American Casino & Entertainment Properties LLC Tranche B, term loan 5% 7/7/22 (n) | 1,500,000 | 1,503,750 | ||
Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (n) | 5,515,708 | 5,532,255 | ||
Belmond Interfin Ltd. Tranche B, term loan 4% 3/21/21 (n) | 2,273,489 | 2,258,324 | ||
Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (n) | 2,856,793 | 2,852,508 | ||
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (n) | 7,028,323 | 6,697,008 | ||
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (n) | 17,116,415 | 14,834,284 | ||
CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (n) | 2,451,144 | 2,448,840 | ||
CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (n) | 1,573,000 | 1,569,068 | ||
ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 7/24/20 (n) | 3,764,000 | 3,757,714 | ||
Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (n) | 2,305,000 | 2,305,000 | ||
Equinox Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 8/1/20 (n) | 903,000 | 915,037 | ||
Tranche B 1LN, term loan 5% 2/1/20 (n) | 4,617,678 | 4,614,815 | ||
ESH Hospitality, Inc. Tranche B, term loan 5% 6/24/19 (n) | 1,285,062 | 1,293,903 | ||
Four Seasons Holdings, Inc.: | ||||
Tranche 2LN, term loan 6.25% 12/27/20 (n) | 3,037,000 | 3,037,000 | ||
Tranche B 1LN, term loan 3.5% 6/27/20 (n) | 5,140,410 | 5,099,698 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Golden Nugget, Inc. Tranche B, term loan: | ||||
5.5% 11/21/19 (n) | $ 5,193,455 | $ 5,196,726 | ||
5.5% 11/21/19 (n) | 2,225,348 | 2,226,750 | ||
Graton Economic Development Authority Tranche B, term loan 4.75% 8/5/22 (n) | 5,100,000 | 5,100,000 | ||
Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (n) | 6,905,978 | 6,890,854 | ||
La Quinta Intermediate Holdings LLC Tranche B LN, Tranche B, term loan 3.75% 4/14/21 (n) | 5,574,271 | 5,557,994 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (n) | 3,682,168 | 3,685,445 | ||
Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (n) | 566,375 | 563,050 | ||
LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (n) | 3,020,000 | 2,994,511 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (n) | 1,923,138 | 1,905,349 | ||
Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 11/19/19 (n) | 5,332,010 | 5,278,690 | ||
NCL Corp. Ltd. Tranche B, term loan 4% 11/19/21 (n) | 347,200 | 347,054 | ||
Planet Fitness Holdings, LLC. Tranche B, term loan 4.75% 3/31/21 (n) | 2,572,141 | 2,568,926 | ||
Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (n) | 2,397,797 | 2,382,811 | ||
Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (n) | 3,398,622 | 3,415,615 | ||
Scientific Games Corp.: | ||||
Tranche B 2LN, term loan 6% 10/1/21 (n) | 14,058,355 | 13,886,984 | ||
Tranche B, term loan 6% 10/18/20 (n) | 511,404 | 505,364 | ||
SMG Tranche B 1LN, term loan 4.5% 2/27/20 (n) | 1,621,768 | 1,611,632 | ||
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (n) | 3,044,898 | 3,037,286 | ||
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (n) | 1,975,000 | 1,975,000 | ||
Town Sports International LLC Tranche B, term loan 4.5% 11/15/20 (n) | 2,131,182 | 1,502,483 | ||
Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (n) | 1,512,304 | 1,502,217 | ||
Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (n) | 501,980 | 490,268 | ||
| 134,731,923 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.0% | ||||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (n) | $ 2,119,133 | $ 2,099,277 | ||
Leisure Products - 0.0% | ||||
SRAM LLC. Tranche B, term loan 4.0205% 4/10/20 (n) | 2,920,929 | 2,818,697 | ||
Media - 0.5% | ||||
Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (n) | 2,992,500 | 2,956,979 | ||
CDS U.S. Intermediate Holdings, Inc.: | ||||
Tranche B 1LN, term loan 5% 7/8/22 (n) | 1,255,000 | 1,253,431 | ||
Tranche B 2LN, term loan 9.25% 7/8/23 (n) | 465,000 | 459,769 | ||
Cengage Learning Acquisitions, Inc. Tranche 1LN, term loan 7% 3/31/20 (n) | 4,211,365 | 4,201,511 | ||
Charter Communications Operating LLC: | ||||
Tranche E, term loan 3% 7/1/20 (n) | 1,493,381 | 1,479,253 | ||
Tranche F, term loan 3% 1/3/21 (n) | 6,767,749 | 6,698,380 | ||
Tranche H, term loan 3.25% 8/24/21 (n) | 1,000,000 | 996,940 | ||
Tranche I, term loan 3.5% 1/24/23 (n) | 6,335,000 | 6,320,746 | ||
Clear Channel Communications, Inc. Tranche D, term loan 6.948% 1/30/19 (n) | 14,695,000 | 12,949,969 | ||
CSC Holdings LLC Tranche B, term loan 2.698% 4/17/20 (n) | 1,305,622 | 1,286,861 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (n) | 6,471,811 | 4,081,836 | ||
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (n) | 3,000,000 | 2,962,500 | ||
ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (n) | 1,497,475 | 1,493,731 | ||
Karman Buyer Corp.: | ||||
Tranche 1LN, term loan 4.25% 7/25/21 (n) | 3,681,201 | 3,636,585 | ||
Tranche 2LN, term loan 7.5% 7/25/22 (n) | 1,880,000 | 1,822,660 | ||
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 4.5% 1/7/22 (n) | 1,620,000 | 1,572,745 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 4.75% 3/22/19 (n) | 1,952,153 | 1,952,641 | ||
McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (n) | 1,853,591 | 1,848,957 | ||
Numericable LLC: | ||||
Tranche B 1LN, term loan 4% 7/20/22 (n) | 1,000,000 | 995,140 | ||
Tranche B 1LN, term loan 4.5% 5/8/20 (n) | 5,809,355 | 5,803,139 | ||
Tranche B 2LN, term loan 4.5% 5/8/20 (n) | 5,025,944 | 5,020,566 | ||
Proquest LLC Tranche B, term loan 5.25% 10/24/21 (n) | 2,995,927 | 2,994,069 | ||
Regal Cinemas Corp. Tranche B, term loan 3.75% 4/1/22 (n) | 1,000,000 | 998,750 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (n) | $ 10,885,086 | $ 10,789,841 | ||
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (n) | 2,577,423 | 2,557,293 | ||
UPC Broadband Holding BV Tranche AH, term loan 3.25% 6/30/21 (n) | 1,355,000 | 1,334,431 | ||
Virgin Media Investment Holdings Ltd. Tranche B, term loan 3.5% 6/30/23 (n) | 1,013,348 | 1,001,046 | ||
WideOpenWest Finance LLC Tranche B, term loan 4.5% 4/1/19 (n) | 997,500 | 993,600 | ||
WMG Acquisition Corp. term loan 3.75% 7/1/20 (n) | 1,480,466 | 1,449,628 | ||
Ziggo B.V.: | ||||
Tranche B 1LN, term loan 3.5% 1/15/22 (n) | 1,391,000 | 1,371,150 | ||
Tranche B 2LN, term loan 3.5% 1/15/22 (n) | 897,000 | 884,200 | ||
Tranche B 3LN, term loan 3.5% 1/15/22 (n) | 1,475,000 | 1,453,952 | ||
| 95,622,299 | |||
Multiline Retail - 0.2% | ||||
Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 3/9/22 (n) | 4,000,000 | 4,000,000 | ||
JC Penney Corp., Inc. Tranche B, term loan: | ||||
5% 6/20/19 (n) | 3,292,869 | 3,278,875 | ||
6% 5/22/18 (n) | 15,590,789 | 15,546,979 | ||
Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (n) | 6,132,790 | 6,046,931 | ||
| 28,872,785 | |||
Specialty Retail - 0.2% | ||||
Academy Ltd. Tranche B, term loan 5% 7/2/22 (n) | 4,500,000 | 4,477,500 | ||
Davids Bridal, Inc. Tranche B, term loan 5.25% 10/11/19 (n) | 1,882,000 | 1,793,791 | ||
General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (n) | 1,646,368 | 1,628,884 | ||
J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (n) | 7,355,193 | 5,694,170 | ||
Party City Holdings, Inc. Tranche B, term loan 8/19/22 (s) | 3,655,000 | 3,648,165 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (n) | 1,344,958 | 1,341,596 | ||
PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (n) | 11,214,893 | 11,191,566 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n) | $ 3,137,000 | $ 2,670,371 | ||
Staples, Inc. Tranche B, term loan 4/24/21 (s) | 3,000,000 | 2,985,000 | ||
| 35,431,043 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Calceus Acquisition, Inc. Tranche B 1LN, term loan 5% 2/1/20 (n) | 1,474,714 | 1,405,889 | ||
Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (n) | 2,445,180 | 2,448,236 | ||
Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (n) | 4,026,009 | 4,026,009 | ||
| 7,880,134 | |||
TOTAL CONSUMER DISCRETIONARY | 358,800,816 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.0% | ||||
Blue Ribbon LLC: | ||||
Tranche 2LN, term loan 9.25% 11/13/22 (n) | 1,332,000 | 1,308,690 | ||
Tranche B 1LN, term loan 5.75% 11/13/21 (n) | 6,357,861 | 6,353,919 | ||
| 7,662,609 | |||
Food & Staples Retailing - 0.3% | ||||
Albertson's LLC: | ||||
Tranche B 2LN, term loan 5.375% 3/21/19 (n) | 3,736,436 | 3,732,625 | ||
Tranche B 3LN, term loan 5% 8/25/19 (n) | 1,693,236 | 1,692,186 | ||
Tranche B 4LN, term loan 5.5% 8/25/21 (n) | 15,960,260 | 15,956,270 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 2LN, term loan 8.5% 3/31/20 (n) | 653,000 | 646,470 | ||
Tranche B 1LN, term loan 4.5% 9/26/19 (n) | 5,968,867 | 5,941,828 | ||
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (n) | 1,478,476 | 1,452,603 | ||
GOBP Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.25% 10/21/22 (n) | 1,129,000 | 1,120,533 | ||
Tranche B 1LN, term loan 4.75% 10/21/21 (n) | 3,428,800 | 3,412,719 | ||
Performance Food Group, Inc. Tranche 2LN, term loan 6.25% 11/14/19 (n) | 6,695,838 | 6,695,838 | ||
Shearer's Foods, Inc.: | ||||
Tranche 2LN, term loan 7.75% 6/30/22 (n) | 2,913,000 | 2,854,740 | ||
Tranche B 1LN, term loan 4.5% 6/30/21 (n) | 3,400,867 | 3,362,607 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (n) | $ 2,378,000 | $ 2,367,608 | ||
SUPERVALU, Inc. Tranche B, term loan 4.5% 3/21/19 (n) | 1,118,958 | 1,121,577 | ||
| 50,357,604 | |||
Food Products - 0.1% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (n) | 1,481,000 | 1,486,554 | ||
Ferrara Candy Co., Inc. Tranche B, term loan 7.5% 6/18/18 (n) | 2,119,101 | 2,111,154 | ||
Hostess Brands LLC: | ||||
Tranche B 1LN, term loan 4.5% 8/3/22 (n) | 1,070,000 | 1,069,668 | ||
Tranche B 2LN, term loan 8.5% 8/3/23 (n) | 125,000 | 125,156 | ||
JBS U.S.A. LLC Tranche B, term loan 8/18/22 (s) | 3,540,000 | 3,524,530 | ||
Post Holdings, Inc. Tranche B, term loan 3.75% 6/2/21 (n) | 480,696 | 479,696 | ||
| 8,796,758 | |||
Household Products - 0.0% | ||||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (n) | 2,429,444 | 2,335,303 | ||
Personal Products - 0.0% | ||||
Prestige Brands, Inc. Tranche B 3LN, term loan 3.5088% 9/3/21 (n) | 289,703 | 289,040 | ||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (n) | 2,652,718 | 2,641,125 | ||
| 2,930,165 | |||
TOTAL CONSUMER STAPLES | 72,082,439 | |||
ENERGY - 0.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (n) | 8,938,420 | 6,435,663 | ||
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (n) | 4,106,261 | 3,161,821 | ||
Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (n) | 6,113,277 | 5,058,737 | ||
Floatel International Ltd. Tranche B, term loan 6% 6/27/20 (n) | 2,328,212 | 1,639,061 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (n) | $ 2,112,223 | $ 1,522,554 | ||
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (n) | 1,114,343 | 759,425 | ||
Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (n) | 417,737 | 325,835 | ||
| 18,903,096 | |||
Oil, Gas & Consumable Fuels - 0.3% | ||||
Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.75% 6/20/21 (n) | 978,701 | 972,281 | ||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (n) | 1,468,469 | 1,468,469 | ||
Chelsea Petroleum Products I LLC Tranche B, term loan 7/22/22 (s) | 2,385,000 | 2,346,244 | ||
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (n) | 4,612,000 | 3,973,238 | ||
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (n) | 2,453,505 | 2,458,608 | ||
Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (n) | 533,313 | 531,479 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (n) | 5,952,913 | 5,446,916 | ||
Energy Transfer Equity LP Tranche C, term loan 4% 12/2/19 (n) | 1,937,824 | 1,908,155 | ||
Fieldwood Energy, LLC: | ||||
Tranche 2LN, term loan 8.375% 9/30/20 (n) | 4,629,000 | 1,747,448 | ||
Tranche B 1LN, term loan 3.875% 9/30/18 (n) | 1,833,674 | 1,603,328 | ||
Foresight Energy LLC Tranche B, term loan 5.5% 8/23/20 (n) | 1,105,000 | 1,051,595 | ||
Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (n) | 5,856,496 | 5,622,236 | ||
Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (n) | 9,096,000 | 8,777,640 | ||
Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (n) | 521,367 | 517,889 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (n) | 3,767,028 | 3,578,677 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (n) | 1,020,000 | 951,150 | ||
Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (n) | 6,895,944 | 5,062,795 | ||
Penn Products Terminals LLC Tranche B, term loan 4.75% 4/13/22 (n) | 1,291,763 | 1,278,845 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sheridan Investment Partners I term loan 4.25% 12/16/20 (n) | $ 3,004,343 | $ 2,343,388 | ||
Sheridan Investment Partners I, LLC: | ||||
Tranche B 2LN, term loan 4.25% 10/1/19 (n) | 3,477,061 | 2,746,878 | ||
Tranche B, term loan 4.25% 10/1/18 (n) | 727,481 | 571,072 | ||
Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (n) | 155,414 | 121,223 | ||
Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (n) | 1,717,327 | 1,640,047 | ||
Targa Resources Corp. term loan 5.75% 2/27/22 (n) | 1,470,512 | 1,468,673 | ||
TPF II Power, LLC Tranche B, term loan 5.5% 10/2/21 (n) | 1,804,221 | 1,805,718 | ||
Western Refining, Inc. Tranche B, term loan 4.25% 11/12/20 (n) | 837,747 | 832,512 | ||
| 60,826,504 | |||
TOTAL ENERGY | 79,729,600 | |||
FINANCIALS - 0.2% | ||||
Capital Markets - 0.0% | ||||
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (n) | 931,384 | 925,563 | ||
IBC Capital U.S. LLC: | ||||
Tranche 2LN, term loan 8% 11/15/22 (n) | 2,505,000 | 2,436,113 | ||
Tranche B 1LN, term loan 4.75% 11/15/21 (n) | 1,989,015 | 1,924,372 | ||
| 5,286,048 | |||
Consumer Finance - 0.0% | ||||
Flying Fortress Holdings, Inc. Tranche B, term loan 3.5% 4/30/20 (n) | 2,000,000 | 1,998,760 | ||
Diversified Financial Services - 0.1% | ||||
Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (n) | 1,618,000 | 1,615,169 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (n) | 634,249 | 604,122 | ||
TransUnion LLC Tranche B 2LN, term loan 3.75% 4/9/21 (n) | 8,004,735 | 7,937,175 | ||
| 10,156,466 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - 0.0% | ||||
Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (n) | $ 2,500,000 | $ 2,489,075 | ||
HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (n) | 690,000 | 681,665 | ||
| 3,170,740 | |||
Real Estate Management & Development - 0.1% | ||||
CityCenter 8.74% 7/12/16 (n) | 331,828 | 331,828 | ||
DTZ U.S. Borrower LLC: | ||||
Tranche 2LN, term loan 9.25% 11/4/22 (n) | 1,882,000 | 1,886,705 | ||
Tranche B 1LN, term loan 11/4/21 (s) | 500,000 | 494,585 | ||
Tranche B 1LN, term loan 5.5% 11/4/21 (n) | 3,745,180 | 3,704,620 | ||
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (n) | 16,957 | 16,788 | ||
Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (n) | 8,718,645 | 8,685,950 | ||
| 15,120,476 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 2/15/18 (n) | 3,523,844 | 3,499,318 | ||
TOTAL FINANCIALS | 39,231,808 | |||
HEALTH CARE - 0.4% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (n) | 1,490,000 | 1,488,972 | ||
DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (n) | 1,150,000 | 1,143,100 | ||
Hill-Rom Holdings, Inc. Tranche B, term loan 7/30/22 (s) | 1,500,000 | 1,500,315 | ||
| 4,132,387 | |||
Health Care Providers & Services - 0.2% | ||||
AmSurg Corp. Tranche B, term loan 3.75% 7/16/21 (n) | 2,426,568 | 2,423,851 | ||
Community Health Systems, Inc.: | ||||
Tranche F, term loan 3.5749% 12/31/18 (n) | 997,500 | 996,253 | ||
Tranche G, term loan 3.75% 12/31/19 (n) | 1,980,760 | 1,977,056 | ||
Tranche H, term loan 4% 1/27/21 (n) | 7,019,240 | 7,032,015 | ||
Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (n) | 1,000,000 | 996,670 | ||
Dialysis Newco, Inc.: | ||||
Tranche 2LN, term loan 7.75% 10/22/21 (n) | 1,882,000 | 1,898,468 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Dialysis Newco, Inc.: - continued | ||||
Tranche B 1LN, term loan 4.5% 4/23/21 (n) | $ 4,105,266 | $ 4,088,147 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (n) | 1,887,166 | 1,884,335 | ||
Genesis HealthCare Corp. Tranche B, term loan 10% 12/4/17 (n) | 2,152,000 | 2,184,280 | ||
HCA Holdings, Inc.: | ||||
Tranche B 4LN, term loan 3.0318% 5/1/18 (n) | 2,620,663 | 2,615,107 | ||
Tranche B 5LN, term loan 2.948% 3/31/17 (n) | 4,331,954 | 4,321,688 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (n) | 5,550,018 | 5,272,517 | ||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (n) | 5,635,000 | 5,596,964 | ||
Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (n) | 2,567,035 | 2,562,235 | ||
MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (n) | 455,448 | 449,400 | ||
Quintiles Transnational Corp. Tranche B, term loan 3.25% 5/12/22 (n) | 590,000 | 588,525 | ||
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (n) | 227,855 | 227,570 | ||
U.S. Renal Care, Inc.: | ||||
Tranche 2LN, term loan 8.5% 1/3/20 (n) | 540,000 | 540,675 | ||
Tranche B 2LN, term loan 4.25% 7/3/19 (n) | 1,638,661 | 1,633,204 | ||
| 47,288,960 | |||
Life Sciences Tools & Services - 0.0% | ||||
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (n) | 7,100,141 | 7,012,525 | ||
Pharmaceuticals - 0.2% | ||||
Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (n) | 1,451,625 | 1,444,367 | ||
Concordia Healthcare Corp. Tranche B, term loan 4.75% 4/21/22 (n) | 730,000 | 730,460 | ||
Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (n) | 1,780,800 | 1,780,355 | ||
Endo Pharmaceuticals, Inc. Tranche B, term loan 6/24/22 (s) | 3,000,000 | 2,999,460 | ||
Genoa, a QoL Healthcare Co. LLC: | ||||
Tranche 1LN, term loan 4.5% 4/30/22 (n) | 1,510,000 | 1,507,176 | ||
Tranche 2LN, term loan 8.75% 4/30/23 (n) | 1,000,000 | 1,000,000 | ||
Grifols, S.A. Tranche B, term loan 3.198% 2/27/21 (n) | 1,486,474 | 1,483,263 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (n) | $ 1,065,000 | $ 1,063,669 | ||
Pharmedium Healthcare Corp.: | ||||
Tranche 2LN, term loan 7.75% 1/28/22 (n) | 2,625,000 | 2,615,156 | ||
Tranche B 1LN, term loan 4.25% 1/28/21 (n) | 8,199,843 | 8,111,038 | ||
PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (n) | 3,811,711 | 3,807,899 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
Tranche BD 2LN, term loan 3.5% 2/13/19 (n) | 1,882,000 | 1,875,131 | ||
Tranche E, term loan 3.75% 8/5/20 (n) | 1,882,000 | 1,875,526 | ||
| 30,293,500 | |||
TOTAL HEALTH CARE | 88,727,372 | |||
INDUSTRIALS - 0.5% | ||||
Aerospace & Defense - 0.1% | ||||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (n) | 509,394 | 506,633 | ||
Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (n) | 271,338 | 269,302 | ||
Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (n) | 2,017,819 | 2,014,449 | ||
TransDigm, Inc.: | ||||
Tranche C, term loan 3.75% 2/28/20 (n) | 3,666,862 | 3,626,930 | ||
Tranche D, term loan 3.75% 6/4/21 (n) | 6,073,277 | 6,004,953 | ||
| 12,422,267 | |||
Airlines - 0.0% | ||||
American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (n) | 1,985,000 | 1,968,465 | ||
U.S. Airways, Inc. Tranche B 1LN, term loan 3.5% 5/23/19 (n) | 1,567,010 | 1,557,216 | ||
| 3,525,681 | |||
Building Products - 0.1% | ||||
GYP Holdings III Corp.: | ||||
Tranche 1LN, term loan 4.75% 4/1/21 (n) | 7,013,682 | 6,851,526 | ||
Tranche 2LN, term loan 7.75% 4/1/22 (n) | 1,260,000 | 1,232,444 | ||
Jeld-Wen, Inc. Tranche B, term loan 5% 7/1/22 (n) | 1,000,000 | 996,880 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
LBM Borrower LLC Tranche B 1LN, term loan 7.5% 8/20/22 (n) | $ 6,615,000 | $ 6,482,700 | ||
Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (n) | 872,582 | 862,547 | ||
| 16,426,097 | |||
Commercial Services & Supplies - 0.1% | ||||
ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (n) | 3,598,919 | 3,562,930 | ||
ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (n) | 1,493,438 | 1,486,509 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (n) | 4,886,176 | 4,389,399 | ||
Garda World Security Corp.: | ||||
term loan 4.0032% 11/8/20 (n) | 3,213,302 | 3,159,737 | ||
Tranche DD, term loan 4.0032% 11/8/20 (n) | 750,389 | 737,880 | ||
Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (n) | 7,261,424 | 6,989,120 | ||
Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (n) | 2,145,000 | 2,131,594 | ||
Metal Services LLC Tranche B, term loan 6% 6/30/17 (n) | 1,111,359 | 1,101,167 | ||
Redtop Acquisitions Ltd. Tranche 2LN, term loan 8.25% 6/3/21 (n) | 612,889 | 607,784 | ||
The Brickman Group, Ltd.: | ||||
Tranche 2LN, term loan 7.5% 12/18/21 (n) | 560,000 | 546,700 | ||
Tranche B 1LN, term loan 4% 12/18/20 (n) | 4,421,612 | 4,349,053 | ||
WTG Holdings III Corp. Tranche B 1LN, term loan 4.75% 1/15/21 (n) | 555,182 | 551,018 | ||
| 29,612,891 | |||
Construction & Engineering - 0.1% | ||||
Drumm Investors LLC Tranche B, term loan 6.75% 5/4/18 (n) | 9,257,383 | 9,309,502 | ||
Ls Deco LLC Tranche B, term loan 5.5% 5/21/22 (n) | 3,250,000 | 3,266,250 | ||
| 12,575,752 | |||
Electrical Equipment - 0.0% | ||||
Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (n) | 1,374,691 | 1,361,810 | ||
Machinery - 0.1% | ||||
Doosan Infracore, Inc. Tranche B, term loan 4.5% 5/28/21 (n) | 825,432 | 827,495 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (n) | $ 1,287,713 | $ 1,260,349 | ||
Mueller Water Products, Inc. Tranche B, term loan 4% 11/25/21 (n) | 1,520,360 | 1,520,360 | ||
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 4.25% 3/13/22 (n) | 2,973,548 | 2,969,206 | ||
Rexnord LLC Tranche B, term loan 4% 8/21/20 (n) | 3,449,756 | 3,413,534 | ||
The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (n) | 1,120,356 | 1,071,340 | ||
| 11,062,284 | |||
Marine - 0.0% | ||||
American Commercial Lines, Inc. Tranche B, term loan 7.5% 9/22/19 (n) | 2,205,718 | 2,197,446 | ||
Harvey Gulf International Tranche B, term loan 5.5% 6/18/20 (n) | 1,097,415 | 764,536 | ||
Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (n) | 2,036,582 | 2,031,491 | ||
| 4,993,473 | |||
Professional Services - 0.0% | ||||
AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (n) | 2,125,000 | 2,122,875 | ||
On Assignment, Inc. Tranche B, term loan 3.75% 6/5/22 (n) | 1,200,873 | 1,197,871 | ||
Research Now Group, Inc.: | ||||
Tranche 2LN, term loan 9.75% 3/18/22 (n) | 285,000 | 283,575 | ||
Tranche B 1LN, term loan 5.5% 3/18/21 (n) | 872,813 | 864,084 | ||
Science Applications International Corp. Tranche B, term loan 3.75% 5/4/22 (n) | 1,995,000 | 1,994,003 | ||
| 6,462,408 | |||
Road & Rail - 0.0% | ||||
Hertz Corp. Tranche B 2LN, term loan 3% 3/11/18 (n) | 1,123,254 | 1,112,022 | ||
YRC Worldwide, Inc. Tranche B, term loan 8.25% 2/13/19 (n) | 2,223,712 | 2,139,211 | ||
| 3,251,233 | |||
Trading Companies & Distributors - 0.0% | ||||
Fly Funding II Sarl Tranche B, term loan 3.5% 8/9/19 (n) | 2,343,787 | 2,330,615 | ||
TOTAL INDUSTRIALS | 104,024,511 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.0% | ||||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (n) | $ 1,752,721 | $ 1,742,871 | ||
Mitel U.S. Holdings, Inc. Tranche B, term loan 5% 4/29/22 (n) | 1,785,000 | 1,772,166 | ||
| 3,515,037 | |||
Electronic Equipment & Components - 0.1% | ||||
Carros U.S., LLC Tranche B, term loan 4.5% 9/30/21 (n) | 660,672 | 659,020 | ||
CPI Acquisition, Inc. Tranche B, term loan 8/14/22 (s) | 1,500,000 | 1,475,625 | ||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (n) | 4,955,498 | 4,808,617 | ||
Lux FinCo U.S. SPV: | ||||
Tranche 2LN, term loan 7/31/23 (s) | 670,000 | 665,813 | ||
Tranche B 1LN, term loan 7/31/22 (s) | 1,345,000 | 1,338,275 | ||
TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (n) | 4,330,000 | 4,091,850 | ||
| 13,039,200 | |||
Internet Software & Services - 0.0% | ||||
Datapipe, Inc. Tranche B 1LN, term loan 5.25% 3/15/19 (n) | 4,084,908 | 4,064,484 | ||
TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (n) | 946,343 | 939,245 | ||
TELX, Inc. Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 748,221 | 744,951 | ||
| 5,748,680 | |||
IT Services - 0.1% | ||||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (n) | 1,482,550 | 1,426,584 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (n) | 1,867,451 | 1,851,409 | ||
First Data Corp. term loan 3.7004% 3/24/17 (n) | 7,113,000 | 7,089,883 | ||
G.I. Peak Merger Sub Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/17/22 (n) | 515,000 | 489,250 | ||
Tranche B 1LN, term loan 5% 6/17/21 (n) | 1,164,121 | 1,158,300 | ||
WP Mustang Holdings, LLC.: | ||||
Tranche 2LN, term loan 8.5% 5/29/22 (n) | 752,000 | 729,440 | ||
Tranche B 1LN, term loan 5.5% 5/29/21 (n) | 880,553 | 874,503 | ||
| 13,619,369 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Avago Technologies, Inc. Tranche B, term loan 3.75% 5/6/21 (n) | $ 1,594,269 | $ 1,592,276 | ||
Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (n) | 2,673,001 | 2,668,831 | ||
NXP BV Tranche D, term loan 3.25% 1/11/20 (n) | 1,867,496 | 1,856,609 | ||
| 6,117,716 | |||
Software - 0.2% | ||||
Applied Systems, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 1/23/21 (n) | 455,667 | 454,300 | ||
Tranche B 2LN, term loan 7.5% 1/23/22 (n) | 116,000 | 115,246 | ||
Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (n) | 2,135,000 | 2,118,988 | ||
BMC Software Finance, Inc. Tranche B, term loan: | ||||
5% 9/10/20 (n) | 671,591 | 613,948 | ||
5% 9/10/20 (n) | 10,689,020 | 9,811,024 | ||
Epicor Software Corp. Tranche B, term loan 4.75% 6/1/22 (n) | 3,000,000 | 2,988,210 | ||
Hyland Software, Inc. Tranche B 1LN, term loan 4.75% 7/1/22 (n) | 180,000 | 179,494 | ||
Informatica Corp. Tranche B, term loan 4.5% 8/6/22 (n) | 985,000 | 978,026 | ||
Kronos, Inc.: | ||||
Tranche 2LN, term loan 9.75% 4/30/20 (n) | 12,974,594 | 13,179,982 | ||
Tranche B 1LN, term loan 4.5% 10/30/19 (n) | 3,680,000 | 3,678,859 | ||
Renaissance Learning, Inc.: | ||||
Tranche 1LN, term loan 4.5% 4/9/21 (n) | 3,726,134 | 3,629,887 | ||
Tranche 2LN, term loan 8% 4/9/22 (n) | 1,693,000 | 1,640,805 | ||
SS&C Technologies, Inc.: | ||||
Tranche B 1LN, term loan 4% 7/8/22 (n) | 3,210,762 | 3,213,042 | ||
Tranche B 2LN, term loan 4% 7/8/22 (n) | 520,179 | 520,549 | ||
Transfirst, Inc.: | ||||
Tranche 2LN, term loan 9% 11/12/22 (n) | 931,000 | 924,790 | ||
Tranche B 1LN, term loan 4.75% 11/12/21 (n) | 923,934 | 922,086 | ||
| 44,969,236 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||
Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (n) | $ 14,733,075 | $ 14,645,119 | ||
Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (n) | 2,568,960 | 2,552,904 | ||
| 17,198,023 | |||
TOTAL INFORMATION TECHNOLOGY | 104,207,261 | |||
MATERIALS - 0.5% | ||||
Chemicals - 0.2% | ||||
A. Schulman, Inc. Tranche B, term loan 4% 6/1/22 (n) | 1,770,563 | 1,761,710 | ||
AgroFresh, Inc. Tranche B, term loan 5.75% 7/31/21 (n) | 2,500,000 | 2,496,875 | ||
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (n) | 1,117,357 | 1,106,183 | ||
Arizona Chem U.S., Inc.: | ||||
Tranche 2LN, term loan 7.5% 6/12/22 (n) | 781,000 | 772,800 | ||
Tranche B 1LN, term loan 4.5% 6/12/21 (n) | 625,180 | 623,505 | ||
Aruba Investments, Inc. Tranche B, term loan 4.5% 2/2/22 (n) | 992,015 | 987,055 | ||
Chromaflo Technologies Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/2/20 (n) | 751,971 | 706,853 | ||
Tranche B 1LN, term loan 4.5% 12/2/19 (n) | 1,482,473 | 1,437,999 | ||
Eco Services Operations LLC Tranche B, term loan 4.75% 12/1/21 (n) | 2,210,890 | 2,199,836 | ||
Hilex Poly Co. LLC: | ||||
Tranche 2LN, term loan 9.75% 6/5/22 (n) | 1,129,000 | 1,126,178 | ||
Tranche B 1LN, term loan 6% 12/5/21 (n) | 4,108,355 | 4,094,222 | ||
MacDermid, Inc. Tranche B 2LN, term loan 4.75% 6/7/20 (n) | 1,113,206 | 1,112,860 | ||
Royal Holdings, Inc.: | ||||
Tranche B 1LN, term loan 4.5% 6/19/22 (n) | 2,135,000 | 2,125,222 | ||
Tranche B 2LN, term loan 8.5% 6/19/23 (n) | 500,000 | 498,125 | ||
Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (n) | 4,104,375 | 4,124,897 | ||
The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (n) | 2,410,000 | 2,322,638 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (n) | 1,620,000 | 1,615,140 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (n) | $ 512,923 | $ 510,553 | ||
Univar, Inc. Tranche B, term loan 4% 7/1/22 (n) | 1,235,000 | 1,225,738 | ||
| 30,848,389 | |||
Containers & Packaging - 0.2% | ||||
Anchor Glass Container Corp. Tranche B, term loan 4.5% 7/1/22 (n) | 2,408,602 | 2,409,349 | ||
Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (n) | 4,754,924 | 4,731,150 | ||
Berlin Packaging, LLC: | ||||
Tranche 2LN, term loan 7.75% 10/1/22 (n) | 1,129,000 | 1,115,825 | ||
Tranche B 1LN, term loan 4.5% 10/1/21 (n) | 5,609,739 | 5,606,261 | ||
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (n) | 3,552,000 | 3,520,920 | ||
BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (n) | 2,175,494 | 2,175,494 | ||
Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (n) | 730,000 | 727,810 | ||
Charter NEX U.S. Holdings, Inc. Tranche 2LN, term loan 9.25% 2/5/23 (n) | 752,000 | 753,880 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (n) | 3,519,049 | 3,328,422 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.5% 12/1/18 (n) | 9,135,595 | 9,127,647 | ||
Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (n) | 2,708,667 | 2,674,808 | ||
Tricorbraun, Inc. Tranche B, term loan 4% 5/3/18 (n) | 732,664 | 725,338 | ||
| 36,896,904 | |||
Metals & Mining - 0.1% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 12/19/19 (n) | 2,614,761 | 1,838,177 | ||
Tranche B 2LN, term loan 8.75% 12/19/20 (n) | 1,296,000 | 874,800 | ||
Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 1,615,000 | 1,604,503 | ||
Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (n) | 3,596,880 | 3,106,805 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (n) | 15,116,357 | 12,185,447 | ||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (n) | 1,700,010 | 1,685,135 | ||
MRC Global, Inc. Tranche B, term loan 4.75% 11/9/19 (n) | 531,924 | 518,961 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Murray Energy Corp.: | ||||
Tranche B 1LN, term loan 7% 4/16/17 (n) | $ 780,000 | $ 709,153 | ||
Tranche B 2LN, term loan 7.5% 4/16/20 (n) | 6,355,000 | 4,758,306 | ||
Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (n) | 752,000 | 682,440 | ||
Walter Energy, Inc. Tranche B, term loan 5.8% 4/1/18 (n) | 4,707,000 | 1,908,877 | ||
| 29,872,604 | |||
TOTAL MATERIALS | 97,617,897 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Altice Financing SA: | ||||
Tranche B 2LN, term loan 5.25% 1/30/22 (n) | 2,634,000 | 2,647,170 | ||
Tranche B, term loan 5.5% 6/24/19 (n) | 12,993,045 | 13,041,769 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (n) | 6,807,181 | 6,821,340 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (n) | 2,992,500 | 2,983,523 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 3.5% 5/31/22 (n) | 3,764,000 | 3,726,360 | ||
Tranche B 3LN, term loan 4% 8/1/19 (n) | 2,742,000 | 2,737,887 | ||
Tranche B 4LN, term loan 4% 1/15/20 (n) | 3,011,000 | 3,008,170 | ||
LTS Buyer LLC: | ||||
Tranche 2LN, term loan 8% 4/12/21 (n) | 163,000 | 162,865 | ||
Tranche B 1LN, term loan 4% 4/11/20 (n) | 8,914,096 | 8,858,383 | ||
Securus Technologies Holdings, Inc.: | ||||
Tranche 2LN, term loan 9% 4/30/21 (n) | 3,724,000 | 3,337,635 | ||
Tranche B 1LN, term loan 4.75% 4/30/20 (n) | 2,824,628 | 2,717,829 | ||
Securus Technologies, Inc. Tranche B2 1LN, term loan 5.25% 4/30/20 (n) | 1,000,000 | 971,250 | ||
| 51,014,181 | |||
Wireless Telecommunication Services - 0.1% | ||||
Crown Castle Operating Co. Tranche B 2LN, term loan 3% 1/31/21 (n) | 1,501,379 | 1,494,893 | ||
Digicel International Finance Ltd.: | ||||
Tranche D 1LN, term loan 3.8125% 3/31/17 (n) | 1,382,317 | 1,299,378 | ||
Tranche D-2, term loan 3.7818% 3/31/19 (n) | 5,012,683 | 4,724,454 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (n) | $ 4,150,000 | $ 4,072,188 | ||
Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (n) | 1,882,000 | 1,731,440 | ||
| 13,322,353 | |||
TOTAL TELECOMMUNICATION SERVICES | 64,336,534 | |||
UTILITIES - 0.3% | ||||
Electric Utilities - 0.2% | ||||
Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | ||||
6.375% 8/13/18 (n) | 161,490 | 161,652 | ||
6.375% 8/13/19 (n) | 2,444,528 | 2,446,972 | ||
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (n) | 3,011,587 | 2,940,815 | ||
Empire Generating Co. LLC: | ||||
Tranche B, term loan 5.25% 3/14/21 (n) | 3,589,368 | 3,409,900 | ||
Tranche C, term loan 5.25% 3/14/21 (n) | 263,000 | 249,850 | ||
Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (n) | 6,215,916 | 6,200,376 | ||
Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (n) | 5,064,411 | 4,853,377 | ||
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (n) | 3,042,000 | 3,042,000 | ||
InterGen NV Tranche B, term loan 5.5% 6/13/20 (n) | 4,396,131 | 4,132,363 | ||
Longview Power LLC Tranche B, term loan 7% 4/13/21 (n) | 2,000,000 | 2,002,500 | ||
Southeast Powergen LLC Tranche B, term loan 4.5% 12/2/21 (n) | 554,215 | 556,293 | ||
Star West Generation LLC Tranche B, term loan 4.25% 3/13/20 (n) | 2,006,000 | 2,000,985 | ||
TXU Energy LLC Tranche B, term loan 4.6741% 10/10/17 (d)(n) | 1,088,000 | 490,840 | ||
USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (n) | 589,990 | 583,352 | ||
| 33,071,275 | |||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (n) | 4,052,000 | 3,835,907 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southcross Holdings Borrower LP Tranche B, term loan 6% 8/4/21 (n) | $ 2,642,653 | $ 2,191,209 | ||
Veresen Midstream LP Tranche B, term loan 5.25% 3/31/22 (n) | 1,815,450 | 1,812,418 | ||
| 7,839,534 | |||
Independent Power and Renewable Electricity Producers - 0.1% | ||||
Calpine Corp.: | ||||
Tranche B 3LN, term loan 4% 10/9/19 (n) | 2,516,064 | 2,511,132 | ||
Tranche B 4LN, term loan 4% 10/31/20 (n) | 3,727,081 | 3,714,856 | ||
Tranche B 5LN, term loan 3.5% 5/28/22 (n) | 1,500,000 | 1,478,910 | ||
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (n) | 2,653,000 | 2,653,000 | ||
ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (n) | 466,891 | 471,560 | ||
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (n) | 2,799,716 | 2,624,734 | ||
Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (n) | 2,902,415 | 2,851,623 | ||
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 8/11/22 (s) | 3,000,000 | 2,970,000 | ||
| 19,275,815 | |||
TOTAL UTILITIES | 60,186,624 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $1,092,574,461) |
| |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (n) | 904,290 | 886,205 | ||
Goldman Sachs 1.25% 12/14/19 (n) | 775,000 | 759,500 | ||
Mizuho 1.25% 12/14/19 (n) | 363,384 | 356,116 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $1,875,319) |
| |||
Bank Notes - 1.2% | ||||
| Principal Amount (e) | Value | ||
Bank of America NA: | ||||
1.65% 3/26/18 | $ 22,324,000 | $ 22,212,693 | ||
1.75% 6/5/18 | 84,682,000 | 84,232,169 | ||
5.3% 3/15/17 | 3,467,000 | 3,644,614 | ||
Barclays Bank PLC 2.5% 2/20/19 | 7,200,000 | 7,266,816 | ||
Capital One NA 1.65% 2/5/18 | 18,801,000 | 18,561,926 | ||
Discover Bank: | ||||
(Delaware) 3.2% 8/9/21 | 23,245,000 | 22,850,439 | ||
3.1% 6/4/20 | 22,584,000 | 22,536,641 | ||
8.7% 11/18/19 | 2,958,000 | 3,535,484 | ||
JPMorgan Chase Bank 6% 10/1/17 | 11,313,000 | 12,209,555 | ||
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,523,678 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 14,669,000 | 15,309,889 | ||
Regions Bank 7.5% 5/15/18 | 24,647,000 | 27,954,430 | ||
Wachovia Bank NA 6% 11/15/17 | 2,243,000 | 2,450,439 | ||
TOTAL BANK NOTES (Cost $242,512,420) | 245,288,773 | |||
Preferred Securities - 0.8% | ||||
| ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Automobiles - 0.0% | ||||
Volkswagen International Finance NV 2.5%(Reg. S) (i)(n) | EUR | 2,150,000 | 2,343,384 | |
CONSUMER STAPLES - 0.0% | ||||
Food Products - 0.0% | ||||
Cosan Overseas Ltd. 8.25% (i) | 1,725,000 | 1,627,629 | ||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Total SA 2.625% (Reg. S) (i)(n) | EUR | 2,150,000 | 2,299,559 | |
FINANCIALS - 0.8% | ||||
Banks - 0.7% | ||||
BAC Capital Trust XIV 4% (i)(n) | 1,245,000 | 967,734 | ||
Banco Do Brasil SA 9% (h)(i)(n) | 1,415,000 | 1,147,484 | ||
Bank of America Corp.: | ||||
6.1% (i)(n) | 3,225,000 | 3,238,216 | ||
6.25% (i)(n) | 3,680,000 | 3,755,700 | ||
6.5% (i)(n) | 3,000,000 | 3,159,795 | ||
Bank of Ireland 7.375% (Reg. S) (i)(n) | EUR | 2,000,000 | 2,326,877 | |
Barclays Bank PLC 7.625% 11/21/22 | 20,775,000 | 24,126,874 | ||
Barclays PLC: | ||||
6.625% (i)(n) | 7,940,000 | 7,862,515 | ||
8.25% (i)(n) | 5,470,000 | 5,897,920 | ||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
BNP Paribas SA: | ||||
7.375% (h)(i)(n) | $ 3,830,000 | $ 3,931,898 | ||
7.375% 12/29/49 (Reg. S) (n) | 3,100,000 | 3,182,476 | ||
Citigroup, Inc.: | ||||
5.875% (i)(n) | 4,305,000 | 4,378,134 | ||
5.95% (i)(n) | 2,285,000 | 2,273,527 | ||
5.95% (i)(n) | 6,945,000 | 6,787,466 | ||
6.3% (i)(n) | 7,100,000 | 7,019,488 | ||
Credit Agricole SA: | ||||
6.625% (h)(i)(n) | 14,035,000 | 13,938,915 | ||
6.625% (Reg. S) (i)(n) | 2,850,000 | 2,830,489 | ||
8.125% 9/19/33 (Reg. S) (n) | 2,500,000 | 2,861,487 | ||
JPMorgan Chase & Co.: | ||||
5.3% (i)(n) | 3,245,000 | 3,260,582 | ||
6% (i)(n) | 10,455,000 | 10,403,293 | ||
6.75% (i)(n) | 10,085,000 | 10,697,020 | ||
Royal Bank of Scotland Group PLC: | ||||
7.5% (i)(n) | 2,285,000 | 2,300,980 | ||
8% (i)(n) | 1,140,000 | 1,169,689 | ||
Wells Fargo & Co. 5.875% (i)(n) | 2,000,000 | 2,072,541 | ||
| 129,591,100 | |||
Capital Markets - 0.1% | ||||
Credit Suisse Group AG 6.25% (h)(i)(n) | 5,000,000 | 4,864,037 | ||
Deutsche Bank AG 7.5% (i)(n) | 7,600,000 | 7,670,144 | ||
Goldman Sachs Group, Inc. 5.375% (i)(n) | 3,250,000 | 3,245,271 | ||
UBS Group AG: | ||||
6.875% (Reg. S) (i)(n) | 1,950,000 | 1,944,259 | ||
7.125% (Reg. S) (i)(n) | 1,700,000 | 1,836,629 | ||
| 19,560,340 | |||
Diversified Financial Services - 0.0% | ||||
Magnesita Finance Ltd.: | ||||
8.625% (h)(i) | 650,000 | 496,336 | ||
8.625% (Reg. S) (i) | 200,000 | 152,719 | ||
| 649,055 | |||
TOTAL FINANCIALS | 149,800,495 | |||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - 0.0% | ||||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd.: | ||||
7.5% (h)(i) | $ 4,705,000 | $ 3,369,267 | ||
7.5% (Reg. S) (i) | 100,000 | 71,610 | ||
| 3,440,877 | |||
MATERIALS - 0.0% | ||||
Metals & Mining - 0.0% | ||||
CSN Islands XII Corp. 7% (Reg. S) (i) | 2,100,000 | 1,035,971 | ||
UTILITIES - 0.0% | ||||
Electric Utilities - 0.0% | ||||
EDF SA 5.625% (Reg. S) (i)(n) | 2,700,000 | 2,764,547 | ||
TOTAL PREFERRED SECURITIES (Cost $163,665,548) |
|
Money Market Funds - 5.9% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.15% (b) | 1,185,530,172 |
| |
Cash Equivalents - 0.5% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15 (Collateralized by U.S. Government Obligations) # (c) | $ 110,825,462 |
|
See accompanying notes which are an integral part of the financial statements.
Annual Report
Investments - continued
Purchased Swaptions - 0.0% | |||||
Expiration Date | Notional Amount (e) | Value | |||
Put Options - 0.0% | |||||
Option on a credit default swap with Morgan Stanley Capital Group, Inc. to buy protection on the 5-Year iTraxx Europe Crossover Series 23 Index expiring June 2020 exercise rate 3.125% | 9/16/15 | EUR | 17,600,000 | $ 206,315 |
TOTAL INVESTMENT PORTFOLIO - 104.0% (Cost $21,131,127,040) | 21,078,070,800 | ||
NET OTHER ASSETS (LIABILITIES) - (4.0)% | (808,453,417) | ||
NET ASSETS - 100% | $ 20,269,617,383 | ||
TBA Sale Commitments | |||
| Principal Amount (e) |
| |
Fannie Mae | |||
3% 9/1/45 | $ (700,000) | (703,008) | |
3% 9/1/45 | (700,000) | (703,008) | |
3% 9/1/45 | (2,100,000) | (2,109,023) | |
3% 9/1/45 | (33,200,000) | (33,342,657) | |
3% 9/1/45 | (12,950,000) | (13,005,645) | |
3% 9/1/45 | (9,700,000) | (9,741,680) | |
3% 9/1/45 | (27,500,000) | (27,618,165) | |
3% 9/1/45 | (11,000,000) | (11,047,266) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (13,200,000) | (14,018,812) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (3,600,000) | (3,823,312) | |
4% 9/1/45 | (28,000,000) | (29,736,874) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (10,000,000) | (10,832,812) | |
TOTAL FANNIE MAE | (346,389,752) | ||
TBA Sale Commitments - continued | |||
| Principal Amount (e) | Value | |
Freddie Mac | |||
3% 9/1/45 | $ (1,500,000) | $ (1,502,109) | |
3% 9/1/45 | (3,200,000) | (3,204,500) | |
TOTAL FREDDIE MAC | (4,706,609) | ||
Ginnie Mae | |||
3.5% 9/1/45 | (31,500,000) | (32,799,372) | |
3.5% 9/1/45 | (20,000,000) | (20,824,998) | |
TOTAL GINNIE MAE | (53,624,370) |
TOTAL TBA SALE COMMITMENTS (Proceeds $404,373,664) | $ (404,720,731) |
Futures Contracts | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Purchased | |||||
Bond Index Contracts | |||||
9 Eurex Euro-Bobl Contracts (Germany) | Sept. 2015 | $ 1,313,218 | $ (3,300) | ||
21 Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | Sept. 2015 | 3,572,005 | (57,360) | ||
2 OSE Japan 10 Year Bond Contracts (Japan) | Sept. 2015 | 2,440,879 | 20,099 | ||
64 TME 10 Year Canadian Note Contracts (Canada) | Dec. 2015 | 6,879,659 | (118,481) | ||
TOTAL BOND INDEX CONTRACTS | $ 14,205,761 | $ (159,042) | |||
Treasury Contracts | |||||
21 ASX 10 Year Treasury Bond Index Contracts (Australia) | Sept. 2015 | 1,924,905 | 80,165 | ||
96 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 20,973,000 | (55,692) | ||
24 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 2,866,500 | (23,111) | ||
50 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 7,920,313 | (286,818) | ||
TOTAL TREASURY CONTRACTS | $ 33,684,718 | $ (285,456) | |||
TOTAL PURCHASED | $ 47,890,479 | $ (444,498) | |||
Futures Contracts - continued | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Sold | |||||
Bond Index Contracts | |||||
3 Eurex Euro-Bund Contracts (Germany) | Sept. 2015 | $ 515,370 | $ (5,052) | ||
20 ICE Long Gilt Contracts (United Kingdom) | Dec. 2015 | 3,596,561 | 19,791 | ||
112 ICE Medium Gilt Contracts (United Kingdom) | Dec. 2015 | 19,051,124 | 22,345 | ||
TOTAL BOND INDEX CONTRACTS | $ 23,163,055 | $ 37,084 | |||
Treasury Contracts | |||||
10 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 1,270,625 | 9,883 | ||
38 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 5,875,750 | 182,799 | ||
TOTAL TREASURY CONTRACTS | $ 7,146,375 | $ 192,682 | |||
TOTAL SOLD | $ 30,309,430 | $ 229,766 | |||
| $ 78,199,909 | $ (214,732) |
The face value of futures purchased as a percentage of net assets is 0.2% |
The face value of futures sold as a percentage of net assets is 0.1% |
Foreign Currency Contracts | ||||||
Settlement Date | Currency | Counterparty | Type | Quantity | Contract Amount (e) | Unrealized Appreciation/ |
11/20/15 | AUD | Credit Suisse Intl. | Sell | 204,000 | $ 149,743 | $ 5,155 |
11/20/15 | CAD | JPMorgan Chase Bank, N.A. | Sell | 135,000 | 102,856 | 262 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 127,000 | 145,663 | (2,968) |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 211,000 | 233,130 | 3,947 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 404,000 | 453,573 | 356 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 237,000 | 267,054 | 764 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 1,603,000 | 1,771,357 | (29,753) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Buy | 194,000 | 226,297 | (8,321) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Sell | 67,385,000 | 74,790,342 | (922,557) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 174,000 | 272,420 | (5,534) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 231,000 | 354,868 | (553) |
11/20/15 | GBP | Credit Suisse Intl. | Sell | 288,000 | 453,631 | 11,888 |
11/20/15 | GBP | JPMorgan Chase Bank, N.A. | Sell | 33,946,000 | 52,958,340 | 890,873 |
11/20/15 | JPY | JPMorgan Chase Bank, N.A. | Sell | 14,350,000 | 115,567 | (2,940) |
| $ (59,381) |
For the period, the average contract value for foreign currency contracts was $177,993,164. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively. |
Swaps | |||||||||
Credit Default Swaps |
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/(Paid) | Notional Amount | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
Buy Protection | |||||||||
Carlsberg Breweries A/S |
| Jun. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 2,600,000 | $ (8,869) | $ 30,763 | $ 21,894 |
Kering SA |
| Sep. | Morgan Stanley Capital Group, Inc. | (1%) | EUR | 3,500,000 | (78,250) | 8,252 | (69,998) |
Metro AG |
| Dec. | Credit Suisse International | (1%) | EUR | 3,850,000 | (6,470) | (28,271) | (34,741) |
Metro AG |
| Dec. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 600,000 | (1,008) | (1,718) | (2,726) |
Standard Chartered Bank |
| Sep. | Citibank, N.A. | (1%) | EUR | 2,700,000 | 155,943 | (145,356) | 10,587 |
Valeo SA |
| Sep. | Credit Suisse International | (1%) | EUR | 3,500,000 | (57,598) | (53,854) | (111,452) |
TOTAL BUY PROTECTION | 3,748 | (190,184) | (186,436) | ||||||
Sell Protection | |||||||||
Commerzbank AG | Ba2 | Sep. | Credit Suisse International | 5% | EUR | 1,850,000 | 342,816 | (369,344) | (26,528) |
Italy Republic Of | A2 | Sep. | JPMorgan Chase Bank, N.A. | 1% |
| 2,800,000 | (13,065) | 21,241 | 8,176 |
Pemex Project Funding Master Trust | A3 | Sep. | Barclays Bank PLC | 1% |
| 3,550,000 | (191,039) | 170,506 | (20,533) |
TOTAL SELL PROTECTION | 138,712 | (177,597) | (38,885) | ||||||
TOTAL CREDIT DEFAULT SWAPS | $ 142,460 | $ (367,781) | $ (225,321) |
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(2) Notional amount is stated in U.S. dollars unless otherwise noted. |
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
Swaps - continued | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) | Payment Received | Payment Paid | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
LCH | Sep. 2020 | $ 35,400,000 | 3-month LIBOR | 2.25% | $ (657,215) | $ 0 | $ (657,215) |
LCH | Sep. 2025 | 20,500,000 | 3-month LIBOR | 2.75% | (686,088) | 0 | (686,088) |
LCH | Sep. 2045 | 8,700,000 | 3-month LIBOR | 3% | (543,452) | 0 | (543,452) |
TOTAL INTEREST RATE SWAPS | $ (1,886,755) | $ 0 | $ (1,886,755) |
(1) Notional amount is stated in U.S. dollars unless otherwise noted. |
|
(2) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(3) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(e) Amount is stated in United States dollars unless otherwise noted. |
(f) 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. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,370,236,323 or 11.7% of net assets. |
(i) Security is perpetual in nature with no stated maturity date. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $873,986. |
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,713,112. |
(m) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $182,501. |
(n) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(o) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(p) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(q) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(r) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(s) The coupon rate will be determined upon settlement of the loan after period end. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$110,825,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 110,825,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 913,060 |
Fidelity Floating Rate Central Fund | 17,840,584 |
Fidelity Mortgage Backed Securities Central Fund | 4,263,089 |
Total | $ 23,016,733 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 440,816,855 | $ 589,842,295 | $ 1,013,143,899 | $ - | 0.0% |
Fidelity Mortgage Backed Securities Central Fund | 2,130,357,633 | - | 2,121,313,208 | - | 0.0% |
Total | $ 2,571,174,488 | $ 589,842,295 | $ 3,134,457,107 | $ - |
* Includes the value of shares redeemed through in-kind transactions. See Note 6 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 846,728 | $ 846,728 | $ - | $ - |
Financials | 12,705,468 | 12,459,374 | 246,094 | - |
Materials | 2,680,932 | 2,680,932 | - | - |
Telecommunication Services | 451,792 | 317,384 | - | 134,408 |
Corporate Bonds | 8,951,784,547 | - | 8,951,772,409 | 12,138 |
U.S. Government and Government Agency Obligations | 3,844,418,792 | - | 3,844,418,792 | - |
U.S. Government Agency - Mortgage Securities | 2,844,544,800 | - | 2,844,544,800 | - |
Asset-Backed Securities | 153,200,820 | - | 149,424,222 | 3,776,598 |
Collateralized Mortgage Obligations | 594,721,855 | - | 594,721,855 | - |
Commercial Mortgage Securities | 1,364,361,739 | - | 1,363,122,289 | 1,239,450 |
Municipal Securities | 307,210,465 | - | 307,210,465 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Foreign Government and Government Agency Obligations | $ 224,958,802 | $ - | $ 223,345,807 | $ 1,612,995 |
Supranational Obligations | 74,655 | - | 74,655 | - |
Bank Loan Obligations | 1,068,944,862 | - | 1,057,929,638 | 11,015,224 |
Sovereign Loan Participations | 2,001,821 | - | - | 2,001,821 |
Bank Notes | 245,288,773 | - | 245,288,773 | - |
Preferred Securities | 163,312,462 | - | 163,312,462 | - |
Money Market Funds | 1,185,530,172 | 1,185,530,172 | - | - |
Cash Equivalents | 110,825,000 | - | 110,825,000 | - |
Purchased Swaptions | 206,315 | - | 206,315 | - |
Total Investments in Securities: | $ 21,078,070,800 | $ 1,201,834,590 | $ 19,856,443,576 | $ 19,792,634 |
Other Derivative | ||||
Assets | ||||
Foreign Currency Contracts | $ 913,245 | $ - | $ 913,245 | $ - |
Futures Contracts | 335,082 | 335,082 | - | - |
Swaps | 498,759 | - | 498,759 | - |
Total Assets | $ 1,747,086 | $ 335,082 | $ 1,412,004 | $ - |
Liabilities | ||||
Foreign Currency Contracts | $ (972,626) | $ - | $ (972,626) | $ - |
Futures Contracts | (549,814) | (549,814) | - | - |
Swaps | (2,243,054) | - | (2,243,054) | - |
Total Liabilities | $ (3,765,494) | $ (549,814) | $ (3,215,680) | $ - |
Total Other Derivative Instruments: | $ (2,018,408) | $ (214,732) | $ (1,803,676) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (404,720,731) | $ - | $ (404,720,731) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Purchased Swaptions (c) | $ 206,315 | $ - |
Swaps (d) | 498,759 | (356,299) |
Total Credit Risk | 705,074 | (356,299) |
Foreign Exchange Risk | ||
Foreign Currency Contracts (a) | 913,245 | (972,626) |
Interest Rate Risk | ||
Futures Contracts (b) | 335,082 | (549,814) |
Swaps (d) | - | (1,886,755) |
Total Interest Rate Risk | 335,082 | (2,436,569) |
Total Value of Derivatives | $ 1,953,401 | $ (3,765,494) |
(a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on foreign currency contracts line-items. |
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item. |
(d) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 88.6% |
United Kingdom | 2.6% |
Mexico | 1.8% |
Luxembourg | 1.2% |
Others (Individually Less Than 1%) | 5.8% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
|
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $108,651,950 and repurchase agreements of $110,825,000) - See accompanying schedule: Unaffiliated issuers (cost $19,945,596,868) | $ 19,892,540,628 |
|
Fidelity Central Funds (cost $1,185,530,172) | 1,185,530,172 |
|
Total Investments (cost $21,131,127,040) |
| $ 21,078,070,800 |
Cash |
| 4,601,208 |
Foreign currency held at value (cost $1,296,971) | 1,290,124 | |
Receivable for investments sold | 153,384,612 | |
Receivable for TBA sale commitments |
| 404,373,664 |
Unrealized appreciation on foreign currency contracts | 913,245 | |
Receivable for fund shares sold | 27,302,194 | |
Dividends receivable | 242,549 | |
Interest receivable | 158,024,967 | |
Distributions receivable from Fidelity Central Funds | 188,651 | |
Bi-lateral OTC swaps, at value | 498,759 | |
Other receivables | 112,232 | |
Total assets | 21,829,003,005 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 68,454,513 |
|
Delayed delivery | 790,446,815 | |
TBA sale commitments, at value | 404,720,731 | |
Unrealized depreciation on foreign currency contracts | 972,626 | |
Payable for fund shares redeemed | 173,044,860 | |
Distributions payable | 2,134,426 | |
Bi-lateral OTC swaps, at value | 356,299 | |
Accrued management fee | 5,298,334 | |
Distribution and service plan fees payable | 313,760 | |
Payable for daily variation margin for derivative instruments | 17,256 | |
Other affiliated payables | 2,448,328 | |
Other payables and accrued expenses | 352,674 | |
Collateral on securities loaned, at value | 110,825,000 | |
Total liabilities | 1,559,385,622 | |
|
|
|
Net Assets | $ 20,269,617,383 | |
Net Assets consist of: |
| |
Paid in capital | $ 20,225,298,052 | |
Undistributed net investment income | 36,361,125 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 63,760,134 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (55,801,928) | |
Net Assets | $ 20,269,617,383 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
| August 31, 2015 | |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($852,242,899 ÷ 80,933,467 shares) | $ 10.53 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.53) | $ 10.97 | |
Class T: | ||
Net Asset Value and redemption price per share ($101,673,134 ÷ 9,671,869 shares) | $ 10.51 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.51) | $ 10.95 | |
Class B: | ||
Net Asset Value and offering price per share ($3,305,036 ÷ 313,709 shares)A | $ 10.54 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($139,264,398 ÷ 13,223,547 shares)A | $ 10.53 | |
|
|
|
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($17,359,293,916 ÷ 1,648,977,386 shares) | $ 10.53 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($1,266,870,294 ÷ 120,521,809 shares) | $ 10.51 | |
|
|
|
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($546,967,706 ÷ 52,032,071 shares) | $ 10.51 |
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 August 31, 2015 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 6,479,130 |
Interest |
| 612,468,413 |
Income from Fidelity Central Funds |
| 23,016,733 |
Total income |
| 641,964,276 |
|
|
|
Expenses | ||
Management fee | $ 57,874,540 | |
Transfer agent fees | 19,640,595 | |
Distribution and service plan fees | 3,324,779 | |
Fund wide operations fee | 7,291,490 | |
Independent trustees' compensation | 75,099 | |
Miscellaneous | 43,573 | |
Total expenses before reductions | 88,250,076 | |
Expense reductions | (7,127) | 88,242,949 |
Net investment income (loss) | 553,721,327 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 128,436,511 | |
Fidelity Central Funds | 206,487,401 |
|
Foreign currency transactions | 20,043,666 | |
Futures contracts | 1,751,878 | |
Swaps | (3,476,434) |
|
Total net realized gain (loss) |
| 353,243,022 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (775,667,108) | |
Assets and liabilities in foreign currencies | (5,291,385) | |
Futures contracts | (421,238) | |
Swaps | (1,389,874) | |
Delayed delivery commitments | 206,650 |
|
Total change in net unrealized appreciation (depreciation) |
| (782,562,955) |
Net gain (loss) | (429,319,933) | |
Net increase (decrease) in net assets resulting from operations | $ 124,401,394 |
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 (loss) | $ 553,721,327 | $ 415,512,458 |
Net realized gain (loss) | 353,243,022 | 77,368,067 |
Change in net unrealized appreciation (depreciation) | (782,562,955) | 416,914,720 |
Net increase (decrease) in net assets resulting from operations | 124,401,394 | 909,795,245 |
Distributions to shareholders from net investment income | (523,227,512) | (392,171,286) |
Distributions to shareholders from net realized gain | (52,368,873) | (128,031,263) |
Total distributions | (575,596,385) | (520,202,549) |
Share transactions - net increase (decrease) | 4,814,116,048 | 3,089,248,773 |
Total increase (decrease) in net assets | 4,362,921,057 | 3,478,841,469 |
|
|
|
Net Assets | ||
Beginning of period | 15,906,696,326 | 12,427,854,857 |
End of period (including undistributed net investment income of $36,361,125 and undistributed net investment income of $23,414,948, respectively) | $ 20,269,617,383 | $ 15,906,696,326 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .287 | .292 | .263 | .322 | .381 |
Net realized and unrealized gain (loss) | (.224) | .382 | (.468) | .438 | .187 |
Total from investment operations | .063 | .674 | (.205) | .760 | .568 |
Distributions from net investment income | (.270) | (.275) | (.250) | (.335) | (.367) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.303) | (.384) | (.605) | (.510) | (.578) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | .58% | 6.56% | (1.94)% | 7.11% | 5.35% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .75% | .76% | .79% | .82% | .83% |
Expenses net of fee waivers, if any | .75% | .76% | .79% | .82% | .83% |
Expenses net of all reductions | .75% | .76% | .79% | .82% | .83% |
Net investment income (loss) | 2.69% | 2.76% | 2.41% | 2.92% | 3.50% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 852,243 | $ 639,235 | $ 517,259 | $ 643,995 | $ 1,225,165 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .285 | .290 | .265 | .328 | .386 |
Net realized and unrealized gain (loss) | (.234) | .392 | (.477) | .433 | .186 |
Total from investment operations | .051 | .682 | (.212) | .761 | .572 |
Distributions from net investment income | (.268) | (.273) | (.253) | (.336) | (.371) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.301) | (.382) | (.608) | (.511) | (.582) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 |
Total ReturnA, B | .47% | 6.65% | (2.01)% | 7.14% | 5.39% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .77% | .78% | .76% | .77% | .80% |
Expenses net of fee waivers, if any | .77% | .78% | .76% | .77% | .80% |
Expenses net of all reductions | .77% | .78% | .76% | .77% | .80% |
Net investment income (loss) | 2.67% | 2.74% | 2.44% | 2.97% | 3.54% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 101,673 | $ 57,972 | $ 52,848 | $ 59,896 | $ 60,500 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .213 | .217 | .189 | .247 | .307 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.469) | .434 | .177 |
Total from investment operations | (.011) | .609 | (.280) | .681 | .484 |
Distributions from net investment income | (.196) | (.200) | (.175) | (.256) | (.293) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.229) | (.309) | (.530) | (.431) | (.504) |
Net asset value, end of period | $ 10.54 | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.12)% | 5.91% | (2.61)% | 6.36% | 4.54% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of fee waivers, if any | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of all reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Net investment income (loss) | 1.99% | 2.04% | 1.73% | 2.24% | 2.82% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,305 | $ 4,460 | $ 7,112 | $ 11,515 | $ 9,225 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .205 | .211 | .185 | .246 | .308 |
Net realized and unrealized gain (loss) | (.225) | .382 | (.469) | .434 | .187 |
Total from investment operations | (.020) | .593 | (.284) | .680 | .495 |
Distributions from net investment income | (.187) | (.194) | (.171) | (.255) | (.294) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.220) | (.303) | (.526) | (.430) | (.505) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.20)% | 5.75% | (2.65)% | 6.34% | 4.65% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of all reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Net investment income (loss) | 1.92% | 1.99% | 1.69% | 2.23% | 2.83% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 139,264 | $ 83,818 | $ 79,711 | $ 102,385 | $ 63,867 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .320 | .326 | .300 | .363 | .423 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.478) | .434 | .187 |
Total from investment operations | .096 | .718 | (.178) | .797 | .610 |
Distributions from net investment income | (.303) | (.309) | (.287) | (.372) | (.409) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.336) | (.418) | (.642) | (.547) | (.620) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 |
Total ReturnA | .88% | 7.00% | (1.70)% | 7.48% | 5.76% |
Ratios to Average Net AssetsC, E |
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.99% | 3.07% | 2.75% | 3.29% | 3.89% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 17,359,294 | $ 14,547,801 | $ 11,526,014 | $ 13,963,154 | $ 11,418,458 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .313 | .319 | .295 | .353 | .413 |
Net realized and unrealized gain (loss) | (.233) | .393 | (.469) | .435 | .178 |
Total from investment operations | .080 | .712 | (.174) | .788 | .591 |
Distributions from net investment income | (.297) | (.303) | (.281) | (.363) | (.400) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.330) | (.412) | (.636) | (.538) | (.611) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 |
Total ReturnA | .73% | 6.95% | (1.67)% | 7.40% | 5.58% |
Ratios to Average Net AssetsC, E |
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .53% | .54% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .53% | .54% |
Expenses net of all reductions | .50% | .51% | .51% | .53% | .54% |
Net investment income (loss) | 2.94% | 3.02% | 2.69% | 3.20% | 3.80% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,266,870 | $ 573,410 | $ 244,911 | $ 596,238 | $ 531,451 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class Z
Year ended August 31, | 2015 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 10.66 |
Income from Investment Operations |
|
Net investment income (loss)D | .234 |
Net realized and unrealized gain (loss) | (.167) |
Total from investment operations | .067 |
Distributions from net investment income | (.217) |
Net asset value, end of period | $ 10.51 |
Total ReturnB, C | .59% |
Ratios to Average Net AssetsE, H |
|
Expenses before reductions | .36%A |
Expenses net of fee waivers, if any | .36%A |
Expenses net of all reductions | .36%A |
Net investment income (loss) | 3.29%A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 546,968 |
Portfolio turnover rateF | 140%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
1. Organization.
Fidelity Total Bond Fund (the Fund) is a 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 commenced sale of Class Z shares on December 22, 2014. The Fund offers Class A, Class T, Class C, Total Bond, Class I (formerly Institutional Class) and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Annual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense Ratio* |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct
| Less than .005% |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize
Annual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, closed foreign currency contracts, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency including foreign currency contracts, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has
Annual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to future contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 345,834,958 |
Gross unrealized depreciation | (409,484,462) |
Net unrealized appreciation (depreciation) on securities | $ (63,649,504) |
Tax Cost | $ 21,141,720,304 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 46,977,149 |
Undistributed long-term capital gain | $ 64,917,805 |
Net unrealized appreciation (depreciation) on securities and other investments | $ (67,484,185) |
At period end, the Fund was required to defer approximately $1,162,429 of losses on futures contracts.
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 565,758,842 | $ 392,171,286 |
Long-term Capital Gains | 9,837,543 | 128,031,263 |
Total | $ 575,596,385 | $ 520,202,549 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
Annual Report
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as foreign currency contracts, options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Purchased Options | $ 170,483 | 63,753 |
Swaps | (135,206) | 128,070 |
Total Credit Risk | 35,277 | 191,823 |
Foreign Exchange Risk |
|
|
Foreign Currency Contracts | 20,954,439 | (5,376,167) |
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4. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives - continued
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ 1,751,878 | (421,238) |
Swaps | (3,341,228) | (1,517,944) |
Total Interest Rate Risk | (1,589,350) | (1,939,182) |
TotalsA | $ 19,400,366 | $ (7,123,526) |
A A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Foreign Currency Contracts. Foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on foreign currency contracts during the period is included in the Statement of Operations as part of net realized gain (loss) on foreign currency transactions and change in unrealized gain (loss) on assets and liabilities in foreign currencies, respectively.
Any open foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Futures Contracts - continued
the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to potential credit events.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fundwill realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
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4. Derivative Instruments - continued
Options - continued
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Swaps - continued
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the
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4. Derivative Instruments - continued
Credit Default Swaps - continued
reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, in-kind transactions and U.S. government securities, aggregated $7,860,792,369 and $2,304,473,823, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
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Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 1,905,468 | $ 92,792 |
Class T | -% | .25% | 199,114 | 263 |
Class B | .65% | .25% | 35,423 | 25,610 |
Class C | .75% | .25% | 1,184,774 | 414,221 |
|
|
| $ 3,324,779 | $ 532,886 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 110,705 |
Class T | 18,730 |
Class B* | 3,938 |
Class C* | 29,613 |
| $ 162,986 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC pays
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6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,171,236 | .15 |
Class T | 135,484 | .17 |
Class B | 8,031 | .20 |
Class C | 207,015 | .17 |
Total Bond | 16,555,477 | .10 |
Class I | 1,553,662 | .15 |
Class Z | 9,690 | .01* |
| $ 19,640,595 |
|
* Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
Exchanges In-Kind. During the period, the Fund redeemed in-kind all of its shares of Fidelity Floating Rate Central Fund and Fidelity Mortgage-Backed Securities Central Fund in exchange for cash and investments, including accrued interest totaling $3,134,457,108. Net realized gain (loss) of $206,487,401 on the redemptions of the Fidelity Floating Rate Central Fund and Fidelity Mortgage Backed Securities Central Fund shares is included in the accompanying Statement of Operations as "Realized gain (loss) on Fidelity Central Funds." The transaction generally did not result in the recognition of gains or losses for federal income tax purposes.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity
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Notes to Financial Statements - continued
7. Committed Line of Credit - continued
purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $25,772 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $979,154.
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $185 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,942.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class A | $ 19,261,143 | $ 13,954,534 |
Class T | 1,998,555 | 1,278,101 |
Class B | 71,894 | 98,704 |
Annual Report
10. Distributions to Shareholders - continued
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class C | $ 2,070,818 | $ 1,370,977 |
Total Bond | 468,456,666 | 365,495,794 |
Class I | 28,443,167 | 9,973,176 |
Class Z | 2,925,269 | - |
Total | $ 523,227,512 | $ 392,171,286 |
From net realized gain |
|
|
Class A | $ 2,146,775 | $ 5,373,525 |
Class T | 193,116 | 488,998 |
Class B | 13,138 | 67,567 |
Class C | 303,573 | 778,077 |
Total Bond | 47,388,889 | 118,942,382 |
Class I | 2,323,382 | 2,380,714 |
Total | $ 52,368,873 | $ 128,031,263 |
A Distributions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class A |
|
|
|
|
Shares sold | 46,571,257 | 26,077,273 | $ 499,377,221 | $ 277,129,495 |
Reinvestment of distributions | 1,930,629 | 1,748,624 | 20,670,065 | 18,500,215 |
Shares redeemed | (26,903,901) | (17,864,267) | (288,269,536) | (188,866,328) |
Net increase (decrease) | 21,597,985 | 9,961,630 | $ 231,777,750 | $ 106,763,382 |
Class T |
|
|
|
|
Shares sold | 6,974,914 | 2,788,455 | $ 74,605,782 | $ 29,566,996 |
Reinvestment of distributions | 199,988 | 156,306 | 2,136,905 | 1,651,554 |
Shares redeemed | (2,893,126) | (2,607,297) | (30,963,185) | (27,459,813) |
Net increase (decrease) | 4,281,776 | 337,464 | $ 45,779,502 | $ 3,758,737 |
Class B |
|
|
|
|
Shares sold | 54,717 | 54,926 | $ 586,026 | $ 586,880 |
Reinvestment of distributions | 6,657 | 13,145 | 71,357 | 138,775 |
Shares redeemed | (161,541) | (332,831) | (1,731,933) | (3,513,622) |
Net increase (decrease) | (100,167) | (264,760) | $ (1,074,550) | $ (2,787,967) |
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Notes to Financial Statements - continued
11. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class C |
|
|
|
|
Shares sold | 8,235,348 | 3,017,051 | $ 88,316,556 | $ 32,060,704 |
Reinvestment of distributions | 196,619 | 175,726 | 2,104,956 | 1,856,402 |
Shares redeemed | (2,989,581) | (3,020,982) | (31,990,728) | (31,912,884) |
Net increase (decrease) | 5,442,386 | 171,795 | $ 58,430,784 | $ 2,004,222 |
Total Bond |
|
|
|
|
Shares sold | 1,119,099,210 | 472,537,567 | $ 12,023,173,893 | $ 5,013,051,437 |
Reinvestment of distributions | 46,138,120 | 43,741,412 | 493,997,692 | 463,024,654 |
Shares redeemed | (866,846,007) | (266,060,657) | (9,307,894,830) | (2,814,029,450) |
Net increase (decrease) | 298,391,323 | 250,218,322 | $ 3,209,276,755 | $ 2,662,046,641 |
Class I |
|
|
|
|
Shares sold | 96,458,549 | 37,515,573 | $ 1,031,052,872 | $ 397,915,160 |
Reinvestment of distributions | 2,698,883 | 1,097,010 | 28,838,468 | 11,632,287 |
Shares redeemed | (31,950,235) | (8,713,037) | (340,167,664) | (92,083,689) |
Net increase (decrease) | 67,207,197 | 29,899,546 | $ 719,723,676 | $ 317,463,758 |
Class Z |
|
|
|
|
Shares sold | 56,087,638 | - | $ 592,975,149 | $ - |
Reinvestment of distributions | 276,639 | - | 2,920,079 | - |
Shares redeemed | (4,332,206) | - | (45,693,097) | - |
Net increase (decrease) | 52,032,071 | - | $ 550,202,131 | $ - |
A Share transactions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, Strategic Advisers Core Income Fund was the owner of record of approximately 24% of the total outstanding shares of the Fund. Mutual funds managed by the investment adviser or its affiliates were the owners of record, in the aggregate, of approximately 25% of the total outstanding shares of the Fund.
13. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 August 31, 2015, 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 periods indicated, 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 23, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversee 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
Annual Report
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
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, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Advisory Board Member and Officers:
Correspondence intended for each officer and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class I | 10/12/15 | 10/09/15 | $0.059 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015 $74,755,347, or, if subsequently determined to be different, the net capital gain of such year.
A total of 12.07% 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 $322,364,085 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co. Inc.
FMR Investment Management
(U.K.) Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
(Fidelity Investment logo)(registered trademark)
ATBI-UANN-1015 1.804580.111
Fidelity®
Total Bond
Fund
Fidelity Advisor® Total Bond Fund - Class Z
Annual Report
August 31, 2015
(Fidelity Cover Art)
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 (Advisors and Investment Professionals) or 1-800-835-5095 (plan participants) to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2015 | Past 1 | Past 5 | Past 10 |
Class Z | 0.82% | 3.75% | 4.82% |
A A The initial offering of Class Z shares took place on December 22, 2014. Returns prior to December 22, 2014, are those of Class I.
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Total Bond Fund - Class Z on August 31, 2005. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period. See footnote A above for additional information regarding the performance of the Class Z.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from Lead Portfolio Manager Ford O'Neil: For the year, the fund's share classes (excluding sales charges, if applicable) lagged the Barclays Aggregate index. I continued to take the investment approach I've used since I began managing the fund in 2004, because I think it is the best way to achieve my goal of beating our primary benchmark over longer periods of time. I have ultimate authority and accountability for asset allocations decisions, as well as for securities selection in the investment-grade portion of the fund. I also tap the best ideas of Fidelity's fixed-income specialists. Since we don't chase yield, we believe it's important to fully understand the risk/return profile of each of our investments to ensure we're assuming a reasonable trade-off by owning them. Sector selection detracted most from relative performance, especially underweighting comparatively strong U.S. Treasuries and overweighting the lagging high-yield corporate, emerging-markets debt and investment-grade credit sectors. Conversely, good picks among both high-yield and investment-grade corporate securities was a plus, as was yield-curve positioning. However, security selection among government-related bonds hurt, particularly holdings in taxable municipal bonds issued by Illinois and Chicago.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .75% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.40 | $ 3.76 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.42 | $ 3.82 |
Class T | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.30 | $ 3.86 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.32 | $ 3.92 |
Class B | 1.44% |
|
|
|
Actual |
| $ 1,000.00 | $ 984.90 | $ 7.20 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.95 | $ 7.32 |
Class C | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 983.60 | $ 7.55 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.59 | $ 7.68 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.80 | $ 2.26 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
|
|
|
Actual |
| $ 1,000.00 | $ 988.60 | $ 2.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
Class Z | .36% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.30 | $ 1.81 |
Hypothetical A |
| $ 1,000.00 | $ 1,023.39 | $ 1.84 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combine investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2015 | As of February 28, 2015 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 3.1% |
| ![]() | AAA 3.9% |
| ||
![]() | AA 2.3% |
| ![]() | AA 2.1% |
| ||
![]() | A 13.0% |
| ![]() | A 9.4% |
| ||
![]() | BBB 25.4% |
| ![]() | BBB 22.7% |
| ||
![]() | BB and Below 16.8% |
| ![]() | BB and Below 15.7% |
| ||
![]() | Not Rated 1.4% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Equities 0.1% |
| ![]() | Equities 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 7.8 | 7.4 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.4 | 5.1 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Corporate Bonds 44.2% |
| ![]() | Corporate Bonds 37.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related |
| ![]() | CMOs and Other Mortgage Related |
| ||
![]() | Municipal Bonds 1.5% |
| ![]() | Municipal Bonds 1.5% |
| ||
![]() | Stocks 0.1% |
| ![]() | Stocks 0.3% |
| ||
![]() | Other Investments 8.4% |
| ![]() | Other Investments 7.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 11.4% |
| ** Foreign investments | 10.2% |
| ||
* Futures and Swaps | (0.3)% |
| ** Futures and Swaps | (0.2)% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
Nonconvertible Bonds - 44.2% | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - 4.8% | ||||
Auto Components - 0.0% | ||||
J.B. Poindexter & Co., Inc. 9% 4/1/22 (h) | $ 3,045,000 | $ 3,303,825 | ||
Tenedora Nemak SA de CV 5.5% 2/28/23 (h) | 1,940,000 | 1,935,150 | ||
Tupy Overseas SA 6.625% 7/17/24 (h) | 530,000 | 501,513 | ||
| 5,740,488 | |||
Automobiles - 1.2% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (h) | 7,526,000 | 7,547,035 | ||
General Motors Co.: | ||||
3.5% 10/2/18 | 9,215,000 | 9,344,563 | ||
5.2% 4/1/45 | 4,250,000 | 3,990,278 | ||
6.25% 10/2/43 | 1,543,000 | 1,651,376 | ||
General Motors Financial Co., Inc.: | ||||
2.4% 4/10/18 | 40,000,000 | 39,523,760 | ||
2.625% 7/10/17 | 2,955,000 | 2,980,310 | ||
3% 9/25/17 | 6,726,000 | 6,757,955 | ||
3.15% 1/15/20 | 27,252,000 | 26,908,053 | ||
3.2% 7/13/20 | 20,200,000 | 19,930,209 | ||
3.25% 5/15/18 | 4,810,000 | 4,836,893 | ||
3.5% 7/10/19 | 10,761,000 | 10,844,064 | ||
4% 1/15/25 | 18,085,000 | 17,106,113 | ||
4.25% 5/15/23 | 5,420,000 | 5,325,670 | ||
4.375% 9/25/21 | 47,963,000 | 48,394,763 | ||
4.75% 8/15/17 | 5,050,000 | 5,236,244 | ||
Volkswagen Group of America Finance LLC 2.45% 11/20/19 (h) | 33,222,000 | 33,219,907 | ||
| 243,597,193 | |||
Diversified Consumer Services - 0.1% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 | 1,206,000 | 1,220,062 | ||
4.25% 6/15/23 | 8,466,000 | 8,681,705 | ||
| 9,901,767 | |||
Hotels, Restaurants & Leisure - 0.4% | ||||
24 Hour Holdings III LLC 8% 6/1/22 (h) | 5,650,000 | 4,491,750 | ||
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 | 2,165,000 | 1,813,188 | ||
Eldorado Resorts, Inc. 7% 8/1/23 (h) | 1,060,000 | 1,052,050 | ||
ESH Hospitality, Inc. 5.25% 5/1/25 (h) | 1,100,000 | 1,067,000 | ||
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 139,050 | ||
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (h) | 5,000,000 | 5,137,500 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
InterContinental Hotel Group PLC 3.75% 8/14/25 | GBP | 1,650,000 | $ 2,493,392 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (h) | 4,070,000 | 3,968,250 | ||
MCE Finance Ltd. 5% 2/15/21 (h) | 10,530,000 | 9,634,950 | ||
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 8% 10/1/20 | 2,790,000 | 2,755,125 | ||
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 (h) | 540,000 | 534,600 | ||
Scientific Games Corp.: | ||||
6.625% 5/15/21 | 9,310,000 | 6,889,400 | ||
7% 1/1/22 (h) | 7,445,000 | 7,612,513 | ||
10% 12/1/22 | 10,060,000 | 9,230,050 | ||
Speedway Motorsports, Inc. 5.125% 2/1/23 | 3,315,000 | 3,281,850 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 740,700 | 897,563 | ||
Whitbread PLC 3.375% 10/16/25 (Reg. S) | GBP | 1,500,000 | 2,275,947 | |
Wynn Macau Ltd. 5.25% 10/15/21 (h) | 14,650,000 | 13,441,375 | ||
| 76,715,553 | |||
Household Durables - 0.2% | ||||
Meritage Homes Corp. 6% 6/1/25 | 1,905,000 | 1,920,469 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 2,935,000 | 3,026,719 | ||
8.25% 2/15/21 (n) | 3,885,000 | 3,996,694 | ||
Standard Pacific Corp. 5.875% 11/15/24 | 1,775,000 | 1,819,375 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (h) | 1,495,000 | 1,498,738 | ||
TRI Pointe Homes, Inc.: | ||||
4.375% 6/15/19 | 570,000 | 565,013 | ||
5.875% 6/15/24 | 415,000 | 408,775 | ||
William Lyon Homes, Inc.: | ||||
5.75% 4/15/19 | 5,935,000 | 5,990,611 | ||
7% 8/15/22 | 10,230,000 | 10,562,475 | ||
| 29,788,869 | |||
Internet & Catalog Retail - 0.0% | ||||
Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (h) | 5,000,000 | 4,950,000 | ||
Media - 2.8% | ||||
21st Century Fox America, Inc.: | ||||
6.15% 3/1/37 | 4,759,000 | 5,280,039 | ||
6.15% 2/15/41 | 11,572,000 | 13,012,240 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
21st Century Fox America, Inc.: - continued | ||||
7.75% 12/1/45 | $ 3,932,000 | $ 5,328,352 | ||
Altice SA: | ||||
5.375% 7/15/23 (h) | 2,560,000 | 2,534,400 | ||
7.625% 2/15/25 (h) | 9,805,000 | 9,314,750 | ||
7.75% 5/15/22 (h) | 20,575,000 | 20,060,625 | ||
7.75% 7/15/25 (h) | 1,795,000 | 1,718,713 | ||
7.75% 7/15/25 (h) | 1,610,000 | 1,569,750 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 625,349 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 1,130,000 | 1,127,175 | ||
5.125% 5/1/23 (h) | 4,370,000 | 4,370,000 | ||
5.875% 5/1/27 (h) | 7,115,000 | 6,972,700 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
4.464% 7/23/22 (h) | 20,419,000 | 20,310,555 | ||
4.908% 7/23/25 (h) | 20,419,000 | 20,278,885 | ||
6.484% 10/23/45 (h) | 20,419,000 | 20,709,195 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 12/15/16 | 8,985,000 | 8,490,825 | ||
6.875% 6/15/18 | 2,270,000 | 1,974,900 | ||
9% 12/15/19 | 9,000,000 | 8,471,250 | ||
10% 1/15/18 | 4,260,000 | 3,093,825 | ||
Cogeco Cable, Inc. 4.875% 5/1/20 (h) | 2,335,000 | 2,383,218 | ||
Columbus International, Inc. 7.375% 3/30/21 (h) | 11,476,000 | 12,078,490 | ||
Comcast Corp.: | ||||
3.6% 3/1/24 | 24,000,000 | 24,468,240 | ||
4.6% 8/15/45 | 33,362,000 | 33,903,599 | ||
4.95% 6/15/16 | 2,344,000 | 2,420,841 | ||
6.45% 3/15/37 | 2,196,000 | 2,728,947 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 5,944,000 | 6,647,550 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 1,789,000 | 1,665,985 | ||
6.35% 6/1/40 | 6,392,000 | 6,613,681 | ||
DISH DBS Corp. 5.875% 11/15/24 | 6,760,000 | 6,160,050 | ||
Globo Comunicacao e Participacoes SA: | ||||
4.843% 6/8/25 (h) | 850,000 | 798,745 | ||
4.875% 4/11/22 (h) | 565,000 | 572,063 | ||
iHeartCommunications, Inc. 10.625% 3/15/23 | 2,695,000 | 2,418,763 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (n) | $ 6,521,000 | $ 7,173,100 | ||
MDC Partners, Inc. 6.75% 4/1/20 (h) | 4,985,000 | 4,941,381 | ||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (h)(n) | 13,130,000 | 13,261,300 | ||
Midcontinent Communications & Midcontinent Finance Corp. 6.875% 8/15/23 (h) | 4,530,000 | 4,563,975 | ||
Myriad International Holding BV 6% 7/18/20 (h) | 515,000 | 551,299 | ||
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 13,007,912 | ||
Numericable Group SA: | ||||
4.875% 5/15/19 (h) | 2,352,000 | 2,366,700 | ||
6% 5/15/22 (h) | 5,000,000 | 5,000,000 | ||
6.25% 5/15/24 (h) | 1,490,000 | 1,489,538 | ||
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (h) | 1,460,000 | 1,543,950 | ||
Thomson Reuters Corp.: | ||||
1.3% 2/23/17 | 3,690,000 | 3,676,129 | ||
3.85% 9/29/24 | 11,394,000 | 11,200,929 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 20,277,000 | 20,384,549 | ||
4.5% 9/15/42 | 34,498,000 | 27,566,800 | ||
5.5% 9/1/41 | 12,973,000 | 11,685,585 | ||
5.85% 5/1/17 | 3,419,000 | 3,626,913 | ||
5.875% 11/15/40 | 16,544,000 | 15,610,786 | ||
6.55% 5/1/37 | 38,302,000 | 38,463,749 | ||
6.75% 7/1/18 | 13,763,000 | 15,246,927 | ||
7.3% 7/1/38 | 23,728,000 | 25,119,434 | ||
8.25% 4/1/19 | 24,391,000 | 28,489,859 | ||
Time Warner, Inc.: | ||||
3.6% 7/15/25 | 6,406,000 | 6,192,514 | ||
6.2% 3/15/40 | 11,792,000 | 13,150,391 | ||
6.5% 11/15/36 | 9,243,000 | 10,649,480 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 2,250,000 | 2,126,250 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (h) | 2,750,000 | 2,688,125 | ||
Univision Communications, Inc.: | ||||
5.125% 5/15/23 (h) | 3,000,000 | 2,955,000 | ||
5.125% 2/15/25 (h) | 2,805,000 | 2,720,850 | ||
Viacom, Inc. 2.5% 9/1/18 | 1,478,000 | 1,468,913 | ||
VTR Finance BV 6.875% 1/15/24 (h) | 1,730,000 | 1,704,050 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Wave Holdco LLC/Wave Holdco Corp. 9% 7/15/19 pay-in-kind (h)(n) | $ 215,000 | $ 210,378 | ||
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (h) | 3,025,000 | 2,994,750 | ||
WMG Acquisition Corp.: | ||||
6% 1/15/21 (h) | 1,585,000 | 1,616,700 | ||
6.75% 4/15/22 (h) | 3,265,000 | 3,118,075 | ||
| 564,669,991 | |||
Multiline Retail - 0.1% | ||||
Family Tree Escrow LLC 5.75% 3/1/23 (h) | 2,240,000 | 2,346,400 | ||
JC Penney Corp., Inc.: | ||||
5.65% 6/1/20 | 12,290,000 | 11,245,350 | ||
7.4% 4/1/37 | 8,835,000 | 7,001,738 | ||
8.125% 10/1/19 | 6,040,000 | 6,130,600 | ||
| 26,724,088 | |||
Specialty Retail - 0.0% | ||||
Hot Topic, Inc. 9.25% 6/15/21 (h) | 4,395,000 | 4,438,950 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Polymer Group, Inc. 6.875% 6/1/19 (h) | 1,600,000 | 1,624,000 | ||
TOTAL CONSUMER DISCRETIONARY | 968,150,899 | |||
CONSUMER STAPLES - 2.4% | ||||
Beverages - 0.3% | ||||
Constellation Brands, Inc.: | ||||
3.875% 11/15/19 | 2,360,000 | 2,421,950 | ||
4.25% 5/1/23 | 5,205,000 | 5,236,230 | ||
6% 5/1/22 | 23,545,000 | 25,958,363 | ||
Heineken NV: | ||||
1.4% 10/1/17 (h) | 7,323,000 | 7,297,465 | ||
2.75% 4/1/23 (h) | 7,651,000 | 7,322,734 | ||
JB y Co. SA de CV 3.75% 5/13/25 (h) | 565,000 | 544,623 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (h) | 10,217,000 | 10,515,674 | ||
| 59,297,039 | |||
Food & Staples Retailing - 0.6% | ||||
CVS Health Corp.: | ||||
1.9% 7/20/18 | 15,731,000 | 15,776,730 | ||
2.25% 12/5/18 | 8,524,000 | 8,602,242 | ||
2.8% 7/20/20 | 15,202,000 | 15,356,133 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
CVS Health Corp.: - continued | ||||
3.5% 7/20/22 | $ 8,944,000 | $ 9,137,351 | ||
4% 12/5/23 | 8,525,000 | 8,881,209 | ||
ESAL GmbH 6.25% 2/5/23 (h) | 18,310,000 | 17,806,475 | ||
Minerva Luxmbourg SA: | ||||
7.75% 1/31/23 (h) | 10,040,000 | 9,814,100 | ||
7.75% 1/31/23 (Reg. S) | 1,030,000 | 1,006,825 | ||
SUPERVALU, Inc.: | ||||
6.75% 6/1/21 | 3,045,000 | 3,071,644 | ||
7.75% 11/15/22 | 1,300,000 | 1,345,500 | ||
Tesco PLC 5% 3/24/23 | GBP | 2,500,000 | 3,830,381 | |
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (h) | 5,155,000 | 5,129,225 | ||
Walgreens Boots Alliance, Inc.: | ||||
1.75% 11/17/17 | 3,756,000 | 3,760,045 | ||
2.7% 11/18/19 | 8,473,000 | 8,477,355 | ||
3.3% 11/18/21 | 10,050,000 | 9,945,229 | ||
3.8% 11/18/24 | 7,676,000 | 7,499,360 | ||
WM Morrison Supermarkets PLC 4.625% 12/8/23 | GBP | 750,000 | 1,160,877 | |
| 130,600,681 | |||
Food Products - 0.2% | ||||
ConAgra Foods, Inc. 1.9% 1/25/18 | 4,611,000 | 4,578,239 | ||
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (h) | 2,100,000 | 2,199,750 | ||
Gruma S.A.B. de CV 4.875% 12/1/24 (h) | 625,000 | 656,875 | ||
JBS Investments GmbH: | ||||
7.25% 4/3/24 (h) | 13,050,000 | 13,082,625 | ||
7.75% 10/28/20 (h) | 6,470,000 | 6,900,255 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | ||||
5.75% 6/15/25 (h) | 1,155,000 | 1,120,350 | ||
5.875% 7/15/24 (h) | 6,410,000 | 6,385,963 | ||
7.25% 6/1/21 (h) | 2,730,000 | 2,849,438 | ||
8.25% 2/1/20 (h) | 1,510,000 | 1,591,163 | ||
Sigma Alimentos SA de CV 6.875% 12/16/19 (h) | 575,000 | 642,563 | ||
| 40,007,221 | |||
Tobacco - 1.3% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 9,573,000 | 9,204,018 | ||
4% 1/31/24 | 6,408,000 | 6,508,266 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Tobacco - continued | ||||
Altria Group, Inc.: - continued | ||||
4.25% 8/9/42 | $ 9,573,000 | $ 8,553,849 | ||
4.75% 5/5/21 | 7,000,000 | 7,544,733 | ||
Imperial Tobacco Finance PLC: | ||||
2.05% 7/20/18 (h) | 8,743,000 | 8,702,065 | ||
2.95% 7/21/20 (h) | 20,000,000 | 19,854,640 | ||
3.75% 7/21/22 (h) | 20,300,000 | 20,101,385 | ||
4.25% 7/21/25 (h) | 22,467,000 | 22,263,179 | ||
Reynolds American, Inc.: | ||||
2.3% 6/12/18 | 7,358,000 | 7,402,692 | ||
3.25% 6/12/20 | 6,084,000 | 6,160,525 | ||
3.25% 11/1/22 | 7,368,000 | 7,164,687 | ||
4% 6/12/22 | 11,386,000 | 11,689,517 | ||
4.45% 6/12/25 | 24,787,000 | 25,442,542 | ||
4.75% 11/1/42 | 31,385,000 | 29,064,173 | ||
5.7% 8/15/35 | 4,237,000 | 4,488,326 | ||
5.85% 8/15/45 | 35,690,000 | 38,564,687 | ||
6.15% 9/15/43 | 4,511,000 | 4,938,611 | ||
6.75% 6/15/17 | 3,719,000 | 4,023,471 | ||
7.25% 6/15/37 | 5,056,000 | 6,079,754 | ||
Vector Group Ltd. 7.75% 2/15/21 | 6,480,000 | 6,894,720 | ||
| 254,645,840 | |||
TOTAL CONSUMER STAPLES | 484,550,781 | |||
ENERGY - 6.3% | ||||
Energy Equipment & Services - 0.5% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (h) | 11,333,000 | 10,276,628 | ||
5.35% 3/15/20 (h) | 8,816,000 | 8,566,895 | ||
5.85% 5/21/43 (h)(n) | 6,758,000 | 5,169,870 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 10,806,000 | 10,860,225 | ||
5% 10/1/21 | 7,366,000 | 7,531,897 | ||
6.5% 4/1/20 | 738,000 | 819,197 | ||
Ensco PLC: | ||||
5.2% 3/15/25 | 7,885,000 | 7,046,241 | ||
5.75% 10/1/44 | 7,801,000 | 5,876,688 | ||
Exterran Partners LP/EXLP Finance Corp.: | ||||
6% 4/1/21 | 3,210,000 | 2,568,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Exterran Partners LP/EXLP Finance Corp.: - continued | ||||
6% 10/1/22 | $ 995,000 | $ 791,025 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 8,236,000 | 5,353,400 | ||
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,005,000 | 2,704,500 | ||
Noble Holding International Ltd.: | ||||
4% 3/16/18 | 1,187,000 | 1,172,115 | ||
5.95% 4/1/25 | 7,570,000 | 6,675,294 | ||
6.95% 4/1/45 | 7,307,000 | 5,913,460 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (h) | 2,790,000 | 2,148,300 | ||
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S) | 920,000 | 1,195,579 | ||
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S) | 1,175,000 | 1,051,463 | ||
Transocean, Inc.: | ||||
3% 10/15/17 (n) | 1,000,000 | 920,000 | ||
5.55% 12/15/16 (n) | 7,572,000 | 7,592,823 | ||
Unit Corp. 6.625% 5/15/21 | 2,350,000 | 2,023,938 | ||
| 96,257,538 | |||
Oil, Gas & Consumable Fuels - 5.8% | ||||
Afren PLC: | ||||
6.625% 12/9/20 (d)(h) | 1,375,000 | 41,250 | ||
10.25% 4/8/19 (Reg. S) (d) | 2,075,000 | 72,625 | ||
American Energy-Permian Basin LLC/ AEPB Finance Corp. 6.8037% 8/1/19 (h)(n) | 4,328,000 | 2,293,840 | ||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 19,790,000 | 21,411,414 | ||
Antero Resources Corp.: | ||||
5.125% 12/1/22 | 5,995,000 | 5,426,734 | ||
5.625% 6/1/23 (h) | 1,360,000 | 1,237,600 | ||
Baytex Energy Corp.: | ||||
5.125% 6/1/21 (h) | 1,065,000 | 907,380 | ||
5.625% 6/1/24 (h) | 1,185,000 | 988,906 | ||
BP Capital Markets PLC: | ||||
1.674% 2/13/18 | 18,888,000 | 18,890,758 | ||
2.315% 2/13/20 | 37,777,000 | 37,728,230 | ||
3.535% 11/4/24 | 15,450,000 | 15,302,854 | ||
3.814% 2/10/24 | 11,032,000 | 11,085,847 | ||
4.5% 10/1/20 | 5,954,000 | 6,481,542 | ||
4.742% 3/11/21 | 8,800,000 | 9,631,090 | ||
California Resources Corp.: | ||||
5% 1/15/20 | 4,140,000 | 3,259,422 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
California Resources Corp.: - continued | ||||
5.5% 9/15/21 | $ 2,195,000 | $ 1,701,959 | ||
6% 11/15/24 | 495,000 | 367,043 | ||
Canadian Natural Resources Ltd.: | ||||
1.75% 1/15/18 | 6,049,000 | 5,964,719 | ||
3.9% 2/1/25 | 24,997,000 | 23,084,380 | ||
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 2,975,000 | 2,677,500 | ||
Cenovus Energy, Inc. 5.7% 10/15/19 | 16,926,000 | 18,489,912 | ||
Chesapeake Energy Corp.: | ||||
4.875% 4/15/22 | 2,500,000 | 1,812,500 | ||
5.75% 3/15/23 | 2,970,000 | 2,214,165 | ||
6.125% 2/15/21 | 6,750,000 | 5,227,065 | ||
6.5% 8/15/17 | 1,280,000 | 1,222,669 | ||
Citgo Holding, Inc. 10.75% 2/15/20 (h) | 1,350,000 | 1,333,125 | ||
Citgo Petroleum Corp. 6.25% 8/15/22 (h) | 3,145,000 | 3,050,650 | ||
Columbia Pipeline Group, Inc.: | ||||
2.45% 6/1/18 (h) | 3,149,000 | 3,140,495 | ||
3.3% 6/1/20 (h) | 15,490,000 | 15,452,452 | ||
4.5% 6/1/25 (h) | 4,707,000 | 4,486,628 | ||
5.8% 6/1/45 (h) | 5,906,000 | 5,653,796 | ||
ConocoPhillips Co. 5.75% 2/1/19 | 2,930,000 | 3,275,371 | ||
CONSOL Energy, Inc.: | ||||
5.875% 4/15/22 | 4,935,000 | 3,528,525 | ||
8% 4/1/23 (h) | 2,710,000 | 2,046,050 | ||
Consolidated Energy Finance SA 6.75% 10/15/19 (h) | 9,367,000 | 9,248,039 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 (h) | 685,000 | 619,925 | ||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | 5,924,000 | 5,597,155 | ||
2.7% 4/1/19 | 14,993,000 | 13,182,625 | ||
3.875% 3/15/23 | 5,532,000 | 4,522,438 | ||
Denbury Resources, Inc. 5.5% 5/1/22 | 5,050,000 | 3,598,125 | ||
DTEK Finance PLC 7.875% 4/4/18 (Reg. S) | 200,000 | 76,000 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,524,000 | 1,525,829 | ||
6.45% 11/3/36 (h) | 13,741,000 | 11,965,759 | ||
EDC Finance Ltd. 4.875% 4/17/20 (h) | 3,670,000 | 3,073,625 | ||
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 17,808,585 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 1,166,000 | 1,236,935 | ||
Empresa Nacional de Petroleo 4.375% 10/30/24 (h) | 9,045,000 | 8,805,181 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enable Midstream Partners LP: | ||||
2.4% 5/15/19 (h) | $ 4,028,000 | $ 3,787,504 | ||
3.9% 5/15/24 (h) | 4,249,000 | 3,731,136 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 13,331,000 | 13,450,539 | ||
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (h) | 11,735,000 | 10,974,689 | ||
Energy Transfer Equity LP 5.5% 6/1/27 | 2,210,000 | 2,055,300 | ||
Enterprise Products Operating LP: | ||||
2.55% 10/15/19 | 2,971,000 | 2,957,491 | ||
3.75% 2/15/25 | 9,982,000 | 9,535,156 | ||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||
6.375% 6/15/23 | 4,845,000 | 4,118,250 | ||
7.75% 9/1/22 | 6,075,000 | 5,589,000 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 13,400,000 | 12,998,000 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 6.75% 8/1/22 | 4,390,000 | 4,258,300 | ||
Georgian Oil & Gas Corp.: | ||||
6.875% 5/16/17 (h) | 950,000 | 951,188 | ||
6.875% 5/16/17 (Reg. S) | 200,000 | 200,250 | ||
Gibson Energy, Inc. 6.75% 7/15/21 (h) | 1,935,000 | 1,881,788 | ||
Global Partners LP/GLP Finance Corp. 7% 6/15/23 (h) | 4,995,000 | 4,645,350 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (h) | 221,000 | 228,967 | ||
Halcon Resources Corp. 8.625% 2/1/20 (h) | 7,035,000 | 6,173,213 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
5% 12/1/24 (h) | 1,305,000 | 1,128,956 | ||
5.75% 10/1/25 (h) | 2,135,000 | 1,921,500 | ||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | 750,000 | 712,635 | ||
Indo Energy Finance BV 7% 5/7/18 (h) | 400,000 | 256,000 | ||
Jupiter Resources, Inc. 8.5% 10/1/22 (h) | 5,150,000 | 3,218,750 | ||
KazMunaiGaz Finance Sub BV: | ||||
6% 11/7/44 (h) | 665,000 | 528,420 | ||
9.125% 7/2/18 (h) | 510,000 | 568,625 | ||
KazMunaiGaz National Co. 5.75% 4/30/43 (h) | 1,065,000 | 829,891 | ||
Kinder Morgan, Inc. 2% 12/1/17 | 5,467,000 | 5,413,205 | ||
Kosmos Energy Ltd. 7.875% 8/1/21 (h) | 645,000 | 557,925 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (n) | 5,260,000 | 2,051,400 | ||
6.5% 5/15/19 | 720,000 | 307,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Marathon Petroleum Corp. 5.125% 3/1/21 | $ 10,178,000 | $ 11,074,153 | ||
Motiva Enterprises LLC 5.75% 1/15/20 (h) | 4,187,000 | 4,594,508 | ||
MPLX LP 4% 2/15/25 | 2,532,000 | 2,336,256 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 1,975,000 | 2,256,438 | ||
Noble Energy, Inc.: | ||||
5.625% 5/1/21 | 6,305,000 | 6,365,024 | ||
5.875% 6/1/24 | 535,000 | 552,869 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 4,675,000 | 4,721,750 | ||
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (h) | 1,630,000 | 1,365,125 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h) | 4,701,000 | 2,538,540 | ||
Pan American Energy LLC 7.875% 5/7/21 (h) | 583,000 | 591,745 | ||
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (h) | 2,165,000 | 2,089,225 | ||
Peabody Energy Corp.: | ||||
6% 11/15/18 | 2,155,000 | 716,538 | ||
6.25% 11/15/21 | 2,765,000 | 725,813 | ||
7.875% 11/1/26 | 1,790,000 | 478,825 | ||
10% 3/15/22 (h) | 2,425,000 | 970,000 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 1,965,000 | 2,003,318 | ||
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 4,242,919 | ||
Petrobras Global Finance BV: | ||||
2.4288% 1/15/19 (n) | 3,100,000 | 2,728,000 | ||
2.75% 1/15/18 | EUR | 4,350,000 | 4,490,883 | |
3% 1/15/19 | 4,038,000 | 3,517,461 | ||
3.25% 3/17/17 | 26,728,000 | 25,608,097 | ||
4.375% 5/20/23 | 20,096,000 | 15,789,427 | ||
4.875% 3/17/20 | 26,750,000 | 23,409,193 | ||
5.625% 5/20/43 | 18,504,000 | 12,799,217 | ||
6.25% 3/17/24 | 1,200,000 | 1,050,960 | ||
6.85% 6/5/2115 | 645,000 | 485,298 | ||
7.25% 3/17/44 | 640,000 | 515,200 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 10,192,000 | 10,186,598 | ||
5.375% 1/27/21 | 44,755,000 | 39,451,533 | ||
5.75% 1/20/20 | 11,270,000 | 10,251,530 | ||
5.875% 3/1/18 | 460,000 | 451,375 | ||
6.875% 1/20/40 | 2,760,000 | 2,152,745 | ||
7.875% 3/15/19 | 14,017,000 | 14,126,052 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: | ||||
5.375% 4/12/27 | $ 1,775,000 | $ 592,850 | ||
5.5% 4/12/37 | 655,000 | 216,150 | ||
8.5% 11/2/17 (h) | 14,695,000 | 10,099,874 | ||
9.75% 5/17/35 (h) | 3,430,000 | 1,308,545 | ||
12.75% 2/17/22 (h) | 1,595,000 | 743,270 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 | 1,776,000 | 1,771,560 | ||
3.5% 7/18/18 | 14,963,000 | 15,247,297 | ||
3.5% 7/23/20 (h) | 13,960,000 | 13,824,309 | ||
3.5% 1/30/23 | 11,489,000 | 10,687,642 | ||
4.5% 1/23/26 (h) | 46,043,000 | 43,743,152 | ||
4.875% 1/24/22 | 12,142,000 | 12,324,130 | ||
4.875% 1/18/24 | 13,072,000 | 13,032,784 | ||
5.5% 1/21/21 | 12,069,000 | 12,944,003 | ||
5.5% 6/27/44 (h) | 640,000 | 553,760 | ||
5.5% 6/27/44 | 22,304,000 | 19,298,536 | ||
5.625% 1/23/46 (h) | 36,355,000 | 32,355,950 | ||
6% 3/5/20 | 6,145,000 | 6,694,978 | ||
6.375% 1/23/45 | 14,382,000 | 14,019,574 | ||
6.5% 6/2/41 | 25,567,000 | 25,567,000 | ||
6.625% (h)(i) | 5,520,000 | 5,464,800 | ||
8% 5/3/19 | 8,600,000 | 9,891,290 | ||
Petronas Capital Ltd. 3.5% 3/18/25 (h) | 525,000 | 506,372 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 12,618,000 | 13,167,135 | ||
4.875% 11/15/44 | 34,230,000 | 32,535,410 | ||
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,281,173 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 5,217,000 | 5,052,325 | ||
6.125% 1/15/17 | 6,185,000 | 6,564,246 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (h) | 595,000 | 576,436 | ||
5.25% 5/23/21 (h) | 815,000 | 821,113 | ||
6% 5/3/42 (h) | 395,000 | 345,625 | ||
6.5% 5/27/41 (h) | 1,900,000 | 1,762,250 | ||
Rice Energy, Inc.: | ||||
6.25% 5/1/22 | 8,365,000 | 7,444,850 | ||
7.25% 5/1/23 (h) | 3,620,000 | 3,366,600 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sabine Pass Liquefaction LLC: | ||||
5.625% 3/1/25 (h) | $ 12,415,000 | $ 12,003,753 | ||
5.75% 5/15/24 | 5,045,000 | 4,931,488 | ||
SemGroup Corp. 7.5% 6/15/21 | 4,750,000 | 4,702,500 | ||
Shell International Finance BV: | ||||
3.25% 5/11/25 | 20,000,000 | 19,686,200 | ||
4.375% 5/11/45 | 20,000,000 | 19,706,180 | ||
Sibur Securities Ltd. 3.914% 1/31/18 (h) | 1,870,000 | 1,764,813 | ||
Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22 | 2,750,000 | 2,788,734 | ||
SM Energy Co. 6.5% 11/15/21 | 1,205,000 | 1,168,850 | ||
Southwestern Energy Co.: | ||||
3.3% 1/23/18 | 6,403,000 | 6,383,445 | ||
4.05% 1/23/20 | 11,618,000 | 11,502,970 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 308,000 | 330,949 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 4,717,000 | 4,765,411 | ||
2.95% 9/25/18 | 1,960,000 | 1,980,464 | ||
4.6% 6/15/21 | 2,694,000 | 2,804,416 | ||
Sunoco LP / Sunoco Finance Corp.: | ||||
5.5% 8/1/20 (h) | 3,405,000 | 3,387,975 | ||
6.375% 4/1/23 (h) | 1,035,000 | 1,040,175 | ||
Teine Energy Ltd. 6.875% 9/30/22 (h) | 6,310,000 | 5,458,150 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | ||||
6.125% 10/15/21 | 505,000 | 506,263 | ||
6.25% 10/15/22 (h) | 800,000 | 800,000 | ||
The Williams Companies, Inc.: | ||||
3.7% 1/15/23 | 10,780,000 | 9,339,544 | ||
4.55% 6/24/24 | 53,471,000 | 47,328,145 | ||
Transportadora de Gas del Sur SA 9.625% 5/14/20 (h) | 3,042,567 | 3,065,386 | ||
Western Gas Partners LP 5.375% 6/1/21 | 16,424,000 | 17,400,390 | ||
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 | 2,105,000 | 2,126,050 | ||
Western Refining, Inc. 6.25% 4/1/21 | 4,085,000 | 4,044,150 | ||
Whiting Petroleum Corp. 5% 3/15/19 | 2,070,000 | 1,852,650 | ||
Williams Partners LP: | ||||
4.125% 11/15/20 | 2,399,000 | 2,438,550 | ||
4.3% 3/4/24 | 8,588,000 | 8,041,829 | ||
WPX Energy, Inc. 7.5% 8/1/20 | 2,070,000 | 1,987,987 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
YPF SA: | ||||
8.5% 7/28/25 (h) | $ 1,660,000 | $ 1,556,250 | ||
8.75% 4/4/24 (h) | 3,215,000 | 3,086,400 | ||
8.875% 12/19/18 (h) | 1,610,000 | 1,660,313 | ||
8.875% 12/19/18 (Reg. S) | 1,300,000 | 1,340,625 | ||
Zhaikmunai International BV 7.125% 11/13/19 (h) | 2,840,000 | 2,357,200 | ||
| 1,177,559,754 | |||
TOTAL ENERGY | 1,273,817,292 | |||
FINANCIALS - 18.6% | ||||
Banks - 7.4% | ||||
Banco Daycoval SA 5.75% 3/19/19 (h) | 625,000 | 608,594 | ||
Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S) | 697,825 | 732,716 | ||
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) | EUR | 1,300,000 | 1,434,602 | |
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (h) | 10,570,000 | 10,543,575 | ||
4% 4/14/19 (h) | 12,355,000 | 11,799,025 | ||
5.5% 7/12/20 (h) | 575,000 | 567,813 | ||
5.75% 9/26/23 (h) | 10,860,000 | 10,208,400 | ||
6.369% 6/16/18 (h) | 13,435,000 | 13,720,494 | ||
6.5% 6/10/19 (Reg. S) | 1,000,000 | 1,032,000 | ||
Bank Nederlandse Gemeenten NV: | ||||
1.375% 9/27/17 (h) | 8,770,000 | 8,827,978 | ||
1.375% 9/27/17 (Reg. S) | 2,720,000 | 2,739,764 | ||
Bank of America Corp.: | ||||
2% 1/11/18 | 50,000,000 | 49,990,200 | ||
2.25% 4/21/20 | 87,156,000 | 85,545,706 | ||
2.6% 1/15/19 | 8,068,000 | 8,123,903 | ||
2.65% 4/1/19 | 6,430,000 | 6,482,887 | ||
3.3% 1/11/23 | 31,429,000 | 30,945,182 | ||
3.875% 3/22/17 | 25,777,000 | 26,650,608 | ||
3.95% 4/21/25 | 25,000,000 | 24,173,150 | ||
4.1% 7/24/23 | 11,481,000 | 11,844,075 | ||
4.2% 8/26/24 | 16,813,000 | 16,658,909 | ||
4.25% 10/22/26 | 14,724,000 | 14,476,755 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Bank of America Corp.: - continued | ||||
5.65% 5/1/18 | $ 8,780,000 | $ 9,554,730 | ||
5.75% 12/1/17 | 21,955,000 | 23,749,997 | ||
5.875% 1/5/21 | 6,530,000 | 7,432,505 | ||
6.5% 8/1/16 | 9,000,000 | 9,422,991 | ||
Bank of Ireland: | ||||
4.25% 6/11/24 (Reg. S) (n) | EUR | 3,800,000 | 4,349,394 | |
10% 7/30/16 | EUR | 2,350,000 | 2,796,739 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (h) | 1,265,000 | 1,214,742 | ||
Barclays Bank PLC: | ||||
4.25% 1/12/22 | GBP | 4,000,000 | 6,878,722 | |
6.75% 1/16/23 (n) | GBP | 2,250,000 | 3,718,097 | |
Barclays PLC 2.75% 11/8/19 | 12,249,000 | 12,211,273 | ||
BBVA Bancomer SA 6.75% 9/30/22 (h) | 375,000 | 406,125 | ||
BBVA Colombia SA 4.875% 4/21/25 (h) | 390,000 | 377,910 | ||
BBVA Paraguay SA 9.75% 2/11/16 (h) | 1,145,000 | 1,175,412 | ||
BPCE SA 5.7% 10/22/23 (h) | 6,050,000 | 6,404,409 | ||
Capital One NA 2.95% 7/23/21 | 18,827,000 | 18,330,137 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 17,175,000 | 17,158,770 | ||
1.7% 4/27/18 | 120,000,000 | 118,934,520 | ||
1.8% 2/5/18 | 33,287,000 | 33,132,016 | ||
1.85% 11/24/17 | 33,365,000 | 33,346,950 | ||
2.4% 2/18/20 | 60,588,000 | 59,961,762 | ||
2.5% 7/29/19 | 46,387,000 | 46,340,706 | ||
4.05% 7/30/22 | 5,303,000 | 5,427,562 | ||
4.4% 6/10/25 | 40,790,000 | 41,006,269 | ||
5.5% 9/13/25 | 4,478,000 | 4,862,369 | ||
6.125% 5/15/18 | 3,779,000 | 4,170,561 | ||
Citizens Financial Group, Inc. 4.15% 9/28/22 (h) | 13,462,000 | 13,577,221 | ||
Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (n) | EUR | 2,700,000 | 2,883,720 | |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 19,650,716 | ||
Credit Suisse Group Funding Guernsey Ltd.: | ||||
2.75% 3/26/20 (h) | 19,455,000 | 19,338,737 | ||
3.75% 3/26/25 (h) | 19,450,000 | 18,816,864 | ||
Development Bank of Philippines 8.375% (i)(n) | 1,930,000 | 2,016,142 | ||
Discover Bank: | ||||
4.2% 8/8/23 | 7,852,000 | 7,940,696 | ||
7% 4/15/20 | 2,030,000 | 2,339,210 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | $ 798,000 | $ 847,756 | ||
8.25% 3/1/38 | 4,667,000 | 6,607,137 | ||
Finansbank A/S: | ||||
5.5% 5/11/16 (Reg. S) | 1,300,000 | 1,312,168 | ||
6.25% 4/30/19 (h) | 1,100,000 | 1,115,598 | ||
Georgia Bank Joint Stock Co.: | ||||
7.75% 7/5/17 (h) | 2,200,000 | 2,257,790 | ||
7.75% 7/5/17 (Reg. S) | 350,000 | 359,194 | ||
GTB Finance BV: | ||||
6% 11/8/18 (h) | 2,725,000 | 2,471,575 | ||
7.5% 5/19/16 (h) | 1,245,000 | 1,241,888 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 6,693,958 | ||
HSBC Holdings PLC 4.25% 3/14/24 | 6,192,000 | 6,198,663 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,071,934 | ||
HSBK BV: | ||||
7.25% 5/3/17 (h) | 2,285,000 | 2,317,584 | ||
7.25% 5/3/17 (Reg. S) | 250,000 | 253,565 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,392,636 | ||
Industrial Senior Trust 5.5% 11/1/22 (h) | 220,000 | 208,230 | ||
Intesa Sanpaolo SpA: | ||||
3.875% 1/16/18 | 4,140,000 | 4,250,281 | ||
6.625% 9/13/23 (Reg. S) | EUR | 2,000,000 | 2,715,356 | |
Itau Unibanco Holding SA: | ||||
2.85% 5/26/18 (h) | 655,000 | 636,005 | ||
5.125% 5/13/23 (Reg. S) | 1,100,000 | 1,001,000 | ||
5.5% 8/6/22 (h) | 655,000 | 614,849 | ||
6.2% 12/21/21 (Reg. S) | 980,000 | 960,890 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 12,580,000 | 12,459,446 | ||
2% 8/15/17 | 11,000,000 | 11,072,512 | ||
2.2% 10/22/19 | 7,268,000 | 7,206,091 | ||
2.25% 1/23/20 | 40,000,000 | 39,478,680 | ||
2.35% 1/28/19 | 6,857,000 | 6,880,664 | ||
3.25% 9/23/22 | 18,423,000 | 18,270,771 | ||
3.875% 9/10/24 | 39,644,000 | 39,008,190 | ||
4.125% 12/15/26 | 50,896,000 | 50,501,963 | ||
4.25% 10/15/20 | 6,995,000 | 7,490,169 | ||
4.35% 8/15/21 | 20,267,000 | 21,634,901 | ||
4.5% 1/24/22 | 22,046,000 | 23,537,037 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
4.625% 5/10/21 | $ 6,879,000 | $ 7,450,033 | ||
4.95% 3/25/20 | 22,079,000 | 24,197,877 | ||
KeyBank NA 5.45% 3/3/16 | 3,939,000 | 4,027,143 | ||
OJSC Russian Agricultural Bank: | ||||
6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 415,000 | 420,188 | ||
7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 1,000,000 | 1,027,780 | ||
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 26,008,067 | ||
Regions Bank 6.45% 6/26/37 | 24,618,000 | 28,831,888 | ||
Regions Financial Corp. 2% 5/15/18 | 13,127,000 | 13,056,416 | ||
Royal Bank of Scotland Group PLC: | ||||
5.125% 5/28/24 | 64,006,000 | 64,539,234 | ||
6% 12/19/23 | 25,897,000 | 27,626,453 | ||
6.1% 6/10/23 | 16,183,000 | 17,359,763 | ||
6.125% 12/15/22 | 42,557,000 | 45,842,869 | ||
RSHB Capital SA 5.298% 12/27/17 (h) | 1,425,000 | 1,406,874 | ||
SB Capital SA 5.5% 2/26/24 (h)(n) | 2,285,000 | 1,841,002 | ||
Turkiye Halk Bankasi A/S 4.75% 6/4/19 (h) | 980,000 | 975,100 | ||
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (h)(n) | 645,000 | 617,007 | ||
Wachovia Corp. 5.75% 6/15/17 | 2,933,000 | 3,154,735 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 34,000,000 | 34,134,878 | ||
3.676% 6/15/16 | 4,301,000 | 4,398,693 | ||
4.48% 1/16/24 | 4,804,000 | 5,009,525 | ||
Yapi ve Kredi Bankasi A/S 5.125% 10/22/19 (Reg. S) | 4,000,000 | 4,000,640 | ||
Zenith Bank PLC 6.25% 4/22/19 (h) | 3,070,000 | 2,778,350 | ||
| 1,508,807,306 | |||
Capital Markets - 3.7% | ||||
Affiliated Managers Group, Inc.: | ||||
3.5% 8/1/25 | 19,025,000 | 18,163,187 | ||
4.25% 2/15/24 | 12,758,000 | 13,246,925 | ||
Argos Merger Sub, Inc. 7.125% 3/15/23 (h) | 8,620,000 | 9,029,450 | ||
Deutsche Bank AG 4.5% 4/1/25 | 48,248,000 | 46,654,899 | ||
Deutsche Bank AG London Branch 1.875% 2/13/18 | 37,777,000 | 37,591,288 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 42,024,000 | 41,923,815 | ||
2.55% 10/23/19 | 33,080,000 | 33,142,157 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Goldman Sachs Group, Inc.: - continued | ||||
2.625% 1/31/19 | $ 50,400,000 | $ 50,909,191 | ||
2.9% 7/19/18 | 17,494,000 | 17,884,624 | ||
3.75% 5/22/25 | 40,000,000 | 39,796,760 | ||
5.25% 7/27/21 | 17,105,000 | 19,015,492 | ||
5.625% 1/15/17 | 3,200,000 | 3,359,987 | ||
5.95% 1/18/18 | 4,975,000 | 5,427,536 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 10,151,000 | 10,674,853 | ||
6.85% 6/15/17 | 1,263,000 | 1,367,037 | ||
Morgan Stanley: | ||||
1.875% 1/5/18 | 16,953,000 | 16,952,508 | ||
2.125% 4/25/18 | 12,586,000 | 12,630,227 | ||
2.375% 7/23/19 | 26,932,000 | 26,909,458 | ||
2.8% 6/16/20 | 30,000,000 | 30,096,810 | ||
3.7% 10/23/24 | 24,714,000 | 24,666,623 | ||
4% 7/23/25 | 21,522,000 | 21,940,022 | ||
4.35% 9/8/26 | 30,000,000 | 29,929,590 | ||
4.875% 11/1/22 | 26,240,000 | 27,761,868 | ||
5% 11/24/25 | 3,189,000 | 3,353,425 | ||
5.45% 1/9/17 | 13,970,000 | 14,696,007 | ||
5.5% 1/26/20 | 88,000,000 | 97,921,032 | ||
5.625% 9/23/19 | 12,714,000 | 14,132,437 | ||
5.75% 1/25/21 | 19,879,000 | 22,522,668 | ||
6.625% 4/1/18 | 16,118,000 | 17,962,286 | ||
UBS AG Stamford Branch: | ||||
1.375% 6/1/17 | 12,643,000 | 12,582,946 | ||
1.8% 3/26/18 | 24,142,000 | 24,057,165 | ||
| 746,302,273 | |||
Consumer Finance - 1.8% | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | ||||
4.25% 7/1/20 | 3,025,000 | 3,047,688 | ||
4.5% 5/15/21 | 2,800,000 | 2,845,500 | ||
4.625% 7/1/22 | 2,685,000 | 2,705,138 | ||
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,448,045 | ||
Credito Real S.A.B. de CV 7.5% 3/13/19 (h) | 840,000 | 851,550 | ||
Discover Financial Services: | ||||
3.85% 11/21/22 | 25,882,000 | 25,225,710 | ||
3.95% 11/6/24 | 9,738,000 | 9,366,057 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: - continued | ||||
5.2% 4/27/22 | $ 12,545,000 | $ 13,232,203 | ||
6.45% 6/12/17 | 10,366,000 | 11,211,565 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 7,229,000 | 7,194,279 | ||
1.7% 5/9/16 | 19,473,000 | 19,518,431 | ||
1.724% 12/6/17 | 18,742,000 | 18,570,567 | ||
2.24% 6/15/18 | 19,162,000 | 19,062,128 | ||
2.597% 11/4/19 | 40,209,000 | 39,630,392 | ||
2.875% 10/1/18 | 13,000,000 | 13,100,217 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 10,247,000 | 10,270,302 | ||
4.625% 1/7/21 | 19,476,000 | 21,380,207 | ||
4.65% 10/17/21 | 5,377,000 | 5,910,216 | ||
5.625% 9/15/17 | 5,858,000 | 6,335,445 | ||
5.625% 5/1/18 | 25,000,000 | 27,480,675 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (h) | 14,591,000 | 14,558,097 | ||
1.625% 10/2/15 (h) | 4,565,000 | 4,565,278 | ||
1.875% 8/9/16 (h) | 2,974,000 | 2,987,440 | ||
2.125% 10/2/17 (h) | 18,524,000 | 18,576,905 | ||
2.875% 8/9/18 (h) | 5,276,000 | 5,382,401 | ||
Navient Corp.: | ||||
5% 10/26/20 | 915,000 | 814,350 | ||
5.875% 3/25/21 | 3,215,000 | 2,885,463 | ||
5.875% 10/25/24 | 8,775,000 | 7,414,875 | ||
SLM Corp.: | ||||
4.875% 6/17/19 | 2,160,000 | 2,019,600 | ||
5.5% 1/15/19 | 2,025,000 | 1,933,875 | ||
5.5% 1/25/23 | 6,135,000 | 5,168,738 | ||
6.125% 3/25/24 | 4,280,000 | 3,638,000 | ||
8% 3/25/20 | 395,000 | 399,938 | ||
Synchrony Financial: | ||||
1.875% 8/15/17 | 3,341,000 | 3,326,781 | ||
3% 8/15/19 | 4,907,000 | 4,914,596 | ||
3.75% 8/15/21 | 7,409,000 | 7,347,720 | ||
4.25% 8/15/24 | 7,458,000 | 7,335,607 | ||
| 360,655,979 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - 0.5% | ||||
Brixmor Operating Partnership LP: | ||||
3.85% 2/1/25 | $ 14,325,000 | $ 13,660,492 | ||
3.875% 8/15/22 | 11,641,000 | 11,575,170 | ||
Cimpor Financial Operations BV 5.75% 7/17/24 (h) | 850,000 | 633,250 | ||
CNH Industrial Capital LLC 3.875% 7/16/18 (h) | 3,170,000 | 3,158,113 | ||
Deutsche Boerse AG 2.75% 2/5/41 (Reg. S) (n) | EUR | 1,200,000 | 1,353,002 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
4.875% 3/15/19 | 1,665,000 | 1,686,645 | ||
5.875% 2/1/22 | 18,611,000 | 18,801,763 | ||
6% 8/1/20 | 4,745,000 | 4,898,121 | ||
ILFC E-Capital Trust I 4.69% 12/21/65 (h)(n) | 10,340,000 | 9,784,225 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (h)(n) | 4,765,000 | 4,508,881 | ||
ING U.S., Inc. 5.5% 7/15/22 | 25,716,000 | 28,972,186 | ||
MSCI, Inc. 5.75% 8/15/25 (h) | 3,010,000 | 3,070,200 | ||
TMK Capital SA: | ||||
6.75% 4/3/20 (Reg. S) | 885,000 | 737,488 | ||
7.75% 1/27/18 | 1,300,000 | 1,231,750 | ||
| 104,071,286 | |||
Insurance - 1.8% | ||||
AIA Group Ltd. 2.25% 3/11/19 (h) | 2,566,000 | 2,553,404 | ||
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (h) | 5,405,000 | 5,256,363 | ||
Allianz SE 2.241% 7/7/45 (Reg. S) (n) | EUR | 2,900,000 | 2,949,134 | |
American International Group, Inc.: | ||||
2.3% 7/16/19 | 6,461,000 | 6,441,746 | ||
3.875% 1/15/35 | 19,041,000 | 17,244,063 | ||
4.875% 6/1/22 | 3,590,000 | 3,914,432 | ||
5.6% 10/18/16 | 10,702,000 | 11,210,923 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 11,274,000 | 11,454,440 | ||
3.5% 9/30/15 | 4,451,000 | 4,459,212 | ||
5% 9/30/20 | 3,854,000 | 4,242,892 | ||
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (n) | 4,900,000 | 5,060,112 | ||
Assicurazioni Generali SpA 7.75% 12/12/42 (n) | EUR | 4,400,000 | 6,026,565 | |
Aviva PLC 6.625% 6/3/41 (n) | GBP | 4,150,000 | 6,904,102 | |
Five Corners Funding Trust 4.419% 11/15/23 (h) | 12,460,000 | 12,904,922 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(n) | 1,859,000 | 1,896,180 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | $ 14,787,000 | $ 16,418,923 | ||
5.375% 3/15/17 | 194,000 | 204,723 | ||
Liberty Mutual Group, Inc. 5% 6/1/21 (h) | 12,644,000 | 13,716,110 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,763,472 | ||
Massachusetts Mutual Life Insurance Co.: | ||||
4.5% 4/15/65 (h) | 30,523,000 | 27,679,050 | ||
5.375% 12/1/41 (h) | 3,840,000 | 4,261,951 | ||
MetLife, Inc.: | ||||
1.903% 12/15/17 (n) | 2,987,000 | 3,001,526 | ||
3.048% 12/15/22 (n) | 12,433,000 | 12,183,283 | ||
4.368% 9/15/23 | 9,625,000 | 10,189,766 | ||
4.75% 2/8/21 | 4,032,000 | 4,432,636 | ||
6.75% 6/1/16 | 7,610,000 | 7,934,218 | ||
Metropolitan Life Global Funding I 3% 1/10/23 (h) | 7,896,000 | 7,701,972 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 7,041,000 | 10,587,270 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (h) | 19,436,000 | 19,925,010 | ||
6% 2/10/20 (h) | 12,654,000 | 14,237,851 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 1,622,000 | 1,639,323 | ||
4.5% 11/16/21 | 6,390,000 | 6,972,640 | ||
5.375% 5/15/45 (n) | 17,492,000 | 17,300,638 | ||
6.2% 11/15/40 | 4,318,000 | 5,117,758 | ||
7.375% 6/15/19 | 3,230,000 | 3,790,327 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 6,375,000 | 6,534,809 | ||
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (h) | 18,083,000 | 18,510,356 | ||
TIAA Asset Management Finance LLC: | ||||
2.95% 11/1/19 (h) | 4,172,000 | 4,196,594 | ||
4.125% 11/1/24 (h) | 6,048,000 | 6,106,732 | ||
Unum Group: | ||||
5.625% 9/15/20 | 8,386,000 | 9,383,699 | ||
5.75% 8/15/42 | 16,937,000 | 18,844,428 | ||
7.125% 9/30/16 | 587,000 | 621,415 | ||
| 361,774,970 | |||
Real Estate Investment Trusts - 1.7% | ||||
Alexandria Real Estate Equities, Inc.: | ||||
2.75% 1/15/20 | 2,884,000 | 2,853,112 | ||
4.6% 4/1/22 | 4,025,000 | 4,174,939 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | $ 3,491,000 | $ 3,390,438 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 5,005,000 | 5,200,230 | ||
4.2% 12/15/23 | 12,000,000 | 12,529,692 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 14,583,000 | 14,806,966 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 6,621,000 | 6,356,471 | ||
4.25% 1/15/24 | 9,191,000 | 9,500,268 | ||
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,325,598 | ||
Communications Sales & Leasing, Inc. 8.25% 10/15/23 (h) | 1,455,000 | 1,324,050 | ||
Corporate Office Properties LP 5% 7/1/25 | 8,095,000 | 7,900,987 | ||
DDR Corp.: | ||||
3.625% 2/1/25 | 7,690,000 | 7,227,646 | ||
4.625% 7/15/22 | 10,758,000 | 11,185,846 | ||
4.75% 4/15/18 | 11,273,000 | 11,914,682 | ||
7.5% 4/1/17 | 5,574,000 | 6,039,022 | ||
7.875% 9/1/20 | 323,000 | 392,813 | ||
9.625% 3/15/16 | 3,691,000 | 3,852,179 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 6,287,000 | 6,168,396 | ||
3.75% 12/1/24 | 5,408,000 | 5,265,040 | ||
3.875% 10/15/22 | 11,543,000 | 11,638,461 | ||
4.375% 6/15/22 | 7,323,000 | 7,576,918 | ||
5.95% 2/15/17 | 102,000 | 108,357 | ||
6.5% 1/15/18 | 3,795,000 | 4,175,475 | ||
6.75% 3/15/20 | 10,379,000 | 12,023,532 | ||
8.25% 8/15/19 | 75,000 | 90,575 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 18,100,000 | 18,029,066 | ||
6% 9/15/17 | 1,212,000 | 1,308,027 | ||
6.25% 1/15/17 | 1,027,000 | 1,087,078 | ||
ERP Operating LP: | ||||
2.375% 7/1/19 | 8,777,000 | 8,791,500 | ||
4.625% 12/15/21 | 17,159,000 | 18,535,461 | ||
4.75% 7/15/20 | 7,700,000 | 8,404,450 | ||
5.375% 8/1/16 | 2,768,000 | 2,873,079 | ||
5.75% 6/15/17 | 14,407,000 | 15,447,027 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,848,691 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HCP, Inc. 3.75% 2/1/16 | $ 6,084,000 | $ 6,151,356 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 5,151,000 | 5,157,985 | ||
4.7% 9/15/17 | 1,538,000 | 1,622,252 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 650,684 | ||
HRPT Properties Trust: | ||||
6.25% 6/15/17 | 1,232,000 | 1,291,660 | ||
6.65% 1/15/18 | 867,000 | 931,770 | ||
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,638,463 | ||
Omega Healthcare Investors, Inc.: | ||||
4.5% 1/15/25 | 4,655,000 | 4,572,774 | ||
4.5% 4/1/27 (h) | 45,578,000 | 43,784,460 | ||
4.95% 4/1/24 | 3,875,000 | 3,987,673 | ||
5.875% 3/15/24 | 290,000 | 305,225 | ||
6.75% 10/15/22 | 345,000 | 357,938 | ||
Retail Opportunity Investments Partnership LP: | ||||
4% 12/15/24 | 3,376,000 | 3,289,544 | ||
5% 12/15/23 | 2,030,000 | 2,139,920 | ||
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 278,757 | ||
Simon Property Group LP 4.125% 12/1/21 | 7,287,000 | 7,721,101 | ||
The GEO Group, Inc. 5.875% 1/15/22 | 2,285,000 | 2,376,400 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,670,616 | ||
WP Carey, Inc. 4% 2/1/25 | 21,616,000 | 20,894,393 | ||
| 348,169,043 | |||
Real Estate Management & Development - 1.7% | ||||
BioMed Realty LP: | ||||
2.625% 5/1/19 | 7,539,000 | 7,527,428 | ||
3.85% 4/15/16 | 16,284,000 | 16,495,024 | ||
4.25% 7/15/22 | 5,809,000 | 5,923,693 | ||
6.125% 4/15/20 | 3,429,000 | 3,859,751 | ||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | 12,775,000 | 12,544,130 | ||
4.1% 10/1/24 | 15,881,000 | 15,800,452 | ||
4.55% 10/1/29 | 15,881,000 | 15,422,309 | ||
4.95% 4/15/18 | 12,690,000 | 13,476,184 | ||
5.7% 5/1/17 | 7,049,000 | 7,453,493 | ||
6% 4/1/16 | 2,699,000 | 2,766,613 | ||
CBRE Group, Inc. 5% 3/15/23 | 10,300,000 | 10,398,138 | ||
Citycon Oyj 3.75% 6/24/20 (Reg. S) | EUR | 2,500,000 | 3,043,919 | |
Citycon Treasury BV 2.5% 10/1/24 (Reg. S) | EUR | 350,000 | 386,217 | |
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Deutsche Annington Finance BV 5% 10/2/23 (h) | $ 3,750,000 | $ 3,987,863 | ||
Digital Realty Trust LP: | ||||
3.95% 7/1/22 | 11,369,000 | 11,381,153 | ||
5.25% 3/15/21 | 5,708,000 | 6,213,580 | ||
Essex Portfolio LP: | ||||
3.875% 5/1/24 | 8,802,000 | 8,807,123 | ||
5.5% 3/15/17 | 3,597,000 | 3,794,058 | ||
Host Hotels & Resorts LP: | ||||
4.75% 3/1/23 | 150,000 | 156,208 | ||
6% 11/1/20 | 105,000 | 108,621 | ||
Howard Hughes Corp. 6.875% 10/1/21 (h) | 2,035,000 | 2,121,488 | ||
Hunt Companies, Inc. 9.625% 3/1/21 (h) | 870,000 | 835,200 | ||
Inmobiliaria Colonial SA 1.863% 6/5/19 (Reg. S) | EUR | 2,900,000 | 3,248,052 | |
Inversiones y Representaciones SA: | ||||
8.5% 2/2/17 (Reg. S) | 65,000 | 64,675 | ||
11.5% 7/20/20 (Reg. S) | 5,000 | 5,550 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 6,574,000 | 6,326,943 | ||
4.125% 6/15/22 | 6,280,000 | 6,419,812 | ||
4.4% 2/15/24 | 13,017,000 | 13,390,015 | ||
4.75% 10/1/20 | 11,282,000 | 12,170,300 | ||
5.5% 12/15/16 | 1,891,000 | 1,979,036 | ||
6.625% 10/1/17 | 4,835,000 | 5,292,923 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 9,223,000 | 9,251,813 | ||
3.15% 5/15/23 | 14,735,000 | 13,078,447 | ||
4.5% 4/18/22 | 4,072,000 | 4,058,485 | ||
5.8% 1/15/16 | 10,000,000 | 10,147,530 | ||
7.75% 8/15/19 | 700,000 | 806,132 | ||
Mid-America Apartments LP: | ||||
4.3% 10/15/23 | 2,224,000 | 2,274,632 | ||
6.05% 9/1/16 | 2,000,000 | 2,086,998 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,500,114 | ||
Prime Property Funding, Inc. 5.7% 4/15/17 (h) | 4,546,000 | 4,757,194 | ||
Realogy Corp. 7.625% 1/15/20 (h) | 981,000 | 1,031,276 | ||
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (h) | 235,000 | 236,469 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 7,123,000 | 7,300,911 | ||
Regency Centers LP 5.875% 6/15/17 | 2,874,000 | 3,085,276 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: | ||||
3.75% 12/1/24 | $ 10,161,000 | $ 9,927,795 | ||
3.875% 12/1/23 | 4,812,000 | 4,777,002 | ||
6.125% 6/1/20 | 14,318,000 | 16,277,604 | ||
Ventas Realty LP: | ||||
1.55% 9/26/16 | 7,655,000 | 7,668,947 | ||
3.5% 2/1/25 | 4,631,000 | 4,380,296 | ||
3.75% 5/1/24 | 20,000,000 | 19,579,180 | ||
4.125% 1/15/26 | 5,557,000 | 5,501,135 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | 8,050,000 | 8,073,015 | ||
4% 4/30/19 | 3,747,000 | 3,918,234 | ||
4.25% 3/1/22 | 300,000 | 311,040 | ||
Vesteda Finance BV 1.75% 7/22/19 (Reg. S) | EUR | 3,000,000 | 3,393,462 | |
| 345,822,938 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Wrightwood Capital LLC 1.9% 4/20/20 (d) | 362 | 12,138 | ||
TOTAL FINANCIALS | 3,775,615,933 | |||
HEALTH CARE - 2.6% | ||||
Biotechnology - 0.2% | ||||
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (h) | 845,000 | 865,069 | ||
Amgen, Inc.: | ||||
1.25% 5/22/17 | 14,862,000 | 14,821,278 | ||
2.2% 5/22/19 | 14,136,000 | 14,023,986 | ||
| 29,710,333 | |||
Health Care Equipment & Supplies - 0.0% | ||||
Becton, Dickinson & Co. 2.675% 12/15/19 | 4,539,000 | 4,538,737 | ||
Hill-Rom Holdings, Inc. 5.75% 9/1/23 (h)(j) | 1,220,000 | 1,241,350 | ||
Hologic, Inc. 5.25% 7/15/22 (h) | 1,620,000 | 1,650,375 | ||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (h) | 655,000 | 650,088 | ||
| 8,080,550 | |||
Health Care Providers & Services - 1.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 1,914,945 | ||
Community Health Systems, Inc. 6.875% 2/1/22 | 5,375,000 | 5,712,604 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 24,746,000 | 26,451,148 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HCA Holdings, Inc.: | ||||
3.75% 3/15/19 | $ 18,722,000 | $ 18,815,610 | ||
4.25% 10/15/19 | 7,590,000 | 7,741,800 | ||
4.75% 5/1/23 | 595,000 | 603,175 | ||
5.875% 3/15/22 | 715,000 | 777,563 | ||
6.5% 2/15/20 | 30,303,000 | 33,484,815 | ||
HealthSouth Corp.: | ||||
5.125% 3/15/23 | 860,000 | 851,400 | ||
5.75% 11/1/24 (h) | 1,035,000 | 1,049,387 | ||
5.75% 11/1/24 | 1,155,000 | 1,171,055 | ||
Kindred Escrow Corp. II: | ||||
8% 1/15/20 (h) | 3,740,000 | 4,097,638 | ||
8.75% 1/15/23 (h) | 9,820,000 | 10,998,400 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 1,176,000 | 1,176,734 | ||
4.125% 9/15/20 | 7,486,000 | 7,909,753 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 500,000 | 517,500 | ||
5.5% 2/1/21 | 5,400,000 | 5,643,000 | ||
Tenet Healthcare Corp.: | ||||
3.7861% 6/15/20 (h)(n) | 1,550,000 | 1,558,525 | ||
5% 3/1/19 | 2,285,000 | 2,280,978 | ||
6% 10/1/20 | 605,000 | 647,350 | ||
6.75% 6/15/23 | 2,530,000 | 2,605,900 | ||
6.875% 11/15/31 | 130,000 | 120,250 | ||
8.125% 4/1/22 | 16,575,000 | 18,356,813 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 2,398,000 | 2,309,437 | ||
2.875% 3/15/23 | 16,114,000 | 15,682,467 | ||
3.35% 7/15/22 | 6,192,000 | 6,333,648 | ||
3.75% 7/15/25 | 19,000,000 | 19,448,913 | ||
4.625% 7/15/35 | 12,193,000 | 12,717,835 | ||
4.75% 7/15/45 | 20,331,000 | 21,277,306 | ||
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,239,174 | ||
| 238,495,123 | |||
Health Care Technology - 0.0% | ||||
Emdeon, Inc. 6% 2/15/21 (h) | 1,345,000 | 1,324,825 | ||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 3,107,000 | 3,089,557 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Life Sciences Tools & Services - continued | ||||
Thermo Fisher Scientific, Inc.: - continued | ||||
2.4% 2/1/19 | $ 1,959,000 | $ 1,954,390 | ||
4.15% 2/1/24 | 3,010,000 | 3,067,094 | ||
| 8,111,041 | |||
Pharmaceuticals - 1.2% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 13,509,000 | 13,497,409 | ||
2.9% 11/6/22 | 13,855,000 | 13,364,824 | ||
3.6% 5/14/25 | 24,114,000 | 23,711,682 | ||
4.5% 5/14/35 | 23,238,000 | 22,197,031 | ||
4.7% 5/14/45 | 23,197,000 | 22,539,759 | ||
Actavis Funding SCS: | ||||
3% 3/12/20 | 13,777,000 | 13,713,089 | ||
3.45% 3/15/22 | 18,597,000 | 18,189,819 | ||
3.8% 3/15/25 | 27,765,000 | 26,897,316 | ||
4.75% 3/15/45 | 10,716,000 | 9,820,850 | ||
Bayer AG 2.375% 4/2/75 (Reg. S) (n) | EUR | 2,450,000 | 2,622,251 | |
Bayer U.S. Finance LLC: | ||||
2.375% 10/8/19 (h) | 10,323,000 | 10,366,501 | ||
3% 10/8/21 (h) | 7,536,000 | 7,547,063 | ||
3.375% 10/8/24 (h) | 3,362,000 | 3,335,417 | ||
Endo Finance LLC 5.375% 1/15/23 (h) | 1,530,000 | 1,541,475 | ||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.: | ||||
6% 7/15/23 (h) | 1,885,000 | 1,960,400 | ||
6% 2/1/25 (h) | 3,680,000 | 3,781,200 | ||
Mylan, Inc. 1.35% 11/29/16 | 3,628,000 | 3,595,562 | ||
Perrigo Co. PLC: | ||||
1.3% 11/8/16 | 2,954,000 | 2,936,034 | ||
2.3% 11/8/18 | 3,161,000 | 3,153,107 | ||
Perrigo Finance PLC: | ||||
3.5% 12/15/21 | 3,657,000 | 3,567,458 | ||
3.9% 12/15/24 | 5,449,000 | 5,278,446 | ||
4.9% 12/15/44 | 2,390,000 | 2,267,522 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
5.375% 3/15/20 (h) | 4,015,000 | 4,085,263 | ||
5.875% 5/15/23 (h) | 3,240,000 | 3,304,800 | ||
6.125% 4/15/25 (h) | 5,460,000 | 5,623,800 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 4,757,000 | 4,738,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 2,006,000 | $ 1,993,180 | ||
3.25% 2/1/23 | 4,892,000 | 4,638,815 | ||
| 240,268,873 | |||
TOTAL HEALTH CARE | 525,990,745 | |||
INDUSTRIALS - 1.5% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
3.8% 10/7/24 (h) | 9,122,000 | 9,152,933 | ||
6.375% 6/1/19 (h) | 8,071,000 | 9,151,207 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (h) | 7,620,000 | 7,315,200 | ||
TransDigm, Inc.: | ||||
5.5% 10/15/20 | 4,530,000 | 4,440,080 | ||
6% 7/15/22 | 2,885,000 | 2,842,158 | ||
6.5% 5/15/25 (h) | 1,355,000 | 1,332,981 | ||
| 34,234,559 | |||
Airlines - 0.2% | ||||
Air Canada 6.625% 5/15/18 (h) | 1,465,000 | 1,519,791 | ||
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 9/15/20 (h) | 3,225,000 | 3,118,660 | ||
Allegiant Travel Co. 5.5% 7/15/19 | 4,220,000 | 4,293,850 | ||
American Airlines Group, Inc.: | ||||
4.625% 3/1/20 (h) | 2,670,000 | 2,623,275 | ||
5.5% 10/1/19 (h) | 8,970,000 | 9,183,038 | ||
American Airlines, Inc. pass-thru certificates equipment trust certificate 5.625% 1/15/21 (h) | 207,953 | 214,191 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 9.798% 4/1/21 | 234,393 | 256,660 | ||
6.125% 4/29/18 | 240,000 | 249,000 | ||
6.648% 3/15/19 | 945,121 | 971,111 | ||
6.9% 7/2/19 | 381,986 | 398,449 | ||
9.25% 5/10/17 | 1,325,326 | 1,441,292 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.375% 7/2/17 (h) | 1,515,000 | 1,533,938 | ||
6.75% 5/23/17 | 1,515,000 | 1,533,938 | ||
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 927,444 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,711,125 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru certificates: - continued | ||||
Series 2013-1 Class B, 5.375% 5/15/23 | $ 323,913 | $ 335,250 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 1,366,062 | 1,448,025 | ||
8.36% 1/20/19 | 837,230 | 896,883 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 631,364 | 669,246 | ||
12% 1/15/16 (h) | 157,666 | 163,973 | ||
United Continental Holdings, Inc.: | ||||
6% 12/1/20 | 2,600,000 | 2,713,750 | ||
6.375% 6/1/18 | 140,000 | 146,475 | ||
| 36,349,364 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 5.375% 11/15/24 (h) | 3,095,000 | 3,095,000 | ||
USG Corp. 5.5% 3/1/25 (h) | 3,175,000 | 3,159,125 | ||
| 6,254,125 | |||
Commercial Services & Supplies - 0.3% | ||||
ADT Corp.: | ||||
3.5% 7/15/22 | 6,296,000 | 5,636,809 | ||
4.125% 4/15/19 | 2,860,000 | 2,902,900 | ||
4.125% 6/15/23 | 5,040,000 | 4,624,200 | ||
5.25% 3/15/20 | 2,035,000 | 2,080,788 | ||
6.25% 10/15/21 | 2,065,000 | 2,132,113 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 | 12,550,000 | 12,189,188 | ||
8.75% 12/1/20 | 13,055,000 | 11,455,763 | ||
Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (h) | 5,020,000 | 4,492,900 | ||
Cenveo Corp. 6% 8/1/19 (h) | 325,000 | 273,813 | ||
Garda World Security Corp.: | ||||
7.25% 11/15/21 (h) | 8,485,000 | 7,933,475 | ||
7.25% 11/15/21 (h) | 400,000 | 374,000 | ||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h) | 3,500,000 | 3,605,000 | ||
R.R. Donnelley & Sons Co.: | ||||
6.5% 11/15/23 | 1,280,000 | 1,232,000 | ||
7% 2/15/22 | 660,000 | 646,800 | ||
| 59,579,749 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Construction & Engineering - 0.0% | ||||
Abengoa Greenfield SA 6.5% 10/1/19 (h) | $ 2,595,000 | $ 1,518,075 | ||
Cementos Progreso Trust 7.125% 11/6/23 (h) | 570,000 | 609,900 | ||
Odebrecht Finance Ltd. 4.375% 4/25/25 (h) | 650,000 | 427,375 | ||
| 2,555,350 | |||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 5.75% 10/1/22 (n) | 1,920,000 | 1,718,400 | ||
Sensata Technologies BV 5% 10/1/25 (h) | 2,285,000 | 2,216,450 | ||
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 6,500,000 | 6,903,018 | |
| 10,837,868 | |||
Industrial Conglomerates - 0.1% | ||||
Alfa SA de CV 5.25% 3/25/24 (h) | 450,000 | 462,375 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,154,286 | ||
| 19,616,661 | |||
Machinery - 0.0% | ||||
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (h) | 1,340,000 | 1,266,300 | ||
Schaeffler Finance BV 4.75% 5/15/21 (h) | 1,540,000 | 1,514,020 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 | 1,645,000 | 1,677,900 | ||
| 4,458,220 | |||
Marine - 0.1% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (h) | 4,350,000 | 4,154,250 | ||
Navios Maritime Holdings, Inc.: | ||||
7.375% 1/15/22 (h) | 8,910,000 | 7,395,300 | ||
8.125% 2/15/19 | 2,885,000 | 2,293,575 | ||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (h) | 885,000 | 816,413 | ||
| 14,659,538 | |||
Professional Services - 0.0% | ||||
IHS, Inc. 5% 11/1/22 | 2,895,000 | 2,927,569 | ||
Road & Rail - 0.1% | ||||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,004,464 | |
Firstgroup PLC 5.25% 11/29/22 | GBP | 1,000,000 | 1,646,759 | |
JSC Georgian Railway 7.75% 7/11/22 (h) | 650,000 | 670,313 | ||
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (h) | 570,000 | 571,140 | ||
OPE KAG Finance Sub, Inc. 7.875% 7/31/23 (h) | 5,045,000 | 5,145,900 | ||
| 12,038,576 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.5% | ||||
Air Lease Corp.: | ||||
2.125% 1/15/18 | $ 7,271,000 | $ 7,198,290 | ||
2.625% 9/4/18 | 16,438,000 | 16,396,116 | ||
3.75% 2/1/22 | 16,396,000 | 16,384,998 | ||
3.875% 4/1/21 | 14,814,000 | 14,962,140 | ||
4.25% 9/15/24 | 12,030,000 | 11,894,663 | ||
4.75% 3/1/20 | 11,796,000 | 12,489,369 | ||
Aircastle Ltd.: | ||||
5.125% 3/15/21 | 1,575,000 | 1,610,438 | ||
6.25% 12/1/19 | 830,000 | 900,550 | ||
Building Materials Holding Corp. 9% 9/15/18 (h) | 2,690,000 | 2,861,488 | ||
FLY Leasing Ltd.: | ||||
6.375% 10/15/21 | 5,600,000 | 5,726,000 | ||
6.75% 12/15/20 | 2,795,000 | 2,878,850 | ||
International Lease Finance Corp. 4.625% 4/15/21 | 955,000 | 971,713 | ||
Travis Perkins PLC 4.375% 9/15/21 (Reg. S) | GBP | 1,000,000 | 1,548,751 | |
United Rentals North America, Inc. 5.5% 7/15/25 | 1,045,000 | 1,008,425 | ||
| 96,831,791 | |||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA: | ||||
10.75% 12/1/20 (h) | 1,566,180 | 1,650,362 | ||
10.75% 12/1/20 (Reg. S) | 87,780 | 92,498 | ||
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 2,400,000 | 4,134,168 | |
| 5,877,028 | |||
TOTAL INDUSTRIALS | 306,220,398 | |||
INFORMATION TECHNOLOGY - 0.7% | ||||
Communications Equipment - 0.2% | ||||
Alcatel-Lucent U.S.A., Inc.: | ||||
6.75% 11/15/20 (h) | 5,575,000 | 5,951,313 | ||
8.875% 1/1/20 (h) | 1,970,000 | 2,138,681 | ||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (h) | 2,070,000 | 2,070,000 | ||
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 1,430,000 | 1,365,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 15,450,000 | $ 16,154,829 | ||
6.5% 1/15/28 | 4,782,000 | 4,973,280 | ||
| 32,653,753 | |||
Electronic Equipment & Components - 0.0% | ||||
Amphenol Corp. 3.125% 9/15/21 | 4,703,000 | 4,658,213 | ||
Tyco Electronics Group SA: | ||||
2.375% 12/17/18 | 2,244,000 | 2,255,072 | ||
6.55% 10/1/17 | 1,383,000 | 1,517,607 | ||
| 8,430,892 | |||
IT Services - 0.1% | ||||
Audatex North America, Inc.: | ||||
6% 6/15/21 (h) | 3,200,000 | 3,124,672 | ||
6.125% 11/1/23 (h) | 2,290,000 | 2,269,711 | ||
Capgemini SA 2.5% 7/1/23 (Reg. S) | EUR | 3,700,000 | 4,264,153 | |
Global Cash Access, Inc. 10% 1/15/22 (h) | 5,220,000 | 4,932,900 | ||
| 14,591,436 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Infineon Technologies AG 1.5% 3/10/22 (Reg. S) | EUR | 4,400,000 | 4,819,623 | |
Micron Technology, Inc.: | ||||
5.25% 8/1/23 (h) | 5,285,000 | 4,928,263 | ||
5.25% 1/15/24 (h) | 5,165,000 | 4,790,538 | ||
5.625% 1/15/26 (h) | 2,165,000 | 1,964,738 | ||
5.875% 2/15/22 | 2,310,000 | 2,275,350 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (h) | 600,000 | 603,000 | ||
| 19,381,512 | |||
Software - 0.1% | ||||
Blue Coat Systems, Inc. 8.375% 6/1/23 (h) | 6,820,000 | 6,833,640 | ||
Italics Merger Sub, Inc. 7.125% 7/15/23 (h) | 2,715,000 | 2,626,192 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (h) | 3,315,000 | 3,321,232 | ||
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (h) | 1,175,000 | 1,211,660 | ||
| 13,992,724 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||
Apple, Inc.: | ||||
3.2% 5/13/25 | $ 20,000,000 | $ 19,879,440 | ||
4.375% 5/13/45 | 20,000,000 | 19,768,580 | ||
| 39,648,020 | |||
TOTAL INFORMATION TECHNOLOGY | 128,698,337 | |||
MATERIALS - 1.4% | ||||
Chemicals - 0.2% | ||||
Braskem Finance Ltd.: | ||||
5.375% 5/2/22 (h) | 735,000 | 643,125 | ||
5.75% 4/15/21 (h) | 430,000 | 389,150 | ||
6.45% 2/3/24 | 455,000 | 412,867 | ||
Evolution Escrow Issuer LLC 7.5% 3/15/22 (h) | 4,150,000 | 3,340,750 | ||
LSB Industries, Inc. 7.75% 8/1/19 | 1,055,000 | 1,062,913 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (h) | 3,175,000 | 3,182,938 | ||
OCP SA 5.625% 4/25/24 (h) | 390,000 | 399,828 | ||
Platform Specialty Products Corp. 6.5% 2/1/22 (h) | 2,210,000 | 2,140,009 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (h) | 1,755,000 | 1,640,925 | ||
8.25% 1/15/21 (h) | 865,000 | 817,425 | ||
The Chemours Company LLC 6.625% 5/15/23 (h) | 4,065,000 | 3,536,550 | ||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 10,888,000 | 11,337,794 | ||
4.25% 11/15/20 | 5,898,000 | 6,249,975 | ||
| 35,154,249 | |||
Construction Materials - 0.1% | ||||
CEMEX Finance LLC: | ||||
6% 4/1/24 (h) | 1,670,000 | 1,586,500 | ||
9.375% 10/12/22 (h) | 710,000 | 793,425 | ||
CEMEX S.A.B. de CV: | ||||
6.125% 5/5/25 (h) | 5,695,000 | 5,438,725 | ||
6.5% 12/10/19 (h) | 4,195,000 | 4,257,925 | ||
Union Andina de Cementos SAA 5.875% 10/30/21 (h) | 635,000 | 631,635 | ||
| 12,708,210 | |||
Containers & Packaging - 0.2% | ||||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (h)(n) | 14,962,327 | 15,512,816 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
3.2859% 12/15/19 (h)(n) | $ 7,335,000 | $ 7,188,300 | ||
7% 11/15/20 (h) | 2,655,000 | 2,681,550 | ||
Ball Corp. 5.25% 7/1/25 | 4,920,000 | 4,895,400 | ||
Beverage Packaging Holdings II SA (Luxembourg) 6% 6/15/17 (h) | 2,190,000 | 2,179,050 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h) | 1,355,000 | 1,178,850 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 | 2,345,000 | 2,295,169 | ||
Owens-Brockway Glass Container, Inc.: | ||||
5.875% 8/15/23 (h) | 2,290,000 | 2,330,075 | ||
6.375% 8/15/25 (h) | 2,290,000 | 2,341,525 | ||
Sappi Papier Holding GmbH 6.625% 4/15/21 (h) | 6,885,000 | 7,057,125 | ||
| 47,659,860 | |||
Metals & Mining - 0.9% | ||||
Alcoa, Inc. 5.125% 10/1/24 | 9,954,000 | 9,754,920 | ||
Alrosa Finance SA 7.75% 11/3/20 (h) | 700,000 | 722,645 | ||
Anglo American Capital PLC: | ||||
3.625% 5/14/20 (h) | 29,122,000 | 27,689,052 | ||
4.875% 5/14/25 (h) | 29,080,000 | 26,226,525 | ||
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 | 230,000 | 196,650 | ||
Compania Minera Ares SAC 7.75% 1/23/21 (h) | 860,000 | 826,460 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (h) | 11,456,000 | 11,527,715 | ||
4.875% 11/4/44 (h) | 5,532,000 | 4,903,244 | ||
CSN Resources SA 6.5% 7/21/20 (h) | 500,000 | 307,500 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (h) | 2,030,000 | 1,768,638 | ||
9.5% 4/24/18 (Reg. S) | 3,100,000 | 3,162,000 | ||
Ferrexpo Finance PLC 10.375% 4/7/19 (h) | 2,347,000 | 1,936,275 | ||
First Quantum Minerals Ltd.: | ||||
6.75% 2/15/20 (h) | 8,075,000 | 5,773,625 | ||
7.25% 5/15/22 (h) | 3,745,000 | 2,612,138 | ||
Freeport-McMoRan, Inc. 2.3% 11/14/17 | 9,771,000 | 9,087,030 | ||
Gerdau Trade, Inc. 5.75% 1/30/21 (h) | 460,000 | 429,640 | ||
Gold Fields Orogen Holding BVI Ltd.: | ||||
4.875% 10/7/20 (h) | 2,530,000 | 2,150,500 | ||
4.875% 10/7/20 (Reg. S) | 200,000 | 170,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
GTL Trade Finance, Inc. 5.893% 4/29/24 (h) | $ 1,025,000 | $ 893,493 | ||
JMC Steel Group, Inc. 8.25% 3/15/18 (h) | 2,460,000 | 1,949,550 | ||
Lundin Mining Corp.: | ||||
7.5% 11/1/20 (h) | 4,430,000 | 4,374,625 | ||
7.875% 11/1/22 (h) | 6,840,000 | 6,737,400 | ||
Metalloinvest Finance Ltd. 5.625% 4/17/20 (h) | 1,440,000 | 1,314,101 | ||
Metinvest BV: | ||||
8.75% 2/14/18 (Reg. S) | 400,000 | 224,000 | ||
10.5% 11/28/17 (h) | 3,575,000 | 2,073,500 | ||
Murray Energy Corp. 11.25% 4/15/21 (h) | 9,760,000 | 4,514,000 | ||
New Gold, Inc. 6.25% 11/15/22 (h) | 4,830,000 | 4,081,350 | ||
Nord Gold NV 6.375% 5/7/18 (h) | 1,660,000 | 1,630,950 | ||
Polyus Gold International Ltd.: | ||||
5.625% 4/29/20 (h) | 3,110,000 | 2,938,950 | ||
5.625% 4/29/20 (Reg. S) | 200,000 | 189,000 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 12,175,000 | 12,086,804 | ||
Samarco Mineracao SA 5.75% 10/24/23 (h) | 655,000 | 613,080 | ||
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (h) | 1,600,000 | 1,544,000 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 530,000 | 508,784 | ||
7.5% 7/27/35 | 910,000 | 942,178 | ||
Steel Dynamics, Inc.: | ||||
5.125% 10/1/21 | 4,850,000 | 4,755,425 | ||
5.5% 10/1/24 | 4,070,000 | 3,952,988 | ||
6.125% 8/15/19 | 2,683,000 | 2,780,259 | ||
Urenco Finance NV 2.25% 8/5/22 (Reg. S) | EUR | 1,650,000 | 1,839,227 | |
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 12,000,000 | 11,127,600 | ||
6.25% 1/11/16 | 5,000,000 | 5,070,000 | ||
6.25% 1/23/17 | 5,581,000 | 5,796,817 | ||
6.875% 11/21/36 | 640,000 | 544,640 | ||
Vedanta Resources PLC 6% 1/31/19 (h) | 1,090,000 | 945,575 | ||
| 192,672,853 | |||
Paper & Forest Products - 0.0% | ||||
Sino-Forest Corp. 6.25% 10/21/17 (d)(h) | 1,365,000 | 0 | ||
TOTAL MATERIALS | 288,195,172 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 2.2% | ||||
Altice Financing SA: | ||||
6.5% 1/15/22 (h) | $ 1,865,000 | $ 1,869,663 | ||
6.625% 2/15/23 (h) | 2,780,000 | 2,766,100 | ||
7.875% 12/15/19 (h) | 272,000 | 284,240 | ||
Altice Finco SA: | ||||
7.625% 2/15/25 (h) | 2,720,000 | 2,665,600 | ||
8.125% 1/15/24 (h) | 1,000,000 | 1,010,000 | ||
9.875% 12/15/20 (h) | 6,135,000 | 6,733,163 | ||
AT&T, Inc.: | ||||
2.45% 6/30/20 | 11,294,000 | 11,187,407 | ||
3% 6/30/22 | 29,259,000 | 28,079,570 | ||
3.4% 5/15/25 | 39,520,000 | 37,617,626 | ||
4.75% 5/15/46 | 31,335,000 | 28,570,344 | ||
4.8% 6/15/44 | 15,000,000 | 13,777,905 | ||
6.3% 1/15/38 | 16,665,000 | 18,177,365 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 48,413 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 972,000 | 996,300 | ||
6% 4/1/17 | 2,432,000 | 2,535,360 | ||
6.15% 9/15/19 | 6,992,000 | 7,324,120 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 8,346,000 | 8,625,174 | ||
7.995% 6/1/36 | 4,717,000 | 4,988,228 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (h) | 2,775,000 | 2,913,750 | ||
GCI, Inc. 6.875% 4/15/25 | 5,080,000 | 5,219,700 | ||
Intelsat Luxembourg SA 7.75% 6/1/21 | 2,700,000 | 2,022,975 | ||
Level 3 Financing, Inc.: | ||||
5.125% 5/1/23 (h) | 3,245,000 | 3,163,875 | ||
5.375% 8/15/22 | 6,925,000 | 6,949,515 | ||
5.375% 5/1/25 (h) | 1,080,000 | 1,043,550 | ||
Qtel International Finance Ltd. 5% 10/19/25 (h) | 645,000 | 696,781 | ||
Sable International Finance Ltd. 6.875% 8/1/22 (h) | 1,340,000 | 1,353,400 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 23,495,000 | 20,205,700 | ||
8.75% 3/15/32 | 3,305,000 | 3,127,356 | ||
TDC A/S 3.5% 2/26/3015 (Reg. S) (n) | EUR | 1,550,000 | 1,669,585 | |
Telecom Italia Capital SA 6% 9/30/34 | 1,350,000 | 1,323,000 | ||
Telecom Italia SpA 5.303% 5/30/24 (h) | 1,350,000 | 1,360,125 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h) | 590,000 | 594,425 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon Communications, Inc.: | ||||
1.35% 6/9/17 | $ 20,956,000 | $ 20,887,600 | ||
2.625% 2/21/20 | 21,379,000 | 21,388,107 | ||
4.5% 9/15/20 | 36,000,000 | 38,720,880 | ||
5.012% 8/21/54 | 55,038,000 | 50,205,113 | ||
6.25% 4/1/37 | 2,348,000 | 2,631,364 | ||
6.4% 9/15/33 | 10,915,000 | 12,445,709 | ||
6.55% 9/15/43 | 54,849,000 | 64,763,725 | ||
Wind Acquisition Finance SA: | ||||
4.75% 7/15/20 (h) | 3,205,000 | 3,229,038 | ||
7.375% 4/23/21 (h) | 10,860,000 | 11,104,350 | ||
| 454,276,201 | |||
Wireless Telecommunication Services - 0.6% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | 15,982,000 | 16,149,811 | ||
3.125% 7/16/22 | 9,218,000 | 9,036,498 | ||
Comcel Trust 6.875% 2/6/24 (h) | 560,000 | 575,400 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (h) | 9,220,000 | 8,443,768 | ||
6.75% 3/1/23 (h) | 2,795,000 | 2,564,413 | ||
7% 2/15/20 (h) | 425,000 | 422,875 | ||
7.125% 4/1/22 (h) | 1,885,000 | 1,642,306 | ||
8.25% 9/30/20 (h) | 9,040,000 | 8,362,000 | ||
Everything Everywhere Finance PLC 4.375% 3/28/19 | GBP | 850,000 | 1,384,160 | |
Intelsat Jackson Holdings SA: | ||||
5.5% 8/1/23 | 1,490,000 | 1,311,200 | ||
7.25% 10/15/20 | 1,810,000 | 1,739,863 | ||
Millicom International Cellular SA: | ||||
4.75% 5/22/20 (h) | 650,000 | 622,375 | ||
6% 3/15/25 (h) | 6,675,000 | 6,307,875 | ||
6.625% 10/15/21 (h) | 1,450,000 | 1,443,475 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (h) | 2,680,000 | 2,832,674 | ||
SoftBank Corp. 5.375% 7/30/22 (Reg. S) | 4,200,000 | 4,215,750 | ||
Sprint Communications, Inc. 9% 11/15/18 (h) | 3,890,000 | 4,332,488 | ||
Sprint Corp.: | ||||
7.625% 2/15/25 | 5,395,000 | 5,034,209 | ||
7.875% 9/15/23 | 9,220,000 | 8,862,725 | ||
T-Mobile U.S.A., Inc.: | ||||
6% 3/1/23 | 4,060,000 | 4,139,129 | ||
6.375% 3/1/25 | 9,470,000 | 9,678,340 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
T-Mobile U.S.A., Inc.: - continued | ||||
6.464% 4/28/19 | $ 1,520,000 | $ 1,563,700 | ||
6.5% 1/15/24 | 3,045,000 | 3,128,738 | ||
6.625% 4/1/23 | 4,145,000 | 4,323,235 | ||
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 480,000 | 472,800 | ||
Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) | 650,000 | 689,619 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,260,000 | 4,223,603 | ||
| 113,503,029 | |||
TOTAL TELECOMMUNICATION SERVICES | 567,779,230 | |||
UTILITIES - 3.1% | ||||
Electric Utilities - 1.7% | ||||
AmerenUE 6.4% 6/15/17 | 2,491,000 | 2,707,894 | ||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 5,213,000 | 5,196,167 | ||
2.95% 12/15/22 | 4,935,000 | 4,766,134 | ||
American Transmission Systems, Inc. 5% 9/1/44 (h) | 2,638,000 | 2,696,015 | ||
Ceske Energeticke Zavody A/S 4.25% 4/3/22 (Reg. S) | 5,000,000 | 5,257,690 | ||
CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23 | 3,000,000 | 2,900,562 | ||
Dayton Power & Light Co. 1.875% 9/15/16 | 3,740,000 | 3,746,145 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (h) | 29,344,000 | 33,330,529 | ||
6.4% 9/15/20 (h) | 25,897,000 | 29,651,314 | ||
Edison International 3.75% 9/15/17 | 6,674,000 | 6,951,291 | ||
Eversource Energy: | ||||
1.45% 5/1/18 | 3,325,000 | 3,281,659 | ||
2.8% 5/1/23 | 15,104,000 | 14,481,036 | ||
Exelon Corp.: | ||||
1.55% 6/9/17 | 3,319,000 | 3,310,802 | ||
2.85% 6/15/20 | 4,888,000 | 4,877,168 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 36,397,000 | 36,513,616 | ||
4.25% 3/15/23 | 31,243,000 | 31,304,080 | ||
7.375% 11/15/31 | 24,589,000 | 29,595,320 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 21,966,892 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
IPALCO Enterprises, Inc. 3.45% 7/15/20 (h) | $ 27,495,000 | $ 27,013,838 | ||
Lamar Funding Ltd. 3.958% 5/7/25 (h) | 565,000 | 528,981 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 7,369,000 | 7,388,226 | ||
3.75% 11/15/20 | 1,450,000 | 1,519,207 | ||
Monongahela Power Co. 4.1% 4/15/24 (h) | 3,982,000 | 4,081,522 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 883,546 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 9,494,717 | 10,467,926 | ||
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 4,054,467 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 828,168 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 7,047,000 | 7,056,189 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,074,868 | ||
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 12,849,721 | ||
RJS Power Holdings LLC 5.125% 7/15/19 (h) | 8,575,000 | 8,103,375 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,600,240 | ||
5.15% 3/15/20 | 3,761,000 | 4,107,110 | ||
| 341,091,698 | |||
Gas Utilities - 0.0% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 965,000 | 984,532 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 466,407 | ||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,729,213 | ||
| 5,180,152 | |||
Independent Power and Renewable Electricity Producers - 0.5% | ||||
Calpine Corp.: | ||||
5.375% 1/15/23 | 4,730,000 | 4,563,031 | ||
5.75% 1/15/25 | 910,000 | 881,563 | ||
Dolphin Subsidiary II, Inc.: | ||||
6.5% 10/15/16 | 19,000,000 | 19,475,000 | ||
7.25% 10/15/21 | 21,425,000 | 22,094,531 | ||
Dynegy, Inc.: | ||||
6.75% 11/1/19 | 6,850,000 | 7,102,594 | ||
7.375% 11/1/22 | 8,135,000 | 8,419,725 | ||
7.625% 11/1/24 | 14,025,000 | 14,597,220 | ||
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 650,000 | 666,250 | ||
NRG Energy, Inc.: | ||||
6.25% 7/15/22 | 8,395,000 | 8,185,125 | ||
6.25% 5/1/24 | 8,475,000 | 8,051,250 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - continued | ||||
PPL Energy Supply LLC 6.5% 6/1/25 (h) | $ 1,180,000 | $ 1,094,450 | ||
TerraForm Power Operating LLC: | ||||
5.875% 2/1/23 (h) | 1,595,000 | 1,515,250 | ||
6.125% 6/15/25 (h) | 500,000 | 471,250 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 3,775,000 | 3,510,750 | ||
7.375% 7/1/21 | 1,515,000 | 1,632,413 | ||
| 102,260,402 | |||
Multi-Utilities - 0.9% | ||||
Dominion Resources, Inc.: | ||||
2.5818% 9/30/66 (n) | 35,229,000 | 30,674,771 | ||
7.5% 6/30/66 (n) | 10,345,000 | 9,219,981 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 | 15,809,000 | 15,719,221 | ||
2% 11/15/18 | 12,172,000 | 12,142,860 | ||
NiSource Finance Corp.: | ||||
5.25% 2/15/43 | 12,739,000 | 13,572,589 | ||
5.45% 9/15/20 | 11,473,000 | 12,834,845 | ||
5.8% 2/1/42 | 6,336,000 | 7,204,114 | ||
5.95% 6/15/41 | 11,832,000 | 13,708,271 | ||
6.4% 3/15/18 | 1,228,000 | 1,364,078 | ||
6.8% 1/15/19 | 6,774,000 | 7,729,059 | ||
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,688,160 | ||
Puget Energy, Inc.: | ||||
6% 9/1/21 | 15,565,000 | 17,789,705 | ||
6.5% 12/15/20 | 5,125,000 | 6,015,069 | ||
RWE AG 7% 10/12/72 (Reg. S) (n) | 2,700,000 | 2,808,000 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 14,116,000 | 14,290,798 | ||
2.875% 10/1/22 | 5,760,000 | 5,520,286 | ||
SP PowerAssets Ltd. 2.7% 9/14/22 (Reg. S) | 3,000,000 | 2,926,464 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (n) | 3,860,000 | 3,343,725 | ||
| 178,551,996 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Water Utilities - 0.0% | ||||
Yorkshire Water Services Finance Ltd. 6% 4/24/25 (n) | GBP | 3,500,000 | $ 5,681,512 | |
TOTAL UTILITIES | 632,765,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $9,021,912,936) |
| |||
U.S. Government and Government Agency Obligations - 19.0% | ||||
| ||||
U.S. Treasury Inflation-Protected Obligations - 2.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 202,680,000 | 182,320,864 | ||
1.375% 2/15/44 | 135,651,571 | 142,485,411 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.125% 7/15/24 | 166,092,620 | 159,512,508 | ||
0.25% 1/15/25 | 75,564,750 | 72,857,924 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 557,176,707 | |||
U.S. Treasury Obligations - 16.2% | ||||
U.S. Treasury Bonds: | ||||
2.5% 2/15/45 | 200,000 | 181,130 | ||
2.875% 8/15/45 | 101,360,000 | 99,736,618 | ||
3% 5/15/45 | 650,487,000 | 655,094,399 | ||
4.375% 2/15/38 | 430,000 | 543,726 | ||
U.S. Treasury Notes: | ||||
0.5% 1/31/17 (k) | 5,510,000 | 5,503,614 | ||
0.5% 2/28/17 | 1,450,000 | 1,447,677 | ||
1.125% 6/15/18 | 836,229,000 | 838,265,138 | ||
1.25% 10/31/18 | 616,376,000 | 618,214,033 | ||
1.375% 7/31/18 | 50,772,000 | 51,210,315 | ||
1.375% 4/30/20 | 18,176,000 | 18,062,873 | ||
1.625% 6/30/20 | 48,699,000 | 48,890,484 | ||
1.625% 7/31/20 | 5,593,000 | 5,611,641 | ||
2% 2/15/25 | 1,140,000 | 1,118,744 | ||
2% 8/15/25 (g) | 115,730,000 | 113,517,821 | ||
2.125% 5/15/25 | 704,209,000 | 697,900,696 | ||
2.25% 11/15/24 | 50,000,000 | 50,199,200 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.375% 8/15/24 | $ 76,723,000 | $ 77,941,745 | ||
2.5% 5/15/24 | 3,700,000 | 3,802,231 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,287,242,085 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,870,084,540) |
| |||
U.S. Government Agency - Mortgage Securities - 14.0% | ||||
| ||||
Fannie Mae - 8.1% | ||||
1.75% 10/1/34 (n) | 4,028 | 4,199 | ||
1.85% 10/1/33 (n) | 3,169 | 3,297 | ||
1.88% 1/1/35 (n) | 3,093 | 3,223 | ||
1.88% 1/1/35 (n) | 309,395 | 324,512 | ||
1.885% 2/1/33 (n) | 1,792 | 1,865 | ||
1.91% 12/1/34 (n) | 57,465 | 59,952 | ||
1.91% 3/1/35 (n) | 27,587 | 28,790 | ||
1.931% 10/1/33 (n) | 19,545 | 20,396 | ||
1.94% 7/1/35 (n) | 20,411 | 21,481 | ||
2.05% 3/1/35 (n) | 5,168 | 5,346 | ||
2.06% 1/1/35 (n) | 215,423 | 228,417 | ||
2.07% 4/1/37 (n) | 97,606 | 102,683 | ||
2.09% 10/1/33 (n) | 489,320 | 519,030 | ||
2.115% 12/1/34 (n) | 12,487 | 13,147 | ||
2.141% 9/1/36 (n) | 79,534 | 85,139 | ||
2.143% 9/1/36 (n) | 102,393 | 109,609 | ||
2.19% 3/1/37 (n) | 25,716 | 27,259 | ||
2.194% 7/1/34 (n) | 35,633 | 37,737 | ||
2.243% 3/1/33 (n) | 101,377 | 106,975 | ||
2.251% 5/1/35 (n) | 258,113 | 274,011 | ||
2.273% 3/1/40 (n) | 471,571 | 503,592 | ||
2.278% 6/1/47 (n) | 144,202 | 154,364 | ||
2.302% 6/1/36 (n) | 168,324 | 179,765 | ||
2.31% 12/1/39 (n) | 238,411 | 255,212 | ||
2.317% 5/1/36 (n) | 180,101 | 190,491 | ||
2.334% 7/1/35 (n) | 119,463 | 126,919 | ||
2.335% 9/1/35 (n) | 129,423 | 138,543 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
2.36% 11/1/36 (n) | $ 105,469 | $ 112,259 | ||
2.375% 2/1/36 (n) | 412,275 | 439,592 | ||
2.421% 10/1/33 (n) | 106,225 | 113,711 | ||
2.444% 6/1/36 (n) | 374,752 | 400,869 | ||
2.445% 12/1/35 (n) | 303,914 | 325,330 | ||
2.458% 3/1/35 (n) | 73,733 | 78,929 | ||
2.5% 5/1/27 to 8/1/43 | 61,129,557 | 61,465,205 | ||
2.53% 9/1/37 (n) | 31,520 | 33,741 | ||
2.544% 5/1/36 (n) | 190,203 | 203,028 | ||
2.546% 7/1/37 (n) | 179,300 | 191,928 | ||
2.557% 6/1/42 (n) | 338,990 | 350,421 | ||
2.615% 7/1/34 (n) | 238,719 | 255,541 | ||
2.69% 2/1/42 (n) | 1,940,959 | 2,007,691 | ||
2.758% 1/1/42 (n) | 2,380,632 | 2,474,945 | ||
2.96% 11/1/40 (n) | 203,472 | 213,177 | ||
2.982% 9/1/41 (n) | 208,873 | 217,652 | ||
3% 8/1/41 (n) | 1,196,246 | 1,242,725 | ||
3% 4/1/42 to 8/1/45 | 137,188,791 | 138,400,337 | ||
3% 9/1/45 (j) | 11,000,000 | 11,047,266 | ||
3% 9/1/45 (j) | 15,750,000 | 15,817,676 | ||
3% 9/1/45 (j) | 700,000 | 703,008 | ||
3% 9/1/45 (j) | 12,950,000 | 13,005,645 | ||
3% 10/1/45 (j) | 11,000,000 | 11,020,195 | ||
3% 10/1/45 (j) | 19,500,000 | 19,535,800 | ||
3.059% 10/1/41 (n) | 90,567 | 94,222 | ||
3.239% 7/1/41 (n) | 345,772 | 365,763 | ||
3.309% 10/1/41 (n) | 197,256 | 207,389 | ||
3.346% 9/1/41 (n) | 330,440 | 347,356 | ||
3.461% 12/1/40 (n) | 16,327,608 | 17,313,509 | ||
3.5% 5/1/21 to 8/1/45 | 195,532,121 | 203,539,049 | ||
3.5% 9/1/45 (j) | 21,300,000 | 22,072,123 | ||
3.5% 9/1/45 (j) | 62,400,000 | 64,661,994 | ||
3.5% 9/1/45 (j) | 54,400,000 | 56,371,995 | ||
3.5% 9/1/45 (j) | 118,400,000 | 122,691,988 | ||
3.554% 7/1/41 (n) | 393,834 | 416,390 | ||
4% 9/1/24 to 8/1/45 | 245,067,075 | 261,785,930 | ||
4% 9/1/45 (j) | 33,200,000 | 35,259,436 | ||
4% 9/1/45 (j) | 29,800,000 | 31,648,530 | ||
4% 9/1/45 (j) | 700,000 | 743,422 | ||
4.5% 2/1/33 to 4/1/45 | 239,339,417 | 260,852,450 | ||
4.5% 9/1/45 (j) | 104,900,000 | 113,636,198 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
4.5% 9/1/45 (j) | $ 66,500,000 | $ 72,038,200 | ||
5% 3/1/18 to 1/1/40 | 12,863,130 | 14,311,086 | ||
5.204% 7/1/37 (n) | 38,769 | 41,410 | ||
5.5% 12/1/17 to 3/1/41 | 41,331,160 | 46,286,955 | ||
5.565% 8/1/46 (n) | 35,732 | 37,960 | ||
6% 2/1/17 to 1/1/42 | 19,996,559 | 22,958,828 | ||
6.5% 1/1/16 to 4/1/37 | 8,527,275 | 9,849,648 | ||
7% 12/1/15 to 7/1/37 | 1,737,692 | 2,014,141 | ||
7.5% 6/1/25 to 2/1/32 | 743,846 | 874,496 | ||
8% 12/1/17 to 3/1/37 | 14,369 | 17,374 | ||
8.5% 1/1/17 to 7/1/31 | 5,368 | 6,427 | ||
9.5% 4/1/16 to 9/1/21 | 19,301 | 21,005 | ||
TOTAL FANNIE MAE | 1,643,647,899 | |||
Freddie Mac - 2.8% | ||||
1.5% 8/1/37 (n) | 36,329 | 37,466 | ||
1.82% 3/1/35 (n) | 109,500 | 113,785 | ||
1.825% 3/1/37 (n) | 17,605 | 18,412 | ||
1.852% 1/1/36 (n) | 94,641 | 99,746 | ||
1.914% 3/1/36 (n) | 192,332 | 201,498 | ||
1.981% 12/1/35 (n) | 268,185 | 282,848 | ||
2.022% 2/1/37 (n) | 183,077 | 192,081 | ||
2.05% 6/1/37 (n) | 30,132 | 31,675 | ||
2.055% 11/1/35 (n) | 203,364 | 214,431 | ||
2.095% 8/1/37 (n) | 77,851 | 82,228 | ||
2.105% 3/1/36 (n) | 222,387 | 234,156 | ||
2.121% 5/1/37 (n) | 75,262 | 80,330 | ||
2.274% 6/1/33 (n) | 249,066 | 263,084 | ||
2.328% 10/1/36 (n) | 351,588 | 372,184 | ||
2.333% 4/1/37 (n) | 93,267 | 99,840 | ||
2.351% 10/1/35 (n) | 135,925 | 143,969 | ||
2.385% 6/1/37 (n) | 25,390 | 27,023 | ||
2.394% 10/1/42 (n) | 3,383,968 | 3,567,757 | ||
2.415% 6/1/37 (n) | 258,833 | 276,770 | ||
2.436% 5/1/37 (n) | 70,764 | 75,744 | ||
2.448% 6/1/37 (n) | 57,600 | 61,659 | ||
2.489% 4/1/36 (n) | 186,736 | 199,418 | ||
2.526% 6/1/33 (n) | 757,843 | 808,047 | ||
2.571% 3/1/35 (n) | 1,151,839 | 1,233,007 | ||
2.595% 4/1/37 (n) | 8,560 | 9,163 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac - continued | ||||
2.67% 6/1/36 (n) | $ 68,904 | $ 73,701 | ||
2.722% 3/1/33 (n) | 6,318 | 6,764 | ||
2.757% 7/1/36 (n) | 86,515 | 92,612 | ||
2.757% 12/1/36 (n) | 318,536 | 340,983 | ||
3% 8/1/42 to 8/1/45 | 47,690,227 | 48,108,823 | ||
3% 9/1/45 (j) | 86,000,000 | 86,120,933 | ||
3.091% 9/1/41 (n) | 2,030,935 | 2,113,642 | ||
3.155% 10/1/35 (n) | 159,157 | 168,471 | ||
3.22% 9/1/41 (n) | 225,766 | 236,291 | ||
3.235% 4/1/41 (n) | 240,343 | 252,169 | ||
3.289% 6/1/41 (n) | 259,197 | 273,827 | ||
3.292% 7/1/41 (n) | 1,120,711 | 1,177,579 | ||
3.434% 12/1/40 (n) | 7,526,902 | 7,901,094 | ||
3.444% 5/1/41 (n) | 238,099 | 249,527 | ||
3.5% 4/1/42 to 6/1/45 (l) | 167,391,191 | 173,884,580 | ||
3.62% 6/1/41 (n) | 371,011 | 392,910 | ||
3.705% 5/1/41 (n) | 321,478 | 340,673 | ||
4% 6/1/33 to 5/1/45 | 95,880,320 | 102,497,114 | ||
4.5% 6/1/25 to 1/1/45 (m) | 48,439,808 | 52,890,490 | ||
5% 6/1/20 to 7/1/41 | 39,215,875 | 43,514,438 | ||
5.124% 4/1/38 (n) | 290,635 | 310,435 | ||
5.5% 10/1/17 to 3/1/41 | 15,770,507 | 17,584,709 | ||
6% 7/1/16 to 12/1/37 | 3,971,271 | 4,522,658 | ||
6.5% 2/1/16 to 9/1/39 | 5,732,729 | 6,570,082 | ||
7% 6/1/21 to 9/1/36 | 1,644,878 | 1,915,403 | ||
7.5% 9/1/15 to 6/1/32 | 29,492 | 34,633 | ||
8% 7/1/16 to 1/1/37 | 53,610 | 64,732 | ||
8.5% 2/1/19 to 1/1/28 | 48,910 | 58,013 | ||
9% 5/1/17 to 10/1/20 | 166 | 176 | ||
9.5% 5/1/21 to 7/1/21 | 511 | 560 | ||
10% 11/15/18 to 8/1/21 | 203 | 222 | ||
11% 11/1/15 to 9/1/20 | 94 | 99 | ||
TOTAL FREDDIE MAC | 560,424,664 | |||
Ginnie Mae - 3.1% | ||||
3% 6/15/42 to 8/20/45 | 111,771,485 | 113,457,642 | ||
3.5% 11/15/40 to 8/20/45 | 172,237,420 | 179,663,750 | ||
3.5% 9/1/45 (j) | 35,100,000 | 36,547,871 | ||
3.5% 9/1/45 (j) | 37,500,000 | 39,046,871 | ||
4% 5/20/33 to 7/20/45 | 111,877,857 | 119,462,467 | ||
4.5% 6/20/33 to 8/15/41 | 91,213,383 | 99,679,207 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Ginnie Mae - continued | ||||
5% 12/15/32 to 9/15/41 | $ 36,742,724 | $ 41,102,560 | ||
5.5% 4/15/29 to 9/15/39 | 6,140,630 | 6,975,713 | ||
6% 10/15/30 to 11/15/39 | 861,975 | 986,119 | ||
6.5% 3/20/31 to 10/15/38 | 479,858 | 556,448 | ||
7% 10/15/22 to 3/15/33 | 1,547,249 | 1,821,714 | ||
7.5% 1/15/17 to 9/15/31 | 709,891 | 830,024 | ||
8% 4/15/17 to 11/15/29 | 245,587 | 284,939 | ||
8.5% 10/15/21 to 1/15/31 | 41,290 | 49,513 | ||
9% 8/15/19 to 1/15/23 | 2,420 | 2,690 | ||
9.5% 12/15/20 to 2/15/25 | 946 | 1,062 | ||
10.5% 3/20/16 to 1/20/18 | 2,450 | 2,606 | ||
11% 12/20/15 to 9/20/19 | 917 | 1,041 | ||
TOTAL GINNIE MAE | 640,472,237 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,831,006,807) |
| |||
Asset-Backed Securities - 0.8% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.9044% 4/25/35 (n) | 664,344 | 596,925 | ||
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8494% 3/25/34 (n) | 286,904 | 273,372 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.6976% 6/15/32 (h)(n) | 3,444,066 | 1,515,389 | ||
American Homes 4 Rent: | ||||
Series 2014-SFR1 Class E, 2.75% 6/17/31 (h)(n) | 551,000 | 524,938 | ||
Series 2014-SFR2 Class E, 6.231% 10/17/36 (h) | 147,000 | 150,742 | ||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (h) | 428,000 | 445,845 | ||
Series 2015-SFR1 Class E, 5.639% 4/17/52 (h) | 326,438 | 320,064 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2494% 12/25/33 (n) | 48,772 | 45,099 | ||
Series 2004-R2 Class M3, 1.0244% 4/25/34 (n) | 89,819 | 65,990 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9794% 3/25/34 (n) | 47,932 | 44,434 | ||
Series 2004-W11 Class M2, 1.2494% 11/25/34 (n) | 561,149 | 545,162 | ||
Series 2004-W7 Class M1, 1.0244% 5/25/34 (n) | 1,542,998 | 1,484,870 | ||
Series 2006-W4 Class A2C, 0.3594% 5/25/36 (n) | 1,159,665 | 413,860 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0244% 4/25/34 (n) | $ 1,729,008 | $ 1,586,936 | ||
Series 2006-HE2 Class M1, 0.5694% 3/25/36 (n) | 21,261 | 170 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 11,540,000 | 11,553,017 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3394% 12/25/36 (n) | 1,802,588 | 1,188,800 | ||
CFC LLC: | ||||
Series 2013-1A Class B, 2.75% 11/15/18 (h) | 5,916,550 | 5,949,428 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (h) | 1,621,937 | 1,623,064 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4494% 3/25/32 (n) | 3,192 | 2,854 | ||
Series 2004-3 Class M4, 1.6544% 4/25/34 (n) | 69,614 | 62,739 | ||
Series 2004-4 Class M2, 0.9944% 6/25/34 (n) | 104,055 | 94,678 | ||
Series 2004-7 Class AF5, 5.868% 1/25/35 | 3,145,875 | 3,275,973 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 341,219 | 334,014 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9538% 5/28/35 (n) | 38,916 | 36,081 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3744% 8/25/34 (n) | 290,872 | 272,097 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0244% 3/25/34 (n) | 10,384 | 9,839 | ||
Flagship Credit Auto Trust Series 2015-2 Class A, 1.98% 10/15/20 (h) | 20,000,000 | 20,009,920 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.9344% 1/25/35 (n) | 948,695 | 808,921 | ||
Class M4, 1.2194% 1/25/35 (n) | 347,133 | 223,666 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7091% 2/25/47 (h)(n) | 1,273,689 | 1,189,741 | ||
GE Business Loan Trust Series 2006-2A: | ||||
Class A, 0.3776% 11/15/34 (h)(n) | 938,833 | 902,521 | ||
Class B, 0.4776% 11/15/34 (h)(n) | 339,135 | 314,893 | ||
Class C, 0.5776% 11/15/34 (h)(n) | 563,628 | 496,466 | ||
Class D, 0.9476% 11/15/34 (h)(n) | 214,028 | 176,783 | ||
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h) | 153,266 | 4,537 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5194% 8/25/33 (n) | 273,785 | 259,059 | ||
Series 2003-3 Class M1, 1.4894% 8/25/33 (n) | 454,678 | 438,275 | ||
Series 2003-5 Class A2, 0.8905% 12/25/33 (n) | 32,929 | 30,792 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3894% 1/25/37 (n) | 1,522,035 | 1,014,623 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Invitation Homes Trust: | ||||
Series 2013-SFR1 Class F, 3.9% 12/17/30 (h)(n) | $ 590,000 | $ 571,177 | ||
Series 2014-SFR1 Class F, 3.936% 6/17/31 (h)(n) | 557,000 | 538,739 | ||
Series 2014-SFR3 Class E, 4.705% 12/17/31 (h)(n) | 206,000 | 207,598 | ||
Series 2014-SRF2 Class F, 4.188% 9/17/31 (h)(n) | 335,000 | 325,233 | ||
Series 2015-SFR2 Class E, 3.336% 6/17/32 (h)(n) | 485,000 | 468,290 | ||
Series 2015-SFR3 Class E, 3.933% 8/17/32 (h)(n) | 7,658,000 | 7,590,057 | ||
Series 2015-SRF1 Class E, 4.386% 3/17/32 (h)(n) | 624,000 | 621,456 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.4905% 7/25/36 (n) | 181,664 | 75,097 | ||
Series 2007-CH1: | ||||
Class AF3, 5.532% 11/25/36 | 12,426,183 | 12,626,284 | ||
Class AV4, 0.3205% 11/25/36 (n) | 389,062 | 388,255 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.612% 12/27/29 (n) | 139,195 | 138,422 | ||
Series 2006-A Class 2C, 1.432% 3/27/42 (n) | 3,243,000 | 1,604,046 | ||
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3594% 11/25/36 (n) | 4,685,962 | 2,071,624 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6294% 5/25/46 (h)(n) | 250,000 | 241,250 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4994% 5/25/37 (n) | 338,532 | 4,791 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9494% 7/25/34 (n) | 118,699 | 99,508 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1744% 7/25/34 (n) | 341,646 | 312,159 | ||
Series 2006-FF1 Class M2, 0.4894% 8/25/36 (n) | 13,300,000 | 12,600,483 | ||
Series 2006-FM1 Class A2B, 0.3094% 4/25/37 (n) | 245,450 | 243,356 | ||
Series 2006-OPT1 Class A1A, 0.7194% 6/25/35 (n) | 1,672,262 | 1,615,510 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8794% 8/25/34 (n) | 57,368 | 53,552 | ||
Series 2004-NC6 Class M3, 2.3744% 7/25/34 (n) | 16,524 | 14,833 | ||
Series 2004-NC8 Class M6, 2.0744% 9/25/34 (n) | 18,949 | 16,970 | ||
Series 2005-NC1 Class M1, 0.8594% 1/25/35 (n) | 289,373 | 273,254 | ||
Series 2005-NC2 Class B1, 1.9544% 3/25/35 (n) | 225,910 | 4,278 | ||
Nationstar HECM Loan Trust Series 2015-1A Class A, 3.875% 5/25/18 (h) | 7,470,766 | 7,480,104 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7005% 9/25/35 (n) | 1,426,957 | 1,268,640 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 2.0744% 9/25/34 (n) | 532,896 | 504,264 | ||
Class M4, 2.3744% 9/25/34 (n) | 683,353 | 315,806 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1 Class M4, 1.4444% 1/25/36 (n) | $ 1,475,804 | $ 1,300,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1494% 9/25/46 (h)(n) | 250,000 | 63,000 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9994% 4/25/33 (n) | 5,108 | 4,830 | ||
Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20 | 7,985,000 | 8,044,464 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9944% 3/25/35 (n) | 794,671 | 730,890 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2359% 6/15/33 (n) | 685,690 | 664,796 | ||
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (h) | 10,910,794 | 10,948,981 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9244% 9/25/34 (n) | 42,679 | 37,459 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0594% 9/25/34 (n) | 28,819 | 25,690 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8435% 4/6/42 (h)(n) | 2,683,017 | 1,529,320 | ||
Truman Capital Mortgage Loan Trust Series 2014-NPL2 Class A1, 3.125% 6/25/54 (h) | 285,294 | 284,109 | ||
Vericrest Opportunity Loan Trust: | ||||
Series 2014-NP11 Class A1, 3.875% 4/25/55 (h) | 6,280,446 | 6,278,571 | ||
Series 2014-NPL7 Class A1, 3.375% 8/27/57 (h) | 10,529,615 | 10,515,284 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0951% 10/25/44 (h)(n) | 1,789,540 | 1,784,312 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: | ||||
Class A1, 0.6534% 11/21/40 (h)(n) | 186,318 | 181,791 | ||
Class D, 1.1834% 11/21/40 (h)(n) | 305,000 | 245,678 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $143,347,784) |
| |||
Collateralized Mortgage Obligations - 2.9% | ||||
| ||||
Private Sponsor - 0.8% | ||||
Banc of America Funding Corp.: | ||||
sequential payer Series 2010-R4 Class 6A1, 0.3341% 1/26/37 (h)(n) | 22,807 | 22,753 | ||
Series 2015-R3 Class 10A1, 0.3305% 6/27/36 (h)(n) | 19,607,233 | 18,914,493 | ||
BCAP LLC Trust sequential payer: | ||||
Series 2013-RR3 Class 2A1, 2.3758% 2/26/37 (h)(n) | 6,322,728 | 6,296,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
BCAP LLC Trust sequential payer: - continued | ||||
Series 2013-RR4 Class 2A1, 2.7793% 5/26/47 (h)(n) | $ 9,143,721 | $ 9,105,994 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7594% 1/25/35 (n) | 1,091,384 | 1,061,798 | ||
Citigroup Mortgage Loan Trust sequential payer: | ||||
Series 2012-A Class A, 2.5% 6/25/51 (h) | 8,438,307 | 8,299,102 | ||
Series 2014-8 Class 2A1, 3.45% 6/27/37 (h)(n) | 12,485,108 | 12,619,020 | ||
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.1124% 10/26/37 (h)(n) | 786,763 | 770,452 | ||
CSMC: | ||||
floater Series 2015-1R Class 6A1, 0.467% 5/27/37 (h)(n) | 13,041,125 | 12,109,226 | ||
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (h) | 11,998,746 | 11,870,902 | ||
Series 2014-3R Class 2A1, 0.8847% 5/27/37 (h)(n) | 1,977,086 | 1,874,527 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5683% 10/25/34 (n) | 598,303 | 594,326 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K6 Class B, 5.3578% 12/25/46 (h)(n) | 910,000 | 1,004,129 | ||
Series 2010-K7 Class B, 5.4406% 4/25/20 (h)(n) | 1,000,000 | 1,115,921 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.3028% 12/20/54 (n) | 205,017 | 202,147 | ||
Series 2006-1A Class C2, 1.4028% 12/20/54 (h)(n) | 6,523,000 | 6,443,419 | ||
Series 2006-2 Class C1, 1.1428% 12/20/54 (n) | 21,543,000 | 21,014,871 | ||
Series 2006-3 Class C2, 1.2028% 12/20/54 (n) | 1,124,000 | 1,107,252 | ||
Series 2006-4: | ||||
Class C1, 0.9628% 12/20/54 (n) | 2,767,000 | 2,677,747 | ||
Class M1, 0.5428% 12/20/54 (n) | 1,190,000 | 1,160,238 | ||
Series 2007-1: | ||||
Class 1C1, 0.8028% 12/20/54 (n) | 2,234,000 | 2,146,567 | ||
Class 1M1, 0.5028% 12/20/54 (n) | 1,493,000 | 1,440,894 | ||
Class 2C1, 1.0628% 12/20/54 (n) | 1,015,000 | 986,625 | ||
Class 2M1, 0.7028% 12/20/54 (n) | 1,917,000 | 1,878,526 | ||
Series 2007-2 Class 2C1, 1.0576% 12/17/54 (n) | 2,654,000 | 2,579,945 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.737% 1/20/44 (n) | 430,241 | 426,023 | ||
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.0124% 3/25/37 (n) | 890,132 | 866,142 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5847% 8/25/36 (n) | 1,296,420 | 1,096,226 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4094% 5/25/47 (n) | 1,233,231 | 1,139,906 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3694% 2/25/37 (n) | $ 3,448,741 | $ 3,103,867 | ||
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (h) | 106,645 | 109,193 | ||
Oak Hill Advisors Residential Loan Trust Series 2014-NPL2 Class A1, 3.475% 4/25/54 (h) | 8,684,546 | 8,676,874 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4894% 7/25/35 (n) | 1,017,296 | 962,640 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.5385% 6/10/35 (h)(n) | 403,347 | 366,193 | ||
Class B6, 3.0385% 6/10/35 (h)(n) | 89,932 | 82,862 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (n) | 23,167 | 22,738 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5121% 4/25/33 (n) | 199,322 | 196,290 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-BB Class A2, 2.6192% 1/25/35 (n) | 3,152,051 | 3,163,190 | ||
Series 2005-AR10 Class 2A15, 2.6681% 6/25/35 (n) | 15,817,688 | 16,075,405 | ||
Series 2005-AR2 Class 1A2, 2.6165% 3/25/35 (n) | 1,906,824 | 1,763,150 | ||
TOTAL PRIVATE SPONSOR | 165,348,378 | |||
U.S. Government Agency - 2.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2002-18 Class FD, 0.9994% 2/25/32 (n) | 34,321 | 34,884 | ||
Series 2002-39 Class FD, 1.1996% 3/18/32 (n) | 54,829 | 56,047 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (n) | 71,759 | 73,519 | ||
Series 2002-63 Class FN, 1.1994% 10/25/32 (n) | 98,533 | 100,891 | ||
Series 2002-7 Class FC, 0.9494% 1/25/32 (n) | 36,334 | 37,142 | ||
Series 2002-94 Class FB, 0.5994% 1/25/18 (n) | 47,775 | 47,931 | ||
Series 2003-118 Class S, 7.9006% 12/25/33 (n)(o)(q) | 1,141,847 | 265,347 | ||
Series 2006-104 Class GI, 6.4806% 11/25/36 (n)(o)(q) | 838,434 | 165,650 | ||
Series 2006-33 Class CF, 0.4994% 5/25/36 (n) | 704,805 | 706,628 | ||
Series 2007-57 Class FA, 0.4294% 6/25/37 (n) | 898,475 | 898,620 | ||
Series 2008-76 Class EF, 0.6994% 9/25/23 (n) | 461,381 | 463,189 | ||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | 54,633 | 59,987 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
planned amortization class: | ||||
Series 1993-207 Class H, 6.5% 11/25/23 | $ 670,346 | $ 749,254 | ||
Series 1994-23 Class PZ, 6% 2/25/24 | 1,817,625 | 2,006,775 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 218,950 | 244,799 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 575,834 | 632,653 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 497,538 | 547,734 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 322,551 | 355,846 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 39,775 | 44,934 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 26,299 | 27,023 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 395,584 | 432,157 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 65,150 | 66,821 | ||
Series 2005-102 Class CO, 11/25/35 (p) | 324,410 | 294,104 | ||
Series 2005-73 Class SA, 17.0316% 8/25/35 (n)(q) | 127,624 | 165,687 | ||
Series 2005-81 Class PC, 5.5% 9/25/35 | 427,876 | 496,859 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 352,232 | 358,425 | ||
Series 2006-12 Class BO, 10/25/35 (p) | 1,344,951 | 1,261,425 | ||
Series 2006-37 Class OW, 5/25/36 (p) | 155,439 | 137,493 | ||
Series 2006-45 Class OP, 6/25/36 (p) | 414,275 | 367,953 | ||
Series 2006-62 Class KP, 4/25/36 (p) | 594,171 | 529,242 | ||
sequential payer: | ||||
Series 1997-41 Class J, 7.5% 6/18/27 | 115,120 | 135,166 | ||
Series 1999-25 Class Z, 6% 6/25/29 | 438,753 | 495,984 | ||
Series 2001-20 Class Z, 6% 5/25/31 | 576,301 | 634,633 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 304,566 | 350,904 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 159,403 | 185,786 | ||
Series 2002-74 Class SV, 7.3506% 11/25/32 (n)(o) | 718,460 | 130,088 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 799,761 | 891,611 | ||
Series 2010-50 Class FA, 0.5494% 1/25/24 (n) | 12,799 | 12,800 | ||
Series 2012-67 Class AI, 4.5% 7/25/27 (o) | 4,199,468 | 571,464 | ||
Series 06-116 Class SG, 6.4406% 12/25/36 (n)(o)(q) | 561,436 | 109,000 | ||
Series 07-40 Class SE, 6.2406% 5/25/37 (n)(o)(q) | 351,504 | 58,427 | ||
Series 1993-165 Class SH, 19.2358% 9/25/23 (n)(q) | 26,591 | 36,152 | ||
Series 2003-21 Class SK, 7.9006% 3/25/33 (n)(o)(q) | 99,830 | 27,222 | ||
Series 2003-35 Class TQ, 7.3006% 5/25/18 (n)(o)(q) | 47,833 | 3,149 | ||
Series 2005-72 Class ZC, 5.5% 8/25/35 | 3,477,956 | 3,917,817 | ||
Series 2007-57 Class SA, 39.4236% 6/25/37 (n)(q) | 268,961 | 539,070 | ||
Series 2007-66: | ||||
Class FB, 0.5994% 7/25/37 (n) | 1,078,031 | 1,086,635 | ||
Class SA, 38.4036% 7/25/37 (n)(q) | 410,590 | 806,581 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
Series 2007-66: | ||||
Class SB, 38.4036% 7/25/37 (n)(q) | $ 179,672 | $ 344,115 | ||
Series 2008-12 Class SG, 6.1506% 3/25/38 (n)(o)(q) | 2,418,678 | 435,433 | ||
Series 2009-114 Class AI, 5% 12/25/23 (o) | 444,056 | 18,281 | ||
Series 2009-16 Class SA, 6.0506% 3/25/24 (n)(o)(q) | 251,947 | 8,967 | ||
Series 2009-76 Class MI, 5.5% 9/25/24 (o) | 219,368 | 10,697 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (o) | 246,918 | 20,483 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (o) | 371,345 | 30,118 | ||
Series 2010-112 Class SG, 6.1606% 6/25/21 (n)(o)(q) | 330,203 | 24,365 | ||
Series 2010-12 Class AI, 5% 12/25/18 (o) | 923,657 | 49,935 | ||
Series 2010-135 Class LS, 5.8506% 12/25/40 (n)(o)(q) | 2,194,654 | 390,924 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (o) | 2,142,589 | 303,990 | ||
Series 2010-17 Class DI, 4.5% 6/25/21 (o) | 247,906 | 14,535 | ||
Series 2010-23: | ||||
Class AI, 5% 12/25/18 (o) | 390,489 | 19,018 | ||
Class HI, 4.5% 10/25/18 (o) | 271,579 | 13,433 | ||
Series 2010-29 Class LI, 4.5% 6/25/19 (o) | 837,644 | 39,066 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (o) | 792,747 | 57,999 | ||
Series 2011-39 Class ZA, 6% 11/25/32 | 1,474,496 | 1,684,984 | ||
Series 2011-67 Class AI, 4% 7/25/26 (o) | 664,689 | 75,776 | ||
Series 2011-83 Class DI, 6% 9/25/26 (o) | 1,073,476 | 144,530 | ||
Series 2013-N1 Class A, 6.5206% 6/25/35 (n)(o)(q) | 1,726,662 | 377,616 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
Series 339: | ||||
Class 29, 5.5% 8/25/18 (o) | 141,617 | 7,051 | ||
Class 5, 5.5% 7/25/33 (o) | 328,031 | 68,974 | ||
Series 343 Class 16, 5.5% 5/25/34 (o) | 262,596 | 51,101 | ||
Series 348 Class 14, 6.5% 8/25/34 (n)(o) | 187,570 | 41,486 | ||
Series 351: | ||||
Class 12, 5.5% 4/25/34 (n)(o) | 131,347 | 23,327 | ||
Class 13, 6% 3/25/34 (o) | 173,945 | 34,742 | ||
Series 359 Class 19, 6% 7/25/35 (n)(o) | 122,725 | 25,476 | ||
Series 384 Class 6, 5% 7/25/37 (o) | 1,557,588 | 322,907 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2412 Class FK, 0.9976% 1/15/32 (n) | 28,001 | 28,450 | ||
Series 2423 Class FA, 1.0976% 3/15/32 (n) | 38,910 | 39,705 | ||
Series 2424 Class FM, 1.1976% 3/15/32 (n) | 52,218 | 53,488 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 2432: | ||||
Class FE, 1.0976% 6/15/31 (n) | $ 69,662 | $ 71,111 | ||
Class FG, 1.0976% 3/15/32 (n) | 23,206 | 23,673 | ||
floater planned amortization class Series 3153 Class FX, 0.5476% 5/15/36 (n) | 1,455,341 | 1,460,620 | ||
floater target amortization class Series 3366 Class FD, 0.4476% 5/15/37 (n) | 1,654,255 | 1,653,262 | ||
planned amortization class: | ||||
Series 2006-15 Class OP, 3/25/36 (p) | 1,098,432 | 990,254 | ||
Series 2095 Class PE, 6% 11/15/28 | 619,739 | 684,543 | ||
Series 2101 Class PD, 6% 11/15/28 | 56,690 | 62,327 | ||
Series 2121 Class MG, 6% 2/15/29 | 256,041 | 281,945 | ||
Series 2131 Class BG, 6% 3/15/29 | 1,688,868 | 1,864,419 | ||
Series 2137 Class PG, 6% 3/15/29 | 277,365 | 305,626 | ||
Series 2154 Class PT, 6% 5/15/29 | 424,428 | 467,209 | ||
Series 2162 Class PH, 6% 6/15/29 | 107,139 | 117,584 | ||
Series 2425 Class JH, 6% 3/15/17 | 40,767 | 41,988 | ||
Series 2520 Class BE, 6% 11/15/32 | 572,734 | 631,918 | ||
Series 2585 Class KS, 7.4024% 3/15/23 (n)(o)(q) | 40,713 | 6,047 | ||
Series 2693 Class MD, 5.5% 10/15/33 | 6,509,800 | 7,287,373 | ||
Series 2802 Class OB, 6% 5/15/34 | 1,167,945 | 1,311,362 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 1,514,116 | 1,585,135 | ||
Series 2962 Class BE, 4.5% 4/15/20 | 1,516,669 | 1,596,730 | ||
Series 3002 Class NE, 5% 7/15/35 | 1,636,757 | 1,803,192 | ||
Series 3110 Class OP, 9/15/35 (p) | 775,962 | 734,775 | ||
Series 3119 Class PO, 2/15/36 (p) | 1,207,557 | 1,047,822 | ||
Series 3121 Class KO, 3/15/36 (p) | 250,122 | 223,246 | ||
Series 3123 Class LO, 3/15/36 (p) | 726,084 | 646,729 | ||
Series 3145 Class GO, 4/15/36 (p) | 683,632 | 615,187 | ||
Series 3189 Class PD, 6% 7/15/36 | 1,514,483 | 1,739,193 | ||
Series 3225 Class EO, 10/15/36 (p) | 437,334 | 387,304 | ||
Series 3258 Class PM, 5.5% 12/15/36 | 692,229 | 779,257 | ||
Series 3415 Class PC, 5% 12/15/37 | 647,977 | 699,024 | ||
Series 3786 Class HI, 4% 3/15/38 (o) | 1,935,377 | 224,310 | ||
Series 3806 Class UP, 4.5% 2/15/41 | 3,745,520 | 4,053,320 | ||
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,698,128 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 115,333 | 126,950 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 134,310 | 154,678 | ||
Series 2281 Class ZB, 6% 3/15/30 | 332,529 | 364,540 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 144,038 | $ 159,179 | ||
Series 2357 Class ZB, 6.5% 9/15/31 | 992,608 | 1,152,413 | ||
Series 2502 Class ZC, 6% 9/15/32 | 296,840 | 329,068 | ||
Series 2519 Class ZD, 5.5% 11/15/32 | 530,934 | 579,601 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 254,056 | 272,632 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 118,104 | 131,091 | ||
Series 2998 Class LY, 5.5% 7/15/25 | 313,890 | 345,400 | ||
Series 06-3115 Class SM, 6.4024% 2/15/36 (n)(o)(q) | 468,674 | 81,264 | ||
Series 2013-4281 Class AI, 4% 12/15/28 (o) | 7,241,957 | 818,134 | ||
Series 2844: | ||||
Class SC, 45.5156% 8/15/24 (n)(q) | 15,994 | 27,876 | ||
Class SD, 83.8812% 8/15/24 (n)(q) | 23,530 | 56,834 | ||
Series 2935 Class ZK, 5.5% 2/15/35 | 4,664,532 | 5,303,266 | ||
Series 2947 Class XZ, 6% 3/15/35 | 1,705,251 | 1,922,437 | ||
Series 3055 Class CS, 6.3924% 10/15/35 (n)(o) | 663,769 | 131,598 | ||
Series 3244 Class SG, 6.4624% 11/15/36 (n)(o)(q) | 1,573,668 | 301,271 | ||
Series 3274 Class SM, 6.2324% 2/15/37 (n)(o) | 787,325 | 143,656 | ||
Series 3284 Class CI, 5.9224% 3/15/37 (n)(o) | 3,665,485 | 671,754 | ||
Series 3287 Class SD, 6.5524% 3/15/37 (n)(o)(q) | 2,368,438 | 559,372 | ||
Series 3297 Class BI, 6.5624% 4/15/37 (n)(o)(q) | 3,474,601 | 704,247 | ||
Series 3336 Class LI, 6.3824% 6/15/37 (n)(o) | 1,260,743 | 181,668 | ||
Series 3772 Class BI, 4.5% 10/15/18 (o) | 987,233 | 49,352 | ||
Series 3949 Class MK, 4.5% 10/15/34 | 1,162,691 | 1,260,336 | ||
Series 3955 Class YI, 3% 11/15/21 (o) | 4,090,266 | 246,243 | ||
Series 4471 Class PA 4% 12/15/40 | 16,542,139 | 17,482,450 | ||
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 350,826 | 385,183 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 1.0976% 2/15/24 (n) | 143,037 | 145,067 | ||
sequential payer: | ||||
Series 2043 Class ZH, 6% 4/15/28 | 278,747 | 306,998 | ||
Series 2056 Class Z, 6% 5/15/28 | 493,989 | 544,097 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates Series 4386 Class AZ, 4.5% 11/15/40 | 9,175,093 | 10,327,662 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-37 Class TS, 6.4924% 6/16/37 (n)(o)(q) | 666,871 | 116,266 | ||
Series 2010-H03 Class FA, 0.739% 3/20/60 (n)(r) | 7,239,958 | 7,254,778 | ||
Series 2010-H17 Class FA, 0.519% 7/20/60 (n)(r) | 784,120 | 780,609 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2010-H18 Class AF, 0.4882% 9/20/60 (n)(r) | $ 939,927 | $ 934,403 | ||
Series 2010-H19 Class FG, 0.4882% 8/20/60 (n)(r) | 1,124,650 | 1,118,127 | ||
Series 2010-H27 Series FA, 0.5682% 12/20/60 (n)(r) | 1,881,037 | 1,877,644 | ||
Series 2011-H05 Class FA, 0.6882% 12/20/60 (n)(r) | 3,058,776 | 3,062,612 | ||
Series 2011-H07 Class FA, 0.6882% 2/20/61 (n)(r) | 5,744,796 | 5,751,178 | ||
Series 2011-H12 Class FA, 0.6782% 2/20/61 (n)(r) | 7,672,367 | 7,682,249 | ||
Series 2011-H13 Class FA, 0.6882% 4/20/61 (n)(r) | 2,954,143 | 2,957,818 | ||
Series 2011-H14: | ||||
Class FB, 0.6882% 5/20/61 (n)(r) | 3,408,666 | 3,413,605 | ||
Class FC, 0.6882% 5/20/61 (n)(r) | 3,111,103 | 3,115,253 | ||
Series 2011-H17 Class FA, 0.7182% 6/20/61 (n)(r) | 4,100,268 | 4,109,223 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (n)(r) | 7,977,929 | 8,016,814 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (n)(r) | 3,853,340 | 3,876,537 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (n)(r) | 2,412,451 | 2,427,037 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (n)(r) | 3,713,802 | 3,736,656 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (n)(r) | 2,233,512 | 2,250,873 | ||
Series 2012-H23 Class WA, 0.7082% 10/20/62 (n)(r) | 1,972,568 | 1,977,101 | ||
Series 2012-H26, Class CA, 0.7182% 7/20/60 (n)(r) | 8,393,046 | 8,409,572 | ||
Series 2013-H07 Class BA, 0.5482% 3/20/63 (n)(r) | 3,088,896 | 3,064,778 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (n)(r) | 3,557,562 | 3,576,929 | ||
Series 2014-H05 Class FB, 0.7882% 12/20/63 (n)(r) | 8,840,658 | 8,888,132 | ||
Series 2014-H11 Class BA, 0.6882% 6/20/64 (n)(r) | 14,231,600 | 14,289,964 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2014-H20 Class BF, 0.6882% 9/20/64 (n)(r) | $ 45,507,119 | $ 45,432,123 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (n)(r) | 25,469,565 | 25,418,600 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (n)(r) | 23,700,000 | 23,655,563 | ||
planned amortization class: | ||||
Series 1993-13 Class PD, 6% 5/20/29 | 576,554 | 658,056 | ||
Series 1997-8 Class PE, 7.5% 5/16/27 | 242,407 | 286,190 | ||
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | 1,489,777 | 244,883 | ||
sequential payer Series 2004-24 Class ZM, 5% 4/20/34 | 2,348,217 | 2,601,424 | ||
Series 2004-32 Class GS, 6.3024% 5/16/34 (n)(o)(q) | 354,374 | 76,792 | ||
Series 2004-73 Class AL, 7.0024% 8/17/34 (n)(o)(q) | 426,172 | 82,363 | ||
Series 2007-35 Class SC, 39.0144% 6/16/37 (n)(q) | 28,844 | 55,931 | ||
Series 2010-H10 Class FA, 0.519% 5/20/60 (n)(r) | 2,445,477 | 2,434,013 | ||
Series 2012-76 Class GS, 6.5024% 6/16/42 (n)(o)(q) | 1,443,066 | 301,234 | ||
Series 2012-97 Class JS, 6.0524% 8/16/42 (n)(o)(q) | 4,573,075 | 784,352 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (n)(q) | 4,142,567 | 4,818,231 | ||
Class ST, 8.5297% 8/20/39 (n)(q) | 7,781,810 | 9,136,388 | ||
Series 2013-160 Class MS, 5.9973% 9/20/32 (n)(o)(q) | 6,145,514 | 1,119,942 | ||
Series 2015-H13 Class HA, 2.5% 8/20/64 (r) | 33,560,356 | 34,389,062 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (r) | 28,442,055 | 29,147,390 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (j)(r) | 30,750,363 | 31,495,100 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (j)(r) | 6,637,302 | 6,804,272 | ||
TOTAL U.S. GOVERNMENT AGENCY | 429,373,477 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $561,302,341) |
| |||
Commercial Mortgage Securities - 6.7% | ||||
| ||||
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (h) | 180,000 | 201,179 | ||
Asset Securitization Corp.: | ||||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 129,872 | ||
Series 1997-D5 Class PS1, 1.4464% 2/14/43 (n)(o) | 456,274 | 5,710 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (h)(n) | $ 1,500,000 | $ 1,470,703 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-4 Class AJ, 5.038% 7/10/45 (n) | 254,963 | 254,820 | ||
Series 2006-2 Class A4, 5.7271% 5/10/45 (n) | 17,625,794 | 17,815,553 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 51,155,192 | 52,078,185 | ||
Series 2006-4 Class AM, 5.675% 7/10/46 | 1,000,000 | 1,034,448 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,823,035 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (n) | 26,299,622 | 27,050,502 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 185,051 | ||
Series 2005-1 Class CJ, 5.3371% 11/10/42 (n) | 175,766 | 175,573 | ||
Series 2005-5 Class D, 5.3247% 10/10/45 (n) | 1,180,000 | 1,183,728 | ||
Series 2005-6 Class AJ, 5.1559% 9/10/47 (n) | 300,000 | 301,608 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 122,411 | ||
Series 2007-2 Class A4, 5.6126% 4/10/49 (n) | 8,292,000 | 8,634,567 | ||
Series 2007-3 Class A4, 5.5746% 6/10/49 (n) | 20,967,320 | 21,956,977 | ||
Series 2008-1 Class D, 6.2584% 2/10/51 (h)(n) | 125,000 | 95,414 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 6,743,694 | 7,053,028 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.4744% 12/25/33 (h)(n) | 33,328 | 30,064 | ||
Series 2005-4A: | ||||
Class A2, 0.5894% 1/25/36 (h)(n) | 788,356 | 700,667 | ||
Class B1, 1.5994% 1/25/36 (h)(n) | 32,921 | 20,941 | ||
Class M1, 0.6494% 1/25/36 (h)(n) | 254,309 | 206,031 | ||
Class M2, 0.6694% 1/25/36 (h)(n) | 76,293 | 59,816 | ||
Class M3, 0.6994% 1/25/36 (h)(n) | 111,419 | 83,999 | ||
Class M4, 0.8094% 1/25/36 (h)(n) | 61,621 | 45,484 | ||
Class M5, 0.8494% 1/25/36 (h)(n) | 61,621 | 45,238 | ||
Class M6, 0.8994% 1/25/36 (h)(n) | 65,448 | 46,847 | ||
Series 2006-3A Class M4, 0.6294% 10/25/36 (h)(n) | 32,221 | 3,308 | ||
Series 2007-1 Class A2, 0.4694% 3/25/37 (h)(n) | 527,262 | 441,664 | ||
Series 2007-2A: | ||||
Class A1, 0.4694% 7/25/37 (h)(n) | 541,279 | 461,786 | ||
Class A2, 0.5194% 7/25/37 (h)(n) | 505,752 | 416,077 | ||
Class M1, 0.5694% 7/25/37 (h)(n) | 177,592 | 135,918 | ||
Class M2, 0.6094% 7/25/37 (h)(n) | 97,043 | 68,317 | ||
Class M3, 0.6894% 7/25/37 (h)(n) | 74,751 | 43,833 | ||
Series 2007-3: | ||||
Class A2, 0.4894% 7/25/37 (h)(n) | 483,895 | 394,167 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M1, 0.5094% 7/25/37 (h)(n) | $ 105,098 | $ 81,257 | ||
Class M2, 0.5394% 7/25/37 (h)(n) | 112,645 | 80,894 | ||
Class M3, 0.5694% 7/25/37 (h)(n) | 177,501 | 78,035 | ||
Class M4, 0.6994% 7/25/37 (h)(n) | 278,704 | 81,819 | ||
Class M5, 0.7994% 7/25/37 (h)(n) | 133,533 | 26,213 | ||
Series 2007-4A Class M1, 1.1494% 9/25/37 (h)(n) | 190,162 | 36,301 | ||
Series 2006-3A, Class IO, 0% 10/25/36 (h)(n)(o) | 5,108,763 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (h)(n)(o) | 4,852,783 | 15,441 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.43% 3/11/39 (n) | 450,000 | 454,935 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 624,806 | ||
Series 2006-T22 Class AJ, 5.5924% 4/12/38 (n) | 400,000 | 408,402 | ||
Series 2007-PW16 Class A4, 5.7053% 6/11/40 (n) | 1,112,000 | 1,175,544 | ||
Series 1999-C1 Class I, 5.64% 2/14/31 (h) | 107,279 | 106,292 | ||
Series 2006-T22: | ||||
Class A4, 5.5924% 4/12/38 (n) | 166,540 | 167,970 | ||
Class B, 5.5924% 4/12/38 (h)(n) | 200,000 | 207,422 | ||
Series 2007-PW18 Class X2, 0.3003% 6/11/50 (h)(n)(o) | 87,557,706 | 91,760 | ||
Series 2007-T28 Class X2, 0.1359% 9/11/42 (h)(n)(o) | 54,532,420 | 5,999 | ||
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (h) | 724,139 | 773,609 | ||
BLCP Hotel Trust: | ||||
floater Series 2014-CLRN Class F, 3.2316% 8/15/29 (h)(n) | 832,000 | 804,016 | ||
Series 2014-CLMZ Class M, 5.9255% 8/15/29 (h)(n) | 1,665,702 | 1,654,329 | ||
Boca Hotel Portfolio Trust Series 2013-BOCA Class E, 3.9476% 8/15/26 (h)(n) | 700,000 | 699,389 | ||
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/13/35 (h)(n) | 1,000,000 | 964,051 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4694% 5/25/36 (h)(n) | 304,743 | 289,950 | ||
Carefree Portfolio Trust floater: | ||||
Series 2014-CARE: | ||||
Class E, 4.198% 11/15/19 (h)(n) | 1,574,000 | 1,582,622 | ||
Class F, 2.7817% 11/15/19 (h)(n) | 119,000 | 116,162 | ||
Series 2014-CMZA Class MZA, 6.1745% 11/15/19 (h)(n) | 1,537,000 | 1,534,947 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Carefree Portfolio Trust 2014-Car floater Series 2014-CMZB Class MZB, 7.9199% 11/15/29 (h)(n) | $ 1,158,000 | $ 1,155,600 | ||
CDGJ Commercial Mortgage Trust Series 2014-BXCH: | ||||
Class A, 1.5873% 12/15/27 (h)(n) | 19,500,000 | 19,469,619 | ||
Class DPA, 3.1976% 12/15/27 (h)(n) | 6,164,000 | 6,151,968 | ||
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5743% 12/15/47 (h)(n) | 750,000 | 849,273 | ||
CG-CCRE Commercial Mortgage Trust: | ||||
Series 2014-FL1: | ||||
Class YTC2, 2.6745% 6/15/31 (h)(n) | 511,000 | 492,718 | ||
Class YTC3, 2.6745% 6/15/31 (h)(n) | 184,000 | 174,962 | ||
Series 2014-FL1, 2.6745% 6/15/31 (h)(n) | 511,000 | 498,730 | ||
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class F, 3.7859% 4/10/28 (h)(n) | 902,000 | 857,869 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 839,749 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 487,111 | 438,161 | ||
Citigroup Commercial Mortgage Trust: | ||||
Series 2013-GC15 Class D, 5.1051% 9/10/46 (h)(n) | 1,010,000 | 982,380 | ||
Series 2015-SHP2 Class E, 4.535% 7/15/27 (h)(n) | 1,239,000 | 1,236,100 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD3 Class A5, 5.617% 10/15/48 | 8,179,818 | 8,409,163 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 172,969 | 173,873 | ||
Class A4, 5.322% 12/11/49 | 31,258,000 | 32,322,272 | ||
Series 2005-CD1 Class AJ, 5.2018% 7/15/44 (n) | 500,000 | 499,462 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (h)(n) | CAD | 138,000 | 104,063 | |
Class G, 5.01% 5/15/44 (h)(n) | CAD | 30,000 | 22,212 | |
Class H, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 14,457 | |
Class J, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 13,890 | |
Class K, 5.01% 5/15/44 (h)(n) | CAD | 10,000 | 6,808 | |
Class L, 5.01% 5/15/44 (h)(n) | CAD | 36,000 | 23,563 | |
Class M, 5.01% 5/15/44 (h)(n) | CAD | 165,000 | 101,880 | |
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (n) | 2,125,000 | 2,064,238 | ||
COMM Mortgage Trust: | ||||
floater Series 2014-PAT Class E, 3.336% 8/13/27 (h)(n) | 735,000 | 727,228 | ||
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (h) | 1,410,000 | 1,123,606 | ||
Series 2012-CR5 Class D, 4.3356% 12/10/45 (h)(n) | 740,000 | 743,849 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
COMM Mortgage Trust: - continued | ||||
Series 2013-CR10: | ||||
Class C, 4.7925% 8/10/46 (h)(n) | $ 270,000 | $ 278,724 | ||
Class D, 4.7925% 8/10/46 (h)(n) | 790,000 | 743,386 | ||
Series 2013-CR12 Class D, 5.0847% 10/10/46 (h)(n) | 1,680,000 | 1,655,826 | ||
Series 2013-CR9: | ||||
Class C, 4.2581% 7/10/45 (h)(n) | 525,000 | 526,183 | ||
Class D, 4.2581% 7/10/45 (h)(n) | 756,000 | 709,490 | ||
Series 2013-LC6 Class D, 4.2865% 1/10/46 (h)(n) | 1,109,000 | 1,044,351 | ||
Series 2014-CR15 Class D, 4.7657% 2/10/47 (h)(n) | 258,000 | 249,179 | ||
Series 2014-CR17 Class D, 4.7994% 5/10/47 (h)(n) | 567,000 | 535,956 | ||
Series 2014-UBS2 Class D, 5.0154% 3/10/47 (h)(n) | 844,000 | 797,880 | ||
Series 2015-3BP Class F, 3.2384% 2/10/35 (h)(n) | 1,000,000 | 876,537 | ||
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (h)(n) | 483,000 | 443,848 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater Series 2005-F10A Class J, 1.0476% 4/15/17 (h)(n) | 126,140 | 126,169 | ||
sequential payer Series 2006-C7 Class A1A, 5.7386% 6/10/46 (n) | 2,335,546 | 2,396,691 | ||
Series 2005-LP5 Class F, 4.9795% 5/10/43 (h)(n) | 1,290,000 | 1,302,585 | ||
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (h) | 1,275,189 | 1,227,269 | ||
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 | 623,315 | 660,148 | ||
Commercial Mortgage Trust pass-thru certificates: | ||||
Series 2012-CR1: | ||||
Class C, 5.3592% 5/15/45 (n) | 850,000 | 921,955 | ||
Class D, 5.3592% 5/15/45 (h)(n) | 1,510,000 | 1,546,614 | ||
Series 2012-CR2: | ||||
Class E, 4.8572% 8/15/45 (h)(n) | 1,727,000 | 1,696,629 | ||
Class F, 4.25% 8/15/45 (h) | 1,418,000 | 1,286,981 | ||
Series 2012-LC4: | ||||
Class C, 5.6452% 12/10/44 (n) | 260,000 | 287,285 | ||
Class D, 5.6452% 12/10/44 (h)(n) | 1,143,000 | 1,203,828 | ||
Series 2014-CR2 Class G, 4.25% 8/15/45 (h) | 403,000 | 317,407 | ||
Core Industrial Trust: | ||||
Series 2015-CALW Class G, 3.8504% 2/10/34 (h)(n) | 544,000 | 497,418 | ||
Series 2015-WEST Class F, 4.2268% 2/10/37 (h)(n) | 731,000 | 645,605 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C2 Class A2, 5.448% 1/15/49 (n) | 27,691 | 27,691 | ||
Series 2007-C3 Class A4, 5.6993% 6/15/39 (n) | 16,762,633 | 17,570,408 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2007-C5 Class A4, 5.695% 9/15/40 (n) | $ 1,722,000 | $ 1,818,079 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6% 5/17/40 (h) | 1,212,440 | 1,289,831 | ||
Class H, 6% 5/17/40 (h) | 90,315 | 75,213 | ||
Series 1998-C2: | ||||
Class F, 6.75% 11/15/30 (h) | 499,779 | 512,111 | ||
Class G, 6.75% 11/15/30 (h) | 180,000 | 190,863 | ||
Series 2001-CKN5 Class AX, 0% 9/15/34 (h)(n)(o) | 2,730 | 0 | ||
Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (h)(n) | 140,650 | 141,253 | ||
CSMC Series 2015-TOWN: | ||||
Class B, 2.0976% 3/15/17 (h)(n) | 3,043,000 | 3,022,405 | ||
Class C, 2.4476% 3/15/17 (h)(n) | 2,964,000 | 2,944,035 | ||
Class D, 3.3976% 3/15/17 (h)(n) | 4,485,000 | 4,447,873 | ||
Class E, 4.336% 3/15/17 (h)(n) | 20,318,000 | 20,139,263 | ||
CSMC Trust floater Series 2015-DEAL: | ||||
Class E, 4.198% 4/15/29 (h)(n) | 724,000 | 716,966 | ||
Class F, 4.948% 4/15/29 (h)(n) | 1,453,000 | 1,439,041 | ||
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (h)(n) | 967,000 | 905,463 | ||
DBUBS Mortgage Trust Series 2011-LC1A: | ||||
Class D, 5.5569% 11/10/46 (h)(n) | 500,000 | 547,023 | ||
Class E, 5.5569% 11/10/46 (h)(n) | 1,332,000 | 1,437,385 | ||
Class F, 5.5569% 11/10/46 (h)(n) | 1,560,000 | 1,554,691 | ||
Class G, 4.652% 11/10/46 (h) | 1,654,000 | 1,433,581 | ||
Class XB, 0.2464% 11/10/46 (h)(n)(o) | 20,920,000 | 308,967 | ||
Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (h) | 1,000,000 | 1,002,424 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(n) | 23,852 | 23,797 | ||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (n) | 416,659 | 415,720 | ||
pass-thru certificates: | ||||
Series K011 Class X3, 2.5753% 12/25/43 (n)(o) | 1,640,000 | 201,549 | ||
Series K012 Class X3, 2.287% 1/25/41 (n)(o) | 1,799,999 | 199,348 | ||
Series K013 Class X3, 2.8069% 1/25/43 (n)(o) | 820,000 | 110,965 | ||
sequential payer: | ||||
Series K033 Class A2, 3.06% 7/25/23 | 23,417,768 | 24,087,149 | ||
Series K034 Class A2, 3.531% 7/25/23 | 20,251,185 | 21,448,172 | ||
Series K035 Class A2, 3.458% 8/25/23 | 2,961,000 | 3,118,602 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac: - continued | ||||
Series K032 Class A2, 3.31% 5/25/23 | $ 4,715,000 | $ 4,936,150 | ||
Series K036 Class A2, 3.527% 10/25/23 | 7,763,000 | 8,205,755 | ||
Series K047 Class A2, 3.329% 5/25/25 | 17,400,000 | 18,047,141 | ||
Series KAIV Class X2, 3.6147% 6/25/46 (n)(o) | 420,000 | 74,622 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 | 4,722,000 | 4,934,721 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K9 Class B, 5.1937% 9/25/45 (h)(n) | 1,290,000 | 1,416,967 | ||
Series 2011-K10 Class B, 4.6215% 11/25/49 (h)(n) | 240,000 | 257,267 | ||
Series 2011-K11 Class B, 4.4209% 12/25/48 (h)(n) | 750,000 | 797,774 | ||
GAHR Commercial Mortgage Trust Series 2015-NRF: | ||||
Class BFX, 3.3822% 12/15/19 (h)(n) | 18,910,000 | 18,965,749 | ||
Class CFX, 3.4949% 12/15/19 (h)(n) | 14,152,000 | 13,945,292 | ||
Class DFX, 3.3822% 12/15/19 (h)(n) | 11,994,000 | 11,679,349 | ||
Class EFX, 3.3822% 12/15/19 (h)(n) | 1,500,000 | 1,402,278 | ||
Class FFX, 3.3822% 12/15/19 (h)(n) | 383,000 | 351,176 | ||
GCCFC Commercial Mortgage Trust Series 2005-GG3 Class B, 4.894% 8/10/42 (n) | 60,372 | 60,356 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 42,220,000 | 43,752,544 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 405,110 | 362,225 | ||
Series 1997-C2 Class G, 6.75% 4/15/29 (n) | 215,232 | 227,426 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 756,193 | ||
Series 1999-C3 Class K, 6.974% 8/15/36 (h) | 2,645 | 2,620 | ||
GP Portfolio Trust Series 2014-GPP: | ||||
Class D, 2.938% 2/15/27 (h)(n) | 291,000 | 289,847 | ||
Class E, 4.0373% 2/15/27 (h)(n) | 378,000 | 376,173 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 15,541,635 | 16,217,401 | ||
Series 2006-GG7 Class A4, 5.8187% 7/10/38 (n) | 45,337,123 | 46,013,144 | ||
GS Mortgage Securities Corp. II: | ||||
Series 2006-GG6 Class A4, 5.553% 4/10/38 (n) | 6,458,463 | 6,466,058 | ||
Series 2010-C1: | ||||
Class D, 6.0843% 8/10/43 (h)(n) | 1,255,000 | 1,358,143 | ||
Class E, 4% 8/10/43 (h) | 1,240,000 | 1,142,381 | ||
Class F, 4% 8/10/43 (h) | 894,000 | 756,302 | ||
Class X, 1.4847% 8/10/43 (h)(n)(o) | 5,136,803 | 298,474 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
GS Mortgage Securities Trust: | ||||
floater Series 2014-GSFL Class A, 1.1873% 7/15/31 (h)(n) | $ 614,960 | $ 613,139 | ||
sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 | 17,702,100 | 18,239,553 | ||
Series 2010-C2: | ||||
Class D, 5.2456% 12/10/43 (h)(n) | 720,000 | 761,053 | ||
Class XA, 0.6486% 12/10/43 (h)(n)(o) | 3,860,847 | 27,926 | ||
Series 2011-GC5: | ||||
Class C, 5.3081% 8/10/44 (h)(n) | 1,050,000 | 1,137,595 | ||
Class D, 5.3081% 8/10/44 (h)(n) | 480,000 | 494,415 | ||
Class E, 5.3081% 8/10/44 (h)(n) | 210,000 | 205,187 | ||
Class F, 4.5% 8/10/44 (h) | 1,020,000 | 842,850 | ||
Series 2012-GC6: | ||||
Class D, 5.6315% 1/10/45 (h)(n) | 861,000 | 885,730 | ||
Class E, 5% 1/10/45 (h)(n) | 412,000 | 380,231 | ||
Series 2012-GC6I Class F, 5% 1/10/45 (n) | 390,000 | 322,150 | ||
Series 2012-GCJ7: | ||||
Class C, 5.7229% 5/10/45 (n) | 630,000 | 690,673 | ||
Class D, 5.7229% 5/10/45 (h)(n) | 1,054,000 | 1,080,186 | ||
Class E, 5% 5/10/45 (h) | 1,311,000 | 1,199,529 | ||
Class F, 5% 5/10/45 (h) | 2,079,000 | 1,682,309 | ||
Series 2012-GCJ9: | ||||
Class D, 4.8533% 11/10/45 (h)(n) | 1,170,000 | 1,133,200 | ||
Class E, 4.8533% 11/10/45 (h)(n) | 1,290,000 | 1,142,338 | ||
Series 2013-GC10 Class D, 4.4138% 2/10/46 (h)(n) | 740,000 | 695,187 | ||
Series 2013-GC12 Class D, 4.4768% 6/10/46 (h)(n) | 219,000 | 205,177 | ||
Series 2013-GC13 Class D, 4.0697% 7/10/46 (h)(n) | 1,543,000 | 1,393,132 | ||
Series 2013-GC16: | ||||
Class C, 5.3156% 11/10/46 (n) | 662,844 | 711,006 | ||
Class D, 5.3156% 11/10/46 (h)(n) | 967,000 | 939,589 | ||
Class F, 3.5% 11/10/46 (h) | 999,000 | 758,793 | ||
Hilton U.S.A. Trust: | ||||
floater Series 2014-ORL Class E, 3.438% 7/15/29 (h)(n) | 617,000 | 619,841 | ||
Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (h) | 2,450,000 | 2,444,632 | ||
Class DFX, 4.4065% 11/5/30 (h) | 23,706,000 | 23,758,945 | ||
Class EFX, 4.4533% 11/5/30 (h)(n) | 2,000,000 | 2,005,760 | ||
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.6756% 11/15/29 (h)(n) | 406,000 | 392,842 | ||
JPMBB Commercial Mortgage Securities Trust: | ||||
Series 2014-C22 Class D, 4.5612% 9/15/47 (h)(n) | 525,000 | 457,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMBB Commercial Mortgage Securities Trust: - continued | ||||
Series 2015-C31 Class ASB, 3.5373% 8/15/48 | $ 30,200,000 | $ 31,145,275 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (h)(n) | 500,000 | 501,940 | ||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (h) | 440,000 | 473,471 | ||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | 12,581 | 12,563 | ||
Class F, 5.6404% 1/12/37 (h)(n) | 250,000 | 246,250 | ||
Series 2009-IWST: | ||||
Class C, 7.4453% 12/5/27 (h)(n) | 380,000 | 447,928 | ||
Class D, 7.4453% 12/5/27 (h)(n) | 1,885,000 | 2,217,094 | ||
Series 2010-CNTR Class D, 6.1838% 8/5/32 (h)(n) | 695,000 | 793,396 | ||
Series 2012-CBX: | ||||
Class C, 5.2386% 6/15/45 (n) | 250,000 | 263,891 | ||
Class D, 5.2386% 6/16/45 (h)(n) | 690,000 | 706,106 | ||
Class E, 5.2386% 6/15/45 (h)(n) | 620,000 | 607,380 | ||
Class F, 4% 6/15/45 (h) | 820,000 | 732,380 | ||
Class G 4% 6/15/45 (h) | 1,079,000 | 770,533 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-FL2A: | ||||
Class E, 0.4776% 11/15/18 (h)(n) | 137,659 | 134,947 | ||
Class F, 0.5276% 11/15/18 (h)(n) | 380,931 | 366,233 | ||
Class G, 0.5576% 11/15/18 (h)(n) | 330,997 | 316,800 | ||
Class H, 0.6976% 11/15/18 (h)(n) | 254,476 | 243,031 | ||
Class J, 0.8476% 11/15/18 (h)(n) | 257,928 | 245,844 | ||
Series 2014-BXH: | ||||
Class A, 1.0976% 4/15/27 (h)(n) | 3,000,000 | 2,993,256 | ||
Class C, 1.8476% 4/15/27 (h)(n) | 4,460,000 | 4,451,731 | ||
Class D, 2.4476% 4/15/27 (h)(n) | 9,517,000 | 9,485,956 | ||
Series 2014-FBLU Class E, 3.6873% 12/15/28 (h)(n) | 1,058,000 | 1,052,710 | ||
Series 2014-INN: | ||||
Class E, 3.798% 6/15/29 (h)(n) | 683,000 | 680,107 | ||
Class F, 4.198% 6/15/29 (h)(n) | 1,006,000 | 989,645 | ||
sequential payer: | ||||
Series 2006-CB16: | ||||
Class A1A, 5.546% 5/12/45 | 15,065,112 | 15,490,098 | ||
Class A4, 5.552% 5/12/45 | 5,665,501 | 5,761,508 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
sequential payer: | ||||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | $ 7,203,918 | $ 7,424,314 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 5,645,570 | 5,811,132 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 9,000,176 | 9,320,420 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 2,362,745 | 2,458,961 | ||
Series 2007-CB19 Class A4, 5.695% 2/12/49 (n) | 12,396,984 | 13,058,979 | ||
Series 2007-LD11 Class A4, 5.7743% 6/15/49 (n) | 29,428,107 | 30,984,324 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 23,975,987 | 25,007,266 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (n) | 170,000 | 169,307 | ||
Series 2004-LN2 Class D, 5.3433% 7/15/41 (n) | 420,000 | 357,085 | ||
Series 2005-LDP2 Class C, 4.911% 7/15/42 (n) | 660,000 | 661,664 | ||
Series 2005-LDP5 Class AJ, 5.3599% 12/15/44 (n) | 360,000 | 363,020 | ||
Series 2006-LDP7 Class A4, 5.9047% 4/15/45 (n) | 11,598,929 | 11,794,266 | ||
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (n) | 110,240 | 345 | ||
Series 2011-C3 Class J, 4.409% 2/15/46 (h)(n) | 106,000 | 89,241 | ||
Series 2011-C4: | ||||
Class E, 5.4158% 7/15/46 (h)(n) | 1,130,000 | 1,168,293 | ||
Class F, 3.873% 7/15/46 (h) | 105,000 | 96,463 | ||
Class H, 3.873% 7/15/46 (h) | 672,000 | 549,678 | ||
Class NR, 3.873% 7/15/46 (h) | 385,000 | 254,142 | ||
Class TAC2, 7.99% 7/15/46 (h) | 671,000 | 709,877 | ||
Series 2011-C5: | ||||
Class B. 5.3229% 8/15/46 (h)(n) | 1,140,000 | 1,260,607 | ||
Class C, 5.3229% 8/15/46 (h)(n) | 1,102,648 | 1,189,079 | ||
Series 2013-LC11: | ||||
Class C, 3.9582% 4/15/46 (n) | 1,115,000 | 1,082,208 | ||
Class D, 4.2392% 4/15/46 (n) | 1,430,000 | 1,313,642 | ||
Class F, 3.25% 4/15/46 (h)(n) | 1,682,000 | 1,208,863 | ||
Series 2014-DSTY: | ||||
Class D, 3.8046% 6/10/27 (h)(n) | 816,000 | 795,902 | ||
Class E, 3.8046% 6/10/27 (h)(n) | 1,156,000 | 1,084,292 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0965% 7/15/44 (n) | 21,263,403 | 22,500,996 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-C7 Class AJ, 5.323% 11/15/40 (n) | 1,254,286 | 1,256,377 | ||
Series 2006-C6: | ||||
Class A4, 5.372% 9/15/39 | 855,696 | 879,626 | ||
Class AM, 5.413% 9/15/39 | 1,500,000 | 1,554,450 | ||
Series 2006-C7: | ||||
Class A2, 5.3% 11/15/38 | 595,713 | 599,313 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 165,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C1 Class A4, 5.424% 2/15/40 | $ 16,273,684 | $ 16,935,469 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,230,362 | 3,377,085 | ||
Series 2004-C2 Class G, 4.595% 3/15/36 (h)(n) | 186,455 | 186,521 | ||
Series 2005-C1 Class E, 4.924% 2/15/40 | 317,127 | 317,153 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (n) | 1,016,000 | 1,021,050 | ||
Series 2006-C1 Class AM, 5.217% 2/15/31 (n) | 6,847,000 | 6,904,871 | ||
Series 2006-C4: | ||||
Class AJ, 5.8521% 6/15/38 (n) | 1,060,000 | 1,083,970 | ||
Class AM, 5.8521% 6/15/38 (n) | 500,000 | 514,576 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (n) | 1,870,177 | 1,949,738 | ||
Series 2007-C7 Class A3, 5.866% 9/15/45 | 12,747,748 | 13,733,506 | ||
LSTAR Commercial Mortgage Trust: | ||||
Series 2011-1 Class D, 5.4769% 6/25/43 (h)(n) | 67,004 | 66,951 | ||
Series 2014-2: | ||||
Class D, 5.0498% 1/20/41 (h)(n) | 256,000 | 241,516 | ||
Class E, 5.0498% 1/20/41 (h)(n) | 400,000 | 336,046 | ||
Mach One Trust LLC Series 2004-1A Class H, 6.0869% 5/28/40 (h)(n) | 115,481 | 115,562 | ||
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3906% 10/12/39 (h)(n) | CAD | 320,000 | 244,593 | |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (n) | 183,308 | 183,218 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 05-LC1 Class AJ, 5.3621% 1/12/44 (n) | 220,000 | 221,689 | ||
Series 2005-LC1 Class F, 5.4161% 1/12/44 (h)(n) | 1,655,000 | 1,633,424 | ||
Series 2006-C1: | ||||
Class AJ, 5.6761% 5/12/39 (n) | 530,000 | 533,216 | ||
Class AM, 5.6761% 5/12/39 (n) | 100,000 | 102,190 | ||
Series 2007-C1 Class A4, 5.8347% 6/12/50 (n) | 9,429,517 | 9,840,823 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 2,936,477 | 3,128,152 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (n) | 778,304 | 803,053 | ||
Class ASB, 5.133% 12/12/49 (n) | 111,340 | 111,588 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 17,767,087 | 18,475,265 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (n) | 14,650,000 | 15,351,457 | ||
Series 2007-7 Class A4, 5.7429% 6/12/50 (n) | 6,223,318 | 6,587,805 | ||
Series 2006-1 Class AM, 5.5154% 2/12/39 (n) | 5,120,000 | 5,182,131 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (n) | 1,902,000 | 594,617 | ||
Series 2007-8 Class A3, 5.8811% 8/12/49 (n) | 1,640,000 | 1,745,567 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley BAML Trust: | ||||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (h) | $ 750,000 | $ 675,225 | ||
Series 2012-C6 Class D, 4.8133% 11/15/45 (h)(n) | 1,357,000 | 1,382,240 | ||
Series 2013-C12 Class D, 4.767% 10/15/46 (h)(n) | 1,000,000 | 971,250 | ||
Series 2013-C13: | ||||
Class D, 4.8945% 11/15/46 (h)(n) | 1,019,000 | 992,175 | ||
Class E, 4.8945% 11/15/46 (h)(n) | 887,000 | 797,878 | ||
Series 2013-C7: | ||||
Class D, 4.2973% 2/15/46 (h)(n) | 810,000 | 777,148 | ||
Class E, 4.2973% 2/15/46 (h)(n) | 340,000 | 305,162 | ||
Series 2013-C8 Class D, 4.17% 12/15/48 (h)(n) | 400,000 | 372,432 | ||
Series 2013-C9: | ||||
Class C, 4.2082% 5/15/46 (n) | 620,000 | 609,774 | ||
Class D, 4.1578% 5/15/46 (h)(n) | 1,740,000 | 1,621,161 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.398% 7/15/19 (h)(n) | 357,716 | 357,966 | ||
Class J, 0.6155% 7/15/19 (h)(n) | 335,939 | 335,105 | ||
Series 2007-XLFA: | ||||
Class D, 0.374% 10/15/20 (h)(n) | 633,568 | 631,626 | ||
Class E, 0.4355% 10/15/20 (h)(n) | 834,661 | 829,265 | ||
Class F, 0.4855% 10/15/20 (h)(n) | 500,899 | 497,723 | ||
Class G, 0.5255% 10/15/20 (h)(n) | 619,188 | 614,482 | ||
Class H, 0.6155% 10/15/20 (h)(n) | 389,758 | 379,000 | ||
Class J, 0.7655% 10/15/20 (h)(n) | 225,021 | 207,559 | ||
sequential payer: | ||||
Series 2006-HQ10 Class AM, 5.36% 11/12/41 | 620,000 | 643,794 | ||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 | 104,322 | 104,222 | ||
Series 2012-C4 Class E, 5.5247% 3/15/45 (h)(n) | 1,210,000 | 1,248,725 | ||
Series 1997-RR Class F, 7.4369% 4/30/39 (h)(n) | 63,561 | 63,796 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (h) | 207,862 | 208,710 | ||
Series 1999-WF1: | ||||
Class N, 5.91% 11/15/31 (h) | 210,000 | 209,561 | ||
Class O, 5.91% 11/15/31 (h) | 166,077 | 137,242 | ||
Series 2004-IQ7 Class E, 5.1708% 6/15/38 (h)(n) | 74,602 | 76,329 | ||
Series 2006-IQ11 Class A4, 5.7068% 10/15/42 (n) | 334,934 | 335,997 | ||
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 | 719,000 | 750,874 | ||
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 89,155,000 | 93,458,423 | ||
Series 2011-C1: | ||||
Class C, 5.3313% 9/15/47 (h)(n) | 970,000 | 1,062,944 | ||
Class D, 5.3313% 9/15/47 (h)(n) | 1,760,000 | 1,896,872 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2011-C1: | ||||
Class E, 5.3313% 9/15/47 (h)(n) | $ 573,100 | $ 588,828 | ||
Series 2011-C2: | ||||
Class D, 5.3029% 6/15/44 (h)(n) | 580,000 | 619,591 | ||
Class E, 5.3029% 6/15/44 (h)(n) | 600,000 | 629,740 | ||
Class F, 5.3029% 6/15/44 (h)(n) | 550,000 | 536,782 | ||
Class XB, 0.4584% 6/15/44 (h)(n)(o) | 9,001,008 | 234,854 | ||
Series 2011-C3: | ||||
Class C, 5.1784% 7/15/49 (h)(n) | 1,000,000 | 1,078,789 | ||
Class D, 5.1784% 7/15/49 (h)(n) | 1,130,000 | 1,200,615 | ||
Class E, 5.1784% 7/15/49 (h)(n) | 400,000 | 420,752 | ||
Class G, 5.1784% 7/15/49 (h)(n) | 924,000 | 822,421 | ||
Series 2012-C4: | ||||
Class D, 5.7088% 3/15/45 (h)(n) | 330,000 | 352,966 | ||
Class F, 3.07% 3/15/45 (h) | 623,000 | 522,362 | ||
Series 2015-MS1: | ||||
Class C, 4.1633% 5/15/48 (n) | 734,000 | 665,939 | ||
Class D, 4.163% 5/15/48 (h) | 437,000 | 355,947 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5079% 7/15/33 (h)(n) | 150,000 | 167,549 | ||
Motel 6 Trust Series 2015-MTL6: | ||||
Class E, 5.2785% 2/5/30 (h) | 1,571,000 | 1,534,715 | ||
Class F, 5% 2/5/30 (h) | 499,000 | 481,653 | ||
NationsLink Funding Corp. Series 1999-LTL1: | ||||
Class C, 7.399% 1/22/26 (h) | 273,000 | 282,582 | ||
Class D, 6.45% 1/22/26 (h) | 740,731 | 798,495 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (h) | 1,005,147 | 1,275,229 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 82,528 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 41,175 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 26,730 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 25,958 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 12,583 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 17,137 | |
Class M, 4.456% 9/12/38 | CAD | 104,391 | 63,371 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 97,360 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 32,206 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 31,962 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 31,720 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 15,740 | |
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Real Estate Asset Liquidity Trust: - continued | ||||
Series 2007-1: | ||||
Class L, 4.57% 4/12/23 | CAD | 63,000 | $ 46,865 | |
Class M, 4.57% 4/12/23 | CAD | 155,242 | 100,926 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (h) | 247,956 | 78,414 | ||
SCG Trust Series 2013-SRP1 Class D, 3.531% 11/15/26 (h)(n) | 1,330,000 | 1,329,557 | ||
Starwood Retail Property Trust Series 2014-STAR Class D, 3.4476% 11/15/27 (h)(n) | 794,000 | 789,385 | ||
TIAA Seasoned Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C4 Class AJ, 5.4769% 8/15/39 (n) | 118,718 | 119,103 | ||
Series 2007-C4 Class F, 5.4769% 8/15/39 (n) | 820,000 | 781,449 | ||
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (h) | 270,000 | 276,460 | ||
UBS Commercial Mortgage Trust Series 2012-C1 Class D, 5.5422% 5/10/45 (h)(n) | 1,197,000 | 1,253,996 | ||
UBS-BAMLL Trust: | ||||
Series 12-WRM Class D, 4.238% 6/10/30 (h)(n) | 310,000 | 300,234 | ||
Series 2012-WRM Class E, 4.238% 6/10/30 (h)(n) | 970,000 | 912,401 | ||
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (h)(n) | 1,299,000 | 1,246,776 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (h) | 180,000 | 206,013 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater Series 2006-WL7A Class J, 0.7976% 9/15/21 (h)(n) | 395,545 | 375,604 | ||
sequential payer: | ||||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 8,076,675 | 8,413,812 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 24,454,000 | 25,445,282 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 52,563,000 | 53,619,674 | ||
Series 2007-C32 Class A3, 5.7146% 6/15/49 (n) | 40,608,000 | 42,723,380 | ||
Series 2007-C33: | ||||
Class A4, 5.9507% 2/15/51 (n) | 31,834,336 | 33,267,677 | ||
Class A5, 5.9507% 2/15/51 (n) | 19,259,000 | 20,679,736 | ||
Series 2004-C11: | ||||
Class D, 5.1404% 1/15/41 (n) | 360,000 | 365,255 | ||
Class E, 5.1904% 1/15/41 (n) | 327,000 | 331,357 | ||
Series 2005-C22 Class B, 5.3736% 12/15/44 (n) | 4,218,000 | 4,196,594 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (n) | 7,870,000 | 7,923,673 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (n) | 21,703,452 | 22,312,712 | ||
Series 2007-C31 Class C, 5.6711% 4/15/47 (n) | 522,000 | 506,986 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Wells Fargo Commercial Mortgage Trust: | ||||
Series 2010-C1 Class XB, 0.5751% 11/15/43 (h)(n)(o) | $ 20,614,217 | $ 558,006 | ||
Series 2012-LC5: | ||||
Class C, 4.693% 10/15/45 (n) | 569,000 | 587,615 | ||
Class D, 4.7772% 10/15/45 (h)(n) | 1,621,000 | 1,605,471 | ||
Series 2013-LC12 Class C, 4.3013% 7/15/46 (n) | 600,000 | 597,456 | ||
Series 2015-SG1 Class ASB, 3.381% 12/15/47 | 9,000,000 | 9,280,949 | ||
WF-RBS Commercial Mortgage Trust: | ||||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (h) | 325,000 | 270,050 | ||
Series 2011-C3: | ||||
Class C, 5.335% 3/15/44 (h) | 360,000 | 386,167 | ||
Class D, 5.549% 3/15/44 (h)(n) | 800,000 | 854,287 | ||
Class E, 5% 3/15/44 (h) | 890,000 | 856,920 | ||
Class F, 5% 3/15/44 (h) | 693,000 | 570,839 | ||
Series 2011-C4: | ||||
Class D, 5.2658% 6/15/44 (h)(n) | 408,000 | 436,609 | ||
Class E, 5.2658% 6/15/44 (h)(n) | 439,432 | 458,950 | ||
Series 2011-C5: | ||||
Class C, 5.6346% 11/15/44 (h)(n) | 260,000 | 285,216 | ||
Class D, 5.6346% 11/15/44 (h)(n) | 600,000 | 656,164 | ||
Class E, 5.6346% 11/15/44 (h)(n) | 1,410,000 | 1,503,088 | ||
Class F, 5.25% 11/15/44 (h)(n) | 933,000 | 903,371 | ||
Class G, 5.25% 11/15/44 (h)(n) | 329,000 | 290,030 | ||
Class XA, 1.9616% 11/15/44 (h)(n)(o) | 4,923,294 | 389,255 | ||
Series 2012-C10: | ||||
Class D, 4.4569% 12/15/45 (h)(n) | 422,000 | 404,640 | ||
Class E, 4.4569% 12/15/45 (h)(n) | 1,190,000 | 1,040,947 | ||
Class F, 4.4569% 12/15/45 (h)(n) | 1,726,000 | 1,359,158 | ||
Series 2012-C6 Class D, 5.5612% 4/15/45 (h)(n) | 540,000 | 558,332 | ||
Series 2012-C7: | ||||
Class C, 4.8388% 6/15/45 (n) | 1,270,000 | 1,330,428 | ||
Class E, 4.8388% 6/15/45 (h)(n) | 2,501,000 | 2,482,220 | ||
Class F, 4.5% 6/15/45 (h) | 357,000 | 328,195 | ||
Class G, 4.5% 6/15/45 (h) | 1,076,000 | 822,541 | ||
Series 2012-C8 Class D, 4.8753% 8/15/45 (h)(n) | 650,000 | 680,150 | ||
Series 2013-C11: | ||||
Class D, 4.1805% 3/15/45 (h)(n) | 870,000 | 829,203 | ||
Class E, 4.1805% 3/15/45 (h)(n) | 1,750,000 | 1,489,002 | ||
Series 2013-C13 Class D, 4.1386% 5/15/45 (h)(n) | 600,000 | 563,078 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | ||||
Class F, 3.9179% 11/15/29 (h)(n) | $ 1,054,900 | $ 1,043,394 | ||
Class G, 3.2176% 11/15/29 (h)(n) | 164,703 | 152,834 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,348,981,101) |
| |||
Municipal Securities - 1.5% | ||||
| ||||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 2,650,000 | 3,677,458 | ||
7.3% 10/1/39 | 18,415,000 | 25,490,780 | ||
7.5% 4/1/34 | 9,105,000 | 12,691,368 | ||
7.6% 11/1/40 | 12,540,000 | 18,395,177 | ||
7.625% 3/1/40 | 5,410,000 | 7,793,862 | ||
Chicago Gen. Oblig.: | ||||
(Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,337,748 | ||
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 14,170,829 | ||
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 2,647,119 | ||
6.314% 1/1/44 | 19,560,000 | 17,022,677 | ||
Illinois Gen. Oblig.: | ||||
Series 2003: | ||||
4.35% 6/1/18 | 8,770,000 | 9,013,806 | ||
4.95% 6/1/23 | 16,725,000 | 17,003,639 | ||
5.1% 6/1/33 | 63,045,000 | 58,497,564 | ||
Series 2010 5, 6.2% 7/1/21 | 6,680,000 | 7,318,742 | ||
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 12,294,272 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 330,000 | 354,661 | ||
6.725% 4/1/35 | 17,810,000 | 18,434,953 | ||
7.35% 7/1/35 | 8,165,000 | 8,753,125 | ||
Series 2011: | ||||
4.961% 3/1/16 | 1,035,000 | 1,052,347 | ||
5.365% 3/1/17 | 395,000 | 408,549 | ||
5.665% 3/1/18 | 13,360,000 | 14,287,718 | ||
5.877% 3/1/19 | 44,605,000 | 48,723,826 | ||
Municipal Securities - continued | ||||
| Principal Amount (e) | Value | ||
Illinois Gen. Oblig.: - continued | ||||
Series 2013: | ||||
2.69% 12/1/17 | $ 3,365,000 | $ 3,352,583 | ||
3.14% 12/1/18 | 3,490,000 | 3,487,662 | ||
TOTAL MUNICIPAL SECURITIES (Cost $310,397,367) |
| |||
Foreign Government and Government Agency Obligations - 1.1% | ||||
| ||||
Arab Republic 5.875% 6/11/25 (h) | 380,000 | 367,232 | ||
Argentine Republic: | ||||
7% 10/3/15 | 300,000 | 299,800 | ||
7% 4/17/17 | 21,130,000 | 20,081,130 | ||
8.28% 12/31/33 | 525,764 | 538,908 | ||
8.75% 6/2/17 | 1,645,000 | 1,657,319 | ||
Azerbaijan Republic 4.75% 3/18/24 (h) | 760,000 | 725,800 | ||
Belarus Republic 8.95% 1/26/18 | 4,880,000 | 4,762,490 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 10,005,000 | 9,279,638 | ||
5.625% 1/7/41 | 14,565,000 | 12,962,850 | ||
7.125% 1/20/37 | 3,270,000 | 3,458,025 | ||
8.25% 1/20/34 | 3,535,000 | 4,144,788 | ||
Buenos Aires Province: | ||||
9.375% 9/14/18 (h) | 1,210,000 | 1,188,825 | ||
9.95% 6/9/21 | 960,000 | 936,000 | ||
10.875% 1/26/21 (Reg. S) | 3,645,000 | 3,590,325 | ||
City of Buenos Aires: | ||||
8.95% 2/19/21 (h) | 1,860,000 | 1,920,450 | ||
9.95% 3/1/17 (h) | 793,000 | 820,854 | ||
Colombian Republic: | ||||
5% 6/15/45 | 400,000 | 355,500 | ||
5.625% 2/26/44 | 550,000 | 534,188 | ||
6.125% 1/18/41 | 635,000 | 658,813 | ||
7.375% 9/18/37 | 745,000 | 877,238 | ||
10.375% 1/28/33 | 2,100,000 | 3,050,250 | ||
Congo Republic 4% 6/30/29 (f) | 4,360,501 | 3,750,031 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (h) | 1,250,000 | 1,146,875 | ||
5.625% 4/30/43 (h) | 490,000 | 396,900 | ||
7% 4/4/44 (h) | 1,450,000 | 1,355,750 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (h) | 410,000 | 422,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Croatia Republic: - continued | ||||
6% 1/26/24 (h) | $ 600,000 | $ 640,128 | ||
6.375% 3/24/21 (h) | 760,000 | 820,002 | ||
6.625% 7/14/20 (h) | 545,000 | 594,159 | ||
6.75% 11/5/19 (h) | 350,000 | 382,604 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6% 1/14/19 (h) | 325,000 | 329,875 | ||
6.25% 10/4/20 (h) | 1,355,000 | 1,371,938 | ||
6.25% 7/27/21 (h) | 360,000 | 360,900 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (n) | 2,950,000 | 2,854,125 | ||
5.5% 1/27/25 (h) | 710,000 | 702,900 | ||
5.875% 4/18/24 | 585,000 | 593,775 | ||
6.85% 1/27/45 (h) | 1,395,000 | 1,384,538 | ||
7.45% 4/30/44 (h) | 2,240,000 | 2,374,400 | ||
7.5% 5/6/21 (h) | 1,880,000 | 2,075,050 | ||
El Salvador Republic 7.625% 2/1/41 (h) | 250,000 | 236,250 | ||
Georgia Republic 6.875% 4/12/21 (h) | 720,000 | 752,400 | ||
Hungarian Republic: | ||||
5.375% 3/25/24 | 594,000 | 649,362 | ||
5.75% 11/22/23 | 910,000 | 1,014,650 | ||
7.625% 3/29/41 | 1,100,000 | 1,499,542 | ||
Indonesian Republic: | ||||
2.875% 7/8/21(Reg. S) | EUR | 2,400,000 | 2,659,496 | |
3.375% 4/15/23 (h) | 555,000 | 513,375 | ||
4.875% 5/5/21 (h) | 490,000 | 510,825 | ||
5.25% 1/17/42 (h) | 715,000 | 663,163 | ||
5.375% 10/17/23 | 400,000 | 420,000 | ||
5.875% 3/13/20 (h) | 385,000 | 423,019 | ||
5.875% 3/13/20 (Reg. S) | 2,450,000 | 2,691,938 | ||
6.625% 2/17/37 (h) | 950,000 | 1,021,250 | ||
6.75% 1/15/44 (h) | 490,000 | 542,087 | ||
7.75% 1/17/38 (h) | 2,270,000 | 2,752,375 | ||
8.5% 10/12/35 (Reg. S) | 2,060,000 | 2,657,400 | ||
Islamic Republic of Pakistan: | ||||
7.125% 3/31/16 (h) | 2,560,000 | 2,608,128 | ||
7.125% 3/31/16 (Reg. S) | 100,000 | 101,880 | ||
7.25% 4/15/19 (h) | 2,685,000 | 2,763,603 | ||
8.25% 4/15/24 (h) | 1,000,000 | 1,052,500 | ||
Ivory Coast 5.75% 12/31/32 | 3,150,000 | 2,835,504 | ||
Jamaican Government 7.875% 7/28/45 | 335,000 | 331,650 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Kazakhstan Republic: | ||||
5.125% 7/21/25 (h) | $ 915,000 | $ 893,269 | ||
6.5% 7/21/45 (h) | 645,000 | 622,425 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 2,486,250 | 2,461,388 | ||
5.45% 11/28/19 | 575,000 | 574,713 | ||
Moroccan Kingdom 4.25% 12/11/22 (h) | 600,000 | 604,020 | ||
Panamanian Republic: | ||||
6.7% 1/26/36 | 460,000 | 560,050 | ||
8.875% 9/30/27 | 335,000 | 469,000 | ||
9.375% 4/1/29 | 415,000 | 606,419 | ||
Peruvian Republic 4% 3/7/27 (f) | 1,360,000 | 1,360,000 | ||
Philippine Republic: | ||||
7.75% 1/14/31 | 665,000 | 962,588 | ||
9.5% 2/2/30 | 895,000 | 1,454,375 | ||
10.625% 3/16/25 | 260,000 | 414,050 | ||
Plurinational State of Bolivia: | ||||
5.95% 8/22/23 (h) | 485,000 | 501,975 | ||
5.95% 8/22/23 | 55,000 | 56,925 | ||
Provincia de Cordoba 12.375% 8/17/17 (h) | 1,990,000 | 2,014,875 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,100,000 | 1,068,595 | ||
Republic of Armenia: | ||||
6% 9/30/20 (h) | 1,756,000 | 1,673,292 | ||
7.15% 3/26/25 (h) | 720,000 | 688,464 | ||
Republic of Iceland 5.875% 5/11/22 (h) | 560,000 | 635,085 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 4,000,000 | 3,055,728 | ||
Republic of Nigeria 5.125% 7/12/18 (h) | 930,000 | 906,285 | ||
Republic of Serbia: | ||||
5.875% 12/3/18 (h) | 1,430,000 | 1,505,504 | ||
6.75% 11/1/24 (h) | 2,196,478 | 2,223,933 | ||
7.25% 9/28/21 (h) | 1,450,000 | 1,638,245 | ||
Romanian Republic: | ||||
4.375% 8/22/23 (h) | 706,000 | 735,864 | ||
6.125% 1/22/44 (h) | 852,000 | 994,199 | ||
Russian Federation: | ||||
4.875% 9/16/23 (h) | 1,135,000 | 1,085,491 | ||
5% 4/29/20 (h) | 625,000 | 629,638 | ||
5.625% 4/4/42 (h) | 400,000 | 362,521 | ||
5.875% 9/16/43 (h) | 1,700,000 | 1,583,040 | ||
7.5% 3/31/30 (Reg. S) | 535,625 | 627,120 | ||
12.75% 6/24/28 (Reg. S) | 5,345,000 | 8,188,273 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
South African Republic: | ||||
5.875% 9/16/25 | $ 1,235,000 | $ 1,333,523 | ||
6.25% 3/8/41 | 500,000 | 550,190 | ||
Turkish Republic: | ||||
3.25% 3/23/23 | 245,000 | 223,163 | ||
4.875% 4/16/43 | 640,000 | 562,368 | ||
5.125% 3/25/22 | 315,000 | 324,986 | ||
5.625% 3/30/21 | 965,000 | 1,024,955 | ||
6.25% 9/26/22 | 680,000 | 743,936 | ||
6.75% 4/3/18 | 565,000 | 616,856 | ||
6.75% 5/30/40 | 975,000 | 1,082,601 | ||
6.875% 3/17/36 | 1,795,000 | 2,013,236 | ||
7% 3/11/19 | 685,000 | 761,446 | ||
7.25% 3/5/38 | 1,150,000 | 1,347,685 | ||
7.375% 2/5/25 | 1,170,000 | 1,372,995 | ||
7.5% 11/7/19 | 1,215,000 | 1,385,756 | ||
8% 2/14/34 | 570,000 | 712,728 | ||
11.875% 1/15/30 | 630,000 | 1,032,494 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h) | 790,000 | 556,316 | ||
Ukraine Government: | ||||
7.8% 11/28/22 (h) | 1,870,000 | 1,338,172 | ||
9.25% 7/24/17 (h) | 1,595,000 | 1,139,628 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.75% 1/22/17 | GBP | 1,380,000 | 2,152,546 | |
3.25% 1/22/44 | GBP | 1,600,000 | 2,789,279 | |
4.5% 9/7/34 | GBP | 1,835,000 | 3,701,097 | |
United Mexican States: | ||||
4.6% 1/23/46 | 695,000 | 634,188 | ||
4.75% 3/8/44 | 13,812,000 | 12,879,690 | ||
5.55% 1/21/45 | 650,000 | 679,250 | ||
6.05% 1/11/40 | 1,366,000 | 1,529,920 | ||
6.75% 9/27/34 | 650,000 | 791,375 | ||
United Republic of Tanzania 6.3971% 3/9/20 (n) | 205,000 | 202,950 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,130,000 | 1,473,238 | ||
Venezuelan Republic: | ||||
5.75% 2/26/16 (Reg S.) | 7,620,000 | 6,057,900 | ||
9% 5/7/23 (Reg. S) | 695,000 | 254,023 | ||
9.25% 9/15/27 | 1,250,000 | 523,750 | ||
9.25% 5/7/28 (Reg. S) | 480,000 | 175,920 | ||
11.75% 10/21/26 (Reg. S) | 1,115,000 | 461,053 | ||
11.95% 8/5/31 (Reg. S) | 3,855,000 | 1,595,970 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Venezuelan Republic: - continued | ||||
12.75% 8/23/22 | $ 2,000,000 | $ 932,000 | ||
Vietnamese Socialist Republic: | ||||
1.2139% 3/12/16 (n) | 256,522 | 252,995 | ||
4% 3/12/28 (f) | 5,357,917 | 5,163,692 | ||
4.8% 11/19/24 (h) | 1,000,000 | 960,000 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $228,712,522) |
| |||
Supranational Obligations - 0.0% | ||||
| ||||
European Investment Bank 1.75% 9/15/45(Reg. S) | EUR | 65,000 |
|
Common Stocks - 0.0% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 846,728 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 2,680,932 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
FairPoint Communications, Inc. (a) | 19,400 | 317,384 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E, | 1 | 134,408 | |
TOTAL TELECOMMUNICATION SERVICES | 451,792 | ||
TOTAL COMMON STOCKS (Cost $5,726,831) |
| ||
Preferred Stocks - 0.1% | |||
Shares | Value | ||
Convertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D 7.00% | 9,000 | $ 246,094 | |
FelCor Lodging Trust, Inc. Series A, 1.95% | 18,000 | 458,100 | |
| 704,194 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.1% | |||
Real Estate Investment Trusts - 0.1% | |||
Alexandria Real Estate Equities, Inc. Series E, 6.45% | 15,000 | 391,500 | |
Annaly Capital Management, Inc.: | |||
Series C, 7.625% | 27,600 | 680,340 | |
Series D, 7.50% | 5,942 | 145,520 | |
Boston Properties, Inc. 5.25% | 17,500 | 432,950 | |
CBL & Associates Properties, Inc.: | |||
Series D, 7.375% | 7,720 | 195,702 | |
Series E, 6.625% | 25,000 | 624,750 | |
Cedar Shopping Centers, Inc. Series B, 7.25% | 10,000 | 251,800 | |
Corporate Office Properties Trust Series L, 7.375% | 12,221 | 317,868 | |
CYS Investments, Inc. Series B, 7.50% | 21,700 | 479,787 | |
DDR Corp. Series K, 6.25% | 17,823 | 445,575 | |
Digital Realty Trust, Inc. Series E, 7.00% | 10,000 | 258,000 | |
Equity Lifestyle Properties, Inc. Series C, 6.75% | 22,449 | 577,164 | |
Essex Property Trust, Inc. Series H, 7.125% | 9,354 | 241,801 | |
First Potomac Realty Trust 7.75% | 15,000 | 381,000 | |
Hersha Hospitality Trust Series B, 8.00% | 13,844 | 353,160 | |
Hospitality Properties Trust Series D, 7.125% | 10,000 | 263,000 | |
LaSalle Hotel Properties Series H, 7.50% | 10,000 | 258,400 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 552,600 | |
PS Business Parks, Inc.: | |||
Series R, 6.875% | 10,000 | 253,800 | |
Series S, 6.45% | 21,000 | 547,050 | |
Public Storage: | |||
Series P, 6.50% | 12,000 | 305,880 | |
Series R, 6.35% | 10,500 | 272,580 | |
Series S, 5.90% | 20,000 | 508,800 | |
Realty Income Corp. Series F, 6.625% | 12,000 | 318,960 | |
Regency Centers Corp. Series 6, 6.625% | 5,510 | 143,536 | |
Retail Properties America, Inc. 7.00% | 24,109 | 614,780 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 464,964 | |
Stag Industrial, Inc. Series A, 9.00% | 20,000 | 551,200 | |
Preferred Stocks - continued | |||
Shares | Value | ||
Nonconvertible Preferred Stocks - continued | |||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Sun Communities, Inc. Series A, 7.125% | 34,260 | $ 880,482 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 288,325 | |
| 12,001,274 | ||
TOTAL PREFERRED STOCKS (Cost $12,416,231) |
|
Bank Loan Obligations - 5.3% | ||||
| Principal Amount (e) |
| ||
CONSUMER DISCRETIONARY - 1.8% | ||||
Auto Components - 0.0% | ||||
Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (n) | $ 1,490,472 | 1,453,583 | ||
North American Lifting Holdings, Inc.: | ||||
Tranche 1LN, term loan 5.5% 11/27/20 (n) | 4,635,496 | 4,380,544 | ||
Tranche 2LN, term loan 10% 11/27/21 (n) | 1,594,000 | 1,442,570 | ||
Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (n) | 1,041,398 | 1,034,025 | ||
| 8,310,722 | |||
Automobiles - 0.0% | ||||
Chrysler Group LLC term loan 3.25% 12/31/18 (n) | 1,287,594 | 1,281,968 | ||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (n) | 1,284,463 | 1,277,399 | ||
Diversified Consumer Services - 0.2% | ||||
Bright Horizons Family Solutions Tranche B 2LN, term loan 4.2506% 1/30/20 (n) | 1,497,475 | 1,497,475 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (n) | 1,087,423 | 1,085,477 | ||
Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (n) | 5,283,450 | 5,205,836 | ||
Creative Artists Agency LLC Tranche B, term loan 5.5% 12/17/21 (n) | 3,932,240 | 3,956,817 | ||
KC Mergersub, Inc.: | ||||
Tranche 1LN, term loan 6% 8/13/22 (n) | 2,500,000 | 2,450,000 | ||
Tranche L 2LN, term loan 10.25% 8/13/23 (n) | 1,000,000 | 980,000 | ||
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (n) | 15,849,926 | 14,552,292 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Diversified Consumer Services - continued | ||||
Nord Anglia Education Tranche B, term loan 4.5% 3/31/21 (n) | $ 5,965,779 | $ 5,921,035 | ||
The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (n) | 2,834,462 | 2,818,277 | ||
Wash Multifamily Acquisition, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 5/14/22 (n) | 915,000 | 905,850 | ||
Tranche B 2LN, term loan 8% 5/14/23 (n) | 360,000 | 360,000 | ||
William Morris Endeavor Entertainment, LLC. Tranche B 1LN, term loan 5.25% 5/6/21 (n) | 745,236 | 741,510 | ||
| 40,474,569 | |||
Hotels, Restaurants & Leisure - 0.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (n) | 3,524,276 | 3,387,710 | ||
American Casino & Entertainment Properties LLC Tranche B, term loan 5% 7/7/22 (n) | 1,500,000 | 1,503,750 | ||
Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (n) | 5,515,708 | 5,532,255 | ||
Belmond Interfin Ltd. Tranche B, term loan 4% 3/21/21 (n) | 2,273,489 | 2,258,324 | ||
Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (n) | 2,856,793 | 2,852,508 | ||
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (n) | 7,028,323 | 6,697,008 | ||
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (n) | 17,116,415 | 14,834,284 | ||
CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (n) | 2,451,144 | 2,448,840 | ||
CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (n) | 1,573,000 | 1,569,068 | ||
ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 7/24/20 (n) | 3,764,000 | 3,757,714 | ||
Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (n) | 2,305,000 | 2,305,000 | ||
Equinox Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 8/1/20 (n) | 903,000 | 915,037 | ||
Tranche B 1LN, term loan 5% 2/1/20 (n) | 4,617,678 | 4,614,815 | ||
ESH Hospitality, Inc. Tranche B, term loan 5% 6/24/19 (n) | 1,285,062 | 1,293,903 | ||
Four Seasons Holdings, Inc.: | ||||
Tranche 2LN, term loan 6.25% 12/27/20 (n) | 3,037,000 | 3,037,000 | ||
Tranche B 1LN, term loan 3.5% 6/27/20 (n) | 5,140,410 | 5,099,698 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Golden Nugget, Inc. Tranche B, term loan: | ||||
5.5% 11/21/19 (n) | $ 5,193,455 | $ 5,196,726 | ||
5.5% 11/21/19 (n) | 2,225,348 | 2,226,750 | ||
Graton Economic Development Authority Tranche B, term loan 4.75% 8/5/22 (n) | 5,100,000 | 5,100,000 | ||
Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (n) | 6,905,978 | 6,890,854 | ||
La Quinta Intermediate Holdings LLC Tranche B LN, Tranche B, term loan 3.75% 4/14/21 (n) | 5,574,271 | 5,557,994 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (n) | 3,682,168 | 3,685,445 | ||
Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (n) | 566,375 | 563,050 | ||
LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (n) | 3,020,000 | 2,994,511 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (n) | 1,923,138 | 1,905,349 | ||
Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 11/19/19 (n) | 5,332,010 | 5,278,690 | ||
NCL Corp. Ltd. Tranche B, term loan 4% 11/19/21 (n) | 347,200 | 347,054 | ||
Planet Fitness Holdings, LLC. Tranche B, term loan 4.75% 3/31/21 (n) | 2,572,141 | 2,568,926 | ||
Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (n) | 2,397,797 | 2,382,811 | ||
Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (n) | 3,398,622 | 3,415,615 | ||
Scientific Games Corp.: | ||||
Tranche B 2LN, term loan 6% 10/1/21 (n) | 14,058,355 | 13,886,984 | ||
Tranche B, term loan 6% 10/18/20 (n) | 511,404 | 505,364 | ||
SMG Tranche B 1LN, term loan 4.5% 2/27/20 (n) | 1,621,768 | 1,611,632 | ||
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (n) | 3,044,898 | 3,037,286 | ||
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (n) | 1,975,000 | 1,975,000 | ||
Town Sports International LLC Tranche B, term loan 4.5% 11/15/20 (n) | 2,131,182 | 1,502,483 | ||
Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (n) | 1,512,304 | 1,502,217 | ||
Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (n) | 501,980 | 490,268 | ||
| 134,731,923 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.0% | ||||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (n) | $ 2,119,133 | $ 2,099,277 | ||
Leisure Products - 0.0% | ||||
SRAM LLC. Tranche B, term loan 4.0205% 4/10/20 (n) | 2,920,929 | 2,818,697 | ||
Media - 0.5% | ||||
Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (n) | 2,992,500 | 2,956,979 | ||
CDS U.S. Intermediate Holdings, Inc.: | ||||
Tranche B 1LN, term loan 5% 7/8/22 (n) | 1,255,000 | 1,253,431 | ||
Tranche B 2LN, term loan 9.25% 7/8/23 (n) | 465,000 | 459,769 | ||
Cengage Learning Acquisitions, Inc. Tranche 1LN, term loan 7% 3/31/20 (n) | 4,211,365 | 4,201,511 | ||
Charter Communications Operating LLC: | ||||
Tranche E, term loan 3% 7/1/20 (n) | 1,493,381 | 1,479,253 | ||
Tranche F, term loan 3% 1/3/21 (n) | 6,767,749 | 6,698,380 | ||
Tranche H, term loan 3.25% 8/24/21 (n) | 1,000,000 | 996,940 | ||
Tranche I, term loan 3.5% 1/24/23 (n) | 6,335,000 | 6,320,746 | ||
Clear Channel Communications, Inc. Tranche D, term loan 6.948% 1/30/19 (n) | 14,695,000 | 12,949,969 | ||
CSC Holdings LLC Tranche B, term loan 2.698% 4/17/20 (n) | 1,305,622 | 1,286,861 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (n) | 6,471,811 | 4,081,836 | ||
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (n) | 3,000,000 | 2,962,500 | ||
ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (n) | 1,497,475 | 1,493,731 | ||
Karman Buyer Corp.: | ||||
Tranche 1LN, term loan 4.25% 7/25/21 (n) | 3,681,201 | 3,636,585 | ||
Tranche 2LN, term loan 7.5% 7/25/22 (n) | 1,880,000 | 1,822,660 | ||
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 4.5% 1/7/22 (n) | 1,620,000 | 1,572,745 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 4.75% 3/22/19 (n) | 1,952,153 | 1,952,641 | ||
McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (n) | 1,853,591 | 1,848,957 | ||
Numericable LLC: | ||||
Tranche B 1LN, term loan 4% 7/20/22 (n) | 1,000,000 | 995,140 | ||
Tranche B 1LN, term loan 4.5% 5/8/20 (n) | 5,809,355 | 5,803,139 | ||
Tranche B 2LN, term loan 4.5% 5/8/20 (n) | 5,025,944 | 5,020,566 | ||
Proquest LLC Tranche B, term loan 5.25% 10/24/21 (n) | 2,995,927 | 2,994,069 | ||
Regal Cinemas Corp. Tranche B, term loan 3.75% 4/1/22 (n) | 1,000,000 | 998,750 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (n) | $ 10,885,086 | $ 10,789,841 | ||
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (n) | 2,577,423 | 2,557,293 | ||
UPC Broadband Holding BV Tranche AH, term loan 3.25% 6/30/21 (n) | 1,355,000 | 1,334,431 | ||
Virgin Media Investment Holdings Ltd. Tranche B, term loan 3.5% 6/30/23 (n) | 1,013,348 | 1,001,046 | ||
WideOpenWest Finance LLC Tranche B, term loan 4.5% 4/1/19 (n) | 997,500 | 993,600 | ||
WMG Acquisition Corp. term loan 3.75% 7/1/20 (n) | 1,480,466 | 1,449,628 | ||
Ziggo B.V.: | ||||
Tranche B 1LN, term loan 3.5% 1/15/22 (n) | 1,391,000 | 1,371,150 | ||
Tranche B 2LN, term loan 3.5% 1/15/22 (n) | 897,000 | 884,200 | ||
Tranche B 3LN, term loan 3.5% 1/15/22 (n) | 1,475,000 | 1,453,952 | ||
| 95,622,299 | |||
Multiline Retail - 0.2% | ||||
Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 3/9/22 (n) | 4,000,000 | 4,000,000 | ||
JC Penney Corp., Inc. Tranche B, term loan: | ||||
5% 6/20/19 (n) | 3,292,869 | 3,278,875 | ||
6% 5/22/18 (n) | 15,590,789 | 15,546,979 | ||
Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (n) | 6,132,790 | 6,046,931 | ||
| 28,872,785 | |||
Specialty Retail - 0.2% | ||||
Academy Ltd. Tranche B, term loan 5% 7/2/22 (n) | 4,500,000 | 4,477,500 | ||
Davids Bridal, Inc. Tranche B, term loan 5.25% 10/11/19 (n) | 1,882,000 | 1,793,791 | ||
General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (n) | 1,646,368 | 1,628,884 | ||
J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (n) | 7,355,193 | 5,694,170 | ||
Party City Holdings, Inc. Tranche B, term loan 8/19/22 (s) | 3,655,000 | 3,648,165 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (n) | 1,344,958 | 1,341,596 | ||
PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (n) | 11,214,893 | 11,191,566 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n) | $ 3,137,000 | $ 2,670,371 | ||
Staples, Inc. Tranche B, term loan 4/24/21 (s) | 3,000,000 | 2,985,000 | ||
| 35,431,043 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Calceus Acquisition, Inc. Tranche B 1LN, term loan 5% 2/1/20 (n) | 1,474,714 | 1,405,889 | ||
Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (n) | 2,445,180 | 2,448,236 | ||
Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (n) | 4,026,009 | 4,026,009 | ||
| 7,880,134 | |||
TOTAL CONSUMER DISCRETIONARY | 358,800,816 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.0% | ||||
Blue Ribbon LLC: | ||||
Tranche 2LN, term loan 9.25% 11/13/22 (n) | 1,332,000 | 1,308,690 | ||
Tranche B 1LN, term loan 5.75% 11/13/21 (n) | 6,357,861 | 6,353,919 | ||
| 7,662,609 | |||
Food & Staples Retailing - 0.3% | ||||
Albertson's LLC: | ||||
Tranche B 2LN, term loan 5.375% 3/21/19 (n) | 3,736,436 | 3,732,625 | ||
Tranche B 3LN, term loan 5% 8/25/19 (n) | 1,693,236 | 1,692,186 | ||
Tranche B 4LN, term loan 5.5% 8/25/21 (n) | 15,960,260 | 15,956,270 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 2LN, term loan 8.5% 3/31/20 (n) | 653,000 | 646,470 | ||
Tranche B 1LN, term loan 4.5% 9/26/19 (n) | 5,968,867 | 5,941,828 | ||
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (n) | 1,478,476 | 1,452,603 | ||
GOBP Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.25% 10/21/22 (n) | 1,129,000 | 1,120,533 | ||
Tranche B 1LN, term loan 4.75% 10/21/21 (n) | 3,428,800 | 3,412,719 | ||
Performance Food Group, Inc. Tranche 2LN, term loan 6.25% 11/14/19 (n) | 6,695,838 | 6,695,838 | ||
Shearer's Foods, Inc.: | ||||
Tranche 2LN, term loan 7.75% 6/30/22 (n) | 2,913,000 | 2,854,740 | ||
Tranche B 1LN, term loan 4.5% 6/30/21 (n) | 3,400,867 | 3,362,607 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (n) | $ 2,378,000 | $ 2,367,608 | ||
SUPERVALU, Inc. Tranche B, term loan 4.5% 3/21/19 (n) | 1,118,958 | 1,121,577 | ||
| 50,357,604 | |||
Food Products - 0.1% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (n) | 1,481,000 | 1,486,554 | ||
Ferrara Candy Co., Inc. Tranche B, term loan 7.5% 6/18/18 (n) | 2,119,101 | 2,111,154 | ||
Hostess Brands LLC: | ||||
Tranche B 1LN, term loan 4.5% 8/3/22 (n) | 1,070,000 | 1,069,668 | ||
Tranche B 2LN, term loan 8.5% 8/3/23 (n) | 125,000 | 125,156 | ||
JBS U.S.A. LLC Tranche B, term loan 8/18/22 (s) | 3,540,000 | 3,524,530 | ||
Post Holdings, Inc. Tranche B, term loan 3.75% 6/2/21 (n) | 480,696 | 479,696 | ||
| 8,796,758 | |||
Household Products - 0.0% | ||||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (n) | 2,429,444 | 2,335,303 | ||
Personal Products - 0.0% | ||||
Prestige Brands, Inc. Tranche B 3LN, term loan 3.5088% 9/3/21 (n) | 289,703 | 289,040 | ||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (n) | 2,652,718 | 2,641,125 | ||
| 2,930,165 | |||
TOTAL CONSUMER STAPLES | 72,082,439 | |||
ENERGY - 0.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (n) | 8,938,420 | 6,435,663 | ||
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (n) | 4,106,261 | 3,161,821 | ||
Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (n) | 6,113,277 | 5,058,737 | ||
Floatel International Ltd. Tranche B, term loan 6% 6/27/20 (n) | 2,328,212 | 1,639,061 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (n) | $ 2,112,223 | $ 1,522,554 | ||
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (n) | 1,114,343 | 759,425 | ||
Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (n) | 417,737 | 325,835 | ||
| 18,903,096 | |||
Oil, Gas & Consumable Fuels - 0.3% | ||||
Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.75% 6/20/21 (n) | 978,701 | 972,281 | ||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (n) | 1,468,469 | 1,468,469 | ||
Chelsea Petroleum Products I LLC Tranche B, term loan 7/22/22 (s) | 2,385,000 | 2,346,244 | ||
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (n) | 4,612,000 | 3,973,238 | ||
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (n) | 2,453,505 | 2,458,608 | ||
Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (n) | 533,313 | 531,479 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (n) | 5,952,913 | 5,446,916 | ||
Energy Transfer Equity LP Tranche C, term loan 4% 12/2/19 (n) | 1,937,824 | 1,908,155 | ||
Fieldwood Energy, LLC: | ||||
Tranche 2LN, term loan 8.375% 9/30/20 (n) | 4,629,000 | 1,747,448 | ||
Tranche B 1LN, term loan 3.875% 9/30/18 (n) | 1,833,674 | 1,603,328 | ||
Foresight Energy LLC Tranche B, term loan 5.5% 8/23/20 (n) | 1,105,000 | 1,051,595 | ||
Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (n) | 5,856,496 | 5,622,236 | ||
Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (n) | 9,096,000 | 8,777,640 | ||
Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (n) | 521,367 | 517,889 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (n) | 3,767,028 | 3,578,677 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (n) | 1,020,000 | 951,150 | ||
Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (n) | 6,895,944 | 5,062,795 | ||
Penn Products Terminals LLC Tranche B, term loan 4.75% 4/13/22 (n) | 1,291,763 | 1,278,845 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sheridan Investment Partners I term loan 4.25% 12/16/20 (n) | $ 3,004,343 | $ 2,343,388 | ||
Sheridan Investment Partners I, LLC: | ||||
Tranche B 2LN, term loan 4.25% 10/1/19 (n) | 3,477,061 | 2,746,878 | ||
Tranche B, term loan 4.25% 10/1/18 (n) | 727,481 | 571,072 | ||
Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (n) | 155,414 | 121,223 | ||
Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (n) | 1,717,327 | 1,640,047 | ||
Targa Resources Corp. term loan 5.75% 2/27/22 (n) | 1,470,512 | 1,468,673 | ||
TPF II Power, LLC Tranche B, term loan 5.5% 10/2/21 (n) | 1,804,221 | 1,805,718 | ||
Western Refining, Inc. Tranche B, term loan 4.25% 11/12/20 (n) | 837,747 | 832,512 | ||
| 60,826,504 | |||
TOTAL ENERGY | 79,729,600 | |||
FINANCIALS - 0.2% | ||||
Capital Markets - 0.0% | ||||
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (n) | 931,384 | 925,563 | ||
IBC Capital U.S. LLC: | ||||
Tranche 2LN, term loan 8% 11/15/22 (n) | 2,505,000 | 2,436,113 | ||
Tranche B 1LN, term loan 4.75% 11/15/21 (n) | 1,989,015 | 1,924,372 | ||
| 5,286,048 | |||
Consumer Finance - 0.0% | ||||
Flying Fortress Holdings, Inc. Tranche B, term loan 3.5% 4/30/20 (n) | 2,000,000 | 1,998,760 | ||
Diversified Financial Services - 0.1% | ||||
Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (n) | 1,618,000 | 1,615,169 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (n) | 634,249 | 604,122 | ||
TransUnion LLC Tranche B 2LN, term loan 3.75% 4/9/21 (n) | 8,004,735 | 7,937,175 | ||
| 10,156,466 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - 0.0% | ||||
Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (n) | $ 2,500,000 | $ 2,489,075 | ||
HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (n) | 690,000 | 681,665 | ||
| 3,170,740 | |||
Real Estate Management & Development - 0.1% | ||||
CityCenter 8.74% 7/12/16 (n) | 331,828 | 331,828 | ||
DTZ U.S. Borrower LLC: | ||||
Tranche 2LN, term loan 9.25% 11/4/22 (n) | 1,882,000 | 1,886,705 | ||
Tranche B 1LN, term loan 11/4/21 (s) | 500,000 | 494,585 | ||
Tranche B 1LN, term loan 5.5% 11/4/21 (n) | 3,745,180 | 3,704,620 | ||
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (n) | 16,957 | 16,788 | ||
Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (n) | 8,718,645 | 8,685,950 | ||
| 15,120,476 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 2/15/18 (n) | 3,523,844 | 3,499,318 | ||
TOTAL FINANCIALS | 39,231,808 | |||
HEALTH CARE - 0.4% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (n) | 1,490,000 | 1,488,972 | ||
DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (n) | 1,150,000 | 1,143,100 | ||
Hill-Rom Holdings, Inc. Tranche B, term loan 7/30/22 (s) | 1,500,000 | 1,500,315 | ||
| 4,132,387 | |||
Health Care Providers & Services - 0.2% | ||||
AmSurg Corp. Tranche B, term loan 3.75% 7/16/21 (n) | 2,426,568 | 2,423,851 | ||
Community Health Systems, Inc.: | ||||
Tranche F, term loan 3.5749% 12/31/18 (n) | 997,500 | 996,253 | ||
Tranche G, term loan 3.75% 12/31/19 (n) | 1,980,760 | 1,977,056 | ||
Tranche H, term loan 4% 1/27/21 (n) | 7,019,240 | 7,032,015 | ||
Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (n) | 1,000,000 | 996,670 | ||
Dialysis Newco, Inc.: | ||||
Tranche 2LN, term loan 7.75% 10/22/21 (n) | 1,882,000 | 1,898,468 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Dialysis Newco, Inc.: - continued | ||||
Tranche B 1LN, term loan 4.5% 4/23/21 (n) | $ 4,105,266 | $ 4,088,147 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (n) | 1,887,166 | 1,884,335 | ||
Genesis HealthCare Corp. Tranche B, term loan 10% 12/4/17 (n) | 2,152,000 | 2,184,280 | ||
HCA Holdings, Inc.: | ||||
Tranche B 4LN, term loan 3.0318% 5/1/18 (n) | 2,620,663 | 2,615,107 | ||
Tranche B 5LN, term loan 2.948% 3/31/17 (n) | 4,331,954 | 4,321,688 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (n) | 5,550,018 | 5,272,517 | ||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (n) | 5,635,000 | 5,596,964 | ||
Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (n) | 2,567,035 | 2,562,235 | ||
MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (n) | 455,448 | 449,400 | ||
Quintiles Transnational Corp. Tranche B, term loan 3.25% 5/12/22 (n) | 590,000 | 588,525 | ||
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (n) | 227,855 | 227,570 | ||
U.S. Renal Care, Inc.: | ||||
Tranche 2LN, term loan 8.5% 1/3/20 (n) | 540,000 | 540,675 | ||
Tranche B 2LN, term loan 4.25% 7/3/19 (n) | 1,638,661 | 1,633,204 | ||
| 47,288,960 | |||
Life Sciences Tools & Services - 0.0% | ||||
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (n) | 7,100,141 | 7,012,525 | ||
Pharmaceuticals - 0.2% | ||||
Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (n) | 1,451,625 | 1,444,367 | ||
Concordia Healthcare Corp. Tranche B, term loan 4.75% 4/21/22 (n) | 730,000 | 730,460 | ||
Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (n) | 1,780,800 | 1,780,355 | ||
Endo Pharmaceuticals, Inc. Tranche B, term loan 6/24/22 (s) | 3,000,000 | 2,999,460 | ||
Genoa, a QoL Healthcare Co. LLC: | ||||
Tranche 1LN, term loan 4.5% 4/30/22 (n) | 1,510,000 | 1,507,176 | ||
Tranche 2LN, term loan 8.75% 4/30/23 (n) | 1,000,000 | 1,000,000 | ||
Grifols, S.A. Tranche B, term loan 3.198% 2/27/21 (n) | 1,486,474 | 1,483,263 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (n) | $ 1,065,000 | $ 1,063,669 | ||
Pharmedium Healthcare Corp.: | ||||
Tranche 2LN, term loan 7.75% 1/28/22 (n) | 2,625,000 | 2,615,156 | ||
Tranche B 1LN, term loan 4.25% 1/28/21 (n) | 8,199,843 | 8,111,038 | ||
PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (n) | 3,811,711 | 3,807,899 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
Tranche BD 2LN, term loan 3.5% 2/13/19 (n) | 1,882,000 | 1,875,131 | ||
Tranche E, term loan 3.75% 8/5/20 (n) | 1,882,000 | 1,875,526 | ||
| 30,293,500 | |||
TOTAL HEALTH CARE | 88,727,372 | |||
INDUSTRIALS - 0.5% | ||||
Aerospace & Defense - 0.1% | ||||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (n) | 509,394 | 506,633 | ||
Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (n) | 271,338 | 269,302 | ||
Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (n) | 2,017,819 | 2,014,449 | ||
TransDigm, Inc.: | ||||
Tranche C, term loan 3.75% 2/28/20 (n) | 3,666,862 | 3,626,930 | ||
Tranche D, term loan 3.75% 6/4/21 (n) | 6,073,277 | 6,004,953 | ||
| 12,422,267 | |||
Airlines - 0.0% | ||||
American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (n) | 1,985,000 | 1,968,465 | ||
U.S. Airways, Inc. Tranche B 1LN, term loan 3.5% 5/23/19 (n) | 1,567,010 | 1,557,216 | ||
| 3,525,681 | |||
Building Products - 0.1% | ||||
GYP Holdings III Corp.: | ||||
Tranche 1LN, term loan 4.75% 4/1/21 (n) | 7,013,682 | 6,851,526 | ||
Tranche 2LN, term loan 7.75% 4/1/22 (n) | 1,260,000 | 1,232,444 | ||
Jeld-Wen, Inc. Tranche B, term loan 5% 7/1/22 (n) | 1,000,000 | 996,880 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
LBM Borrower LLC Tranche B 1LN, term loan 7.5% 8/20/22 (n) | $ 6,615,000 | $ 6,482,700 | ||
Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (n) | 872,582 | 862,547 | ||
| 16,426,097 | |||
Commercial Services & Supplies - 0.1% | ||||
ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (n) | 3,598,919 | 3,562,930 | ||
ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (n) | 1,493,438 | 1,486,509 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (n) | 4,886,176 | 4,389,399 | ||
Garda World Security Corp.: | ||||
term loan 4.0032% 11/8/20 (n) | 3,213,302 | 3,159,737 | ||
Tranche DD, term loan 4.0032% 11/8/20 (n) | 750,389 | 737,880 | ||
Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (n) | 7,261,424 | 6,989,120 | ||
Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (n) | 2,145,000 | 2,131,594 | ||
Metal Services LLC Tranche B, term loan 6% 6/30/17 (n) | 1,111,359 | 1,101,167 | ||
Redtop Acquisitions Ltd. Tranche 2LN, term loan 8.25% 6/3/21 (n) | 612,889 | 607,784 | ||
The Brickman Group, Ltd.: | ||||
Tranche 2LN, term loan 7.5% 12/18/21 (n) | 560,000 | 546,700 | ||
Tranche B 1LN, term loan 4% 12/18/20 (n) | 4,421,612 | 4,349,053 | ||
WTG Holdings III Corp. Tranche B 1LN, term loan 4.75% 1/15/21 (n) | 555,182 | 551,018 | ||
| 29,612,891 | |||
Construction & Engineering - 0.1% | ||||
Drumm Investors LLC Tranche B, term loan 6.75% 5/4/18 (n) | 9,257,383 | 9,309,502 | ||
Ls Deco LLC Tranche B, term loan 5.5% 5/21/22 (n) | 3,250,000 | 3,266,250 | ||
| 12,575,752 | |||
Electrical Equipment - 0.0% | ||||
Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (n) | 1,374,691 | 1,361,810 | ||
Machinery - 0.1% | ||||
Doosan Infracore, Inc. Tranche B, term loan 4.5% 5/28/21 (n) | 825,432 | 827,495 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (n) | $ 1,287,713 | $ 1,260,349 | ||
Mueller Water Products, Inc. Tranche B, term loan 4% 11/25/21 (n) | 1,520,360 | 1,520,360 | ||
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 4.25% 3/13/22 (n) | 2,973,548 | 2,969,206 | ||
Rexnord LLC Tranche B, term loan 4% 8/21/20 (n) | 3,449,756 | 3,413,534 | ||
The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (n) | 1,120,356 | 1,071,340 | ||
| 11,062,284 | |||
Marine - 0.0% | ||||
American Commercial Lines, Inc. Tranche B, term loan 7.5% 9/22/19 (n) | 2,205,718 | 2,197,446 | ||
Harvey Gulf International Tranche B, term loan 5.5% 6/18/20 (n) | 1,097,415 | 764,536 | ||
Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (n) | 2,036,582 | 2,031,491 | ||
| 4,993,473 | |||
Professional Services - 0.0% | ||||
AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (n) | 2,125,000 | 2,122,875 | ||
On Assignment, Inc. Tranche B, term loan 3.75% 6/5/22 (n) | 1,200,873 | 1,197,871 | ||
Research Now Group, Inc.: | ||||
Tranche 2LN, term loan 9.75% 3/18/22 (n) | 285,000 | 283,575 | ||
Tranche B 1LN, term loan 5.5% 3/18/21 (n) | 872,813 | 864,084 | ||
Science Applications International Corp. Tranche B, term loan 3.75% 5/4/22 (n) | 1,995,000 | 1,994,003 | ||
| 6,462,408 | |||
Road & Rail - 0.0% | ||||
Hertz Corp. Tranche B 2LN, term loan 3% 3/11/18 (n) | 1,123,254 | 1,112,022 | ||
YRC Worldwide, Inc. Tranche B, term loan 8.25% 2/13/19 (n) | 2,223,712 | 2,139,211 | ||
| 3,251,233 | |||
Trading Companies & Distributors - 0.0% | ||||
Fly Funding II Sarl Tranche B, term loan 3.5% 8/9/19 (n) | 2,343,787 | 2,330,615 | ||
TOTAL INDUSTRIALS | 104,024,511 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.0% | ||||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (n) | $ 1,752,721 | $ 1,742,871 | ||
Mitel U.S. Holdings, Inc. Tranche B, term loan 5% 4/29/22 (n) | 1,785,000 | 1,772,166 | ||
| 3,515,037 | |||
Electronic Equipment & Components - 0.1% | ||||
Carros U.S., LLC Tranche B, term loan 4.5% 9/30/21 (n) | 660,672 | 659,020 | ||
CPI Acquisition, Inc. Tranche B, term loan 8/14/22 (s) | 1,500,000 | 1,475,625 | ||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (n) | 4,955,498 | 4,808,617 | ||
Lux FinCo U.S. SPV: | ||||
Tranche 2LN, term loan 7/31/23 (s) | 670,000 | 665,813 | ||
Tranche B 1LN, term loan 7/31/22 (s) | 1,345,000 | 1,338,275 | ||
TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (n) | 4,330,000 | 4,091,850 | ||
| 13,039,200 | |||
Internet Software & Services - 0.0% | ||||
Datapipe, Inc. Tranche B 1LN, term loan 5.25% 3/15/19 (n) | 4,084,908 | 4,064,484 | ||
TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (n) | 946,343 | 939,245 | ||
TELX, Inc. Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 748,221 | 744,951 | ||
| 5,748,680 | |||
IT Services - 0.1% | ||||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (n) | 1,482,550 | 1,426,584 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (n) | 1,867,451 | 1,851,409 | ||
First Data Corp. term loan 3.7004% 3/24/17 (n) | 7,113,000 | 7,089,883 | ||
G.I. Peak Merger Sub Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/17/22 (n) | 515,000 | 489,250 | ||
Tranche B 1LN, term loan 5% 6/17/21 (n) | 1,164,121 | 1,158,300 | ||
WP Mustang Holdings, LLC.: | ||||
Tranche 2LN, term loan 8.5% 5/29/22 (n) | 752,000 | 729,440 | ||
Tranche B 1LN, term loan 5.5% 5/29/21 (n) | 880,553 | 874,503 | ||
| 13,619,369 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Avago Technologies, Inc. Tranche B, term loan 3.75% 5/6/21 (n) | $ 1,594,269 | $ 1,592,276 | ||
Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (n) | 2,673,001 | 2,668,831 | ||
NXP BV Tranche D, term loan 3.25% 1/11/20 (n) | 1,867,496 | 1,856,609 | ||
| 6,117,716 | |||
Software - 0.2% | ||||
Applied Systems, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 1/23/21 (n) | 455,667 | 454,300 | ||
Tranche B 2LN, term loan 7.5% 1/23/22 (n) | 116,000 | 115,246 | ||
Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (n) | 2,135,000 | 2,118,988 | ||
BMC Software Finance, Inc. Tranche B, term loan: | ||||
5% 9/10/20 (n) | 671,591 | 613,948 | ||
5% 9/10/20 (n) | 10,689,020 | 9,811,024 | ||
Epicor Software Corp. Tranche B, term loan 4.75% 6/1/22 (n) | 3,000,000 | 2,988,210 | ||
Hyland Software, Inc. Tranche B 1LN, term loan 4.75% 7/1/22 (n) | 180,000 | 179,494 | ||
Informatica Corp. Tranche B, term loan 4.5% 8/6/22 (n) | 985,000 | 978,026 | ||
Kronos, Inc.: | ||||
Tranche 2LN, term loan 9.75% 4/30/20 (n) | 12,974,594 | 13,179,982 | ||
Tranche B 1LN, term loan 4.5% 10/30/19 (n) | 3,680,000 | 3,678,859 | ||
Renaissance Learning, Inc.: | ||||
Tranche 1LN, term loan 4.5% 4/9/21 (n) | 3,726,134 | 3,629,887 | ||
Tranche 2LN, term loan 8% 4/9/22 (n) | 1,693,000 | 1,640,805 | ||
SS&C Technologies, Inc.: | ||||
Tranche B 1LN, term loan 4% 7/8/22 (n) | 3,210,762 | 3,213,042 | ||
Tranche B 2LN, term loan 4% 7/8/22 (n) | 520,179 | 520,549 | ||
Transfirst, Inc.: | ||||
Tranche 2LN, term loan 9% 11/12/22 (n) | 931,000 | 924,790 | ||
Tranche B 1LN, term loan 4.75% 11/12/21 (n) | 923,934 | 922,086 | ||
| 44,969,236 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||
Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (n) | $ 14,733,075 | $ 14,645,119 | ||
Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (n) | 2,568,960 | 2,552,904 | ||
| 17,198,023 | |||
TOTAL INFORMATION TECHNOLOGY | 104,207,261 | |||
MATERIALS - 0.5% | ||||
Chemicals - 0.2% | ||||
A. Schulman, Inc. Tranche B, term loan 4% 6/1/22 (n) | 1,770,563 | 1,761,710 | ||
AgroFresh, Inc. Tranche B, term loan 5.75% 7/31/21 (n) | 2,500,000 | 2,496,875 | ||
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (n) | 1,117,357 | 1,106,183 | ||
Arizona Chem U.S., Inc.: | ||||
Tranche 2LN, term loan 7.5% 6/12/22 (n) | 781,000 | 772,800 | ||
Tranche B 1LN, term loan 4.5% 6/12/21 (n) | 625,180 | 623,505 | ||
Aruba Investments, Inc. Tranche B, term loan 4.5% 2/2/22 (n) | 992,015 | 987,055 | ||
Chromaflo Technologies Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/2/20 (n) | 751,971 | 706,853 | ||
Tranche B 1LN, term loan 4.5% 12/2/19 (n) | 1,482,473 | 1,437,999 | ||
Eco Services Operations LLC Tranche B, term loan 4.75% 12/1/21 (n) | 2,210,890 | 2,199,836 | ||
Hilex Poly Co. LLC: | ||||
Tranche 2LN, term loan 9.75% 6/5/22 (n) | 1,129,000 | 1,126,178 | ||
Tranche B 1LN, term loan 6% 12/5/21 (n) | 4,108,355 | 4,094,222 | ||
MacDermid, Inc. Tranche B 2LN, term loan 4.75% 6/7/20 (n) | 1,113,206 | 1,112,860 | ||
Royal Holdings, Inc.: | ||||
Tranche B 1LN, term loan 4.5% 6/19/22 (n) | 2,135,000 | 2,125,222 | ||
Tranche B 2LN, term loan 8.5% 6/19/23 (n) | 500,000 | 498,125 | ||
Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (n) | 4,104,375 | 4,124,897 | ||
The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (n) | 2,410,000 | 2,322,638 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (n) | 1,620,000 | 1,615,140 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (n) | $ 512,923 | $ 510,553 | ||
Univar, Inc. Tranche B, term loan 4% 7/1/22 (n) | 1,235,000 | 1,225,738 | ||
| 30,848,389 | |||
Containers & Packaging - 0.2% | ||||
Anchor Glass Container Corp. Tranche B, term loan 4.5% 7/1/22 (n) | 2,408,602 | 2,409,349 | ||
Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (n) | 4,754,924 | 4,731,150 | ||
Berlin Packaging, LLC: | ||||
Tranche 2LN, term loan 7.75% 10/1/22 (n) | 1,129,000 | 1,115,825 | ||
Tranche B 1LN, term loan 4.5% 10/1/21 (n) | 5,609,739 | 5,606,261 | ||
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (n) | 3,552,000 | 3,520,920 | ||
BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (n) | 2,175,494 | 2,175,494 | ||
Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (n) | 730,000 | 727,810 | ||
Charter NEX U.S. Holdings, Inc. Tranche 2LN, term loan 9.25% 2/5/23 (n) | 752,000 | 753,880 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (n) | 3,519,049 | 3,328,422 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.5% 12/1/18 (n) | 9,135,595 | 9,127,647 | ||
Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (n) | 2,708,667 | 2,674,808 | ||
Tricorbraun, Inc. Tranche B, term loan 4% 5/3/18 (n) | 732,664 | 725,338 | ||
| 36,896,904 | |||
Metals & Mining - 0.1% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 12/19/19 (n) | 2,614,761 | 1,838,177 | ||
Tranche B 2LN, term loan 8.75% 12/19/20 (n) | 1,296,000 | 874,800 | ||
Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 1,615,000 | 1,604,503 | ||
Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (n) | 3,596,880 | 3,106,805 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (n) | 15,116,357 | 12,185,447 | ||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (n) | 1,700,010 | 1,685,135 | ||
MRC Global, Inc. Tranche B, term loan 4.75% 11/9/19 (n) | 531,924 | 518,961 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Murray Energy Corp.: | ||||
Tranche B 1LN, term loan 7% 4/16/17 (n) | $ 780,000 | $ 709,153 | ||
Tranche B 2LN, term loan 7.5% 4/16/20 (n) | 6,355,000 | 4,758,306 | ||
Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (n) | 752,000 | 682,440 | ||
Walter Energy, Inc. Tranche B, term loan 5.8% 4/1/18 (n) | 4,707,000 | 1,908,877 | ||
| 29,872,604 | |||
TOTAL MATERIALS | 97,617,897 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Altice Financing SA: | ||||
Tranche B 2LN, term loan 5.25% 1/30/22 (n) | 2,634,000 | 2,647,170 | ||
Tranche B, term loan 5.5% 6/24/19 (n) | 12,993,045 | 13,041,769 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (n) | 6,807,181 | 6,821,340 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (n) | 2,992,500 | 2,983,523 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 3.5% 5/31/22 (n) | 3,764,000 | 3,726,360 | ||
Tranche B 3LN, term loan 4% 8/1/19 (n) | 2,742,000 | 2,737,887 | ||
Tranche B 4LN, term loan 4% 1/15/20 (n) | 3,011,000 | 3,008,170 | ||
LTS Buyer LLC: | ||||
Tranche 2LN, term loan 8% 4/12/21 (n) | 163,000 | 162,865 | ||
Tranche B 1LN, term loan 4% 4/11/20 (n) | 8,914,096 | 8,858,383 | ||
Securus Technologies Holdings, Inc.: | ||||
Tranche 2LN, term loan 9% 4/30/21 (n) | 3,724,000 | 3,337,635 | ||
Tranche B 1LN, term loan 4.75% 4/30/20 (n) | 2,824,628 | 2,717,829 | ||
Securus Technologies, Inc. Tranche B2 1LN, term loan 5.25% 4/30/20 (n) | 1,000,000 | 971,250 | ||
| 51,014,181 | |||
Wireless Telecommunication Services - 0.1% | ||||
Crown Castle Operating Co. Tranche B 2LN, term loan 3% 1/31/21 (n) | 1,501,379 | 1,494,893 | ||
Digicel International Finance Ltd.: | ||||
Tranche D 1LN, term loan 3.8125% 3/31/17 (n) | 1,382,317 | 1,299,378 | ||
Tranche D-2, term loan 3.7818% 3/31/19 (n) | 5,012,683 | 4,724,454 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (n) | $ 4,150,000 | $ 4,072,188 | ||
Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (n) | 1,882,000 | 1,731,440 | ||
| 13,322,353 | |||
TOTAL TELECOMMUNICATION SERVICES | 64,336,534 | |||
UTILITIES - 0.3% | ||||
Electric Utilities - 0.2% | ||||
Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | ||||
6.375% 8/13/18 (n) | 161,490 | 161,652 | ||
6.375% 8/13/19 (n) | 2,444,528 | 2,446,972 | ||
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (n) | 3,011,587 | 2,940,815 | ||
Empire Generating Co. LLC: | ||||
Tranche B, term loan 5.25% 3/14/21 (n) | 3,589,368 | 3,409,900 | ||
Tranche C, term loan 5.25% 3/14/21 (n) | 263,000 | 249,850 | ||
Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (n) | 6,215,916 | 6,200,376 | ||
Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (n) | 5,064,411 | 4,853,377 | ||
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (n) | 3,042,000 | 3,042,000 | ||
InterGen NV Tranche B, term loan 5.5% 6/13/20 (n) | 4,396,131 | 4,132,363 | ||
Longview Power LLC Tranche B, term loan 7% 4/13/21 (n) | 2,000,000 | 2,002,500 | ||
Southeast Powergen LLC Tranche B, term loan 4.5% 12/2/21 (n) | 554,215 | 556,293 | ||
Star West Generation LLC Tranche B, term loan 4.25% 3/13/20 (n) | 2,006,000 | 2,000,985 | ||
TXU Energy LLC Tranche B, term loan 4.6741% 10/10/17 (d)(n) | 1,088,000 | 490,840 | ||
USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (n) | 589,990 | 583,352 | ||
| 33,071,275 | |||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (n) | 4,052,000 | 3,835,907 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southcross Holdings Borrower LP Tranche B, term loan 6% 8/4/21 (n) | $ 2,642,653 | $ 2,191,209 | ||
Veresen Midstream LP Tranche B, term loan 5.25% 3/31/22 (n) | 1,815,450 | 1,812,418 | ||
| 7,839,534 | |||
Independent Power and Renewable Electricity Producers - 0.1% | ||||
Calpine Corp.: | ||||
Tranche B 3LN, term loan 4% 10/9/19 (n) | 2,516,064 | 2,511,132 | ||
Tranche B 4LN, term loan 4% 10/31/20 (n) | 3,727,081 | 3,714,856 | ||
Tranche B 5LN, term loan 3.5% 5/28/22 (n) | 1,500,000 | 1,478,910 | ||
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (n) | 2,653,000 | 2,653,000 | ||
ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (n) | 466,891 | 471,560 | ||
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (n) | 2,799,716 | 2,624,734 | ||
Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (n) | 2,902,415 | 2,851,623 | ||
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 8/11/22 (s) | 3,000,000 | 2,970,000 | ||
| 19,275,815 | |||
TOTAL UTILITIES | 60,186,624 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $1,092,574,461) |
| |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (n) | 904,290 | 886,205 | ||
Goldman Sachs 1.25% 12/14/19 (n) | 775,000 | 759,500 | ||
Mizuho 1.25% 12/14/19 (n) | 363,384 | 356,116 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $1,875,319) |
| |||
Bank Notes - 1.2% | ||||
| Principal Amount (e) | Value | ||
Bank of America NA: | ||||
1.65% 3/26/18 | $ 22,324,000 | $ 22,212,693 | ||
1.75% 6/5/18 | 84,682,000 | 84,232,169 | ||
5.3% 3/15/17 | 3,467,000 | 3,644,614 | ||
Barclays Bank PLC 2.5% 2/20/19 | 7,200,000 | 7,266,816 | ||
Capital One NA 1.65% 2/5/18 | 18,801,000 | 18,561,926 | ||
Discover Bank: | ||||
(Delaware) 3.2% 8/9/21 | 23,245,000 | 22,850,439 | ||
3.1% 6/4/20 | 22,584,000 | 22,536,641 | ||
8.7% 11/18/19 | 2,958,000 | 3,535,484 | ||
JPMorgan Chase Bank 6% 10/1/17 | 11,313,000 | 12,209,555 | ||
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,523,678 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 14,669,000 | 15,309,889 | ||
Regions Bank 7.5% 5/15/18 | 24,647,000 | 27,954,430 | ||
Wachovia Bank NA 6% 11/15/17 | 2,243,000 | 2,450,439 | ||
TOTAL BANK NOTES (Cost $242,512,420) | 245,288,773 | |||
Preferred Securities - 0.8% | ||||
| ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Automobiles - 0.0% | ||||
Volkswagen International Finance NV 2.5%(Reg. S) (i)(n) | EUR | 2,150,000 | 2,343,384 | |
CONSUMER STAPLES - 0.0% | ||||
Food Products - 0.0% | ||||
Cosan Overseas Ltd. 8.25% (i) | 1,725,000 | 1,627,629 | ||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Total SA 2.625% (Reg. S) (i)(n) | EUR | 2,150,000 | 2,299,559 | |
FINANCIALS - 0.8% | ||||
Banks - 0.7% | ||||
BAC Capital Trust XIV 4% (i)(n) | 1,245,000 | 967,734 | ||
Banco Do Brasil SA 9% (h)(i)(n) | 1,415,000 | 1,147,484 | ||
Bank of America Corp.: | ||||
6.1% (i)(n) | 3,225,000 | 3,238,216 | ||
6.25% (i)(n) | 3,680,000 | 3,755,700 | ||
6.5% (i)(n) | 3,000,000 | 3,159,795 | ||
Bank of Ireland 7.375% (Reg. S) (i)(n) | EUR | 2,000,000 | 2,326,877 | |
Barclays Bank PLC 7.625% 11/21/22 | 20,775,000 | 24,126,874 | ||
Barclays PLC: | ||||
6.625% (i)(n) | 7,940,000 | 7,862,515 | ||
8.25% (i)(n) | 5,470,000 | 5,897,920 | ||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
BNP Paribas SA: | ||||
7.375% (h)(i)(n) | $ 3,830,000 | $ 3,931,898 | ||
7.375% 12/29/49 (Reg. S) (n) | 3,100,000 | 3,182,476 | ||
Citigroup, Inc.: | ||||
5.875% (i)(n) | 4,305,000 | 4,378,134 | ||
5.95% (i)(n) | 2,285,000 | 2,273,527 | ||
5.95% (i)(n) | 6,945,000 | 6,787,466 | ||
6.3% (i)(n) | 7,100,000 | 7,019,488 | ||
Credit Agricole SA: | ||||
6.625% (h)(i)(n) | 14,035,000 | 13,938,915 | ||
6.625% (Reg. S) (i)(n) | 2,850,000 | 2,830,489 | ||
8.125% 9/19/33 (Reg. S) (n) | 2,500,000 | 2,861,487 | ||
JPMorgan Chase & Co.: | ||||
5.3% (i)(n) | 3,245,000 | 3,260,582 | ||
6% (i)(n) | 10,455,000 | 10,403,293 | ||
6.75% (i)(n) | 10,085,000 | 10,697,020 | ||
Royal Bank of Scotland Group PLC: | ||||
7.5% (i)(n) | 2,285,000 | 2,300,980 | ||
8% (i)(n) | 1,140,000 | 1,169,689 | ||
Wells Fargo & Co. 5.875% (i)(n) | 2,000,000 | 2,072,541 | ||
| 129,591,100 | |||
Capital Markets - 0.1% | ||||
Credit Suisse Group AG 6.25% (h)(i)(n) | 5,000,000 | 4,864,037 | ||
Deutsche Bank AG 7.5% (i)(n) | 7,600,000 | 7,670,144 | ||
Goldman Sachs Group, Inc. 5.375% (i)(n) | 3,250,000 | 3,245,271 | ||
UBS Group AG: | ||||
6.875% (Reg. S) (i)(n) | 1,950,000 | 1,944,259 | ||
7.125% (Reg. S) (i)(n) | 1,700,000 | 1,836,629 | ||
| 19,560,340 | |||
Diversified Financial Services - 0.0% | ||||
Magnesita Finance Ltd.: | ||||
8.625% (h)(i) | 650,000 | 496,336 | ||
8.625% (Reg. S) (i) | 200,000 | 152,719 | ||
| 649,055 | |||
TOTAL FINANCIALS | 149,800,495 | |||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - 0.0% | ||||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd.: | ||||
7.5% (h)(i) | $ 4,705,000 | $ 3,369,267 | ||
7.5% (Reg. S) (i) | 100,000 | 71,610 | ||
| 3,440,877 | |||
MATERIALS - 0.0% | ||||
Metals & Mining - 0.0% | ||||
CSN Islands XII Corp. 7% (Reg. S) (i) | 2,100,000 | 1,035,971 | ||
UTILITIES - 0.0% | ||||
Electric Utilities - 0.0% | ||||
EDF SA 5.625% (Reg. S) (i)(n) | 2,700,000 | 2,764,547 | ||
TOTAL PREFERRED SECURITIES (Cost $163,665,548) |
|
Money Market Funds - 5.9% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.15% (b) | 1,185,530,172 |
| |
Cash Equivalents - 0.5% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15 (Collateralized by U.S. Government Obligations) # (c) | $ 110,825,462 |
|
See accompanying notes which are an integral part of the financial statements.
Annual Report
Purchased Swaptions - 0.0% | |||||
Expiration Date | Notional Amount (e) | Value | |||
Put Options - 0.0% | |||||
Option on a credit default swap with Morgan Stanley Capital Group, Inc. to buy protection on the 5-Year iTraxx Europe Crossover Series 23 Index expiring June 2020 exercise rate 3.125% | 9/16/15 | EUR | 17,600,000 | $ 206,315 |
TOTAL INVESTMENT PORTFOLIO - 104.0% (Cost $21,131,127,040) | 21,078,070,800 | ||
NET OTHER ASSETS (LIABILITIES) - (4.0)% | (808,453,417) | ||
NET ASSETS - 100% | $ 20,269,617,383 | ||
TBA Sale Commitments | |||
| Principal Amount (e) |
| |
Fannie Mae | |||
3% 9/1/45 | $ (700,000) | (703,008) | |
3% 9/1/45 | (700,000) | (703,008) | |
3% 9/1/45 | (2,100,000) | (2,109,023) | |
3% 9/1/45 | (33,200,000) | (33,342,657) | |
3% 9/1/45 | (12,950,000) | (13,005,645) | |
3% 9/1/45 | (9,700,000) | (9,741,680) | |
3% 9/1/45 | (27,500,000) | (27,618,165) | |
3% 9/1/45 | (11,000,000) | (11,047,266) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (13,200,000) | (14,018,812) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (3,600,000) | (3,823,312) | |
4% 9/1/45 | (28,000,000) | (29,736,874) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (10,000,000) | (10,832,812) | |
TOTAL FANNIE MAE | (346,389,752) | ||
TBA Sale Commitments - continued | |||
| Principal Amount (e) | Value | |
Freddie Mac | |||
3% 9/1/45 | $ (1,500,000) | $ (1,502,109) | |
3% 9/1/45 | (3,200,000) | (3,204,500) | |
TOTAL FREDDIE MAC | (4,706,609) | ||
Ginnie Mae | |||
3.5% 9/1/45 | (31,500,000) | (32,799,372) | |
3.5% 9/1/45 | (20,000,000) | (20,824,998) | |
TOTAL GINNIE MAE | (53,624,370) |
TOTAL TBA SALE COMMITMENTS (Proceeds $404,373,664) | $ (404,720,731) |
Futures Contracts | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Purchased | |||||
Bond Index Contracts | |||||
9 Eurex Euro-Bobl Contracts (Germany) | Sept. 2015 | $ 1,313,218 | $ (3,300) | ||
21 Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | Sept. 2015 | 3,572,005 | (57,360) | ||
2 OSE Japan 10 Year Bond Contracts (Japan) | Sept. 2015 | 2,440,879 | 20,099 | ||
64 TME 10 Year Canadian Note Contracts (Canada) | Dec. 2015 | 6,879,659 | (118,481) | ||
TOTAL BOND INDEX CONTRACTS | $ 14,205,761 | $ (159,042) | |||
Treasury Contracts | |||||
21 ASX 10 Year Treasury Bond Index Contracts (Australia) | Sept. 2015 | 1,924,905 | 80,165 | ||
96 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 20,973,000 | (55,692) | ||
24 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 2,866,500 | (23,111) | ||
50 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 7,920,313 | (286,818) | ||
TOTAL TREASURY CONTRACTS | $ 33,684,718 | $ (285,456) | |||
TOTAL PURCHASED | $ 47,890,479 | $ (444,498) | |||
Futures Contracts - continued | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Sold | |||||
Bond Index Contracts | |||||
3 Eurex Euro-Bund Contracts (Germany) | Sept. 2015 | $ 515,370 | $ (5,052) | ||
20 ICE Long Gilt Contracts (United Kingdom) | Dec. 2015 | 3,596,561 | 19,791 | ||
112 ICE Medium Gilt Contracts (United Kingdom) | Dec. 2015 | 19,051,124 | 22,345 | ||
TOTAL BOND INDEX CONTRACTS | $ 23,163,055 | $ 37,084 | |||
Treasury Contracts | |||||
10 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 1,270,625 | 9,883 | ||
38 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 5,875,750 | 182,799 | ||
TOTAL TREASURY CONTRACTS | $ 7,146,375 | $ 192,682 | |||
TOTAL SOLD | $ 30,309,430 | $ 229,766 | |||
| $ 78,199,909 | $ (214,732) |
The face value of futures purchased as a percentage of net assets is 0.2% |
The face value of futures sold as a percentage of net assets is 0.1% |
Foreign Currency Contracts | ||||||
Settlement Date | Currency | Counterparty | Type | Quantity | Contract Amount (e) | Unrealized Appreciation/ |
11/20/15 | AUD | Credit Suisse Intl. | Sell | 204,000 | $ 149,743 | $ 5,155 |
11/20/15 | CAD | JPMorgan Chase Bank, N.A. | Sell | 135,000 | 102,856 | 262 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 127,000 | 145,663 | (2,968) |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 211,000 | 233,130 | 3,947 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 404,000 | 453,573 | 356 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 237,000 | 267,054 | 764 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 1,603,000 | 1,771,357 | (29,753) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Buy | 194,000 | 226,297 | (8,321) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Sell | 67,385,000 | 74,790,342 | (922,557) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 174,000 | 272,420 | (5,534) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 231,000 | 354,868 | (553) |
11/20/15 | GBP | Credit Suisse Intl. | Sell | 288,000 | 453,631 | 11,888 |
11/20/15 | GBP | JPMorgan Chase Bank, N.A. | Sell | 33,946,000 | 52,958,340 | 890,873 |
11/20/15 | JPY | JPMorgan Chase Bank, N.A. | Sell | 14,350,000 | 115,567 | (2,940) |
| $ (59,381) |
For the period, the average contract value for foreign currency contracts was $177,993,164. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively. |
Swaps | |||||||||
Credit Default Swaps |
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/(Paid) | Notional Amount | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
Buy Protection | |||||||||
Carlsberg Breweries A/S |
| Jun. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 2,600,000 | $ (8,869) | $ 30,763 | $ 21,894 |
Kering SA |
| Sep. | Morgan Stanley Capital Group, Inc. | (1%) | EUR | 3,500,000 | (78,250) | 8,252 | (69,998) |
Metro AG |
| Dec. | Credit Suisse International | (1%) | EUR | 3,850,000 | (6,470) | (28,271) | (34,741) |
Metro AG |
| Dec. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 600,000 | (1,008) | (1,718) | (2,726) |
Standard Chartered Bank |
| Sep. | Citibank, N.A. | (1%) | EUR | 2,700,000 | 155,943 | (145,356) | 10,587 |
Valeo SA |
| Sep. | Credit Suisse International | (1%) | EUR | 3,500,000 | (57,598) | (53,854) | (111,452) |
TOTAL BUY PROTECTION | 3,748 | (190,184) | (186,436) | ||||||
Sell Protection | |||||||||
Commerzbank AG | Ba2 | Sep. | Credit Suisse International | 5% | EUR | 1,850,000 | 342,816 | (369,344) | (26,528) |
Italy Republic Of | A2 | Sep. | JPMorgan Chase Bank, N.A. | 1% |
| 2,800,000 | (13,065) | 21,241 | 8,176 |
Pemex Project Funding Master Trust | A3 | Sep. | Barclays Bank PLC | 1% |
| 3,550,000 | (191,039) | 170,506 | (20,533) |
TOTAL SELL PROTECTION | 138,712 | (177,597) | (38,885) | ||||||
TOTAL CREDIT DEFAULT SWAPS | $ 142,460 | $ (367,781) | $ (225,321) |
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(2) Notional amount is stated in U.S. dollars unless otherwise noted. |
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
Swaps - continued | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) | Payment Received | Payment Paid | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
LCH | Sep. 2020 | $ 35,400,000 | 3-month LIBOR | 2.25% | $ (657,215) | $ 0 | $ (657,215) |
LCH | Sep. 2025 | 20,500,000 | 3-month LIBOR | 2.75% | (686,088) | 0 | (686,088) |
LCH | Sep. 2045 | 8,700,000 | 3-month LIBOR | 3% | (543,452) | 0 | (543,452) |
TOTAL INTEREST RATE SWAPS | $ (1,886,755) | $ 0 | $ (1,886,755) |
(1) Notional amount is stated in U.S. dollars unless otherwise noted. |
|
(2) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(3) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(e) Amount is stated in United States dollars unless otherwise noted. |
(f) 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. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,370,236,323 or 11.7% of net assets. |
(i) Security is perpetual in nature with no stated maturity date. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $873,986. |
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,713,112. |
(m) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $182,501. |
(n) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(o) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(p) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(q) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(r) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(s) The coupon rate will be determined upon settlement of the loan after period end. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$110,825,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 110,825,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 913,060 |
Fidelity Floating Rate Central Fund | 17,840,584 |
Fidelity Mortgage Backed Securities Central Fund | 4,263,089 |
Total | $ 23,016,733 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 440,816,855 | $ 589,842,295 | $ 1,013,143,899 | $ - | 0.0% |
Fidelity Mortgage Backed Securities Central Fund | 2,130,357,633 | - | 2,121,313,208 | - | 0.0% |
Total | $ 2,571,174,488 | $ 589,842,295 | $ 3,134,457,107 | $ - |
* Includes the value of shares redeemed through in-kind transactions. See Note 6 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 846,728 | $ 846,728 | $ - | $ - |
Financials | 12,705,468 | 12,459,374 | 246,094 | - |
Materials | 2,680,932 | 2,680,932 | - | - |
Telecommunication Services | 451,792 | 317,384 | - | 134,408 |
Corporate Bonds | 8,951,784,547 | - | 8,951,772,409 | 12,138 |
U.S. Government and Government Agency Obligations | 3,844,418,792 | - | 3,844,418,792 | - |
U.S. Government Agency - Mortgage Securities | 2,844,544,800 | - | 2,844,544,800 | - |
Asset-Backed Securities | 153,200,820 | - | 149,424,222 | 3,776,598 |
Collateralized Mortgage Obligations | 594,721,855 | - | 594,721,855 | - |
Commercial Mortgage Securities | 1,364,361,739 | - | 1,363,122,289 | 1,239,450 |
Municipal Securities | 307,210,465 | - | 307,210,465 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Foreign Government and Government Agency Obligations | $ 224,958,802 | $ - | $ 223,345,807 | $ 1,612,995 |
Supranational Obligations | 74,655 | - | 74,655 | - |
Bank Loan Obligations | 1,068,944,862 | - | 1,057,929,638 | 11,015,224 |
Sovereign Loan Participations | 2,001,821 | - | - | 2,001,821 |
Bank Notes | 245,288,773 | - | 245,288,773 | - |
Preferred Securities | 163,312,462 | - | 163,312,462 | - |
Money Market Funds | 1,185,530,172 | 1,185,530,172 | - | - |
Cash Equivalents | 110,825,000 | - | 110,825,000 | - |
Purchased Swaptions | 206,315 | - | 206,315 | - |
Total Investments in Securities: | $ 21,078,070,800 | $ 1,201,834,590 | $ 19,856,443,576 | $ 19,792,634 |
Other Derivative | ||||
Assets | ||||
Foreign Currency Contracts | $ 913,245 | $ - | $ 913,245 | $ - |
Futures Contracts | 335,082 | 335,082 | - | - |
Swaps | 498,759 | - | 498,759 | - |
Total Assets | $ 1,747,086 | $ 335,082 | $ 1,412,004 | $ - |
Liabilities | ||||
Foreign Currency Contracts | $ (972,626) | $ - | $ (972,626) | $ - |
Futures Contracts | (549,814) | (549,814) | - | - |
Swaps | (2,243,054) | - | (2,243,054) | - |
Total Liabilities | $ (3,765,494) | $ (549,814) | $ (3,215,680) | $ - |
Total Other Derivative Instruments: | $ (2,018,408) | $ (214,732) | $ (1,803,676) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (404,720,731) | $ - | $ (404,720,731) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Purchased Swaptions (c) | $ 206,315 | $ - |
Swaps (d) | 498,759 | (356,299) |
Total Credit Risk | 705,074 | (356,299) |
Foreign Exchange Risk | ||
Foreign Currency Contracts (a) | 913,245 | (972,626) |
Interest Rate Risk | ||
Futures Contracts (b) | 335,082 | (549,814) |
Swaps (d) | - | (1,886,755) |
Total Interest Rate Risk | 335,082 | (2,436,569) |
Total Value of Derivatives | $ 1,953,401 | $ (3,765,494) |
(a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on foreign currency contracts line-items. |
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item. |
(d) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 88.6% |
United Kingdom | 2.6% |
Mexico | 1.8% |
Luxembourg | 1.2% |
Others (Individually Less Than 1%) | 5.8% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
|
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $108,651,950 and repurchase agreements of $110,825,000) - See accompanying schedule: Unaffiliated issuers (cost $19,945,596,868) | $ 19,892,540,628 |
|
Fidelity Central Funds (cost $1,185,530,172) | 1,185,530,172 |
|
Total Investments (cost $21,131,127,040) |
| $ 21,078,070,800 |
Cash |
| 4,601,208 |
Foreign currency held at value (cost $1,296,971) | 1,290,124 | |
Receivable for investments sold | 153,384,612 | |
Receivable for TBA sale commitments |
| 404,373,664 |
Unrealized appreciation on foreign currency contracts | 913,245 | |
Receivable for fund shares sold | 27,302,194 | |
Dividends receivable | 242,549 | |
Interest receivable | 158,024,967 | |
Distributions receivable from Fidelity Central Funds | 188,651 | |
Bi-lateral OTC swaps, at value | 498,759 | |
Other receivables | 112,232 | |
Total assets | 21,829,003,005 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 68,454,513 |
|
Delayed delivery | 790,446,815 | |
TBA sale commitments, at value | 404,720,731 | |
Unrealized depreciation on foreign currency contracts | 972,626 | |
Payable for fund shares redeemed | 173,044,860 | |
Distributions payable | 2,134,426 | |
Bi-lateral OTC swaps, at value | 356,299 | |
Accrued management fee | 5,298,334 | |
Distribution and service plan fees payable | 313,760 | |
Payable for daily variation margin for derivative instruments | 17,256 | |
Other affiliated payables | 2,448,328 | |
Other payables and accrued expenses | 352,674 | |
Collateral on securities loaned, at value | 110,825,000 | |
Total liabilities | 1,559,385,622 | |
|
|
|
Net Assets | $ 20,269,617,383 | |
Net Assets consist of: |
| |
Paid in capital | $ 20,225,298,052 | |
Undistributed net investment income | 36,361,125 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 63,760,134 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (55,801,928) | |
Net Assets | $ 20,269,617,383 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
| August 31, 2015 | |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($852,242,899 ÷ 80,933,467 shares) | $ 10.53 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.53) | $ 10.97 | |
Class T: | ||
Net Asset Value and redemption price per share ($101,673,134 ÷ 9,671,869 shares) | $ 10.51 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.51) | $ 10.95 | |
Class B: | ||
Net Asset Value and offering price per share ($3,305,036 ÷ 313,709 shares)A | $ 10.54 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($139,264,398 ÷ 13,223,547 shares)A | $ 10.53 | |
|
|
|
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($17,359,293,916 ÷ 1,648,977,386 shares) | $ 10.53 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($1,266,870,294 ÷ 120,521,809 shares) | $ 10.51 | |
|
|
|
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($546,967,706 ÷ 52,032,071 shares) | $ 10.51 |
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 August 31, 2015 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 6,479,130 |
Interest |
| 612,468,413 |
Income from Fidelity Central Funds |
| 23,016,733 |
Total income |
| 641,964,276 |
|
|
|
Expenses | ||
Management fee | $ 57,874,540 | |
Transfer agent fees | 19,640,595 | |
Distribution and service plan fees | 3,324,779 | |
Fund wide operations fee | 7,291,490 | |
Independent trustees' compensation | 75,099 | |
Miscellaneous | 43,573 | |
Total expenses before reductions | 88,250,076 | |
Expense reductions | (7,127) | 88,242,949 |
Net investment income (loss) | 553,721,327 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 128,436,511 | |
Fidelity Central Funds | 206,487,401 |
|
Foreign currency transactions | 20,043,666 | |
Futures contracts | 1,751,878 | |
Swaps | (3,476,434) |
|
Total net realized gain (loss) |
| 353,243,022 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (775,667,108) | |
Assets and liabilities in foreign currencies | (5,291,385) | |
Futures contracts | (421,238) | |
Swaps | (1,389,874) | |
Delayed delivery commitments | 206,650 |
|
Total change in net unrealized appreciation (depreciation) |
| (782,562,955) |
Net gain (loss) | (429,319,933) | |
Net increase (decrease) in net assets resulting from operations | $ 124,401,394 |
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 (loss) | $ 553,721,327 | $ 415,512,458 |
Net realized gain (loss) | 353,243,022 | 77,368,067 |
Change in net unrealized appreciation (depreciation) | (782,562,955) | 416,914,720 |
Net increase (decrease) in net assets resulting from operations | 124,401,394 | 909,795,245 |
Distributions to shareholders from net investment income | (523,227,512) | (392,171,286) |
Distributions to shareholders from net realized gain | (52,368,873) | (128,031,263) |
Total distributions | (575,596,385) | (520,202,549) |
Share transactions - net increase (decrease) | 4,814,116,048 | 3,089,248,773 |
Total increase (decrease) in net assets | 4,362,921,057 | 3,478,841,469 |
|
|
|
Net Assets | ||
Beginning of period | 15,906,696,326 | 12,427,854,857 |
End of period (including undistributed net investment income of $36,361,125 and undistributed net investment income of $23,414,948, respectively) | $ 20,269,617,383 | $ 15,906,696,326 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .287 | .292 | .263 | .322 | .381 |
Net realized and unrealized gain (loss) | (.224) | .382 | (.468) | .438 | .187 |
Total from investment operations | .063 | .674 | (.205) | .760 | .568 |
Distributions from net investment income | (.270) | (.275) | (.250) | (.335) | (.367) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.303) | (.384) | (.605) | (.510) | (.578) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | .58% | 6.56% | (1.94)% | 7.11% | 5.35% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .75% | .76% | .79% | .82% | .83% |
Expenses net of fee waivers, if any | .75% | .76% | .79% | .82% | .83% |
Expenses net of all reductions | .75% | .76% | .79% | .82% | .83% |
Net investment income (loss) | 2.69% | 2.76% | 2.41% | 2.92% | 3.50% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 852,243 | $ 639,235 | $ 517,259 | $ 643,995 | $ 1,225,165 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .285 | .290 | .265 | .328 | .386 |
Net realized and unrealized gain (loss) | (.234) | .392 | (.477) | .433 | .186 |
Total from investment operations | .051 | .682 | (.212) | .761 | .572 |
Distributions from net investment income | (.268) | (.273) | (.253) | (.336) | (.371) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.301) | (.382) | (.608) | (.511) | (.582) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 |
Total ReturnA, B | .47% | 6.65% | (2.01)% | 7.14% | 5.39% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .77% | .78% | .76% | .77% | .80% |
Expenses net of fee waivers, if any | .77% | .78% | .76% | .77% | .80% |
Expenses net of all reductions | .77% | .78% | .76% | .77% | .80% |
Net investment income (loss) | 2.67% | 2.74% | 2.44% | 2.97% | 3.54% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 101,673 | $ 57,972 | $ 52,848 | $ 59,896 | $ 60,500 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .213 | .217 | .189 | .247 | .307 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.469) | .434 | .177 |
Total from investment operations | (.011) | .609 | (.280) | .681 | .484 |
Distributions from net investment income | (.196) | (.200) | (.175) | (.256) | (.293) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.229) | (.309) | (.530) | (.431) | (.504) |
Net asset value, end of period | $ 10.54 | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.12)% | 5.91% | (2.61)% | 6.36% | 4.54% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of fee waivers, if any | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of all reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Net investment income (loss) | 1.99% | 2.04% | 1.73% | 2.24% | 2.82% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,305 | $ 4,460 | $ 7,112 | $ 11,515 | $ 9,225 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .205 | .211 | .185 | .246 | .308 |
Net realized and unrealized gain (loss) | (.225) | .382 | (.469) | .434 | .187 |
Total from investment operations | (.020) | .593 | (.284) | .680 | .495 |
Distributions from net investment income | (.187) | (.194) | (.171) | (.255) | (.294) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.220) | (.303) | (.526) | (.430) | (.505) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.20)% | 5.75% | (2.65)% | 6.34% | 4.65% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of all reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Net investment income (loss) | 1.92% | 1.99% | 1.69% | 2.23% | 2.83% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 139,264 | $ 83,818 | $ 79,711 | $ 102,385 | $ 63,867 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .320 | .326 | .300 | .363 | .423 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.478) | .434 | .187 |
Total from investment operations | .096 | .718 | (.178) | .797 | .610 |
Distributions from net investment income | (.303) | (.309) | (.287) | (.372) | (.409) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.336) | (.418) | (.642) | (.547) | (.620) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 |
Total ReturnA | .88% | 7.00% | (1.70)% | 7.48% | 5.76% |
Ratios to Average Net AssetsC, E |
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.99% | 3.07% | 2.75% | 3.29% | 3.89% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 17,359,294 | $ 14,547,801 | $ 11,526,014 | $ 13,963,154 | $ 11,418,458 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .313 | .319 | .295 | .353 | .413 |
Net realized and unrealized gain (loss) | (.233) | .393 | (.469) | .435 | .178 |
Total from investment operations | .080 | .712 | (.174) | .788 | .591 |
Distributions from net investment income | (.297) | (.303) | (.281) | (.363) | (.400) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.330) | (.412) | (.636) | (.538) | (.611) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 |
Total ReturnA | .73% | 6.95% | (1.67)% | 7.40% | 5.58% |
Ratios to Average Net AssetsC, E |
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .53% | .54% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .53% | .54% |
Expenses net of all reductions | .50% | .51% | .51% | .53% | .54% |
Net investment income (loss) | 2.94% | 3.02% | 2.69% | 3.20% | 3.80% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,266,870 | $ 573,410 | $ 244,911 | $ 596,238 | $ 531,451 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class Z
Year ended August 31, | 2015 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 10.66 |
Income from Investment Operations |
|
Net investment income (loss)D | .234 |
Net realized and unrealized gain (loss) | (.167) |
Total from investment operations | .067 |
Distributions from net investment income | (.217) |
Net asset value, end of period | $ 10.51 |
Total ReturnB, C | .59% |
Ratios to Average Net AssetsE, H |
|
Expenses before reductions | .36%A |
Expenses net of fee waivers, if any | .36%A |
Expenses net of all reductions | .36%A |
Net investment income (loss) | 3.29%A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 546,968 |
Portfolio turnover rateF | 140%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
1. Organization.
Fidelity Total Bond Fund (the Fund) is a 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 commenced sale of Class Z shares on December 22, 2014. The Fund offers Class A, Class T, Class C, Total Bond, Class I (formerly Institutional Class) and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
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Notes to Financial Statements - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense Ratio* |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct
| Less than .005% |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance
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3. Significant Accounting Policies - continued
Investment Valuation - continued
with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
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3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, closed foreign currency contracts, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency including foreign currency contracts, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to future contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 345,834,958 |
Gross unrealized depreciation | (409,484,462) |
Net unrealized appreciation (depreciation) on securities | $ (63,649,504) |
Tax Cost | $ 21,141,720,304 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 46,977,149 |
Undistributed long-term capital gain | $ 64,917,805 |
Net unrealized appreciation (depreciation) on securities and other investments | $ (67,484,185) |
At period end, the Fund was required to defer approximately $1,162,429 of losses on futures contracts.
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 565,758,842 | $ 392,171,286 |
Long-term Capital Gains | 9,837,543 | 128,031,263 |
Total | $ 575,596,385 | $ 520,202,549 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take
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3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
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Notes to Financial Statements - continued
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as foreign currency contracts, options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on
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4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Purchased Options | $ 170,483 | 63,753 |
Swaps | (135,206) | 128,070 |
Total Credit Risk | 35,277 | 191,823 |
Foreign Exchange Risk |
|
|
Foreign Currency Contracts | 20,954,439 | (5,376,167) |
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives - continued
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ 1,751,878 | (421,238) |
Swaps | (3,341,228) | (1,517,944) |
Total Interest Rate Risk | (1,589,350) | (1,939,182) |
TotalsA | $ 19,400,366 | $ (7,123,526) |
A A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Foreign Currency Contracts. Foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on foreign currency contracts during the period is included in the Statement of Operations as part of net realized gain (loss) on foreign currency transactions and change in unrealized gain (loss) on assets and liabilities in foreign currencies, respectively.
Any open foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on
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4. Derivative Instruments - continued
Futures Contracts - continued
the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to potential credit events.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fundwill realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Annual Report
Notes to Financial Statements - continued
4. Derivative Instruments - continued
Options - continued
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
Annual Report
4. Derivative Instruments - continued
Swaps - continued
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Credit Default Swaps - continued
reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, in-kind transactions and U.S. government securities, aggregated $7,860,792,369 and $2,304,473,823, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
Annual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 1,905,468 | $ 92,792 |
Class T | -% | .25% | 199,114 | 263 |
Class B | .65% | .25% | 35,423 | 25,610 |
Class C | .75% | .25% | 1,184,774 | 414,221 |
|
|
| $ 3,324,779 | $ 532,886 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 110,705 |
Class T | 18,730 |
Class B* | 3,938 |
Class C* | 29,613 |
| $ 162,986 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC pays
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Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,171,236 | .15 |
Class T | 135,484 | .17 |
Class B | 8,031 | .20 |
Class C | 207,015 | .17 |
Total Bond | 16,555,477 | .10 |
Class I | 1,553,662 | .15 |
Class Z | 9,690 | .01* |
| $ 19,640,595 |
|
* Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
Exchanges In-Kind. During the period, the Fund redeemed in-kind all of its shares of Fidelity Floating Rate Central Fund and Fidelity Mortgage-Backed Securities Central Fund in exchange for cash and investments, including accrued interest totaling $3,134,457,108. Net realized gain (loss) of $206,487,401 on the redemptions of the Fidelity Floating Rate Central Fund and Fidelity Mortgage Backed Securities Central Fund shares is included in the accompanying Statement of Operations as "Realized gain (loss) on Fidelity Central Funds." The transaction generally did not result in the recognition of gains or losses for federal income tax purposes.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity
Annual Report
7. Committed Line of Credit - continued
purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $25,772 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $979,154.
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $185 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,942.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class A | $ 19,261,143 | $ 13,954,534 |
Class T | 1,998,555 | 1,278,101 |
Class B | 71,894 | 98,704 |
Annual Report
Notes to Financial Statements - continued
10. Distributions to Shareholders - continued
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class C | $ 2,070,818 | $ 1,370,977 |
Total Bond | 468,456,666 | 365,495,794 |
Class I | 28,443,167 | 9,973,176 |
Class Z | 2,925,269 | - |
Total | $ 523,227,512 | $ 392,171,286 |
From net realized gain |
|
|
Class A | $ 2,146,775 | $ 5,373,525 |
Class T | 193,116 | 488,998 |
Class B | 13,138 | 67,567 |
Class C | 303,573 | 778,077 |
Total Bond | 47,388,889 | 118,942,382 |
Class I | 2,323,382 | 2,380,714 |
Total | $ 52,368,873 | $ 128,031,263 |
A Distributions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class A |
|
|
|
|
Shares sold | 46,571,257 | 26,077,273 | $ 499,377,221 | $ 277,129,495 |
Reinvestment of distributions | 1,930,629 | 1,748,624 | 20,670,065 | 18,500,215 |
Shares redeemed | (26,903,901) | (17,864,267) | (288,269,536) | (188,866,328) |
Net increase (decrease) | 21,597,985 | 9,961,630 | $ 231,777,750 | $ 106,763,382 |
Class T |
|
|
|
|
Shares sold | 6,974,914 | 2,788,455 | $ 74,605,782 | $ 29,566,996 |
Reinvestment of distributions | 199,988 | 156,306 | 2,136,905 | 1,651,554 |
Shares redeemed | (2,893,126) | (2,607,297) | (30,963,185) | (27,459,813) |
Net increase (decrease) | 4,281,776 | 337,464 | $ 45,779,502 | $ 3,758,737 |
Class B |
|
|
|
|
Shares sold | 54,717 | 54,926 | $ 586,026 | $ 586,880 |
Reinvestment of distributions | 6,657 | 13,145 | 71,357 | 138,775 |
Shares redeemed | (161,541) | (332,831) | (1,731,933) | (3,513,622) |
Net increase (decrease) | (100,167) | (264,760) | $ (1,074,550) | $ (2,787,967) |
Annual Report
11. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class C |
|
|
|
|
Shares sold | 8,235,348 | 3,017,051 | $ 88,316,556 | $ 32,060,704 |
Reinvestment of distributions | 196,619 | 175,726 | 2,104,956 | 1,856,402 |
Shares redeemed | (2,989,581) | (3,020,982) | (31,990,728) | (31,912,884) |
Net increase (decrease) | 5,442,386 | 171,795 | $ 58,430,784 | $ 2,004,222 |
Total Bond |
|
|
|
|
Shares sold | 1,119,099,210 | 472,537,567 | $ 12,023,173,893 | $ 5,013,051,437 |
Reinvestment of distributions | 46,138,120 | 43,741,412 | 493,997,692 | 463,024,654 |
Shares redeemed | (866,846,007) | (266,060,657) | (9,307,894,830) | (2,814,029,450) |
Net increase (decrease) | 298,391,323 | 250,218,322 | $ 3,209,276,755 | $ 2,662,046,641 |
Class I |
|
|
|
|
Shares sold | 96,458,549 | 37,515,573 | $ 1,031,052,872 | $ 397,915,160 |
Reinvestment of distributions | 2,698,883 | 1,097,010 | 28,838,468 | 11,632,287 |
Shares redeemed | (31,950,235) | (8,713,037) | (340,167,664) | (92,083,689) |
Net increase (decrease) | 67,207,197 | 29,899,546 | $ 719,723,676 | $ 317,463,758 |
Class Z |
|
|
|
|
Shares sold | 56,087,638 | - | $ 592,975,149 | $ - |
Reinvestment of distributions | 276,639 | - | 2,920,079 | - |
Shares redeemed | (4,332,206) | - | (45,693,097) | - |
Net increase (decrease) | 52,032,071 | - | $ 550,202,131 | $ - |
A Share transactions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, Strategic Advisers Core Income Fund was the owner of record of approximately 24% of the total outstanding shares of the Fund. Mutual funds managed by the investment adviser or its affiliates were the owners of record, in the aggregate, of approximately 25% of the total outstanding shares of the Fund.
13. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 August 31, 2015, 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 periods indicated, 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 23, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversee 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was
Annual Report
Trustees and Officers - continued
controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
Annual Report
Trustees and Officers - continued
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
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, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Trustee Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms. Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Trustees and Officers - continued
Advisory Board Member and Officers:
Correspondence intended for each officer and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed-Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006-present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Advisor Total Bond Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class Z | 10/12/15 | 10/09/15 | $0.059 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015 $74,755,347, or, if subsequently determined to be different, the net capital gain of such year.
A total of 12.07% 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 $322,364,085 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
FMR Investment Management
(U.K.) Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
ATBZ-UANN-1015 1.9862223.100
Fidelity®
Total Bond
Fund
Annual Report
August 31, 2015
(Fidelity Cover Art)
Contents
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Manager's review of fund performance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
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 holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) 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 August 31, 2015 | Past 1 | Past 5 | Past 10 |
Fidelity® Total Bond Fund | 0.88% | 3.82% | 4.89% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Total Bond Fund, a class of the fund, on August 31, 2005. The chart shows how the value of your investment would have changed, and also shows how the Barclays® U.S. Aggregate Bond Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: U.S. taxable investment-grade bonds posted a modest gain for the 12 months ending August 31, 2015, driven entirely by coupon (stated interest) payments amid expectations for an eventual hike in policy interest rates. The Barclays® U.S. Aggregate Bond Index returned 1.56% for the period. Longer-term bond yields trended lower and bottomed out in February on concerns about economic growth. They then trended higher until June due to expectations for higher policy interest rates. Yet the U.S. Federal Reserve took no action amid continued-low inflationary pressure and dampened economic expectations. Late in the period, market volatility spiked to roughly a four-year high in an environment of decreased bond issuance, weaker economic data emanating from China and falling crude-oil prices, all of which combined to lower expectations for a near-term rate increase while also raising demand for bonds, thus lowering yields. Among sectors in the Barclays index, U.S. Treasury bonds (+2%) strongly outperformed corporate bonds (-1%), as credit spreads - the yield premiums demanded by investors for holding riskier bonds - widened for much of the period. Outside of the index, high-yield declined and was among the weakest sectors. At period end, the Fed kept alive the chance that it may raise rates in 2015, but market expectations of a move before October decreased significantly.
Comments from Lead Portfolio Manager Ford O'Neil: For the year, the fund's share classes (excluding sales charges, if applicable) lagged the Barclays Aggregate index. I continued to take the investment approach I've used since I began managing the fund in 2004, because I think it is the best way to achieve my goal of beating our primary benchmark over longer periods of time. I have ultimate authority and accountability for asset allocations decisions, as well as for securities selection in the investment-grade portion of the fund. I also tap the best ideas of Fidelity's fixed-income specialists. Since we don't chase yield, we believe it's important to fully understand the risk/return profile of each of our investments to ensure we're assuming a reasonable trade-off by owning them. Sector selection detracted most from relative performance, especially underweighting comparatively strong U.S. Treasuries and overweighting the lagging high-yield corporate, emerging-markets debt and investment-grade credit sectors. Conversely, good picks among both high-yield and investment-grade corporate securities was a plus, as was yield-curve positioning. However, security selection among government-related bonds hurt, particularly holdings in taxable municipal bonds issued by Illinois and Chicago.
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 (March 1, 2015 to August 31, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. A small balance maintenance fee of $12.00 that is charged once a year may apply for certain accounts with a value of less than $2,000. This fee is not included in the table below. If it was, the estimate of expenses you paid during the period would be higher, and your ending account value lower, by this amount. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .75% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.40 | $ 3.76 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.42 | $ 3.82 |
Class T | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 987.30 | $ 3.86 |
Hypothetical A |
| $ 1,000.00 | $ 1,021.32 | $ 3.92 |
Class B | 1.44% |
|
|
|
Actual |
| $ 1,000.00 | $ 984.90 | $ 7.20 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.95 | $ 7.32 |
Class C | 1.51% |
|
|
|
Actual |
| $ 1,000.00 | $ 983.60 | $ 7.55 |
Hypothetical A |
| $ 1,000.00 | $ 1,017.59 | $ 7.68 |
Total Bond | .45% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.80 | $ 2.26 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.94 | $ 2.29 |
Class I | .50% |
|
|
|
Actual |
| $ 1,000.00 | $ 988.60 | $ 2.51 |
Hypothetical A |
| $ 1,000.00 | $ 1,022.68 | $ 2.55 |
Class Z | .36% |
|
|
|
Actual |
| $ 1,000.00 | $ 989.30 | $ 1.81 |
Hypothetical A |
| $ 1,000.00 | $ 1,023.39 | $ 1.84 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
C Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combine investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
Quality Diversification (% of fund's net assets) | |||||||
As of August 31, 2015 | As of February 28, 2015 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA 3.1% |
| ![]() | AAA 3.9% |
| ||
![]() | AA 2.3% |
| ![]() | AA 2.1% |
| ||
![]() | A 13.0% |
| ![]() | A 9.4% |
| ||
![]() | BBB 25.4% |
| ![]() | BBB 22.7% |
| ||
![]() | BB and Below 16.8% |
| ![]() | BB and Below 15.7% |
| ||
![]() | Not Rated 1.4% |
| ![]() | Not Rated 1.3% |
| ||
![]() | Equities 0.1% |
| ![]() | Equities 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Weighted Average Maturity as of August 31, 2015 | ||
|
| 6 months ago |
Years | 7.8 | 7.4 |
This is a weighted average of all the maturities of the securities held in a fund. Weighted Average Maturity (WAM) can be used as a measure of sensitivity to interest rate changes and market changes. Generally, the longer the maturity, the greater the sensitivity to such changes. WAM is based on the dollar-weighted average length of time until principal payments must be paid. Depending on the types of securities held in a fund, certain maturity shortening devices (e.g., demand features, interest rate resets, and call options) may be taken into account when calculating the WAM. |
Duration as of August 31, 2015 | ||
|
| 6 months ago |
Years | 5.4 | 5.1 |
Duration is a measure of a security's price sensitivity to changes in interest rates. Duration differs from maturity in that it considers a security's interest payments in addition to the amount of time until the security reaches maturity, and also takes into account certain maturity shortening features (e.g., demand features, interest rate resets, and call options) when applicable. Securities with longer durations generally tend to be more sensitive to interest rate changes than securities with shorter durations. A fund with a longer average duration generally can be expected to be more sensitive to interest rate changes than a fund with a shorter average duration. |
Asset Allocation (% of fund's net assets) | |||||||
As of August 31, 2015* | As of February 28, 2015** | ||||||
![]() | Corporate Bonds 44.2% |
| ![]() | Corporate Bonds 37.7% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Asset-Backed |
| ![]() | Asset-Backed |
| ||
![]() | CMOs and Other Mortgage Related |
| ![]() | CMOs and Other Mortgage Related |
| ||
![]() | Municipal Bonds 1.5% |
| ![]() | Municipal Bonds 1.5% |
| ||
![]() | Stocks 0.1% |
| ![]() | Stocks 0.3% |
| ||
![]() | Other Investments 8.4% |
| ![]() | Other Investments 7.4% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 11.4% |
| ** Foreign investments | 10.2% |
| ||
* Futures and Swaps | (0.3)% |
| ** Futures and Swaps | (0.2)% |
|
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at fidelity.com and/or advisor.fidelity.com, as applicable. |
Annual Report
Investments August 31, 2015
Showing Percentage of Net Assets
Nonconvertible Bonds - 44.2% | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - 4.8% | ||||
Auto Components - 0.0% | ||||
J.B. Poindexter & Co., Inc. 9% 4/1/22 (h) | $ 3,045,000 | $ 3,303,825 | ||
Tenedora Nemak SA de CV 5.5% 2/28/23 (h) | 1,940,000 | 1,935,150 | ||
Tupy Overseas SA 6.625% 7/17/24 (h) | 530,000 | 501,513 | ||
| 5,740,488 | |||
Automobiles - 1.2% | ||||
Daimler Finance North America LLC 1.45% 8/1/16 (h) | 7,526,000 | 7,547,035 | ||
General Motors Co.: | ||||
3.5% 10/2/18 | 9,215,000 | 9,344,563 | ||
5.2% 4/1/45 | 4,250,000 | 3,990,278 | ||
6.25% 10/2/43 | 1,543,000 | 1,651,376 | ||
General Motors Financial Co., Inc.: | ||||
2.4% 4/10/18 | 40,000,000 | 39,523,760 | ||
2.625% 7/10/17 | 2,955,000 | 2,980,310 | ||
3% 9/25/17 | 6,726,000 | 6,757,955 | ||
3.15% 1/15/20 | 27,252,000 | 26,908,053 | ||
3.2% 7/13/20 | 20,200,000 | 19,930,209 | ||
3.25% 5/15/18 | 4,810,000 | 4,836,893 | ||
3.5% 7/10/19 | 10,761,000 | 10,844,064 | ||
4% 1/15/25 | 18,085,000 | 17,106,113 | ||
4.25% 5/15/23 | 5,420,000 | 5,325,670 | ||
4.375% 9/25/21 | 47,963,000 | 48,394,763 | ||
4.75% 8/15/17 | 5,050,000 | 5,236,244 | ||
Volkswagen Group of America Finance LLC 2.45% 11/20/19 (h) | 33,222,000 | 33,219,907 | ||
| 243,597,193 | |||
Diversified Consumer Services - 0.1% | ||||
Ingersoll-Rand Global Holding Co. Ltd.: | ||||
2.875% 1/15/19 | 1,206,000 | 1,220,062 | ||
4.25% 6/15/23 | 8,466,000 | 8,681,705 | ||
| 9,901,767 | |||
Hotels, Restaurants & Leisure - 0.4% | ||||
24 Hour Holdings III LLC 8% 6/1/22 (h) | 5,650,000 | 4,491,750 | ||
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 | 2,165,000 | 1,813,188 | ||
Eldorado Resorts, Inc. 7% 8/1/23 (h) | 1,060,000 | 1,052,050 | ||
ESH Hospitality, Inc. 5.25% 5/1/25 (h) | 1,100,000 | 1,067,000 | ||
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 139,050 | ||
Golden Nugget Escrow, Inc. 8.5% 12/1/21 (h) | 5,000,000 | 5,137,500 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
InterContinental Hotel Group PLC 3.75% 8/14/25 | GBP | 1,650,000 | $ 2,493,392 | |
LTF Merger Sub, Inc. 8.5% 6/15/23 (h) | 4,070,000 | 3,968,250 | ||
MCE Finance Ltd. 5% 2/15/21 (h) | 10,530,000 | 9,634,950 | ||
Paris Las Vegas Holding LLC/Harrah's Las Vegas LLC/Flamingo Las Vegas Holdings, Inc. 8% 10/1/20 | 2,790,000 | 2,755,125 | ||
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 (h) | 540,000 | 534,600 | ||
Scientific Games Corp.: | ||||
6.625% 5/15/21 | 9,310,000 | 6,889,400 | ||
7% 1/1/22 (h) | 7,445,000 | 7,612,513 | ||
10% 12/1/22 | 10,060,000 | 9,230,050 | ||
Speedway Motorsports, Inc. 5.125% 2/1/23 | 3,315,000 | 3,281,850 | ||
Times Square Hotel Trust 8.528% 8/1/26 (h) | 740,700 | 897,563 | ||
Whitbread PLC 3.375% 10/16/25 (Reg. S) | GBP | 1,500,000 | 2,275,947 | |
Wynn Macau Ltd. 5.25% 10/15/21 (h) | 14,650,000 | 13,441,375 | ||
| 76,715,553 | |||
Household Durables - 0.2% | ||||
Meritage Homes Corp. 6% 6/1/25 | 1,905,000 | 1,920,469 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 2,935,000 | 3,026,719 | ||
8.25% 2/15/21 (n) | 3,885,000 | 3,996,694 | ||
Standard Pacific Corp. 5.875% 11/15/24 | 1,775,000 | 1,819,375 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (h) | 1,495,000 | 1,498,738 | ||
TRI Pointe Homes, Inc.: | ||||
4.375% 6/15/19 | 570,000 | 565,013 | ||
5.875% 6/15/24 | 415,000 | 408,775 | ||
William Lyon Homes, Inc.: | ||||
5.75% 4/15/19 | 5,935,000 | 5,990,611 | ||
7% 8/15/22 | 10,230,000 | 10,562,475 | ||
| 29,788,869 | |||
Internet & Catalog Retail - 0.0% | ||||
Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 (h) | 5,000,000 | 4,950,000 | ||
Media - 2.8% | ||||
21st Century Fox America, Inc.: | ||||
6.15% 3/1/37 | 4,759,000 | 5,280,039 | ||
6.15% 2/15/41 | 11,572,000 | 13,012,240 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
21st Century Fox America, Inc.: - continued | ||||
7.75% 12/1/45 | $ 3,932,000 | $ 5,328,352 | ||
Altice SA: | ||||
5.375% 7/15/23 (h) | 2,560,000 | 2,534,400 | ||
7.625% 2/15/25 (h) | 9,805,000 | 9,314,750 | ||
7.75% 5/15/22 (h) | 20,575,000 | 20,060,625 | ||
7.75% 7/15/25 (h) | 1,795,000 | 1,718,713 | ||
7.75% 7/15/25 (h) | 1,610,000 | 1,569,750 | ||
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 625,349 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 1,130,000 | 1,127,175 | ||
5.125% 5/1/23 (h) | 4,370,000 | 4,370,000 | ||
5.875% 5/1/27 (h) | 7,115,000 | 6,972,700 | ||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | ||||
4.464% 7/23/22 (h) | 20,419,000 | 20,310,555 | ||
4.908% 7/23/25 (h) | 20,419,000 | 20,278,885 | ||
6.484% 10/23/45 (h) | 20,419,000 | 20,709,195 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 12/15/16 | 8,985,000 | 8,490,825 | ||
6.875% 6/15/18 | 2,270,000 | 1,974,900 | ||
9% 12/15/19 | 9,000,000 | 8,471,250 | ||
10% 1/15/18 | 4,260,000 | 3,093,825 | ||
Cogeco Cable, Inc. 4.875% 5/1/20 (h) | 2,335,000 | 2,383,218 | ||
Columbus International, Inc. 7.375% 3/30/21 (h) | 11,476,000 | 12,078,490 | ||
Comcast Corp.: | ||||
3.6% 3/1/24 | 24,000,000 | 24,468,240 | ||
4.6% 8/15/45 | 33,362,000 | 33,903,599 | ||
4.95% 6/15/16 | 2,344,000 | 2,420,841 | ||
6.45% 3/15/37 | 2,196,000 | 2,728,947 | ||
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19 | 5,944,000 | 6,647,550 | ||
Discovery Communications LLC: | ||||
3.25% 4/1/23 | 1,789,000 | 1,665,985 | ||
6.35% 6/1/40 | 6,392,000 | 6,613,681 | ||
DISH DBS Corp. 5.875% 11/15/24 | 6,760,000 | 6,160,050 | ||
Globo Comunicacao e Participacoes SA: | ||||
4.843% 6/8/25 (h) | 850,000 | 798,745 | ||
4.875% 4/11/22 (h) | 565,000 | 572,063 | ||
iHeartCommunications, Inc. 10.625% 3/15/23 | 2,695,000 | 2,418,763 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (n) | $ 6,521,000 | $ 7,173,100 | ||
MDC Partners, Inc. 6.75% 4/1/20 (h) | 4,985,000 | 4,941,381 | ||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (h)(n) | 13,130,000 | 13,261,300 | ||
Midcontinent Communications & Midcontinent Finance Corp. 6.875% 8/15/23 (h) | 4,530,000 | 4,563,975 | ||
Myriad International Holding BV 6% 7/18/20 (h) | 515,000 | 551,299 | ||
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 13,007,912 | ||
Numericable Group SA: | ||||
4.875% 5/15/19 (h) | 2,352,000 | 2,366,700 | ||
6% 5/15/22 (h) | 5,000,000 | 5,000,000 | ||
6.25% 5/15/24 (h) | 1,490,000 | 1,489,538 | ||
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (h) | 1,460,000 | 1,543,950 | ||
Thomson Reuters Corp.: | ||||
1.3% 2/23/17 | 3,690,000 | 3,676,129 | ||
3.85% 9/29/24 | 11,394,000 | 11,200,929 | ||
Time Warner Cable, Inc.: | ||||
4% 9/1/21 | 20,277,000 | 20,384,549 | ||
4.5% 9/15/42 | 34,498,000 | 27,566,800 | ||
5.5% 9/1/41 | 12,973,000 | 11,685,585 | ||
5.85% 5/1/17 | 3,419,000 | 3,626,913 | ||
5.875% 11/15/40 | 16,544,000 | 15,610,786 | ||
6.55% 5/1/37 | 38,302,000 | 38,463,749 | ||
6.75% 7/1/18 | 13,763,000 | 15,246,927 | ||
7.3% 7/1/38 | 23,728,000 | 25,119,434 | ||
8.25% 4/1/19 | 24,391,000 | 28,489,859 | ||
Time Warner, Inc.: | ||||
3.6% 7/15/25 | 6,406,000 | 6,192,514 | ||
6.2% 3/15/40 | 11,792,000 | 13,150,391 | ||
6.5% 11/15/36 | 9,243,000 | 10,649,480 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 2,250,000 | 2,126,250 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (h) | 2,750,000 | 2,688,125 | ||
Univision Communications, Inc.: | ||||
5.125% 5/15/23 (h) | 3,000,000 | 2,955,000 | ||
5.125% 2/15/25 (h) | 2,805,000 | 2,720,850 | ||
Viacom, Inc. 2.5% 9/1/18 | 1,478,000 | 1,468,913 | ||
VTR Finance BV 6.875% 1/15/24 (h) | 1,730,000 | 1,704,050 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Wave Holdco LLC/Wave Holdco Corp. 9% 7/15/19 pay-in-kind (h)(n) | $ 215,000 | $ 210,378 | ||
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (h) | 3,025,000 | 2,994,750 | ||
WMG Acquisition Corp.: | ||||
6% 1/15/21 (h) | 1,585,000 | 1,616,700 | ||
6.75% 4/15/22 (h) | 3,265,000 | 3,118,075 | ||
| 564,669,991 | |||
Multiline Retail - 0.1% | ||||
Family Tree Escrow LLC 5.75% 3/1/23 (h) | 2,240,000 | 2,346,400 | ||
JC Penney Corp., Inc.: | ||||
5.65% 6/1/20 | 12,290,000 | 11,245,350 | ||
7.4% 4/1/37 | 8,835,000 | 7,001,738 | ||
8.125% 10/1/19 | 6,040,000 | 6,130,600 | ||
| 26,724,088 | |||
Specialty Retail - 0.0% | ||||
Hot Topic, Inc. 9.25% 6/15/21 (h) | 4,395,000 | 4,438,950 | ||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Polymer Group, Inc. 6.875% 6/1/19 (h) | 1,600,000 | 1,624,000 | ||
TOTAL CONSUMER DISCRETIONARY | 968,150,899 | |||
CONSUMER STAPLES - 2.4% | ||||
Beverages - 0.3% | ||||
Constellation Brands, Inc.: | ||||
3.875% 11/15/19 | 2,360,000 | 2,421,950 | ||
4.25% 5/1/23 | 5,205,000 | 5,236,230 | ||
6% 5/1/22 | 23,545,000 | 25,958,363 | ||
Heineken NV: | ||||
1.4% 10/1/17 (h) | 7,323,000 | 7,297,465 | ||
2.75% 4/1/23 (h) | 7,651,000 | 7,322,734 | ||
JB y Co. SA de CV 3.75% 5/13/25 (h) | 565,000 | 544,623 | ||
SABMiller Holdings, Inc. 3.75% 1/15/22 (h) | 10,217,000 | 10,515,674 | ||
| 59,297,039 | |||
Food & Staples Retailing - 0.6% | ||||
CVS Health Corp.: | ||||
1.9% 7/20/18 | 15,731,000 | 15,776,730 | ||
2.25% 12/5/18 | 8,524,000 | 8,602,242 | ||
2.8% 7/20/20 | 15,202,000 | 15,356,133 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
CVS Health Corp.: - continued | ||||
3.5% 7/20/22 | $ 8,944,000 | $ 9,137,351 | ||
4% 12/5/23 | 8,525,000 | 8,881,209 | ||
ESAL GmbH 6.25% 2/5/23 (h) | 18,310,000 | 17,806,475 | ||
Minerva Luxmbourg SA: | ||||
7.75% 1/31/23 (h) | 10,040,000 | 9,814,100 | ||
7.75% 1/31/23 (Reg. S) | 1,030,000 | 1,006,825 | ||
SUPERVALU, Inc.: | ||||
6.75% 6/1/21 | 3,045,000 | 3,071,644 | ||
7.75% 11/15/22 | 1,300,000 | 1,345,500 | ||
Tesco PLC 5% 3/24/23 | GBP | 2,500,000 | 3,830,381 | |
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (h) | 5,155,000 | 5,129,225 | ||
Walgreens Boots Alliance, Inc.: | ||||
1.75% 11/17/17 | 3,756,000 | 3,760,045 | ||
2.7% 11/18/19 | 8,473,000 | 8,477,355 | ||
3.3% 11/18/21 | 10,050,000 | 9,945,229 | ||
3.8% 11/18/24 | 7,676,000 | 7,499,360 | ||
WM Morrison Supermarkets PLC 4.625% 12/8/23 | GBP | 750,000 | 1,160,877 | |
| 130,600,681 | |||
Food Products - 0.2% | ||||
ConAgra Foods, Inc. 1.9% 1/25/18 | 4,611,000 | 4,578,239 | ||
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (h) | 2,100,000 | 2,199,750 | ||
Gruma S.A.B. de CV 4.875% 12/1/24 (h) | 625,000 | 656,875 | ||
JBS Investments GmbH: | ||||
7.25% 4/3/24 (h) | 13,050,000 | 13,082,625 | ||
7.75% 10/28/20 (h) | 6,470,000 | 6,900,255 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | ||||
5.75% 6/15/25 (h) | 1,155,000 | 1,120,350 | ||
5.875% 7/15/24 (h) | 6,410,000 | 6,385,963 | ||
7.25% 6/1/21 (h) | 2,730,000 | 2,849,438 | ||
8.25% 2/1/20 (h) | 1,510,000 | 1,591,163 | ||
Sigma Alimentos SA de CV 6.875% 12/16/19 (h) | 575,000 | 642,563 | ||
| 40,007,221 | |||
Tobacco - 1.3% | ||||
Altria Group, Inc.: | ||||
2.85% 8/9/22 | 9,573,000 | 9,204,018 | ||
4% 1/31/24 | 6,408,000 | 6,508,266 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Tobacco - continued | ||||
Altria Group, Inc.: - continued | ||||
4.25% 8/9/42 | $ 9,573,000 | $ 8,553,849 | ||
4.75% 5/5/21 | 7,000,000 | 7,544,733 | ||
Imperial Tobacco Finance PLC: | ||||
2.05% 7/20/18 (h) | 8,743,000 | 8,702,065 | ||
2.95% 7/21/20 (h) | 20,000,000 | 19,854,640 | ||
3.75% 7/21/22 (h) | 20,300,000 | 20,101,385 | ||
4.25% 7/21/25 (h) | 22,467,000 | 22,263,179 | ||
Reynolds American, Inc.: | ||||
2.3% 6/12/18 | 7,358,000 | 7,402,692 | ||
3.25% 6/12/20 | 6,084,000 | 6,160,525 | ||
3.25% 11/1/22 | 7,368,000 | 7,164,687 | ||
4% 6/12/22 | 11,386,000 | 11,689,517 | ||
4.45% 6/12/25 | 24,787,000 | 25,442,542 | ||
4.75% 11/1/42 | 31,385,000 | 29,064,173 | ||
5.7% 8/15/35 | 4,237,000 | 4,488,326 | ||
5.85% 8/15/45 | 35,690,000 | 38,564,687 | ||
6.15% 9/15/43 | 4,511,000 | 4,938,611 | ||
6.75% 6/15/17 | 3,719,000 | 4,023,471 | ||
7.25% 6/15/37 | 5,056,000 | 6,079,754 | ||
Vector Group Ltd. 7.75% 2/15/21 | 6,480,000 | 6,894,720 | ||
| 254,645,840 | |||
TOTAL CONSUMER STAPLES | 484,550,781 | |||
ENERGY - 6.3% | ||||
Energy Equipment & Services - 0.5% | ||||
DCP Midstream LLC: | ||||
4.75% 9/30/21 (h) | 11,333,000 | 10,276,628 | ||
5.35% 3/15/20 (h) | 8,816,000 | 8,566,895 | ||
5.85% 5/21/43 (h)(n) | 6,758,000 | 5,169,870 | ||
El Paso Pipeline Partners Operating Co. LLC: | ||||
4.1% 11/15/15 | 10,806,000 | 10,860,225 | ||
5% 10/1/21 | 7,366,000 | 7,531,897 | ||
6.5% 4/1/20 | 738,000 | 819,197 | ||
Ensco PLC: | ||||
5.2% 3/15/25 | 7,885,000 | 7,046,241 | ||
5.75% 10/1/44 | 7,801,000 | 5,876,688 | ||
Exterran Partners LP/EXLP Finance Corp.: | ||||
6% 4/1/21 | 3,210,000 | 2,568,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Exterran Partners LP/EXLP Finance Corp.: - continued | ||||
6% 10/1/22 | $ 995,000 | $ 791,025 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 8,236,000 | 5,353,400 | ||
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,005,000 | 2,704,500 | ||
Noble Holding International Ltd.: | ||||
4% 3/16/18 | 1,187,000 | 1,172,115 | ||
5.95% 4/1/25 | 7,570,000 | 6,675,294 | ||
6.95% 4/1/45 | 7,307,000 | 5,913,460 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (h) | 2,790,000 | 2,148,300 | ||
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S) | 920,000 | 1,195,579 | ||
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S) | 1,175,000 | 1,051,463 | ||
Transocean, Inc.: | ||||
3% 10/15/17 (n) | 1,000,000 | 920,000 | ||
5.55% 12/15/16 (n) | 7,572,000 | 7,592,823 | ||
Unit Corp. 6.625% 5/15/21 | 2,350,000 | 2,023,938 | ||
| 96,257,538 | |||
Oil, Gas & Consumable Fuels - 5.8% | ||||
Afren PLC: | ||||
6.625% 12/9/20 (d)(h) | 1,375,000 | 41,250 | ||
10.25% 4/8/19 (Reg. S) (d) | 2,075,000 | 72,625 | ||
American Energy-Permian Basin LLC/ AEPB Finance Corp. 6.8037% 8/1/19 (h)(n) | 4,328,000 | 2,293,840 | ||
Anadarko Petroleum Corp. 6.375% 9/15/17 | 19,790,000 | 21,411,414 | ||
Antero Resources Corp.: | ||||
5.125% 12/1/22 | 5,995,000 | 5,426,734 | ||
5.625% 6/1/23 (h) | 1,360,000 | 1,237,600 | ||
Baytex Energy Corp.: | ||||
5.125% 6/1/21 (h) | 1,065,000 | 907,380 | ||
5.625% 6/1/24 (h) | 1,185,000 | 988,906 | ||
BP Capital Markets PLC: | ||||
1.674% 2/13/18 | 18,888,000 | 18,890,758 | ||
2.315% 2/13/20 | 37,777,000 | 37,728,230 | ||
3.535% 11/4/24 | 15,450,000 | 15,302,854 | ||
3.814% 2/10/24 | 11,032,000 | 11,085,847 | ||
4.5% 10/1/20 | 5,954,000 | 6,481,542 | ||
4.742% 3/11/21 | 8,800,000 | 9,631,090 | ||
California Resources Corp.: | ||||
5% 1/15/20 | 4,140,000 | 3,259,422 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
California Resources Corp.: - continued | ||||
5.5% 9/15/21 | $ 2,195,000 | $ 1,701,959 | ||
6% 11/15/24 | 495,000 | 367,043 | ||
Canadian Natural Resources Ltd.: | ||||
1.75% 1/15/18 | 6,049,000 | 5,964,719 | ||
3.9% 2/1/25 | 24,997,000 | 23,084,380 | ||
Carrizo Oil & Gas, Inc. 6.25% 4/15/23 | 2,975,000 | 2,677,500 | ||
Cenovus Energy, Inc. 5.7% 10/15/19 | 16,926,000 | 18,489,912 | ||
Chesapeake Energy Corp.: | ||||
4.875% 4/15/22 | 2,500,000 | 1,812,500 | ||
5.75% 3/15/23 | 2,970,000 | 2,214,165 | ||
6.125% 2/15/21 | 6,750,000 | 5,227,065 | ||
6.5% 8/15/17 | 1,280,000 | 1,222,669 | ||
Citgo Holding, Inc. 10.75% 2/15/20 (h) | 1,350,000 | 1,333,125 | ||
Citgo Petroleum Corp. 6.25% 8/15/22 (h) | 3,145,000 | 3,050,650 | ||
Columbia Pipeline Group, Inc.: | ||||
2.45% 6/1/18 (h) | 3,149,000 | 3,140,495 | ||
3.3% 6/1/20 (h) | 15,490,000 | 15,452,452 | ||
4.5% 6/1/25 (h) | 4,707,000 | 4,486,628 | ||
5.8% 6/1/45 (h) | 5,906,000 | 5,653,796 | ||
ConocoPhillips Co. 5.75% 2/1/19 | 2,930,000 | 3,275,371 | ||
CONSOL Energy, Inc.: | ||||
5.875% 4/15/22 | 4,935,000 | 3,528,525 | ||
8% 4/1/23 (h) | 2,710,000 | 2,046,050 | ||
Consolidated Energy Finance SA 6.75% 10/15/19 (h) | 9,367,000 | 9,248,039 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. 6.25% 4/1/23 (h) | 685,000 | 619,925 | ||
DCP Midstream Operating LP: | ||||
2.5% 12/1/17 | 5,924,000 | 5,597,155 | ||
2.7% 4/1/19 | 14,993,000 | 13,182,625 | ||
3.875% 3/15/23 | 5,532,000 | 4,522,438 | ||
Denbury Resources, Inc. 5.5% 5/1/22 | 5,050,000 | 3,598,125 | ||
DTEK Finance PLC 7.875% 4/4/18 (Reg. S) | 200,000 | 76,000 | ||
Duke Energy Field Services: | ||||
5.375% 10/15/15 (h) | 1,524,000 | 1,525,829 | ||
6.45% 11/3/36 (h) | 13,741,000 | 11,965,759 | ||
EDC Finance Ltd. 4.875% 4/17/20 (h) | 3,670,000 | 3,073,625 | ||
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 17,808,585 | ||
El Paso Natural Gas Co. 5.95% 4/15/17 | 1,166,000 | 1,236,935 | ||
Empresa Nacional de Petroleo 4.375% 10/30/24 (h) | 9,045,000 | 8,805,181 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Enable Midstream Partners LP: | ||||
2.4% 5/15/19 (h) | $ 4,028,000 | $ 3,787,504 | ||
3.9% 5/15/24 (h) | 4,249,000 | 3,731,136 | ||
Enbridge Energy Partners LP 4.2% 9/15/21 | 13,331,000 | 13,450,539 | ||
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (h) | 11,735,000 | 10,974,689 | ||
Energy Transfer Equity LP 5.5% 6/1/27 | 2,210,000 | 2,055,300 | ||
Enterprise Products Operating LP: | ||||
2.55% 10/15/19 | 2,971,000 | 2,957,491 | ||
3.75% 2/15/25 | 9,982,000 | 9,535,156 | ||
EP Energy LLC/Everest Acquisition Finance, Inc.: | ||||
6.375% 6/15/23 | 4,845,000 | 4,118,250 | ||
7.75% 9/1/22 | 6,075,000 | 5,589,000 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 13,400,000 | 12,998,000 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 6.75% 8/1/22 | 4,390,000 | 4,258,300 | ||
Georgian Oil & Gas Corp.: | ||||
6.875% 5/16/17 (h) | 950,000 | 951,188 | ||
6.875% 5/16/17 (Reg. S) | 200,000 | 200,250 | ||
Gibson Energy, Inc. 6.75% 7/15/21 (h) | 1,935,000 | 1,881,788 | ||
Global Partners LP/GLP Finance Corp. 7% 6/15/23 (h) | 4,995,000 | 4,645,350 | ||
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (h) | 221,000 | 228,967 | ||
Halcon Resources Corp. 8.625% 2/1/20 (h) | 7,035,000 | 6,173,213 | ||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
5% 12/1/24 (h) | 1,305,000 | 1,128,956 | ||
5.75% 10/1/25 (h) | 2,135,000 | 1,921,500 | ||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | 750,000 | 712,635 | ||
Indo Energy Finance BV 7% 5/7/18 (h) | 400,000 | 256,000 | ||
Jupiter Resources, Inc. 8.5% 10/1/22 (h) | 5,150,000 | 3,218,750 | ||
KazMunaiGaz Finance Sub BV: | ||||
6% 11/7/44 (h) | 665,000 | 528,420 | ||
9.125% 7/2/18 (h) | 510,000 | 568,625 | ||
KazMunaiGaz National Co. 5.75% 4/30/43 (h) | 1,065,000 | 829,891 | ||
Kinder Morgan, Inc. 2% 12/1/17 | 5,467,000 | 5,413,205 | ||
Kosmos Energy Ltd. 7.875% 8/1/21 (h) | 645,000 | 557,925 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (n) | 5,260,000 | 2,051,400 | ||
6.5% 5/15/19 | 720,000 | 307,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Marathon Petroleum Corp. 5.125% 3/1/21 | $ 10,178,000 | $ 11,074,153 | ||
Motiva Enterprises LLC 5.75% 1/15/20 (h) | 4,187,000 | 4,594,508 | ||
MPLX LP 4% 2/15/25 | 2,532,000 | 2,336,256 | ||
Nakilat, Inc. 6.067% 12/31/33 (h) | 1,975,000 | 2,256,438 | ||
Noble Energy, Inc.: | ||||
5.625% 5/1/21 | 6,305,000 | 6,365,024 | ||
5.875% 6/1/24 | 535,000 | 552,869 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 4,675,000 | 4,721,750 | ||
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (h) | 1,630,000 | 1,365,125 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h) | 4,701,000 | 2,538,540 | ||
Pan American Energy LLC 7.875% 5/7/21 (h) | 583,000 | 591,745 | ||
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (h) | 2,165,000 | 2,089,225 | ||
Peabody Energy Corp.: | ||||
6% 11/15/18 | 2,155,000 | 716,538 | ||
6.25% 11/15/21 | 2,765,000 | 725,813 | ||
7.875% 11/1/26 | 1,790,000 | 478,825 | ||
10% 3/15/22 (h) | 2,425,000 | 970,000 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 1,965,000 | 2,003,318 | ||
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 4,242,919 | ||
Petrobras Global Finance BV: | ||||
2.4288% 1/15/19 (n) | 3,100,000 | 2,728,000 | ||
2.75% 1/15/18 | EUR | 4,350,000 | 4,490,883 | |
3% 1/15/19 | 4,038,000 | 3,517,461 | ||
3.25% 3/17/17 | 26,728,000 | 25,608,097 | ||
4.375% 5/20/23 | 20,096,000 | 15,789,427 | ||
4.875% 3/17/20 | 26,750,000 | 23,409,193 | ||
5.625% 5/20/43 | 18,504,000 | 12,799,217 | ||
6.25% 3/17/24 | 1,200,000 | 1,050,960 | ||
6.85% 6/5/2115 | 645,000 | 485,298 | ||
7.25% 3/17/44 | 640,000 | 515,200 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 10,192,000 | 10,186,598 | ||
5.375% 1/27/21 | 44,755,000 | 39,451,533 | ||
5.75% 1/20/20 | 11,270,000 | 10,251,530 | ||
5.875% 3/1/18 | 460,000 | 451,375 | ||
6.875% 1/20/40 | 2,760,000 | 2,152,745 | ||
7.875% 3/15/19 | 14,017,000 | 14,126,052 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petroleos de Venezuela SA: | ||||
5.375% 4/12/27 | $ 1,775,000 | $ 592,850 | ||
5.5% 4/12/37 | 655,000 | 216,150 | ||
8.5% 11/2/17 (h) | 14,695,000 | 10,099,874 | ||
9.75% 5/17/35 (h) | 3,430,000 | 1,308,545 | ||
12.75% 2/17/22 (h) | 1,595,000 | 743,270 | ||
Petroleos Mexicanos: | ||||
3.125% 1/23/19 | 1,776,000 | 1,771,560 | ||
3.5% 7/18/18 | 14,963,000 | 15,247,297 | ||
3.5% 7/23/20 (h) | 13,960,000 | 13,824,309 | ||
3.5% 1/30/23 | 11,489,000 | 10,687,642 | ||
4.5% 1/23/26 (h) | 46,043,000 | 43,743,152 | ||
4.875% 1/24/22 | 12,142,000 | 12,324,130 | ||
4.875% 1/18/24 | 13,072,000 | 13,032,784 | ||
5.5% 1/21/21 | 12,069,000 | 12,944,003 | ||
5.5% 6/27/44 (h) | 640,000 | 553,760 | ||
5.5% 6/27/44 | 22,304,000 | 19,298,536 | ||
5.625% 1/23/46 (h) | 36,355,000 | 32,355,950 | ||
6% 3/5/20 | 6,145,000 | 6,694,978 | ||
6.375% 1/23/45 | 14,382,000 | 14,019,574 | ||
6.5% 6/2/41 | 25,567,000 | 25,567,000 | ||
6.625% (h)(i) | 5,520,000 | 5,464,800 | ||
8% 5/3/19 | 8,600,000 | 9,891,290 | ||
Petronas Capital Ltd. 3.5% 3/18/25 (h) | 525,000 | 506,372 | ||
Phillips 66 Co.: | ||||
4.3% 4/1/22 | 12,618,000 | 13,167,135 | ||
4.875% 11/15/44 | 34,230,000 | 32,535,410 | ||
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,281,173 | ||
Plains All American Pipeline LP/PAA Finance Corp.: | ||||
3.65% 6/1/22 | 5,217,000 | 5,052,325 | ||
6.125% 1/15/17 | 6,185,000 | 6,564,246 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (h) | 595,000 | 576,436 | ||
5.25% 5/23/21 (h) | 815,000 | 821,113 | ||
6% 5/3/42 (h) | 395,000 | 345,625 | ||
6.5% 5/27/41 (h) | 1,900,000 | 1,762,250 | ||
Rice Energy, Inc.: | ||||
6.25% 5/1/22 | 8,365,000 | 7,444,850 | ||
7.25% 5/1/23 (h) | 3,620,000 | 3,366,600 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sabine Pass Liquefaction LLC: | ||||
5.625% 3/1/25 (h) | $ 12,415,000 | $ 12,003,753 | ||
5.75% 5/15/24 | 5,045,000 | 4,931,488 | ||
SemGroup Corp. 7.5% 6/15/21 | 4,750,000 | 4,702,500 | ||
Shell International Finance BV: | ||||
3.25% 5/11/25 | 20,000,000 | 19,686,200 | ||
4.375% 5/11/45 | 20,000,000 | 19,706,180 | ||
Sibur Securities Ltd. 3.914% 1/31/18 (h) | 1,870,000 | 1,764,813 | ||
Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22 | 2,750,000 | 2,788,734 | ||
SM Energy Co. 6.5% 11/15/21 | 1,205,000 | 1,168,850 | ||
Southwestern Energy Co.: | ||||
3.3% 1/23/18 | 6,403,000 | 6,383,445 | ||
4.05% 1/23/20 | 11,618,000 | 11,502,970 | ||
Spectra Energy Capital, LLC 5.65% 3/1/20 | 308,000 | 330,949 | ||
Spectra Energy Partners, LP: | ||||
2.95% 6/15/16 | 4,717,000 | 4,765,411 | ||
2.95% 9/25/18 | 1,960,000 | 1,980,464 | ||
4.6% 6/15/21 | 2,694,000 | 2,804,416 | ||
Sunoco LP / Sunoco Finance Corp.: | ||||
5.5% 8/1/20 (h) | 3,405,000 | 3,387,975 | ||
6.375% 4/1/23 (h) | 1,035,000 | 1,040,175 | ||
Teine Energy Ltd. 6.875% 9/30/22 (h) | 6,310,000 | 5,458,150 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | ||||
6.125% 10/15/21 | 505,000 | 506,263 | ||
6.25% 10/15/22 (h) | 800,000 | 800,000 | ||
The Williams Companies, Inc.: | ||||
3.7% 1/15/23 | 10,780,000 | 9,339,544 | ||
4.55% 6/24/24 | 53,471,000 | 47,328,145 | ||
Transportadora de Gas del Sur SA 9.625% 5/14/20 (h) | 3,042,567 | 3,065,386 | ||
Western Gas Partners LP 5.375% 6/1/21 | 16,424,000 | 17,400,390 | ||
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 | 2,105,000 | 2,126,050 | ||
Western Refining, Inc. 6.25% 4/1/21 | 4,085,000 | 4,044,150 | ||
Whiting Petroleum Corp. 5% 3/15/19 | 2,070,000 | 1,852,650 | ||
Williams Partners LP: | ||||
4.125% 11/15/20 | 2,399,000 | 2,438,550 | ||
4.3% 3/4/24 | 8,588,000 | 8,041,829 | ||
WPX Energy, Inc. 7.5% 8/1/20 | 2,070,000 | 1,987,987 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
YPF SA: | ||||
8.5% 7/28/25 (h) | $ 1,660,000 | $ 1,556,250 | ||
8.75% 4/4/24 (h) | 3,215,000 | 3,086,400 | ||
8.875% 12/19/18 (h) | 1,610,000 | 1,660,313 | ||
8.875% 12/19/18 (Reg. S) | 1,300,000 | 1,340,625 | ||
Zhaikmunai International BV 7.125% 11/13/19��(h) | 2,840,000 | 2,357,200 | ||
| 1,177,559,754 | |||
TOTAL ENERGY | 1,273,817,292 | |||
FINANCIALS - 18.6% | ||||
Banks - 7.4% | ||||
Banco Daycoval SA 5.75% 3/19/19 (h) | 625,000 | 608,594 | ||
Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S) | 697,825 | 732,716 | ||
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) | EUR | 1,300,000 | 1,434,602 | |
Banco Nacional de Desenvolvimento Economico e Social: | ||||
3.375% 9/26/16 (h) | 10,570,000 | 10,543,575 | ||
4% 4/14/19 (h) | 12,355,000 | 11,799,025 | ||
5.5% 7/12/20 (h) | 575,000 | 567,813 | ||
5.75% 9/26/23 (h) | 10,860,000 | 10,208,400 | ||
6.369% 6/16/18 (h) | 13,435,000 | 13,720,494 | ||
6.5% 6/10/19 (Reg. S) | 1,000,000 | 1,032,000 | ||
Bank Nederlandse Gemeenten NV: | ||||
1.375% 9/27/17 (h) | 8,770,000 | 8,827,978 | ||
1.375% 9/27/17 (Reg. S) | 2,720,000 | 2,739,764 | ||
Bank of America Corp.: | ||||
2% 1/11/18 | 50,000,000 | 49,990,200 | ||
2.25% 4/21/20 | 87,156,000 | 85,545,706 | ||
2.6% 1/15/19 | 8,068,000 | 8,123,903 | ||
2.65% 4/1/19 | 6,430,000 | 6,482,887 | ||
3.3% 1/11/23 | 31,429,000 | 30,945,182 | ||
3.875% 3/22/17 | 25,777,000 | 26,650,608 | ||
3.95% 4/21/25 | 25,000,000 | 24,173,150 | ||
4.1% 7/24/23 | 11,481,000 | 11,844,075 | ||
4.2% 8/26/24 | 16,813,000 | 16,658,909 | ||
4.25% 10/22/26 | 14,724,000 | 14,476,755 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Bank of America Corp.: - continued | ||||
5.65% 5/1/18 | $ 8,780,000 | $ 9,554,730 | ||
5.75% 12/1/17 | 21,955,000 | 23,749,997 | ||
5.875% 1/5/21 | 6,530,000 | 7,432,505 | ||
6.5% 8/1/16 | 9,000,000 | 9,422,991 | ||
Bank of Ireland: | ||||
4.25% 6/11/24 (Reg. S) (n) | EUR | 3,800,000 | 4,349,394 | |
10% 7/30/16 | EUR | 2,350,000 | 2,796,739 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (h) | 1,265,000 | 1,214,742 | ||
Barclays Bank PLC: | ||||
4.25% 1/12/22 | GBP | 4,000,000 | 6,878,722 | |
6.75% 1/16/23 (n) | GBP | 2,250,000 | 3,718,097 | |
Barclays PLC 2.75% 11/8/19 | 12,249,000 | 12,211,273 | ||
BBVA Bancomer SA 6.75% 9/30/22 (h) | 375,000 | 406,125 | ||
BBVA Colombia SA 4.875% 4/21/25 (h) | 390,000 | 377,910 | ||
BBVA Paraguay SA 9.75% 2/11/16 (h) | 1,145,000 | 1,175,412 | ||
BPCE SA 5.7% 10/22/23 (h) | 6,050,000 | 6,404,409 | ||
Capital One NA 2.95% 7/23/21 | 18,827,000 | 18,330,137 | ||
Citigroup, Inc.: | ||||
1.3% 11/15/16 | 17,175,000 | 17,158,770 | ||
1.7% 4/27/18 | 120,000,000 | 118,934,520 | ||
1.8% 2/5/18 | 33,287,000 | 33,132,016 | ||
1.85% 11/24/17 | 33,365,000 | 33,346,950 | ||
2.4% 2/18/20 | 60,588,000 | 59,961,762 | ||
2.5% 7/29/19 | 46,387,000 | 46,340,706 | ||
4.05% 7/30/22 | 5,303,000 | 5,427,562 | ||
4.4% 6/10/25 | 40,790,000 | 41,006,269 | ||
5.5% 9/13/25 | 4,478,000 | 4,862,369 | ||
6.125% 5/15/18 | 3,779,000 | 4,170,561 | ||
Citizens Financial Group, Inc. 4.15% 9/28/22 (h) | 13,462,000 | 13,577,221 | ||
Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (n) | EUR | 2,700,000 | 2,883,720 | |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 19,650,716 | ||
Credit Suisse Group Funding Guernsey Ltd.: | ||||
2.75% 3/26/20 (h) | 19,455,000 | 19,338,737 | ||
3.75% 3/26/25 (h) | 19,450,000 | 18,816,864 | ||
Development Bank of Philippines 8.375% (i)(n) | 1,930,000 | 2,016,142 | ||
Discover Bank: | ||||
4.2% 8/8/23 | 7,852,000 | 7,940,696 | ||
7% 4/15/20 | 2,030,000 | 2,339,210 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Fifth Third Bancorp: | ||||
4.5% 6/1/18 | $ 798,000 | $ 847,756 | ||
8.25% 3/1/38 | 4,667,000 | 6,607,137 | ||
Finansbank A/S: | ||||
5.5% 5/11/16 (Reg. S) | 1,300,000 | 1,312,168 | ||
6.25% 4/30/19 (h) | 1,100,000 | 1,115,598 | ||
Georgia Bank Joint Stock Co.: | ||||
7.75% 7/5/17 (h) | 2,200,000 | 2,257,790 | ||
7.75% 7/5/17 (Reg. S) | 350,000 | 359,194 | ||
GTB Finance BV: | ||||
6% 11/8/18 (h) | 2,725,000 | 2,471,575 | ||
7.5% 5/19/16 (h) | 1,245,000 | 1,241,888 | ||
HBOS PLC 6.75% 5/21/18 (h) | 6,067,000 | 6,693,958 | ||
HSBC Holdings PLC 4.25% 3/14/24 | 6,192,000 | 6,198,663 | ||
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,071,934 | ||
HSBK BV: | ||||
7.25% 5/3/17 (h) | 2,285,000 | 2,317,584 | ||
7.25% 5/3/17 (Reg. S) | 250,000 | 253,565 | ||
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,392,636 | ||
Industrial Senior Trust 5.5% 11/1/22 (h) | 220,000 | 208,230 | ||
Intesa Sanpaolo SpA: | ||||
3.875% 1/16/18 | 4,140,000 | 4,250,281 | ||
6.625% 9/13/23 (Reg. S) | EUR | 2,000,000 | 2,715,356 | |
Itau Unibanco Holding SA: | ||||
2.85% 5/26/18 (h) | 655,000 | 636,005 | ||
5.125% 5/13/23 (Reg. S) | 1,100,000 | 1,001,000 | ||
5.5% 8/6/22 (h) | 655,000 | 614,849 | ||
6.2% 12/21/21 (Reg. S) | 980,000 | 960,890 | ||
JPMorgan Chase & Co.: | ||||
1.625% 5/15/18 | 12,580,000 | 12,459,446 | ||
2% 8/15/17 | 11,000,000 | 11,072,512 | ||
2.2% 10/22/19 | 7,268,000 | 7,206,091 | ||
2.25% 1/23/20 | 40,000,000 | 39,478,680 | ||
2.35% 1/28/19 | 6,857,000 | 6,880,664 | ||
3.25% 9/23/22 | 18,423,000 | 18,270,771 | ||
3.875% 9/10/24 | 39,644,000 | 39,008,190 | ||
4.125% 12/15/26 | 50,896,000 | 50,501,963 | ||
4.25% 10/15/20 | 6,995,000 | 7,490,169 | ||
4.35% 8/15/21 | 20,267,000 | 21,634,901 | ||
4.5% 1/24/22 | 22,046,000 | 23,537,037 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
JPMorgan Chase & Co.: - continued | ||||
4.625% 5/10/21 | $ 6,879,000 | $ 7,450,033 | ||
4.95% 3/25/20 | 22,079,000 | 24,197,877 | ||
KeyBank NA 5.45% 3/3/16 | 3,939,000 | 4,027,143 | ||
OJSC Russian Agricultural Bank: | ||||
6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 415,000 | 420,188 | ||
7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (h) | 1,000,000 | 1,027,780 | ||
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 26,008,067 | ||
Regions Bank 6.45% 6/26/37 | 24,618,000 | 28,831,888 | ||
Regions Financial Corp. 2% 5/15/18 | 13,127,000 | 13,056,416 | ||
Royal Bank of Scotland Group PLC: | ||||
5.125% 5/28/24 | 64,006,000 | 64,539,234 | ||
6% 12/19/23 | 25,897,000 | 27,626,453 | ||
6.1% 6/10/23 | 16,183,000 | 17,359,763 | ||
6.125% 12/15/22 | 42,557,000 | 45,842,869 | ||
RSHB Capital SA 5.298% 12/27/17 (h) | 1,425,000 | 1,406,874 | ||
SB Capital SA 5.5% 2/26/24 (h)(n) | 2,285,000 | 1,841,002 | ||
Turkiye Halk Bankasi A/S 4.75% 6/4/19 (h) | 980,000 | 975,100 | ||
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (h)(n) | 645,000 | 617,007 | ||
Wachovia Corp. 5.75% 6/15/17 | 2,933,000 | 3,154,735 | ||
Wells Fargo & Co.: | ||||
1.25% 7/20/16 | 34,000,000 | 34,134,878 | ||
3.676% 6/15/16 | 4,301,000 | 4,398,693 | ||
4.48% 1/16/24 | 4,804,000 | 5,009,525 | ||
Yapi ve Kredi Bankasi A/S 5.125% 10/22/19 (Reg. S) | 4,000,000 | 4,000,640 | ||
Zenith Bank PLC 6.25% 4/22/19 (h) | 3,070,000 | 2,778,350 | ||
| 1,508,807,306 | |||
Capital Markets - 3.7% | ||||
Affiliated Managers Group, Inc.: | ||||
3.5% 8/1/25 | 19,025,000 | 18,163,187 | ||
4.25% 2/15/24 | 12,758,000 | 13,246,925 | ||
Argos Merger Sub, Inc. 7.125% 3/15/23 (h) | 8,620,000 | 9,029,450 | ||
Deutsche Bank AG 4.5% 4/1/25 | 48,248,000 | 46,654,899 | ||
Deutsche Bank AG London Branch 1.875% 2/13/18 | 37,777,000 | 37,591,288 | ||
Goldman Sachs Group, Inc.: | ||||
1.748% 9/15/17 | 42,024,000 | 41,923,815 | ||
2.55% 10/23/19 | 33,080,000 | 33,142,157 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Capital Markets - continued | ||||
Goldman Sachs Group, Inc.: - continued | ||||
2.625% 1/31/19 | $ 50,400,000 | $ 50,909,191 | ||
2.9% 7/19/18 | 17,494,000 | 17,884,624 | ||
3.75% 5/22/25 | 40,000,000 | 39,796,760 | ||
5.25% 7/27/21 | 17,105,000 | 19,015,492 | ||
5.625% 1/15/17 | 3,200,000 | 3,359,987 | ||
5.95% 1/18/18 | 4,975,000 | 5,427,536 | ||
Lazard Group LLC: | ||||
4.25% 11/14/20 | 10,151,000 | 10,674,853 | ||
6.85% 6/15/17 | 1,263,000 | 1,367,037 | ||
Morgan Stanley: | ||||
1.875% 1/5/18 | 16,953,000 | 16,952,508 | ||
2.125% 4/25/18 | 12,586,000 | 12,630,227 | ||
2.375% 7/23/19 | 26,932,000 | 26,909,458 | ||
2.8% 6/16/20 | 30,000,000 | 30,096,810 | ||
3.7% 10/23/24 | 24,714,000 | 24,666,623 | ||
4% 7/23/25 | 21,522,000 | 21,940,022 | ||
4.35% 9/8/26 | 30,000,000 | 29,929,590 | ||
4.875% 11/1/22 | 26,240,000 | 27,761,868 | ||
5% 11/24/25 | 3,189,000 | 3,353,425 | ||
5.45% 1/9/17 | 13,970,000 | 14,696,007 | ||
5.5% 1/26/20 | 88,000,000 | 97,921,032 | ||
5.625% 9/23/19 | 12,714,000 | 14,132,437 | ||
5.75% 1/25/21 | 19,879,000 | 22,522,668 | ||
6.625% 4/1/18 | 16,118,000 | 17,962,286 | ||
UBS AG Stamford Branch: | ||||
1.375% 6/1/17 | 12,643,000 | 12,582,946 | ||
1.8% 3/26/18 | 24,142,000 | 24,057,165 | ||
| 746,302,273 | |||
Consumer Finance - 1.8% | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | ||||
4.25% 7/1/20 | 3,025,000 | 3,047,688 | ||
4.5% 5/15/21 | 2,800,000 | 2,845,500 | ||
4.625% 7/1/22 | 2,685,000 | 2,705,138 | ||
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,448,045 | ||
Credito Real S.A.B. de CV 7.5% 3/13/19 (h) | 840,000 | 851,550 | ||
Discover Financial Services: | ||||
3.85% 11/21/22 | 25,882,000 | 25,225,710 | ||
3.95% 11/6/24 | 9,738,000 | 9,366,057 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Discover Financial Services: - continued | ||||
5.2% 4/27/22 | $ 12,545,000 | $ 13,232,203 | ||
6.45% 6/12/17 | 10,366,000 | 11,211,565 | ||
Ford Motor Credit Co. LLC: | ||||
1.5% 1/17/17 | 7,229,000 | 7,194,279 | ||
1.7% 5/9/16 | 19,473,000 | 19,518,431 | ||
1.724% 12/6/17 | 18,742,000 | 18,570,567 | ||
2.24% 6/15/18 | 19,162,000 | 19,062,128 | ||
2.597% 11/4/19 | 40,209,000 | 39,630,392 | ||
2.875% 10/1/18 | 13,000,000 | 13,100,217 | ||
General Electric Capital Corp.: | ||||
1% 12/11/15 | 10,247,000 | 10,270,302 | ||
4.625% 1/7/21 | 19,476,000 | 21,380,207 | ||
4.65% 10/17/21 | 5,377,000 | 5,910,216 | ||
5.625% 9/15/17 | 5,858,000 | 6,335,445 | ||
5.625% 5/1/18 | 25,000,000 | 27,480,675 | ||
Hyundai Capital America: | ||||
1.45% 2/6/17 (h) | 14,591,000 | 14,558,097 | ||
1.625% 10/2/15 (h) | 4,565,000 | 4,565,278 | ||
1.875% 8/9/16 (h) | 2,974,000 | 2,987,440 | ||
2.125% 10/2/17 (h) | 18,524,000 | 18,576,905 | ||
2.875% 8/9/18 (h) | 5,276,000 | 5,382,401 | ||
Navient Corp.: | ||||
5% 10/26/20 | 915,000 | 814,350 | ||
5.875% 3/25/21 | 3,215,000 | 2,885,463 | ||
5.875% 10/25/24 | 8,775,000 | 7,414,875 | ||
SLM Corp.: | ||||
4.875% 6/17/19 | 2,160,000 | 2,019,600 | ||
5.5% 1/15/19 | 2,025,000 | 1,933,875 | ||
5.5% 1/25/23 | 6,135,000 | 5,168,738 | ||
6.125% 3/25/24 | 4,280,000 | 3,638,000 | ||
8% 3/25/20 | 395,000 | 399,938 | ||
Synchrony Financial: | ||||
1.875% 8/15/17 | 3,341,000 | 3,326,781 | ||
3% 8/15/19 | 4,907,000 | 4,914,596 | ||
3.75% 8/15/21 | 7,409,000 | 7,347,720 | ||
4.25% 8/15/24 | 7,458,000 | 7,335,607 | ||
| 360,655,979 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Diversified Financial Services - 0.5% | ||||
Brixmor Operating Partnership LP: | ||||
3.85% 2/1/25 | $ 14,325,000 | $ 13,660,492 | ||
3.875% 8/15/22 | 11,641,000 | 11,575,170 | ||
Cimpor Financial Operations BV 5.75% 7/17/24 (h) | 850,000 | 633,250 | ||
CNH Industrial Capital LLC 3.875% 7/16/18 (h) | 3,170,000 | 3,158,113 | ||
Deutsche Boerse AG 2.75% 2/5/41 (Reg. S) (n) | EUR | 1,200,000 | 1,353,002 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
4.875% 3/15/19 | 1,665,000 | 1,686,645 | ||
5.875% 2/1/22 | 18,611,000 | 18,801,763 | ||
6% 8/1/20 | 4,745,000 | 4,898,121 | ||
ILFC E-Capital Trust I 4.69% 12/21/65 (h)(n) | 10,340,000 | 9,784,225 | ||
ILFC E-Capital Trust II 6.25% 12/21/65 (h)(n) | 4,765,000 | 4,508,881 | ||
ING U.S., Inc. 5.5% 7/15/22 | 25,716,000 | 28,972,186 | ||
MSCI, Inc. 5.75% 8/15/25 (h) | 3,010,000 | 3,070,200 | ||
TMK Capital SA: | ||||
6.75% 4/3/20 (Reg. S) | 885,000 | 737,488 | ||
7.75% 1/27/18 | 1,300,000 | 1,231,750 | ||
| 104,071,286 | |||
Insurance - 1.8% | ||||
AIA Group Ltd. 2.25% 3/11/19 (h) | 2,566,000 | 2,553,404 | ||
Alliant Holdings Co.-Issuer, Inc. / Wayne Merger Sub, LLC 8.25% 8/1/23 (h) | 5,405,000 | 5,256,363 | ||
Allianz SE 2.241% 7/7/45 (Reg. S) (n) | EUR | 2,900,000 | 2,949,134 | |
American International Group, Inc.: | ||||
2.3% 7/16/19 | 6,461,000 | 6,441,746 | ||
3.875% 1/15/35 | 19,041,000 | 17,244,063 | ||
4.875% 6/1/22 | 3,590,000 | 3,914,432 | ||
5.6% 10/18/16 | 10,702,000 | 11,210,923 | ||
Aon Corp.: | ||||
3.125% 5/27/16 | 11,274,000 | 11,454,440 | ||
3.5% 9/30/15 | 4,451,000 | 4,459,212 | ||
5% 9/30/20 | 3,854,000 | 4,242,892 | ||
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (n) | 4,900,000 | 5,060,112 | ||
Assicurazioni Generali SpA 7.75% 12/12/42 (n) | EUR | 4,400,000 | 6,026,565 | |
Aviva PLC 6.625% 6/3/41 (n) | GBP | 4,150,000 | 6,904,102 | |
Five Corners Funding Trust 4.419% 11/15/23 (h) | 12,460,000 | 12,904,922 | ||
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (h)(n) | 1,859,000 | 1,896,180 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - continued | ||||
Hartford Financial Services Group, Inc.: | ||||
5.125% 4/15/22 | $ 14,787,000 | $ 16,418,923 | ||
5.375% 3/15/17 | 194,000 | 204,723 | ||
Liberty Mutual Group, Inc. 5% 6/1/21 (h) | 12,644,000 | 13,716,110 | ||
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,763,472 | ||
Massachusetts Mutual Life Insurance Co.: | ||||
4.5% 4/15/65 (h) | 30,523,000 | 27,679,050 | ||
5.375% 12/1/41 (h) | 3,840,000 | 4,261,951 | ||
MetLife, Inc.: | ||||
1.903% 12/15/17 (n) | 2,987,000 | 3,001,526 | ||
3.048% 12/15/22 (n) | 12,433,000 | 12,183,283 | ||
4.368% 9/15/23 | 9,625,000 | 10,189,766 | ||
4.75% 2/8/21 | 4,032,000 | 4,432,636 | ||
6.75% 6/1/16 | 7,610,000 | 7,934,218 | ||
Metropolitan Life Global Funding I 3% 1/10/23 (h) | 7,896,000 | 7,701,972 | ||
Pacific Life Insurance Co. 9.25% 6/15/39 (h) | 7,041,000 | 10,587,270 | ||
Pacific LifeCorp: | ||||
5.125% 1/30/43 (h) | 19,436,000 | 19,925,010 | ||
6% 2/10/20 (h) | 12,654,000 | 14,237,851 | ||
Prudential Financial, Inc.: | ||||
2.3% 8/15/18 | 1,622,000 | 1,639,323 | ||
4.5% 11/16/21 | 6,390,000 | 6,972,640 | ||
5.375% 5/15/45 (n) | 17,492,000 | 17,300,638 | ||
6.2% 11/15/40 | 4,318,000 | 5,117,758 | ||
7.375% 6/15/19 | 3,230,000 | 3,790,327 | ||
Symetra Financial Corp. 6.125% 4/1/16 (h) | 6,375,000 | 6,534,809 | ||
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (h) | 18,083,000 | 18,510,356 | ||
TIAA Asset Management Finance LLC: | ||||
2.95% 11/1/19 (h) | 4,172,000 | 4,196,594 | ||
4.125% 11/1/24 (h) | 6,048,000 | 6,106,732 | ||
Unum Group: | ||||
5.625% 9/15/20 | 8,386,000 | 9,383,699 | ||
5.75% 8/15/42 | 16,937,000 | 18,844,428 | ||
7.125% 9/30/16 | 587,000 | 621,415 | ||
| 361,774,970 | |||
Real Estate Investment Trusts - 1.7% | ||||
Alexandria Real Estate Equities, Inc.: | ||||
2.75% 1/15/20 | 2,884,000 | 2,853,112 | ||
4.6% 4/1/22 | 4,025,000 | 4,174,939 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | $ 3,491,000 | $ 3,390,438 | ||
AvalonBay Communities, Inc.: | ||||
3.625% 10/1/20 | 5,005,000 | 5,200,230 | ||
4.2% 12/15/23 | 12,000,000 | 12,529,692 | ||
Boston Properties, Inc. 3.85% 2/1/23 | 14,583,000 | 14,806,966 | ||
Camden Property Trust: | ||||
2.95% 12/15/22 | 6,621,000 | 6,356,471 | ||
4.25% 1/15/24 | 9,191,000 | 9,500,268 | ||
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,325,598 | ||
Communications Sales & Leasing, Inc. 8.25% 10/15/23 (h) | 1,455,000 | 1,324,050 | ||
Corporate Office Properties LP 5% 7/1/25 | 8,095,000 | 7,900,987 | ||
DDR Corp.: | ||||
3.625% 2/1/25 | 7,690,000 | 7,227,646 | ||
4.625% 7/15/22 | 10,758,000 | 11,185,846 | ||
4.75% 4/15/18 | 11,273,000 | 11,914,682 | ||
7.5% 4/1/17 | 5,574,000 | 6,039,022 | ||
7.875% 9/1/20 | 323,000 | 392,813 | ||
9.625% 3/15/16 | 3,691,000 | 3,852,179 | ||
Duke Realty LP: | ||||
3.625% 4/15/23 | 6,287,000 | 6,168,396 | ||
3.75% 12/1/24 | 5,408,000 | 5,265,040 | ||
3.875% 10/15/22 | 11,543,000 | 11,638,461 | ||
4.375% 6/15/22 | 7,323,000 | 7,576,918 | ||
5.95% 2/15/17 | 102,000 | 108,357 | ||
6.5% 1/15/18 | 3,795,000 | 4,175,475 | ||
6.75% 3/15/20 | 10,379,000 | 12,023,532 | ||
8.25% 8/15/19 | 75,000 | 90,575 | ||
Equity One, Inc.: | ||||
3.75% 11/15/22 | 18,100,000 | 18,029,066 | ||
6% 9/15/17 | 1,212,000 | 1,308,027 | ||
6.25% 1/15/17 | 1,027,000 | 1,087,078 | ||
ERP Operating LP: | ||||
2.375% 7/1/19 | 8,777,000 | 8,791,500 | ||
4.625% 12/15/21 | 17,159,000 | 18,535,461 | ||
4.75% 7/15/20 | 7,700,000 | 8,404,450 | ||
5.375% 8/1/16 | 2,768,000 | 2,873,079 | ||
5.75% 6/15/17 | 14,407,000 | 15,447,027 | ||
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,848,691 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
HCP, Inc. 3.75% 2/1/16 | $ 6,084,000 | $ 6,151,356 | ||
Health Care REIT, Inc.: | ||||
2.25% 3/15/18 | 5,151,000 | 5,157,985 | ||
4.7% 9/15/17 | 1,538,000 | 1,622,252 | ||
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 650,684 | ||
HRPT Properties Trust: | ||||
6.25% 6/15/17 | 1,232,000 | 1,291,660 | ||
6.65% 1/15/18 | 867,000 | 931,770 | ||
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,638,463 | ||
Omega Healthcare Investors, Inc.: | ||||
4.5% 1/15/25 | 4,655,000 | 4,572,774 | ||
4.5% 4/1/27 (h) | 45,578,000 | 43,784,460 | ||
4.95% 4/1/24 | 3,875,000 | 3,987,673 | ||
5.875% 3/15/24 | 290,000 | 305,225 | ||
6.75% 10/15/22 | 345,000 | 357,938 | ||
Retail Opportunity Investments Partnership LP: | ||||
4% 12/15/24 | 3,376,000 | 3,289,544 | ||
5% 12/15/23 | 2,030,000 | 2,139,920 | ||
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 278,757 | ||
Simon Property Group LP 4.125% 12/1/21 | 7,287,000 | 7,721,101 | ||
The GEO Group, Inc. 5.875% 1/15/22 | 2,285,000 | 2,376,400 | ||
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,670,616 | ||
WP Carey, Inc. 4% 2/1/25 | 21,616,000 | 20,894,393 | ||
| 348,169,043 | |||
Real Estate Management & Development - 1.7% | ||||
BioMed Realty LP: | ||||
2.625% 5/1/19 | 7,539,000 | 7,527,428 | ||
3.85% 4/15/16 | 16,284,000 | 16,495,024 | ||
4.25% 7/15/22 | 5,809,000 | 5,923,693 | ||
6.125% 4/15/20 | 3,429,000 | 3,859,751 | ||
Brandywine Operating Partnership LP: | ||||
3.95% 2/15/23 | 12,775,000 | 12,544,130 | ||
4.1% 10/1/24 | 15,881,000 | 15,800,452 | ||
4.55% 10/1/29 | 15,881,000 | 15,422,309 | ||
4.95% 4/15/18 | 12,690,000 | 13,476,184 | ||
5.7% 5/1/17 | 7,049,000 | 7,453,493 | ||
6% 4/1/16 | 2,699,000 | 2,766,613 | ||
CBRE Group, Inc. 5% 3/15/23 | 10,300,000 | 10,398,138 | ||
Citycon Oyj 3.75% 6/24/20 (Reg. S) | EUR | 2,500,000 | 3,043,919 | |
Citycon Treasury BV 2.5% 10/1/24 (Reg. S) | EUR | 350,000 | 386,217 | |
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Deutsche Annington Finance BV 5% 10/2/23 (h) | $ 3,750,000 | $ 3,987,863 | ||
Digital Realty Trust LP: | ||||
3.95% 7/1/22 | 11,369,000 | 11,381,153 | ||
5.25% 3/15/21 | 5,708,000 | 6,213,580 | ||
Essex Portfolio LP: | ||||
3.875% 5/1/24 | 8,802,000 | 8,807,123 | ||
5.5% 3/15/17 | 3,597,000 | 3,794,058 | ||
Host Hotels & Resorts LP: | ||||
4.75% 3/1/23 | 150,000 | 156,208 | ||
6% 11/1/20 | 105,000 | 108,621 | ||
Howard Hughes Corp. 6.875% 10/1/21 (h) | 2,035,000 | 2,121,488 | ||
Hunt Companies, Inc. 9.625% 3/1/21 (h) | 870,000 | 835,200 | ||
Inmobiliaria Colonial SA 1.863% 6/5/19 (Reg. S) | EUR | 2,900,000 | 3,248,052 | |
Inversiones y Representaciones SA: | ||||
8.5% 2/2/17 (Reg. S) | 65,000 | 64,675 | ||
11.5% 7/20/20 (Reg. S) | 5,000 | 5,550 | ||
Liberty Property LP: | ||||
3.375% 6/15/23 | 6,574,000 | 6,326,943 | ||
4.125% 6/15/22 | 6,280,000 | 6,419,812 | ||
4.4% 2/15/24 | 13,017,000 | 13,390,015 | ||
4.75% 10/1/20 | 11,282,000 | 12,170,300 | ||
5.5% 12/15/16 | 1,891,000 | 1,979,036 | ||
6.625% 10/1/17 | 4,835,000 | 5,292,923 | ||
Mack-Cali Realty LP: | ||||
2.5% 12/15/17 | 9,223,000 | 9,251,813 | ||
3.15% 5/15/23 | 14,735,000 | 13,078,447 | ||
4.5% 4/18/22 | 4,072,000 | 4,058,485 | ||
5.8% 1/15/16 | 10,000,000 | 10,147,530 | ||
7.75% 8/15/19 | 700,000 | 806,132 | ||
Mid-America Apartments LP: | ||||
4.3% 10/15/23 | 2,224,000 | 2,274,632 | ||
6.05% 9/1/16 | 2,000,000 | 2,086,998 | ||
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,500,114 | ||
Prime Property Funding, Inc. 5.7% 4/15/17 (h) | 4,546,000 | 4,757,194 | ||
Realogy Corp. 7.625% 1/15/20 (h) | 981,000 | 1,031,276 | ||
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (h) | 235,000 | 236,469 | ||
Reckson Operating Partnership LP 6% 3/31/16 | 7,123,000 | 7,300,911 | ||
Regency Centers LP 5.875% 6/15/17 | 2,874,000 | 3,085,276 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Tanger Properties LP: | ||||
3.75% 12/1/24 | $ 10,161,000 | $ 9,927,795 | ||
3.875% 12/1/23 | 4,812,000 | 4,777,002 | ||
6.125% 6/1/20 | 14,318,000 | 16,277,604 | ||
Ventas Realty LP: | ||||
1.55% 9/26/16 | 7,655,000 | 7,668,947 | ||
3.5% 2/1/25 | 4,631,000 | 4,380,296 | ||
3.75% 5/1/24 | 20,000,000 | 19,579,180 | ||
4.125% 1/15/26 | 5,557,000 | 5,501,135 | ||
Ventas Realty LP/Ventas Capital Corp.: | ||||
2% 2/15/18 | 8,050,000 | 8,073,015 | ||
4% 4/30/19 | 3,747,000 | 3,918,234 | ||
4.25% 3/1/22 | 300,000 | 311,040 | ||
Vesteda Finance BV 1.75% 7/22/19 (Reg. S) | EUR | 3,000,000 | 3,393,462 | |
| 345,822,938 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Wrightwood Capital LLC 1.9% 4/20/20 (d) | 362 | 12,138 | ||
TOTAL FINANCIALS | 3,775,615,933 | |||
HEALTH CARE - 2.6% | ||||
Biotechnology - 0.2% | ||||
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (h) | 845,000 | 865,069 | ||
Amgen, Inc.: | ||||
1.25% 5/22/17 | 14,862,000 | 14,821,278 | ||
2.2% 5/22/19 | 14,136,000 | 14,023,986 | ||
| 29,710,333 | |||
Health Care Equipment & Supplies - 0.0% | ||||
Becton, Dickinson & Co. 2.675% 12/15/19 | 4,539,000 | 4,538,737 | ||
Hill-Rom Holdings, Inc. 5.75% 9/1/23 (h)(j) | 1,220,000 | 1,241,350 | ||
Hologic, Inc. 5.25% 7/15/22 (h) | 1,620,000 | 1,650,375 | ||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (h) | 655,000 | 650,088 | ||
| 8,080,550 | |||
Health Care Providers & Services - 1.2% | ||||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 1,914,945 | ||
Community Health Systems, Inc. 6.875% 2/1/22 | 5,375,000 | 5,712,604 | ||
Express Scripts Holding Co. 4.75% 11/15/21 | 24,746,000 | 26,451,148 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HCA Holdings, Inc.: | ||||
3.75% 3/15/19 | $ 18,722,000 | $ 18,815,610 | ||
4.25% 10/15/19 | 7,590,000 | 7,741,800 | ||
4.75% 5/1/23 | 595,000 | 603,175 | ||
5.875% 3/15/22 | 715,000 | 777,563 | ||
6.5% 2/15/20 | 30,303,000 | 33,484,815 | ||
HealthSouth Corp.: | ||||
5.125% 3/15/23 | 860,000 | 851,400 | ||
5.75% 11/1/24 (h) | 1,035,000 | 1,049,387 | ||
5.75% 11/1/24 | 1,155,000 | 1,171,055 | ||
Kindred Escrow Corp. II: | ||||
8% 1/15/20 (h) | 3,740,000 | 4,097,638 | ||
8.75% 1/15/23 (h) | 9,820,000 | 10,998,400 | ||
Medco Health Solutions, Inc.: | ||||
2.75% 9/15/15 | 1,176,000 | 1,176,734 | ||
4.125% 9/15/20 | 7,486,000 | 7,909,753 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 500,000 | 517,500 | ||
5.5% 2/1/21 | 5,400,000 | 5,643,000 | ||
Tenet Healthcare Corp.: | ||||
3.7861% 6/15/20 (h)(n) | 1,550,000 | 1,558,525 | ||
5% 3/1/19 | 2,285,000 | 2,280,978 | ||
6% 10/1/20 | 605,000 | 647,350 | ||
6.75% 6/15/23 | 2,530,000 | 2,605,900 | ||
6.875% 11/15/31 | 130,000 | 120,250 | ||
8.125% 4/1/22 | 16,575,000 | 18,356,813 | ||
UnitedHealth Group, Inc.: | ||||
2.75% 2/15/23 | 2,398,000 | 2,309,437 | ||
2.875% 3/15/23 | 16,114,000 | 15,682,467 | ||
3.35% 7/15/22 | 6,192,000 | 6,333,648 | ||
3.75% 7/15/25 | 19,000,000 | 19,448,913 | ||
4.625% 7/15/35 | 12,193,000 | 12,717,835 | ||
4.75% 7/15/45 | 20,331,000 | 21,277,306 | ||
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,239,174 | ||
| 238,495,123 | |||
Health Care Technology - 0.0% | ||||
Emdeon, Inc. 6% 2/15/21 (h) | 1,345,000 | 1,324,825 | ||
Life Sciences Tools & Services - 0.0% | ||||
Thermo Fisher Scientific, Inc.: | ||||
1.3% 2/1/17 | 3,107,000 | 3,089,557 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Life Sciences Tools & Services - continued | ||||
Thermo Fisher Scientific, Inc.: - continued | ||||
2.4% 2/1/19 | $ 1,959,000 | $ 1,954,390 | ||
4.15% 2/1/24 | 3,010,000 | 3,067,094 | ||
| 8,111,041 | |||
Pharmaceuticals - 1.2% | ||||
AbbVie, Inc.: | ||||
1.75% 11/6/17 | 13,509,000 | 13,497,409 | ||
2.9% 11/6/22 | 13,855,000 | 13,364,824 | ||
3.6% 5/14/25 | 24,114,000 | 23,711,682 | ||
4.5% 5/14/35 | 23,238,000 | 22,197,031 | ||
4.7% 5/14/45 | 23,197,000 | 22,539,759 | ||
Actavis Funding SCS: | ||||
3% 3/12/20 | 13,777,000 | 13,713,089 | ||
3.45% 3/15/22 | 18,597,000 | 18,189,819 | ||
3.8% 3/15/25 | 27,765,000 | 26,897,316 | ||
4.75% 3/15/45 | 10,716,000 | 9,820,850 | ||
Bayer AG 2.375% 4/2/75 (Reg. S) (n) | EUR | 2,450,000 | 2,622,251 | |
Bayer U.S. Finance LLC: | ||||
2.375% 10/8/19 (h) | 10,323,000 | 10,366,501 | ||
3% 10/8/21 (h) | 7,536,000 | 7,547,063 | ||
3.375% 10/8/24 (h) | 3,362,000 | 3,335,417 | ||
Endo Finance LLC 5.375% 1/15/23 (h) | 1,530,000 | 1,541,475 | ||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.: | ||||
6% 7/15/23 (h) | 1,885,000 | 1,960,400 | ||
6% 2/1/25 (h) | 3,680,000 | 3,781,200 | ||
Mylan, Inc. 1.35% 11/29/16 | 3,628,000 | 3,595,562 | ||
Perrigo Co. PLC: | ||||
1.3% 11/8/16 | 2,954,000 | 2,936,034 | ||
2.3% 11/8/18 | 3,161,000 | 3,153,107 | ||
Perrigo Finance PLC: | ||||
3.5% 12/15/21 | 3,657,000 | 3,567,458 | ||
3.9% 12/15/24 | 5,449,000 | 5,278,446 | ||
4.9% 12/15/44 | 2,390,000 | 2,267,522 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
5.375% 3/15/20 (h) | 4,015,000 | 4,085,263 | ||
5.875% 5/15/23 (h) | 3,240,000 | 3,304,800 | ||
6.125% 4/15/25 (h) | 5,460,000 | 5,623,800 | ||
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 4,757,000 | 4,738,800 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Zoetis, Inc.: | ||||
1.875% 2/1/18 | $ 2,006,000 | $ 1,993,180 | ||
3.25% 2/1/23 | 4,892,000 | 4,638,815 | ||
| 240,268,873 | |||
TOTAL HEALTH CARE | 525,990,745 | |||
INDUSTRIALS - 1.5% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc.: | ||||
3.8% 10/7/24 (h) | 9,122,000 | 9,152,933 | ||
6.375% 6/1/19 (h) | 8,071,000 | 9,151,207 | ||
DigitalGlobe, Inc. 5.25% 2/1/21 (h) | 7,620,000 | 7,315,200 | ||
TransDigm, Inc.: | ||||
5.5% 10/15/20 | 4,530,000 | 4,440,080 | ||
6% 7/15/22 | 2,885,000 | 2,842,158 | ||
6.5% 5/15/25 (h) | 1,355,000 | 1,332,981 | ||
| 34,234,559 | |||
Airlines - 0.2% | ||||
Air Canada 6.625% 5/15/18 (h) | 1,465,000 | 1,519,791 | ||
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 9/15/20 (h) | 3,225,000 | 3,118,660 | ||
Allegiant Travel Co. 5.5% 7/15/19 | 4,220,000 | 4,293,850 | ||
American Airlines Group, Inc.: | ||||
4.625% 3/1/20 (h) | 2,670,000 | 2,623,275 | ||
5.5% 10/1/19 (h) | 8,970,000 | 9,183,038 | ||
American Airlines, Inc. pass-thru certificates equipment trust certificate 5.625% 1/15/21 (h) | 207,953 | 214,191 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 9.798% 4/1/21 | 234,393 | 256,660 | ||
6.125% 4/29/18 | 240,000 | 249,000 | ||
6.648% 3/15/19 | 945,121 | 971,111 | ||
6.9% 7/2/19 | 381,986 | 398,449 | ||
9.25% 5/10/17 | 1,325,326 | 1,441,292 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.375% 7/2/17 (h) | 1,515,000 | 1,533,938 | ||
6.75% 5/23/17 | 1,515,000 | 1,533,938 | ||
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 927,444 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,711,125 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways pass-thru certificates: - continued | ||||
Series 2013-1 Class B, 5.375% 5/15/23 | $ 323,913 | $ 335,250 | ||
U.S. Airways pass-thru trust certificates: | ||||
6.85% 1/30/18 | 1,366,062 | 1,448,025 | ||
8.36% 1/20/19 | 837,230 | 896,883 | ||
United Air Lines, Inc. pass-thru trust certificates: | ||||
Class B, 7.336% 7/2/19 | 631,364 | 669,246 | ||
12% 1/15/16 (h) | 157,666 | 163,973 | ||
United Continental Holdings, Inc.: | ||||
6% 12/1/20 | 2,600,000 | 2,713,750 | ||
6.375% 6/1/18 | 140,000 | 146,475 | ||
| 36,349,364 | |||
Building Products - 0.0% | ||||
Building Materials Corp. of America 5.375% 11/15/24 (h) | 3,095,000 | 3,095,000 | ||
USG Corp. 5.5% 3/1/25 (h) | 3,175,000 | 3,159,125 | ||
| 6,254,125 | |||
Commercial Services & Supplies - 0.3% | ||||
ADT Corp.: | ||||
3.5% 7/15/22 | 6,296,000 | 5,636,809 | ||
4.125% 4/15/19 | 2,860,000 | 2,902,900 | ||
4.125% 6/15/23 | 5,040,000 | 4,624,200 | ||
5.25% 3/15/20 | 2,035,000 | 2,080,788 | ||
6.25% 10/15/21 | 2,065,000 | 2,132,113 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 | 12,550,000 | 12,189,188 | ||
8.75% 12/1/20 | 13,055,000 | 11,455,763 | ||
Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (h) | 5,020,000 | 4,492,900 | ||
Cenveo Corp. 6% 8/1/19 (h) | 325,000 | 273,813 | ||
Garda World Security Corp.: | ||||
7.25% 11/15/21 (h) | 8,485,000 | 7,933,475 | ||
7.25% 11/15/21 (h) | 400,000 | 374,000 | ||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h) | 3,500,000 | 3,605,000 | ||
R.R. Donnelley & Sons Co.: | ||||
6.5% 11/15/23 | 1,280,000 | 1,232,000 | ||
7% 2/15/22 | 660,000 | 646,800 | ||
| 59,579,749 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Construction & Engineering - 0.0% | ||||
Abengoa Greenfield SA 6.5% 10/1/19 (h) | $ 2,595,000 | $ 1,518,075 | ||
Cementos Progreso Trust 7.125% 11/6/23 (h) | 570,000 | 609,900 | ||
Odebrecht Finance Ltd. 4.375% 4/25/25 (h) | 650,000 | 427,375 | ||
| 2,555,350 | |||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 5.75% 10/1/22 (n) | 1,920,000 | 1,718,400 | ||
Sensata Technologies BV 5% 10/1/25 (h) | 2,285,000 | 2,216,450 | ||
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 6,500,000 | 6,903,018 | |
| 10,837,868 | |||
Industrial Conglomerates - 0.1% | ||||
Alfa SA de CV 5.25% 3/25/24 (h) | 450,000 | 462,375 | ||
General Electric Co. 5.25% 12/6/17 | 17,730,000 | 19,154,286 | ||
| 19,616,661 | |||
Machinery - 0.0% | ||||
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (h) | 1,340,000 | 1,266,300 | ||
Schaeffler Finance BV 4.75% 5/15/21 (h) | 1,540,000 | 1,514,020 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 | 1,645,000 | 1,677,900 | ||
| 4,458,220 | |||
Marine - 0.1% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (h) | 4,350,000 | 4,154,250 | ||
Navios Maritime Holdings, Inc.: | ||||
7.375% 1/15/22 (h) | 8,910,000 | 7,395,300 | ||
8.125% 2/15/19 | 2,885,000 | 2,293,575 | ||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (h) | 885,000 | 816,413 | ||
| 14,659,538 | |||
Professional Services - 0.0% | ||||
IHS, Inc. 5% 11/1/22 | 2,895,000 | 2,927,569 | ||
Road & Rail - 0.1% | ||||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,004,464 | |
Firstgroup PLC 5.25% 11/29/22 | GBP | 1,000,000 | 1,646,759 | |
JSC Georgian Railway 7.75% 7/11/22 (h) | 650,000 | 670,313 | ||
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (h) | 570,000 | 571,140 | ||
OPE KAG Finance Sub, Inc. 7.875% 7/31/23 (h) | 5,045,000 | 5,145,900 | ||
| 12,038,576 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.5% | ||||
Air Lease Corp.: | ||||
2.125% 1/15/18 | $ 7,271,000 | $ 7,198,290 | ||
2.625% 9/4/18 | 16,438,000 | 16,396,116 | ||
3.75% 2/1/22 | 16,396,000 | 16,384,998 | ||
3.875% 4/1/21 | 14,814,000 | 14,962,140 | ||
4.25% 9/15/24 | 12,030,000 | 11,894,663 | ||
4.75% 3/1/20 | 11,796,000 | 12,489,369 | ||
Aircastle Ltd.: | ||||
5.125% 3/15/21 | 1,575,000 | 1,610,438 | ||
6.25% 12/1/19 | 830,000 | 900,550 | ||
Building Materials Holding Corp. 9% 9/15/18 (h) | 2,690,000 | 2,861,488 | ||
FLY Leasing Ltd.: | ||||
6.375% 10/15/21 | 5,600,000 | 5,726,000 | ||
6.75% 12/15/20 | 2,795,000 | 2,878,850 | ||
International Lease Finance Corp. 4.625% 4/15/21 | 955,000 | 971,713 | ||
Travis Perkins PLC 4.375% 9/15/21 (Reg. S) | GBP | 1,000,000 | 1,548,751 | |
United Rentals North America, Inc. 5.5% 7/15/25 | 1,045,000 | 1,008,425 | ||
| 96,831,791 | |||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA: | ||||
10.75% 12/1/20 (h) | 1,566,180 | 1,650,362 | ||
10.75% 12/1/20 (Reg. S) | 87,780 | 92,498 | ||
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 2,400,000 | 4,134,168 | |
| 5,877,028 | |||
TOTAL INDUSTRIALS | 306,220,398 | |||
INFORMATION TECHNOLOGY - 0.7% | ||||
Communications Equipment - 0.2% | ||||
Alcatel-Lucent U.S.A., Inc.: | ||||
6.75% 11/15/20 (h) | 5,575,000 | 5,951,313 | ||
8.875% 1/1/20 (h) | 1,970,000 | 2,138,681 | ||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (h) | 2,070,000 | 2,070,000 | ||
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 1,430,000 | 1,365,650 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 15,450,000 | $ 16,154,829 | ||
6.5% 1/15/28 | 4,782,000 | 4,973,280 | ||
| 32,653,753 | |||
Electronic Equipment & Components - 0.0% | ||||
Amphenol Corp. 3.125% 9/15/21 | 4,703,000 | 4,658,213 | ||
Tyco Electronics Group SA: | ||||
2.375% 12/17/18 | 2,244,000 | 2,255,072 | ||
6.55% 10/1/17 | 1,383,000 | 1,517,607 | ||
| 8,430,892 | |||
IT Services - 0.1% | ||||
Audatex North America, Inc.: | ||||
6% 6/15/21 (h) | 3,200,000 | 3,124,672 | ||
6.125% 11/1/23 (h) | 2,290,000 | 2,269,711 | ||
Capgemini SA 2.5% 7/1/23 (Reg. S) | EUR | 3,700,000 | 4,264,153 | |
Global Cash Access, Inc. 10% 1/15/22 (h) | 5,220,000 | 4,932,900 | ||
| 14,591,436 | |||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Infineon Technologies AG 1.5% 3/10/22 (Reg. S) | EUR | 4,400,000 | 4,819,623 | |
Micron Technology, Inc.: | ||||
5.25% 8/1/23 (h) | 5,285,000 | 4,928,263 | ||
5.25% 1/15/24 (h) | 5,165,000 | 4,790,538 | ||
5.625% 1/15/26 (h) | 2,165,000 | 1,964,738 | ||
5.875% 2/15/22 | 2,310,000 | 2,275,350 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (h) | 600,000 | 603,000 | ||
| 19,381,512 | |||
Software - 0.1% | ||||
Blue Coat Systems, Inc. 8.375% 6/1/23 (h) | 6,820,000 | 6,833,640 | ||
Italics Merger Sub, Inc. 7.125% 7/15/23 (h) | 2,715,000 | 2,626,192 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (h) | 3,315,000 | 3,321,232 | ||
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (h) | 1,175,000 | 1,211,660 | ||
| 13,992,724 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.2% | ||||
Apple, Inc.: | ||||
3.2% 5/13/25 | $ 20,000,000 | $ 19,879,440 | ||
4.375% 5/13/45 | 20,000,000 | 19,768,580 | ||
| 39,648,020 | |||
TOTAL INFORMATION TECHNOLOGY | 128,698,337 | |||
MATERIALS - 1.4% | ||||
Chemicals - 0.2% | ||||
Braskem Finance Ltd.: | ||||
5.375% 5/2/22 (h) | 735,000 | 643,125 | ||
5.75% 4/15/21 (h) | 430,000 | 389,150 | ||
6.45% 2/3/24 | 455,000 | 412,867 | ||
Evolution Escrow Issuer LLC 7.5% 3/15/22 (h) | 4,150,000 | 3,340,750 | ||
LSB Industries, Inc. 7.75% 8/1/19 | 1,055,000 | 1,062,913 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (h) | 3,175,000 | 3,182,938 | ||
OCP SA 5.625% 4/25/24 (h) | 390,000 | 399,828 | ||
Platform Specialty Products Corp. 6.5% 2/1/22 (h) | 2,210,000 | 2,140,009 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (h) | 1,755,000 | 1,640,925 | ||
8.25% 1/15/21 (h) | 865,000 | 817,425 | ||
The Chemours Company LLC 6.625% 5/15/23 (h) | 4,065,000 | 3,536,550 | ||
The Dow Chemical Co.: | ||||
4.125% 11/15/21 | 10,888,000 | 11,337,794 | ||
4.25% 11/15/20 | 5,898,000 | 6,249,975 | ||
| 35,154,249 | |||
Construction Materials - 0.1% | ||||
CEMEX Finance LLC: | ||||
6% 4/1/24 (h) | 1,670,000 | 1,586,500 | ||
9.375% 10/12/22 (h) | 710,000 | 793,425 | ||
CEMEX S.A.B. de CV: | ||||
6.125% 5/5/25 (h) | 5,695,000 | 5,438,725 | ||
6.5% 12/10/19 (h) | 4,195,000 | 4,257,925 | ||
Union Andina de Cementos SAA 5.875% 10/30/21 (h) | 635,000 | 631,635 | ||
| 12,708,210 | |||
Containers & Packaging - 0.2% | ||||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (h)(n) | 14,962,327 | 15,512,816 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
3.2859% 12/15/19 (h)(n) | $ 7,335,000 | $ 7,188,300 | ||
7% 11/15/20 (h) | 2,655,000 | 2,681,550 | ||
Ball Corp. 5.25% 7/1/25 | 4,920,000 | 4,895,400 | ||
Beverage Packaging Holdings II SA (Luxembourg) 6% 6/15/17 (h) | 2,190,000 | 2,179,050 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h) | 1,355,000 | 1,178,850 | ||
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 | 2,345,000 | 2,295,169 | ||
Owens-Brockway Glass Container, Inc.: | ||||
5.875% 8/15/23 (h) | 2,290,000 | 2,330,075 | ||
6.375% 8/15/25 (h) | 2,290,000 | 2,341,525 | ||
Sappi Papier Holding GmbH 6.625% 4/15/21 (h) | 6,885,000 | 7,057,125 | ||
| 47,659,860 | |||
Metals & Mining - 0.9% | ||||
Alcoa, Inc. 5.125% 10/1/24 | 9,954,000 | 9,754,920 | ||
Alrosa Finance SA 7.75% 11/3/20 (h) | 700,000 | 722,645 | ||
Anglo American Capital PLC: | ||||
3.625% 5/14/20 (h) | 29,122,000 | 27,689,052 | ||
4.875% 5/14/25 (h) | 29,080,000 | 26,226,525 | ||
AngloGold Ashanti Holdings PLC 5.125% 8/1/22 | 230,000 | 196,650 | ||
Compania Minera Ares SAC 7.75% 1/23/21 (h) | 860,000 | 826,460 | ||
Corporacion Nacional del Cobre de Chile (Codelco): | ||||
3.875% 11/3/21 (h) | 11,456,000 | 11,527,715 | ||
4.875% 11/4/44 (h) | 5,532,000 | 4,903,244 | ||
CSN Resources SA 6.5% 7/21/20 (h) | 500,000 | 307,500 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (h) | 2,030,000 | 1,768,638 | ||
9.5% 4/24/18 (Reg. S) | 3,100,000 | 3,162,000 | ||
Ferrexpo Finance PLC 10.375% 4/7/19 (h) | 2,347,000 | 1,936,275 | ||
First Quantum Minerals Ltd.: | ||||
6.75% 2/15/20 (h) | 8,075,000 | 5,773,625 | ||
7.25% 5/15/22 (h) | 3,745,000 | 2,612,138 | ||
Freeport-McMoRan, Inc. 2.3% 11/14/17 | 9,771,000 | 9,087,030 | ||
Gerdau Trade, Inc. 5.75% 1/30/21 (h) | 460,000 | 429,640 | ||
Gold Fields Orogen Holding BVI Ltd.: | ||||
4.875% 10/7/20 (h) | 2,530,000 | 2,150,500 | ||
4.875% 10/7/20 (Reg. S) | 200,000 | 170,000 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
GTL Trade Finance, Inc. 5.893% 4/29/24 (h) | $ 1,025,000 | $ 893,493 | ||
JMC Steel Group, Inc. 8.25% 3/15/18 (h) | 2,460,000 | 1,949,550 | ||
Lundin Mining Corp.: | ||||
7.5% 11/1/20 (h) | 4,430,000 | 4,374,625 | ||
7.875% 11/1/22 (h) | 6,840,000 | 6,737,400 | ||
Metalloinvest Finance Ltd. 5.625% 4/17/20 (h) | 1,440,000 | 1,314,101 | ||
Metinvest BV: | ||||
8.75% 2/14/18 (Reg. S) | 400,000 | 224,000 | ||
10.5% 11/28/17 (h) | 3,575,000 | 2,073,500 | ||
Murray Energy Corp. 11.25% 4/15/21 (h) | 9,760,000 | 4,514,000 | ||
New Gold, Inc. 6.25% 11/15/22 (h) | 4,830,000 | 4,081,350 | ||
Nord Gold NV 6.375% 5/7/18 (h) | 1,660,000 | 1,630,950 | ||
Polyus Gold International Ltd.: | ||||
5.625% 4/29/20 (h) | 3,110,000 | 2,938,950 | ||
5.625% 4/29/20 (Reg. S) | 200,000 | 189,000 | ||
Rio Tinto Finance (U.S.A.) PLC 2.25% 12/14/18 | 12,175,000 | 12,086,804 | ||
Samarco Mineracao SA 5.75% 10/24/23 (h) | 655,000 | 613,080 | ||
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (h) | 1,600,000 | 1,544,000 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 530,000 | 508,784 | ||
7.5% 7/27/35 | 910,000 | 942,178 | ||
Steel Dynamics, Inc.: | ||||
5.125% 10/1/21 | 4,850,000 | 4,755,425 | ||
5.5% 10/1/24 | 4,070,000 | 3,952,988 | ||
6.125% 8/15/19 | 2,683,000 | 2,780,259 | ||
Urenco Finance NV 2.25% 8/5/22 (Reg. S) | EUR | 1,650,000 | 1,839,227 | |
Vale Overseas Ltd.: | ||||
4.375% 1/11/22 | 12,000,000 | 11,127,600 | ||
6.25% 1/11/16 | 5,000,000 | 5,070,000 | ||
6.25% 1/23/17 | 5,581,000 | 5,796,817 | ||
6.875% 11/21/36 | 640,000 | 544,640 | ||
Vedanta Resources PLC 6% 1/31/19 (h) | 1,090,000 | 945,575 | ||
| 192,672,853 | |||
Paper & Forest Products - 0.0% | ||||
Sino-Forest Corp. 6.25% 10/21/17 (d)(h) | 1,365,000 | 0 | ||
TOTAL MATERIALS | 288,195,172 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - 2.8% | ||||
Diversified Telecommunication Services - 2.2% | ||||
Altice Financing SA: | ||||
6.5% 1/15/22 (h) | $ 1,865,000 | $ 1,869,663 | ||
6.625% 2/15/23 (h) | 2,780,000 | 2,766,100 | ||
7.875% 12/15/19 (h) | 272,000 | 284,240 | ||
Altice Finco SA: | ||||
7.625% 2/15/25 (h) | 2,720,000 | 2,665,600 | ||
8.125% 1/15/24 (h) | 1,000,000 | 1,010,000 | ||
9.875% 12/15/20 (h) | 6,135,000 | 6,733,163 | ||
AT&T, Inc.: | ||||
2.45% 6/30/20 | 11,294,000 | 11,187,407 | ||
3% 6/30/22 | 29,259,000 | 28,079,570 | ||
3.4% 5/15/25 | 39,520,000 | 37,617,626 | ||
4.75% 5/15/46 | 31,335,000 | 28,570,344 | ||
4.8% 6/15/44 | 15,000,000 | 13,777,905 | ||
6.3% 1/15/38 | 16,665,000 | 18,177,365 | ||
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 48,413 | ||
CenturyLink, Inc.: | ||||
5.15% 6/15/17 | 972,000 | 996,300 | ||
6% 4/1/17 | 2,432,000 | 2,535,360 | ||
6.15% 9/15/19 | 6,992,000 | 7,324,120 | ||
Embarq Corp.: | ||||
7.082% 6/1/16 | 8,346,000 | 8,625,174 | ||
7.995% 6/1/36 | 4,717,000 | 4,988,228 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (h) | 2,775,000 | 2,913,750 | ||
GCI, Inc. 6.875% 4/15/25 | 5,080,000 | 5,219,700 | ||
Intelsat Luxembourg SA 7.75% 6/1/21 | 2,700,000 | 2,022,975 | ||
Level 3 Financing, Inc.: | ||||
5.125% 5/1/23 (h) | 3,245,000 | 3,163,875 | ||
5.375% 8/15/22 | 6,925,000 | 6,949,515 | ||
5.375% 5/1/25 (h) | 1,080,000 | 1,043,550 | ||
Qtel International Finance Ltd. 5% 10/19/25 (h) | 645,000 | 696,781 | ||
Sable International Finance Ltd. 6.875% 8/1/22 (h) | 1,340,000 | 1,353,400 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 23,495,000 | 20,205,700 | ||
8.75% 3/15/32 | 3,305,000 | 3,127,356 | ||
TDC A/S 3.5% 2/26/3015 (Reg. S) (n) | EUR | 1,550,000 | 1,669,585 | |
Telecom Italia Capital SA 6% 9/30/34 | 1,350,000 | 1,323,000 | ||
Telecom Italia SpA 5.303% 5/30/24 (h) | 1,350,000 | 1,360,125 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h) | 590,000 | 594,425 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Verizon Communications, Inc.: | ||||
1.35% 6/9/17 | $ 20,956,000 | $ 20,887,600 | ||
2.625% 2/21/20 | 21,379,000 | 21,388,107 | ||
4.5% 9/15/20 | 36,000,000 | 38,720,880 | ||
5.012% 8/21/54 | 55,038,000 | 50,205,113 | ||
6.25% 4/1/37 | 2,348,000 | 2,631,364 | ||
6.4% 9/15/33 | 10,915,000 | 12,445,709 | ||
6.55% 9/15/43 | 54,849,000 | 64,763,725 | ||
Wind Acquisition Finance SA: | ||||
4.75% 7/15/20 (h) | 3,205,000 | 3,229,038 | ||
7.375% 4/23/21 (h) | 10,860,000 | 11,104,350 | ||
| 454,276,201 | |||
Wireless Telecommunication Services - 0.6% | ||||
America Movil S.A.B. de CV: | ||||
2.375% 9/8/16 | 15,982,000 | 16,149,811 | ||
3.125% 7/16/22 | 9,218,000 | 9,036,498 | ||
Comcel Trust 6.875% 2/6/24 (h) | 560,000 | 575,400 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (h) | 9,220,000 | 8,443,768 | ||
6.75% 3/1/23 (h) | 2,795,000 | 2,564,413 | ||
7% 2/15/20 (h) | 425,000 | 422,875 | ||
7.125% 4/1/22 (h) | 1,885,000 | 1,642,306 | ||
8.25% 9/30/20 (h) | 9,040,000 | 8,362,000 | ||
Everything Everywhere Finance PLC 4.375% 3/28/19 | GBP | 850,000 | 1,384,160 | |
Intelsat Jackson Holdings SA: | ||||
5.5% 8/1/23 | 1,490,000 | 1,311,200 | ||
7.25% 10/15/20 | 1,810,000 | 1,739,863 | ||
Millicom International Cellular SA: | ||||
4.75% 5/22/20 (h) | 650,000 | 622,375 | ||
6% 3/15/25 (h) | 6,675,000 | 6,307,875 | ||
6.625% 10/15/21 (h) | 1,450,000 | 1,443,475 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (h) | 2,680,000 | 2,832,674 | ||
SoftBank Corp. 5.375% 7/30/22 (Reg. S) | 4,200,000 | 4,215,750 | ||
Sprint Communications, Inc. 9% 11/15/18 (h) | 3,890,000 | 4,332,488 | ||
Sprint Corp.: | ||||
7.625% 2/15/25 | 5,395,000 | 5,034,209 | ||
7.875% 9/15/23 | 9,220,000 | 8,862,725 | ||
T-Mobile U.S.A., Inc.: | ||||
6% 3/1/23 | 4,060,000 | 4,139,129 | ||
6.375% 3/1/25 | 9,470,000 | 9,678,340 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
T-Mobile U.S.A., Inc.: - continued | ||||
6.464% 4/28/19 | $ 1,520,000 | $ 1,563,700 | ||
6.5% 1/15/24 | 3,045,000 | 3,128,738 | ||
6.625% 4/1/23 | 4,145,000 | 4,323,235 | ||
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 480,000 | 472,800 | ||
Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) | 650,000 | 689,619 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,260,000 | 4,223,603 | ||
| 113,503,029 | |||
TOTAL TELECOMMUNICATION SERVICES | 567,779,230 | |||
UTILITIES - 3.1% | ||||
Electric Utilities - 1.7% | ||||
AmerenUE 6.4% 6/15/17 | 2,491,000 | 2,707,894 | ||
American Electric Power Co., Inc.: | ||||
1.65% 12/15/17 | 5,213,000 | 5,196,167 | ||
2.95% 12/15/22 | 4,935,000 | 4,766,134 | ||
American Transmission Systems, Inc. 5% 9/1/44 (h) | 2,638,000 | 2,696,015 | ||
Ceske Energeticke Zavody A/S 4.25% 4/3/22 (Reg. S) | 5,000,000 | 5,257,690 | ||
CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23 | 3,000,000 | 2,900,562 | ||
Dayton Power & Light Co. 1.875% 9/15/16 | 3,740,000 | 3,746,145 | ||
Duquesne Light Holdings, Inc.: | ||||
5.9% 12/1/21 (h) | 29,344,000 | 33,330,529 | ||
6.4% 9/15/20 (h) | 25,897,000 | 29,651,314 | ||
Edison International 3.75% 9/15/17 | 6,674,000 | 6,951,291 | ||
Eversource Energy: | ||||
1.45% 5/1/18 | 3,325,000 | 3,281,659 | ||
2.8% 5/1/23 | 15,104,000 | 14,481,036 | ||
Exelon Corp.: | ||||
1.55% 6/9/17 | 3,319,000 | 3,310,802 | ||
2.85% 6/15/20 | 4,888,000 | 4,877,168 | ||
FirstEnergy Corp.: | ||||
2.75% 3/15/18 | 36,397,000 | 36,513,616 | ||
4.25% 3/15/23 | 31,243,000 | 31,304,080 | ||
7.375% 11/15/31 | 24,589,000 | 29,595,320 | ||
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 21,966,892 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
IPALCO Enterprises, Inc. 3.45% 7/15/20 (h) | $ 27,495,000 | $ 27,013,838 | ||
Lamar Funding Ltd. 3.958% 5/7/25 (h) | 565,000 | 528,981 | ||
LG&E and KU Energy LLC: | ||||
2.125% 11/15/15 | 7,369,000 | 7,388,226 | ||
3.75% 11/15/20 | 1,450,000 | 1,519,207 | ||
Monongahela Power Co. 4.1% 4/15/24 (h) | 3,982,000 | 4,081,522 | ||
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 883,546 | ||
NSG Holdings II, LLC 7.75% 12/15/25 (h) | 9,494,717 | 10,467,926 | ||
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 4,054,467 | ||
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 828,168 | ||
Pepco Holdings, Inc. 2.7% 10/1/15 | 7,047,000 | 7,056,189 | ||
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,074,868 | ||
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 12,849,721 | ||
RJS Power Holdings LLC 5.125% 7/15/19 (h) | 8,575,000 | 8,103,375 | ||
TECO Finance, Inc.: | ||||
4% 3/15/16 | 2,562,000 | 2,600,240 | ||
5.15% 3/15/20 | 3,761,000 | 4,107,110 | ||
| 341,091,698 | |||
Gas Utilities - 0.0% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 965,000 | 984,532 | ||
Southern Natural Gas Co. 5.9% 4/1/17 (h) | 442,000 | 466,407 | ||
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,729,213 | ||
| 5,180,152 | |||
Independent Power and Renewable Electricity Producers - 0.5% | ||||
Calpine Corp.: | ||||
5.375% 1/15/23 | 4,730,000 | 4,563,031 | ||
5.75% 1/15/25 | 910,000 | 881,563 | ||
Dolphin Subsidiary II, Inc.: | ||||
6.5% 10/15/16 | 19,000,000 | 19,475,000 | ||
7.25% 10/15/21 | 21,425,000 | 22,094,531 | ||
Dynegy, Inc.: | ||||
6.75% 11/1/19 | 6,850,000 | 7,102,594 | ||
7.375% 11/1/22 | 8,135,000 | 8,419,725 | ||
7.625% 11/1/24 | 14,025,000 | 14,597,220 | ||
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 650,000 | 666,250 | ||
NRG Energy, Inc.: | ||||
6.25% 7/15/22 | 8,395,000 | 8,185,125 | ||
6.25% 5/1/24 | 8,475,000 | 8,051,250 | ||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - continued | ||||
PPL Energy Supply LLC 6.5% 6/1/25 (h) | $ 1,180,000 | $ 1,094,450 | ||
TerraForm Power Operating LLC: | ||||
5.875% 2/1/23 (h) | 1,595,000 | 1,515,250 | ||
6.125% 6/15/25 (h) | 500,000 | 471,250 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 3,775,000 | 3,510,750 | ||
7.375% 7/1/21 | 1,515,000 | 1,632,413 | ||
| 102,260,402 | |||
Multi-Utilities - 0.9% | ||||
Dominion Resources, Inc.: | ||||
2.5818% 9/30/66 (n) | 35,229,000 | 30,674,771 | ||
7.5% 6/30/66 (n) | 10,345,000 | 9,219,981 | ||
MidAmerican Energy Holdings, Co.: | ||||
1.1% 5/15/17 | 15,809,000 | 15,719,221 | ||
2% 11/15/18 | 12,172,000 | 12,142,860 | ||
NiSource Finance Corp.: | ||||
5.25% 2/15/43 | 12,739,000 | 13,572,589 | ||
5.45% 9/15/20 | 11,473,000 | 12,834,845 | ||
5.8% 2/1/42 | 6,336,000 | 7,204,114 | ||
5.95% 6/15/41 | 11,832,000 | 13,708,271 | ||
6.4% 3/15/18 | 1,228,000 | 1,364,078 | ||
6.8% 1/15/19 | 6,774,000 | 7,729,059 | ||
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,688,160 | ||
Puget Energy, Inc.: | ||||
6% 9/1/21 | 15,565,000 | 17,789,705 | ||
6.5% 12/15/20 | 5,125,000 | 6,015,069 | ||
RWE AG 7% 10/12/72 (Reg. S) (n) | 2,700,000 | 2,808,000 | ||
Sempra Energy: | ||||
2.3% 4/1/17 | 14,116,000 | 14,290,798 | ||
2.875% 10/1/22 | 5,760,000 | 5,520,286 | ||
SP PowerAssets Ltd. 2.7% 9/14/22 (Reg. S) | 3,000,000 | 2,926,464 | ||
Wisconsin Energy Corp. 6.25% 5/15/67 (n) | 3,860,000 | 3,343,725 | ||
| 178,551,996 | |||
Nonconvertible Bonds - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Water Utilities - 0.0% | ||||
Yorkshire Water Services Finance Ltd. 6% 4/24/25 (n) | GBP | 3,500,000 | $ 5,681,512 | |
TOTAL UTILITIES | 632,765,760 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $9,021,912,936) |
| |||
U.S. Government and Government Agency Obligations - 19.0% | ||||
| ||||
U.S. Treasury Inflation-Protected Obligations - 2.8% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 202,680,000 | 182,320,864 | ||
1.375% 2/15/44 | 135,651,571 | 142,485,411 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.125% 7/15/24 | 166,092,620 | 159,512,508 | ||
0.25% 1/15/25 | 75,564,750 | 72,857,924 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 557,176,707 | |||
U.S. Treasury Obligations - 16.2% | ||||
U.S. Treasury Bonds: | ||||
2.5% 2/15/45 | 200,000 | 181,130 | ||
2.875% 8/15/45 | 101,360,000 | 99,736,618 | ||
3% 5/15/45 | 650,487,000 | 655,094,399 | ||
4.375% 2/15/38 | 430,000 | 543,726 | ||
U.S. Treasury Notes: | ||||
0.5% 1/31/17 (k) | 5,510,000 | 5,503,614 | ||
0.5% 2/28/17 | 1,450,000 | 1,447,677 | ||
1.125% 6/15/18 | 836,229,000 | 838,265,138 | ||
1.25% 10/31/18 | 616,376,000 | 618,214,033 | ||
1.375% 7/31/18 | 50,772,000 | 51,210,315 | ||
1.375% 4/30/20 | 18,176,000 | 18,062,873 | ||
1.625% 6/30/20 | 48,699,000 | 48,890,484 | ||
1.625% 7/31/20 | 5,593,000 | 5,611,641 | ||
2% 2/15/25 | 1,140,000 | 1,118,744 | ||
2% 8/15/25 (g) | 115,730,000 | 113,517,821 | ||
2.125% 5/15/25 | 704,209,000 | 697,900,696 | ||
2.25% 11/15/24 | 50,000,000 | 50,199,200 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.375% 8/15/24 | $ 76,723,000 | $ 77,941,745 | ||
2.5% 5/15/24 | 3,700,000 | 3,802,231 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 3,287,242,085 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $3,870,084,540) |
| |||
U.S. Government Agency - Mortgage Securities - 14.0% | ||||
| ||||
Fannie Mae - 8.1% | ||||
1.75% 10/1/34 (n) | 4,028 | 4,199 | ||
1.85% 10/1/33 (n) | 3,169 | 3,297 | ||
1.88% 1/1/35 (n) | 3,093 | 3,223 | ||
1.88% 1/1/35 (n) | 309,395 | 324,512 | ||
1.885% 2/1/33 (n) | 1,792 | 1,865 | ||
1.91% 12/1/34 (n) | 57,465 | 59,952 | ||
1.91% 3/1/35 (n) | 27,587 | 28,790 | ||
1.931% 10/1/33 (n) | 19,545 | 20,396 | ||
1.94% 7/1/35 (n) | 20,411 | 21,481 | ||
2.05% 3/1/35 (n) | 5,168 | 5,346 | ||
2.06% 1/1/35 (n) | 215,423 | 228,417 | ||
2.07% 4/1/37 (n) | 97,606 | 102,683 | ||
2.09% 10/1/33 (n) | 489,320 | 519,030 | ||
2.115% 12/1/34 (n) | 12,487 | 13,147 | ||
2.141% 9/1/36 (n) | 79,534 | 85,139 | ||
2.143% 9/1/36 (n) | 102,393 | 109,609 | ||
2.19% 3/1/37 (n) | 25,716 | 27,259 | ||
2.194% 7/1/34 (n) | 35,633 | 37,737 | ||
2.243% 3/1/33 (n) | 101,377 | 106,975 | ||
2.251% 5/1/35 (n) | 258,113 | 274,011 | ||
2.273% 3/1/40 (n) | 471,571 | 503,592 | ||
2.278% 6/1/47 (n) | 144,202 | 154,364 | ||
2.302% 6/1/36 (n) | 168,324 | 179,765 | ||
2.31% 12/1/39 (n) | 238,411 | 255,212 | ||
2.317% 5/1/36 (n) | 180,101 | 190,491 | ||
2.334% 7/1/35 (n) | 119,463 | 126,919 | ||
2.335% 9/1/35 (n) | 129,423 | 138,543 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
2.36% 11/1/36 (n) | $ 105,469 | $ 112,259 | ||
2.375% 2/1/36 (n) | 412,275 | 439,592 | ||
2.421% 10/1/33 (n) | 106,225 | 113,711 | ||
2.444% 6/1/36 (n) | 374,752 | 400,869 | ||
2.445% 12/1/35 (n) | 303,914 | 325,330 | ||
2.458% 3/1/35 (n) | 73,733 | 78,929 | ||
2.5% 5/1/27 to 8/1/43 | 61,129,557 | 61,465,205 | ||
2.53% 9/1/37 (n) | 31,520 | 33,741 | ||
2.544% 5/1/36 (n) | 190,203 | 203,028 | ||
2.546% 7/1/37 (n) | 179,300 | 191,928 | ||
2.557% 6/1/42 (n) | 338,990 | 350,421 | ||
2.615% 7/1/34 (n) | 238,719 | 255,541 | ||
2.69% 2/1/42 (n) | 1,940,959 | 2,007,691 | ||
2.758% 1/1/42 (n) | 2,380,632 | 2,474,945 | ||
2.96% 11/1/40 (n) | 203,472 | 213,177 | ||
2.982% 9/1/41 (n) | 208,873 | 217,652 | ||
3% 8/1/41 (n) | 1,196,246 | 1,242,725 | ||
3% 4/1/42 to 8/1/45 | 137,188,791 | 138,400,337 | ||
3% 9/1/45 (j) | 11,000,000 | 11,047,266 | ||
3% 9/1/45 (j) | 15,750,000 | 15,817,676 | ||
3% 9/1/45 (j) | 700,000 | 703,008 | ||
3% 9/1/45 (j) | 12,950,000 | 13,005,645 | ||
3% 10/1/45 (j) | 11,000,000 | 11,020,195 | ||
3% 10/1/45 (j) | 19,500,000 | 19,535,800 | ||
3.059% 10/1/41 (n) | 90,567 | 94,222 | ||
3.239% 7/1/41 (n) | 345,772 | 365,763 | ||
3.309% 10/1/41 (n) | 197,256 | 207,389 | ||
3.346% 9/1/41 (n) | 330,440 | 347,356 | ||
3.461% 12/1/40 (n) | 16,327,608 | 17,313,509 | ||
3.5% 5/1/21 to 8/1/45 | 195,532,121 | 203,539,049 | ||
3.5% 9/1/45 (j) | 21,300,000 | 22,072,123 | ||
3.5% 9/1/45 (j) | 62,400,000 | 64,661,994 | ||
3.5% 9/1/45 (j) | 54,400,000 | 56,371,995 | ||
3.5% 9/1/45 (j) | 118,400,000 | 122,691,988 | ||
3.554% 7/1/41 (n) | 393,834 | 416,390 | ||
4% 9/1/24 to 8/1/45 | 245,067,075 | 261,785,930 | ||
4% 9/1/45 (j) | 33,200,000 | 35,259,436 | ||
4% 9/1/45 (j) | 29,800,000 | 31,648,530 | ||
4% 9/1/45 (j) | 700,000 | 743,422 | ||
4.5% 2/1/33 to 4/1/45 | 239,339,417 | 260,852,450 | ||
4.5% 9/1/45 (j) | 104,900,000 | 113,636,198 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Fannie Mae - continued | ||||
4.5% 9/1/45 (j) | $ 66,500,000 | $ 72,038,200 | ||
5% 3/1/18 to 1/1/40 | 12,863,130 | 14,311,086 | ||
5.204% 7/1/37 (n) | 38,769 | 41,410 | ||
5.5% 12/1/17 to 3/1/41 | 41,331,160 | 46,286,955 | ||
5.565% 8/1/46 (n) | 35,732 | 37,960 | ||
6% 2/1/17 to 1/1/42 | 19,996,559 | 22,958,828 | ||
6.5% 1/1/16 to 4/1/37 | 8,527,275 | 9,849,648 | ||
7% 12/1/15 to 7/1/37 | 1,737,692 | 2,014,141 | ||
7.5% 6/1/25 to 2/1/32 | 743,846 | 874,496 | ||
8% 12/1/17 to 3/1/37 | 14,369 | 17,374 | ||
8.5% 1/1/17 to 7/1/31 | 5,368 | 6,427 | ||
9.5% 4/1/16 to 9/1/21 | 19,301 | 21,005 | ||
TOTAL FANNIE MAE | 1,643,647,899 | |||
Freddie Mac - 2.8% | ||||
1.5% 8/1/37 (n) | 36,329 | 37,466 | ||
1.82% 3/1/35 (n) | 109,500 | 113,785 | ||
1.825% 3/1/37 (n) | 17,605 | 18,412 | ||
1.852% 1/1/36 (n) | 94,641 | 99,746 | ||
1.914% 3/1/36 (n) | 192,332 | 201,498 | ||
1.981% 12/1/35 (n) | 268,185 | 282,848 | ||
2.022% 2/1/37 (n) | 183,077 | 192,081 | ||
2.05% 6/1/37 (n) | 30,132 | 31,675 | ||
2.055% 11/1/35 (n) | 203,364 | 214,431 | ||
2.095% 8/1/37 (n) | 77,851 | 82,228 | ||
2.105% 3/1/36 (n) | 222,387 | 234,156 | ||
2.121% 5/1/37 (n) | 75,262 | 80,330 | ||
2.274% 6/1/33 (n) | 249,066 | 263,084 | ||
2.328% 10/1/36 (n) | 351,588 | 372,184 | ||
2.333% 4/1/37 (n) | 93,267 | 99,840 | ||
2.351% 10/1/35 (n) | 135,925 | 143,969 | ||
2.385% 6/1/37 (n) | 25,390 | 27,023 | ||
2.394% 10/1/42 (n) | 3,383,968 | 3,567,757 | ||
2.415% 6/1/37 (n) | 258,833 | 276,770 | ||
2.436% 5/1/37 (n) | 70,764 | 75,744 | ||
2.448% 6/1/37 (n) | 57,600 | 61,659 | ||
2.489% 4/1/36 (n) | 186,736 | 199,418 | ||
2.526% 6/1/33 (n) | 757,843 | 808,047 | ||
2.571% 3/1/35 (n) | 1,151,839 | 1,233,007 | ||
2.595% 4/1/37 (n) | 8,560 | 9,163 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac - continued | ||||
2.67% 6/1/36 (n) | $ 68,904 | $ 73,701 | ||
2.722% 3/1/33 (n) | 6,318 | 6,764 | ||
2.757% 7/1/36 (n) | 86,515 | 92,612 | ||
2.757% 12/1/36 (n) | 318,536 | 340,983 | ||
3% 8/1/42 to 8/1/45 | 47,690,227 | 48,108,823 | ||
3% 9/1/45 (j) | 86,000,000 | 86,120,933 | ||
3.091% 9/1/41 (n) | 2,030,935 | 2,113,642 | ||
3.155% 10/1/35 (n) | 159,157 | 168,471 | ||
3.22% 9/1/41 (n) | 225,766 | 236,291 | ||
3.235% 4/1/41 (n) | 240,343 | 252,169 | ||
3.289% 6/1/41 (n) | 259,197 | 273,827 | ||
3.292% 7/1/41 (n) | 1,120,711 | 1,177,579 | ||
3.434% 12/1/40 (n) | 7,526,902 | 7,901,094 | ||
3.444% 5/1/41 (n) | 238,099 | 249,527 | ||
3.5% 4/1/42 to 6/1/45 (l) | 167,391,191 | 173,884,580 | ||
3.62% 6/1/41 (n) | 371,011 | 392,910 | ||
3.705% 5/1/41 (n) | 321,478 | 340,673 | ||
4% 6/1/33 to 5/1/45 | 95,880,320 | 102,497,114 | ||
4.5% 6/1/25 to 1/1/45 (m) | 48,439,808 | 52,890,490 | ||
5% 6/1/20 to 7/1/41 | 39,215,875 | 43,514,438 | ||
5.124% 4/1/38 (n) | 290,635 | 310,435 | ||
5.5% 10/1/17 to 3/1/41 | 15,770,507 | 17,584,709 | ||
6% 7/1/16 to 12/1/37 | 3,971,271 | 4,522,658 | ||
6.5% 2/1/16 to 9/1/39 | 5,732,729 | 6,570,082 | ||
7% 6/1/21 to 9/1/36 | 1,644,878 | 1,915,403 | ||
7.5% 9/1/15 to 6/1/32 | 29,492 | 34,633 | ||
8% 7/1/16 to 1/1/37 | 53,610 | 64,732 | ||
8.5% 2/1/19 to 1/1/28 | 48,910 | 58,013 | ||
9% 5/1/17 to 10/1/20 | 166 | 176 | ||
9.5% 5/1/21 to 7/1/21 | 511 | 560 | ||
10% 11/15/18 to 8/1/21 | 203 | 222 | ||
11% 11/1/15 to 9/1/20 | 94 | 99 | ||
TOTAL FREDDIE MAC | 560,424,664 | |||
Ginnie Mae - 3.1% | ||||
3% 6/15/42 to 8/20/45 | 111,771,485 | 113,457,642 | ||
3.5% 11/15/40 to 8/20/45 | 172,237,420 | 179,663,750 | ||
3.5% 9/1/45 (j) | 35,100,000 | 36,547,871 | ||
3.5% 9/1/45 (j) | 37,500,000 | 39,046,871 | ||
4% 5/20/33 to 7/20/45 | 111,877,857 | 119,462,467 | ||
4.5% 6/20/33 to 8/15/41 | 91,213,383 | 99,679,207 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Ginnie Mae - continued | ||||
5% 12/15/32 to 9/15/41 | $ 36,742,724 | $ 41,102,560 | ||
5.5% 4/15/29 to 9/15/39 | 6,140,630 | 6,975,713 | ||
6% 10/15/30 to 11/15/39 | 861,975 | 986,119 | ||
6.5% 3/20/31 to 10/15/38 | 479,858 | 556,448 | ||
7% 10/15/22 to 3/15/33 | 1,547,249 | 1,821,714 | ||
7.5% 1/15/17 to 9/15/31 | 709,891 | 830,024 | ||
8% 4/15/17 to 11/15/29 | 245,587 | 284,939 | ||
8.5% 10/15/21 to 1/15/31 | 41,290 | 49,513 | ||
9% 8/15/19 to 1/15/23 | 2,420 | 2,690 | ||
9.5% 12/15/20 to 2/15/25 | 946 | 1,062 | ||
10.5% 3/20/16 to 1/20/18 | 2,450 | 2,606 | ||
11% 12/20/15 to 9/20/19 | 917 | 1,041 | ||
TOTAL GINNIE MAE | 640,472,237 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $2,831,006,807) |
| |||
Asset-Backed Securities - 0.8% | ||||
| ||||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.9044% 4/25/35 (n) | 664,344 | 596,925 | ||
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 1.8494% 3/25/34 (n) | 286,904 | 273,372 | ||
Airspeed Ltd. Series 2007-1A Class C1, 2.6976% 6/15/32 (h)(n) | 3,444,066 | 1,515,389 | ||
American Homes 4 Rent: | ||||
Series 2014-SFR1 Class E, 2.75% 6/17/31 (h)(n) | 551,000 | 524,938 | ||
Series 2014-SFR2 Class E, 6.231% 10/17/36 (h) | 147,000 | 150,742 | ||
Series 2014-SFR3 Class E, 6.418% 12/17/36 (h) | 428,000 | 445,845 | ||
Series 2015-SFR1 Class E, 5.639% 4/17/52 (h) | 326,438 | 320,064 | ||
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | ||||
Series 2003-10 Class M1, 1.2494% 12/25/33 (n) | 48,772 | 45,099 | ||
Series 2004-R2 Class M3, 1.0244% 4/25/34 (n) | 89,819 | 65,990 | ||
Argent Securities, Inc. pass-thru certificates: | ||||
Series 2003-W7 Class A2, 0.9794% 3/25/34 (n) | 47,932 | 44,434 | ||
Series 2004-W11 Class M2, 1.2494% 11/25/34 (n) | 561,149 | 545,162 | ||
Series 2004-W7 Class M1, 1.0244% 5/25/34 (n) | 1,542,998 | 1,484,870 | ||
Series 2006-W4 Class A2C, 0.3594% 5/25/36 (n) | 1,159,665 | 413,860 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE2 Class M1, 1.0244% 4/25/34 (n) | $ 1,729,008 | $ 1,586,936 | ||
Series 2006-HE2 Class M1, 0.5694% 3/25/36 (n) | 21,261 | 170 | ||
Capital Auto Receivables Trust Series 2013-3 Class A3, 1.31% 12/20/17 | 11,540,000 | 11,553,017 | ||
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3394% 12/25/36 (n) | 1,802,588 | 1,188,800 | ||
CFC LLC: | ||||
Series 2013-1A Class B, 2.75% 11/15/18 (h) | 5,916,550 | 5,949,428 | ||
Series 2013-2A Class A, 1.75% 11/15/17 (h) | 1,621,937 | 1,623,064 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class B1, 5.4494% 3/25/32 (n) | 3,192 | 2,854 | ||
Series 2004-3 Class M4, 1.6544% 4/25/34 (n) | 69,614 | 62,739 | ||
Series 2004-4 Class M2, 0.9944% 6/25/34 (n) | 104,055 | 94,678 | ||
Series 2004-7 Class AF5, 5.868% 1/25/35 | 3,145,875 | 3,275,973 | ||
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 341,219 | 334,014 | ||
Fannie Mae Series 2004-T5 Class AB3, 0.9538% 5/28/35 (n) | 38,916 | 36,081 | ||
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3744% 8/25/34 (n) | 290,872 | 272,097 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0244% 3/25/34 (n) | 10,384 | 9,839 | ||
Flagship Credit Auto Trust Series 2015-2 Class A, 1.98% 10/15/20 (h) | 20,000,000 | 20,009,920 | ||
Fremont Home Loan Trust Series 2005-A: | ||||
Class M3, 0.9344% 1/25/35 (n) | 948,695 | 808,921 | ||
Class M4, 1.2194% 1/25/35 (n) | 347,133 | 223,666 | ||
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.7091% 2/25/47 (h)(n) | 1,273,689 | 1,189,741 | ||
GE Business Loan Trust Series 2006-2A: | ||||
Class A, 0.3776% 11/15/34 (h)(n) | 938,833 | 902,521 | ||
Class B, 0.4776% 11/15/34 (h)(n) | 339,135 | 314,893 | ||
Class C, 0.5776% 11/15/34 (h)(n) | 563,628 | 496,466 | ||
Class D, 0.9476% 11/15/34 (h)(n) | 214,028 | 176,783 | ||
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (h) | 153,266 | 4,537 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 1.5194% 8/25/33 (n) | 273,785 | 259,059 | ||
Series 2003-3 Class M1, 1.4894% 8/25/33 (n) | 454,678 | 438,275 | ||
Series 2003-5 Class A2, 0.8905% 12/25/33 (n) | 32,929 | 30,792 | ||
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3894% 1/25/37 (n) | 1,522,035 | 1,014,623 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Invitation Homes Trust: | ||||
Series 2013-SFR1 Class F, 3.9% 12/17/30 (h)(n) | $ 590,000 | $ 571,177 | ||
Series 2014-SFR1 Class F, 3.936% 6/17/31 (h)(n) | 557,000 | 538,739 | ||
Series 2014-SFR3 Class E, 4.705% 12/17/31 (h)(n) | 206,000 | 207,598 | ||
Series 2014-SRF2 Class F, 4.188% 9/17/31 (h)(n) | 335,000 | 325,233 | ||
Series 2015-SFR2 Class E, 3.336% 6/17/32 (h)(n) | 485,000 | 468,290 | ||
Series 2015-SFR3 Class E, 3.933% 8/17/32 (h)(n) | 7,658,000 | 7,590,057 | ||
Series 2015-SRF1 Class E, 4.386% 3/17/32 (h)(n) | 624,000 | 621,456 | ||
JPMorgan Mortgage Acquisition Trust: | ||||
Series 2006-NC2 Class M2, 0.4905% 7/25/36 (n) | 181,664 | 75,097 | ||
Series 2007-CH1: | ||||
Class AF3, 5.532% 11/25/36 | 12,426,183 | 12,626,284 | ||
Class AV4, 0.3205% 11/25/36 (n) | 389,062 | 388,255 | ||
KeyCorp Student Loan Trust: | ||||
Series 1999-A Class A2, 0.612% 12/27/29 (n) | 139,195 | 138,422 | ||
Series 2006-A Class 2C, 1.432% 3/27/42 (n) | 3,243,000 | 1,604,046 | ||
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3594% 11/25/36 (n) | 4,685,962 | 2,071,624 | ||
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6294% 5/25/46 (h)(n) | 250,000 | 241,250 | ||
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4994% 5/25/37 (n) | 338,532 | 4,791 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9494% 7/25/34 (n) | 118,699 | 99,508 | ||
Merrill Lynch Mortgage Investors Trust: | ||||
Series 2003-OPT1 Class M1, 1.1744% 7/25/34 (n) | 341,646 | 312,159 | ||
Series 2006-FF1 Class M2, 0.4894% 8/25/36 (n) | 13,300,000 | 12,600,483 | ||
Series 2006-FM1 Class A2B, 0.3094% 4/25/37 (n) | 245,450 | 243,356 | ||
Series 2006-OPT1 Class A1A, 0.7194% 6/25/35 (n) | 1,672,262 | 1,615,510 | ||
Morgan Stanley ABS Capital I Trust: | ||||
Series 2004-HE6 Class A2, 0.8794% 8/25/34 (n) | 57,368 | 53,552 | ||
Series 2004-NC6 Class M3, 2.3744% 7/25/34 (n) | 16,524 | 14,833 | ||
Series 2004-NC8 Class M6, 2.0744% 9/25/34 (n) | 18,949 | 16,970 | ||
Series 2005-NC1 Class M1, 0.8594% 1/25/35 (n) | 289,373 | 273,254 | ||
Series 2005-NC2 Class B1, 1.9544% 3/25/35 (n) | 225,910 | 4,278 | ||
Nationstar HECM Loan Trust Series 2015-1A Class A, 3.875% 5/25/18 (h) | 7,470,766 | 7,480,104 | ||
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7005% 9/25/35 (n) | 1,426,957 | 1,268,640 | ||
Park Place Securities, Inc.: | ||||
Series 2004-WCW1: | ||||
Class M3, 2.0744% 9/25/34 (n) | 532,896 | 504,264 | ||
Class M4, 2.3744% 9/25/34 (n) | 683,353 | 315,806 | ||
Asset-Backed Securities - continued | ||||
| Principal Amount (e) | Value | ||
Park Place Securities, Inc.: - continued | ||||
Series 2005-WCH1 Class M4, 1.4444% 1/25/36 (n) | $ 1,475,804 | $ 1,300,032 | ||
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1494% 9/25/46 (h)(n) | 250,000 | 63,000 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9994% 4/25/33 (n) | 5,108 | 4,830 | ||
Santander Drive Auto Receivables Trust Series 2014-4 Class C, 2.6% 11/16/20 | 7,985,000 | 8,044,464 | ||
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9944% 3/25/35 (n) | 794,671 | 730,890 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2359% 6/15/33 (n) | 685,690 | 664,796 | ||
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (h) | 10,910,794 | 10,948,981 | ||
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9244% 9/25/34 (n) | 42,679 | 37,459 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0594% 9/25/34 (n) | 28,819 | 25,690 | ||
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8435% 4/6/42 (h)(n) | 2,683,017 | 1,529,320 | ||
Truman Capital Mortgage Loan Trust Series 2014-NPL2 Class A1, 3.125% 6/25/54 (h) | 285,294 | 284,109 | ||
Vericrest Opportunity Loan Trust: | ||||
Series 2014-NP11 Class A1, 3.875% 4/25/55 (h) | 6,280,446 | 6,278,571 | ||
Series 2014-NPL7 Class A1, 3.375% 8/27/57 (h) | 10,529,615 | 10,515,284 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0951% 10/25/44 (h)(n) | 1,789,540 | 1,784,312 | ||
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: | ||||
Class A1, 0.6534% 11/21/40 (h)(n) | 186,318 | 181,791 | ||
Class D, 1.1834% 11/21/40 (h)(n) | 305,000 | 245,678 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $143,347,784) |
| |||
Collateralized Mortgage Obligations - 2.9% | ||||
| ||||
Private Sponsor - 0.8% | ||||
Banc of America Funding Corp.: | ||||
sequential payer Series 2010-R4 Class 6A1, 0.3341% 1/26/37 (h)(n) | 22,807 | 22,753 | ||
Series 2015-R3 Class 10A1, 0.3305% 6/27/36 (h)(n) | 19,607,233 | 18,914,493 | ||
BCAP LLC Trust sequential payer: | ||||
Series 2013-RR3 Class 2A1, 2.3758% 2/26/37 (h)(n) | 6,322,728 | 6,296,805 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
BCAP LLC Trust sequential payer: - continued | ||||
Series 2013-RR4 Class 2A1, 2.7793% 5/26/47 (h)(n) | $ 9,143,721 | $ 9,105,994 | ||
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7594% 1/25/35 (n) | 1,091,384 | 1,061,798 | ||
Citigroup Mortgage Loan Trust sequential payer: | ||||
Series 2012-A Class A, 2.5% 6/25/51 (h) | 8,438,307 | 8,299,102 | ||
Series 2014-8 Class 2A1, 3.45% 6/27/37 (h)(n) | 12,485,108 | 12,619,020 | ||
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.1124% 10/26/37 (h)(n) | 786,763 | 770,452 | ||
CSMC: | ||||
floater Series 2015-1R Class 6A1, 0.467% 5/27/37 (h)(n) | 13,041,125 | 12,109,226 | ||
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (h) | 11,998,746 | 11,870,902 | ||
Series 2014-3R Class 2A1, 0.8847% 5/27/37 (h)(n) | 1,977,086 | 1,874,527 | ||
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.5683% 10/25/34 (n) | 598,303 | 594,326 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K6 Class B, 5.3578% 12/25/46 (h)(n) | 910,000 | 1,004,129 | ||
Series 2010-K7 Class B, 5.4406% 4/25/20 (h)(n) | 1,000,000 | 1,115,921 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-4 Class C2, 1.3028% 12/20/54 (n) | 205,017 | 202,147 | ||
Series 2006-1A Class C2, 1.4028% 12/20/54 (h)(n) | 6,523,000 | 6,443,419 | ||
Series 2006-2 Class C1, 1.1428% 12/20/54 (n) | 21,543,000 | 21,014,871 | ||
Series 2006-3 Class C2, 1.2028% 12/20/54 (n) | 1,124,000 | 1,107,252 | ||
Series 2006-4: | ||||
Class C1, 0.9628% 12/20/54 (n) | 2,767,000 | 2,677,747 | ||
Class M1, 0.5428% 12/20/54 (n) | 1,190,000 | 1,160,238 | ||
Series 2007-1: | ||||
Class 1C1, 0.8028% 12/20/54 (n) | 2,234,000 | 2,146,567 | ||
Class 1M1, 0.5028% 12/20/54 (n) | 1,493,000 | 1,440,894 | ||
Class 2C1, 1.0628% 12/20/54 (n) | 1,015,000 | 986,625 | ||
Class 2M1, 0.7028% 12/20/54 (n) | 1,917,000 | 1,878,526 | ||
Series 2007-2 Class 2C1, 1.0576% 12/17/54 (n) | 2,654,000 | 2,579,945 | ||
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.737% 1/20/44 (n) | 430,241 | 426,023 | ||
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.0124% 3/25/37 (n) | 890,132 | 866,142 | ||
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.5847% 8/25/36 (n) | 1,296,420 | 1,096,226 | ||
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4094% 5/25/47 (n) | 1,233,231 | 1,139,906 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Private Sponsor - continued | ||||
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3694% 2/25/37 (n) | $ 3,448,741 | $ 3,103,867 | ||
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (h) | 106,645 | 109,193 | ||
Oak Hill Advisors Residential Loan Trust Series 2014-NPL2 Class A1, 3.475% 4/25/54 (h) | 8,684,546 | 8,676,874 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4894% 7/25/35 (n) | 1,017,296 | 962,640 | ||
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | ||||
Class B5, 2.5385% 6/10/35 (h)(n) | 403,347 | 366,193 | ||
Class B6, 3.0385% 6/10/35 (h)(n) | 89,932 | 82,862 | ||
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3234% 7/20/34 (n) | 23,167 | 22,738 | ||
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5121% 4/25/33 (n) | 199,322 | 196,290 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2004-BB Class A2, 2.6192% 1/25/35 (n) | 3,152,051 | 3,163,190 | ||
Series 2005-AR10 Class 2A15, 2.6681% 6/25/35 (n) | 15,817,688 | 16,075,405 | ||
Series 2005-AR2 Class 1A2, 2.6165% 3/25/35 (n) | 1,906,824 | 1,763,150 | ||
TOTAL PRIVATE SPONSOR | 165,348,378 | |||
U.S. Government Agency - 2.1% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2002-18 Class FD, 0.9994% 2/25/32 (n) | 34,321 | 34,884 | ||
Series 2002-39 Class FD, 1.1996% 3/18/32 (n) | 54,829 | 56,047 | ||
Series 2002-60 Class FV, 1.1994% 4/25/32 (n) | 71,759 | 73,519 | ||
Series 2002-63 Class FN, 1.1994% 10/25/32 (n) | 98,533 | 100,891 | ||
Series 2002-7 Class FC, 0.9494% 1/25/32 (n) | 36,334 | 37,142 | ||
Series 2002-94 Class FB, 0.5994% 1/25/18 (n) | 47,775 | 47,931 | ||
Series 2003-118 Class S, 7.9006% 12/25/33 (n)(o)(q) | 1,141,847 | 265,347 | ||
Series 2006-104 Class GI, 6.4806% 11/25/36 (n)(o)(q) | 838,434 | 165,650 | ||
Series 2006-33 Class CF, 0.4994% 5/25/36 (n) | 704,805 | 706,628 | ||
Series 2007-57 Class FA, 0.4294% 6/25/37 (n) | 898,475 | 898,620 | ||
Series 2008-76 Class EF, 0.6994% 9/25/23 (n) | 461,381 | 463,189 | ||
planned amortization class: | ||||
Series 1992-168 Class KB, 7% 10/25/22 | 54,633 | 59,987 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
planned amortization class: | ||||
Series 1993-207 Class H, 6.5% 11/25/23 | $ 670,346 | $ 749,254 | ||
Series 1994-23 Class PZ, 6% 2/25/24 | 1,817,625 | 2,006,775 | ||
Series 1996-28 Class PK, 6.5% 7/25/25 | 218,950 | 244,799 | ||
Series 1999-17 Class PG, 6% 4/25/29 | 575,834 | 632,653 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 497,538 | 547,734 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 322,551 | 355,846 | ||
Series 2001-52 Class YZ, 6.5% 10/25/31 | 39,775 | 44,934 | ||
Series 2002-9 Class PC, 6% 3/25/17 | 26,299 | 27,023 | ||
Series 2003-28 Class KG, 5.5% 4/25/23 | 395,584 | 432,157 | ||
Series 2004-21 Class QE, 4.5% 11/25/32 | 65,150 | 66,821 | ||
Series 2005-102 Class CO, 11/25/35 (p) | 324,410 | 294,104 | ||
Series 2005-73 Class SA, 17.0316% 8/25/35 (n)(q) | 127,624 | 165,687 | ||
Series 2005-81 Class PC, 5.5% 9/25/35 | 427,876 | 496,859 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 352,232 | 358,425 | ||
Series 2006-12 Class BO, 10/25/35 (p) | 1,344,951 | 1,261,425 | ||
Series 2006-37 Class OW, 5/25/36 (p) | 155,439 | 137,493 | ||
Series 2006-45 Class OP, 6/25/36 (p) | 414,275 | 367,953 | ||
Series 2006-62 Class KP, 4/25/36 (p) | 594,171 | 529,242 | ||
sequential payer: | ||||
Series 1997-41 Class J, 7.5% 6/18/27 | 115,120 | 135,166 | ||
Series 1999-25 Class Z, 6% 6/25/29 | 438,753 | 495,984 | ||
Series 2001-20 Class Z, 6% 5/25/31 | 576,301 | 634,633 | ||
Series 2001-31 Class ZC, 6.5% 7/25/31 | 304,566 | 350,904 | ||
Series 2002-16 Class ZD, 6.5% 4/25/32 | 159,403 | 185,786 | ||
Series 2002-74 Class SV, 7.3506% 11/25/32 (n)(o) | 718,460 | 130,088 | ||
Series 2002-79 Class Z, 5.5% 11/25/22 | 799,761 | 891,611 | ||
Series 2010-50 Class FA, 0.5494% 1/25/24 (n) | 12,799 | 12,800 | ||
Series 2012-67 Class AI, 4.5% 7/25/27 (o) | 4,199,468 | 571,464 | ||
Series 06-116 Class SG, 6.4406% 12/25/36 (n)(o)(q) | 561,436 | 109,000 | ||
Series 07-40 Class SE, 6.2406% 5/25/37 (n)(o)(q) | 351,504 | 58,427 | ||
Series 1993-165 Class SH, 19.2358% 9/25/23 (n)(q) | 26,591 | 36,152 | ||
Series 2003-21 Class SK, 7.9006% 3/25/33 (n)(o)(q) | 99,830 | 27,222 | ||
Series 2003-35 Class TQ, 7.3006% 5/25/18 (n)(o)(q) | 47,833 | 3,149 | ||
Series 2005-72 Class ZC, 5.5% 8/25/35 | 3,477,956 | 3,917,817 | ||
Series 2007-57 Class SA, 39.4236% 6/25/37 (n)(q) | 268,961 | 539,070 | ||
Series 2007-66: | ||||
Class FB, 0.5994% 7/25/37 (n) | 1,078,031 | 1,086,635 | ||
Class SA, 38.4036% 7/25/37 (n)(q) | 410,590 | 806,581 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
Series 2007-66: | ||||
Class SB, 38.4036% 7/25/37 (n)(q) | $ 179,672 | $ 344,115 | ||
Series 2008-12 Class SG, 6.1506% 3/25/38 (n)(o)(q) | 2,418,678 | 435,433 | ||
Series 2009-114 Class AI, 5% 12/25/23 (o) | 444,056 | 18,281 | ||
Series 2009-16 Class SA, 6.0506% 3/25/24 (n)(o)(q) | 251,947 | 8,967 | ||
Series 2009-76 Class MI, 5.5% 9/25/24 (o) | 219,368 | 10,697 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (o) | 246,918 | 20,483 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (o) | 371,345 | 30,118 | ||
Series 2010-112 Class SG, 6.1606% 6/25/21 (n)(o)(q) | 330,203 | 24,365 | ||
Series 2010-12 Class AI, 5% 12/25/18 (o) | 923,657 | 49,935 | ||
Series 2010-135 Class LS, 5.8506% 12/25/40 (n)(o)(q) | 2,194,654 | 390,924 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (o) | 2,142,589 | 303,990 | ||
Series 2010-17 Class DI, 4.5% 6/25/21 (o) | 247,906 | 14,535 | ||
Series 2010-23: | ||||
Class AI, 5% 12/25/18 (o) | 390,489 | 19,018 | ||
Class HI, 4.5% 10/25/18 (o) | 271,579 | 13,433 | ||
Series 2010-29 Class LI, 4.5% 6/25/19 (o) | 837,644 | 39,066 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (o) | 792,747 | 57,999 | ||
Series 2011-39 Class ZA, 6% 11/25/32 | 1,474,496 | 1,684,984 | ||
Series 2011-67 Class AI, 4% 7/25/26 (o) | 664,689 | 75,776 | ||
Series 2011-83 Class DI, 6% 9/25/26 (o) | 1,073,476 | 144,530 | ||
Series 2013-N1 Class A, 6.5206% 6/25/35 (n)(o)(q) | 1,726,662 | 377,616 | ||
Fannie Mae Stripped Mortgage-Backed Securities: | ||||
Series 339: | ||||
Class 29, 5.5% 8/25/18 (o) | 141,617 | 7,051 | ||
Class 5, 5.5% 7/25/33 (o) | 328,031 | 68,974 | ||
Series 343 Class 16, 5.5% 5/25/34 (o) | 262,596 | 51,101 | ||
Series 348 Class 14, 6.5% 8/25/34 (n)(o) | 187,570 | 41,486 | ||
Series 351: | ||||
Class 12, 5.5% 4/25/34 (n)(o) | 131,347 | 23,327 | ||
Class 13, 6% 3/25/34 (o) | 173,945 | 34,742 | ||
Series 359 Class 19, 6% 7/25/35 (n)(o) | 122,725 | 25,476 | ||
Series 384 Class 6, 5% 7/25/37 (o) | 1,557,588 | 322,907 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2412 Class FK, 0.9976% 1/15/32 (n) | 28,001 | 28,450 | ||
Series 2423 Class FA, 1.0976% 3/15/32 (n) | 38,910 | 39,705 | ||
Series 2424 Class FM, 1.1976% 3/15/32 (n) | 52,218 | 53,488 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
floater: | ||||
Series 2432: | ||||
Class FE, 1.0976% 6/15/31 (n) | $ 69,662 | $ 71,111 | ||
Class FG, 1.0976% 3/15/32 (n) | 23,206 | 23,673 | ||
floater planned amortization class Series 3153 Class FX, 0.5476% 5/15/36 (n) | 1,455,341 | 1,460,620 | ||
floater target amortization class Series 3366 Class FD, 0.4476% 5/15/37 (n) | 1,654,255 | 1,653,262 | ||
planned amortization class: | ||||
Series 2006-15 Class OP, 3/25/36 (p) | 1,098,432 | 990,254 | ||
Series 2095 Class PE, 6% 11/15/28 | 619,739 | 684,543 | ||
Series 2101 Class PD, 6% 11/15/28 | 56,690 | 62,327 | ||
Series 2121 Class MG, 6% 2/15/29 | 256,041 | 281,945 | ||
Series 2131 Class BG, 6% 3/15/29 | 1,688,868 | 1,864,419 | ||
Series 2137 Class PG, 6% 3/15/29 | 277,365 | 305,626 | ||
Series 2154 Class PT, 6% 5/15/29 | 424,428 | 467,209 | ||
Series 2162 Class PH, 6% 6/15/29 | 107,139 | 117,584 | ||
Series 2425 Class JH, 6% 3/15/17 | 40,767 | 41,988 | ||
Series 2520 Class BE, 6% 11/15/32 | 572,734 | 631,918 | ||
Series 2585 Class KS, 7.4024% 3/15/23 (n)(o)(q) | 40,713 | 6,047 | ||
Series 2693 Class MD, 5.5% 10/15/33 | 6,509,800 | 7,287,373 | ||
Series 2802 Class OB, 6% 5/15/34 | 1,167,945 | 1,311,362 | ||
Series 2937 Class KC, 4.5% 2/15/20 | 1,514,116 | 1,585,135 | ||
Series 2962 Class BE, 4.5% 4/15/20 | 1,516,669 | 1,596,730 | ||
Series 3002 Class NE, 5% 7/15/35 | 1,636,757 | 1,803,192 | ||
Series 3110 Class OP, 9/15/35 (p) | 775,962 | 734,775 | ||
Series 3119 Class PO, 2/15/36 (p) | 1,207,557 | 1,047,822 | ||
Series 3121 Class KO, 3/15/36 (p) | 250,122 | 223,246 | ||
Series 3123 Class LO, 3/15/36 (p) | 726,084 | 646,729 | ||
Series 3145 Class GO, 4/15/36 (p) | 683,632 | 615,187 | ||
Series 3189 Class PD, 6% 7/15/36 | 1,514,483 | 1,739,193 | ||
Series 3225 Class EO, 10/15/36 (p) | 437,334 | 387,304 | ||
Series 3258 Class PM, 5.5% 12/15/36 | 692,229 | 779,257 | ||
Series 3415 Class PC, 5% 12/15/37 | 647,977 | 699,024 | ||
Series 3786 Class HI, 4% 3/15/38 (o) | 1,935,377 | 224,310 | ||
Series 3806 Class UP, 4.5% 2/15/41 | 3,745,520 | 4,053,320 | ||
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,698,128 | ||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | 115,333 | 126,950 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 134,310 | 154,678 | ||
Series 2281 Class ZB, 6% 3/15/30 | 332,529 | 364,540 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | $ 144,038 | $ 159,179 | ||
Series 2357 Class ZB, 6.5% 9/15/31 | 992,608 | 1,152,413 | ||
Series 2502 Class ZC, 6% 9/15/32 | 296,840 | 329,068 | ||
Series 2519 Class ZD, 5.5% 11/15/32 | 530,934 | 579,601 | ||
Series 2546 Class MJ, 5.5% 3/15/23 | 254,056 | 272,632 | ||
Series 2601 Class TB, 5.5% 4/15/23 | 118,104 | 131,091 | ||
Series 2998 Class LY, 5.5% 7/15/25 | 313,890 | 345,400 | ||
Series 06-3115 Class SM, 6.4024% 2/15/36 (n)(o)(q) | 468,674 | 81,264 | ||
Series 2013-4281 Class AI, 4% 12/15/28 (o) | 7,241,957 | 818,134 | ||
Series 2844: | ||||
Class SC, 45.5156% 8/15/24 (n)(q) | 15,994 | 27,876 | ||
Class SD, 83.8812% 8/15/24 (n)(q) | 23,530 | 56,834 | ||
Series 2935 Class ZK, 5.5% 2/15/35 | 4,664,532 | 5,303,266 | ||
Series 2947 Class XZ, 6% 3/15/35 | 1,705,251 | 1,922,437 | ||
Series 3055 Class CS, 6.3924% 10/15/35 (n)(o) | 663,769 | 131,598 | ||
Series 3244 Class SG, 6.4624% 11/15/36 (n)(o)(q) | 1,573,668 | 301,271 | ||
Series 3274 Class SM, 6.2324% 2/15/37 (n)(o) | 787,325 | 143,656 | ||
Series 3284 Class CI, 5.9224% 3/15/37 (n)(o) | 3,665,485 | 671,754 | ||
Series 3287 Class SD, 6.5524% 3/15/37 (n)(o)(q) | 2,368,438 | 559,372 | ||
Series 3297 Class BI, 6.5624% 4/15/37 (n)(o)(q) | 3,474,601 | 704,247 | ||
Series 3336 Class LI, 6.3824% 6/15/37 (n)(o) | 1,260,743 | 181,668 | ||
Series 3772 Class BI, 4.5% 10/15/18 (o) | 987,233 | 49,352 | ||
Series 3949 Class MK, 4.5% 10/15/34 | 1,162,691 | 1,260,336 | ||
Series 3955 Class YI, 3% 11/15/21 (o) | 4,090,266 | 246,243 | ||
Series 4471 Class PA 4% 12/15/40 | 16,542,139 | 17,482,450 | ||
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 350,826 | 385,183 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed: | ||||
floater Series 1686 Class FA, 1.0976% 2/15/24 (n) | 143,037 | 145,067 | ||
sequential payer: | ||||
Series 2043 Class ZH, 6% 4/15/28 | 278,747 | 306,998 | ||
Series 2056 Class Z, 6% 5/15/28 | 493,989 | 544,097 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates Series 4386 Class AZ, 4.5% 11/15/40 | 9,175,093 | 10,327,662 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-37 Class TS, 6.4924% 6/16/37 (n)(o)(q) | 666,871 | 116,266 | ||
Series 2010-H03 Class FA, 0.739% 3/20/60 (n)(r) | 7,239,958 | 7,254,778 | ||
Series 2010-H17 Class FA, 0.519% 7/20/60 (n)(r) | 784,120 | 780,609 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2010-H18 Class AF, 0.4882% 9/20/60 (n)(r) | $ 939,927 | $ 934,403 | ||
Series 2010-H19 Class FG, 0.4882% 8/20/60 (n)(r) | 1,124,650 | 1,118,127 | ||
Series 2010-H27 Series FA, 0.5682% 12/20/60 (n)(r) | 1,881,037 | 1,877,644 | ||
Series 2011-H05 Class FA, 0.6882% 12/20/60 (n)(r) | 3,058,776 | 3,062,612 | ||
Series 2011-H07 Class FA, 0.6882% 2/20/61 (n)(r) | 5,744,796 | 5,751,178 | ||
Series 2011-H12 Class FA, 0.6782% 2/20/61 (n)(r) | 7,672,367 | 7,682,249 | ||
Series 2011-H13 Class FA, 0.6882% 4/20/61 (n)(r) | 2,954,143 | 2,957,818 | ||
Series 2011-H14: | ||||
Class FB, 0.6882% 5/20/61 (n)(r) | 3,408,666 | 3,413,605 | ||
Class FC, 0.6882% 5/20/61 (n)(r) | 3,111,103 | 3,115,253 | ||
Series 2011-H17 Class FA, 0.7182% 6/20/61 (n)(r) | 4,100,268 | 4,109,223 | ||
Series 2011-H21 Class FA, 0.7882% 10/20/61 (n)(r) | 7,977,929 | 8,016,814 | ||
Series 2012-H01 Class FA, 0.8882% 11/20/61 (n)(r) | 3,853,340 | 3,876,537 | ||
Series 2012-H03 Class FA, 0.8882% 1/20/62 (n)(r) | 2,412,451 | 2,427,037 | ||
Series 2012-H06 Class FA, 0.8182% 1/20/62 (n)(r) | 3,713,802 | 3,736,656 | ||
Series 2012-H07 Class FA, 0.8182% 3/20/62 (n)(r) | 2,233,512 | 2,250,873 | ||
Series 2012-H23 Class WA, 0.7082% 10/20/62 (n)(r) | 1,972,568 | 1,977,101 | ||
Series 2012-H26, Class CA, 0.7182% 7/20/60 (n)(r) | 8,393,046 | 8,409,572 | ||
Series 2013-H07 Class BA, 0.5482% 3/20/63 (n)(r) | 3,088,896 | 3,064,778 | ||
Series 2014-H03 Class FA, 0.7882% 1/20/64 (n)(r) | 3,557,562 | 3,576,929 | ||
Series 2014-H05 Class FB, 0.7882% 12/20/63 (n)(r) | 8,840,658 | 8,888,132 | ||
Series 2014-H11 Class BA, 0.6882% 6/20/64 (n)(r) | 14,231,600 | 14,289,964 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (e) | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2014-H20 Class BF, 0.6882% 9/20/64 (n)(r) | $ 45,507,119 | $ 45,432,123 | ||
Series 2015-H13 Class FL, 0.4682% 5/20/63 (n)(r) | 25,469,565 | 25,418,600 | ||
Series 2015-H19 Class FA, 0.393% 4/20/63 (n)(r) | 23,700,000 | 23,655,563 | ||
planned amortization class: | ||||
Series 1993-13 Class PD, 6% 5/20/29 | 576,554 | 658,056 | ||
Series 1997-8 Class PE, 7.5% 5/16/27 | 242,407 | 286,190 | ||
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | 1,489,777 | 244,883 | ||
sequential payer Series 2004-24 Class ZM, 5% 4/20/34 | 2,348,217 | 2,601,424 | ||
Series 2004-32 Class GS, 6.3024% 5/16/34 (n)(o)(q) | 354,374 | 76,792 | ||
Series 2004-73 Class AL, 7.0024% 8/17/34 (n)(o)(q) | 426,172 | 82,363 | ||
Series 2007-35 Class SC, 39.0144% 6/16/37 (n)(q) | 28,844 | 55,931 | ||
Series 2010-H10 Class FA, 0.519% 5/20/60 (n)(r) | 2,445,477 | 2,434,013 | ||
Series 2012-76 Class GS, 6.5024% 6/16/42 (n)(o)(q) | 1,443,066 | 301,234 | ||
Series 2012-97 Class JS, 6.0524% 8/16/42 (n)(o)(q) | 4,573,075 | 784,352 | ||
Series 2013-124: | ||||
Class ES, 8.3963% 4/20/39 (n)(q) | 4,142,567 | 4,818,231 | ||
Class ST, 8.5297% 8/20/39 (n)(q) | 7,781,810 | 9,136,388 | ||
Series 2013-160 Class MS, 5.9973% 9/20/32 (n)(o)(q) | 6,145,514 | 1,119,942 | ||
Series 2015-H13 Class HA, 2.5% 8/20/64 (r) | 33,560,356 | 34,389,062 | ||
Series 2015-H17 Class HA, 2.5% 5/20/65 (r) | 28,442,055 | 29,147,390 | ||
Ginnie Mae pass thru certificates Series H69 Class JA, 2.5% 8/1/60 (j)(r) | 30,750,363 | 31,495,100 | ||
Ginnie Mae REMIC Trust Series H68 Class HA, 2.5% 9/1/60 (j)(r) | 6,637,302 | 6,804,272 | ||
TOTAL U.S. GOVERNMENT AGENCY | 429,373,477 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $561,302,341) |
| |||
Commercial Mortgage Securities - 6.7% | ||||
| ||||
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (h) | 180,000 | 201,179 | ||
Asset Securitization Corp.: | ||||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 129,872 | ||
Series 1997-D5 Class PS1, 1.4464% 2/14/43 (n)(o) | 456,274 | 5,710 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (h)(n) | $ 1,500,000 | $ 1,470,703 | ||
Banc of America Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-4 Class AJ, 5.038% 7/10/45 (n) | 254,963 | 254,820 | ||
Series 2006-2 Class A4, 5.7271% 5/10/45 (n) | 17,625,794 | 17,815,553 | ||
Series 2006-3 Class A4, 5.889% 7/10/44 | 51,155,192 | 52,078,185 | ||
Series 2006-4 Class AM, 5.675% 7/10/46 | 1,000,000 | 1,034,448 | ||
Series 2006-6 Class A3, 5.369% 10/10/45 | 3,804,000 | 3,823,035 | ||
Series 2006-4 Class A1A, 5.617% 7/10/46 (n) | 26,299,622 | 27,050,502 | ||
Series 2004-1 Class F, 5.279% 11/10/39 (h) | 185,000 | 185,051 | ||
Series 2005-1 Class CJ, 5.3371% 11/10/42 (n) | 175,766 | 175,573 | ||
Series 2005-5 Class D, 5.3247% 10/10/45 (n) | 1,180,000 | 1,183,728 | ||
Series 2005-6 Class AJ, 5.1559% 9/10/47 (n) | 300,000 | 301,608 | ||
Series 2006-6 Class E, 5.619% 10/10/45 (h) | 1,098,000 | 122,411 | ||
Series 2007-2 Class A4, 5.6126% 4/10/49 (n) | 8,292,000 | 8,634,567 | ||
Series 2007-3 Class A4, 5.5746% 6/10/49 (n) | 20,967,320 | 21,956,977 | ||
Series 2008-1 Class D, 6.2584% 2/10/51 (h)(n) | 125,000 | 95,414 | ||
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 6,743,694 | 7,053,028 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class M1, 1.4744% 12/25/33 (h)(n) | 33,328 | 30,064 | ||
Series 2005-4A: | ||||
Class A2, 0.5894% 1/25/36 (h)(n) | 788,356 | 700,667 | ||
Class B1, 1.5994% 1/25/36 (h)(n) | 32,921 | 20,941 | ||
Class M1, 0.6494% 1/25/36 (h)(n) | 254,309 | 206,031 | ||
Class M2, 0.6694% 1/25/36 (h)(n) | 76,293 | 59,816 | ||
Class M3, 0.6994% 1/25/36 (h)(n) | 111,419 | 83,999 | ||
Class M4, 0.8094% 1/25/36 (h)(n) | 61,621 | 45,484 | ||
Class M5, 0.8494% 1/25/36 (h)(n) | 61,621 | 45,238 | ||
Class M6, 0.8994% 1/25/36 (h)(n) | 65,448 | 46,847 | ||
Series 2006-3A Class M4, 0.6294% 10/25/36 (h)(n) | 32,221 | 3,308 | ||
Series 2007-1 Class A2, 0.4694% 3/25/37 (h)(n) | 527,262 | 441,664 | ||
Series 2007-2A: | ||||
Class A1, 0.4694% 7/25/37 (h)(n) | 541,279 | 461,786 | ||
Class A2, 0.5194% 7/25/37 (h)(n) | 505,752 | 416,077 | ||
Class M1, 0.5694% 7/25/37 (h)(n) | 177,592 | 135,918 | ||
Class M2, 0.6094% 7/25/37 (h)(n) | 97,043 | 68,317 | ||
Class M3, 0.6894% 7/25/37 (h)(n) | 74,751 | 43,833 | ||
Series 2007-3: | ||||
Class A2, 0.4894% 7/25/37 (h)(n) | 483,895 | 394,167 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Bayview Commercial Asset Trust: - continued | ||||
floater: | ||||
Series 2007-3: | ||||
Class M1, 0.5094% 7/25/37 (h)(n) | $ 105,098 | $ 81,257 | ||
Class M2, 0.5394% 7/25/37 (h)(n) | 112,645 | 80,894 | ||
Class M3, 0.5694% 7/25/37 (h)(n) | 177,501 | 78,035 | ||
Class M4, 0.6994% 7/25/37 (h)(n) | 278,704 | 81,819 | ||
Class M5, 0.7994% 7/25/37 (h)(n) | 133,533 | 26,213 | ||
Series 2007-4A Class M1, 1.1494% 9/25/37 (h)(n) | 190,162 | 36,301 | ||
Series 2006-3A, Class IO, 0% 10/25/36 (h)(n)(o) | 5,108,763 | 1 | ||
Series 2007-5A, Class IO, 4.186% 10/25/37 (h)(n)(o) | 4,852,783 | 15,441 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.43% 3/11/39 (n) | 450,000 | 454,935 | ||
Bear Stearns Commercial Mortgage Securities Trust: | ||||
sequential payer: | ||||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 624,806 | ||
Series 2006-T22 Class AJ, 5.5924% 4/12/38 (n) | 400,000 | 408,402 | ||
Series 2007-PW16 Class A4, 5.7053% 6/11/40 (n) | 1,112,000 | 1,175,544 | ||
Series 1999-C1 Class I, 5.64% 2/14/31 (h) | 107,279 | 106,292 | ||
Series 2006-T22: | ||||
Class A4, 5.5924% 4/12/38 (n) | 166,540 | 167,970 | ||
Class B, 5.5924% 4/12/38 (h)(n) | 200,000 | 207,422 | ||
Series 2007-PW18 Class X2, 0.3003% 6/11/50 (h)(n)(o) | 87,557,706 | 91,760 | ||
Series 2007-T28 Class X2, 0.1359% 9/11/42 (h)(n)(o) | 54,532,420 | 5,999 | ||
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (h) | 724,139 | 773,609 | ||
BLCP Hotel Trust: | ||||
floater Series 2014-CLRN Class F, 3.2316% 8/15/29 (h)(n) | 832,000 | 804,016 | ||
Series 2014-CLMZ Class M, 5.9255% 8/15/29 (h)(n) | 1,665,702 | 1,654,329 | ||
Boca Hotel Portfolio Trust Series 2013-BOCA Class E, 3.9476% 8/15/26 (h)(n) | 700,000 | 699,389 | ||
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/13/35 (h)(n) | 1,000,000 | 964,051 | ||
C-BASS Trust floater Series 2006-SC1 Class A, 0.4694% 5/25/36 (h)(n) | 304,743 | 289,950 | ||
Carefree Portfolio Trust floater: | ||||
Series 2014-CARE: | ||||
Class E, 4.198% 11/15/19 (h)(n) | 1,574,000 | 1,582,622 | ||
Class F, 2.7817% 11/15/19 (h)(n) | 119,000 | 116,162 | ||
Series 2014-CMZA Class MZA, 6.1745% 11/15/19 (h)(n) | 1,537,000 | 1,534,947 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Carefree Portfolio Trust 2014-Car floater Series 2014-CMZB Class MZB, 7.9199% 11/15/29 (h)(n) | $ 1,158,000 | $ 1,155,600 | ||
CDGJ Commercial Mortgage Trust Series 2014-BXCH: | ||||
Class A, 1.5873% 12/15/27 (h)(n) | 19,500,000 | 19,469,619 | ||
Class DPA, 3.1976% 12/15/27 (h)(n) | 6,164,000 | 6,151,968 | ||
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.5743% 12/15/47 (h)(n) | 750,000 | 849,273 | ||
CG-CCRE Commercial Mortgage Trust: | ||||
Series 2014-FL1: | ||||
Class YTC2, 2.6745% 6/15/31 (h)(n) | 511,000 | 492,718 | ||
Class YTC3, 2.6745% 6/15/31 (h)(n) | 184,000 | 174,962 | ||
Series 2014-FL1, 2.6745% 6/15/31 (h)(n) | 511,000 | 498,730 | ||
CGBAM Commercial Mortgage Trust Series 2015-SMRT Class F, 3.7859% 4/10/28 (h)(n) | 902,000 | 857,869 | ||
Chase Commercial Mortgage Securities Corp.: | ||||
Series 1998-1 Class H, 6.34% 5/18/30 (h) | 800,000 | 839,749 | ||
Series 1998-2 Class J, 6.39% 11/18/30 (h) | 487,111 | 438,161 | ||
Citigroup Commercial Mortgage Trust: | ||||
Series 2013-GC15 Class D, 5.1051% 9/10/46 (h)(n) | 1,010,000 | 982,380 | ||
Series 2015-SHP2 Class E, 4.535% 7/15/27 (h)(n) | 1,239,000 | 1,236,100 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-CD3 Class A5, 5.617% 10/15/48 | 8,179,818 | 8,409,163 | ||
Series 2007-CD4: | ||||
Class A3, 5.293% 12/11/49 | 172,969 | 173,873 | ||
Class A4, 5.322% 12/11/49 | 31,258,000 | 32,322,272 | ||
Series 2005-CD1 Class AJ, 5.2018% 7/15/44 (n) | 500,000 | 499,462 | ||
Claregold Trust Series 2007-2A: | ||||
Class F, 5.01% 5/15/44 (h)(n) | CAD | 138,000 | 104,063 | |
Class G, 5.01% 5/15/44 (h)(n) | CAD | 30,000 | 22,212 | |
Class H, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 14,457 | |
Class J, 5.01% 5/15/44 (h)(n) | CAD | 20,000 | 13,890 | |
Class K, 5.01% 5/15/44 (h)(n) | CAD | 10,000 | 6,808 | |
Class L, 5.01% 5/15/44 (h)(n) | CAD | 36,000 | 23,563 | |
Class M, 5.01% 5/15/44 (h)(n) | CAD | 165,000 | 101,880 | |
Cobalt CMBS Commercial Mortgage Trust Series 2007-C2 Class B, 5.617% 4/15/47 (n) | 2,125,000 | 2,064,238 | ||
COMM Mortgage Trust: | ||||
floater Series 2014-PAT Class E, 3.336% 8/13/27 (h)(n) | 735,000 | 727,228 | ||
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (h) | 1,410,000 | 1,123,606 | ||
Series 2012-CR5 Class D, 4.3356% 12/10/45 (h)(n) | 740,000 | 743,849 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
COMM Mortgage Trust: - continued | ||||
Series 2013-CR10: | ||||
Class C, 4.7925% 8/10/46 (h)(n) | $ 270,000 | $ 278,724 | ||
Class D, 4.7925% 8/10/46 (h)(n) | 790,000 | 743,386 | ||
Series 2013-CR12 Class D, 5.0847% 10/10/46 (h)(n) | 1,680,000 | 1,655,826 | ||
Series 2013-CR9: | ||||
Class C, 4.2581% 7/10/45 (h)(n) | 525,000 | 526,183 | ||
Class D, 4.2581% 7/10/45 (h)(n) | 756,000 | 709,490 | ||
Series 2013-LC6 Class D, 4.2865% 1/10/46 (h)(n) | 1,109,000 | 1,044,351 | ||
Series 2014-CR15 Class D, 4.7657% 2/10/47 (h)(n) | 258,000 | 249,179 | ||
Series 2014-CR17 Class D, 4.7994% 5/10/47 (h)(n) | 567,000 | 535,956 | ||
Series 2014-UBS2 Class D, 5.0154% 3/10/47 (h)(n) | 844,000 | 797,880 | ||
Series 2015-3BP Class F, 3.2384% 2/10/35 (h)(n) | 1,000,000 | 876,537 | ||
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (h)(n) | 483,000 | 443,848 | ||
COMM Mortgage Trust pass-thru certificates: | ||||
floater Series 2005-F10A Class J, 1.0476% 4/15/17 (h)(n) | 126,140 | 126,169 | ||
sequential payer Series 2006-C7 Class A1A, 5.7386% 6/10/46 (n) | 2,335,546 | 2,396,691 | ||
Series 2005-LP5 Class F, 4.9795% 5/10/43 (h)(n) | 1,290,000 | 1,302,585 | ||
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (h) | 1,275,189 | 1,227,269 | ||
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 | 623,315 | 660,148 | ||
Commercial Mortgage Trust pass-thru certificates: | ||||
Series 2012-CR1: | ||||
Class C, 5.3592% 5/15/45 (n) | 850,000 | 921,955 | ||
Class D, 5.3592% 5/15/45 (h)(n) | 1,510,000 | 1,546,614 | ||
Series 2012-CR2: | ||||
Class E, 4.8572% 8/15/45 (h)(n) | 1,727,000 | 1,696,629 | ||
Class F, 4.25% 8/15/45 (h) | 1,418,000 | 1,286,981 | ||
Series 2012-LC4: | ||||
Class C, 5.6452% 12/10/44 (n) | 260,000 | 287,285 | ||
Class D, 5.6452% 12/10/44 (h)(n) | 1,143,000 | 1,203,828 | ||
Series 2014-CR2 Class G, 4.25% 8/15/45 (h) | 403,000 | 317,407 | ||
Core Industrial Trust: | ||||
Series 2015-CALW Class G, 3.8504% 2/10/34 (h)(n) | 544,000 | 497,418 | ||
Series 2015-WEST Class F, 4.2268% 2/10/37 (h)(n) | 731,000 | 645,605 | ||
Credit Suisse Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2007-C2 Class A2, 5.448% 1/15/49 (n) | 27,691 | 27,691 | ||
Series 2007-C3 Class A4, 5.6993% 6/15/39 (n) | 16,762,633 | 17,570,408 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Credit Suisse Commercial Mortgage Trust: - continued | ||||
Series 2007-C5 Class A4, 5.695% 9/15/40 (n) | $ 1,722,000 | $ 1,818,079 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 1998-C1: | ||||
Class F, 6% 5/17/40 (h) | 1,212,440 | 1,289,831 | ||
Class H, 6% 5/17/40 (h) | 90,315 | 75,213 | ||
Series 1998-C2: | ||||
Class F, 6.75% 11/15/30 (h) | 499,779 | 512,111 | ||
Class G, 6.75% 11/15/30 (h) | 180,000 | 190,863 | ||
Series 2001-CKN5 Class AX, 0% 9/15/34 (h)(n)(o) | 2,730 | 0 | ||
Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (h)(n) | 140,650 | 141,253 | ||
CSMC Series 2015-TOWN: | ||||
Class B, 2.0976% 3/15/17 (h)(n) | 3,043,000 | 3,022,405 | ||
Class C, 2.4476% 3/15/17 (h)(n) | 2,964,000 | 2,944,035 | ||
Class D, 3.3976% 3/15/17 (h)(n) | 4,485,000 | 4,447,873 | ||
Class E, 4.336% 3/15/17 (h)(n) | 20,318,000 | 20,139,263 | ||
CSMC Trust floater Series 2015-DEAL: | ||||
Class E, 4.198% 4/15/29 (h)(n) | 724,000 | 716,966 | ||
Class F, 4.948% 4/15/29 (h)(n) | 1,453,000 | 1,439,041 | ||
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (h)(n) | 967,000 | 905,463 | ||
DBUBS Mortgage Trust Series 2011-LC1A: | ||||
Class D, 5.5569% 11/10/46 (h)(n) | 500,000 | 547,023 | ||
Class E, 5.5569% 11/10/46 (h)(n) | 1,332,000 | 1,437,385 | ||
Class F, 5.5569% 11/10/46 (h)(n) | 1,560,000 | 1,554,691 | ||
Class G, 4.652% 11/10/46 (h) | 1,654,000 | 1,433,581 | ||
Class XB, 0.2464% 11/10/46 (h)(n)(o) | 20,920,000 | 308,967 | ||
Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (h) | 1,000,000 | 1,002,424 | ||
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer Series 1998-C2 Class G, 7% 11/18/35 (h)(n) | 23,852 | 23,797 | ||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5365% 4/25/19 (n) | 416,659 | 415,720 | ||
pass-thru certificates: | ||||
Series K011 Class X3, 2.5753% 12/25/43 (n)(o) | 1,640,000 | 201,549 | ||
Series K012 Class X3, 2.287% 1/25/41 (n)(o) | 1,799,999 | 199,348 | ||
Series K013 Class X3, 2.8069% 1/25/43 (n)(o) | 820,000 | 110,965 | ||
sequential payer: | ||||
Series K033 Class A2, 3.06% 7/25/23 | 23,417,768 | 24,087,149 | ||
Series K034 Class A2, 3.531% 7/25/23 | 20,251,185 | 21,448,172 | ||
Series K035 Class A2, 3.458% 8/25/23 | 2,961,000 | 3,118,602 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Freddie Mac: - continued | ||||
Series K032 Class A2, 3.31% 5/25/23 | $ 4,715,000 | $ 4,936,150 | ||
Series K036 Class A2, 3.527% 10/25/23 | 7,763,000 | 8,205,755 | ||
Series K047 Class A2, 3.329% 5/25/25 | 17,400,000 | 18,047,141 | ||
Series KAIV Class X2, 3.6147% 6/25/46 (n)(o) | 420,000 | 74,622 | ||
Freddie Mac Multi-family Strutured Pass-thru Certificates sequential payer Series K038 Class A2, 3.389% 3/25/24 | 4,722,000 | 4,934,721 | ||
FREMF Mortgage Trust: | ||||
Series 2010-K9 Class B, 5.1937% 9/25/45 (h)(n) | 1,290,000 | 1,416,967 | ||
Series 2011-K10 Class B, 4.6215% 11/25/49 (h)(n) | 240,000 | 257,267 | ||
Series 2011-K11 Class B, 4.4209% 12/25/48 (h)(n) | 750,000 | 797,774 | ||
GAHR Commercial Mortgage Trust Series 2015-NRF: | ||||
Class BFX, 3.3822% 12/15/19 (h)(n) | 18,910,000 | 18,965,749 | ||
Class CFX, 3.4949% 12/15/19 (h)(n) | 14,152,000 | 13,945,292 | ||
Class DFX, 3.3822% 12/15/19 (h)(n) | 11,994,000 | 11,679,349 | ||
Class EFX, 3.3822% 12/15/19 (h)(n) | 1,500,000 | 1,402,278 | ||
Class FFX, 3.3822% 12/15/19 (h)(n) | 383,000 | 351,176 | ||
GCCFC Commercial Mortgage Trust Series 2005-GG3 Class B, 4.894% 8/10/42 (n) | 60,372 | 60,356 | ||
GE Capital Commercial Mortgage Corp. sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 42,220,000 | 43,752,544 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
Series 1997-C1 Class H, 6.6% 7/15/29 | 405,110 | 362,225 | ||
Series 1997-C2 Class G, 6.75% 4/15/29 (n) | 215,232 | 227,426 | ||
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 756,193 | ||
Series 1999-C3 Class K, 6.974% 8/15/36 (h) | 2,645 | 2,620 | ||
GP Portfolio Trust Series 2014-GPP: | ||||
Class D, 2.938% 2/15/27 (h)(n) | 291,000 | 289,847 | ||
Class E, 4.0373% 2/15/27 (h)(n) | 378,000 | 376,173 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 15,541,635 | 16,217,401 | ||
Series 2006-GG7 Class A4, 5.8187% 7/10/38 (n) | 45,337,123 | 46,013,144 | ||
GS Mortgage Securities Corp. II: | ||||
Series 2006-GG6 Class A4, 5.553% 4/10/38 (n) | 6,458,463 | 6,466,058 | ||
Series 2010-C1: | ||||
Class D, 6.0843% 8/10/43 (h)(n) | 1,255,000 | 1,358,143 | ||
Class E, 4% 8/10/43 (h) | 1,240,000 | 1,142,381 | ||
Class F, 4% 8/10/43 (h) | 894,000 | 756,302 | ||
Class X, 1.4847% 8/10/43 (h)(n)(o) | 5,136,803 | 298,474 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
GS Mortgage Securities Trust: | ||||
floater Series 2014-GSFL Class A, 1.1873% 7/15/31 (h)(n) | $ 614,960 | $ 613,139 | ||
sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 | 17,702,100 | 18,239,553 | ||
Series 2010-C2: | ||||
Class D, 5.2456% 12/10/43 (h)(n) | 720,000 | 761,053 | ||
Class XA, 0.6486% 12/10/43 (h)(n)(o) | 3,860,847 | 27,926 | ||
Series 2011-GC5: | ||||
Class C, 5.3081% 8/10/44 (h)(n) | 1,050,000 | 1,137,595 | ||
Class D, 5.3081% 8/10/44 (h)(n) | 480,000 | 494,415 | ||
Class E, 5.3081% 8/10/44 (h)(n) | 210,000 | 205,187 | ||
Class F, 4.5% 8/10/44 (h) | 1,020,000 | 842,850 | ||
Series 2012-GC6: | ||||
Class D, 5.6315% 1/10/45 (h)(n) | 861,000 | 885,730 | ||
Class E, 5% 1/10/45 (h)(n) | 412,000 | 380,231 | ||
Series 2012-GC6I Class F, 5% 1/10/45 (n) | 390,000 | 322,150 | ||
Series 2012-GCJ7: | ||||
Class C, 5.7229% 5/10/45 (n) | 630,000 | 690,673 | ||
Class D, 5.7229% 5/10/45 (h)(n) | 1,054,000 | 1,080,186 | ||
Class E, 5% 5/10/45 (h) | 1,311,000 | 1,199,529 | ||
Class F, 5% 5/10/45 (h) | 2,079,000 | 1,682,309 | ||
Series 2012-GCJ9: | ||||
Class D, 4.8533% 11/10/45 (h)(n) | 1,170,000 | 1,133,200 | ||
Class E, 4.8533% 11/10/45 (h)(n) | 1,290,000 | 1,142,338 | ||
Series 2013-GC10 Class D, 4.4138% 2/10/46 (h)(n) | 740,000 | 695,187 | ||
Series 2013-GC12 Class D, 4.4768% 6/10/46 (h)(n) | 219,000 | 205,177 | ||
Series 2013-GC13 Class D, 4.0697% 7/10/46 (h)(n) | 1,543,000 | 1,393,132 | ||
Series 2013-GC16: | ||||
Class C, 5.3156% 11/10/46 (n) | 662,844 | 711,006 | ||
Class D, 5.3156% 11/10/46 (h)(n) | 967,000 | 939,589 | ||
Class F, 3.5% 11/10/46 (h) | 999,000 | 758,793 | ||
Hilton U.S.A. Trust: | ||||
floater Series 2014-ORL Class E, 3.438% 7/15/29 (h)(n) | 617,000 | 619,841 | ||
Series 2013-HLT: | ||||
Class CFX, 3.7141% 11/5/30 (h) | 2,450,000 | 2,444,632 | ||
Class DFX, 4.4065% 11/5/30 (h) | 23,706,000 | 23,758,945 | ||
Class EFX, 4.4533% 11/5/30 (h)(n) | 2,000,000 | 2,005,760 | ||
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.6756% 11/15/29 (h)(n) | 406,000 | 392,842 | ||
JPMBB Commercial Mortgage Securities Trust: | ||||
Series 2014-C22 Class D, 4.5612% 9/15/47 (h)(n) | 525,000 | 457,731 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMBB Commercial Mortgage Securities Trust: - continued | ||||
Series 2015-C31 Class ASB, 3.5373% 8/15/48 | $ 30,200,000 | $ 31,145,275 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (h)(n) | 500,000 | 501,940 | ||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (h) | 440,000 | 473,471 | ||
Series 2003-C1: | ||||
Class D, 5.192% 1/12/37 | 12,581 | 12,563 | ||
Class F, 5.6404% 1/12/37 (h)(n) | 250,000 | 246,250 | ||
Series 2009-IWST: | ||||
Class C, 7.4453% 12/5/27 (h)(n) | 380,000 | 447,928 | ||
Class D, 7.4453% 12/5/27 (h)(n) | 1,885,000 | 2,217,094 | ||
Series 2010-CNTR Class D, 6.1838% 8/5/32 (h)(n) | 695,000 | 793,396 | ||
Series 2012-CBX: | ||||
Class C, 5.2386% 6/15/45 (n) | 250,000 | 263,891 | ||
Class D, 5.2386% 6/16/45 (h)(n) | 690,000 | 706,106 | ||
Class E, 5.2386% 6/15/45 (h)(n) | 620,000 | 607,380 | ||
Class F, 4% 6/15/45 (h) | 820,000 | 732,380 | ||
Class G 4% 6/15/45 (h) | 1,079,000 | 770,533 | ||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||
floater: | ||||
Series 2006-FL2A: | ||||
Class E, 0.4776% 11/15/18 (h)(n) | 137,659 | 134,947 | ||
Class F, 0.5276% 11/15/18 (h)(n) | 380,931 | 366,233 | ||
Class G, 0.5576% 11/15/18 (h)(n) | 330,997 | 316,800 | ||
Class H, 0.6976% 11/15/18 (h)(n) | 254,476 | 243,031 | ||
Class J, 0.8476% 11/15/18 (h)(n) | 257,928 | 245,844 | ||
Series 2014-BXH: | ||||
Class A, 1.0976% 4/15/27 (h)(n) | 3,000,000 | 2,993,256 | ||
Class C, 1.8476% 4/15/27 (h)(n) | 4,460,000 | 4,451,731 | ||
Class D, 2.4476% 4/15/27 (h)(n) | 9,517,000 | 9,485,956 | ||
Series 2014-FBLU Class E, 3.6873% 12/15/28 (h)(n) | 1,058,000 | 1,052,710 | ||
Series 2014-INN: | ||||
Class E, 3.798% 6/15/29 (h)(n) | 683,000 | 680,107 | ||
Class F, 4.198% 6/15/29 (h)(n) | 1,006,000 | 989,645 | ||
sequential payer: | ||||
Series 2006-CB16: | ||||
Class A1A, 5.546% 5/12/45 | 15,065,112 | 15,490,098 | ||
Class A4, 5.552% 5/12/45 | 5,665,501 | 5,761,508 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
JPMorgan Chase Commercial Mortgage Securities Trust: - continued | ||||
sequential payer: | ||||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | $ 7,203,918 | $ 7,424,314 | ||
Series 2006-LDP8 Class A1A, 5.397% 5/15/45 | 5,645,570 | 5,811,132 | ||
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 9,000,176 | 9,320,420 | ||
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 2,362,745 | 2,458,961 | ||
Series 2007-CB19 Class A4, 5.695% 2/12/49 (n) | 12,396,984 | 13,058,979 | ||
Series 2007-LD11 Class A4, 5.7743% 6/15/49 (n) | 29,428,107 | 30,984,324 | ||
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 23,975,987 | 25,007,266 | ||
Series 2004-CBX Class D, 5.097% 1/12/37 (n) | 170,000 | 169,307 | ||
Series 2004-LN2 Class D, 5.3433% 7/15/41 (n) | 420,000 | 357,085 | ||
Series 2005-LDP2 Class C, 4.911% 7/15/42 (n) | 660,000 | 661,664 | ||
Series 2005-LDP5 Class AJ, 5.3599% 12/15/44 (n) | 360,000 | 363,020 | ||
Series 2006-LDP7 Class A4, 5.9047% 4/15/45 (n) | 11,598,929 | 11,794,266 | ||
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (n) | 110,240 | 345 | ||
Series 2011-C3 Class J, 4.409% 2/15/46 (h)(n) | 106,000 | 89,241 | ||
Series 2011-C4: | ||||
Class E, 5.4158% 7/15/46 (h)(n) | 1,130,000 | 1,168,293 | ||
Class F, 3.873% 7/15/46 (h) | 105,000 | 96,463 | ||
Class H, 3.873% 7/15/46 (h) | 672,000 | 549,678 | ||
Class NR, 3.873% 7/15/46 (h) | 385,000 | 254,142 | ||
Class TAC2, 7.99% 7/15/46 (h) | 671,000 | 709,877 | ||
Series 2011-C5: | ||||
Class B. 5.3229% 8/15/46 (h)(n) | 1,140,000 | 1,260,607 | ||
Class C, 5.3229% 8/15/46 (h)(n) | 1,102,648 | 1,189,079 | ||
Series 2013-LC11: | ||||
Class C, 3.9582% 4/15/46 (n) | 1,115,000 | 1,082,208 | ||
Class D, 4.2392% 4/15/46 (n) | 1,430,000 | 1,313,642 | ||
Class F, 3.25% 4/15/46 (h)(n) | 1,682,000 | 1,208,863 | ||
Series 2014-DSTY: | ||||
Class D, 3.8046% 6/10/27 (h)(n) | 816,000 | 795,902 | ||
Class E, 3.8046% 6/10/27 (h)(n) | 1,156,000 | 1,084,292 | ||
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 6.0965% 7/15/44 (n) | 21,263,403 | 22,500,996 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2005-C7 Class AJ, 5.323% 11/15/40 (n) | 1,254,286 | 1,256,377 | ||
Series 2006-C6: | ||||
Class A4, 5.372% 9/15/39 | 855,696 | 879,626 | ||
Class AM, 5.413% 9/15/39 | 1,500,000 | 1,554,450 | ||
Series 2006-C7: | ||||
Class A2, 5.3% 11/15/38 | 595,713 | 599,313 | ||
Class AM, 5.378% 11/15/38 | 160,000 | 165,488 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
LB-UBS Commercial Mortgage Trust: - continued | ||||
sequential payer: | ||||
Series 2007-C1 Class A4, 5.424% 2/15/40 | $ 16,273,684 | $ 16,935,469 | ||
Series 2007-C2 Class A3, 5.43% 2/15/40 | 3,230,362 | 3,377,085 | ||
Series 2004-C2 Class G, 4.595% 3/15/36 (h)(n) | 186,455 | 186,521 | ||
Series 2005-C1 Class E, 4.924% 2/15/40 | 317,127 | 317,153 | ||
Series 2005-C7 Class C, 5.35% 11/15/40 (n) | 1,016,000 | 1,021,050 | ||
Series 2006-C1 Class AM, 5.217% 2/15/31 (n) | 6,847,000 | 6,904,871 | ||
Series 2006-C4: | ||||
Class AJ, 5.8521% 6/15/38 (n) | 1,060,000 | 1,083,970 | ||
Class AM, 5.8521% 6/15/38 (n) | 500,000 | 514,576 | ||
Series 2007-C6 Class A4, 5.858% 7/15/40 (n) | 1,870,177 | 1,949,738 | ||
Series 2007-C7 Class A3, 5.866% 9/15/45 | 12,747,748 | 13,733,506 | ||
LSTAR Commercial Mortgage Trust: | ||||
Series 2011-1 Class D, 5.4769% 6/25/43 (h)(n) | 67,004 | 66,951 | ||
Series 2014-2: | ||||
Class D, 5.0498% 1/20/41 (h)(n) | 256,000 | 241,516 | ||
Class E, 5.0498% 1/20/41 (h)(n) | 400,000 | 336,046 | ||
Mach One Trust LLC Series 2004-1A Class H, 6.0869% 5/28/40 (h)(n) | 115,481 | 115,562 | ||
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3906% 10/12/39 (h)(n) | CAD | 320,000 | 244,593 | |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (n) | 183,308 | 183,218 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 05-LC1 Class AJ, 5.3621% 1/12/44 (n) | 220,000 | 221,689 | ||
Series 2005-LC1 Class F, 5.4161% 1/12/44 (h)(n) | 1,655,000 | 1,633,424 | ||
Series 2006-C1: | ||||
Class AJ, 5.6761% 5/12/39 (n) | 530,000 | 533,216 | ||
Class AM, 5.6761% 5/12/39 (n) | 100,000 | 102,190 | ||
Series 2007-C1 Class A4, 5.8347% 6/12/50 (n) | 9,429,517 | 9,840,823 | ||
Series 2008-C1 Class A4, 5.69% 2/12/51 | 2,936,477 | 3,128,152 | ||
Merrill Lynch-CFC Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-4: | ||||
Class A3, 5.172% 12/12/49 (n) | 778,304 | 803,053 | ||
Class ASB, 5.133% 12/12/49 (n) | 111,340 | 111,588 | ||
Series 2007-5 Class A4, 5.378% 8/12/48 | 17,767,087 | 18,475,265 | ||
Series 2007-6 Class A4, 5.485% 3/12/51 (n) | 14,650,000 | 15,351,457 | ||
Series 2007-7 Class A4, 5.7429% 6/12/50 (n) | 6,223,318 | 6,587,805 | ||
Series 2006-1 Class AM, 5.5154% 2/12/39 (n) | 5,120,000 | 5,182,131 | ||
Series 2007-6 Class B, 5.635% 3/12/51 (n) | 1,902,000 | 594,617 | ||
Series 2007-8 Class A3, 5.8811% 8/12/49 (n) | 1,640,000 | 1,745,567 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley BAML Trust: | ||||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (h) | $ 750,000 | $ 675,225 | ||
Series 2012-C6 Class D, 4.8133% 11/15/45 (h)(n) | 1,357,000 | 1,382,240 | ||
Series 2013-C12 Class D, 4.767% 10/15/46 (h)(n) | 1,000,000 | 971,250 | ||
Series 2013-C13: | ||||
Class D, 4.8945% 11/15/46 (h)(n) | 1,019,000 | 992,175 | ||
Class E, 4.8945% 11/15/46 (h)(n) | 887,000 | 797,878 | ||
Series 2013-C7: | ||||
Class D, 4.2973% 2/15/46 (h)(n) | 810,000 | 777,148 | ||
Class E, 4.2973% 2/15/46 (h)(n) | 340,000 | 305,162 | ||
Series 2013-C8 Class D, 4.17% 12/15/48 (h)(n) | 400,000 | 372,432 | ||
Series 2013-C9: | ||||
Class C, 4.2082% 5/15/46 (n) | 620,000 | 609,774 | ||
Class D, 4.1578% 5/15/46 (h)(n) | 1,740,000 | 1,621,161 | ||
Morgan Stanley Capital I Trust: | ||||
floater: | ||||
Series 2006-XLF: | ||||
Class C, 1.398% 7/15/19 (h)(n) | 357,716 | 357,966 | ||
Class J, 0.6155% 7/15/19 (h)(n) | 335,939 | 335,105 | ||
Series 2007-XLFA: | ||||
Class D, 0.374% 10/15/20 (h)(n) | 633,568 | 631,626 | ||
Class E, 0.4355% 10/15/20 (h)(n) | 834,661 | 829,265 | ||
Class F, 0.4855% 10/15/20 (h)(n) | 500,899 | 497,723 | ||
Class G, 0.5255% 10/15/20 (h)(n) | 619,188 | 614,482 | ||
Class H, 0.6155% 10/15/20 (h)(n) | 389,758 | 379,000 | ||
Class J, 0.7655% 10/15/20 (h)(n) | 225,021 | 207,559 | ||
sequential payer: | ||||
Series 2006-HQ10 Class AM, 5.36% 11/12/41 | 620,000 | 643,794 | ||
Series 2007-HQ11 Class A31, 5.439% 2/12/44 | 104,322 | 104,222 | ||
Series 2012-C4 Class E, 5.5247% 3/15/45 (h)(n) | 1,210,000 | 1,248,725 | ||
Series 1997-RR Class F, 7.4369% 4/30/39 (h)(n) | 63,561 | 63,796 | ||
Series 1998-CF1 Class G, 7.35% 7/15/32 (h) | 207,862 | 208,710 | ||
Series 1999-WF1: | ||||
Class N, 5.91% 11/15/31 (h) | 210,000 | 209,561 | ||
Class O, 5.91% 11/15/31 (h) | 166,077 | 137,242 | ||
Series 2004-IQ7 Class E, 5.1708% 6/15/38 (h)(n) | 74,602 | 76,329 | ||
Series 2006-IQ11 Class A4, 5.7068% 10/15/42 (n) | 334,934 | 335,997 | ||
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 | 719,000 | 750,874 | ||
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 89,155,000 | 93,458,423 | ||
Series 2011-C1: | ||||
Class C, 5.3313% 9/15/47 (h)(n) | 970,000 | 1,062,944 | ||
Class D, 5.3313% 9/15/47 (h)(n) | 1,760,000 | 1,896,872 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2011-C1: | ||||
Class E, 5.3313% 9/15/47 (h)(n) | $ 573,100 | $ 588,828 | ||
Series 2011-C2: | ||||
Class D, 5.3029% 6/15/44 (h)(n) | 580,000 | 619,591 | ||
Class E, 5.3029% 6/15/44 (h)(n) | 600,000 | 629,740 | ||
Class F, 5.3029% 6/15/44 (h)(n) | 550,000 | 536,782 | ||
Class XB, 0.4584% 6/15/44 (h)(n)(o) | 9,001,008 | 234,854 | ||
Series 2011-C3: | ||||
Class C, 5.1784% 7/15/49 (h)(n) | 1,000,000 | 1,078,789 | ||
Class D, 5.1784% 7/15/49 (h)(n) | 1,130,000 | 1,200,615 | ||
Class E, 5.1784% 7/15/49 (h)(n) | 400,000 | 420,752 | ||
Class G, 5.1784% 7/15/49 (h)(n) | 924,000 | 822,421 | ||
Series 2012-C4: | ||||
Class D, 5.7088% 3/15/45 (h)(n) | 330,000 | 352,966 | ||
Class F, 3.07% 3/15/45 (h) | 623,000 | 522,362 | ||
Series 2015-MS1: | ||||
Class C, 4.1633% 5/15/48 (n) | 734,000 | 665,939 | ||
Class D, 4.163% 5/15/48 (h) | 437,000 | 355,947 | ||
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5079% 7/15/33 (h)(n) | 150,000 | 167,549 | ||
Motel 6 Trust Series 2015-MTL6: | ||||
Class E, 5.2785% 2/5/30 (h) | 1,571,000 | 1,534,715 | ||
Class F, 5% 2/5/30 (h) | 499,000 | 481,653 | ||
NationsLink Funding Corp. Series 1999-LTL1: | ||||
Class C, 7.399% 1/22/26 (h) | 273,000 | 282,582 | ||
Class D, 6.45% 1/22/26 (h) | 740,731 | 798,495 | ||
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (h) | 1,005,147 | 1,275,229 | ||
Real Estate Asset Liquidity Trust: | ||||
Series 2006-2: | ||||
Class F, 4.456% 9/12/38 | CAD | 107,000 | 82,528 | |
Class G, 4.456% 9/12/38 | CAD | 54,000 | 41,175 | |
Class H, 4.456% 9/12/38 | CAD | 36,000 | 26,730 | |
Class J, 4.456% 9/12/38 | CAD | 36,000 | 25,958 | |
Class K, 4.456% 9/12/38 | CAD | 18,000 | 12,583 | |
Class L, 4.456% 9/12/38 | CAD | 26,000 | 17,137 | |
Class M, 4.456% 9/12/38 | CAD | 104,391 | 63,371 | |
Series 2007-1: | ||||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 97,360 | |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 32,206 | |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 31,962 | |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 31,720 | |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 15,740 | |
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Real Estate Asset Liquidity Trust: - continued | ||||
Series 2007-1: | ||||
Class L, 4.57% 4/12/23 | CAD | 63,000 | $ 46,865 | |
Class M, 4.57% 4/12/23 | CAD | 155,242 | 100,926 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (h) | 247,956 | 78,414 | ||
SCG Trust Series 2013-SRP1 Class D, 3.531% 11/15/26 (h)(n) | 1,330,000 | 1,329,557 | ||
Starwood Retail Property Trust Series 2014-STAR Class D, 3.4476% 11/15/27 (h)(n) | 794,000 | 789,385 | ||
TIAA Seasoned Commercial Mortgage Trust: | ||||
sequential payer Series 2007-C4 Class AJ, 5.4769% 8/15/39 (n) | 118,718 | 119,103 | ||
Series 2007-C4 Class F, 5.4769% 8/15/39 (n) | 820,000 | 781,449 | ||
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (h) | 270,000 | 276,460 | ||
UBS Commercial Mortgage Trust Series 2012-C1 Class D, 5.5422% 5/10/45 (h)(n) | 1,197,000 | 1,253,996 | ||
UBS-BAMLL Trust: | ||||
Series 12-WRM Class D, 4.238% 6/10/30 (h)(n) | 310,000 | 300,234 | ||
Series 2012-WRM Class E, 4.238% 6/10/30 (h)(n) | 970,000 | 912,401 | ||
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (h)(n) | 1,299,000 | 1,246,776 | ||
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (h) | 180,000 | 206,013 | ||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater Series 2006-WL7A Class J, 0.7976% 9/15/21 (h)(n) | 395,545 | 375,604 | ||
sequential payer: | ||||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 8,076,675 | 8,413,812 | ||
Series 2007-C30 Class A5, 5.342% 12/15/43 | 24,454,000 | 25,445,282 | ||
Series 2007-C31 Class A4, 5.509% 4/15/47 | 52,563,000 | 53,619,674 | ||
Series 2007-C32 Class A3, 5.7146% 6/15/49 (n) | 40,608,000 | 42,723,380 | ||
Series 2007-C33: | ||||
Class A4, 5.9507% 2/15/51 (n) | 31,834,336 | 33,267,677 | ||
Class A5, 5.9507% 2/15/51 (n) | 19,259,000 | 20,679,736 | ||
Series 2004-C11: | ||||
Class D, 5.1404% 1/15/41 (n) | 360,000 | 365,255 | ||
Class E, 5.1904% 1/15/41 (n) | 327,000 | 331,357 | ||
Series 2005-C22 Class B, 5.3736% 12/15/44 (n) | 4,218,000 | 4,196,594 | ||
Series 2006-C23 Class A5, 5.416% 1/15/45 (n) | 7,870,000 | 7,923,673 | ||
Series 2006-C27 Class A1A, 5.749% 7/15/45 (n) | 21,703,452 | 22,312,712 | ||
Series 2007-C31 Class C, 5.6711% 4/15/47 (n) | 522,000 | 506,986 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
Wells Fargo Commercial Mortgage Trust: | ||||
Series 2010-C1 Class XB, 0.5751% 11/15/43 (h)(n)(o) | $ 20,614,217 | $ 558,006 | ||
Series 2012-LC5: | ||||
Class C, 4.693% 10/15/45 (n) | 569,000 | 587,615 | ||
Class D, 4.7772% 10/15/45 (h)(n) | 1,621,000 | 1,605,471 | ||
Series 2013-LC12 Class C, 4.3013% 7/15/46 (n) | 600,000 | 597,456 | ||
Series 2015-SG1 Class ASB, 3.381% 12/15/47 | 9,000,000 | 9,280,949 | ||
WF-RBS Commercial Mortgage Trust: | ||||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (h) | 325,000 | 270,050 | ||
Series 2011-C3: | ||||
Class C, 5.335% 3/15/44 (h) | 360,000 | 386,167 | ||
Class D, 5.549% 3/15/44 (h)(n) | 800,000 | 854,287 | ||
Class E, 5% 3/15/44 (h) | 890,000 | 856,920 | ||
Class F, 5% 3/15/44 (h) | 693,000 | 570,839 | ||
Series 2011-C4: | ||||
Class D, 5.2658% 6/15/44 (h)(n) | 408,000 | 436,609 | ||
Class E, 5.2658% 6/15/44 (h)(n) | 439,432 | 458,950 | ||
Series 2011-C5: | ||||
Class C, 5.6346% 11/15/44 (h)(n) | 260,000 | 285,216 | ||
Class D, 5.6346% 11/15/44 (h)(n) | 600,000 | 656,164 | ||
Class E, 5.6346% 11/15/44 (h)(n) | 1,410,000 | 1,503,088 | ||
Class F, 5.25% 11/15/44 (h)(n) | 933,000 | 903,371 | ||
Class G, 5.25% 11/15/44 (h)(n) | 329,000 | 290,030 | ||
Class XA, 1.9616% 11/15/44 (h)(n)(o) | 4,923,294 | 389,255 | ||
Series 2012-C10: | ||||
Class D, 4.4569% 12/15/45 (h)(n) | 422,000 | 404,640 | ||
Class E, 4.4569% 12/15/45 (h)(n) | 1,190,000 | 1,040,947 | ||
Class F, 4.4569% 12/15/45 (h)(n) | 1,726,000 | 1,359,158 | ||
Series 2012-C6 Class D, 5.5612% 4/15/45 (h)(n) | 540,000 | 558,332 | ||
Series 2012-C7: | ||||
Class C, 4.8388% 6/15/45 (n) | 1,270,000 | 1,330,428 | ||
Class E, 4.8388% 6/15/45 (h)(n) | 2,501,000 | 2,482,220 | ||
Class F, 4.5% 6/15/45 (h) | 357,000 | 328,195 | ||
Class G, 4.5% 6/15/45 (h) | 1,076,000 | 822,541 | ||
Series 2012-C8 Class D, 4.8753% 8/15/45 (h)(n) | 650,000 | 680,150 | ||
Series 2013-C11: | ||||
Class D, 4.1805% 3/15/45 (h)(n) | 870,000 | 829,203 | ||
Class E, 4.1805% 3/15/45 (h)(n) | 1,750,000 | 1,489,002 | ||
Series 2013-C13 Class D, 4.1386% 5/15/45 (h)(n) | 600,000 | 563,078 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (e) | Value | ||
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | ||||
Class F, 3.9179% 11/15/29 (h)(n) | $ 1,054,900 | $ 1,043,394 | ||
Class G, 3.2176% 11/15/29 (h)(n) | 164,703 | 152,834 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $1,348,981,101) |
| |||
Municipal Securities - 1.5% | ||||
| ||||
California Gen. Oblig.: | ||||
Series 2009, 7.35% 11/1/39 | 2,650,000 | 3,677,458 | ||
7.3% 10/1/39 | 18,415,000 | 25,490,780 | ||
7.5% 4/1/34 | 9,105,000 | 12,691,368 | ||
7.6% 11/1/40 | 12,540,000 | 18,395,177 | ||
7.625% 3/1/40 | 5,410,000 | 7,793,862 | ||
Chicago Gen. Oblig.: | ||||
(Taxable Proj.): | ||||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,337,748 | ||
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 14,170,829 | ||
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 2,647,119 | ||
6.314% 1/1/44 | 19,560,000 | 17,022,677 | ||
Illinois Gen. Oblig.: | ||||
Series 2003: | ||||
4.35% 6/1/18 | 8,770,000 | 9,013,806 | ||
4.95% 6/1/23 | 16,725,000 | 17,003,639 | ||
5.1% 6/1/33 | 63,045,000 | 58,497,564 | ||
Series 2010 5, 6.2% 7/1/21 | 6,680,000 | 7,318,742 | ||
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 12,294,272 | ||
Series 2010-3: | ||||
5.547% 4/1/19 | 330,000 | 354,661 | ||
6.725% 4/1/35 | 17,810,000 | 18,434,953 | ||
7.35% 7/1/35 | 8,165,000 | 8,753,125 | ||
Series 2011: | ||||
4.961% 3/1/16 | 1,035,000 | 1,052,347 | ||
5.365% 3/1/17 | 395,000 | 408,549 | ||
5.665% 3/1/18 | 13,360,000 | 14,287,718 | ||
5.877% 3/1/19 | 44,605,000 | 48,723,826 | ||
Municipal Securities - continued | ||||
| Principal Amount (e) | Value | ||
Illinois Gen. Oblig.: - continued | ||||
Series 2013: | ||||
2.69% 12/1/17 | $ 3,365,000 | $ 3,352,583 | ||
3.14% 12/1/18 | 3,490,000 | 3,487,662 | ||
TOTAL MUNICIPAL SECURITIES (Cost $310,397,367) |
| |||
Foreign Government and Government Agency Obligations - 1.1% | ||||
| ||||
Arab Republic 5.875% 6/11/25 (h) | 380,000 | 367,232 | ||
Argentine Republic: | ||||
7% 10/3/15 | 300,000 | 299,800 | ||
7% 4/17/17 | 21,130,000 | 20,081,130 | ||
8.28% 12/31/33 | 525,764 | 538,908 | ||
8.75% 6/2/17 | 1,645,000 | 1,657,319 | ||
Azerbaijan Republic 4.75% 3/18/24 (h) | 760,000 | 725,800 | ||
Belarus Republic 8.95% 1/26/18 | 4,880,000 | 4,762,490 | ||
Brazilian Federative Republic: | ||||
4.25% 1/7/25 | 10,005,000 | 9,279,638 | ||
5.625% 1/7/41 | 14,565,000 | 12,962,850 | ||
7.125% 1/20/37 | 3,270,000 | 3,458,025 | ||
8.25% 1/20/34 | 3,535,000 | 4,144,788 | ||
Buenos Aires Province: | ||||
9.375% 9/14/18 (h) | 1,210,000 | 1,188,825 | ||
9.95% 6/9/21 | 960,000 | 936,000 | ||
10.875% 1/26/21 (Reg. S) | 3,645,000 | 3,590,325 | ||
City of Buenos Aires: | ||||
8.95% 2/19/21 (h) | 1,860,000 | 1,920,450 | ||
9.95% 3/1/17 (h) | 793,000 | 820,854 | ||
Colombian Republic: | ||||
5% 6/15/45 | 400,000 | 355,500 | ||
5.625% 2/26/44 | 550,000 | 534,188 | ||
6.125% 1/18/41 | 635,000 | 658,813 | ||
7.375% 9/18/37 | 745,000 | 877,238 | ||
10.375% 1/28/33 | 2,100,000 | 3,050,250 | ||
Congo Republic 4% 6/30/29 (f) | 4,360,501 | 3,750,031 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (h) | 1,250,000 | 1,146,875 | ||
5.625% 4/30/43 (h) | 490,000 | 396,900 | ||
7% 4/4/44 (h) | 1,450,000 | 1,355,750 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (h) | 410,000 | 422,813 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Croatia Republic: - continued | ||||
6% 1/26/24 (h) | $ 600,000 | $ 640,128 | ||
6.375% 3/24/21 (h) | 760,000 | 820,002 | ||
6.625% 7/14/20 (h) | 545,000 | 594,159 | ||
6.75% 11/5/19 (h) | 350,000 | 382,604 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6% 1/14/19 (h) | 325,000 | 329,875 | ||
6.25% 10/4/20 (h) | 1,355,000 | 1,371,938 | ||
6.25% 7/27/21 (h) | 360,000 | 360,900 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (n) | 2,950,000 | 2,854,125 | ||
5.5% 1/27/25 (h) | 710,000 | 702,900 | ||
5.875% 4/18/24 | 585,000 | 593,775 | ||
6.85% 1/27/45 (h) | 1,395,000 | 1,384,538 | ||
7.45% 4/30/44 (h) | 2,240,000 | 2,374,400 | ||
7.5% 5/6/21 (h) | 1,880,000 | 2,075,050 | ||
El Salvador Republic 7.625% 2/1/41 (h) | 250,000 | 236,250 | ||
Georgia Republic 6.875% 4/12/21 (h) | 720,000 | 752,400 | ||
Hungarian Republic: | ||||
5.375% 3/25/24 | 594,000 | 649,362 | ||
5.75% 11/22/23 | 910,000 | 1,014,650 | ||
7.625% 3/29/41 | 1,100,000 | 1,499,542 | ||
Indonesian Republic: | ||||
2.875% 7/8/21(Reg. S) | EUR | 2,400,000 | 2,659,496 | |
3.375% 4/15/23 (h) | 555,000 | 513,375 | ||
4.875% 5/5/21 (h) | 490,000 | 510,825 | ||
5.25% 1/17/42 (h) | 715,000 | 663,163 | ||
5.375% 10/17/23 | 400,000 | 420,000 | ||
5.875% 3/13/20 (h) | 385,000 | 423,019 | ||
5.875% 3/13/20 (Reg. S) | 2,450,000 | 2,691,938 | ||
6.625% 2/17/37 (h) | 950,000 | 1,021,250 | ||
6.75% 1/15/44 (h) | 490,000 | 542,087 | ||
7.75% 1/17/38 (h) | 2,270,000 | 2,752,375 | ||
8.5% 10/12/35 (Reg. S) | 2,060,000 | 2,657,400 | ||
Islamic Republic of Pakistan: | ||||
7.125% 3/31/16 (h) | 2,560,000 | 2,608,128 | ||
7.125% 3/31/16 (Reg. S) | 100,000 | 101,880 | ||
7.25% 4/15/19 (h) | 2,685,000 | 2,763,603 | ||
8.25% 4/15/24 (h) | 1,000,000 | 1,052,500 | ||
Ivory Coast 5.75% 12/31/32 | 3,150,000 | 2,835,504 | ||
Jamaican Government 7.875% 7/28/45 | 335,000 | 331,650 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Kazakhstan Republic: | ||||
5.125% 7/21/25 (h) | $ 915,000 | $ 893,269 | ||
6.5% 7/21/45 (h) | 645,000 | 622,425 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 2,486,250 | 2,461,388 | ||
5.45% 11/28/19 | 575,000 | 574,713 | ||
Moroccan Kingdom 4.25% 12/11/22 (h) | 600,000 | 604,020 | ||
Panamanian Republic: | ||||
6.7% 1/26/36 | 460,000 | 560,050 | ||
8.875% 9/30/27 | 335,000 | 469,000 | ||
9.375% 4/1/29 | 415,000 | 606,419 | ||
Peruvian Republic 4% 3/7/27 (f) | 1,360,000 | 1,360,000 | ||
Philippine Republic: | ||||
7.75% 1/14/31 | 665,000 | 962,588 | ||
9.5% 2/2/30 | 895,000 | 1,454,375 | ||
10.625% 3/16/25 | 260,000 | 414,050 | ||
Plurinational State of Bolivia: | ||||
5.95% 8/22/23 (h) | 485,000 | 501,975 | ||
5.95% 8/22/23 | 55,000 | 56,925 | ||
Provincia de Cordoba 12.375% 8/17/17 (h) | 1,990,000 | 2,014,875 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,100,000 | 1,068,595 | ||
Republic of Armenia: | ||||
6% 9/30/20 (h) | 1,756,000 | 1,673,292 | ||
7.15% 3/26/25 (h) | 720,000 | 688,464 | ||
Republic of Iceland 5.875% 5/11/22 (h) | 560,000 | 635,085 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 4,000,000 | 3,055,728 | ||
Republic of Nigeria 5.125% 7/12/18 (h) | 930,000 | 906,285 | ||
Republic of Serbia: | ||||
5.875% 12/3/18 (h) | 1,430,000 | 1,505,504 | ||
6.75% 11/1/24 (h) | 2,196,478 | 2,223,933 | ||
7.25% 9/28/21 (h) | 1,450,000 | 1,638,245 | ||
Romanian Republic: | ||||
4.375% 8/22/23 (h) | 706,000 | 735,864 | ||
6.125% 1/22/44 (h) | 852,000 | 994,199 | ||
Russian Federation: | ||||
4.875% 9/16/23 (h) | 1,135,000 | 1,085,491 | ||
5% 4/29/20 (h) | 625,000 | 629,638 | ||
5.625% 4/4/42 (h) | 400,000 | 362,521 | ||
5.875% 9/16/43 (h) | 1,700,000 | 1,583,040 | ||
7.5% 3/31/30 (Reg. S) | 535,625 | 627,120 | ||
12.75% 6/24/28 (Reg. S) | 5,345,000 | 8,188,273 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
South African Republic: | ||||
5.875% 9/16/25 | $ 1,235,000 | $ 1,333,523 | ||
6.25% 3/8/41 | 500,000 | 550,190 | ||
Turkish Republic: | ||||
3.25% 3/23/23 | 245,000 | 223,163 | ||
4.875% 4/16/43 | 640,000 | 562,368 | ||
5.125% 3/25/22 | 315,000 | 324,986 | ||
5.625% 3/30/21 | 965,000 | 1,024,955 | ||
6.25% 9/26/22 | 680,000 | 743,936 | ||
6.75% 4/3/18 | 565,000 | 616,856 | ||
6.75% 5/30/40 | 975,000 | 1,082,601 | ||
6.875% 3/17/36 | 1,795,000 | 2,013,236 | ||
7% 3/11/19 | 685,000 | 761,446 | ||
7.25% 3/5/38 | 1,150,000 | 1,347,685 | ||
7.375% 2/5/25 | 1,170,000 | 1,372,995 | ||
7.5% 11/7/19 | 1,215,000 | 1,385,756 | ||
8% 2/14/34 | 570,000 | 712,728 | ||
11.875% 1/15/30 | 630,000 | 1,032,494 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h) | 790,000 | 556,316 | ||
Ukraine Government: | ||||
7.8% 11/28/22 (h) | 1,870,000 | 1,338,172 | ||
9.25% 7/24/17 (h) | 1,595,000 | 1,139,628 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.75% 1/22/17 | GBP | 1,380,000 | 2,152,546 | |
3.25% 1/22/44 | GBP | 1,600,000 | 2,789,279 | |
4.5% 9/7/34 | GBP | 1,835,000 | 3,701,097 | |
United Mexican States: | ||||
4.6% 1/23/46 | 695,000 | 634,188 | ||
4.75% 3/8/44 | 13,812,000 | 12,879,690 | ||
5.55% 1/21/45 | 650,000 | 679,250 | ||
6.05% 1/11/40 | 1,366,000 | 1,529,920 | ||
6.75% 9/27/34 | 650,000 | 791,375 | ||
United Republic of Tanzania 6.3971% 3/9/20 (n) | 205,000 | 202,950 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,130,000 | 1,473,238 | ||
Venezuelan Republic: | ||||
5.75% 2/26/16 (Reg S.) | 7,620,000 | 6,057,900 | ||
9% 5/7/23 (Reg. S) | 695,000 | 254,023 | ||
9.25% 9/15/27 | 1,250,000 | 523,750 | ||
9.25% 5/7/28 (Reg. S) | 480,000 | 175,920 | ||
11.75% 10/21/26 (Reg. S) | 1,115,000 | 461,053 | ||
11.95% 8/5/31 (Reg. S) | 3,855,000 | 1,595,970 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (e) | Value | ||
Venezuelan Republic: - continued | ||||
12.75% 8/23/22 | $ 2,000,000 | $ 932,000 | ||
Vietnamese Socialist Republic: | ||||
1.2139% 3/12/16 (n) | 256,522 | 252,995 | ||
4% 3/12/28 (f) | 5,357,917 | 5,163,692 | ||
4.8% 11/19/24 (h) | 1,000,000 | 960,000 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $228,712,522) |
| |||
Supranational Obligations - 0.0% | ||||
| ||||
European Investment Bank 1.75% 9/15/45(Reg. S) | EUR | 65,000 |
|
Common Stocks - 0.0% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 846,728 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 2,680,932 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
FairPoint Communications, Inc. (a) | 19,400 | 317,384 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E, | 1 | 134,408 | |
TOTAL TELECOMMUNICATION SERVICES | 451,792 | ||
TOTAL COMMON STOCKS (Cost $5,726,831) |
| ||
Preferred Stocks - 0.1% | |||
Shares | Value | ||
Convertible Preferred Stocks - 0.0% | |||
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D 7.00% | 9,000 | $ 246,094 | |
FelCor Lodging Trust, Inc. Series A, 1.95% | 18,000 | 458,100 | |
| 704,194 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
FINANCIALS - 0.1% | |||
Real Estate Investment Trusts - 0.1% | |||
Alexandria Real Estate Equities, Inc. Series E, 6.45% | 15,000 | 391,500 | |
Annaly Capital Management, Inc.: | |||
Series C, 7.625% | 27,600 | 680,340 | |
Series D, 7.50% | 5,942 | 145,520 | |
Boston Properties, Inc. 5.25% | 17,500 | 432,950 | |
CBL & Associates Properties, Inc.: | |||
Series D, 7.375% | 7,720 | 195,702 | |
Series E, 6.625% | 25,000 | 624,750 | |
Cedar Shopping Centers, Inc. Series B, 7.25% | 10,000 | 251,800 | |
Corporate Office Properties Trust Series L, 7.375% | 12,221 | 317,868 | |
CYS Investments, Inc. Series B, 7.50% | 21,700 | 479,787 | |
DDR Corp. Series K, 6.25% | 17,823 | 445,575 | |
Digital Realty Trust, Inc. Series E, 7.00% | 10,000 | 258,000 | |
Equity Lifestyle Properties, Inc. Series C, 6.75% | 22,449 | 577,164 | |
Essex Property Trust, Inc. Series H, 7.125% | 9,354 | 241,801 | |
First Potomac Realty Trust 7.75% | 15,000 | 381,000 | |
Hersha Hospitality Trust Series B, 8.00% | 13,844 | 353,160 | |
Hospitality Properties Trust Series D, 7.125% | 10,000 | 263,000 | |
LaSalle Hotel Properties Series H, 7.50% | 10,000 | 258,400 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 552,600 | |
PS Business Parks, Inc.: | |||
Series R, 6.875% | 10,000 | 253,800 | |
Series S, 6.45% | 21,000 | 547,050 | |
Public Storage: | |||
Series P, 6.50% | 12,000 | 305,880 | |
Series R, 6.35% | 10,500 | 272,580 | |
Series S, 5.90% | 20,000 | 508,800 | |
Realty Income Corp. Series F, 6.625% | 12,000 | 318,960 | |
Regency Centers Corp. Series 6, 6.625% | 5,510 | 143,536 | |
Retail Properties America, Inc. 7.00% | 24,109 | 614,780 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 464,964 | |
Stag Industrial, Inc. Series A, 9.00% | 20,000 | 551,200 | |
Preferred Stocks - continued | |||
Shares | Value | ||
Nonconvertible Preferred Stocks - continued | |||
FINANCIALS - continued | |||
Real Estate Investment Trusts - continued | |||
Sun Communities, Inc. Series A, 7.125% | 34,260 | $ 880,482 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 288,325 | |
| 12,001,274 | ||
TOTAL PREFERRED STOCKS (Cost $12,416,231) |
|
Bank Loan Obligations - 5.3% | ||||
| Principal Amount (e) |
| ||
CONSUMER DISCRETIONARY - 1.8% | ||||
Auto Components - 0.0% | ||||
Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (n) | $ 1,490,472 | 1,453,583 | ||
North American Lifting Holdings, Inc.: | ||||
Tranche 1LN, term loan 5.5% 11/27/20 (n) | 4,635,496 | 4,380,544 | ||
Tranche 2LN, term loan 10% 11/27/21 (n) | 1,594,000 | 1,442,570 | ||
Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (n) | 1,041,398 | 1,034,025 | ||
| 8,310,722 | |||
Automobiles - 0.0% | ||||
Chrysler Group LLC term loan 3.25% 12/31/18 (n) | 1,287,594 | 1,281,968 | ||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (n) | 1,284,463 | 1,277,399 | ||
Diversified Consumer Services - 0.2% | ||||
Bright Horizons Family Solutions Tranche B 2LN, term loan 4.2506% 1/30/20 (n) | 1,497,475 | 1,497,475 | ||
Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (n) | 1,087,423 | 1,085,477 | ||
Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (n) | 5,283,450 | 5,205,836 | ||
Creative Artists Agency LLC Tranche B, term loan 5.5% 12/17/21 (n) | 3,932,240 | 3,956,817 | ||
KC Mergersub, Inc.: | ||||
Tranche 1LN, term loan 6% 8/13/22 (n) | 2,500,000 | 2,450,000 | ||
Tranche L 2LN, term loan 10.25% 8/13/23 (n) | 1,000,000 | 980,000 | ||
Laureate Education, Inc. Tranche B, term loan 5% 6/16/18 (n) | 15,849,926 | 14,552,292 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Diversified Consumer Services - continued | ||||
Nord Anglia Education Tranche B, term loan 4.5% 3/31/21 (n) | $ 5,965,779 | $ 5,921,035 | ||
The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (n) | 2,834,462 | 2,818,277 | ||
Wash Multifamily Acquisition, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 5/14/22 (n) | 915,000 | 905,850 | ||
Tranche B 2LN, term loan 8% 5/14/23 (n) | 360,000 | 360,000 | ||
William Morris Endeavor Entertainment, LLC. Tranche B 1LN, term loan 5.25% 5/6/21 (n) | 745,236 | 741,510 | ||
| 40,474,569 | |||
Hotels, Restaurants & Leisure - 0.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (n) | 3,524,276 | 3,387,710 | ||
American Casino & Entertainment Properties LLC Tranche B, term loan 5% 7/7/22 (n) | 1,500,000 | 1,503,750 | ||
Aristocrat International (Pty) Ltd. Tranche B, term loan 4.75% 10/20/21 (n) | 5,515,708 | 5,532,255 | ||
Belmond Interfin Ltd. Tranche B, term loan 4% 3/21/21 (n) | 2,273,489 | 2,258,324 | ||
Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (n) | 2,856,793 | 2,852,508 | ||
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (n) | 7,028,323 | 6,697,008 | ||
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (n) | 17,116,415 | 14,834,284 | ||
CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (n) | 2,451,144 | 2,448,840 | ||
CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (n) | 1,573,000 | 1,569,068 | ||
ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 7/24/20 (n) | 3,764,000 | 3,757,714 | ||
Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (n) | 2,305,000 | 2,305,000 | ||
Equinox Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.75% 8/1/20 (n) | 903,000 | 915,037 | ||
Tranche B 1LN, term loan 5% 2/1/20 (n) | 4,617,678 | 4,614,815 | ||
ESH Hospitality, Inc. Tranche B, term loan 5% 6/24/19 (n) | 1,285,062 | 1,293,903 | ||
Four Seasons Holdings, Inc.: | ||||
Tranche 2LN, term loan 6.25% 12/27/20 (n) | 3,037,000 | 3,037,000 | ||
Tranche B 1LN, term loan 3.5% 6/27/20 (n) | 5,140,410 | 5,099,698 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Golden Nugget, Inc. Tranche B, term loan: | ||||
5.5% 11/21/19 (n) | $ 5,193,455 | $ 5,196,726 | ||
5.5% 11/21/19 (n) | 2,225,348 | 2,226,750 | ||
Graton Economic Development Authority Tranche B, term loan 4.75% 8/5/22 (n) | 5,100,000 | 5,100,000 | ||
Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (n) | 6,905,978 | 6,890,854 | ||
La Quinta Intermediate Holdings LLC Tranche B LN, Tranche B, term loan 3.75% 4/14/21 (n) | 5,574,271 | 5,557,994 | ||
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (n) | 3,682,168 | 3,685,445 | ||
Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (n) | 566,375 | 563,050 | ||
LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (n) | 3,020,000 | 2,994,511 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (n) | 1,923,138 | 1,905,349 | ||
Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 11/19/19 (n) | 5,332,010 | 5,278,690 | ||
NCL Corp. Ltd. Tranche B, term loan 4% 11/19/21 (n) | 347,200 | 347,054 | ||
Planet Fitness Holdings, LLC. Tranche B, term loan 4.75% 3/31/21 (n) | 2,572,141 | 2,568,926 | ||
Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (n) | 2,397,797 | 2,382,811 | ||
Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (n) | 3,398,622 | 3,415,615 | ||
Scientific Games Corp.: | ||||
Tranche B 2LN, term loan 6% 10/1/21 (n) | 14,058,355 | 13,886,984 | ||
Tranche B, term loan 6% 10/18/20 (n) | 511,404 | 505,364 | ||
SMG Tranche B 1LN, term loan 4.5% 2/27/20 (n) | 1,621,768 | 1,611,632 | ||
Station Casinos LLC Tranche B, term loan 4.25% 3/1/20 (n) | 3,044,898 | 3,037,286 | ||
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (n) | 1,975,000 | 1,975,000 | ||
Town Sports International LLC Tranche B, term loan 4.5% 11/15/20 (n) | 2,131,182 | 1,502,483 | ||
Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (n) | 1,512,304 | 1,502,217 | ||
Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (n) | 501,980 | 490,268 | ||
| 134,731,923 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.0% | ||||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (n) | $ 2,119,133 | $ 2,099,277 | ||
Leisure Products - 0.0% | ||||
SRAM LLC. Tranche B, term loan 4.0205% 4/10/20 (n) | 2,920,929 | 2,818,697 | ||
Media - 0.5% | ||||
Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (n) | 2,992,500 | 2,956,979 | ||
CDS U.S. Intermediate Holdings, Inc.: | ||||
Tranche B 1LN, term loan 5% 7/8/22 (n) | 1,255,000 | 1,253,431 | ||
Tranche B 2LN, term loan 9.25% 7/8/23 (n) | 465,000 | 459,769 | ||
Cengage Learning Acquisitions, Inc. Tranche 1LN, term loan 7% 3/31/20 (n) | 4,211,365 | 4,201,511 | ||
Charter Communications Operating LLC: | ||||
Tranche E, term loan 3% 7/1/20 (n) | 1,493,381 | 1,479,253 | ||
Tranche F, term loan 3% 1/3/21 (n) | 6,767,749 | 6,698,380 | ||
Tranche H, term loan 3.25% 8/24/21 (n) | 1,000,000 | 996,940 | ||
Tranche I, term loan 3.5% 1/24/23 (n) | 6,335,000 | 6,320,746 | ||
Clear Channel Communications, Inc. Tranche D, term loan 6.948% 1/30/19 (n) | 14,695,000 | 12,949,969 | ||
CSC Holdings LLC Tranche B, term loan 2.698% 4/17/20 (n) | 1,305,622 | 1,286,861 | ||
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (n) | 6,471,811 | 4,081,836 | ||
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (n) | 3,000,000 | 2,962,500 | ||
ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (n) | 1,497,475 | 1,493,731 | ||
Karman Buyer Corp.: | ||||
Tranche 1LN, term loan 4.25% 7/25/21 (n) | 3,681,201 | 3,636,585 | ||
Tranche 2LN, term loan 7.5% 7/25/22 (n) | 1,880,000 | 1,822,660 | ||
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 4.5% 1/7/22 (n) | 1,620,000 | 1,572,745 | ||
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 4.75% 3/22/19 (n) | 1,952,153 | 1,952,641 | ||
McGraw-Hill School Education Tranche B, term loan 6.25% 12/18/19 (n) | 1,853,591 | 1,848,957 | ||
Numericable LLC: | ||||
Tranche B 1LN, term loan 4% 7/20/22 (n) | 1,000,000 | 995,140 | ||
Tranche B 1LN, term loan 4.5% 5/8/20 (n) | 5,809,355 | 5,803,139 | ||
Tranche B 2LN, term loan 4.5% 5/8/20 (n) | 5,025,944 | 5,020,566 | ||
Proquest LLC Tranche B, term loan 5.25% 10/24/21 (n) | 2,995,927 | 2,994,069 | ||
Regal Cinemas Corp. Tranche B, term loan 3.75% 4/1/22 (n) | 1,000,000 | 998,750 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (n) | $ 10,885,086 | $ 10,789,841 | ||
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (n) | 2,577,423 | 2,557,293 | ||
UPC Broadband Holding BV Tranche AH, term loan 3.25% 6/30/21 (n) | 1,355,000 | 1,334,431 | ||
Virgin Media Investment Holdings Ltd. Tranche B, term loan 3.5% 6/30/23 (n) | 1,013,348 | 1,001,046 | ||
WideOpenWest Finance LLC Tranche B, term loan 4.5% 4/1/19 (n) | 997,500 | 993,600 | ||
WMG Acquisition Corp. term loan 3.75% 7/1/20 (n) | 1,480,466 | 1,449,628 | ||
Ziggo B.V.: | ||||
Tranche B 1LN, term loan 3.5% 1/15/22 (n) | 1,391,000 | 1,371,150 | ||
Tranche B 2LN, term loan 3.5% 1/15/22 (n) | 897,000 | 884,200 | ||
Tranche B 3LN, term loan 3.5% 1/15/22 (n) | 1,475,000 | 1,453,952 | ||
| 95,622,299 | |||
Multiline Retail - 0.2% | ||||
Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 3/9/22 (n) | 4,000,000 | 4,000,000 | ||
JC Penney Corp., Inc. Tranche B, term loan: | ||||
5% 6/20/19 (n) | 3,292,869 | 3,278,875 | ||
6% 5/22/18 (n) | 15,590,789 | 15,546,979 | ||
Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (n) | 6,132,790 | 6,046,931 | ||
| 28,872,785 | |||
Specialty Retail - 0.2% | ||||
Academy Ltd. Tranche B, term loan 5% 7/2/22 (n) | 4,500,000 | 4,477,500 | ||
Davids Bridal, Inc. Tranche B, term loan 5.25% 10/11/19 (n) | 1,882,000 | 1,793,791 | ||
General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (n) | 1,646,368 | 1,628,884 | ||
J. Crew Group, Inc. Tranche B LN, term loan 4% 3/5/21 (n) | 7,355,193 | 5,694,170 | ||
Party City Holdings, Inc. Tranche B, term loan 8/19/22 (s) | 3,655,000 | 3,648,165 | ||
PETCO Animal Supplies, Inc. term loan 4% 11/24/17 (n) | 1,344,958 | 1,341,596 | ||
PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (n) | 11,214,893 | 11,191,566 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (n) | $ 3,137,000 | $ 2,670,371 | ||
Staples, Inc. Tranche B, term loan 4/24/21 (s) | 3,000,000 | 2,985,000 | ||
| 35,431,043 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Calceus Acquisition, Inc. Tranche B 1LN, term loan 5% 2/1/20 (n) | 1,474,714 | 1,405,889 | ||
Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (n) | 2,445,180 | 2,448,236 | ||
Polymer Group, Inc. Tranche B, term loan 5.25% 12/19/19 (n) | 4,026,009 | 4,026,009 | ||
| 7,880,134 | |||
TOTAL CONSUMER DISCRETIONARY | 358,800,816 | |||
CONSUMER STAPLES - 0.4% | ||||
Beverages - 0.0% | ||||
Blue Ribbon LLC: | ||||
Tranche 2LN, term loan 9.25% 11/13/22 (n) | 1,332,000 | 1,308,690 | ||
Tranche B 1LN, term loan 5.75% 11/13/21 (n) | 6,357,861 | 6,353,919 | ||
| 7,662,609 | |||
Food & Staples Retailing - 0.3% | ||||
Albertson's LLC: | ||||
Tranche B 2LN, term loan 5.375% 3/21/19 (n) | 3,736,436 | 3,732,625 | ||
Tranche B 3LN, term loan 5% 8/25/19 (n) | 1,693,236 | 1,692,186 | ||
Tranche B 4LN, term loan 5.5% 8/25/21 (n) | 15,960,260 | 15,956,270 | ||
BJ's Wholesale Club, Inc.: | ||||
Tranche 2LN, term loan 8.5% 3/31/20 (n) | 653,000 | 646,470 | ||
Tranche B 1LN, term loan 4.5% 9/26/19 (n) | 5,968,867 | 5,941,828 | ||
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (n) | 1,478,476 | 1,452,603 | ||
GOBP Holdings, Inc.: | ||||
Tranche 2LN, term loan 9.25% 10/21/22 (n) | 1,129,000 | 1,120,533 | ||
Tranche B 1LN, term loan 4.75% 10/21/21 (n) | 3,428,800 | 3,412,719 | ||
Performance Food Group, Inc. Tranche 2LN, term loan 6.25% 11/14/19 (n) | 6,695,838 | 6,695,838 | ||
Shearer's Foods, Inc.: | ||||
Tranche 2LN, term loan 7.75% 6/30/22 (n) | 2,913,000 | 2,854,740 | ||
Tranche B 1LN, term loan 4.5% 6/30/21 (n) | 3,400,867 | 3,362,607 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (n) | $ 2,378,000 | $ 2,367,608 | ||
SUPERVALU, Inc. Tranche B, term loan 4.5% 3/21/19 (n) | 1,118,958 | 1,121,577 | ||
| 50,357,604 | |||
Food Products - 0.1% | ||||
AdvancePierre Foods, Inc. Tranche 2LN, term loan 9.5% 10/10/17 (n) | 1,481,000 | 1,486,554 | ||
Ferrara Candy Co., Inc. Tranche B, term loan 7.5% 6/18/18 (n) | 2,119,101 | 2,111,154 | ||
Hostess Brands LLC: | ||||
Tranche B 1LN, term loan 4.5% 8/3/22 (n) | 1,070,000 | 1,069,668 | ||
Tranche B 2LN, term loan 8.5% 8/3/23 (n) | 125,000 | 125,156 | ||
JBS U.S.A. LLC Tranche B, term loan 8/18/22 (s) | 3,540,000 | 3,524,530 | ||
Post Holdings, Inc. Tranche B, term loan 3.75% 6/2/21 (n) | 480,696 | 479,696 | ||
| 8,796,758 | |||
Household Products - 0.0% | ||||
Sun Products Corp. Tranche B, term loan 5.5% 3/23/20 (n) | 2,429,444 | 2,335,303 | ||
Personal Products - 0.0% | ||||
Prestige Brands, Inc. Tranche B 3LN, term loan 3.5088% 9/3/21 (n) | 289,703 | 289,040 | ||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (n) | 2,652,718 | 2,641,125 | ||
| 2,930,165 | |||
TOTAL CONSUMER STAPLES | 72,082,439 | |||
ENERGY - 0.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (n) | 8,938,420 | 6,435,663 | ||
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (n) | 4,106,261 | 3,161,821 | ||
Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (n) | 6,113,277 | 5,058,737 | ||
Floatel International Ltd. Tranche B, term loan 6% 6/27/20 (n) | 2,328,212 | 1,639,061 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Energy Equipment & Services - continued | ||||
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (n) | $ 2,112,223 | $ 1,522,554 | ||
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (n) | 1,114,343 | 759,425 | ||
Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (n) | 417,737 | 325,835 | ||
| 18,903,096 | |||
Oil, Gas & Consumable Fuels - 0.3% | ||||
Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.75% 6/20/21 (n) | 978,701 | 972,281 | ||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (n) | 1,468,469 | 1,468,469 | ||
Chelsea Petroleum Products I LLC Tranche B, term loan 7/22/22 (s) | 2,385,000 | 2,346,244 | ||
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (n) | 4,612,000 | 3,973,238 | ||
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (n) | 2,453,505 | 2,458,608 | ||
Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (n) | 533,313 | 531,479 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 7% 6/19/19 (n) | 5,952,913 | 5,446,916 | ||
Energy Transfer Equity LP Tranche C, term loan 4% 12/2/19 (n) | 1,937,824 | 1,908,155 | ||
Fieldwood Energy, LLC: | ||||
Tranche 2LN, term loan 8.375% 9/30/20 (n) | 4,629,000 | 1,747,448 | ||
Tranche B 1LN, term loan 3.875% 9/30/18 (n) | 1,833,674 | 1,603,328 | ||
Foresight Energy LLC Tranche B, term loan 5.5% 8/23/20 (n) | 1,105,000 | 1,051,595 | ||
Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (n) | 5,856,496 | 5,622,236 | ||
Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (n) | 9,096,000 | 8,777,640 | ||
Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (n) | 521,367 | 517,889 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (n) | 3,767,028 | 3,578,677 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (n) | 1,020,000 | 951,150 | ||
Peabody Energy Corp. Tranche B, term loan 4.25% 9/24/20 (n) | 6,895,944 | 5,062,795 | ||
Penn Products Terminals LLC Tranche B, term loan 4.75% 4/13/22 (n) | 1,291,763 | 1,278,845 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sheridan Investment Partners I term loan 4.25% 12/16/20 (n) | $ 3,004,343 | $ 2,343,388 | ||
Sheridan Investment Partners I, LLC: | ||||
Tranche B 2LN, term loan 4.25% 10/1/19 (n) | 3,477,061 | 2,746,878 | ||
Tranche B, term loan 4.25% 10/1/18 (n) | 727,481 | 571,072 | ||
Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (n) | 155,414 | 121,223 | ||
Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (n) | 1,717,327 | 1,640,047 | ||
Targa Resources Corp. term loan 5.75% 2/27/22 (n) | 1,470,512 | 1,468,673 | ||
TPF II Power, LLC Tranche B, term loan 5.5% 10/2/21 (n) | 1,804,221 | 1,805,718 | ||
Western Refining, Inc. Tranche B, term loan 4.25% 11/12/20 (n) | 837,747 | 832,512 | ||
| 60,826,504 | |||
TOTAL ENERGY | 79,729,600 | |||
FINANCIALS - 0.2% | ||||
Capital Markets - 0.0% | ||||
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (n) | 931,384 | 925,563 | ||
IBC Capital U.S. LLC: | ||||
Tranche 2LN, term loan 8% 11/15/22 (n) | 2,505,000 | 2,436,113 | ||
Tranche B 1LN, term loan 4.75% 11/15/21 (n) | 1,989,015 | 1,924,372 | ||
| 5,286,048 | |||
Consumer Finance - 0.0% | ||||
Flying Fortress Holdings, Inc. Tranche B, term loan 3.5% 4/30/20 (n) | 2,000,000 | 1,998,760 | ||
Diversified Financial Services - 0.1% | ||||
Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (n) | 1,618,000 | 1,615,169 | ||
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (n) | 634,249 | 604,122 | ||
TransUnion LLC Tranche B 2LN, term loan 3.75% 4/9/21 (n) | 8,004,735 | 7,937,175 | ||
| 10,156,466 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Insurance - 0.0% | ||||
Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (n) | $ 2,500,000 | $ 2,489,075 | ||
HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (n) | 690,000 | 681,665 | ||
| 3,170,740 | |||
Real Estate Management & Development - 0.1% | ||||
CityCenter 8.74% 7/12/16 (n) | 331,828 | 331,828 | ||
DTZ U.S. Borrower LLC: | ||||
Tranche 2LN, term loan 9.25% 11/4/22 (n) | 1,882,000 | 1,886,705 | ||
Tranche B 1LN, term loan 11/4/21 (s) | 500,000 | 494,585 | ||
Tranche B 1LN, term loan 5.5% 11/4/21 (n) | 3,745,180 | 3,704,620 | ||
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (n) | 16,957 | 16,788 | ||
Realogy Group LLC Tranche B, term loan 3.75% 3/5/20 (n) | 8,718,645 | 8,685,950 | ||
| 15,120,476 | |||
Thrifts & Mortgage Finance - 0.0% | ||||
Ocwen Loan Servicing, LLC Tranche B, term loan 5% 2/15/18 (n) | 3,523,844 | 3,499,318 | ||
TOTAL FINANCIALS | 39,231,808 | |||
HEALTH CARE - 0.4% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (n) | 1,490,000 | 1,488,972 | ||
DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (n) | 1,150,000 | 1,143,100 | ||
Hill-Rom Holdings, Inc. Tranche B, term loan 7/30/22 (s) | 1,500,000 | 1,500,315 | ||
| 4,132,387 | |||
Health Care Providers & Services - 0.2% | ||||
AmSurg Corp. Tranche B, term loan 3.75% 7/16/21 (n) | 2,426,568 | 2,423,851 | ||
Community Health Systems, Inc.: | ||||
Tranche F, term loan 3.5749% 12/31/18 (n) | 997,500 | 996,253 | ||
Tranche G, term loan 3.75% 12/31/19 (n) | 1,980,760 | 1,977,056 | ||
Tranche H, term loan 4% 1/27/21 (n) | 7,019,240 | 7,032,015 | ||
Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (n) | 1,000,000 | 996,670 | ||
Dialysis Newco, Inc.: | ||||
Tranche 2LN, term loan 7.75% 10/22/21 (n) | 1,882,000 | 1,898,468 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Dialysis Newco, Inc.: - continued | ||||
Tranche B 1LN, term loan 4.5% 4/23/21 (n) | $ 4,105,266 | $ 4,088,147 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (n) | 1,887,166 | 1,884,335 | ||
Genesis HealthCare Corp. Tranche B, term loan 10% 12/4/17 (n) | 2,152,000 | 2,184,280 | ||
HCA Holdings, Inc.: | ||||
Tranche B 4LN, term loan 3.0318% 5/1/18 (n) | 2,620,663 | 2,615,107 | ||
Tranche B 5LN, term loan 2.948% 3/31/17 (n) | 4,331,954 | 4,321,688 | ||
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (n) | 5,550,018 | 5,272,517 | ||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (n) | 5,635,000 | 5,596,964 | ||
Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (n) | 2,567,035 | 2,562,235 | ||
MPH Acquisition Holdings LLC Tranche B, term loan 3.75% 3/31/21 (n) | 455,448 | 449,400 | ||
Quintiles Transnational Corp. Tranche B, term loan 3.25% 5/12/22 (n) | 590,000 | 588,525 | ||
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (n) | 227,855 | 227,570 | ||
U.S. Renal Care, Inc.: | ||||
Tranche 2LN, term loan 8.5% 1/3/20 (n) | 540,000 | 540,675 | ||
Tranche B 2LN, term loan 4.25% 7/3/19 (n) | 1,638,661 | 1,633,204 | ||
| 47,288,960 | |||
Life Sciences Tools & Services - 0.0% | ||||
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (n) | 7,100,141 | 7,012,525 | ||
Pharmaceuticals - 0.2% | ||||
Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (n) | 1,451,625 | 1,444,367 | ||
Concordia Healthcare Corp. Tranche B, term loan 4.75% 4/21/22 (n) | 730,000 | 730,460 | ||
Endo Luxembourg Finance I Comp Tranche B, term loan 3.25% 2/28/21 (n) | 1,780,800 | 1,780,355 | ||
Endo Pharmaceuticals, Inc. Tranche B, term loan 6/24/22 (s) | 3,000,000 | 2,999,460 | ||
Genoa, a QoL Healthcare Co. LLC: | ||||
Tranche 1LN, term loan 4.5% 4/30/22 (n) | 1,510,000 | 1,507,176 | ||
Tranche 2LN, term loan 8.75% 4/30/23 (n) | 1,000,000 | 1,000,000 | ||
Grifols, S.A. Tranche B, term loan 3.198% 2/27/21 (n) | 1,486,474 | 1,483,263 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (n) | $ 1,065,000 | $ 1,063,669 | ||
Pharmedium Healthcare Corp.: | ||||
Tranche 2LN, term loan 7.75% 1/28/22 (n) | 2,625,000 | 2,615,156 | ||
Tranche B 1LN, term loan 4.25% 1/28/21 (n) | 8,199,843 | 8,111,038 | ||
PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (n) | 3,811,711 | 3,807,899 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
Tranche BD 2LN, term loan 3.5% 2/13/19 (n) | 1,882,000 | 1,875,131 | ||
Tranche E, term loan 3.75% 8/5/20 (n) | 1,882,000 | 1,875,526 | ||
| 30,293,500 | |||
TOTAL HEALTH CARE | 88,727,372 | |||
INDUSTRIALS - 0.5% | ||||
Aerospace & Defense - 0.1% | ||||
DigitalGlobe, Inc. Tranche B, term loan 3.75% 1/31/20 (n) | 509,394 | 506,633 | ||
Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (n) | 271,338 | 269,302 | ||
Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (n) | 2,017,819 | 2,014,449 | ||
TransDigm, Inc.: | ||||
Tranche C, term loan 3.75% 2/28/20 (n) | 3,666,862 | 3,626,930 | ||
Tranche D, term loan 3.75% 6/4/21 (n) | 6,073,277 | 6,004,953 | ||
| 12,422,267 | |||
Airlines - 0.0% | ||||
American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (n) | 1,985,000 | 1,968,465 | ||
U.S. Airways, Inc. Tranche B 1LN, term loan 3.5% 5/23/19 (n) | 1,567,010 | 1,557,216 | ||
| 3,525,681 | |||
Building Products - 0.1% | ||||
GYP Holdings III Corp.: | ||||
Tranche 1LN, term loan 4.75% 4/1/21 (n) | 7,013,682 | 6,851,526 | ||
Tranche 2LN, term loan 7.75% 4/1/22 (n) | 1,260,000 | 1,232,444 | ||
Jeld-Wen, Inc. Tranche B, term loan 5% 7/1/22 (n) | 1,000,000 | 996,880 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Building Products - continued | ||||
LBM Borrower LLC Tranche B 1LN, term loan 7.5% 8/20/22 (n) | $ 6,615,000 | $ 6,482,700 | ||
Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (n) | 872,582 | 862,547 | ||
| 16,426,097 | |||
Commercial Services & Supplies - 0.1% | ||||
ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (n) | 3,598,919 | 3,562,930 | ||
ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (n) | 1,493,438 | 1,486,509 | ||
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (n) | 4,886,176 | 4,389,399 | ||
Garda World Security Corp.: | ||||
term loan 4.0032% 11/8/20 (n) | 3,213,302 | 3,159,737 | ||
Tranche DD, term loan 4.0032% 11/8/20 (n) | 750,389 | 737,880 | ||
Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (n) | 7,261,424 | 6,989,120 | ||
Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (n) | 2,145,000 | 2,131,594 | ||
Metal Services LLC Tranche B, term loan 6% 6/30/17 (n) | 1,111,359 | 1,101,167 | ||
Redtop Acquisitions Ltd. Tranche 2LN, term loan 8.25% 6/3/21 (n) | 612,889 | 607,784 | ||
The Brickman Group, Ltd.: | ||||
Tranche 2LN, term loan 7.5% 12/18/21 (n) | 560,000 | 546,700 | ||
Tranche B 1LN, term loan 4% 12/18/20 (n) | 4,421,612 | 4,349,053 | ||
WTG Holdings III Corp. Tranche B 1LN, term loan 4.75% 1/15/21 (n) | 555,182 | 551,018 | ||
| 29,612,891 | |||
Construction & Engineering - 0.1% | ||||
Drumm Investors LLC Tranche B, term loan 6.75% 5/4/18 (n) | 9,257,383 | 9,309,502 | ||
Ls Deco LLC Tranche B, term loan 5.5% 5/21/22 (n) | 3,250,000 | 3,266,250 | ||
| 12,575,752 | |||
Electrical Equipment - 0.0% | ||||
Atlantic Power Ltd. Partnership Tranche B LN, term loan 4.75% 2/24/21 (n) | 1,374,691 | 1,361,810 | ||
Machinery - 0.1% | ||||
Doosan Infracore, Inc. Tranche B, term loan 4.5% 5/28/21 (n) | 825,432 | 827,495 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Generac Power Systems, Inc. Tranche B, term loan 3.25% 5/31/20 (n) | $ 1,287,713 | $ 1,260,349 | ||
Mueller Water Products, Inc. Tranche B, term loan 4% 11/25/21 (n) | 1,520,360 | 1,520,360 | ||
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 4.25% 3/13/22 (n) | 2,973,548 | 2,969,206 | ||
Rexnord LLC Tranche B, term loan 4% 8/21/20 (n) | 3,449,756 | 3,413,534 | ||
The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (n) | 1,120,356 | 1,071,340 | ||
| 11,062,284 | |||
Marine - 0.0% | ||||
American Commercial Lines, Inc. Tranche B, term loan 7.5% 9/22/19 (n) | 2,205,718 | 2,197,446 | ||
Harvey Gulf International Tranche B, term loan 5.5% 6/18/20 (n) | 1,097,415 | 764,536 | ||
Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (n) | 2,036,582 | 2,031,491 | ||
| 4,993,473 | |||
Professional Services - 0.0% | ||||
AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (n) | 2,125,000 | 2,122,875 | ||
On Assignment, Inc. Tranche B, term loan 3.75% 6/5/22 (n) | 1,200,873 | 1,197,871 | ||
Research Now Group, Inc.: | ||||
Tranche 2LN, term loan 9.75% 3/18/22 (n) | 285,000 | 283,575 | ||
Tranche B 1LN, term loan 5.5% 3/18/21 (n) | 872,813 | 864,084 | ||
Science Applications International Corp. Tranche B, term loan 3.75% 5/4/22 (n) | 1,995,000 | 1,994,003 | ||
| 6,462,408 | |||
Road & Rail - 0.0% | ||||
Hertz Corp. Tranche B 2LN, term loan 3% 3/11/18 (n) | 1,123,254 | 1,112,022 | ||
YRC Worldwide, Inc. Tranche B, term loan 8.25% 2/13/19 (n) | 2,223,712 | 2,139,211 | ||
| 3,251,233 | |||
Trading Companies & Distributors - 0.0% | ||||
Fly Funding II Sarl Tranche B, term loan 3.5% 8/9/19 (n) | 2,343,787 | 2,330,615 | ||
TOTAL INDUSTRIALS | 104,024,511 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.0% | ||||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (n) | $ 1,752,721 | $ 1,742,871 | ||
Mitel U.S. Holdings, Inc. Tranche B, term loan 5% 4/29/22 (n) | 1,785,000 | 1,772,166 | ||
| 3,515,037 | |||
Electronic Equipment & Components - 0.1% | ||||
Carros U.S., LLC Tranche B, term loan 4.5% 9/30/21 (n) | 660,672 | 659,020 | ||
CPI Acquisition, Inc. Tranche B, term loan 8/14/22 (s) | 1,500,000 | 1,475,625 | ||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (n) | 4,955,498 | 4,808,617 | ||
Lux FinCo U.S. SPV: | ||||
Tranche 2LN, term loan 7/31/23 (s) | 670,000 | 665,813 | ||
Tranche B 1LN, term loan 7/31/22 (s) | 1,345,000 | 1,338,275 | ||
TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (n) | 4,330,000 | 4,091,850 | ||
| 13,039,200 | |||
Internet Software & Services - 0.0% | ||||
Datapipe, Inc. Tranche B 1LN, term loan 5.25% 3/15/19 (n) | 4,084,908 | 4,064,484 | ||
TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (n) | 946,343 | 939,245 | ||
TELX, Inc. Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 748,221 | 744,951 | ||
| 5,748,680 | |||
IT Services - 0.1% | ||||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (n) | 1,482,550 | 1,426,584 | ||
Computer Discount Warehouse (CDW) LLC, Tranche B, term loan 3.25% 4/29/20 (n) | 1,867,451 | 1,851,409 | ||
First Data Corp. term loan 3.7004% 3/24/17 (n) | 7,113,000 | 7,089,883 | ||
G.I. Peak Merger Sub Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/17/22 (n) | 515,000 | 489,250 | ||
Tranche B 1LN, term loan 5% 6/17/21 (n) | 1,164,121 | 1,158,300 | ||
WP Mustang Holdings, LLC.: | ||||
Tranche 2LN, term loan 8.5% 5/29/22 (n) | 752,000 | 729,440 | ||
Tranche B 1LN, term loan 5.5% 5/29/21 (n) | 880,553 | 874,503 | ||
| 13,619,369 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.0% | ||||
Avago Technologies, Inc. Tranche B, term loan 3.75% 5/6/21 (n) | $ 1,594,269 | $ 1,592,276 | ||
Freescale Semiconductor, Inc. Tranche B 4LN, term loan 4.25% 3/1/20 (n) | 2,673,001 | 2,668,831 | ||
NXP BV Tranche D, term loan 3.25% 1/11/20 (n) | 1,867,496 | 1,856,609 | ||
| 6,117,716 | |||
Software - 0.2% | ||||
Applied Systems, Inc.: | ||||
Tranche B 1LN, term loan 4.25% 1/23/21 (n) | 455,667 | 454,300 | ||
Tranche B 2LN, term loan 7.5% 1/23/22 (n) | 116,000 | 115,246 | ||
Blue Coat Systems, Inc. Tranche B, term loan 4.5% 5/22/22 (n) | 2,135,000 | 2,118,988 | ||
BMC Software Finance, Inc. Tranche B, term loan: | ||||
5% 9/10/20 (n) | 671,591 | 613,948 | ||
5% 9/10/20 (n) | 10,689,020 | 9,811,024 | ||
Epicor Software Corp. Tranche B, term loan 4.75% 6/1/22 (n) | 3,000,000 | 2,988,210 | ||
Hyland Software, Inc. Tranche B 1LN, term loan 4.75% 7/1/22 (n) | 180,000 | 179,494 | ||
Informatica Corp. Tranche B, term loan 4.5% 8/6/22 (n) | 985,000 | 978,026 | ||
Kronos, Inc.: | ||||
Tranche 2LN, term loan 9.75% 4/30/20 (n) | 12,974,594 | 13,179,982 | ||
Tranche B 1LN, term loan 4.5% 10/30/19 (n) | 3,680,000 | 3,678,859 | ||
Renaissance Learning, Inc.: | ||||
Tranche 1LN, term loan 4.5% 4/9/21 (n) | 3,726,134 | 3,629,887 | ||
Tranche 2LN, term loan 8% 4/9/22 (n) | 1,693,000 | 1,640,805 | ||
SS&C Technologies, Inc.: | ||||
Tranche B 1LN, term loan 4% 7/8/22 (n) | 3,210,762 | 3,213,042 | ||
Tranche B 2LN, term loan 4% 7/8/22 (n) | 520,179 | 520,549 | ||
Transfirst, Inc.: | ||||
Tranche 2LN, term loan 9% 11/12/22 (n) | 931,000 | 924,790 | ||
Tranche B 1LN, term loan 4.75% 11/12/21 (n) | 923,934 | 922,086 | ||
| 44,969,236 | |||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Technology Hardware, Storage & Peripherals - 0.1% | ||||
Dell International LLC Tranche B 2LN, term loan 4% 4/29/20 (n) | $ 14,733,075 | $ 14,645,119 | ||
Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (n) | 2,568,960 | 2,552,904 | ||
| 17,198,023 | |||
TOTAL INFORMATION TECHNOLOGY | 104,207,261 | |||
MATERIALS - 0.5% | ||||
Chemicals - 0.2% | ||||
A. Schulman, Inc. Tranche B, term loan 4% 6/1/22 (n) | 1,770,563 | 1,761,710 | ||
AgroFresh, Inc. Tranche B, term loan 5.75% 7/31/21 (n) | 2,500,000 | 2,496,875 | ||
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (n) | 1,117,357 | 1,106,183 | ||
Arizona Chem U.S., Inc.: | ||||
Tranche 2LN, term loan 7.5% 6/12/22 (n) | 781,000 | 772,800 | ||
Tranche B 1LN, term loan 4.5% 6/12/21 (n) | 625,180 | 623,505 | ||
Aruba Investments, Inc. Tranche B, term loan 4.5% 2/2/22 (n) | 992,015 | 987,055 | ||
Chromaflo Technologies Corp.: | ||||
Tranche 2LN, term loan 8.25% 6/2/20 (n) | 751,971 | 706,853 | ||
Tranche B 1LN, term loan 4.5% 12/2/19 (n) | 1,482,473 | 1,437,999 | ||
Eco Services Operations LLC Tranche B, term loan 4.75% 12/1/21 (n) | 2,210,890 | 2,199,836 | ||
Hilex Poly Co. LLC: | ||||
Tranche 2LN, term loan 9.75% 6/5/22 (n) | 1,129,000 | 1,126,178 | ||
Tranche B 1LN, term loan 6% 12/5/21 (n) | 4,108,355 | 4,094,222 | ||
MacDermid, Inc. Tranche B 2LN, term loan 4.75% 6/7/20 (n) | 1,113,206 | 1,112,860 | ||
Royal Holdings, Inc.: | ||||
Tranche B 1LN, term loan 4.5% 6/19/22 (n) | 2,135,000 | 2,125,222 | ||
Tranche B 2LN, term loan 8.5% 6/19/23 (n) | 500,000 | 498,125 | ||
Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (n) | 4,104,375 | 4,124,897 | ||
The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (n) | 2,410,000 | 2,322,638 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (n) | 1,620,000 | 1,615,140 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Chemicals - continued | ||||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (n) | $ 512,923 | $ 510,553 | ||
Univar, Inc. Tranche B, term loan 4% 7/1/22 (n) | 1,235,000 | 1,225,738 | ||
| 30,848,389 | |||
Containers & Packaging - 0.2% | ||||
Anchor Glass Container Corp. Tranche B, term loan 4.5% 7/1/22 (n) | 2,408,602 | 2,409,349 | ||
Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (n) | 4,754,924 | 4,731,150 | ||
Berlin Packaging, LLC: | ||||
Tranche 2LN, term loan 7.75% 10/1/22 (n) | 1,129,000 | 1,115,825 | ||
Tranche B 1LN, term loan 4.5% 10/1/21 (n) | 5,609,739 | 5,606,261 | ||
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (n) | 3,552,000 | 3,520,920 | ||
BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (n) | 2,175,494 | 2,175,494 | ||
Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (n) | 730,000 | 727,810 | ||
Charter NEX U.S. Holdings, Inc. Tranche 2LN, term loan 9.25% 2/5/23 (n) | 752,000 | 753,880 | ||
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (n) | 3,519,049 | 3,328,422 | ||
Reynolds Consumer Products Holdings, Inc. Tranche B, term loan 4.5% 12/1/18 (n) | 9,135,595 | 9,127,647 | ||
Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (n) | 2,708,667 | 2,674,808 | ||
Tricorbraun, Inc. Tranche B, term loan 4% 5/3/18 (n) | 732,664 | 725,338 | ||
| 36,896,904 | |||
Metals & Mining - 0.1% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 12/19/19 (n) | 2,614,761 | 1,838,177 | ||
Tranche B 2LN, term loan 8.75% 12/19/20 (n) | 1,296,000 | 874,800 | ||
Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (n) | 1,615,000 | 1,604,503 | ||
Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (n) | 3,596,880 | 3,106,805 | ||
Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (n) | 15,116,357 | 12,185,447 | ||
JMC Steel Group, Inc. term loan 4.75% 4/1/17 (n) | 1,700,010 | 1,685,135 | ||
MRC Global, Inc. Tranche B, term loan 4.75% 11/9/19 (n) | 531,924 | 518,961 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Murray Energy Corp.: | ||||
Tranche B 1LN, term loan 7% 4/16/17 (n) | $ 780,000 | $ 709,153 | ||
Tranche B 2LN, term loan 7.5% 4/16/20 (n) | 6,355,000 | 4,758,306 | ||
Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (n) | 752,000 | 682,440 | ||
Walter Energy, Inc. Tranche B, term loan 5.8% 4/1/18 (n) | 4,707,000 | 1,908,877 | ||
| 29,872,604 | |||
TOTAL MATERIALS | 97,617,897 | |||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Diversified Telecommunication Services - 0.2% | ||||
Altice Financing SA: | ||||
Tranche B 2LN, term loan 5.25% 1/30/22 (n) | 2,634,000 | 2,647,170 | ||
Tranche B, term loan 5.5% 6/24/19 (n) | 12,993,045 | 13,041,769 | ||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (n) | 6,807,181 | 6,821,340 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (n) | 2,992,500 | 2,983,523 | ||
Level 3 Financing, Inc.: | ||||
Tranche B 2LN, term loan 3.5% 5/31/22 (n) | 3,764,000 | 3,726,360 | ||
Tranche B 3LN, term loan 4% 8/1/19 (n) | 2,742,000 | 2,737,887 | ||
Tranche B 4LN, term loan 4% 1/15/20 (n) | 3,011,000 | 3,008,170 | ||
LTS Buyer LLC: | ||||
Tranche 2LN, term loan 8% 4/12/21 (n) | 163,000 | 162,865 | ||
Tranche B 1LN, term loan 4% 4/11/20 (n) | 8,914,096 | 8,858,383 | ||
Securus Technologies Holdings, Inc.: | ||||
Tranche 2LN, term loan 9% 4/30/21 (n) | 3,724,000 | 3,337,635 | ||
Tranche B 1LN, term loan 4.75% 4/30/20 (n) | 2,824,628 | 2,717,829 | ||
Securus Technologies, Inc. Tranche B2 1LN, term loan 5.25% 4/30/20 (n) | 1,000,000 | 971,250 | ||
| 51,014,181 | |||
Wireless Telecommunication Services - 0.1% | ||||
Crown Castle Operating Co. Tranche B 2LN, term loan 3% 1/31/21 (n) | 1,501,379 | 1,494,893 | ||
Digicel International Finance Ltd.: | ||||
Tranche D 1LN, term loan 3.8125% 3/31/17 (n) | 1,382,317 | 1,299,378 | ||
Tranche D-2, term loan 3.7818% 3/31/19 (n) | 5,012,683 | 4,724,454 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (n) | $ 4,150,000 | $ 4,072,188 | ||
Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (n) | 1,882,000 | 1,731,440 | ||
| 13,322,353 | |||
TOTAL TELECOMMUNICATION SERVICES | 64,336,534 | |||
UTILITIES - 0.3% | ||||
Electric Utilities - 0.2% | ||||
Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | ||||
6.375% 8/13/18 (n) | 161,490 | 161,652 | ||
6.375% 8/13/19 (n) | 2,444,528 | 2,446,972 | ||
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (n) | 3,011,587 | 2,940,815 | ||
Empire Generating Co. LLC: | ||||
Tranche B, term loan 5.25% 3/14/21 (n) | 3,589,368 | 3,409,900 | ||
Tranche C, term loan 5.25% 3/14/21 (n) | 263,000 | 249,850 | ||
Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (n) | 6,215,916 | 6,200,376 | ||
Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (n) | 5,064,411 | 4,853,377 | ||
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (n) | 3,042,000 | 3,042,000 | ||
InterGen NV Tranche B, term loan 5.5% 6/13/20 (n) | 4,396,131 | 4,132,363 | ||
Longview Power LLC Tranche B, term loan 7% 4/13/21 (n) | 2,000,000 | 2,002,500 | ||
Southeast Powergen LLC Tranche B, term loan 4.5% 12/2/21 (n) | 554,215 | 556,293 | ||
Star West Generation LLC Tranche B, term loan 4.25% 3/13/20 (n) | 2,006,000 | 2,000,985 | ||
TXU Energy LLC Tranche B, term loan 4.6741% 10/10/17 (d)(n) | 1,088,000 | 490,840 | ||
USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (n) | 589,990 | 583,352 | ||
| 33,071,275 | |||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (n) | 4,052,000 | 3,835,907 | ||
Bank Loan Obligations - continued | ||||
| Principal Amount (e) | Value | ||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southcross Holdings Borrower LP Tranche B, term loan 6% 8/4/21 (n) | $ 2,642,653 | $ 2,191,209 | ||
Veresen Midstream LP Tranche B, term loan 5.25% 3/31/22 (n) | 1,815,450 | 1,812,418 | ||
| 7,839,534 | |||
Independent Power and Renewable Electricity Producers - 0.1% | ||||
Calpine Corp.: | ||||
Tranche B 3LN, term loan 4% 10/9/19 (n) | 2,516,064 | 2,511,132 | ||
Tranche B 4LN, term loan 4% 10/31/20 (n) | 3,727,081 | 3,714,856 | ||
Tranche B 5LN, term loan 3.5% 5/28/22 (n) | 1,500,000 | 1,478,910 | ||
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (n) | 2,653,000 | 2,653,000 | ||
ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (n) | 466,891 | 471,560 | ||
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (n) | 2,799,716 | 2,624,734 | ||
Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (n) | 2,902,415 | 2,851,623 | ||
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 8/11/22 (s) | 3,000,000 | 2,970,000 | ||
| 19,275,815 | |||
TOTAL UTILITIES | 60,186,624 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $1,092,574,461) |
| |||
Sovereign Loan Participations - 0.0% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (n) | 904,290 | 886,205 | ||
Goldman Sachs 1.25% 12/14/19 (n) | 775,000 | 759,500 | ||
Mizuho 1.25% 12/14/19 (n) | 363,384 | 356,116 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $1,875,319) |
| |||
Bank Notes - 1.2% | ||||
| Principal Amount (e) | Value | ||
Bank of America NA: | ||||
1.65% 3/26/18 | $ 22,324,000 | $ 22,212,693 | ||
1.75% 6/5/18 | 84,682,000 | 84,232,169 | ||
5.3% 3/15/17 | 3,467,000 | 3,644,614 | ||
Barclays Bank PLC 2.5% 2/20/19 | 7,200,000 | 7,266,816 | ||
Capital One NA 1.65% 2/5/18 | 18,801,000 | 18,561,926 | ||
Discover Bank: | ||||
(Delaware) 3.2% 8/9/21 | 23,245,000 | 22,850,439 | ||
3.1% 6/4/20 | 22,584,000 | 22,536,641 | ||
8.7% 11/18/19 | 2,958,000 | 3,535,484 | ||
JPMorgan Chase Bank 6% 10/1/17 | 11,313,000 | 12,209,555 | ||
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,523,678 | ||
Marshall & Ilsley Bank 5% 1/17/17 | 14,669,000 | 15,309,889 | ||
Regions Bank 7.5% 5/15/18 | 24,647,000 | 27,954,430 | ||
Wachovia Bank NA 6% 11/15/17 | 2,243,000 | 2,450,439 | ||
TOTAL BANK NOTES (Cost $242,512,420) | 245,288,773 | |||
Preferred Securities - 0.8% | ||||
| ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Automobiles - 0.0% | ||||
Volkswagen International Finance NV 2.5%(Reg. S) (i)(n) | EUR | 2,150,000 | 2,343,384 | |
CONSUMER STAPLES - 0.0% | ||||
Food Products - 0.0% | ||||
Cosan Overseas Ltd. 8.25% (i) | 1,725,000 | 1,627,629 | ||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Total SA 2.625% (Reg. S) (i)(n) | EUR | 2,150,000 | 2,299,559 | |
FINANCIALS - 0.8% | ||||
Banks - 0.7% | ||||
BAC Capital Trust XIV 4% (i)(n) | 1,245,000 | 967,734 | ||
Banco Do Brasil SA 9% (h)(i)(n) | 1,415,000 | 1,147,484 | ||
Bank of America Corp.: | ||||
6.1% (i)(n) | 3,225,000 | 3,238,216 | ||
6.25% (i)(n) | 3,680,000 | 3,755,700 | ||
6.5% (i)(n) | 3,000,000 | 3,159,795 | ||
Bank of Ireland 7.375% (Reg. S) (i)(n) | EUR | 2,000,000 | 2,326,877 | |
Barclays Bank PLC 7.625% 11/21/22 | 20,775,000 | 24,126,874 | ||
Barclays PLC: | ||||
6.625% (i)(n) | 7,940,000 | 7,862,515 | ||
8.25% (i)(n) | 5,470,000 | 5,897,920 | ||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
BNP Paribas SA: | ||||
7.375% (h)(i)(n) | $ 3,830,000 | $ 3,931,898 | ||
7.375% 12/29/49 (Reg. S) (n) | 3,100,000 | 3,182,476 | ||
Citigroup, Inc.: | ||||
5.875% (i)(n) | 4,305,000 | 4,378,134 | ||
5.95% (i)(n) | 2,285,000 | 2,273,527 | ||
5.95% (i)(n) | 6,945,000 | 6,787,466 | ||
6.3% (i)(n) | 7,100,000 | 7,019,488 | ||
Credit Agricole SA: | ||||
6.625% (h)(i)(n) | 14,035,000 | 13,938,915 | ||
6.625% (Reg. S) (i)(n) | 2,850,000 | 2,830,489 | ||
8.125% 9/19/33 (Reg. S) (n) | 2,500,000 | 2,861,487 | ||
JPMorgan Chase & Co.: | ||||
5.3% (i)(n) | 3,245,000 | 3,260,582 | ||
6% (i)(n) | 10,455,000 | 10,403,293 | ||
6.75% (i)(n) | 10,085,000 | 10,697,020 | ||
Royal Bank of Scotland Group PLC: | ||||
7.5% (i)(n) | 2,285,000 | 2,300,980 | ||
8% (i)(n) | 1,140,000 | 1,169,689 | ||
Wells Fargo & Co. 5.875% (i)(n) | 2,000,000 | 2,072,541 | ||
| 129,591,100 | |||
Capital Markets - 0.1% | ||||
Credit Suisse Group AG 6.25% (h)(i)(n) | 5,000,000 | 4,864,037 | ||
Deutsche Bank AG 7.5% (i)(n) | 7,600,000 | 7,670,144 | ||
Goldman Sachs Group, Inc. 5.375% (i)(n) | 3,250,000 | 3,245,271 | ||
UBS Group AG: | ||||
6.875% (Reg. S) (i)(n) | 1,950,000 | 1,944,259 | ||
7.125% (Reg. S) (i)(n) | 1,700,000 | 1,836,629 | ||
| 19,560,340 | |||
Diversified Financial Services - 0.0% | ||||
Magnesita Finance Ltd.: | ||||
8.625% (h)(i) | 650,000 | 496,336 | ||
8.625% (Reg. S) (i) | 200,000 | 152,719 | ||
| 649,055 | |||
TOTAL FINANCIALS | 149,800,495 | |||
Preferred Securities - continued | ||||
| Principal Amount (e) | Value | ||
INDUSTRIALS - 0.0% | ||||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd.: | ||||
7.5% (h)(i) | $ 4,705,000 | $ 3,369,267 | ||
7.5% (Reg. S) (i) | 100,000 | 71,610 | ||
| 3,440,877 | |||
MATERIALS - 0.0% | ||||
Metals & Mining - 0.0% | ||||
CSN Islands XII Corp. 7% (Reg. S) (i) | 2,100,000 | 1,035,971 | ||
UTILITIES - 0.0% | ||||
Electric Utilities - 0.0% | ||||
EDF SA 5.625% (Reg. S) (i)(n) | 2,700,000 | 2,764,547 | ||
TOTAL PREFERRED SECURITIES (Cost $163,665,548) |
|
Money Market Funds - 5.9% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.15% (b) | 1,185,530,172 |
| |
Cash Equivalents - 0.5% | |||
Maturity Amount |
| ||
Investments in repurchase agreements in a joint trading account at 0.15%, dated 8/31/15 due 9/1/15 (Collateralized by U.S. Government Obligations) # (c) | $ 110,825,462 |
|
See accompanying notes which are an integral part of the financial statements.
Annual Report
Investments - continued
Purchased Swaptions - 0.0% | |||||
Expiration Date | Notional Amount (e) | Value | |||
Put Options - 0.0% | |||||
Option on a credit default swap with Morgan Stanley Capital Group, Inc. to buy protection on the 5-Year iTraxx Europe Crossover Series 23 Index expiring June 2020 exercise rate 3.125% | 9/16/15 | EUR | 17,600,000 | $ 206,315 |
TOTAL INVESTMENT PORTFOLIO - 104.0% (Cost $21,131,127,040) | 21,078,070,800 | ||
NET OTHER ASSETS (LIABILITIES) - (4.0)% | (808,453,417) | ||
NET ASSETS - 100% | $ 20,269,617,383 | ||
TBA Sale Commitments | |||
| Principal Amount (e) |
| |
Fannie Mae | |||
3% 9/1/45 | $ (700,000) | (703,008) | |
3% 9/1/45 | (700,000) | (703,008) | |
3% 9/1/45 | (2,100,000) | (2,109,023) | |
3% 9/1/45 | (33,200,000) | (33,342,657) | |
3% 9/1/45 | (12,950,000) | (13,005,645) | |
3% 9/1/45 | (9,700,000) | (9,741,680) | |
3% 9/1/45 | (27,500,000) | (27,618,165) | |
3% 9/1/45 | (11,000,000) | (11,047,266) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
3.5% 9/1/45 | (21,300,000) | (22,072,123) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (13,200,000) | (14,018,812) | |
4% 9/1/45 | (700,000) | (743,422) | |
4% 9/1/45 | (3,600,000) | (3,823,312) | |
4% 9/1/45 | (28,000,000) | (29,736,874) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (66,500,000) | (72,038,200) | |
4.5% 9/1/45 | (10,000,000) | (10,832,812) | |
TOTAL FANNIE MAE | (346,389,752) | ||
TBA Sale Commitments - continued | |||
| Principal Amount (e) | Value | |
Freddie Mac | |||
3% 9/1/45 | $ (1,500,000) | $ (1,502,109) | |
3% 9/1/45 | (3,200,000) | (3,204,500) | |
TOTAL FREDDIE MAC | (4,706,609) | ||
Ginnie Mae | |||
3.5% 9/1/45 | (31,500,000) | (32,799,372) | |
3.5% 9/1/45 | (20,000,000) | (20,824,998) | |
TOTAL GINNIE MAE | (53,624,370) |
TOTAL TBA SALE COMMITMENTS (Proceeds $404,373,664) | $ (404,720,731) |
Futures Contracts | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Purchased | |||||
Bond Index Contracts | |||||
9 Eurex Euro-Bobl Contracts (Germany) | Sept. 2015 | $ 1,313,218 | $ (3,300) | ||
21 Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | Sept. 2015 | 3,572,005 | (57,360) | ||
2 OSE Japan 10 Year Bond Contracts (Japan) | Sept. 2015 | 2,440,879 | 20,099 | ||
64 TME 10 Year Canadian Note Contracts (Canada) | Dec. 2015 | 6,879,659 | (118,481) | ||
TOTAL BOND INDEX CONTRACTS | $ 14,205,761 | $ (159,042) | |||
Treasury Contracts | |||||
21 ASX 10 Year Treasury Bond Index Contracts (Australia) | Sept. 2015 | 1,924,905 | 80,165 | ||
96 CBOT 2 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 20,973,000 | (55,692) | ||
24 CBOT 5 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 2,866,500 | (23,111) | ||
50 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 7,920,313 | (286,818) | ||
TOTAL TREASURY CONTRACTS | $ 33,684,718 | $ (285,456) | |||
TOTAL PURCHASED | $ 47,890,479 | $ (444,498) | |||
Futures Contracts - continued | |||||
| Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | ||
Sold | |||||
Bond Index Contracts | |||||
3 Eurex Euro-Bund Contracts (Germany) | Sept. 2015 | $ 515,370 | $ (5,052) | ||
20 ICE Long Gilt Contracts (United Kingdom) | Dec. 2015 | 3,596,561 | 19,791 | ||
112 ICE Medium Gilt Contracts (United Kingdom) | Dec. 2015 | 19,051,124 | 22,345 | ||
TOTAL BOND INDEX CONTRACTS | $ 23,163,055 | $ 37,084 | |||
Treasury Contracts | |||||
10 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2015 | 1,270,625 | 9,883 | ||
38 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2015 | 5,875,750 | 182,799 | ||
TOTAL TREASURY CONTRACTS | $ 7,146,375 | $ 192,682 | |||
TOTAL SOLD | $ 30,309,430 | $ 229,766 | |||
| $ 78,199,909 | $ (214,732) |
The face value of futures purchased as a percentage of net assets is 0.2% |
The face value of futures sold as a percentage of net assets is 0.1% |
Foreign Currency Contracts | ||||||
Settlement Date | Currency | Counterparty | Type | Quantity | Contract Amount (e) | Unrealized Appreciation/ |
11/20/15 | AUD | Credit Suisse Intl. | Sell | 204,000 | $ 149,743 | $ 5,155 |
11/20/15 | CAD | JPMorgan Chase Bank, N.A. | Sell | 135,000 | 102,856 | 262 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 127,000 | 145,663 | (2,968) |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 211,000 | 233,130 | 3,947 |
11/20/15 | EUR | Credit Suisse Intl. | Buy | 404,000 | 453,573 | 356 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 237,000 | 267,054 | 764 |
11/20/15 | EUR | Credit Suisse Intl. | Sell | 1,603,000 | 1,771,357 | (29,753) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Buy | 194,000 | 226,297 | (8,321) |
11/20/15 | EUR | JPMorgan Chase Bank, N.A. | Sell | 67,385,000 | 74,790,342 | (922,557) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 174,000 | 272,420 | (5,534) |
11/20/15 | GBP | Credit Suisse Intl. | Buy | 231,000 | 354,868 | (553) |
11/20/15 | GBP | Credit Suisse Intl. | Sell | 288,000 | 453,631 | 11,888 |
11/20/15 | GBP | JPMorgan Chase Bank, N.A. | Sell | 33,946,000 | 52,958,340 | 890,873 |
11/20/15 | JPY | JPMorgan Chase Bank, N.A. | Sell | 14,350,000 | 115,567 | (2,940) |
| $ (59,381) |
For the period, the average contract value for foreign currency contracts was $177,993,164. Contract value represents contract amount in United States dollars plus or minus unrealized appreciation or depreciation, respectively. |
Swaps | |||||||||
Credit Default Swaps |
Underlying Reference | Rating | Expiration Date | Clearinghouse/Counterparty | Fixed Payment Received/(Paid) | Notional Amount | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
Buy Protection | |||||||||
Carlsberg Breweries A/S |
| Jun. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 2,600,000 | $ (8,869) | $ 30,763 | $ 21,894 |
Kering SA |
| Sep. | Morgan Stanley Capital Group, Inc. | (1%) | EUR | 3,500,000 | (78,250) | 8,252 | (69,998) |
Metro AG |
| Dec. | Credit Suisse International | (1%) | EUR | 3,850,000 | (6,470) | (28,271) | (34,741) |
Metro AG |
| Dec. | JPMorgan Chase Bank, N.A. | (1%) | EUR | 600,000 | (1,008) | (1,718) | (2,726) |
Standard Chartered Bank |
| Sep. | Citibank, N.A. | (1%) | EUR | 2,700,000 | 155,943 | (145,356) | 10,587 |
Valeo SA |
| Sep. | Credit Suisse International | (1%) | EUR | 3,500,000 | (57,598) | (53,854) | (111,452) |
TOTAL BUY PROTECTION | 3,748 | (190,184) | (186,436) | ||||||
Sell Protection | |||||||||
Commerzbank AG | Ba2 | Sep. | Credit Suisse International | 5% | EUR | 1,850,000 | 342,816 | (369,344) | (26,528) |
Italy Republic Of | A2 | Sep. | JPMorgan Chase Bank, N.A. | 1% |
| 2,800,000 | (13,065) | 21,241 | 8,176 |
Pemex Project Funding Master Trust | A3 | Sep. | Barclays Bank PLC | 1% |
| 3,550,000 | (191,039) | 170,506 | (20,533) |
TOTAL SELL PROTECTION | 138,712 | (177,597) | (38,885) | ||||||
TOTAL CREDIT DEFAULT SWAPS | $ 142,460 | $ (367,781) | $ (225,321) |
(1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes. |
(2) Notional amount is stated in U.S. dollars unless otherwise noted. |
(3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur. |
Swaps - continued | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration Date | Notional Amount(1) | Payment Received | Payment Paid | Value | Upfront Premium Received/ | Unrealized Appreciation/(Depreciation) |
LCH | Sep. 2020 | $ 35,400,000 | 3-month LIBOR | 2.25% | $ (657,215) | $ 0 | $ (657,215) |
LCH | Sep. 2025 | 20,500,000 | 3-month LIBOR | 2.75% | (686,088) | 0 | (686,088) |
LCH | Sep. 2045 | 8,700,000 | 3-month LIBOR | 3% | (543,452) | 0 | (543,452) |
TOTAL INTEREST RATE SWAPS | $ (1,886,755) | $ 0 | $ (1,886,755) |
(1) Notional amount is stated in U.S. dollars unless otherwise noted. |
|
(2) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(3) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
AUD | - | Australian dollar |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
JPY | - | Japanese yen |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Includes investment made with cash collateral received from securities on loan. |
(d) Non-income producing - Security is in default. |
(e) Amount is stated in United States dollars unless otherwise noted. |
(f) 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. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,370,236,323 or 11.7% of net assets. |
(i) Security is perpetual in nature with no stated maturity date. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $873,986. |
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $3,713,112. |
(m) Security or a portion of the security has been segregated as collateral for mortgage-backed or asset-backed securities purchased on a delayed delivery or when-issued basis. At period end, the value of securities pledged amounted to $182,501. |
(n) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(o) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(p) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(q) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security. |
(r) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(s) The coupon rate will be determined upon settlement of the loan after period end. |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$110,825,000 due 9/01/15 at 0.15% | |
Commerz Markets LLC | $ 110,825,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 913,060 |
Fidelity Floating Rate Central Fund | 17,840,584 |
Fidelity Mortgage Backed Securities Central Fund | 4,263,089 |
Total | $ 23,016,733 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, end of |
Fidelity Floating Rate Central Fund | $ 440,816,855 | $ 589,842,295 | $ 1,013,143,899 | $ - | 0.0% |
Fidelity Mortgage Backed Securities Central Fund | 2,130,357,633 | - | 2,121,313,208 | - | 0.0% |
Total | $ 2,571,174,488 | $ 589,842,295 | $ 3,134,457,107 | $ - |
* Includes the value of shares redeemed through in-kind transactions. See Note 6 of the Notes to Financial Statements. |
Other Information |
The following is a summary of the inputs used, as of August 31, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 846,728 | $ 846,728 | $ - | $ - |
Financials | 12,705,468 | 12,459,374 | 246,094 | - |
Materials | 2,680,932 | 2,680,932 | - | - |
Telecommunication Services | 451,792 | 317,384 | - | 134,408 |
Corporate Bonds | 8,951,784,547 | - | 8,951,772,409 | 12,138 |
U.S. Government and Government Agency Obligations | 3,844,418,792 | - | 3,844,418,792 | - |
U.S. Government Agency - Mortgage Securities | 2,844,544,800 | - | 2,844,544,800 | - |
Asset-Backed Securities | 153,200,820 | - | 149,424,222 | 3,776,598 |
Collateralized Mortgage Obligations | 594,721,855 | - | 594,721,855 | - |
Commercial Mortgage Securities | 1,364,361,739 | - | 1,363,122,289 | 1,239,450 |
Municipal Securities | 307,210,465 | - | 307,210,465 | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Foreign Government and Government Agency Obligations | $ 224,958,802 | $ - | $ 223,345,807 | $ 1,612,995 |
Supranational Obligations | 74,655 | - | 74,655 | - |
Bank Loan Obligations | 1,068,944,862 | - | 1,057,929,638 | 11,015,224 |
Sovereign Loan Participations | 2,001,821 | - | - | 2,001,821 |
Bank Notes | 245,288,773 | - | 245,288,773 | - |
Preferred Securities | 163,312,462 | - | 163,312,462 | - |
Money Market Funds | 1,185,530,172 | 1,185,530,172 | - | - |
Cash Equivalents | 110,825,000 | - | 110,825,000 | - |
Purchased Swaptions | 206,315 | - | 206,315 | - |
Total Investments in Securities: | $ 21,078,070,800 | $ 1,201,834,590 | $ 19,856,443,576 | $ 19,792,634 |
Other Derivative | ||||
Assets | ||||
Foreign Currency Contracts | $ 913,245 | $ - | $ 913,245 | $ - |
Futures Contracts | 335,082 | 335,082 | - | - |
Swaps | 498,759 | - | 498,759 | - |
Total Assets | $ 1,747,086 | $ 335,082 | $ 1,412,004 | $ - |
Liabilities | ||||
Foreign Currency Contracts | $ (972,626) | $ - | $ (972,626) | $ - |
Futures Contracts | (549,814) | (549,814) | - | - |
Swaps | (2,243,054) | - | (2,243,054) | - |
Total Liabilities | $ (3,765,494) | $ (549,814) | $ (3,215,680) | $ - |
Total Other Derivative Instruments: | $ (2,018,408) | $ (214,732) | $ (1,803,676) | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (404,720,731) | $ - | $ (404,720,731) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of August 31, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Credit Risk | ||
Purchased Swaptions (c) | $ 206,315 | $ - |
Swaps (d) | 498,759 | (356,299) |
Total Credit Risk | 705,074 | (356,299) |
Foreign Exchange Risk | ||
Foreign Currency Contracts (a) | 913,245 | (972,626) |
Interest Rate Risk | ||
Futures Contracts (b) | 335,082 | (549,814) |
Swaps (d) | - | (1,886,755) |
Total Interest Rate Risk | 335,082 | (2,436,569) |
Total Value of Derivatives | $ 1,953,401 | $ (3,765,494) |
(a) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on foreign currency contracts line-items. |
(b) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
(c) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item. |
(d) For bi-lateral OTC swaps, reflects gross value which is presented in the Statement of Assets and Liabilities in the bi-lateral OTC swaps, at value line-items. For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 88.6% |
United Kingdom | 2.6% |
Mexico | 1.8% |
Luxembourg | 1.2% |
Others (Individually Less Than 1%) | 5.8% |
| 100.0% |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
|
| August 31, 2015 |
Assets | ||
Investment in securities, at value (including securities loaned of $108,651,950 and repurchase agreements of $110,825,000) - See accompanying schedule: Unaffiliated issuers (cost $19,945,596,868) | $ 19,892,540,628 |
|
Fidelity Central Funds (cost $1,185,530,172) | 1,185,530,172 |
|
Total Investments (cost $21,131,127,040) |
| $ 21,078,070,800 |
Cash |
| 4,601,208 |
Foreign currency held at value (cost $1,296,971) | 1,290,124 | |
Receivable for investments sold | 153,384,612 | |
Receivable for TBA sale commitments |
| 404,373,664 |
Unrealized appreciation on foreign currency contracts | 913,245 | |
Receivable for fund shares sold | 27,302,194 | |
Dividends receivable | 242,549 | |
Interest receivable | 158,024,967 | |
Distributions receivable from Fidelity Central Funds | 188,651 | |
Bi-lateral OTC swaps, at value | 498,759 | |
Other receivables | 112,232 | |
Total assets | 21,829,003,005 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 68,454,513 |
|
Delayed delivery | 790,446,815 | |
TBA sale commitments, at value | 404,720,731 | |
Unrealized depreciation on foreign currency contracts | 972,626 | |
Payable for fund shares redeemed | 173,044,860 | |
Distributions payable | 2,134,426 | |
Bi-lateral OTC swaps, at value | 356,299 | |
Accrued management fee | 5,298,334 | |
Distribution and service plan fees payable | 313,760 | |
Payable for daily variation margin for derivative instruments | 17,256 | |
Other affiliated payables | 2,448,328 | |
Other payables and accrued expenses | 352,674 | |
Collateral on securities loaned, at value | 110,825,000 | |
Total liabilities | 1,559,385,622 | |
|
|
|
Net Assets | $ 20,269,617,383 | |
Net Assets consist of: |
| |
Paid in capital | $ 20,225,298,052 | |
Undistributed net investment income | 36,361,125 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 63,760,134 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | (55,801,928) | |
Net Assets | $ 20,269,617,383 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
| August 31, 2015 | |
|
|
|
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($852,242,899 ÷ 80,933,467 shares) | $ 10.53 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.53) | $ 10.97 | |
Class T: | ||
Net Asset Value and redemption price per share ($101,673,134 ÷ 9,671,869 shares) | $ 10.51 | |
|
|
|
Maximum offering price per share (100/96.00 of $10.51) | $ 10.95 | |
Class B: | ||
Net Asset Value and offering price per share ($3,305,036 ÷ 313,709 shares)A | $ 10.54 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($139,264,398 ÷ 13,223,547 shares)A | $ 10.53 | |
|
|
|
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($17,359,293,916 ÷ 1,648,977,386 shares) | $ 10.53 | |
|
|
|
Class I: | ||
Net Asset Value, offering price and redemption price per share ($1,266,870,294 ÷ 120,521,809 shares) | $ 10.51 | |
|
|
|
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($546,967,706 ÷ 52,032,071 shares) | $ 10.51 |
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 August 31, 2015 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 6,479,130 |
Interest |
| 612,468,413 |
Income from Fidelity Central Funds |
| 23,016,733 |
Total income |
| 641,964,276 |
|
|
|
Expenses | ||
Management fee | $ 57,874,540 | |
Transfer agent fees | 19,640,595 | |
Distribution and service plan fees | 3,324,779 | |
Fund wide operations fee | 7,291,490 | |
Independent trustees' compensation | 75,099 | |
Miscellaneous | 43,573 | |
Total expenses before reductions | 88,250,076 | |
Expense reductions | (7,127) | 88,242,949 |
Net investment income (loss) | 553,721,327 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 128,436,511 | |
Fidelity Central Funds | 206,487,401 |
|
Foreign currency transactions | 20,043,666 | |
Futures contracts | 1,751,878 | |
Swaps | (3,476,434) |
|
Total net realized gain (loss) |
| 353,243,022 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (775,667,108) | |
Assets and liabilities in foreign currencies | (5,291,385) | |
Futures contracts | (421,238) | |
Swaps | (1,389,874) | |
Delayed delivery commitments | 206,650 |
|
Total change in net unrealized appreciation (depreciation) |
| (782,562,955) |
Net gain (loss) | (429,319,933) | |
Net increase (decrease) in net assets resulting from operations | $ 124,401,394 |
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 (loss) | $ 553,721,327 | $ 415,512,458 |
Net realized gain (loss) | 353,243,022 | 77,368,067 |
Change in net unrealized appreciation (depreciation) | (782,562,955) | 416,914,720 |
Net increase (decrease) in net assets resulting from operations | 124,401,394 | 909,795,245 |
Distributions to shareholders from net investment income | (523,227,512) | (392,171,286) |
Distributions to shareholders from net realized gain | (52,368,873) | (128,031,263) |
Total distributions | (575,596,385) | (520,202,549) |
Share transactions - net increase (decrease) | 4,814,116,048 | 3,089,248,773 |
Total increase (decrease) in net assets | 4,362,921,057 | 3,478,841,469 |
|
|
|
Net Assets | ||
Beginning of period | 15,906,696,326 | 12,427,854,857 |
End of period (including undistributed net investment income of $36,361,125 and undistributed net investment income of $23,414,948, respectively) | $ 20,269,617,383 | $ 15,906,696,326 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class A
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .287 | .292 | .263 | .322 | .381 |
Net realized and unrealized gain (loss) | (.224) | .382 | (.468) | .438 | .187 |
Total from investment operations | .063 | .674 | (.205) | .760 | .568 |
Distributions from net investment income | (.270) | (.275) | (.250) | (.335) | (.367) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.303) | (.384) | (.605) | (.510) | (.578) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | .58% | 6.56% | (1.94)% | 7.11% | 5.35% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .75% | .76% | .79% | .82% | .83% |
Expenses net of fee waivers, if any | .75% | .76% | .79% | .82% | .83% |
Expenses net of all reductions | .75% | .76% | .79% | .82% | .83% |
Net investment income (loss) | 2.69% | 2.76% | 2.41% | 2.92% | 3.50% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 852,243 | $ 639,235 | $ 517,259 | $ 643,995 | $ 1,225,165 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class T
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .285 | .290 | .265 | .328 | .386 |
Net realized and unrealized gain (loss) | (.234) | .392 | (.477) | .433 | .186 |
Total from investment operations | .051 | .682 | (.212) | .761 | .572 |
Distributions from net investment income | (.268) | (.273) | (.253) | (.336) | (.371) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.301) | (.382) | (.608) | (.511) | (.582) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.28 | $ 11.03 |
Total ReturnA, B | .47% | 6.65% | (2.01)% | 7.14% | 5.39% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | .77% | .78% | .76% | .77% | .80% |
Expenses net of fee waivers, if any | .77% | .78% | .76% | .77% | .80% |
Expenses net of all reductions | .77% | .78% | .76% | .77% | .80% |
Net investment income (loss) | 2.67% | 2.74% | 2.44% | 2.97% | 3.54% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 101,673 | $ 57,972 | $ 52,848 | $ 59,896 | $ 60,500 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class B
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.06 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .213 | .217 | .189 | .247 | .307 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.469) | .434 | .177 |
Total from investment operations | (.011) | .609 | (.280) | .681 | .484 |
Distributions from net investment income | (.196) | (.200) | (.175) | (.256) | (.293) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.229) | (.309) | (.530) | (.431) | (.504) |
Net asset value, end of period | $ 10.54 | $ 10.78 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.12)% | 5.91% | (2.61)% | 6.36% | 4.54% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of fee waivers, if any | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Expenses net of all reductions | 1.45% | 1.48% | 1.48% | 1.50% | 1.52% |
Net investment income (loss) | 1.99% | 2.04% | 1.73% | 2.24% | 2.82% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 3,305 | $ 4,460 | $ 7,112 | $ 11,515 | $ 9,225 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class C
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)C | .205 | .211 | .185 | .246 | .308 |
Net realized and unrealized gain (loss) | (.225) | .382 | (.469) | .434 | .187 |
Total from investment operations | (.020) | .593 | (.284) | .680 | .495 |
Distributions from net investment income | (.187) | (.194) | (.171) | (.255) | (.294) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.220) | (.303) | (.526) | (.430) | (.505) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.48 | $ 11.29 | $ 11.04 |
Total ReturnA, B | (.20)% | 5.75% | (2.65)% | 6.34% | 4.65% |
Ratios to Average Net AssetsD, F |
|
|
|
|
|
Expenses before reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of fee waivers, if any | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Expenses net of all reductions | 1.53% | 1.53% | 1.51% | 1.51% | 1.51% |
Net investment income (loss) | 1.92% | 1.99% | 1.69% | 2.23% | 2.83% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 139,264 | $ 83,818 | $ 79,711 | $ 102,385 | $ 63,867 |
Portfolio turnover rateE | 140%G | 108% | 201% | 155% | 168%H |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Portfolio turnover rate excludes securities received or delivered in-kind.
H The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 | $ 11.05 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .320 | .326 | .300 | .363 | .423 |
Net realized and unrealized gain (loss) | (.224) | .392 | (.478) | .434 | .187 |
Total from investment operations | .096 | .718 | (.178) | .797 | .610 |
Distributions from net investment income | (.303) | (.309) | (.287) | (.372) | (.409) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.336) | (.418) | (.642) | (.547) | (.620) |
Net asset value, end of period | $ 10.53 | $ 10.77 | $ 10.47 | $ 11.29 | $ 11.04 |
Total ReturnA | .88% | 7.00% | (1.70)% | 7.48% | 5.76% |
Ratios to Average Net AssetsC, E |
|
|
|
| |
Expenses before reductions | .45% | .45% | .45% | .45% | .45% |
Expenses net of fee waivers, if any | .45% | .45% | .45% | .45% | .45% |
Expenses net of all reductions | .45% | .45% | .45% | .45% | .45% |
Net investment income (loss) | 2.99% | 3.07% | 2.75% | 3.29% | 3.89% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 17,359,294 | $ 14,547,801 | $ 11,526,014 | $ 13,963,154 | $ 11,418,458 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class I
Years ended August 31, | 2015 | 2014 | 2013 | 2012 | 2011 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 | $ 11.04 |
Income from Investment Operations |
|
|
|
|
|
Net investment income (loss)B | .313 | .319 | .295 | .353 | .413 |
Net realized and unrealized gain (loss) | (.233) | .393 | (.469) | .435 | .178 |
Total from investment operations | .080 | .712 | (.174) | .788 | .591 |
Distributions from net investment income | (.297) | (.303) | (.281) | (.363) | (.400) |
Distributions from net realized gain | (.033) | (.109) | (.355) | (.175) | (.211) |
Total distributions | (.330) | (.412) | (.636) | (.538) | (.611) |
Net asset value, end of period | $ 10.51 | $ 10.76 | $ 10.46 | $ 11.27 | $ 11.02 |
Total ReturnA | .73% | 6.95% | (1.67)% | 7.40% | 5.58% |
Ratios to Average Net AssetsC, E |
|
|
|
|
|
Expenses before reductions | .50% | .51% | .51% | .53% | .54% |
Expenses net of fee waivers, if any | .50% | .51% | .51% | .53% | .54% |
Expenses net of all reductions | .50% | .51% | .51% | .53% | .54% |
Net investment income (loss) | 2.94% | 3.02% | 2.69% | 3.20% | 3.80% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (000 omitted) | $ 1,266,870 | $ 573,410 | $ 244,911 | $ 596,238 | $ 531,451 |
Portfolio turnover rateD | 140%F | 108% | 201% | 155% | 168%G |
A Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
B Calculated based on average shares outstanding during the period.
C Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
F Portfolio turnover rate excludes securities received or delivered in-kind.
G The portfolio turnover rate excludes liquidations and redemptions executed in-kind from Affiliated Central Funds.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Fidelity Total Bond Fund Class Z
Year ended August 31, | 2015 G |
Selected Per-Share Data |
|
Net asset value, beginning of period | $ 10.66 |
Income from Investment Operations |
|
Net investment income (loss)D | .234 |
Net realized and unrealized gain (loss) | (.167) |
Total from investment operations | .067 |
Distributions from net investment income | (.217) |
Net asset value, end of period | $ 10.51 |
Total ReturnB, C | .59% |
Ratios to Average Net AssetsE, H |
|
Expenses before reductions | .36%A |
Expenses net of fee waivers, if any | .36%A |
Expenses net of all reductions | .36%A |
Net investment income (loss) | 3.29%A |
Supplemental Data |
|
Net assets, end of period (000 omitted) | $ 546,968 |
Portfolio turnover rateF | 140%I |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .005%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended August 31, 2015
1. Organization.
Fidelity Total Bond Fund (the Fund) is a 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 commenced sale of Class Z shares on December 22, 2014. The Fund offers Class A, Class T, Class C, Total Bond, Class I (formerly Institutional Class) and Class Z shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Annual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment | Expense Ratio* |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct
| Less than .005% |
Fidelity Mortgage Backed Securities Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery Repurchase Agreements Swaps | Less than .005% |
* Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or advisor.fidelity.com, as applicable. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fidelity Management & Research Company (FMR) Fair Value Committee (the Committee). In accordance
Annual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Investment Valuation - continued
with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize
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Investment Valuation - continued
inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.
The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing service and are categorized as Level 2 in the hierarchy. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Options traded over-the-counter are valued using broker-supplied valuations and are categorized as Level 2 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level as of August 31, 2015 is included at the end of the Fund's Schedule of Investments.
Foreign Currency. Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Foreign Currency - continued
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Realized gains and losses on foreign currency transactions arise from the disposition of foreign currency, closed foreign currency contracts, realized changes in the value of foreign currency between the trade and settlement dates on security transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized gains and losses on assets and liabilities in foreign currencies arise from changes in the value of foreign currency including foreign currency contracts, and from assets and liabilities denominated in foreign currencies, other than investments, which are held at period end.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Income and capital gain distributions from Fidelity Central Funds, if any, are recorded on the ex-dividend date. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income is accrued as earned and includes coupon interest and amortization of premium and accretion of discount on debt securities as applicable. The principal amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has
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3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated daily on a pro-rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions may also differ by class. For the reporting period, the allocated portion of income and expenses to each class as a percent of its average net assets may vary due to the timing of recording these transactions in relation to fluctuating net assets of the classes. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Deferred Trustee Compensation. Under a Deferred Compensation Plan (the Plan), independent Trustees may elect to defer receipt of a portion of their annual compensation. Deferred amounts are invested in a cross-section of Fidelity funds, are marked-to-market and remain in the Fund until distributed in accordance with the Plan. The investment of deferred amounts and the offsetting payable to the Trustees are included in the accompanying Statement of Assets and Liabilities.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. As of August 31, 2015, the Fund did not have any unrecognized tax benefits in the financial statements; nor is the Fund aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to future contracts, swaps, foreign currency transactions, passive foreign investment companies (PFIC), market discount, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, capital loss carryforwards and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 345,834,958 |
Gross unrealized depreciation | (409,484,462) |
Net unrealized appreciation (depreciation) on securities | $ (63,649,504) |
Tax Cost | $ 21,141,720,304 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 46,977,149 |
Undistributed long-term capital gain | $ 64,917,805 |
Net unrealized appreciation (depreciation) on securities and other investments | $ (67,484,185) |
At period end, the Fund was required to defer approximately $1,162,429 of losses on futures contracts.
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3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The tax character of distributions paid was as follows:
| August 31, 2015 | August 31, 2014 |
Ordinary Income | $ 565,758,842 | $ 392,171,286 |
Long-term Capital Gains | 9,837,543 | 128,031,263 |
Total | $ 575,596,385 | $ 520,202,549 |
Repurchase Agreements. Pursuant to an Exemptive Order issued by the SEC, the Fund along with other registered investment companies having management contracts with FMR, or other affiliated entities of FMR, are permitted to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements may be collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take
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3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
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4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, foreign currency contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets, to facilitate transactions in foreign-denominated securities and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risks:
Credit Risk | Credit risk relates to the ability of the issuer of a financial instrument to make further principal or interest payments on an obligation or commitment that it has to the Fund. |
Foreign Exchange Risk | Foreign exchange rate risk relates to fluctuations in the value of an asset or liability due to changes in currency exchange rates. |
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as foreign currency contracts, options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on
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4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Credit Risk |
|
|
Purchased Options | $ 170,483 | 63,753 |
Swaps | (135,206) | 128,070 |
Total Credit Risk | 35,277 | 191,823 |
Foreign Exchange Risk |
|
|
Foreign Currency Contracts | 20,954,439 | (5,376,167) |
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Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives - continued
Primary Risk Exposure / Derivative Type | Net Realized Gain | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ 1,751,878 | (421,238) |
Swaps | (3,341,228) | (1,517,944) |
Total Interest Rate Risk | (1,589,350) | (1,939,182) |
TotalsA | $ 19,400,366 | $ (7,123,526) |
A A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
Foreign Currency Contracts. Foreign currency contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. The Fund used foreign currency contracts to facilitate transactions in foreign-denominated securities and to manage exposure to certain foreign currencies.
Foreign currency contracts are valued daily and fluctuations in exchange rates on open contracts are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. When the contract is closed, the Fund realizes a gain or loss equal to the difference between the closing value and the value at the time it was opened. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on foreign currency contracts during the period is included in the Statement of Operations as part of net realized gain (loss) on foreign currency transactions and change in unrealized gain (loss) on assets and liabilities in foreign currencies, respectively.
Any open foreign currency contracts at period end are presented in the Schedule of Investments under the caption "Foreign Currency Contracts." The contract amount and unrealized appreciation (depreciation) reflects each contract's exposure to the underlying currency at period end.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market and fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent daily payments (variation margin) are made or received by a fund depending on
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4. Derivative Instruments - continued
Futures Contracts - continued
the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end and is representative of volume of activity during the period. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund uses OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to potential credit events.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fundwill realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
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4. Derivative Instruments - continued
Options - continued
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable, and are representative of volume of activity during the period.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
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Notes to Financial Statements - continued
4. Derivative Instruments - continued
Swaps - continued
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps" and are representative of volume of activity during the period.
Credit Default Swaps. Credit default swaps enable the Fund to buy or sell protection against specified credit events on a single-name issuer or a traded credit index. Under the terms of a credit default swap the buyer of protection (buyer) receives credit protection in exchange for making periodic payments to the seller of protection (seller) based on a fixed percentage applied to a notional principal amount. In return for these payments, the seller will be required to make a payment upon the occurrence of one or more specified credit events. The Fund enters into credit default swaps as a seller to gain credit exposure to an issuer and/or as a buyer to obtain a measure of protection against defaults of an issuer. Periodic payments are made over the life of the contract by the buyer provided that no credit event occurs.
For credit default swaps on most corporate and sovereign issuers, credit events include bankruptcy, failure to pay or repudiation/moratorium. For credit default swaps on corporate or sovereign issuers, the obligation that may be put to the seller is not limited to the specific reference obligation described in the Schedule of Investments. For credit default swaps on asset-backed securities, a credit event may be triggered by events such as failure to pay principal, maturity extension, rating downgrade or write-down. For credit default swaps on asset-backed securities, the reference obligation described represents the security that may be put to the seller. For credit default swaps on a traded credit index, a specified credit event may affect all or individual underlying securities included in the index.
As a seller, if an underlying credit event occurs, the Fund will pay a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to take delivery of the reference obligation or underlying securities comprising an index and pay an amount equal to the notional amount of the swap.
As a buyer, if an underlying credit event occurs, the Fund will receive a net settlement amount of cash equal to the notional amount of the swap less the recovery value of the
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Credit Default Swaps - continued
reference obligation or underlying securities comprising an index. Only in the event of the industry's inability to value the underlying asset will the Fund be required to deliver the reference obligation or underlying securities comprising an index in exchange for payment of an amount equal to the notional amount of the swap.
Typically, the value of each credit default swap and credit rating disclosed for each reference obligation in the Schedule of Investments, where the Fund is the seller, can be used as measures of the current payment/performance risk of the swap. As the value of the swap changes as a positive or negative percentage of the total notional amount, the payment/performance risk may decrease or increase, respectively. In addition to these measures, the investment adviser monitors a variety of factors including cash flow assumptions, market activity and market sentiment as part of its ongoing process of assessing payment/performance risk.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, in-kind transactions and U.S. government securities, aggregated $7,860,792,369 and $2,304,473,823, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. Fidelity Management & Research Company (the investment adviser) and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annual management fee rate was .31% of the Fund's average net assets.
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Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 1,905,468 | $ 92,792 |
Class T | -% | .25% | 199,114 | 263 |
Class B | .65% | .25% | 35,423 | 25,610 |
Class C | .75% | .25% | 1,184,774 | 414,221 |
|
|
| $ 3,324,779 | $ 532,886 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 110,705 |
Class T | 18,730 |
Class B* | 3,938 |
Class C* | 29,613 |
| $ 162,986 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of each respective class of the Fund, with the exception of Total Bond. FIIOC receives an asset-based fee of .10% of Total Bond's average net assets. FIIOC pays
Annual Report
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 1,171,236 | .15 |
Class T | 135,484 | .17 |
Class B | 8,031 | .20 |
Class C | 207,015 | .17 |
Total Bond | 16,555,477 | .10 |
Class I | 1,553,662 | .15 |
Class Z | 9,690 | .01* |
| $ 19,640,595 |
|
* Annualized
Fund Wide Operations Fee. Pursuant to the Fund Wide Operations and Expense Agreement (FWOE), the investment adviser 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 .04% of average net assets.
Exchanges In-Kind. During the period, the Fund redeemed in-kind all of its shares of Fidelity Floating Rate Central Fund and Fidelity Mortgage-Backed Securities Central Fund in exchange for cash and investments, including accrued interest totaling $3,134,457,108. Net realized gain (loss) of $206,487,401 on the redemptions of the Fidelity Floating Rate Central Fund and Fidelity Mortgage Backed Securities Central Fund shares is included in the accompanying Statement of Operations as "Realized gain (loss) on Fidelity Central Funds." The transaction generally did not result in the recognition of gains or losses for federal income tax purposes.
7. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity
Annual Report
Notes to Financial Statements - continued
7. Committed Line of Credit - continued
purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $25,772 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $979,154.
9. Expense Reductions.
Commissions paid to certain brokers with whom the investment adviser, or its affiliates, places trades on behalf of the Fund include an amount in addition to trade execution, which may be rebated back to the Fund to offset certain expenses. This amount totaled $185 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,942.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class A | $ 19,261,143 | $ 13,954,534 |
Class T | 1,998,555 | 1,278,101 |
Class B | 71,894 | 98,704 |
Annual Report
10. Distributions to Shareholders - continued
Years ended August 31, | 2015 A | 2014 |
From net investment income |
|
|
Class C | $ 2,070,818 | $ 1,370,977 |
Total Bond | 468,456,666 | 365,495,794 |
Class I | 28,443,167 | 9,973,176 |
Class Z | 2,925,269 | - |
Total | $ 523,227,512 | $ 392,171,286 |
From net realized gain |
|
|
Class A | $ 2,146,775 | $ 5,373,525 |
Class T | 193,116 | 488,998 |
Class B | 13,138 | 67,567 |
Class C | 303,573 | 778,077 |
Total Bond | 47,388,889 | 118,942,382 |
Class I | 2,323,382 | 2,380,714 |
Total | $ 52,368,873 | $ 128,031,263 |
A Distributions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class A |
|
|
|
|
Shares sold | 46,571,257 | 26,077,273 | $ 499,377,221 | $ 277,129,495 |
Reinvestment of distributions | 1,930,629 | 1,748,624 | 20,670,065 | 18,500,215 |
Shares redeemed | (26,903,901) | (17,864,267) | (288,269,536) | (188,866,328) |
Net increase (decrease) | 21,597,985 | 9,961,630 | $ 231,777,750 | $ 106,763,382 |
Class T |
|
|
|
|
Shares sold | 6,974,914 | 2,788,455 | $ 74,605,782 | $ 29,566,996 |
Reinvestment of distributions | 199,988 | 156,306 | 2,136,905 | 1,651,554 |
Shares redeemed | (2,893,126) | (2,607,297) | (30,963,185) | (27,459,813) |
Net increase (decrease) | 4,281,776 | 337,464 | $ 45,779,502 | $ 3,758,737 |
Class B |
|
|
|
|
Shares sold | 54,717 | 54,926 | $ 586,026 | $ 586,880 |
Reinvestment of distributions | 6,657 | 13,145 | 71,357 | 138,775 |
Shares redeemed | (161,541) | (332,831) | (1,731,933) | (3,513,622) |
Net increase (decrease) | (100,167) | (264,760) | $ (1,074,550) | $ (2,787,967) |
Annual Report
Notes to Financial Statements - continued
11. Share Transactions - continued
| Shares | Dollars | ||
Years ended August 31, | 2015A | 2014 | 2015A | 2014 |
Class C |
|
|
|
|
Shares sold | 8,235,348 | 3,017,051 | $ 88,316,556 | $ 32,060,704 |
Reinvestment of distributions | 196,619 | 175,726 | 2,104,956 | 1,856,402 |
Shares redeemed | (2,989,581) | (3,020,982) | (31,990,728) | (31,912,884) |
Net increase (decrease) | 5,442,386 | 171,795 | $ 58,430,784 | $ 2,004,222 |
Total Bond |
|
|
|
|
Shares sold | 1,119,099,210 | 472,537,567 | $ 12,023,173,893 | $ 5,013,051,437 |
Reinvestment of distributions | 46,138,120 | 43,741,412 | 493,997,692 | 463,024,654 |
Shares redeemed | (866,846,007) | (266,060,657) | (9,307,894,830) | (2,814,029,450) |
Net increase (decrease) | 298,391,323 | 250,218,322 | $ 3,209,276,755 | $ 2,662,046,641 |
Class I |
|
|
|
|
Shares sold | 96,458,549 | 37,515,573 | $ 1,031,052,872 | $ 397,915,160 |
Reinvestment of distributions | 2,698,883 | 1,097,010 | 28,838,468 | 11,632,287 |
Shares redeemed | (31,950,235) | (8,713,037) | (340,167,664) | (92,083,689) |
Net increase (decrease) | 67,207,197 | 29,899,546 | $ 719,723,676 | $ 317,463,758 |
Class Z |
|
|
|
|
Shares sold | 56,087,638 | - | $ 592,975,149 | $ - |
Reinvestment of distributions | 276,639 | - | 2,920,079 | - |
Shares redeemed | (4,332,206) | - | (45,693,097) | - |
Net increase (decrease) | 52,032,071 | - | $ 550,202,131 | $ - |
A Share transactions for Class Z are for the period December 22, 2014 (commencement of sale of shares) to August 31, 2015
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
At the end of the period, Strategic Advisers Core Income Fund was the owner of record of approximately 24% of the total outstanding shares of the Fund. Mutual funds managed by the investment adviser or its affiliates were the owners of record, in the aggregate, of approximately 25% of the total outstanding shares of the Fund.
13. Credit Risk.
The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.
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 August 31, 2015, 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 periods indicated, 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 August 31, 2015 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 23, 2015
Annual Report
Trustees and Officers
The Trustees, Member of the Advisory Board, and 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, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for Elizabeth S. Acton and John Engler, each of the Trustees oversees 235 funds. Ms. Acton and Mr. Engler each oversee 219 funds.
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) of the trust and the fund (Independent Trustee), shall retire not later than the last day of the month in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The officers and Advisory Board Member 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.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Marie L. Knowles serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, asset allocation, and certain equity funds, and other Boards oversee Fidelity's high income, sector and other equity funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Boards. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates, and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. In addition, an ad hoc Board committee of Independent Trustees has worked with FMR to enhance the Board's oversight of investment and financial risks, legal and regulatory risks, technology risks, and operational risks, including the development of additional risk reporting to the Board. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate, including an annual review of Fidelity's risk management program for the Fidelity funds. The responsibilities of each standing committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
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 Trustee*:
Correspondence intended for the Trustee who is an interested person may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210.
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (1961) | |
Year of Election or Appointment: 2009 Trustee Chairman of the Board of Trustees | |
| Ms. Johnson also serves as Trustee of other Fidelity funds. Ms. Johnson serves as President (2013-present) and Chief Executive Officer (2014-present) of FMR LLC (diversified financial services company), President of Fidelity Financial Services (2012-present) and President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is Chairman and Director of FMR Co., Inc. (investment adviser firm, 2011-present), Chairman and Director of FMR (investment adviser firm, 2011-present), and the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc. (investment adviser firm), and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
* Trustee has been determined to be an "Interested Trustee" by virtue of, among other things, her affiliation with the trust or various entities under common control with FMR.
Annual Report
+ The information above includes the Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to the Trustee's qualifications to serve as a Trustee, which led to the conclusion that the Trustee should serve as a Trustee for each fund.
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, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
Elizabeth S. Acton (1951) | |
Year of Election or Appointment: 2013 Trustee | |
| Ms. Acton also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Prior to her retirement in April 2012, Ms. Acton was Executive Vice President, Finance (2011-2012), Executive Vice President, Chief Financial Officer (2002-2011), and Treasurer (2004-2005) of Comerica Incorporated (financial services). Prior to joining Comerica, Ms. Acton held a variety of positions at Ford Motor Company (1983-2002), including Vice President and Treasurer (2000-2002) and Executive Vice President and Chief Financial Officer of Ford Motor Credit Company (1998-2000). Ms. Acton currently serves as a member of the Board of Directors and Audit and Finance Committees of Beazer Homes USA, Inc. (homebuilding, 2012-present). |
Name, Year of Birth; Principal Occupations and Other Relevant Experience+ | |
John Engler (1948) | |
Year of Election or Appointment: 2014 Trustee | |
| Mr. Engler also serves as Trustee or Member of the Advisory Board of other Fidelity funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors/trustees for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present), K12 Inc. (technology-based education company, 2012-present), and the Annie E. Casey Foundation (2004-present). Previously, Mr. Engler served as a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011) and as governor of Michigan (1991-2003). He is a past chairman of the National Governors Association. |
Albert R. Gamper, Jr. (1942) | |
Year of Election or Appointment: 2006 Trustee | |
| Mr. Gamper also serves as Trustee of other Fidelity funds. 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 (2002-2003). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), and Member of the Board of Trustees of Barnabas Health Care System (1997-present). Previously, Mr. Gamper served as Chairman (2012-2015) and Vice Chairman (2011-2012) of the Independent Trustees of certain Fidelity funds and as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (1951) | |
Year of Election or Appointment: 2010 Trustee | |
| Mr. Gartland also serves as Trustee of other Fidelity funds. Mr. Gartland is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Previously, Mr. Gartland served as a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-2011). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (1947) | |
Year of Election or Appointment: 2008 Vice Chairman of the Independent Trustees | |
| Mr. Johnson also serves as Trustee of other Fidelity funds. Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation plc (diversified power management, 2009-present), AGL Resources, Inc. (holding company, 2002-present) and Booz Allen Hamilton (management consulting, 2011-present). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson is not related to Ms. Abigail P. Johnson. |
Michael E. Kenneally (1954) | |
Year of Election or Appointment: 2009 Trustee | |
| Mr. Kenneally also serves as Trustee of other Fidelity funds. Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management. Before joining Credit Suisse, he was an Executive Vice President and Chief Investment Officer for Bank of America Corporation. Earlier roles at Bank of America included Director of Research, Senior Portfolio Manager and Research Analyst, and Mr. Kenneally was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (1940) | |
Year of Election or Appointment: 2007 Trustee | |
| Mr. Keyes also serves as Trustee of other Fidelity funds. Mr. Keyes serves as a member of the Board and Non-Executive Chairman of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002). Previously, Mr. Keyes served as a member of the Board of Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, 1998-2013). Prior to his retirement, Mr. Keyes served as Chairman (1993-2002) and Chief Executive Officer (1988-2002) of Johnson Controls (automotive, building, and energy) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (1946) | |
Year of Election or Appointment: 2001 Trustee Chairman of the Independent Trustees | |
| Ms. Knowles also serves as Trustee of other Fidelity funds. 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. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California. Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007), URS Corporation (engineering and construction, 2000-2003) and America West (airline, 1999-2002). Ms Knowles previously served as Vice Chairman of the Independent Trustees of certain Fidelity funds (2012-2015). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Advisory Board Member and Officers:
Correspondence intended for each officer and Geoffrey A. von Kuhn may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation | |
Geoffrey A. von Kuhn (1951) | |
Year of Election or Appointment: 2015 Member of the Advisory Board | |
| Mr. von Kuhn also serves as Trustee or Member of the Advisory Board of other Fidelity funds. Mr. von Kuhn is Chief Administrative Officer for FMR LLC (diversified financial services company, 2013-present), a Director of Pembroke Real Estate, Inc. (2009-present), and a Director of Discovery Natural Resources LLC (2012-present). Previously, Mr. von Kuhn was a managing director of Crosby Group (private wealth management company, 2007-2013), a member of the management committee and senior executive in the Wealth Management Group of AmSouth Bank (2001-2006), and head of the U.S. private bank at Citigroup (2000-2001). |
Elizabeth Paige Baumann (1968) | |
Year of Election or Appointment: 2012 Anti-Money Laundering (AML) Officer | |
| Ms. Baumann also serves as AML Officer of other funds. She is Chief AML Officer of FMR LLC (diversified financial services company, 2012-present) and is an employee of Fidelity Investments. Previously, Ms. Baumann served as Vice President and Deputy Anti-Money Laundering Officer (2007-2012). |
Marc R. Bryant (1966) | |
Year of Election or Appointment: 2015 Secretary and Chief Legal Officer (CLO) | |
| Mr. Bryant also serves as Secretary and CLO of other funds. He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and Chief Legal Officer of Fidelity Rutland Square Trust II (2010-2014) and Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds (2013-2015). Prior to joining Fidelity Investments, Mr. Bryant served as a Senior Vice President and the Head of Global Retail Legal for AllianceBernstein L.P. (2006-2010), and as the General Counsel for ProFund Advisors LLC (2001-2006). |
Jonathan Davis (1968) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Davis also serves as Assistant Treasurer of other funds, and is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (diversified financial services company, 2003-2010). |
Adrien E. Deberghes (1967) | |
Year of Election or Appointment: 2010 Assistant Treasurer | |
| Mr. Deberghes also serves as an officer of other funds. He is an employee of Fidelity Investments (2008-present). Prior to joining Fidelity Investments, Mr. Deberghes was Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Stephanie J. Dorsey (1969) | |
Year of Election or Appointment: 2013 President and Treasurer | |
| Ms. Dorsey also serves as an officer of other funds. She is an employee of Fidelity Investments (2008-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Howard J. Galligan III (1966) | |
Year of Election or Appointment: 2014 Chief Financial Officer | |
| Mr. Galligan also serves as Chief Financial Officer of other funds. Mr. Galligan serves as President of Fidelity Pricing and Cash Management Services (FPCMS) (2014-present) and as a Director of Strategic Advisers, Inc. (investment adviser firm, 2008-present). Previously, Mr. Galligan served as Chief Administrative Officer of Asset Management (2011-2014) and Chief Operating Officer and Senior Vice President of Investment Support for Strategic Advisers, Inc. (2003-2011). |
Scott C. Goebel (1968) | |
Year of Election or Appointment: 2015 Vice President | |
| Mr. Goebel serves as an officer of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel also serves as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-present), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-present) and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-present); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-present) and FMR Co., Inc. (investment adviser firm, 2008-present); Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-present); and Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-present) and FMR Investment Management (U.K.) Limited (investment adviser firm, 2008-present). Previously, Mr. Goebel served as Secretary and CLO of certain Fidelity funds (2008-2015), Assistant Secretary of FIMM (2008-2010), FRAC (2008-2010), and certain funds (2007-2008); and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
Chris Maher (1972) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Mr. Maher serves as Assistant Treasurer of other funds. Mr. Maher is Vice President of Valuation Oversight and is an employee of Fidelity Investments. Previously, Mr. Maher served as Vice President of Asset Management Compliance (2013), Vice President of the Program Management Group of FMR (investment adviser firm, 2010-2013), and Vice President of Valuation Oversight (2008-2010). |
Jason P. Pogorelec (1975) | |
Year of Election or Appointment: 2015 Assistant Secretary | |
| Mr. Pogorelec also serves as Assistant Secretary of other funds. Mr. Pogorelec serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2006- present). |
Nancy D. Prior (1967) | |
Year of Election or Appointment: 2014 Vice President | |
| Ms. Prior also serves as Vice President of other funds. Ms. Prior serves as a Director of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2014-present), President, Fixed Income (2014-present), Vice Chairman of Pyramis Global Advisors, LLC (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2002-present). Previously, Ms. Prior served as Vice President of Fidelity's Money Market Funds (2012-2014), President, Money Market and Short Duration Bond of FMR (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2014), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of other Fidelity funds (2008-2009). |
Kenneth B. Robins (1969) | |
Year of Election or Appointment: 2009 Assistant Treasurer | |
| Mr. Robins also serves as an officer of other funds. Mr. Robins serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2013-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served in other fund officer roles. |
Stephen Sadoski (1971) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Mr. Sadoski also serves as Deputy Treasurer of other funds. He is an employee of Fidelity Investments (2012-present) and has served in another fund officer role. Prior to joining Fidelity Investments, Mr. Sadoski served as an assistant chief accountant in the Division of Investment Management of the Securities and Exchange Commission (SEC) (2009-2012) and as a senior manager at Deloitte & Touche LLP (1997-2009). |
Stacie M. Smith (1974) | |
Year of Election or Appointment: 2013 Assistant Treasurer | |
| Ms. Smith also serves as an officer of other funds. She is an employee of Fidelity Investments (2009-present) and has served in other fund officer roles. Prior to joining Fidelity Investments, Ms. Smith served as Senior Audit Manager of Ernst & Young LLP (1996-2009). |
Renee Stagnone (1975) | |
Year of Election or Appointment: 2013 Deputy Treasurer | |
| Ms. Stagnone also serves as Deputy Treasurer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). |
Christine J. Thompson (1958) | |
Year of Election or Appointment: 2015 Vice President of Fidelity's Bond Funds | |
| Ms. Thompson also serves as Vice President of other funds. Ms. Thompson also serves as Chief Investment Officer of FMR's Bond Group (2010-present) and is an employee of Fidelity Investments (1985-present). Previously, Ms. Thompson served as Vice President of Fidelity's Bond Funds (2010-2012). |
Michael H. Whitaker (1967) | |
Year of Election or Appointment: 2008 Chief Compliance Officer | |
| Mr. Whitaker also serves as Chief Compliance Officer of other funds. Mr. Whitaker also serves as Compliance Officer of FMR Co., Inc. (investment adviser firm, 2014-present), FMR (investment adviser firm, 2014-present), Fidelity Investments Money Management, Inc. (investment adviser firm, 2014-present), and is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Joseph F. Zambello (1957) | |
Year of Election or Appointment: 2011 Deputy Treasurer | |
| Mr. Zambello also serves as Deputy Treasurer of other funds. Mr. Zambello is an employee of Fidelity Investments (1991-present). Previously, Mr. Zambello served as Vice President of the Program Management Group of FMR (investment adviser firm, 2009-2011) and Vice President of the Transfer Agent Oversight Group (2005-2009). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Fidelity Total Bond Fund voted to pay on October 12, 2015, to shareholders of record at the opening of business on October 9, 2015, a distribution of $0.059 per share derived from capital gains realized from sales of portfolio securities.
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2015 $74,755,347, or, if subsequently determined to be different, the net capital gain of such year.
A total of 12.07% 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 $322,364,085 of distributions paid during the period January 1, 2015 to August 31, 2015 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2016 of amounts for use in preparing 2015 income tax returns.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
FMR Investment Management
(UK) Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
Fidelity Investments
Money Management, Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors
(UK) Limited
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
JPMorgan Chase Bank
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®)
1-800-544-5555
Automated line for quickest service
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
245 Summer St., Boston, MA 02210
www.fidelity.com
TBD-UANN-1015 1.789712.112
Item 2. Code of Ethics
As of the end of the period, August 31, 2015, 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 Elizabeth S. Acton is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Acton is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by PricewaterhouseCoopers LLP ("PwC") in each of the last two fiscal years for services rendered to Fidelity Government Income Fund, Fidelity Intermediate Government Income Fund and Fidelity Total Bond Fund (the "Funds"):
Services Billed by PwC
August 31, 2015 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Government Income Fund | $81,000 | $- | $4,900 | $3,100 |
Fidelity Intermediate Government Income Fund | $77,000 | $- | $3,300 | $1,900 |
Fidelity Total Bond Fund | $179,000 | $- | $13,300 | $8,100 |
August 31, 2014 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Government Income Fund | $81,000 | $- | $4,000 | $3,100 |
Fidelity Intermediate Government Income Fund | $77,000 | $- | $3,400 | $1,900 |
Fidelity Total Bond Fund | $170,000 | $- | $7,600 | $6,200 |
A Amounts may reflect rounding.
The following table presents fees billed by PwC that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Funds and that are 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 Funds ("Fund Service Providers"):
Services Billed by PwC
| August 31, 2015A | August 31, 2014A |
Audit-Related Fees | $4,730,000 | $4,935,000 |
Tax Fees | $- | $- |
All Other Fees | $- | $20,000 |
A Amounts may reflect rounding.
"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by PwC for services rendered to 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 any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | August 31, 2015 A | August 31, 2014 A | |
PwC | $6,085,000 | $6,090,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit 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 Funds, taking into account representations from PwC, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Funds and their related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's 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 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.
All Covered Services 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.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Funds' last two fiscal years relating to services to (i) the Funds or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Funds.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's 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 each Fund provide reasonable assurances that material information relating to such 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 a 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, a 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/ Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | October 28, 2015 |
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/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | October 28, 2015 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | October 28, 2015 |