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, 2016 |
Item 1.
Reports to Stockholders
Fidelity Advisor® Government Income Fund - Class A, Class T, Class C and Class I Annual Report August 31, 2016 Class A, Class T, Class C and Class I are classes of Fidelity® Government Income Fund |
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
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. © 2016 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of 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 hypothetical investment and the average annual total 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
For the periods ended August 31, 2016 | Past 1 year | Past 5 years | Past 10 years |
Class A (incl. 4.00% sales charge) | (0.24)% | 1.29% | 3.72% |
Class T (incl. 4.00% sales charge) | (0.23)% | 1.30% | 3.73% |
Class C (incl. contingent deferred sales charge) | 2.12% | 1.34% | 3.37% |
Class I | 4.19% | 2.39% | 4.41% |
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 October 24, 2006, would have been lower.
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.
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.
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 A on August 31, 2006, 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 previous page for additional information regarding the performance of Class A.
![](https://capedge.com/proxy/N-CSR/0001379491-16-006641/img140068334_740.jpg)
Period Ending Values | ||
$14,402 | Fidelity Advisor® Government Income Fund - Class A | |
$15,446 | Barclays® U.S. Government Bond Index |
Management's Discussion of Fund Performance
Market Recap: Taxable investment-grade bonds gained solidly for the 12 months ending August 31, 2016, a volatile period marked by persistent concern about global growth, divergent global monetary policies and Brexit – the U.K.’s late-June referendum vote to leave the European Union. The Barclays® U.S. Aggregate Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, partly as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities. Bond yields trended lower and the yield curve flattened for much of the period, especially in early 2016, soon after the U.S. Federal Reserve raised policy interest rates. Still, U.S. yields remained higher than those in most industrial countries, especially in Japan and parts of Europe, where rates largely were negative. Within the Barclays index, investment-grade corporate bonds led all major market segments by far, with a return of 9.64%. U.S. Treasuries, meanwhile, lagged many spread-based sectors, returning 5.14%. Commercial mortgage-backed securities topped the index, returning 6.72%, although most other securitized sectors fell short. Riskier, non-core fixed-income segments, including emerging-markets debt, led the broader market amid a strong surge in the period’s second half.Comments from Lead Portfolio Manager William Irving: For the year, most of the fund’s share classes (excluding sales charges, if applicable), posted gains ranging from slightly above to slightly below 4%, trailing, net of fees, the 4.74% return of the Barclays 75% U.S. Government/25% U.S. MBS Blended Index. The fund’s out-of-index exposure to Treasury Inflation-Protected Securities hurt performance. These holdings, which we eliminated from the portfolio in March, performed poorly when we owned them as investors shunned inflation protection. We also lost a bit of ground relative to the benchmark from security selection among residential mortgage-backed securities. Here, our stake in TBA (to be announced) securities worked against. We paired these securities with floating-rate securities to synthesize mortgage exposure. However, this strategy underperformed: the floaters dropped in price and the TBAs got more expensive to buy forward. In contrast, holdings in out-of-benchmark commercial mortgage-backed securities (CMBS) issued by Freddie Mac aided our relative result, as they outpaced most other government bond sectors in the benchmark. Our positioning within the government agency debentures sector—with a bias toward comparatively high-yielding niche issuers—also added value.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.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Coupon Distribution as of August 31, 2016
% of fund's investments | % of fund's investments 6 months ago | |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 7.9 | 11.9 |
1 - 1.99% | 26.9 | 27.6 |
2 - 2.99% | 16.8 | 14.9 |
3 - 3.99% | 23.2 | 21.6 |
4 - 4.99% | 15.0 | 13.6 |
5 - 5.99% | 8.6 | 9.0 |
6 - 6.99% | 0.4 | 0.5 |
7 - 7.99% | 0.1 | 0.0 |
8% and above | 0.4 | 0.6 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of August 31, 2016*,** | ||
Mortgage Securities | 31.5% | |
CMOs and Other Mortgage Related Securities | 22.1% | |
U.S. Treasury Obligations | 44.9% | |
U.S. Government Agency Obligations*** | 3.1% | |
Foreign Government & Government Agency Obligations | 3.3% | |
Short-Term Investments and Net Other Assets (Liabilities)† | (4.9)% |
* Foreign investments - 3.3%
** Futures and Swaps - 1.1%
*** Includes NCUA Guaranteed Notes
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
As of February 29, 2016*,** | ||
Mortgage Securities | 23.9% | |
CMOs and Other Mortgage Related Securities | 24.0% | |
U.S. Treasury Obligations | 46.3% | |
U.S. Government Agency Obligations*** | 3.2% | |
Foreign Government & Government Agency Obligations | 3.4% | |
Short-Term Investments and Net Other Assets (Liabilities)† | (0.8)% |
* Foreign investments - 3.4%
** Futures and Swaps - 0.7%
*** Includes NCUA Guaranteed Notes
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Investments August 31, 2016
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 48.0% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 1.4% | |||
Fannie Mae: | |||
0.875% 8/2/19 | $131 | $130 | |
1% 2/26/19 | 326 | 326 | |
1.125% 12/14/18 | 240 | 241 | |
Small Business Administration guaranteed development participation certificates: | |||
Series 2002-20J Class 1, 4.75% 10/1/22 | 948 | 996 | |
Series 2002-20K Class 1, 5.08% 11/1/22 | 1,368 | 1,461 | |
Series 2004-20H Class 1, 5.17% 8/1/24 | 592 | 641 | |
Tennessee Valley Authority: | |||
1.75% 10/15/18 | 23,006 | 23,380 | |
4.25% 9/15/65 | 25,633 | 31,132 | |
5.25% 9/15/39 | 2,807 | 3,957 | |
5.375% 4/1/56 | 3,438 | 4,953 | |
67,217 | |||
U.S. Treasury Obligations - 44.9% | |||
U.S. Treasury Bonds: | |||
2.25% 8/15/46 | 9,071 | 9,103 | |
2.5% 2/15/46 | 18,500 | 19,542 | |
2.5% 5/15/46 | 21,500 | 22,751 | |
2.875% 8/15/45 | 119,495 | 135,879 | |
3% 11/15/44 | 29,032 | 33,791 | |
3% 11/15/45 | 40,000 | 46,602 | |
3.625% 2/15/44 | 45,031 | 58,503 | |
4.375% 2/15/38 | 78,154 | 110,893 | |
4.375% 5/15/40 | 4,000 | 5,690 | |
5% 5/15/37 (a)(b) | 41,142 | 62,708 | |
U.S. Treasury Notes: | |||
0.75% 2/28/18 | 4,631 | 4,629 | |
0.75% 4/30/18 | 18,000 | 17,986 | |
0.75% 7/31/18 | 21,000 | 20,975 | |
0.75% 8/31/18 | 85,000 | 84,894 | |
0.75% 7/15/19 | 15,000 | 14,927 | |
0.75% 8/15/19 | 64,855 | 64,523 | |
0.875% 7/15/18 | 228 | 228 | |
0.875% 6/15/19 | 50,303 | 50,240 | |
1% 5/31/18 | 34,635 | 34,747 | |
1.125% 1/15/19 | 25,562 | 25,710 | |
1.125% 7/31/21(c) | 45,586 | 45,403 | |
1.125% 8/31/21 | 30,000 | 29,895 | |
1.25% 11/30/18 | 15,000 | 15,131 | |
1.375% 7/31/18 | 14,780 | 14,935 | |
1.375% 9/30/18 | 17,526 | 17,718 | |
1.375% 2/28/19 | 69,770 | 70,620 | |
1.375% 3/31/20 | 144,474 | 146,102 | |
1.375% 4/30/20 | 4,172 | 4,219 | |
1.375% 8/31/20 | 5,000 | 5,049 | |
1.375% 1/31/21 | 27,500 | 27,731 | |
1.375% 4/30/21 | 20,000 | 20,159 | |
1.375% 5/31/21 | 20,000 | 20,166 | |
1.375% 8/31/23 | 57,341 | 57,043 | |
1.5% 12/31/18 | 10,768 | 10,924 | |
1.5% 1/31/19 | 6,408 | 6,503 | |
1.5% 10/31/19 | 5,655 | 5,746 | |
1.5% 1/31/22 | 54,399 | 54,990 | |
1.5% 2/28/23 | 58,062 | 58,375 | |
1.5% 3/31/23 | 30,000 | 30,145 | |
1.5% 8/15/26 | 15,000 | 14,890 | |
1.625% 4/30/19 | 11,603 | 11,824 | |
1.625% 6/30/19 | 51,223 | 52,229 | |
1.625% 12/31/19 | 41,368 | 42,197 | |
1.625% 6/30/20 | 4,710 | 4,803 | |
1.625% 7/31/20 | 30,000 | 30,593 | |
1.625% 2/15/26 | 15,000 | 15,047 | |
1.625% 5/15/26 | 26,000 | 26,075 | |
1.75% 9/30/19 | 58,087 | 59,473 | |
1.75% 10/31/20 | 18,000 | 18,435 | |
1.75% 12/31/20 | 119,701 | 122,633 | |
1.75% 2/28/22 | 5,000 | 5,118 | |
2% 9/30/20 | 107,107 | 110,760 | |
2% 7/31/22 | 18,845 | 19,541 | |
2% 11/30/22 | 61,423 | 63,664 | |
2% 8/15/25 | 65,444 | 67,783 | |
2.125% 6/30/21 | 22,000 | 22,938 | |
2.125% 12/31/21 | 2,000 | 2,087 | |
2.25% 7/31/21 | 26,021 | 27,289 | |
2.25% 11/15/25 | 34,249 | 36,210 | |
2,218,764 | |||
Other Government Related - 1.7% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1.0146% 12/7/20 (NCUA Guaranteed) (d) | 3,648 | 3,638 | |
Series 2011-R4 Class 1A, 0.8739% 3/6/20 (NCUA Guaranteed) (d) | 1,835 | 1,834 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 80,580 | |
86,052 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $2,273,912) | 2,372,033 | ||
U.S. Government Agency - Mortgage Securities - 6.3% | |||
Fannie Mae - 4.8% | |||
2.272% 7/1/35 (d) | 60 | 62 | |
2.276% 2/1/33 (d) | 67 | 69 | |
2.29% 11/1/33 (d) | 82 | 86 | |
2.298% 3/1/35 (d) | 78 | 81 | |
2.32% 12/1/34 (d) | 180 | 186 | |
2.35% 10/1/33 (d) | 118 | 122 | |
2.413% 10/1/33 (d) | 54 | 56 | |
2.453% 2/1/44 (d) | 568 | 587 | |
2.502% 4/1/44 (d) | 890 | 919 | |
2.523% 2/1/44 (d) | 520 | 537 | |
2.54% 6/1/42 (d) | 309 | 322 | |
2.551% 1/1/44 (d) | 913 | 943 | |
2.557% 10/1/33 (d) | 112 | 118 | |
2.574% 7/1/34 (d) | 103 | 107 | |
2.582% 3/1/36 (d) | 413 | 431 | |
2.6% 5/1/44 (d) | 997 | 1,030 | |
2.626% 5/1/44 (d) | 1,520 | 1,579 | |
2.627% 3/1/40 (d) | 1,663 | 1,753 | |
2.662% 7/1/35 (d) | 202 | 213 | |
2.678% 4/1/44 (d) | 2,144 | 2,217 | |
2.69% 3/1/37 (d) | 115 | 120 | |
2.693% 2/1/42 (d) | 1,884 | 1,968 | |
2.715% 2/1/36 (d) | 48 | 51 | |
2.751% 1/1/42 (d) | 1,561 | 1,627 | |
2.801% 11/1/36 (d) | 84 | 88 | |
2.803% 6/1/36 (d) | 159 | 166 | |
2.833% 3/1/35 (d) | 79 | 83 | |
2.951% 11/1/40 (d) | 170 | 179 | |
2.98% 9/1/41 (d) | 203 | 212 | |
2.991% 10/1/41 (d) | 98 | 103 | |
3% 6/1/45 to 11/1/45 | 2,870 | 2,980 | |
3% 9/1/46 (e) | 4,500 | 4,666 | |
3% 9/1/46 (e) | 3,770 | 3,909 | |
3% 9/1/46 (e) | 8,800 | 9,125 | |
3% 10/1/46 (e) | 4,500 | 4,657 | |
3% 10/1/46 (e) | 8,800 | 9,107 | |
3% 10/1/46 (e) | 3,770 | 3,902 | |
3.007% 5/1/36 (d) | 115 | 122 | |
3.229% 7/1/41 (d) | 302 | 318 | |
3.352% 10/1/41 (d) | 159 | 167 | |
3.5% 9/1/46 (e) | 92,000 | 96,923 | |
3.557% 7/1/41 (d) | 389 | 409 | |
4% 5/1/29 to 2/1/42 | 61,992 | 66,267 | |
4.5% 7/1/33 to 4/1/39 | 3,978 | 4,393 | |
5% 7/1/35 | 8,326 | 9,288 | |
5.5% 1/1/29 | 1,751 | 1,968 | |
6.5% 2/1/17 to 5/1/27 | 313 | 358 | |
9.5% 10/1/20 | 9 | 10 | |
11.5% 1/15/21 | 1 | 1 | |
234,585 | |||
Freddie Mac - 0.6% | |||
2.32% 3/1/35 (d) | 294 | 303 | |
2.582% 5/1/37 (d) | 220 | 229 | |
2.71% 2/1/36 (d) | 22 | 24 | |
2.823% 10/1/42 (d) | 1,329 | 1,405 | |
2.916% 3/1/33 (d) | 7 | 8 | |
2.975% 10/1/41 (d) | 2,685 | 2,824 | |
2.99% 6/1/35 (d) | 168 | 177 | |
3% 2/1/31 to 2/1/43 | 15,769 | 16,568 | |
3.067% 7/1/35 (d) | 866 | 922 | |
3.068% 9/1/41 (d) | 1,824 | 1,909 | |
3.193% 9/1/41 (d) | 222 | 233 | |
3.231% 4/1/41 (d) | 228 | 238 | |
3.286% 6/1/41 (d) | 236 | 248 | |
3.295% 7/1/36 (d) | 309 | 329 | |
3.417% 5/1/41 (d) | 183 | 192 | |
3.581% 10/1/35 (d) | 153 | 164 | |
3.627% 6/1/41 (d) | 339 | 356 | |
3.704% 5/1/41 (d) | 299 | 315 | |
4.5% 5/1/39 to 10/1/41 | 3,344 | 3,706 | |
5.5% 7/1/29 | 36 | 41 | |
6% 1/1/24 | 1,308 | 1,436 | |
9.5% 6/1/18 to 8/1/21 | 11 | 12 | |
31,639 | |||
Ginnie Mae - 0.9% | |||
4.3% 8/20/61 (f) | 4,073 | 4,216 | |
4.649% 2/20/62 (f) | 2,912 | 3,065 | |
4.682% 2/20/62 (f) | 3,867 | 4,053 | |
4.684% 1/20/62 (f) | 22,772 | 23,853 | |
5.47% 8/20/59 (f) | 677 | 688 | |
5.5% 11/15/35 | 2,107 | 2,427 | |
5.612% 4/20/58 (f) | 66 | 66 | |
6% 6/15/36 | 4,656 | 5,411 | |
43,779 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $308,096) | 310,003 | ||
Collateralized Mortgage Obligations - 15.8% | |||
U.S. Government Agency - 15.8% | |||
Fannie Mae: | |||
floater: | |||
Series 2001-38 Class QF, 1.5044% 8/25/31 (d) | 111 | 113 | |
Series 2002-49 Class FB, 1.1074% 11/18/31 (d) | 99 | 99 | |
Series 2002-60 Class FV, 1.5244% 4/25/32 (d) | 43 | 43 | |
Series 2002-75 Class FA, 1.5244% 11/25/32 (d) | 87 | 89 | |
Series 2010-15 Class FJ, 1.4544% 6/25/36 (d) | 6,636 | 6,719 | |
planned amortization class: | |||
Series 2005-19 Class PA, 5.5% 7/25/34 | 1,951 | 2,078 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 1,067 | 1,087 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,034 | 2,232 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 4,837 | 5,460 | |
Series 2006-45 Class OP, 6/25/36(g) | 917 | 834 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 7,053 | 7,704 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 1,046 | 1,130 | |
Series 2004-91 Class Z, 5% 12/25/34 | 6,450 | 7,182 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 645 | 692 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 1,947 | 2,169 | |
Series 2006-72 Class CY, 6% 8/25/26 | 4,030 | 4,423 | |
Series 2009-59 Class HB, 5% 8/25/39 | 2,729 | 3,038 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 10,927 | 12,057 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (h) | 379 | 25 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (h) | 567 | 36 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 4,497 | 566 | |
Series 2010-39 Class FG, 1.4444% 3/25/36 (d) | 4,088 | 4,164 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 1,282 | 71 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 7,913 | 8,684 | |
Series 2016-26 Class CG, 3% 5/25/46 | 26,470 | 27,563 | |
Freddie Mac: | |||
floater: | |||
Series 2530 Class FE, 1.1077% 2/15/32 (d) | 57 | 58 | |
Series 2630 Class FL, 1.0077% 6/15/18 (d) | 28 | 28 | |
Series 2682 Class FB, 1.4077% 10/15/33 (d) | 3,710 | 3,756 | |
Series 2711 Class FC, 1.4077% 2/15/33 (d) | 2,047 | 2,072 | |
planned amortization class: | |||
Series 1141 Class G, 9% 9/15/21 | 43 | 48 | |
Series 2356 Class GD, 6% 9/15/16 | 0 | 0 | |
Series 2376 Class JE, 5.5% 11/15/16 | 11 | 11 | |
Series 2381 Class OG, 5.5% 11/15/16 | 1 | 1 | |
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 840 | |
Series 3415 Class PC, 5% 12/15/37 | 611 | 666 | |
Series 3763 Class QA, 4% 4/15/34 | 1,497 | 1,523 | |
Series 3840 Class VA, 4.5% 9/15/27 | 4,162 | 4,388 | |
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 575 | 577 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 8,822 | 10,022 | |
Series 2587 Class AD, 4.71% 3/15/33 | 3,856 | 4,124 | |
Series 2773 Class HC, 4.5% 4/15/19 | 328 | 336 | |
Series 2877 Class ZD, 5% 10/15/34 | 7,766 | 8,633 | |
Series 3007 Class EW, 5.5% 7/15/25 | 6,242 | 6,816 | |
Series 3745 Class KV, 4.5% 12/15/26 | 6,824 | 7,449 | |
Series 3806 Class L, 3.5% 2/15/26 | 8,900 | 9,705 | |
Series 3871 Class KB, 5.5% 6/15/41 | 13,870 | 15,607 | |
Series 3889 Class DZ, 4% 1/15/41 | 33,433 | 37,090 | |
Series 3843 Class PZ, 5% 4/15/41 | 2,434 | 3,026 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 9,042 | 9,662 | |
Series 4341 Class ML, 3.5% 11/15/31 | 12,563 | 13,285 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2008-2 Class FD, 0.9924% 1/20/38 (d) | 298 | 299 | |
Series 2008-73 Class FA, 1.3724% 8/20/38 (d) | 2,234 | 2,270 | |
Series 2008-83 Class FB, 1.4124% 9/20/38 (d) | 2,044 | 2,080 | |
Series 2009-108 Class CF, 1.1067% 11/16/39 (d) | 1,300 | 1,309 | |
Series 2011-H20 Class FA, 1.0176% 9/20/61 (d)(f) | 9,520 | 9,501 | |
Series 2011-H21 Class FA, 1.0676% 10/20/61 (d)(f) | 6,439 | 6,438 | |
Series 2012-H01 Class FA, 1.1676% 11/20/61 (d)(f) | 5,530 | 5,550 | |
Series 2012-H03 Class FA, 1.1676% 1/20/62 (d)(f) | 3,435 | 3,447 | |
Series 2012-H06 Class FA, 1.0976% 1/20/62 (d)(f) | 5,299 | 5,304 | |
Series 2012-H07 Class FA, 1.0976% 3/20/62 (d)(f) | 3,119 | 3,122 | |
Series 2013-H19: | |||
Class FC, 1.0676% 8/20/63 (d)(f) | 1,176 | 1,176 | |
Class FD, 1.0676% 8/20/63 (d)(f) | 3,100 | 3,099 | |
Series 2014-H02 Class FB, 1.1176% 12/20/63 (d)(f) | 38,399 | 38,476 | |
Series 2014-H03 Class FA, 1.0676% 1/20/64 (d)(f) | 15,346 | 15,344 | |
Series 2015-H07 Class FA, 0.3% 3/20/65 (d)(f) | 21,864 | 21,784 | |
Series 2015-H13 Class FL, 0.7476% 5/20/63 (d)(f) | 28,397 | 28,293 | |
Series 2015-H19 Class FA, 0.6676% 4/20/63 (d)(f) | 27,411 | 27,282 | |
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 21 | 21 | |
planned amortization class Series 2010-31 Class BP, 5% 3/20/40 | 11,191 | 12,953 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 11,326 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (f) | 5,989 | 5,975 | |
Series 2013-H26 Class HA, 3.5% 9/20/63 (f) | 48,661 | 50,553 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (f) | 6,268 | 6,441 | |
Series 2016-H02 Class FM, 0.9676% 9/20/62 (d)(f) | 23,955 | 23,946 | |
Series 2016-H04 Class FE, 1.1176% 11/20/65 (d)(f) | 6,909 | 6,921 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (f) | 16,467 | 17,321 | |
Series 2010-H17 Class XP, 5.2989% 7/20/60 (d)(f) | 20,210 | 21,200 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(f) | 15,200 | 15,959 | |
Series 2011-71 Class ZB, 5.5% 8/20/34 | 13,279 | 15,069 | |
Series 2012-64 Class KB, 14.4687% 5/20/41 (d) | 247 | 329 | |
Series 2013-124: | |||
Class ES, 7.9834% 4/20/39 (d)(i) | 6,202 | 6,665 | |
Class ST, 8.1168% 8/20/39 (d)(i) | 11,908 | 13,092 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (f) | 16,172 | 16,398 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (f) | 50,497 | 51,042 | |
Class JA, 2.5% 6/20/65 (f) | 6,032 | 6,100 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(f) | 45,866 | 45,764 | |
Series 2016-H13 Class FB, 1.18% 5/20/66 (d)(f) | 27,355 | 27,332 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 13,406 | 16,309 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $780,920) | 783,471 | ||
Commercial Mortgage Securities - 4.2% | |||
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,740 | 4,098 | |
sequential payer: | |||
Series K027 Class A2, 2.637% 1/25/23 | 6,437 | 6,764 | |
Series K029 Class A2, 3.32% 2/25/23 (d) | 3,110 | 3,398 | |
Series K034 Class A1, 2.669% 2/25/23 | 13,736 | 14,104 | |
Series K037 Class A2, 3.49% 1/25/24 | 11,281 | 12,492 | |
Series K710 Class A2, 1.883% 5/25/19 | 8,456 | 8,572 | |
Series K717 Class A2, 2.991% 9/25/21 | 4,531 | 4,818 | |
Series K032 Class A1, 3.016% 2/25/23 | 23,173 | 24,241 | |
Series K039 Class A2, 3.303% 7/25/24 | 24,645 | 27,028 | |
Series K042 Class A2, 2.67% 12/25/24 | 22,200 | 23,360 | |
Series K501 Class A2, 1.655% 11/25/16 | 2,944 | 2,944 | |
2.313% 3/25/20 | 5,437 | 5,601 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series K038 Class A2, 3.389% 3/25/24 | 7,000 | 7,709 | |
Series K044 Class A2, 2.811% 1/25/25 | 58,600 | 62,266 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $201,013) | 207,395 | ||
Foreign Government and Government Agency Obligations - 3.3% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 72,266 | 90,054 | |
5.5% 12/4/23 | 48 | 60 | |
5.5% 4/26/24 | 6,065 | 7,658 | |
Jordanian Kingdom: | |||
2.503% 10/30/20 | 41,050 | 42,991 | |
3% 6/30/25 | 19,267 | 21,114 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $142,762) | 161,877 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 24.8% | |||
Fidelity Mortgage Backed Securities Central Fund (j) | |||
(Cost $1,160,952) | 11,060,897 | 1,224,994 | |
Money Market Funds - 0.1% | |||
Fidelity Cash Central Fund, 0.42% (k) | |||
(Cost $6,187) | 6,187,275 | 6,187 | |
Maturity Amount (000s) | Value (000s) | ||
Cash Equivalents - 0.9% | |||
Investments in repurchase agreements in a joint trading account at 0.5%, dated 8/31/16 due 9/1/16 (Collateralized by U.S. Government Obligations) # (l) | |||
(Cost $44,792) | 44,793 | 44,792 | |
TOTAL INVESTMENT PORTFOLIO - 103.4% | |||
(Cost $4,918,634) | 5,110,752 | ||
NET OTHER ASSETS (LIABILITIES) - (3.4)% | (169,418) | ||
NET ASSETS - 100% | $4,941,334 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3% 9/1/46 | $(4,500) | $(4,666) |
3% 9/1/46 | (8,800) | (9,126) |
3% 9/1/46 | (3,770) | (3,909) |
3.5% 9/1/46 | (70,200) | (73,957) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $91,690) | $(91,658) |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||
Treasury Contracts | |||
57 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 12,444 | $(12) |
The face value of futures purchased as a percentage of Net Assets is 0.3%
Swaps
Clearinghouse/Counterparty(1) | Expiration Date | Notional Amount (000s)(1) | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||
CME | Sep. 2026 | USD 23,200 | 2.25% | 3-month LIBOR | $364 | $0 | $364 |
CME | Sep. 2046 | 1,120 | 2.75% | 3-month LIBOR | 101 | 0 | 101 |
TOTAL INTEREST RATE SWAPS | $465 | $0 | $465 | ||||
(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Values shown as $0 may reflect amounts less than $500.
Legend
(a) 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 $59,000.
(b) 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 $1,100,000
(c) Security or a portion of the security is on loan at period end.
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) 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.
(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(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) 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.
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, 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.
(k) 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.
(l) Includes investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $43 |
Fidelity Mortgage Backed Securities Central Fund | 26,745 |
Total | $26,788 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity Mortgage Backed Securities Central Fund | $1,044,642 | $164,891 | $-- | $1,224,994 | 16.7% |
Total | $1,044,642 | $164,891 | $-- | $1,224,994 |
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $2,372,033 | $-- | $2,372,033 | $-- |
U.S. Government Agency - Mortgage Securities | 310,003 | -- | 310,003 | -- |
Collateralized Mortgage Obligations | 783,471 | -- | 783,471 | -- |
Commercial Mortgage Securities | 207,395 | -- | 207,395 | -- |
Foreign Government and Government Agency Obligations | 161,877 | -- | 161,877 | -- |
Fixed-Income Funds | 1,224,994 | 1,224,994 | -- | -- |
Money Market Funds | 6,187 | 6,187 | -- | -- |
Cash Equivalents | 44,792 | -- | 44,792 | -- |
Total Investments in Securities: | $5,110,752 | $1,231,181 | $3,879,571 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $465 | $-- | $465 | $-- |
Total Assets | $465 | $-- | $465 | $-- |
Liabilities | ||||
Futures Contracts | $(12) | $(12) | $-- | $-- |
Total Liabilities | $(12) | $(12) | $-- | $-- |
Total Derivative Instruments: | $453 | $(12) | $465 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(91,658) | $-- | $(91,658) | $-- |
Total Other Financial Instruments: | $(91,658) | $-- | $(91,658) | $-- |
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, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value (000s) | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $0 | $(12) |
Swaps(b) | 465 | 0 |
Total Value of Derivatives | $465 | $(12) |
(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.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$44,792,000 due 9/01/16 at 0.50% | |
Commerz Markets LLC | $44,792 |
$44,792 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | August 31, 2016 | |
Assets | ||
Investment in securities, at value (including securities loaned of $43,823 and repurchase agreements of $44,792) — See accompanying schedule: Unaffiliated issuers (cost $3,751,495) | $3,879,571 | |
Fidelity Central Funds (cost $1,167,139) | 1,231,181 | |
Total Investments (cost $4,918,634) | $5,110,752 | |
Receivable for investments sold | 249,346 | |
Receivable for TBA sale commitments | 91,690 | |
Receivable for fund shares sold | 3,238 | |
Interest receivable | 13,307 | |
Distributions receivable from Fidelity Central Funds | 17 | |
Other receivables | 50 | |
Total assets | 5,468,400 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $251,545 | |
Delayed delivery | 132,322 | |
TBA sale commitments, at value | 91,658 | |
Payable for fund shares redeemed | 4,384 | |
Distributions payable | 234 | |
Accrued management fee | 1,274 | |
Distribution and service plan fees payable | 174 | |
Payable for daily variation margin for derivative instruments | 9 | |
Other affiliated payables | 625 | |
Other payables and accrued expenses | 49 | |
Collateral on securities loaned, at value | 44,792 | |
Total liabilities | 527,066 | |
Net Assets | $4,941,334 | |
Net Assets consist of: | ||
Paid in capital | $4,788,760 | |
Distributions in excess of net investment income | (8,402) | |
Accumulated undistributed net realized gain (loss) on investments | (31,627) | |
Net unrealized appreciation (depreciation) on investments | 192,603 | |
Net Assets | $4,941,334 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($261,290 ÷ 24,506 shares) | $10.66 | |
Maximum offering price per share (100/96.00 of $10.66) | $11.10 | |
Class T: | ||
Net Asset Value and redemption price per share ($196,507 ÷ 18,432 shares) | $10.66 | |
Maximum offering price per share (100/96.00 of $10.66) | $11.10 | |
Class C: | ||
Net Asset Value and offering price per share ($93,974 ÷ 8,818 shares)(a) | $10.66 | |
Government Income: | ||
Net Asset Value, offering price and redemption price per share ($3,895,882 ÷ 365,905 shares) | $10.65 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($493,681 ÷ 46,293 shares) | $10.66 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Year ended August 31, 2016 | |
Investment Income | ||
Interest | $67,521 | |
Income from Fidelity Central Funds | 26,788 | |
Total income | 94,309 | |
Expenses | ||
Management fee | $14,336 | |
Transfer agent fees | 5,192 | |
Distribution and service plan fees | 1,893 | |
Fund wide operations fee | 1,798 | |
Independent trustees' fees and expenses | 21 | |
Miscellaneous | 15 | |
Total expenses before reductions | 23,255 | |
Expense reductions | (38) | 23,217 |
Net investment income (loss) | 71,092 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 17,551 | |
Futures contracts | (1,372) | |
Swaps | 814 | |
Total net realized gain (loss) | 16,993 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 102,117 | |
Futures contracts | 1,133 | |
Swaps | 1,151 | |
Delayed delivery commitments | (54) | |
Total change in net unrealized appreciation (depreciation) | 104,347 | |
Net gain (loss) | 121,340 | |
Net increase (decrease) in net assets resulting from operations | $192,432 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Year ended August 31, 2016 | Year ended August 31, 2015 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $71,092 | $61,673 |
Net realized gain (loss) | 16,993 | 33,390 |
Change in net unrealized appreciation (depreciation) | 104,347 | (23,553) |
Net increase (decrease) in net assets resulting from operations | 192,432 | 71,510 |
Distributions to shareholders from net investment income | (77,548) | (57,747) |
Distributions to shareholders from net realized gain | (39,904) | (10,638) |
Total distributions | (117,452) | (68,385) |
Share transactions - net increase (decrease) | 502,872 | 395,804 |
Total increase (decrease) in net assets | 577,852 | 398,929 |
Net Assets | ||
Beginning of period | 4,363,482 | 3,964,553 |
End of period | $4,941,334 | $4,363,482 |
Other Information | ||
Distributions in excess of net investment income end of period | $(8,402) | $(1,257) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class A
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.97 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .135 | .126 | .138 | .105 | .141 |
Net realized and unrealized gain (loss) | .270 | .048 | .278 | (.454) | .327 |
Total from investment operations | .405 | .174 | .416 | (.349) | .468 |
Distributions from net investment income | (.150) | (.116) | (.139) | (.099) | (.135) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.245) | (.144) | (.146) | (.421) | (.398) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.97 |
Total ReturnB,C | 3.92% | 1.67% | 4.10% | (3.29)% | 4.39% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .76% | .77% | .77% | .77% | .77% |
Expenses net of fee waivers, if any | .76% | .77% | .77% | .77% | .77% |
Expenses net of all reductions | .76% | .77% | .77% | .77% | .77% |
Net investment income (loss) | 1.28% | 1.20% | 1.34% | .99% | 1.30% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $261 | $222 | $246 | $291 | $380 |
Portfolio turnover rateF | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
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 were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class T
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.97 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .135 | .127 | .140 | .107 | .143 |
Net realized and unrealized gain (loss) | .270 | .048 | .277 | (.454) | .327 |
Total from investment operations | .405 | .175 | .417 | (.347) | .470 |
Distributions from net investment income | (.150) | (.117) | (.140) | (.101) | (.137) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.245) | (.145) | (.147) | (.423) | (.400) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.97 |
Total ReturnB,C | 3.92% | 1.68% | 4.12% | (3.27)% | 4.41% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .76% | .76% | .76% | .75% | .75% |
Expenses net of fee waivers, if any | .76% | .76% | .76% | .75% | .75% |
Expenses net of all reductions | .76% | .76% | .76% | .75% | .75% |
Net investment income (loss) | 1.28% | 1.20% | 1.36% | 1.01% | 1.32% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $197 | $181 | $196 | $228 | $309 |
Portfolio turnover rateF | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
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 were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class C
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.96 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .053 | .044 | .059 | .025 | .060 |
Net realized and unrealized gain (loss) | .270 | .048 | .278 | (.443) | .318 |
Total from investment operations | .323 | .092 | .337 | (.418) | .378 |
Distributions from net investment income | (.068) | (.034) | (.060) | (.020) | (.055) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.163) | (.062) | (.067) | (.342) | (.318) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.96 |
Total ReturnB,C | 3.12% | .88% | 3.32% | (3.93)% | 3.53% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.54% | 1.55% | 1.54% | 1.52% | 1.51% |
Expenses net of fee waivers, if any | 1.54% | 1.55% | 1.54% | 1.52% | 1.51% |
Expenses net of all reductions | 1.54% | 1.55% | 1.54% | 1.52% | 1.51% |
Net investment income (loss) | .50% | .42% | .57% | .24% | .56% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $94 | $54 | $58 | $73 | $98 |
Portfolio turnover rateF | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
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 were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.48 | $10.45 | $10.18 | $10.95 | $10.88 |
Income from Investment Operations | |||||
Net investment income (loss)A | .167 | .159 | .171 | .138 | .175 |
Net realized and unrealized gain (loss) | .281 | .048 | .278 | (.453) | .328 |
Total from investment operations | .448 | .207 | .449 | (.315) | .503 |
Distributions from net investment income | (.183) | (.149) | (.172) | (.133) | (.170) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.278) | (.177) | (.179) | (.455) | (.433) |
Net asset value, end of period | $10.65 | $10.48 | $10.45 | $10.18 | $10.95 |
Total ReturnB | 4.35% | 1.99% | 4.45% | (2.99)% | 4.73% |
Ratios to Average Net AssetsC,D | |||||
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) | 1.59% | 1.51% | 1.66% | 1.31% | 1.62% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $3,896 | $3,489 | $3,157 | $3,412 | $4,313 |
Portfolio turnover rateE | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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 were less than .005%.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class I
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.97 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .162 | .154 | .166 | .133 | .169 |
Net realized and unrealized gain (loss) | .271 | .048 | .277 | (.454) | .327 |
Total from investment operations | .433 | .202 | .443 | (.321) | .496 |
Distributions from net investment income | (.178) | (.144) | (.166) | (.127) | (.163) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.273) | (.172) | (.173) | (.449) | (.426) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.97 |
Total ReturnB | 4.19% | 1.94% | 4.38% | (3.03)% | 4.66% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .50% | .50% | .51% | .51% | .51% |
Expenses net of fee waivers, if any | .50% | .50% | .51% | .51% | .51% |
Expenses net of all reductions | .50% | .50% | .51% | .51% | .51% |
Net investment income (loss) | 1.54% | 1.46% | 1.61% | 1.26% | 1.56% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $494 | $412 | $298 | $296 | $334 |
Portfolio turnover rateE | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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 were less than .005%.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2016
(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 shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All current fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period March 1, 2016 through June 24, 2016.
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 .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Swaps | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at 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 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. 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. 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, 2016 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.
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, 2016, 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.
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 | $141,816 |
Gross unrealized depreciation | (8,624) |
Net unrealized appreciation (depreciation) on securities | $133,192 |
Tax Cost | $4,977,560 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $8,521 |
Undistributed long-term capital gain | $10,475 |
Net unrealized appreciation (depreciation) on securities and other investments | $133,630 |
The tax character of distributions paid was as follows:
August 31, 2016 | August 31, 2015 | |
Ordinary Income | $96,027 | $ 61,170 |
Long-term Capital Gains | 21,425 | 7,215 |
Total | $ 117,452 | $ 68,385 |
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 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.
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 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. 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 | $(1,372) | $1,133 |
Swaps | 814 | 1,151 |
Totals | $(558) | $2,284 |
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.
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.
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.
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 $164,891 and $0, 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 annual 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 percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $604 | $– |
Class T | -% | .25% | 477 | – |
Class B | .65% | .25% | 30 | 22 |
Class C | .75% | .25% | 782 | 142 |
$1,893 | $164 |
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 by FDC | |
Class A | $38 |
Class T | 8 |
Class B(a) | 1 |
Class C(a) | 16 |
$63 |
(a) 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 assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets | |
Class A | $396 | .16 |
Class T | 309 | .16 |
Class B | 8 | .23 |
Class C | 148 | .19 |
Government Income | 3,649 | .10 |
Class I | 682 | .15 |
$5,192 |
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% of the Fund's average net assets 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.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
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 $9 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is 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 $162.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $32.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Year ended August 31, 2016 | Year ended August 31, 2015 | |
From net investment income | ||
Class A | $3,406 | $2,625 |
Class T | 2,723 | 2,118 |
Class B | 26 | 28 |
Class C | 480 | 195 |
Government Income | 63,334 | 47,788 |
Class I | 7,579 | 4,993 |
Total | $77,548 | $57,747 |
From net realized gain | ||
Class A | $2,025 | $646 |
Class T | 1,660 | 523 |
Class B | 49 | 22 |
Class C | 503 | 154 |
Government Income | 31,846 | 8,467 |
Class I | 3,821 | 826 |
Total | $39,904 | $10,638 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2016 | Year ended August 31, 2015 | Year ended August 31, 2016 | Year ended August 31, 2015 | |
Class A | ||||
Shares sold | 12,026 | 6,410 | $126,485 | $67,517 |
Reinvestment of distributions | 498 | 298 | 5,224 | 3,143 |
Shares redeemed | (9,122) | (9,109) | (95,982) | (95,762) |
Net increase (decrease) | 3,402 | (2,401) | $35,727 | $(25,102) |
Class T | ||||
Shares sold | 6,849 | 5,058 | $71,986 | $53,356 |
Reinvestment of distributions | 404 | 244 | 4,234 | 2,573 |
Shares redeemed | (6,031) | (6,808) | (63,433) | (71,811) |
Net increase (decrease) | 1,222 | (1,506) | $12,787 | $(15,882) |
Class B | ||||
Shares sold | 17 | 30 | $174 | $319 |
Reinvestment of distributions | 6 | 4 | 62 | 40 |
Shares redeemed | (584) | (303) | (6,152) | (3,186) |
Net increase (decrease) | (561) | (269) | $(5,916) | $(2,827) |
Class C | ||||
Shares sold | 5,790 | 2,397 | $60,776 | $25,389 |
Reinvestment of distributions | 81 | 27 | 844 | 282 |
Shares redeemed | (2,223) | (2,806) | (23,431) | (29,497) |
Net increase (decrease) | 3,648 | (382) | $38,189 | $(3,826) |
Government Income | ||||
Shares sold | 91,465 | 102,857 | $961,380 | $1,086,736 |
Reinvestment of distributions | 8,754 | 5,138 | 91,724 | 54,081 |
Shares redeemed | (67,217) | (77,145) | (705,341) | (811,762) |
Net increase (decrease) | 33,002 | 30,850 | $347,763 | $329,055 |
Class I | ||||
Shares sold | 14,937 | 22,692 | $157,175 | $240,263 |
Reinvestment of distributions | 1,055 | 536 | 11,077 | 5,652 |
Shares redeemed | (8,950) | (12,486) | (93,930) | (131,528) |
Net increase (decrease) | 7,042 | 10,742 | $74,322 | $114,387 |
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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and 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, 2016, 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, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 19, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), 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 Jennifer Toolin McAuliffe and Mark A. Murray, each of the Trustees oversees 244 funds. Ms. McAuliffe and Mr. Murray each oversees 191 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 is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Experience, Skills, Attributes, and Qualifications of the 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.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person 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 Trustees."
Interested Trustees*:
Correspondence intended for a 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.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Ms. McAuliffe previously served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information 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 an Independent 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 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). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), 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 & 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 (pipeline and tanker operations). 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 Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-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).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information 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.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
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. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (U.K.) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO 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).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
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 serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and 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). Previously, Mr. Deberghes served in other fund officer roles.
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 Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); 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).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).
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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
John F. Papandrea (1972)
Year of Election or Appointment: 2016
Anti-Money Laundering (AML) Officer
Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).
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 FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM 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 Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
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).
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, 2016 to August 31, 2016).
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.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period-B March 1, 2016 to August 31, 2016 | |
Class A | .76% | |||
Actual | $1,000.00 | $1,016.90 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.32 | $3.86 | |
Class T | .76% | |||
Actual | $1,000.00 | $1,016.90 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.32 | $3.86 | |
Class C | 1.53% | |||
Actual | $1,000.00 | $1,012.90 | $7.74 | |
Hypothetical-C | $1,000.00 | $1,017.44 | $7.76 | |
Government Income | .45% | |||
Actual | $1,000.00 | $1,019.40 | $2.28 | |
Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 | |
Class I | .50% | |||
Actual | $1,000.00 | $1,018.20 | $2.54 | |
Hypothetical-C | $1,000.00 | $1,022.62 | $2.54 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
C 5% return per year before expenses
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 | |
Fidelity Government Income Fund | |||
Class A | 10/17/2016 | 10/14/2016 | $0.049 |
Class T | 10/17/2016 | 10/14/2016 | $0.049 |
Class C | 10/17/2016 | 10/14/2016 | $0.049 |
Government Income | 10/17/2016 | 10/14/2016 | $0.049 |
Class I | 10/17/2016 | 10/14/2016 | $0.049 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $13,319,006, or, if subsequently determined to be different, the net capital gain of such year.
A total of 37.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $48,261,184 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.
Proxy Voting Results
A special meeting of shareholders was held on April 13, 2016. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Elizabeth S. Acton | ||
Affirmative | 23,485,695,172.82 | 97.873 |
Withheld | 510,412,850.89 | 2.127 |
TOTAL | 23,996,108,023.71 | 100.000 |
John Engler | ||
Affirmative | 23,396,775,263.01 | 97.503 |
Withheld | 599,332,760.70 | 2.497 |
TOTAL | 23,996,108,023.71 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 23,408,625,557.99 | 97.552 |
Withheld | 587,482,465.72 | 2.448 |
TOTAL | 23,996,108,023.71 | 100.000 |
Robert F. Gartland | ||
Affirmative | 23,466,064,780.31 | 97.792 |
Withheld | 530,043,243.40 | 2.208 |
TOTAL | 23,996,108,023.71 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 23,449,693,125.04 | 97.723 |
Withheld | 546,414,898.67 | 2.277 |
TOTAL | 23,996,108,023.71 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 23,433,937,136.83 | 97.658 |
Withheld | 562,170,886.88 | 2.342 |
TOTAL | 23,996,108,023.71 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 23,472,891,022.59 | 97.820 |
Withheld | 523,217,001.12 | 2.180 |
TOTAL | 23,996,108,023.71 | 100.000 |
James H. Keyes | ||
Affirmative | 23,409,640,697.18 | 97.556 |
Withheld | 586,467,326.53 | 2.444 |
TOTAL | 23,996,108,023.71 | 100.000 |
Marie L. Knowles | ||
Affirmative | 23,434,534,070.88 | 97.660 |
Withheld | 561,573,952.83 | 2.340 |
TOTAL | 23,996,108,023.71 | 100.000 |
Geoffrey A. von Kuhn | ||
Affirmative | 23,442,506,227.29 | 97.693 |
Withheld | 553,601,796.42 | 2.307 |
TOTAL | 23,996,108,023.71 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
AGVT-ANN-1016
1.834242.110
Fidelity® Government Income Fund Annual Report August 31, 2016 |
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 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. © 2016 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of 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 hypothetical investment and the average annual total 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
For the periods ended August 31, 2016 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Government Income Fund | 4.35% | 2.46% | 4.47% |
$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, 2006.
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.
![](https://capedge.com/proxy/N-CSR/0001379491-16-006641/img140066974_740.jpg)
Period Ending Values | ||
$15,479 | Fidelity® Government Income Fund | |
$15,446 | Barclays® U.S. Government Bond Index |
Management's Discussion of Fund Performance
Market Recap: Taxable investment-grade bonds gained solidly for the 12 months ending August 31, 2016, a volatile period marked by persistent concern about global growth, divergent global monetary policies and Brexit – the U.K.’s late-June referendum vote to leave the European Union. The Barclays® U.S. Aggregate Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, partly as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities. Bond yields trended lower and the yield curve flattened for much of the period, especially in early 2016, soon after the U.S. Federal Reserve raised policy interest rates. Still, U.S. yields remained higher than those in most industrial countries, especially in Japan and parts of Europe, where rates largely were negative. Within the Barclays index, investment-grade corporate bonds led all major market segments by far, with a return of 9.64%. U.S. Treasuries, meanwhile, lagged many spread-based sectors, returning 5.14%. Commercial mortgage-backed securities topped the index, returning 6.72%, although most other securitized sectors fell short. Riskier, non-core fixed-income segments, including emerging-markets debt, led the broader market amid a strong surge in the period’s second half.Comments from Lead Portfolio Manager William Irving: For the year, most of the fund’s share classes (excluding sales charges, if applicable), posted gains ranging from slightly above to slightly below 4%, trailing, net of fees, the 4.74% return of the Barclays 75% U.S. Government/25% U.S. MBS Blended Index. The fund’s out-of-index exposure to Treasury Inflation-Protected Securities hurt performance. These holdings, which we eliminated from the portfolio in March, performed poorly when we owned them as investors shunned inflation protection. We also lost a bit of ground relative to the benchmark from security selection among residential mortgage-backed securities. Here, our stake in TBA (to be announced) securities worked against. We paired these securities with floating-rate securities to synthesize mortgage exposure. However, this strategy underperformed: the floaters dropped in price and the TBAs got more expensive to buy forward. In contrast, holdings in out-of-benchmark commercial mortgage-backed securities (CMBS) issued by Freddie Mac aided our relative result, as they outpaced most other government bond sectors in the benchmark. Our positioning within the government agency debentures sector—with a bias toward comparatively high-yielding niche issuers—also added value.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.
Investment Summary (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's Fixed-Income Central Funds.Coupon Distribution as of August 31, 2016
% of fund's investments | % of fund's investments 6 months ago | |
Zero coupon bonds | 0.0 | 0.0 |
0.01 - 0.99% | 7.9 | 11.9 |
1 - 1.99% | 26.9 | 27.6 |
2 - 2.99% | 16.8 | 14.9 |
3 - 3.99% | 23.2 | 21.6 |
4 - 4.99% | 15.0 | 13.6 |
5 - 5.99% | 8.6 | 9.0 |
6 - 6.99% | 0.4 | 0.5 |
7 - 7.99% | 0.1 | 0.0 |
8% and above | 0.4 | 0.6 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of August 31, 2016*,** | ||
Mortgage Securities | 31.5% | |
CMOs and Other Mortgage Related Securities | 22.1% | |
U.S. Treasury Obligations | 44.9% | |
U.S. Government Agency Obligations*** | 3.1% | |
Foreign Government & Government Agency Obligations | 3.3% | |
Short-Term Investments and Net Other Assets (Liabilities)† | (4.9)% |
* Foreign investments - 3.3%
** Futures and Swaps - 1.1%
*** Includes NCUA Guaranteed Notes
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
As of February 29, 2016*,** | ||
Mortgage Securities | 23.9% | |
CMOs and Other Mortgage Related Securities | 24.0% | |
U.S. Treasury Obligations | 46.3% | |
U.S. Government Agency Obligations*** | 3.2% | |
Foreign Government & Government Agency Obligations | 3.4% | |
Short-Term Investments and Net Other Assets (Liabilities)† | (0.8)% |
* Foreign investments - 3.4%
** Futures and Swaps - 0.7%
*** Includes NCUA Guaranteed Notes
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Percentages shown as 0.0% may reflect amounts less than 0.05%.
Investments August 31, 2016
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 48.0% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 1.4% | |||
Fannie Mae: | |||
0.875% 8/2/19 | $131 | $130 | |
1% 2/26/19 | 326 | 326 | |
1.125% 12/14/18 | 240 | 241 | |
Small Business Administration guaranteed development participation certificates: | |||
Series 2002-20J Class 1, 4.75% 10/1/22 | 948 | 996 | |
Series 2002-20K Class 1, 5.08% 11/1/22 | 1,368 | 1,461 | |
Series 2004-20H Class 1, 5.17% 8/1/24 | 592 | 641 | |
Tennessee Valley Authority: | |||
1.75% 10/15/18 | 23,006 | 23,380 | |
4.25% 9/15/65 | 25,633 | 31,132 | |
5.25% 9/15/39 | 2,807 | 3,957 | |
5.375% 4/1/56 | 3,438 | 4,953 | |
67,217 | |||
U.S. Treasury Obligations - 44.9% | |||
U.S. Treasury Bonds: | |||
2.25% 8/15/46 | 9,071 | 9,103 | |
2.5% 2/15/46 | 18,500 | 19,542 | |
2.5% 5/15/46 | 21,500 | 22,751 | |
2.875% 8/15/45 | 119,495 | 135,879 | |
3% 11/15/44 | 29,032 | 33,791 | |
3% 11/15/45 | 40,000 | 46,602 | |
3.625% 2/15/44 | 45,031 | 58,503 | |
4.375% 2/15/38 | 78,154 | 110,893 | |
4.375% 5/15/40 | 4,000 | 5,690 | |
5% 5/15/37 (a)(b) | 41,142 | 62,708 | |
U.S. Treasury Notes: | |||
0.75% 2/28/18 | 4,631 | 4,629 | |
0.75% 4/30/18 | 18,000 | 17,986 | |
0.75% 7/31/18 | 21,000 | 20,975 | |
0.75% 8/31/18 | 85,000 | 84,894 | |
0.75% 7/15/19 | 15,000 | 14,927 | |
0.75% 8/15/19 | 64,855 | 64,523 | |
0.875% 7/15/18 | 228 | 228 | |
0.875% 6/15/19 | 50,303 | 50,240 | |
1% 5/31/18 | 34,635 | 34,747 | |
1.125% 1/15/19 | 25,562 | 25,710 | |
1.125% 7/31/21(c) | 45,586 | 45,403 | |
1.125% 8/31/21 | 30,000 | 29,895 | |
1.25% 11/30/18 | 15,000 | 15,131 | |
1.375% 7/31/18 | 14,780 | 14,935 | |
1.375% 9/30/18 | 17,526 | 17,718 | |
1.375% 2/28/19 | 69,770 | 70,620 | |
1.375% 3/31/20 | 144,474 | 146,102 | |
1.375% 4/30/20 | 4,172 | 4,219 | |
1.375% 8/31/20 | 5,000 | 5,049 | |
1.375% 1/31/21 | 27,500 | 27,731 | |
1.375% 4/30/21 | 20,000 | 20,159 | |
1.375% 5/31/21 | 20,000 | 20,166 | |
1.375% 8/31/23 | 57,341 | 57,043 | |
1.5% 12/31/18 | 10,768 | 10,924 | |
1.5% 1/31/19 | 6,408 | 6,503 | |
1.5% 10/31/19 | 5,655 | 5,746 | |
1.5% 1/31/22 | 54,399 | 54,990 | |
1.5% 2/28/23 | 58,062 | 58,375 | |
1.5% 3/31/23 | 30,000 | 30,145 | |
1.5% 8/15/26 | 15,000 | 14,890 | |
1.625% 4/30/19 | 11,603 | 11,824 | |
1.625% 6/30/19 | 51,223 | 52,229 | |
1.625% 12/31/19 | 41,368 | 42,197 | |
1.625% 6/30/20 | 4,710 | 4,803 | |
1.625% 7/31/20 | 30,000 | 30,593 | |
1.625% 2/15/26 | 15,000 | 15,047 | |
1.625% 5/15/26 | 26,000 | 26,075 | |
1.75% 9/30/19 | 58,087 | 59,473 | |
1.75% 10/31/20 | 18,000 | 18,435 | |
1.75% 12/31/20 | 119,701 | 122,633 | |
1.75% 2/28/22 | 5,000 | 5,118 | |
2% 9/30/20 | 107,107 | 110,760 | |
2% 7/31/22 | 18,845 | 19,541 | |
2% 11/30/22 | 61,423 | 63,664 | |
2% 8/15/25 | 65,444 | 67,783 | |
2.125% 6/30/21 | 22,000 | 22,938 | |
2.125% 12/31/21 | 2,000 | 2,087 | |
2.25% 7/31/21 | 26,021 | 27,289 | |
2.25% 11/15/25 | 34,249 | 36,210 | |
2,218,764 | |||
Other Government Related - 1.7% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1.0146% 12/7/20 (NCUA Guaranteed) (d) | 3,648 | 3,638 | |
Series 2011-R4 Class 1A, 0.8739% 3/6/20 (NCUA Guaranteed) (d) | 1,835 | 1,834 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 74,000 | 80,580 | |
86,052 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | �� | ||
(Cost $2,273,912) | 2,372,033 | ||
U.S. Government Agency - Mortgage Securities - 6.3% | |||
Fannie Mae - 4.8% | |||
2.272% 7/1/35 (d) | 60 | 62 | |
2.276% 2/1/33 (d) | 67 | 69 | |
2.29% 11/1/33 (d) | 82 | 86 | |
2.298% 3/1/35 (d) | 78 | 81 | |
2.32% 12/1/34 (d) | 180 | 186 | |
2.35% 10/1/33 (d) | 118 | 122 | |
2.413% 10/1/33 (d) | 54 | 56 | |
2.453% 2/1/44 (d) | 568 | 587 | |
2.502% 4/1/44 (d) | 890 | 919 | |
2.523% 2/1/44 (d) | 520 | 537 | |
2.54% 6/1/42 (d) | 309 | 322 | |
2.551% 1/1/44 (d) | 913 | 943 | |
2.557% 10/1/33 (d) | 112 | 118 | |
2.574% 7/1/34 (d) | 103 | 107 | |
2.582% 3/1/36 (d) | 413 | 431 | |
2.6% 5/1/44 (d) | 997 | 1,030 | |
2.626% 5/1/44 (d) | 1,520 | 1,579 | |
2.627% 3/1/40 (d) | 1,663 | 1,753 | |
2.662% 7/1/35 (d) | 202 | 213 | |
2.678% 4/1/44 (d) | 2,144 | 2,217 | |
2.69% 3/1/37 (d) | 115 | 120 | |
2.693% 2/1/42 (d) | 1,884 | 1,968 | |
2.715% 2/1/36 (d) | 48 | 51 | |
2.751% 1/1/42 (d) | 1,561 | 1,627 | |
2.801% 11/1/36 (d) | 84 | 88 | |
2.803% 6/1/36 (d) | 159 | 166 | |
2.833% 3/1/35 (d) | 79 | 83 | |
2.951% 11/1/40 (d) | 170 | 179 | |
2.98% 9/1/41 (d) | 203 | 212 | |
2.991% 10/1/41 (d) | 98 | 103 | |
3% 6/1/45 to 11/1/45 | 2,870 | 2,980 | |
3% 9/1/46 (e) | 4,500 | 4,666 | |
3% 9/1/46 (e) | 3,770 | 3,909 | |
3% 9/1/46 (e) | 8,800 | 9,125 | |
3% 10/1/46 (e) | 4,500 | 4,657 | |
3% 10/1/46 (e) | 8,800 | 9,107 | |
3% 10/1/46 (e) | 3,770 | 3,902 | |
3.007% 5/1/36 (d) | 115 | 122 | |
3.229% 7/1/41 (d) | 302 | 318 | |
3.352% 10/1/41 (d) | 159 | 167 | |
3.5% 9/1/46 (e) | 92,000 | 96,923 | |
3.557% 7/1/41 (d) | 389 | 409 | |
4% 5/1/29 to 2/1/42 | 61,992 | 66,267 | |
4.5% 7/1/33 to 4/1/39 | 3,978 | 4,393 | |
5% 7/1/35 | 8,326 | 9,288 | |
5.5% 1/1/29 | 1,751 | 1,968 | |
6.5% 2/1/17 to 5/1/27 | 313 | 358 | |
9.5% 10/1/20 | 9 | 10 | |
11.5% 1/15/21 | 1 | 1 | |
234,585 | |||
Freddie Mac - 0.6% | |||
2.32% 3/1/35 (d) | 294 | 303 | |
2.582% 5/1/37 (d) | 220 | 229 | |
2.71% 2/1/36 (d) | 22 | 24 | |
2.823% 10/1/42 (d) | 1,329 | 1,405 | |
2.916% 3/1/33 (d) | 7 | 8 | |
2.975% 10/1/41 (d) | 2,685 | 2,824 | |
2.99% 6/1/35 (d) | 168 | 177 | |
3% 2/1/31 to 2/1/43 | 15,769 | 16,568 | |
3.067% 7/1/35 (d) | 866 | 922 | |
3.068% 9/1/41 (d) | 1,824 | 1,909 | |
3.193% 9/1/41 (d) | 222 | 233 | |
3.231% 4/1/41 (d) | 228 | 238 | |
3.286% 6/1/41 (d) | 236 | 248 | |
3.295% 7/1/36 (d) | 309 | 329 | |
3.417% 5/1/41 (d) | 183 | 192 | |
3.581% 10/1/35 (d) | 153 | 164 | |
3.627% 6/1/41 (d) | 339 | 356 | |
3.704% 5/1/41 (d) | 299 | 315 | |
4.5% 5/1/39 to 10/1/41 | 3,344 | 3,706 | |
5.5% 7/1/29 | 36 | 41 | |
6% 1/1/24 | 1,308 | 1,436 | |
9.5% 6/1/18 to 8/1/21 | 11 | 12 | |
31,639 | |||
Ginnie Mae - 0.9% | |||
4.3% 8/20/61 (f) | 4,073 | 4,216 | |
4.649% 2/20/62 (f) | 2,912 | 3,065 | |
4.682% 2/20/62 (f) | 3,867 | 4,053 | |
4.684% 1/20/62 (f) | 22,772 | 23,853 | |
5.47% 8/20/59 (f) | 677 | 688 | |
5.5% 11/15/35 | 2,107 | 2,427 | |
5.612% 4/20/58 (f) | 66 | 66 | |
6% 6/15/36 | 4,656 | 5,411 | |
43,779 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $308,096) | 310,003 | ||
Collateralized Mortgage Obligations - 15.8% | |||
U.S. Government Agency - 15.8% | |||
Fannie Mae: | |||
floater: | |||
Series 2001-38 Class QF, 1.5044% 8/25/31 (d) | 111 | 113 | |
Series 2002-49 Class FB, 1.1074% 11/18/31 (d) | 99 | 99 | |
Series 2002-60 Class FV, 1.5244% 4/25/32 (d) | 43 | 43 | |
Series 2002-75 Class FA, 1.5244% 11/25/32 (d) | 87 | 89 | |
Series 2010-15 Class FJ, 1.4544% 6/25/36 (d) | 6,636 | 6,719 | |
planned amortization class: | |||
Series 2005-19 Class PA, 5.5% 7/25/34 | 1,951 | 2,078 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 1,067 | 1,087 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,034 | 2,232 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 4,837 | 5,460 | |
Series 2006-45 Class OP, 6/25/36(g) | 917 | 834 | |
Series 2010-118 Class PB, 4.5% 10/25/40 | 7,053 | 7,704 | |
sequential payer: | |||
Series 2003-117 Class MD, 5% 12/25/23 | 1,046 | 1,130 | |
Series 2004-91 Class Z, 5% 12/25/34 | 6,450 | 7,182 | |
Series 2005-117 Class JN, 4.5% 1/25/36 | 645 | 692 | |
Series 2005-14 Class ZB, 5% 3/25/35 | 1,947 | 2,169 | |
Series 2006-72 Class CY, 6% 8/25/26 | 4,030 | 4,423 | |
Series 2009-59 Class HB, 5% 8/25/39 | 2,729 | 3,038 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 10,927 | 12,057 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (h) | 379 | 25 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (h) | 567 | 36 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (h) | 4,497 | 566 | |
Series 2010-39 Class FG, 1.4444% 3/25/36 (d) | 4,088 | 4,164 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (h) | 1,282 | 71 | |
Series 2012-27 Class EZ, 4.25% 3/25/42 | 7,913 | 8,684 | |
Series 2016-26 Class CG, 3% 5/25/46 | 26,470 | 27,563 | |
Freddie Mac: | |||
floater: | |||
Series 2530 Class FE, 1.1077% 2/15/32 (d) | 57 | 58 | |
Series 2630 Class FL, 1.0077% 6/15/18 (d) | 28 | 28 | |
Series 2682 Class FB, 1.4077% 10/15/33 (d) | 3,710 | 3,756 | |
Series 2711 Class FC, 1.4077% 2/15/33 (d) | 2,047 | 2,072 | |
planned amortization class: | |||
Series 1141 Class G, 9% 9/15/21 | 43 | 48 | |
Series 2356 Class GD, 6% 9/15/16 | 0 | 0 | |
Series 2376 Class JE, 5.5% 11/15/16 | 11 | 11 | |
Series 2381 Class OG, 5.5% 11/15/16 | 1 | 1 | |
Series 2682 Class LD, 4.5% 10/15/33 | 777 | 840 | |
Series 3415 Class PC, 5% 12/15/37 | 611 | 666 | |
Series 3763 Class QA, 4% 4/15/34 | 1,497 | 1,523 | |
Series 3840 Class VA, 4.5% 9/15/27 | 4,162 | 4,388 | |
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 575 | 577 | |
sequential payer: | |||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 8,822 | 10,022 | |
Series 2587 Class AD, 4.71% 3/15/33 | 3,856 | 4,124 | |
Series 2773 Class HC, 4.5% 4/15/19 | 328 | 336 | |
Series 2877 Class ZD, 5% 10/15/34 | 7,766 | 8,633 | |
Series 3007 Class EW, 5.5% 7/15/25 | 6,242 | 6,816 | |
Series 3745 Class KV, 4.5% 12/15/26 | 6,824 | 7,449 | |
Series 3806 Class L, 3.5% 2/15/26 | 8,900 | 9,705 | |
Series 3871 Class KB, 5.5% 6/15/41 | 13,870 | 15,607 | |
Series 3889 Class DZ, 4% 1/15/41 | 33,433 | 37,090 | |
Series 3843 Class PZ, 5% 4/15/41 | 2,434 | 3,026 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 9,042 | 9,662 | |
Series 4341 Class ML, 3.5% 11/15/31 | 12,563 | 13,285 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2008-2 Class FD, 0.9924% 1/20/38 (d) | 298 | 299 | |
Series 2008-73 Class FA, 1.3724% 8/20/38 (d) | 2,234 | 2,270 | |
Series 2008-83 Class FB, 1.4124% 9/20/38 (d) | 2,044 | 2,080 | |
Series 2009-108 Class CF, 1.1067% 11/16/39 (d) | 1,300 | 1,309 | |
Series 2011-H20 Class FA, 1.0176% 9/20/61 (d)(f) | 9,520 | 9,501 | |
Series 2011-H21 Class FA, 1.0676% 10/20/61 (d)(f) | 6,439 | 6,438 | |
Series 2012-H01 Class FA, 1.1676% 11/20/61 (d)(f) | 5,530 | 5,550 | |
Series 2012-H03 Class FA, 1.1676% 1/20/62 (d)(f) | 3,435 | 3,447 | |
Series 2012-H06 Class FA, 1.0976% 1/20/62 (d)(f) | 5,299 | 5,304 | |
Series 2012-H07 Class FA, 1.0976% 3/20/62 (d)(f) | 3,119 | 3,122 | |
Series 2013-H19: | |||
Class FC, 1.0676% 8/20/63 (d)(f) | 1,176 | 1,176 | |
Class FD, 1.0676% 8/20/63 (d)(f) | 3,100 | 3,099 | |
Series 2014-H02 Class FB, 1.1176% 12/20/63 (d)(f) | 38,399 | 38,476 | |
Series 2014-H03 Class FA, 1.0676% 1/20/64 (d)(f) | 15,346 | 15,344 | |
Series 2015-H07 Class FA, 0.3% 3/20/65 (d)(f) | 21,864 | 21,784 | |
Series 2015-H13 Class FL, 0.7476% 5/20/63 (d)(f) | 28,397 | 28,293 | |
Series 2015-H19 Class FA, 0.6676% 4/20/63 (d)(f) | 27,411 | 27,282 | |
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 21 | 21 | |
planned amortization class Series 2010-31 Class BP, 5% 3/20/40 | 11,191 | 12,953 | |
sequential payer: | |||
Series 2011-69 Class GX, 4.5% 5/16/40 | 10,205 | 11,326 | |
Series 2013-H06 Class HA, 1.65% 1/20/63 (f) | 5,989 | 5,975 | |
Series 2013-H26 Class HA, 3.5% 9/20/63 (f) | 48,661 | 50,553 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (f) | 6,268 | 6,441 | |
Series 2016-H02 Class FM, 0.9676% 9/20/62 (d)(f) | 23,955 | 23,946 | |
Series 2016-H04 Class FE, 1.1176% 11/20/65 (d)(f) | 6,909 | 6,921 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (f) | 16,467 | 17,321 | |
Series 2010-H17 Class XP, 5.2989% 7/20/60 (d)(f) | 20,210 | 21,200 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (d)(f) | 15,200 | 15,959 | |
Series 2011-71 Class ZB, 5.5% 8/20/34 | 13,279 | 15,069 | |
Series 2012-64 Class KB, 14.4687% 5/20/41 (d) | 247 | 329 | |
Series 2013-124: | |||
Class ES, 7.9834% 4/20/39 (d)(i) | 6,202 | 6,665 | |
Class ST, 8.1168% 8/20/39 (d)(i) | 11,908 | 13,092 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (f) | 16,172 | 16,398 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (f) | 50,497 | 51,042 | |
Class JA, 2.5% 6/20/65 (f) | 6,032 | 6,100 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (d)(f) | 45,866 | 45,764 | |
Series 2016-H13 Class FB, 1.18% 5/20/66 (d)(f) | 27,355 | 27,332 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 13,406 | 16,309 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $780,920) | 783,471 | ||
Commercial Mortgage Securities - 4.2% | |||
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 3,740 | 4,098 | |
sequential payer: | |||
Series K027 Class A2, 2.637% 1/25/23 | 6,437 | 6,764 | |
Series K029 Class A2, 3.32% 2/25/23 (d) | 3,110 | 3,398 | |
Series K034 Class A1, 2.669% 2/25/23 | 13,736 | 14,104 | |
Series K037 Class A2, 3.49% 1/25/24 | 11,281 | 12,492 | |
Series K710 Class A2, 1.883% 5/25/19 | 8,456 | 8,572 | |
Series K717 Class A2, 2.991% 9/25/21 | 4,531 | 4,818 | |
Series K032 Class A1, 3.016% 2/25/23 | 23,173 | 24,241 | |
Series K039 Class A2, 3.303% 7/25/24 | 24,645 | 27,028 | |
Series K042 Class A2, 2.67% 12/25/24 | 22,200 | 23,360 | |
Series K501 Class A2, 1.655% 11/25/16 | 2,944 | 2,944 | |
2.313% 3/25/20 | 5,437 | 5,601 | |
Freddie Mac Multi-family Structured pass-thru certificates: | |||
sequential payer Series K038 Class A2, 3.389% 3/25/24 | 7,000 | 7,709 | |
Series K044 Class A2, 2.811% 1/25/25 | 58,600 | 62,266 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $201,013) | 207,395 | ||
Foreign Government and Government Agency Obligations - 3.3% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 72,266 | 90,054 | |
5.5% 12/4/23 | 48 | 60 | |
5.5% 4/26/24 | 6,065 | 7,658 | |
Jordanian Kingdom: | |||
2.503% 10/30/20 | 41,050 | 42,991 | |
3% 6/30/25 | 19,267 | 21,114 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $142,762) | 161,877 | ||
Shares | Value (000s) | ||
Fixed-Income Funds - 24.8% | |||
Fidelity Mortgage Backed Securities Central Fund (j) | |||
(Cost $1,160,952) | 11,060,897 | 1,224,994 | |
Money Market Funds - 0.1% | |||
Fidelity Cash Central Fund, 0.42% (k) | |||
(Cost $6,187) | 6,187,275 | 6,187 | |
Maturity Amount (000s) | Value (000s) | ||
Cash Equivalents - 0.9% | |||
Investments in repurchase agreements in a joint trading account at 0.5%, dated 8/31/16 due 9/1/16 (Collateralized by U.S. Government Obligations) # (l) | |||
(Cost $44,792) | 44,793 | 44,792 | |
TOTAL INVESTMENT PORTFOLIO - 103.4% | |||
(Cost $4,918,634) | 5,110,752 | ||
NET OTHER ASSETS (LIABILITIES) - (3.4)% | (169,418) | ||
NET ASSETS - 100% | $4,941,334 |
TBA Sale Commitments | ||
Principal Amount (000s) | Value (000s) | |
Fannie Mae | ||
3% 9/1/46 | $(4,500) | $(4,666) |
3% 9/1/46 | (8,800) | (9,126) |
3% 9/1/46 | (3,770) | (3,909) |
3.5% 9/1/46 | (70,200) | (73,957) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $91,690) | $(91,658) |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||
Treasury Contracts | |||
57 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 12,444 | $(12) |
The face value of futures purchased as a percentage of Net Assets is 0.3%
Swaps
Clearinghouse/Counterparty(1) | Expiration Date | Notional Amount (000s)(1) | Payment Received | Payment Paid | Value (000s) | Upfront Premium Received/(Paid) (000s)(2) | Unrealized Appreciation/(Depreciation) (000s) |
Interest Rate Swaps | |||||||
CME | Sep. 2026 | USD 23,200 | 2.25% | 3-month LIBOR | $364 | $0 | $364 |
CME | Sep. 2046 | 1,120 | 2.75% | 3-month LIBOR | 101 | 0 | 101 |
TOTAL INTEREST RATE SWAPS | $465 | $0 | $465 | ||||
(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Values shown as $0 may reflect amounts less than $500.
Legend
(a) 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 $59,000.
(b) 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 $1,100,000
(c) Security or a portion of the security is on loan at period end.
(d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(e) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(f) 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.
(g) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(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) 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.
(j) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at fidelity.com and/or institutional.fidelity.com, as applicable. In addition, each Fidelity Central Fund's financial statements, 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.
(k) 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.
(l) Includes investment made with cash collateral received from securities on loan.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $43 |
Fidelity Mortgage Backed Securities Central Fund | 26,745 |
Total | $26,788 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows:
Fund (Amounts in thousands) | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity Mortgage Backed Securities Central Fund | $1,044,642 | $164,891 | $-- | $1,224,994 | 16.7% |
Total | $1,044,642 | $164,891 | $-- | $1,224,994 |
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $2,372,033 | $-- | $2,372,033 | $-- |
U.S. Government Agency - Mortgage Securities | 310,003 | -- | 310,003 | -- |
Collateralized Mortgage Obligations | 783,471 | -- | 783,471 | -- |
Commercial Mortgage Securities | 207,395 | -- | 207,395 | -- |
Foreign Government and Government Agency Obligations | 161,877 | -- | 161,877 | -- |
Fixed-Income Funds | 1,224,994 | 1,224,994 | -- | -- |
Money Market Funds | 6,187 | 6,187 | -- | -- |
Cash Equivalents | 44,792 | -- | 44,792 | -- |
Total Investments in Securities: | $5,110,752 | $1,231,181 | $3,879,571 | $-- |
Derivative Instruments: | ||||
Assets | ||||
Swaps | $465 | $-- | $465 | $-- |
Total Assets | $465 | $-- | $465 | $-- |
Liabilities | ||||
Futures Contracts | $(12) | $(12) | $-- | $-- |
Total Liabilities | $(12) | $(12) | $-- | $-- |
Total Derivative Instruments: | $453 | $(12) | $465 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(91,658) | $-- | $(91,658) | $-- |
Total Other Financial Instruments: | $(91,658) | $-- | $(91,658) | $-- |
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, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value (000s) | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $0 | $(12) |
Swaps(b) | 465 | 0 |
Total Value of Derivatives | $465 | $(12) |
(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.
Other Information
# Additional information on each counterparty to the repurchase agreement is as follows:
Repurchase Agreement / Counterparty | Value (000s) |
$44,792,000 due 9/01/16 at 0.50% | |
Commerz Markets LLC | $44,792 |
$44,792 |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | August 31, 2016 | |
Assets | ||
Investment in securities, at value (including securities loaned of $43,823 and repurchase agreements of $44,792) — See accompanying schedule: Unaffiliated issuers (cost $3,751,495) | $3,879,571 | |
Fidelity Central Funds (cost $1,167,139) | 1,231,181 | |
Total Investments (cost $4,918,634) | $5,110,752 | |
Receivable for investments sold | 249,346 | |
Receivable for TBA sale commitments | 91,690 | |
Receivable for fund shares sold | 3,238 | |
Interest receivable | 13,307 | |
Distributions receivable from Fidelity Central Funds | 17 | |
Other receivables | 50 | |
Total assets | 5,468,400 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $251,545 | |
Delayed delivery | 132,322 | |
TBA sale commitments, at value | 91,658 | |
Payable for fund shares redeemed | 4,384 | |
Distributions payable | 234 | |
Accrued management fee | 1,274 | |
Distribution and service plan fees payable | 174 | |
Payable for daily variation margin for derivative instruments | 9 | |
Other affiliated payables | 625 | |
Other payables and accrued expenses | 49 | |
Collateral on securities loaned, at value | 44,792 | |
Total liabilities | 527,066 | |
Net Assets | $4,941,334 | |
Net Assets consist of: | ||
Paid in capital | $4,788,760 | |
Distributions in excess of net investment income | (8,402) | |
Accumulated undistributed net realized gain (loss) on investments | (31,627) | |
Net unrealized appreciation (depreciation) on investments | 192,603 | |
Net Assets | $4,941,334 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($261,290 ÷ 24,506 shares) | $10.66 | |
Maximum offering price per share (100/96.00 of $10.66) | $11.10 | |
Class T: | ||
Net Asset Value and redemption price per share ($196,507 ÷ 18,432 shares) | $10.66 | |
Maximum offering price per share (100/96.00 of $10.66) | $11.10 | |
Class C: | ||
Net Asset Value and offering price per share ($93,974 ÷ 8,818 shares)(a) | $10.66 | |
Government Income: | ||
Net Asset Value, offering price and redemption price per share ($3,895,882 ÷ 365,905 shares) | $10.65 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($493,681 ÷ 46,293 shares) | $10.66 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Year ended August 31, 2016 | |
Investment Income | ||
Interest | $67,521 | |
Income from Fidelity Central Funds | 26,788 | |
Total income | 94,309 | |
Expenses | ||
Management fee | $14,336 | |
Transfer agent fees | 5,192 | |
Distribution and service plan fees | 1,893 | |
Fund wide operations fee | 1,798 | |
Independent trustees' fees and expenses | 21 | |
Miscellaneous | 15 | |
Total expenses before reductions | 23,255 | |
Expense reductions | (38) | 23,217 |
Net investment income (loss) | 71,092 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 17,551 | |
Futures contracts | (1,372) | |
Swaps | 814 | |
Total net realized gain (loss) | 16,993 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 102,117 | |
Futures contracts | 1,133 | |
Swaps | 1,151 | |
Delayed delivery commitments | (54) | |
Total change in net unrealized appreciation (depreciation) | 104,347 | |
Net gain (loss) | 121,340 | |
Net increase (decrease) in net assets resulting from operations | $192,432 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Year ended August 31, 2016 | Year ended August 31, 2015 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $71,092 | $61,673 |
Net realized gain (loss) | 16,993 | 33,390 |
Change in net unrealized appreciation (depreciation) | 104,347 | (23,553) |
Net increase (decrease) in net assets resulting from operations | 192,432 | 71,510 |
Distributions to shareholders from net investment income | (77,548) | (57,747) |
Distributions to shareholders from net realized gain | (39,904) | (10,638) |
Total distributions | (117,452) | (68,385) |
Share transactions - net increase (decrease) | 502,872 | 395,804 |
Total increase (decrease) in net assets | 577,852 | 398,929 |
Net Assets | ||
Beginning of period | 4,363,482 | 3,964,553 |
End of period | $4,941,334 | $4,363,482 |
Other Information | ||
Distributions in excess of net investment income end of period | $(8,402) | $(1,257) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class A
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.97 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .135 | .126 | .138 | .105 | .141 |
Net realized and unrealized gain (loss) | .270 | .048 | .278 | (.454) | .327 |
Total from investment operations | .405 | .174 | .416 | (.349) | .468 |
Distributions from net investment income | (.150) | (.116) | (.139) | (.099) | (.135) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.245) | (.144) | (.146) | (.421) | (.398) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.97 |
Total ReturnB,C | 3.92% | 1.67% | 4.10% | (3.29)% | 4.39% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .76% | .77% | .77% | .77% | .77% |
Expenses net of fee waivers, if any | .76% | .77% | .77% | .77% | .77% |
Expenses net of all reductions | .76% | .77% | .77% | .77% | .77% |
Net investment income (loss) | 1.28% | 1.20% | 1.34% | .99% | 1.30% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $261 | $222 | $246 | $291 | $380 |
Portfolio turnover rateF | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
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 were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class T
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.97 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .135 | .127 | .140 | .107 | .143 |
Net realized and unrealized gain (loss) | .270 | .048 | .277 | (.454) | .327 |
Total from investment operations | .405 | .175 | .417 | (.347) | .470 |
Distributions from net investment income | (.150) | (.117) | (.140) | (.101) | (.137) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.245) | (.145) | (.147) | (.423) | (.400) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.97 |
Total ReturnB,C | 3.92% | 1.68% | 4.12% | (3.27)% | 4.41% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .76% | .76% | .76% | .75% | .75% |
Expenses net of fee waivers, if any | .76% | .76% | .76% | .75% | .75% |
Expenses net of all reductions | .76% | .76% | .76% | .75% | .75% |
Net investment income (loss) | 1.28% | 1.20% | 1.36% | 1.01% | 1.32% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $197 | $181 | $196 | $228 | $309 |
Portfolio turnover rateF | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
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 were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class C
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.96 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .053 | .044 | .059 | .025 | .060 |
Net realized and unrealized gain (loss) | .270 | .048 | .278 | (.443) | .318 |
Total from investment operations | .323 | .092 | .337 | (.418) | .378 |
Distributions from net investment income | (.068) | (.034) | (.060) | (.020) | (.055) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.163) | (.062) | (.067) | (.342) | (.318) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.96 |
Total ReturnB,C | 3.12% | .88% | 3.32% | (3.93)% | 3.53% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.54% | 1.55% | 1.54% | 1.52% | 1.51% |
Expenses net of fee waivers, if any | 1.54% | 1.55% | 1.54% | 1.52% | 1.51% |
Expenses net of all reductions | 1.54% | 1.55% | 1.54% | 1.52% | 1.51% |
Net investment income (loss) | .50% | .42% | .57% | .24% | .56% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $94 | $54 | $58 | $73 | $98 |
Portfolio turnover rateF | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
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 were less than .005%.
E 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.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.48 | $10.45 | $10.18 | $10.95 | $10.88 |
Income from Investment Operations | |||||
Net investment income (loss)A | .167 | .159 | .171 | .138 | .175 |
Net realized and unrealized gain (loss) | .281 | .048 | .278 | (.453) | .328 |
Total from investment operations | .448 | .207 | .449 | (.315) | .503 |
Distributions from net investment income | (.183) | (.149) | (.172) | (.133) | (.170) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.278) | (.177) | (.179) | (.455) | (.433) |
Net asset value, end of period | $10.65 | $10.48 | $10.45 | $10.18 | $10.95 |
Total ReturnB | 4.35% | 1.99% | 4.45% | (2.99)% | 4.73% |
Ratios to Average Net AssetsC,D | |||||
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) | 1.59% | 1.51% | 1.66% | 1.31% | 1.62% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $3,896 | $3,489 | $3,157 | $3,412 | $4,313 |
Portfolio turnover rateE | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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 were less than .005%.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Government Income Fund Class I
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.50 | $10.47 | $10.20 | $10.97 | $10.90 |
Income from Investment Operations | |||||
Net investment income (loss)A | .162 | .154 | .166 | .133 | .169 |
Net realized and unrealized gain (loss) | .271 | .048 | .277 | (.454) | .327 |
Total from investment operations | .433 | .202 | .443 | (.321) | .496 |
Distributions from net investment income | (.178) | (.144) | (.166) | (.127) | (.163) |
Distributions from net realized gain | (.095) | (.028) | (.007) | (.322) | (.263) |
Total distributions | (.273) | (.172) | (.173) | (.449) | (.426) |
Net asset value, end of period | $10.66 | $10.50 | $10.47 | $10.20 | $10.97 |
Total ReturnB | 4.19% | 1.94% | 4.38% | (3.03)% | 4.66% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .50% | .50% | .51% | .51% | .51% |
Expenses net of fee waivers, if any | .50% | .50% | .51% | .51% | .51% |
Expenses net of all reductions | .50% | .50% | .51% | .51% | .51% |
Net investment income (loss) | 1.54% | 1.46% | 1.61% | 1.26% | 1.56% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $494 | $412 | $298 | $296 | $334 |
Portfolio turnover rateE | 93% | 83% | 131% | 192% | 222% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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 were less than .005%.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2016
(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 shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All current fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period March 1, 2016 through June 24, 2016.
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 .005%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices | Expense Ratio(a) |
Fidelity Mortgage Backed Securities Central Fund | FIMM | Seeks a high level of income by normally investing in investment grade mortgage-related securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Swaps | Less than .005% |
(a) Expenses expressed as a percentage of average net assets and are as of each underlying Central Fund's most recent annual or semi-annual shareholder report.
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at 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 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. 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. 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, 2016 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.
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, 2016, 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.
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 | $141,816 |
Gross unrealized depreciation | (8,624) |
Net unrealized appreciation (depreciation) on securities | $133,192 |
Tax Cost | $4,977,560 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $8,521 |
Undistributed long-term capital gain | $10,475 |
Net unrealized appreciation (depreciation) on securities and other investments | $133,630 |
The tax character of distributions paid was as follows:
August 31, 2016 | August 31, 2015 | |
Ordinary Income | $96,027 | $ 61,170 |
Long-term Capital Gains | 21,425 | 7,215 |
Total | $ 117,452 | $ 68,385 |
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 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.
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 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. 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 | $(1,372) | $1,133 |
Swaps | 814 | 1,151 |
Totals | $(558) | $2,284 |
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.
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.
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.
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 $164,891 and $0, 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 annual 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 percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $604 | $– |
Class T | -% | .25% | 477 | – |
Class B | .65% | .25% | 30 | 22 |
Class C | .75% | .25% | 782 | 142 |
$1,893 | $164 |
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 by FDC | |
Class A | $38 |
Class T | 8 |
Class B(a) | 1 |
Class C(a) | 16 |
$63 |
(a) 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 assets. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets | |
Class A | $396 | .16 |
Class T | 309 | .16 |
Class B | 8 | .23 |
Class C | 148 | .19 |
Government Income | 3,649 | .10 |
Class I | 682 | .15 |
$5,192 |
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% of the Fund's average net assets 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.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
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 $9 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is 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 $162.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $32.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Year ended August 31, 2016 | Year ended August 31, 2015 | |
From net investment income | ||
Class A | $3,406 | $2,625 |
Class T | 2,723 | 2,118 |
Class B | 26 | 28 |
Class C | 480 | 195 |
Government Income | 63,334 | 47,788 |
Class I | 7,579 | 4,993 |
Total | $77,548 | $57,747 |
From net realized gain | ||
Class A | $2,025 | $646 |
Class T | 1,660 | 523 |
Class B | 49 | 22 |
Class C | 503 | 154 |
Government Income | 31,846 | 8,467 |
Class I | 3,821 | 826 |
Total | $39,904 | $10,638 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between affiliated funds:
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2016 | Year ended August 31, 2015 | Year ended August 31, 2016 | Year ended August 31, 2015 | |
Class A | ||||
Shares sold | 12,026 | 6,410 | $126,485 | $67,517 |
Reinvestment of distributions | 498 | 298 | 5,224 | 3,143 |
Shares redeemed | (9,122) | (9,109) | (95,982) | (95,762) |
Net increase (decrease) | 3,402 | (2,401) | $35,727 | $(25,102) |
Class T | ||||
Shares sold | 6,849 | 5,058 | $71,986 | $53,356 |
Reinvestment of distributions | 404 | 244 | 4,234 | 2,573 |
Shares redeemed | (6,031) | (6,808) | (63,433) | (71,811) |
Net increase (decrease) | 1,222 | (1,506) | $12,787 | $(15,882) |
Class B | ||||
Shares sold | 17 | 30 | $174 | $319 |
Reinvestment of distributions | 6 | 4 | 62 | 40 |
Shares redeemed | (584) | (303) | (6,152) | (3,186) |
Net increase (decrease) | (561) | (269) | $(5,916) | $(2,827) |
Class C | ||||
Shares sold | 5,790 | 2,397 | $60,776 | $25,389 |
Reinvestment of distributions | 81 | 27 | 844 | 282 |
Shares redeemed | (2,223) | (2,806) | (23,431) | (29,497) |
Net increase (decrease) | 3,648 | (382) | $38,189 | $(3,826) |
Government Income | ||||
Shares sold | 91,465 | 102,857 | $961,380 | $1,086,736 |
Reinvestment of distributions | 8,754 | 5,138 | 91,724 | 54,081 |
Shares redeemed | (67,217) | (77,145) | (705,341) | (811,762) |
Net increase (decrease) | 33,002 | 30,850 | $347,763 | $329,055 |
Class I | ||||
Shares sold | 14,937 | 22,692 | $157,175 | $240,263 |
Reinvestment of distributions | 1,055 | 536 | 11,077 | 5,652 |
Shares redeemed | (8,950) | (12,486) | (93,930) | (131,528) |
Net increase (decrease) | 7,042 | 10,742 | $74,322 | $114,387 |
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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and 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, 2016, 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, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 19, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), 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 Jennifer Toolin McAuliffe and Mark A. Murray, each of the Trustees oversees 244 funds. Ms. McAuliffe and Mr. Murray each oversees 191 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 is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the 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.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person 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 Trustees."
Interested Trustees*:
Correspondence intended for a 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.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Ms. McAuliffe previously served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information 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 an Independent 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 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). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), 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 & 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 (pipeline and tanker operations). 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 Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-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).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information 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.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
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. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (U.K.) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO 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).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
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 serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and 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). Previously, Mr. Deberghes served in other fund officer roles.
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 Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); 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).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).
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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
John F. Papandrea (1972)
Year of Election or Appointment: 2016
Anti-Money Laundering (AML) Officer
Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).
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 FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM 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 Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
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).
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, 2016 to August 31, 2016).
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.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period-B March 1, 2016 to August 31, 2016 | |
Class A | .76% | |||
Actual | $1,000.00 | $1,016.90 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.32 | $3.86 | |
Class T | .76% | |||
Actual | $1,000.00 | $1,016.90 | $3.85 | |
Hypothetical-C | $1,000.00 | $1,021.32 | $3.86 | |
Class C | 1.53% | |||
Actual | $1,000.00 | $1,012.90 | $7.74 | |
Hypothetical-C | $1,000.00 | $1,017.44 | $7.76 | |
Government Income | .45% | |||
Actual | $1,000.00 | $1,019.40 | $2.28 | |
Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 | |
Class I | .50% | |||
Actual | $1,000.00 | $1,018.20 | $2.54 | |
Hypothetical-C | $1,000.00 | $1,022.62 | $2.54 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio. In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .005%.
C 5% return per year before expenses
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 | |
Fidelity Government Income Fund | |||
Class A | 10/17/2016 | 10/14/2016 | $0.049 |
Class T | 10/17/2016 | 10/14/2016 | $0.049 |
Class C | 10/17/2016 | 10/14/2016 | $0.049 |
Government Income | 10/17/2016 | 10/14/2016 | $0.049 |
Class I | 10/17/2016 | 10/14/2016 | $ 0.049 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $13,319,006, or, if subsequently determined to be different, the net capital gain of such year.
A total of 37.54% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $48,261,184 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.
Proxy Voting Results
A special meeting of shareholders was held on April 13, 2016. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Elizabeth S. Acton | ||
Affirmative | 23,485,695,172.82 | 97.873 |
Withheld | 510,412,850.89 | 2.127 |
TOTAL | 23,996,108,023.71 | 100.000 |
John Engler | ||
Affirmative | 23,396,775,263.01 | 97.503 |
Withheld | 599,332,760.70 | 2.497 |
TOTAL | 23,996,108,023.71 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 23,408,625,557.99 | 97.552 |
Withheld | 587,482,465.72 | 2.448 |
TOTAL | 23,996,108,023.71 | 100.000 |
Robert F. Gartland | ||
Affirmative | 23,466,064,780.31 | 97.792 |
Withheld | 530,043,243.40 | 2.208 |
TOTAL | 23,996,108,023.71 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 23,449,693,125.04 | 97.723 |
Withheld | 546,414,898.67 | 2.277 |
TOTAL | 23,996,108,023.71 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 23,433,937,136.83 | 97.658 |
Withheld | 562,170,886.88 | 2.342 |
TOTAL | 23,996,108,023.71 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 23,472,891,022.59 | 97.820 |
Withheld | 523,217,001.12 | 2.180 |
TOTAL | 23,996,108,023.71 | 100.000 |
James H. Keyes | ||
Affirmative | 23,409,640,697.18 | 97.556 |
Withheld | 586,467,326.53 | 2.444 |
TOTAL | 23,996,108,023.71 | 100.000 |
Marie L. Knowles | ||
Affirmative | 23,434,534,070.88 | 97.660 |
Withheld | 561,573,952.83 | 2.340 |
TOTAL | 23,996,108,023.71 | 100.000 |
Geoffrey A. von Kuhn | ||
Affirmative | 23,442,506,227.29 | 97.693 |
Withheld | 553,601,796.42 | 2.307 |
TOTAL | 23,996,108,023.71 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
GOV-ANN-1016
1.537760.120
Fidelity® Intermediate Government Income Fund Annual Report August 31, 2016 |
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 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. © 2016 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of 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 hypothetical investment and the average annual total 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
For the periods ended August 31, 2016 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Intermediate Government Income Fund | 2.62% | 1.55% | 3.73% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity® Intermediate Government Income Fund on August 31, 2006.
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.
![](https://capedge.com/proxy/N-CSR/0001379491-16-006641/img140069099_740.jpg)
Period Ending Values | ||
$14,428 | Fidelity® Intermediate Government Income Fund | |
$14,520 | Barclays® U.S. Intermediate Government Bond Index |
Management's Discussion of Fund Performance
Market Recap: Taxable investment-grade bonds gained solidly for the 12 months ending August 31, 2016, a volatile period marked by persistent concern about global growth, divergent global monetary policies and Brexit – the U.K.’s late-June referendum vote to leave the European Union. The Barclays® U.S. Aggregate Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, partly as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities. Bond yields trended lower and the yield curve flattened for much of the period, especially in early 2016, soon after the U.S. Federal Reserve raised policy interest rates. Still, U.S. yields remained higher than those in most industrial countries, especially in Japan and parts of Europe, where rates largely were negative. Within the Barclays index, investment-grade corporate bonds led all major market segments by far, with a return of 9.64%. U.S. Treasuries, meanwhile, lagged many spread-based sectors, returning 5.14%. Commercial mortgage-backed securities topped the index, returning 6.72%, although most other securitized sectors fell short. Riskier, non-core fixed-income segments, including emerging-markets debt, led the broader market amid a strong surge in the period’s second half.Comments from Lead Portfolio Manager Franco Castagliuolo: For the year, the fund returned 2.62% net of fees, lagging the 3.03% advance of the Barclays U.S. Intermediate Government Bond Index. The fund’s out-of-index exposure to Treasury Inflation-Protected Securities hurt performance. These holdings, which we eliminated from the portfolio in March, performed poorly when we owned them as investors shunned inflation protection. We also lost a bit of ground relative to the benchmark from security selection among residential mortgage-backed securities. Here, our stake in TBA (to be announced) securities worked against. We pair these securities with floating-rate securities to synthesize mortgage exposure. However, this strategy underperformed: the floaters dropped in price and the TBAs got more expensive to buy forward. In contrast, holdings in out-of-benchmark commercial mortgage-backed securities (CMBS) issued by Freddie Mac aided our relative result, as they outpaced most other government bond sectors in the benchmark. Our positioning within the government agency debentures sector also added value. We had a bias toward comparatively high-yielding niche issues such as Tennessee Valley Authority. The comparatively high level of income such bonds produced attracted demand from yield-seeking investors and helped these securities generate above-average gains.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.
Investment Summary (Unaudited)
Coupon Distribution as of August 31, 2016
% of fund's investments | % of fund's investments 6 months ago | |
0.01 - 0.99% | 14.4 | 20.5 |
1 - 1.99% | 37.6 | 37.3 |
2 - 2.99% | 25.8 | 22.1 |
3 - 3.99% | 8.1 | 6.9 |
4 - 4.99% | 3.2 | 2.3 |
5 - 5.99% | 8.2 | 8.3 |
6 - 6.99% | 0.7 | 1.0 |
7 - 7.99% | 0.3 | 0.1 |
8% and above | 0.4 | 0.6 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments.
Asset Allocation (% of fund's net assets)
As of August 31, 2016*,** | ||
Mortgage Securities | 6.8% | |
CMOs and Other Mortgage Related Securities | 23.6% | |
U.S. Treasury Obligations | 63.6% | |
U.S. Government Agency Obligations*** | 3.0% | |
Foreign Government & Government Agency Obligations | 4.6% | |
Short-Term Investments and Net Other Assets (Liabilities)† | (1.6)% |
* Foreign investments - 4.6%
** Futures and Swaps - 3.7%
*** Includes NCUA Guaranteed Notes
† Short-Term Investments and Net Other Assets (Liabilities) are not included in the pie chart
As of February 29, 2016*,** | ||
Mortgage Securities | 3.6% | |
CMOs and Other Mortgage Related Securities | 25.0% | |
U.S. Treasury Obligations | 61.8% | |
U.S. Government Agency Obligations*** | 5.3% | |
Foreign Government & Government Agency Obligations | 4.3% |
* Foreign investments - 4.3%
** Futures and Swaps - 3.2%
*** Includes NCUA Guaranteed Notes
Investments August 31, 2016
Showing Percentage of Net Assets
U.S. Government and Government Agency Obligations - 66.6% | |||
Principal Amount (000s) | Value (000s) | ||
U.S. Government Agency Obligations - 0.7% | |||
Small Business Administration guaranteed development participation certificates Series 2004-20H Class 1, 5.17% 8/1/24 | 114 | 124 | |
Tennessee Valley Authority 1.75% 10/15/18 | 4,850 | 4,929 | |
5,053 | |||
U.S. Treasury Obligations - 63.6% | |||
U.S. Treasury Notes: | |||
0.75% 1/31/18 | $5,982 | $5,980 | |
0.75% 4/15/18 | 2,035 | 2,033 | |
0.75% 7/31/18 | 3,857 | 3,852 | |
0.75% 8/15/19 | 11,000 | 10,944 | |
0.875% 6/15/19 | 42,284 | 42,232 | |
1% 5/31/18 | 14,286 | 14,332 | |
1.125% 6/15/18 | 9,055 | 9,104 | |
1.125% 1/15/19 | 18,999 | 19,109 | |
1.125% 7/31/21 | 1,375 | 1,369 | |
1.125% 8/31/21 | 9,000 | 8,968 | |
1.25% 11/30/18 | 7,000 | 7,061 | |
1.375% 7/31/18 | 8,863 | 8,956 | |
1.375% 9/30/18 | 3,911 | 3,954 | |
1.375% 2/28/19 | 2,639 | 2,671 | |
1.375% 3/31/20 | 11,714 | 11,846 | |
1.375% 4/30/20 | 972 | 983 | |
1.375% 1/31/21 | 10,000 | 10,084 | |
1.375% 8/31/23 | 14,094 | 14,021 | |
1.5% 12/31/18 | 1,151 | 1,168 | |
1.5% 1/31/19 | 726 | 737 | |
1.5% 10/31/19 | 17,491 | 17,773 | |
1.5% 1/31/22 | 30,862 | 31,197 | |
1.5% 2/28/23 | 6,987 | 7,025 | |
1.5% 8/15/26 | 3,000 | 2,978 | |
1.625% 4/30/19 | 13,043 | 13,291 | |
1.625% 6/30/19 | 13,881 | 14,154 | |
1.625% 12/31/19 | 9,696 | 9,890 | |
1.625% 7/31/20 | 3,000 | 3,059 | |
1.625% 2/15/26 | 3,457 | 3,468 | |
1.75% 9/30/19 | 3,935 | 4,029 | |
1.75% 10/31/20 | 5,000 | 5,121 | |
1.75% 12/31/20 | 12,412 | 12,716 | |
1.75% 2/28/22 | 4,000 | 4,095 | |
1.75% 4/30/22 | 3,240 | 3,315 | |
2% 9/30/20 | 30,619 | 31,663 | |
2% 11/30/22 | 24,279 | 25,165 | |
2% 2/15/25 | 31,557 | 32,700 | |
2% 8/15/25 | 3,283 | 3,400 | |
2.25% 7/31/21 | 35,982 | 37,735 | |
2.25% 11/15/25 | 10,000 | 10,573 | |
2.375% 8/15/24 | 1,505 | 1,602 | |
3.5% 2/15/18 (a) | 4,299 | 4,468 | |
458,821 | |||
Other Government Related - 2.3% | |||
National Credit Union Administration Guaranteed Notes: | |||
Series 2010-A1 Class A, 1.0146% 12/7/20 (NCUA Guaranteed) (b) | 860 | 858 | |
Series 2011-R1 Class 1A, 0.9226% 1/8/20 (NCUA Guaranteed) (b) | 1,878 | 1,881 | |
Series 2011-R4 Class 1A, 0.8739% 3/6/20 (NCUA Guaranteed) (b) | 396 | 396 | |
National Credit Union Administration Guaranteed Notes Master Trust 3.45% 6/12/21 (NCUA Guaranteed) | 12,000 | 13,067 | |
16,202 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $473,355) | 480,076 | ||
U.S. Government Agency - Mortgage Securities - 6.8% | |||
Fannie Mae - 4.6% | |||
2.272% 7/1/35 (b) | 7 | 7 | |
2.276% 2/1/33 (b) | 7 | 8 | |
2.288% 10/1/35 (b) | 10 | 10 | |
2.29% 11/1/33 (b) | 9 | 9 | |
2.298% 3/1/35 (b) | 10 | 10 | |
2.315% 9/1/36 (b) | 31 | 33 | |
2.32% 12/1/34 (b) | 18 | 18 | |
2.413% 10/1/33 (b) | 6 | 6 | |
2.424% 1/1/35 (b) | 75 | 78 | |
2.453% 2/1/44 (b) | 92 | 96 | |
2.502% 4/1/44 (b) | 145 | 149 | |
2.523% 7/1/36 (b) | 56 | 59 | |
2.523% 2/1/44 (b) | 84 | 87 | |
2.551% 1/1/44 (b) | 148 | 153 | |
2.557% 10/1/33 (b) | 14 | 15 | |
2.573% 3/1/33 (b) | 35 | 36 | |
2.574% 7/1/34 (b) | 12 | 13 | |
2.6% 5/1/44 (b) | 162 | 167 | |
2.626% 5/1/44 (b) | 247 | 256 | |
2.627% 3/1/40 (b) | 385 | 406 | |
2.627% 6/1/47 (b) | 40 | 42 | |
2.655% 2/1/37 (b) | 162 | 171 | |
2.662% 7/1/35 (b) | 16 | 16 | |
2.678% 4/1/44 (b) | 348 | 360 | |
2.69% 3/1/37 (b) | 11 | 11 | |
2.693% 2/1/42 (b) | 511 | 533 | |
2.715% 2/1/36 (b) | 5 | 5 | |
2.751% 1/1/42 (b) | 413 | 431 | |
2.801% 11/1/36 (b) | 85 | 89 | |
2.803% 6/1/36 (b) | 15 | 16 | |
2.833% 3/1/35 (b) | 9 | 10 | |
3.007% 5/1/36 (b) | 11 | 12 | |
3.013% 4/1/36 (b) | 80 | 85 | |
3.282% 8/1/35 (b) | 145 | 152 | |
3.5% 9/1/46 (c) | 13,900 | 14,644 | |
4% 5/1/29 | 9,106 | 9,733 | |
5% 1/1/22 to 7/1/35 | 1,486 | 1,656 | |
5.5% 10/1/20 to 1/1/29 | 1,738 | 1,877 | |
6% 10/1/16 to 3/1/34 | 376 | 431 | |
6.5% 4/1/17 to 8/1/36 | 1,287 | 1,492 | |
10.25% 10/1/18 | 1 | 1 | |
33,383 | |||
Freddie Mac - 0.9% | |||
2.2% 3/1/37 (b) | 7 | 8 | |
2.32% 3/1/35 (b) | 29 | 30 | |
2.366% 11/1/35 (b) | 76 | 79 | |
2.55% 6/1/37 (b) | 12 | 12 | |
2.555% 2/1/37 (b) | 21 | 22 | |
2.581% 7/1/35 (b) | 409 | 425 | |
2.582% 5/1/37 (b) | 21 | 22 | |
2.599% 6/1/33 (b) | 87 | 91 | |
2.625% 5/1/37 (b) | 15 | 16 | |
2.66% 8/1/37 (b) | 32 | 34 | |
2.668% 4/1/37 (b) | 20 | 21 | |
2.71% 2/1/36 (b) | 3 | 3 | |
2.735% 4/1/34 (b) | 364 | 384 | |
2.82% 10/1/36 (b) | 121 | 126 | |
2.823% 10/1/42 (b) | 359 | 379 | |
2.85% 7/1/35 (b) | 61 | 64 | |
2.856% 10/1/35 (b) | 52 | 55 | |
2.885% 5/1/37 (b) | 138 | 145 | |
2.888% 5/1/37 (b) | 301 | 317 | |
2.915% 6/1/37 (b) | 94 | 99 | |
2.916% 3/1/33 (b) | 1 | 1 | |
2.975% 10/1/41 (b) | 435 | 457 | |
3% 2/1/31 | 2,059 | 2,166 | |
3.067% 7/1/35 (b) | 87 | 93 | |
3.068% 9/1/41 (b) | 514 | 537 | |
3.22% 4/1/37 (b) | 4 | 4 | |
3.295% 7/1/36 (b) | 30 | 32 | |
3.581% 10/1/35 (b) | 15 | 16 | |
6% 1/1/24 | 277 | 305 | |
6.5% 12/1/21 | 73 | 80 | |
9.5% 9/1/16 to 8/1/21 | 9 | 10 | |
10% 10/1/16 to 3/1/21 | 11 | 12 | |
10.5% 1/1/21 | 1 | 1 | |
11% 9/1/20 | 1 | 1 | |
6,047 | |||
Ginnie Mae - 1.3% | |||
4.3% 8/20/61 (d) | 851 | 881 | |
4.649% 2/20/62 (d) | 613 | 645 | |
4.682% 2/20/62 (d) | 808 | 847 | |
4.684% 1/20/62 (d) | 4,902 | 5,134 | |
5.47% 8/20/59 (d) | 143 | 145 | |
5.5% 11/15/35 | 444 | 512 | |
5.612% 4/20/58 (d) | 14 | 14 | |
6% 6/15/36 | 967 | 1,124 | |
8% 12/15/23 | 75 | 86 | |
8.5% 2/15/17 | 0 | 0 | |
10.5% 12/15/17 to 10/15/21 | 43 | 47 | |
11% 7/20/18 to 1/20/21 | 7 | 8 | |
9,443 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $48,376) | 48,873 | ||
Collateralized Mortgage Obligations - 19.1% | |||
U.S. Government Agency - 19.1% | |||
Fannie Mae: | |||
floater: | |||
Series 1994-42 Class FK, 1.08% 4/25/24 (b) | 493 | 496 | |
Series 2001-38 Class QF, 1.5044% 8/25/31(b) | 104 | 105 | |
Series 2002-60 Class FV, 1.5244% 4/25/32 (b) | 21 | 22 | |
Series 2002-74 Class FV, 0.9744% 11/25/32 (b) | 1,107 | 1,112 | |
Series 2002-75 Class FA, 1.5244% 11/25/32 (b) | 44 | 44 | |
Series 2010-15 Class FJ, 1.4544% 6/25/36 (b) | 1,436 | 1,454 | |
planned amortization class: | |||
Series 1988-21 Class G, 9.5% 8/25/18 | 3 | 4 | |
Series 2002-16 Class PG, 6% 4/25/17 | 3 | 3 | |
Series 2002-9 Class PC, 6% 3/25/17 | 1 | 1 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 221 | 238 | |
Series 2005-19 Class PA, 5.5% 7/25/34 | 421 | 448 | |
Series 2005-27 Class NE, 5.5% 5/25/34 | 225 | 229 | |
Series 2005-64 Class PX, 5.5% 6/25/35 | 439 | 481 | |
Series 2005-68 Class CZ, 5.5% 8/25/35 | 987 | 1,114 | |
sequential payer: | |||
Series 2002-57 Class BD, 5.5% 9/25/17 | 5 | 5 | |
Series 2003-117 Class MD, 5% 12/25/23 | 220 | 238 | |
Series 2004-52 Class KZ, 5.5% 7/25/34 | 2,441 | 2,762 | |
Series 2004-91 Class Z, 5% 12/25/34 | 1,427 | 1,589 | |
Series 2009-59 Class HB, 5% 8/25/39 | 571 | 635 | |
Series 2010-97 Class CX, 4.5% 9/25/25 | 1,693 | 1,868 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (e) | 1,037 | 131 | |
Series 2010-39 Class FG, 1.4444% 3/25/36 (b) | 881 | 897 | |
Series 2011-67 Class AI, 4% 7/25/26 (e) | 265 | 28 | |
Series 2016-26 Class CG, 3% 5/25/46 | 3,382 | 3,521 | |
Freddie Mac: | |||
floater: | |||
Series 2526 Class FC, 0.9077% 11/15/32 (b) | 174 | 174 | |
Series 2630 Class FL, 1.0077% 6/15/18 (b) | 3 | 3 | |
Series 2711 Class FC, 1.4077% 2/15/33 (b) | 442 | 447 | |
floater planned amortization class Series 2770 Class FH, 0.9077% 3/15/34 (b) | 451 | 451 | |
planned amortization class: | |||
Series 2356 Class GD, 6% 9/15/16 | 0 | 0 | |
Series 2376 Class JE, 5.5% 11/15/16 | 1 | 1 | |
Series 2381 Class OG, 5.5% 11/15/16 | 0 | 0 | |
Series 2425 Class JH, 6% 3/15/17 | 3 | 3 | |
Series 2802 Class OB, 6% 5/15/34 | 559 | 625 | |
Series 3415 Class PC, 5% 12/15/37 | 172 | 187 | |
Series 3763 Class QA, 4% 4/15/34 | 312 | 317 | |
Series 3840 Class VA, 4.5% 9/15/27 | 697 | 735 | |
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 121 | 121 | |
sequential payer: | |||
Series 1929 Class EZ, 7.5% 2/17/27 | 561 | 625 | |
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 1,850 | 2,101 | |
Series 2004-2862 Class NE, 5% 9/15/24 | 3,911 | 4,174 | |
Series 2145 Class MZ, 6.5% 4/15/29 | 624 | 720 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 340 | 398 | |
Series 2877 Class ZD, 5% 10/15/34 | 1,712 | 1,903 | |
Series 2998 Class LY, 5.5% 7/15/25 | 185 | 202 | |
Series 3007 Class EW, 5.5% 7/15/25 | 791 | 864 | |
Series 3745 Class KV, 4.5% 12/15/26 | 1,167 | 1,274 | |
Series 3806 Class L, 3.5% 2/15/26 | 1,400 | 1,527 | |
Freddie Mac Multi-family Structured pass-thru certificates sequential payer: | |||
Series 4335 Class AL, 4.25% 3/15/40 | 1,370 | 1,464 | |
Series 4341 Class ML, 3.5% 11/15/31 | 1,835 | 1,940 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-59 Class FC, 1.0124% 7/20/37 (b) | 251 | 252 | |
Series 2008-2 Class FD, 0.9924% 1/20/38 (b) | 63 | 63 | |
Series 2009-108 Class CF, 1.1067% 11/16/39 (b) | 269 | 271 | |
Series 2009-116 Class KF, 1.0367% 12/16/39 (b) | 208 | 209 | |
Series 2010-H17 Class FA, 0.8209% 7/20/60 (b)(d) | 2,452 | 2,426 | |
Series 2010-H18 Class AF, 0.7676% 9/20/60 (b)(d) | 2,960 | 2,927 | |
Series 2010-H19 Class FG, 0.7676% 8/20/60 (b)(d) | 3,402 | 3,364 | |
Series 2010-H27 Series FA, 0.8476% 12/20/60 (b)(d) | 884 | 877 | |
Series 2011-H05 Class FA, 0.9676% 12/20/60 (b)(d) | 1,726 | 1,719 | |
Series 2011-H07 Class FA, 0.9676% 2/20/61 (b)(d) | 3,281 | 3,270 | |
Series 2011-H12 Class FA, 0.9576% 2/20/61 (b)(d) | 3,741 | 3,727 | |
Series 2011-H13 Class FA, 0.9676% 4/20/61 (b)(d) | 1,400 | 1,395 | |
Series 2011-H14: | |||
Class FB, 0.9676% 5/20/61 (b)(d) | 1,636 | 1,629 | |
Class FC, 0.9676% 5/20/61 (b)(d) | 1,451 | 1,446 | |
Series 2011-H17 Class FA, 0.9976% 6/20/61 (b)(d) | 1,871 | 1,867 | |
Series 2011-H21 Class FA, 1.0676% 10/20/61 (b)(d) | 1,848 | 1,848 | |
Series 2012-H01 Class FA, 1.1676% 11/20/61 (b)(d) | 1,587 | 1,593 | |
Series 2012-H03 Class FA, 1.1676% 1/20/62 (b)(d) | 989 | 993 | |
Series 2012-H06 Class FA, 1.0976% 1/20/62 (b)(d) | 1,519 | 1,520 | |
Series 2012-H07 Class FA, 1.0976% 3/20/62 (b)(d) | 898 | 899 | |
Series 2015-H13 Class FL, 0.7476% 5/20/63 (b)(d) | 4,896 | 4,877 | |
Series 2015-H19 Class FA, 0.6676% 4/20/63 (b)(d) | 4,695 | 4,673 | |
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 5 | 5 | |
planned amortization class: | |||
Series 2010-31 Class BP, 5% 3/20/40 | 1,810 | 2,095 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (e) | 648 | 54 | |
Series 2011-68 Class EC, 3.5% 4/20/41 | 1,155 | 1,216 | |
sequential payer: | |||
Series 2013-H06 Class HA, 1.65% 1/20/63 (d) | 969 | 967 | |
Series 2014-H12 Class KA, 2.75% 5/20/64 (d) | 1,051 | 1,080 | |
Series 2016-H02 Class FM, 0.9676% 9/20/62 (b)(d) | 3,637 | 3,636 | |
Series 2016-H04 Class FE, 1.1176% 11/20/65 (b)(d) | 1,338 | 1,340 | |
Series 2010-H15 Class TP, 5.15% 8/20/60 (d) | 3,561 | 3,745 | |
Series 2010-H17 Class XP, 5.2989% 7/20/60 (b)(d) | 4,277 | 4,487 | |
Series 2010-H18 Class PL, 5.01% 9/20/60 (b)(d) | 3,200 | 3,359 | |
Series 2011-71 Class ZB, 5.5% 8/20/34 | 2,065 | 2,344 | |
Series 2012-64 Class KB, 14.4687% 5/20/41 (b) | 53 | 71 | |
Series 2013-124: | |||
Class ES, 7.9834% 4/20/39 (b)(f) | 1,266 | 1,360 | |
Class ST, 8.1168% 8/20/39 (b)(f) | 2,430 | 2,672 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (d) | 3,655 | 3,706 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (d) | 10,925 | 11,043 | |
Class JA, 2.5% 6/20/65 (d) | 1,021 | 1,033 | |
Series 2015-H30 Class HA, 1.75% 9/20/62 (b)(d) | 7,669 | 7,652 | |
Series 2016-H13 Class FB, 1.18% 5/20/66 (b)(d) | 4,182 | 4,178 | |
Series 2090-118 Class XZ, 5% 12/20/39 | 2,124 | 2,584 | |
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $137,799) | 138,153 | ||
Commercial Mortgage Securities - 4.5% | |||
Freddie Mac: | |||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 780 | 855 | |
sequential payer: | |||
Series K027 Class A2, 2.637% 1/25/23 | 1,098 | 1,154 | |
Series K029 Class A2, 3.32% 2/25/23 (b) | 524 | 572 | |
Series K034 Class A1, 2.669% 2/25/23 | 2,924 | 3,003 | |
Series K037 Class A2, 3.49% 1/25/24 | 1,803 | 1,997 | |
Series K710 Class A2, 1.883% 5/25/19 | 1,251 | 1,268 | |
Series K717 Class A2, 2.991% 9/25/21 | 670 | 712 | |
Series K032 Class A1, 3.016% 2/25/23 | 4,933 | 5,160 | |
Series K039 Class A2, 3.303% 7/25/24 | 5,032 | 5,519 | |
Series K042 Class A2, 2.67% 12/25/24 | 4,200 | 4,419 | |
Series K501 Class A2, 1.655% 11/25/16 | 635 | 635 | |
2.313% 3/25/20 | 804 | 828 | |
Freddie Mac Multi-family Structured pass-thru certificates Series K044 Class A2, 2.811% 1/25/25 | 6,300 | 6,694 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $31,771) | 32,816 | ||
Foreign Government and Government Agency Obligations - 4.6% | |||
Israeli State: | |||
(guaranteed by U.S. Government through Agency for International Development): | |||
5.5% 9/18/23 | 4,551 | 5,671 | |
5.5% 12/4/23 | 10,710 | 13,404 | |
5.5% 4/26/24 | 1,100 | 1,389 | |
Jordanian Kingdom: | |||
2.503% 10/30/20 | 8,609 | 9,016 | |
3% 6/30/25 | 3,329 | 3,648 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $30,158) | 33,128 | ||
Shares | Value (000s) | ||
Money Market Funds - 1.3% | |||
Fidelity Cash Central Fund, 0.42% (g) | |||
(Cost $9,189) | 9,189,311 | 9,189 | |
TOTAL INVESTMENT PORTFOLIO - 102.9% | |||
(Cost $730,648) | 742,235 | ||
NET OTHER ASSETS (LIABILITIES) - (2.9)% | (21,098) | ||
NET ASSETS - 100% | $721,137 |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/(Depreciation) (000s) | |
Purchased | |||
Treasury Contracts | |||
122 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 26,634 | $(25) |
The face value of futures purchased as a percentage of Net Assets is 3.7%
Values shown as $0 may reflect amounts less than $500.
Legend
(a) 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 $125,000.
(b) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(d) 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.
(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) 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.
Affiliated Central Funds
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:
Fund | Income earned |
(Amounts in thousands) | |
Fidelity Cash Central Fund | $6 |
Total | $6 |
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
(Amounts in thousands) | ||||
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $480,076 | $-- | $480,076 | $-- |
U.S. Government Agency - Mortgage Securities | 48,873 | -- | 48,873 | -- |
Collateralized Mortgage Obligations | 138,153 | -- | 138,153 | -- |
Commercial Mortgage Securities | 32,816 | -- | 32,816 | -- |
Foreign Government and Government Agency Obligations | 33,128 | -- | 33,128 | -- |
Money Market Funds | 9,189 | 9,189 | -- | -- |
Total Investments in Securities: | $742,235 | $9,189 | $733,046 | $-- |
Derivative Instruments: | ||||
Liabilities | ||||
Futures Contracts | $(25) | $(25) | $-- | $-- |
Total Liabilities | $(25) | $(25) | $-- | $-- |
Total Derivative Instruments: | $(25) | $(25) | $-- | $-- |
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, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value (000s) | |
Asset | Liability | |
Interest Rate Risk | ||
Futures Contracts(a) | $0 | $(25) |
Total Interest Rate Risk | 0 | (25) |
Total Value of Derivatives | $0 | $(25) |
(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 is presented in the Statement of Assets and Liabilities.
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amount) | August 31, 2016 | |
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $721,459) | $733,046 | |
Fidelity Central Funds (cost $9,189) | 9,189 | |
Total Investments (cost $730,648) | $742,235 | |
Receivable for investments sold | 46,640 | |
Receivable for fund shares sold | 128 | |
Interest receivable | 2,148 | |
Distributions receivable from Fidelity Central Funds | 2 | |
Receivable for daily variation margin for derivative instruments | 4 | |
Total assets | 791,157 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $54,599 | |
Delayed delivery | 14,654 | |
Payable for fund shares redeemed | 444 | |
Distributions payable | 49 | |
Accrued management fee | 188 | |
Other affiliated payables | 86 | |
Total liabilities | 70,020 | |
Net Assets | $721,137 | |
Net Assets consist of: | ||
Paid in capital | $705,042 | |
Distributions in excess of net investment income | (316) | |
Accumulated undistributed net realized gain (loss) on investments | 4,849 | |
Net unrealized appreciation (depreciation) on investments | 11,562 | |
Net Assets, for 66,831 shares outstanding | $721,137 | |
Net Asset Value, offering price and redemption price per share ($721,137 ÷ 66,831 shares) | $10.79 |
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Amounts in thousands | Year ended August 31, 2016 | |
Investment Income | ||
Interest | $12,136 | |
Income from Fidelity Central Funds | 6 | |
Total income | 12,142 | |
Expenses | ||
Management fee | $2,277 | |
Transfer agent fees | 733 | |
Fund wide operations fee | 285 | |
Independent trustees' fees and expenses | 3 | |
Miscellaneous | 4 | |
Total expenses before reductions | 3,302 | |
Expense reductions | (7) | 3,295 |
Net investment income (loss) | 8,847 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 7,197 | |
Futures contracts | (77) | |
Swaps | (902) | |
Total net realized gain (loss) | 6,218 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 3,125 | |
Futures contracts | 109 | |
Swaps | 263 | |
Total change in net unrealized appreciation (depreciation) | 3,497 | |
Net gain (loss) | 9,715 | |
Net increase (decrease) in net assets resulting from operations | $18,562 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Amounts in thousands | Year ended August 31, 2016 | Year ended August 31, 2015 |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $8,847 | $10,443 |
Net realized gain (loss) | 6,218 | 5,020 |
Change in net unrealized appreciation (depreciation) | 3,497 | (3,277) |
Net increase (decrease) in net assets resulting from operations | 18,562 | 12,186 |
Distributions to shareholders from net investment income | (9,192) | (9,405) |
Distributions to shareholders from net realized gain | (4,324) | – |
Total distributions | (13,516) | (9,405) |
Share transactions | ||
Proceeds from sales of shares | 154,812 | 103,216 |
Reinvestment of distributions | 12,650 | 8,644 |
Cost of shares redeemed | (191,359) | (197,881) |
Net increase (decrease) in net assets resulting from share transactions | (23,897) | (86,021) |
Total increase (decrease) in net assets | (18,851) | (83,240) |
Net Assets | ||
Beginning of period | 739,988 | 823,228 |
End of period | $721,137 | $739,988 |
Other Information | ||
Undistributed net investment income end of period | $– | $135 |
Distributions in excess of net investment income end of period | $(316) | $– |
Shares | ||
Sold | 14,435 | 9,625 |
Issued in reinvestment of distributions | 1,181 | 806 |
Redeemed | (17,853) | (18,470) |
Net increase (decrease) | (2,237) | (8,039) |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Intermediate Government Income Fund
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.71 | $10.68 | $10.58 | $11.09 | $11.12 |
Income from Investment Operations | |||||
Net investment income (loss)A | .130 | .144 | .133 | .116 | .128 |
Net realized and unrealized gain (loss) | .148 | .016 | .153 | (.294) | .159 |
Total from investment operations | .278 | .160 | .286 | (.178) | .287 |
Distributions from net investment income | (.135) | (.130) | (.130) | (.116) | (.129) |
Distributions from net realized gain | (.063) | – | (.056) | (.216) | (.188) |
Total distributions | (.198) | (.130) | (.186) | (.332) | (.317) |
Net asset value, end of period | $10.79 | $10.71 | $10.68 | $10.58 | $11.09 |
Total ReturnB | 2.62% | 1.50% | 2.72% | (1.66)% | 2.63% |
Ratios to Average Net AssetsC,D | |||||
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) | 1.21% | 1.34% | 1.25% | 1.07% | 1.16% |
Supplemental Data | |||||
Net assets, end of period (in millions) | $721 | $740 | $823 | $916 | $1,132 |
Portfolio turnover rateE | 117% | 71% | 153% | 179% | 198% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2016
(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 affiliated 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. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The 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.)
- 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. When independent prices are unavailable or unreliable, debt securities may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy. 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, 2016 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.
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, 2016, 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.
Book-tax differences are primarily due to futures contracts, swaps, market discount, deferred trustees compensation, 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 | $12,192 |
Gross unrealized depreciation | (991) |
Net unrealized appreciation (depreciation) on securities | $11,201 |
Tax Cost | $731,034 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $360 |
Undistributed long-term capital gain | $4,536 |
Net unrealized appreciation (depreciation) on securities and other investments | $11,201 |
The tax character of distributions paid was as follows:
August 31, 2016 | August 31, 2015 | |
Ordinary Income | $10,433 | $ 9,405 |
Long-term Capital Gains | 3,083 | – |
Total | $13,516 | $ 9,405 |
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 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.
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 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. 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 | $(77) | $109 |
Swaps | (902) | 263 |
Totals | $(979) | $372 |
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.
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.
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.
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 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% of the Fund's average net assets 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.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
6. Committed Line of Credit.
The Fund participates with other funds managed by the investment adviser or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $2 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is 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 $9.
Expense Reductions.
During the period the investment adviser reimbursed and/or waived a portion of operating expenses in the amount of $7.
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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and 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, 2016, 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, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 19, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), 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 Jennifer Toolin McAuliffe and Mark A. Murray, each of the Trustees oversees 244 funds. Ms. McAuliffe and Mr. Murray each oversees 191 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 is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the 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.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person 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 Trustees."
Interested Trustees*:
Correspondence intended for a 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.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Ms. McAuliffe previously served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information 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 an Independent 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 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). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), 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 & 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 (pipeline and tanker operations). 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 Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-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).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information 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.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
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. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (U.K.) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO 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).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
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 serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and 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). Previously, Mr. Deberghes served in other fund officer roles.
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 Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); 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).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).
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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
John F. Papandrea (1972)
Year of Election or Appointment: 2016
Anti-Money Laundering (AML) Officer
Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).
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 FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM 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 Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
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).
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, 2016 to August 31, 2016).
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. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. 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.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period-B March 1, 2016 to August 31, 2016 | |
Actual | .45% | $1,000.00 | $1,008.80 | $2.27 |
Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity Intermediate Government Income Fund voted to pay on October 17, 2016, to shareholders of record at the opening of business on October 14, 2016, a distribution of $0.075 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 September 30, 2016, $5,480,326, or, if subsequently determined to be different, the net capital gain of such year.
A total of 49.29% 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 $4,916,332 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.
Proxy Voting Results
A special meeting of shareholders was held on April 13, 2016. The results of votes taken among shareholders on the proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Elizabeth S. Acton | ||
Affirmative | 23,485,695,172.82 | 97.873 |
Withheld | 510,412,850.89 | 2.127 |
TOTAL | 23,996,108,023.71 | 100.000 |
John Engler | ||
Affirmative | 23,396,775,263.01 | 97.503 |
Withheld | 599,332,760.70 | 2.497 |
TOTAL | 23,996,108,023.71 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 23,408,625,557.99 | 97.552 |
Withheld | 587,482,465.72 | 2.448 |
TOTAL | 23,996,108,023.71 | 100.000 |
Robert F. Gartland | ||
Affirmative | 23,466,064,780.31 | 97.792 |
Withheld | 530,043,243.40 | 2.208 |
TOTAL | 23,996,108,023.71 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 23,449,693,125.04 | 97.723 |
Withheld | 546,414,898.67 | 2.277 |
TOTAL | 23,996,108,023.71 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 23,433,937,136.83 | 97.658 |
Withheld | 562,170,886.88 | 2.342 |
TOTAL | 23,996,108,023.71 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 23,472,891,022.59 | 97.820 |
Withheld | 523,217,001.12 | 2.180 |
TOTAL | 23,996,108,023.71 | 100.000 |
James H. Keyes | ||
Affirmative | 23,409,640,697.18 | 97.556 |
Withheld | 586,467,326.53 | 2.444 |
TOTAL | 23,996,108,023.71 | 100.000 |
Marie L. Knowles | ||
Affirmative | 23,434,534,070.88 | 97.660 |
Withheld | 561,573,952.83 | 2.340 |
TOTAL | 23,996,108,023.71 | 100.000 |
Geoffrey A. von Kuhn | ||
Affirmative | 23,442,506,227.29 | 97.693 |
Withheld | 553,601,796.42 | 2.307 |
TOTAL | 23,996,108,023.71 | 100.000 |
PROPOSAL 2
For Fidelity® Intermediate Government Fund, a shareholder proposal requesting that the Board of Trustees institute procedures to prevent holding investments in companies that, in management's judgment, substantially contribute to genocide or crimes against humanity. | ||
# of Votes | % of Votes | |
Affirmative | 123,678,698.05 | 31.920 |
Against | 222,547,315.22 | 57.437 |
Abstain | 22,157,257.44 | 5.719 |
Broker Non-Votes | 19,081,907.79 | 4.924 |
TOTAL | 387,465,178.50 | 100.00 |
Proposal 1 reflects trust wide proposal and voting results. | ||
Proposal 2 was not approved by shareholders. |
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
SLM-ANN-1016
1.844593.111
Fidelity Advisor® Total Bond Fund - Class A, Class T, Class C, Class I and Class Z Annual Report August 31, 2016 Class A, Class T, Class C, Class I and Class Z are classes of Fidelity® Total Bond Fund |
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-835-5095 (plan accounts) or 1-877-208-0098 (all other accounts) 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. © 2016 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of 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 hypothetical investment and the average annual total 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
For the periods ended August 31, 2016 | Past 1 year | Past 5 years | Past 10 years |
Class A (incl. 4.00% sales charge) | 2.45% | 2.89% | 4.57% |
Class T (incl. 4.00% sales charge) | 2.44% | 2.88% | 4.56% |
Class C (incl. contingent deferred sales charge) | 4.90% | 2.96% | 4.23% |
Class I | 6.99% | 4.01% | 5.28% |
Class Z | 7.14% | 4.06% | 5.30% |
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.
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 A on August 31, 2006, 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.
![](https://capedge.com/proxy/N-CSR/0001379491-16-006641/img140067654_740.jpg)
Period Ending Values | ||
$15,632 | Fidelity Advisor® Total Bond Fund - Class A | |
$16,115 | Barclays® U.S. Aggregate Bond Index |
Management's Discussion of Fund Performance
Market Recap: Taxable investment-grade bonds gained solidly for the 12 months ending August 31, 2016, a volatile period marked by persistent concern about global growth, divergent global monetary policies and Brexit – the U.K.’s late-June referendum vote to leave the European Union. The Barclays U.S. Aggregate Bond Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, partly as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities. Bond yields trended lower and the yield curve flattened for much of the period, especially in early 2016, soon after the U.S. Federal Reserve raised policy interest rates. Still, U.S. yields remained higher than those in most industrial countries, especially in Japan and parts of Europe, where rates largely were negative. Within the Barclays index, investment-grade corporate bonds led all major market segments by far, with a return of 9.64%. U.S. Treasuries, meanwhile, lagged many spread-based sectors, returning 5.14%. Commercial mortgage-backed securities topped the index, returning 6.72%, although most other securitized sectors fell short. Riskier, non-core fixed-income segments, including emerging-markets debt, led the broader market amid a strong surge in the period’s second half.Comments from Lead Portfolio Manager Ford O'Neil: For the year, the fund's share classes (excluding sales charges, if applicable) returned about 6% to 7%. Most outpaced, net of fees, the 5.97% return of the Barclays U.S. Aggregate Index. Asset allocation boosted relative performance, including out-of-benchmark positions in non-investment-grade bonds. These holdings, including high-yield corporates and leveraged loans, were some of the U.S. bond market’s best performers. The fund’s overweighted exposure to investment-grade emerging markets debt also was a plus. Our above-benchmark weighting in investment-grade corporates also added value, as did bond choices there. Within corporates, overweighted exposure to financials was opportune. Additionally, our positioning within the industrials segment was advantageous. Conversely, we had a modest misstep in the electric utilities group within corporates, owning a handful of poor performers. Among U.S. government-backed bonds, underweighting Treasury securities and agency mortgage-backed securities helped. In contrast, the fund's out-of-benchmark position in Treasury Inflation-Protected Securities (TIPS) detracted.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.
Investment Summary (Unaudited)
Quality Diversification (% of fund's net assets)
As of August 31, 2016 | ||
U.S. Government and U.S. Government Agency Obligations | 39.2% | |
AAA | 2.0% | |
AA | 2.1% | |
A | 7.3% | |
BBB | 23.2% | |
BB and Below | 20.8% | |
Not Rated | 1.0% | |
Equities | 0.1% | |
Short-Term Investments and Net Other Assets | 4.3% |
As of February 29, 2016 | ||
U.S. Government and U.S. Government Agency Obligations | 36.7% | |
AAA | 2.5% | |
AA | 2.4% | |
A | 10.7% | |
BBB | 27.0% | |
BB and Below | 18.7% | |
Not Rated | 1.0% | |
Equities | 0.1% | |
Short-Term Investments and Net Other Assets | 0.9% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of August 31, 2016*,** | ||
Corporate Bonds | 42.2% | |
U.S. Government and U.S. Government Agency Obligations | 39.2% | |
Asset-Backed Securities | 0.5% | |
CMOs and Other Mortgage Related Securities | 4.5% | |
Municipal Bonds | 1.8% | |
Stocks | 0.1% | |
Other Investments | 7.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 4.3% |
* Foreign investments - 11.7%
** Futures and Swaps - 0.1%
As of February 29, 2016 *,** | ||
Corporate Bonds | 45.6% | |
U.S. Government and U.S. Government Agency Obligations | 36.7% | |
Asset-Backed Securities | 0.8% | |
CMOs and Other Mortgage Related Securities | 6.0% | |
Municipal Bonds | 2.0% | |
Stocks | 0.1% | |
Other Investments | 7.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.9% |
* Foreign investments - 12.6%
** Futures and Swaps - (0.2)%
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Investments August 31, 2016
Showing Percentage of Net Assets
Nonconvertible Bonds - 42.2% | |||
Principal Amount(a) | Value | ||
CONSUMER DISCRETIONARY - 4.8% | |||
Auto Components - 0.1% | |||
J.B. Poindexter & Co., Inc. 9% 4/1/22 (b) | $3,045,000 | $3,273,375 | |
Metalsa SA de CV 4.9% 4/24/23 (b) | 1,215,000 | 1,230,188 | |
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) | 2,660,000 | 2,779,700 | |
Tenneco, Inc. 5% 7/15/26 | 1,700,000 | 1,751,000 | |
The Goodyear Tire & Rubber Co. 5% 5/31/26 | 5,035,000 | 5,270,990 | |
Tupy Overseas SA 6.625% 7/17/24 (b) | 530,000 | 533,180 | |
ZF North America Capital, Inc. 4.75% 4/29/25 (b) | 5,910,000 | 6,271,988 | |
21,110,421 | |||
Automobiles - 0.9% | |||
General Motors Co.: | |||
3.5% 10/2/18 | 9,215,000 | 9,481,728 | |
5.2% 4/1/45 | 10,682,000 | 11,371,833 | |
6.25% 10/2/43 | 1,543,000 | 1,849,196 | |
6.6% 4/1/36 | 9,383,000 | 11,569,624 | |
6.75% 4/1/46 | 15,744,000 | 20,204,574 | |
General Motors Financial Co., Inc.: | |||
2.625% 7/10/17 | 2,955,000 | 2,983,046 | |
3.15% 1/15/20 | 27,252,000 | 27,824,755 | |
3.2% 7/13/20 | 20,200,000 | 20,649,430 | |
3.25% 5/15/18 | 4,810,000 | 4,902,203 | |
3.5% 7/10/19 | 10,761,000 | 11,089,985 | |
4% 1/15/25 | 18,085,000 | 18,411,217 | |
4.2% 3/1/21 | 26,269,000 | 27,718,629 | |
4.25% 5/15/23 | 5,420,000 | 5,674,014 | |
4.375% 9/25/21 | 47,963,000 | 51,154,266 | |
4.75% 8/15/17 | 5,050,000 | 5,202,480 | |
230,086,980 | |||
Distributors - 0.0% | |||
American Tire Distributors, Inc. 10.25% 3/1/22 (b) | 4,340,000 | 3,849,059 | |
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd.: | |||
2.875% 1/15/19 | 1,206,000 | 1,242,397 | |
4.25% 6/15/23 | 8,466,000 | 9,311,753 | |
10,554,150 | |||
Hotels, Restaurants & Leisure - 0.5% | |||
24 Hour Holdings III LLC 8% 6/1/22 (b) | 5,650,000 | 4,618,875 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 (b) | 2,520,000 | 2,532,852 | |
5.125% 1/15/24 (b) | 2,520,000 | 2,612,925 | |
ESH Hospitality, Inc. 5.25% 5/1/25 (b) | 5,205,000 | 5,203,386 | |
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 138,713 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
4.375% 4/15/21 | 2,820,000 | 2,975,890 | |
5.375% 4/15/26 | 880,000 | 961,400 | |
Hilton Escrow Issuer LLC 4.25% 9/1/24 (b) | 4,760,000 | 4,849,250 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
5% 6/1/24 (b) | 1,790,000 | 1,877,209 | |
5.25% 6/1/26 (b) | 1,790,000 | 1,901,875 | |
McDonald's Corp.: | |||
2.75% 12/9/20 | 3,638,000 | 3,785,743 | |
3.7% 1/30/26 | 9,591,000 | 10,364,802 | |
4.7% 12/9/35 | 4,951,000 | 5,679,654 | |
4.875% 12/9/45 | 7,770,000 | 9,191,079 | |
MCE Finance Ltd. 5% 2/15/21 (b) | 13,400,000 | 13,514,811 | |
MGM Growth Properties Operating Partnership LP 4.5% 9/1/26 (b) | 2,835,000 | 2,833,228 | |
NCL Corp. Ltd. 4.625% 11/15/20 (b) | 4,910,000 | 4,963,470 | |
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 540,000 | 549,450 | |
Scientific Games Corp.: | |||
6.625% 5/15/21 | 8,310,000 | 6,170,175 | |
7% 1/1/22 (b) | 2,375,000 | 2,523,438 | |
10% 12/1/22 | 5,680,000 | 5,254,000 | |
Speedway Motorsports, Inc. 5.125% 2/1/23 | 3,315,000 | 3,422,738 | |
Times Square Hotel Trust 8.528% 8/1/26 (b) | 700,196 | 825,258 | |
Wynn Macau Ltd. 5.25% 10/15/21 (b) | 31,195,000 | 31,584,938 | |
128,335,159 | |||
Household Durables - 0.3% | |||
CalAtlantic Group, Inc.: | |||
5.25% 6/1/26 | 4,630,000 | 4,699,450 | |
5.875% 11/15/24 | 1,775,000 | 1,917,000 | |
Lennar Corp.: | |||
4.75% 4/1/21 | 4,845,000 | 5,198,685 | |
4.875% 12/15/23 | 3,435,000 | 3,598,163 | |
M/I Homes, Inc. 6.75% 1/15/21 | 4,265,000 | 4,456,925 | |
Meritage Homes Corp. 6% 6/1/25 | 1,905,000 | 2,028,825 | |
PulteGroup, Inc.: | |||
4.25% 3/1/21 | 7,545,000 | 7,926,928 | |
5% 1/15/27 | 2,625,000 | 2,684,063 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
4.1271% 7/15/21 (b)(c) | 3,930,000 | 3,988,950 | |
5.125% 7/15/23 (b) | 5,170,000 | 5,363,875 | |
5.75% 10/15/20 | 2,935,000 | 3,026,719 | |
8.25% 2/15/21 (c) | 3,885,000 | 4,040,400 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 1,495,000 | 1,562,275 | |
TRI Pointe Homes, Inc.: | |||
4.375% 6/15/19 | 570,000 | 585,675 | |
5.875% 6/15/24 | 415,000 | 433,675 | |
William Lyon Homes, Inc.: | |||
5.75% 4/15/19 | 6,175,000 | 6,283,063 | |
7% 8/15/22 | 12,090,000 | 12,482,925 | |
70,277,596 | |||
Internet & Catalog Retail - 0.0% | |||
Netflix, Inc. 5.875% 2/15/25 | 1,865,000 | 2,023,525 | |
Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 | 6,400,000 | 6,753,344 | |
8,776,869 | |||
Media - 2.7% | |||
21st Century Fox America, Inc.: | |||
6.15% 3/1/37 | 4,759,000 | 6,095,955 | |
6.15% 2/15/41 | 23,838,000 | 30,924,584 | |
7.75% 12/1/45 | 3,932,000 | 5,975,547 | |
Altice SA 7.75% 5/15/22 (b) | 38,580,000 | 41,063,588 | |
Altice U.S. Finance SA: | |||
5.375% 7/15/23 (b) | 2,560,000 | 2,678,400 | |
5.5% 5/15/26 (b) | 5,035,000 | 5,311,925 | |
AMC Networks, Inc. 5% 4/1/24 | 2,950,000 | 3,023,750 | |
Anna Merger Sub, Inc. 7.75% 10/1/22 (b) | 1,270,000 | 1,173,163 | |
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 705,004 | |
Cablevision SA 6.5% 6/15/21 (b) | 585,000 | 609,863 | |
Cablevision Systems Corp. 7.75% 4/15/18 | 2,110,000 | 2,252,425 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
5.125% 2/15/23 | 1,130,000 | 1,186,500 | |
5.125% 5/1/23 (b) | 5,910,000 | 6,218,443 | |
5.5% 5/1/26 (b) | 6,210,000 | 6,574,838 | |
5.75% 2/15/26 (b) | 3,370,000 | 3,605,900 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 (b) | 20,419,000 | 22,137,953 | |
4.908% 7/23/25 (b) | 20,419,000 | 22,513,663 | |
6.484% 10/23/45 (b) | 6,023,000 | 7,401,002 | |
Clear Channel Communications, Inc.: | |||
5.5% 12/15/16 | 8,895,000 | 8,717,100 | |
9% 12/15/19 | 1,875,000 | 1,516,406 | |
10% 1/15/18 | 3,050,000 | 1,898,625 | |
Columbus International, Inc. 7.375% 3/30/21 (b) | 21,264,000 | 22,752,480 | |
Comcast Corp.: | |||
3.6% 3/1/24 | 24,000,000 | 26,344,656 | |
4.6% 8/15/45 | 33,362,000 | 39,272,879 | |
6.45% 3/15/37 | 2,196,000 | 3,082,639 | |
CSC Holdings LLC 6.75% 11/15/21 | 8,225,000 | 8,780,188 | |
Discovery Communications LLC: | |||
3.25% 4/1/23 | 1,789,000 | 1,790,145 | |
6.35% 6/1/40 | 6,392,000 | 6,766,309 | |
DISH DBS Corp.: | |||
5.125% 5/1/20 | 3,590,000 | 3,715,650 | |
7.75% 7/1/26 (b) | 3,800,000 | 4,054,562 | |
Globo Comunicacao e Participacoes SA: | |||
4.843% 6/8/25 (b) | 1,820,000 | 1,879,150 | |
4.875% 4/11/22 (b) | 565,000 | 588,306 | |
5.307% 5/11/22 (Reg. S) (d) | 640,000 | 651,200 | |
Grupo Televisa SA de CV: | |||
6.125% 1/31/46 | 515,000 | 614,551 | |
6.625% 3/18/25 | 790,000 | 978,033 | |
iHeartCommunications, Inc. 10.625% 3/15/23 | 1,765,000 | 1,301,688 | |
Lagardere S.C.A. 2.75% 4/13/23 Reg. S | EUR | 2,500,000 | 2,947,083 |
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (b) | 1,750,000 | 1,872,500 | |
MDC Partners, Inc. 6.5% 5/1/24 (b) | 5,960,000 | 5,662,000 | |
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(c) | 15,920,000 | 16,119,000 | |
Myriad International Holding BV 5.5% 7/21/25 (b) | 1,490,000 | 1,571,950 | |
National CineMedia LLC 5.75% 8/15/26 (b) | 2,475,000 | 2,539,969 | |
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 13,095,749 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c) | 4,245,326 | 1,908,628 | |
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (b) | 1,460,000 | 1,556,725 | |
Sirius XM Radio, Inc. 5.375% 7/15/26 (b) | 2,310,000 | 2,376,413 | |
SKY PLC 2.25% 11/17/25 (Reg. S) | EUR | 2,650,000 | 3,242,492 |
Thomson Reuters Corp.: | |||
1.3% 2/23/17 | 3,690,000 | 3,695,616 | |
3.85% 9/29/24 | 11,394,000 | 12,203,658 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 20,277,000 | 21,612,950 | |
4.5% 9/15/42 | 54,497,000 | 52,723,504 | |
5.5% 9/1/41 | 12,973,000 | 14,078,079 | |
5.85% 5/1/17 | 3,419,000 | 3,518,165 | |
5.875% 11/15/40 | 16,544,000 | 18,454,154 | |
6.55% 5/1/37 | 38,302,000 | 46,216,687 | |
6.75% 7/1/18 | 13,763,000 | 14,998,298 | |
7.3% 7/1/38 | 38,728,000 | 50,296,092 | |
8.25% 4/1/19 | 24,391,000 | 28,187,825 | |
Time Warner, Inc.: | |||
3.6% 7/15/25 | 6,406,000 | 6,860,634 | |
6.2% 3/15/40 | 11,792,000 | 15,226,444 | |
6.5% 11/15/36 | 9,243,000 | 12,011,907 | |
TV Azteca SA de CV: | |||
7.5% 5/25/18 (Reg. S) | 2,700,000 | 2,193,750 | |
7.625% 9/18/20 (Reg S.) | 575,000 | 425,500 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (b) | 2,920,000 | 3,044,100 | |
Univision Communications, Inc.: | |||
5.125% 5/15/23 (b) | 3,000,000 | 3,120,000 | |
5.125% 2/15/25 (b) | 2,805,000 | 2,931,225 | |
Viacom, Inc. 2.5% 9/1/18 | 1,478,000 | 1,495,267 | |
Virgin Media Secured Finance PLC: | |||
5.5% 1/15/25 (b) | 2,500,000 | 2,568,750 | |
5.5% 8/15/26 (b) | 5,450,000 | 5,695,250 | |
VTR Finance BV 6.875% 1/15/24 (b) | 2,680,000 | 2,813,196 | |
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | |||
10.25% 7/15/19 | 8,315,000 | 8,751,538 | |
13.375% 10/15/19 | 2,205,000 | 2,353,838 | |
WMG Acquisition Corp.: | |||
6% 1/15/21 (b) | 1,585,000 | 1,644,438 | |
6.75% 4/15/22 (b) | 6,906,000 | 7,320,360 | |
Ziggo Bond Finance BV 5.875% 1/15/25 (b) | 3,100,000 | 3,115,500 | |
704,606,304 | |||
Multiline Retail - 0.2% | |||
JC Penney Corp., Inc.: | |||
5.65% 6/1/20 | 28,475,000 | 28,332,625 | |
5.875% 7/1/23 (b) | 4,084,000 | 4,261,246 | |
7.4% 4/1/37 | 13,550,000 | 12,195,000 | |
8.125% 10/1/19 | 3,190,000 | 3,433,238 | |
48,222,109 | |||
Specialty Retail - 0.1% | |||
L Brands, Inc.: | |||
6.75% 7/1/36 | 5,950,000 | 6,393,275 | |
6.875% 11/1/35 | 2,175,000 | 2,376,188 | |
Sally Holdings LLC 5.625% 12/1/25 | 4,435,000 | 4,803,105 | |
13,572,568 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Christian Dior SA 0.75% 6/24/21 | EUR | 1,100,000 | 1,240,816 |
TOTAL CONSUMER DISCRETIONARY | 1,240,632,031 | ||
CONSUMER STAPLES - 2.5% | |||
Beverages - 0.9% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 38,614,000 | 39,792,075 | |
3.3% 2/1/23 | 41,589,000 | 43,640,086 | |
4.7% 2/1/36 | 42,171,000 | 48,879,984 | |
4.9% 2/1/46 | 45,032,000 | 54,455,396 | |
Constellation Brands, Inc.: | |||
3.875% 11/15/19 | 2,360,000 | 2,483,900 | |
4.25% 5/1/23 | 5,205,000 | 5,553,084 | |
6% 5/1/22 | 21,795,000 | 25,282,200 | |
SABMiller Holdings, Inc. 3.75% 1/15/22 (b) | 10,217,000 | 11,110,426 | |
231,197,151 | |||
Food & Staples Retailing - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
5.75% 3/15/25 (b) | 4,430,000 | 4,585,050 | |
6.625% 6/15/24 (b) | 2,215,000 | 2,378,024 | |
Albertsons, Inc.: | |||
6.625% 6/1/28 | 705,000 | 657,413 | |
7.45% 8/1/29 | 645,000 | 635,325 | |
7.75% 6/15/26 | 765,000 | 772,650 | |
8% 5/1/31 | 660,000 | 669,900 | |
8.7% 5/1/30 | 560,000 | 571,200 | |
Arcor SAIC 6% 7/6/23 (b) | 765,000 | 821,228 | |
C&S Group Enterprises LLC 5.375% 7/15/22 (b) | 835,000 | 814,125 | |
CVS Health Corp.: | |||
2.8% 7/20/20 | 15,202,000 | 15,832,016 | |
3.5% 7/20/22 | 8,944,000 | 9,605,123 | |
4% 12/5/23 | 8,525,000 | 9,431,531 | |
ESAL GmbH 6.25% 2/5/23 (b) | 16,640,000 | 16,806,400 | |
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) | 1,105,000 | 1,142,294 | |
Minerva Luxembourg SA: | |||
7.75% 1/31/23 (b) | 12,999,000 | 13,671,048 | |
7.75% 1/31/23 (Reg. S) | 1,705,000 | 1,793,149 | |
Tesco PLC: | |||
5% 3/24/23 | GBP | 1,100,000 | 1,599,960 |
6.125% 2/24/22 | GBP | 750,000 | 1,141,180 |
6.15% 11/15/37 (b) | 14,035,000 | 14,284,262 | |
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) | 5,155,000 | 4,626,613 | |
U.S. Foods, Inc. 5.875% 6/15/24 (b) | 2,345,000 | 2,456,388 | |
Walgreens Boots Alliance, Inc.: | |||
1.75% 11/17/17 | 3,756,000 | 3,777,969 | |
2.7% 11/18/19 | 8,473,000 | 8,743,297 | |
3.3% 11/18/21 | 10,050,000 | 10,615,112 | |
127,431,257 | |||
Food Products - 0.2% | |||
Barry Callebaut Services NV 2.375% 5/24/24 (Reg. S) | EUR | 975,000 | 1,156,896 |
ConAgra Foods, Inc. 1.9% 1/25/18 | 4,611,000 | 4,642,959 | |
Gruma S.A.B. de CV 4.875% 12/1/24 (b) | 625,000 | 697,656 | |
JBS Investments GmbH: | |||
7.25% 4/3/24 (b) | 13,260,000 | 14,035,710 | |
7.75% 10/28/20 (b) | 4,750,000 | 5,046,875 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.875% 7/15/24 (b) | 6,410,000 | 6,618,325 | |
7.25% 6/1/21 (b) | 2,730,000 | 2,825,550 | |
7.25% 6/1/21 (b) | 2,200,000 | 2,277,000 | |
8.25% 2/1/20 (b) | 1,510,000 | 1,570,400 | |
MHP SA 8.25% 4/2/20 (b) | 955,000 | 914,604 | |
39,785,975 | |||
Household Products - 0.0% | |||
Edgewell Personal Care Co. 5.5% 6/15/25 (b) | 11,815,000 | 12,317,138 | |
Tobacco - 0.9% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 9,573,000 | 10,037,539 | |
4% 1/31/24 | 6,408,000 | 7,191,365 | |
Imperial Tobacco Finance PLC: | |||
2.05% 2/11/18 (b) | 19,975,000 | 20,089,457 | |
2.05% 7/20/18 (b) | 8,743,000 | 8,822,159 | |
2.95% 7/21/20 (b) | 20,000,000 | 20,647,500 | |
3.75% 7/21/22 (b) | 23,400,000 | 24,823,001 | |
4.25% 7/21/25 (b) | 18,467,000 | 20,212,926 | |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 7,358,000 | 7,473,491 | |
3.25% 6/12/20 | 3,274,000 | 3,446,209 | |
4% 6/12/22 | 11,386,000 | 12,466,987 | |
4.45% 6/12/25 | 14,753,000 | 16,556,038 | |
5.7% 8/15/35 | 4,237,000 | 5,264,095 | |
5.85% 8/15/45 | 35,690,000 | 46,544,578 | |
6.15% 9/15/43 | 4,511,000 | 6,043,549 | |
7.25% 6/15/37 | 5,056,000 | 6,978,094 | |
Vector Group Ltd. 7.75% 2/15/21 | 10,720,000 | 11,336,400 | |
227,933,388 | |||
TOTAL CONSUMER STAPLES | 638,664,909 | ||
ENERGY - 7.9% | |||
Energy Equipment & Services - 0.6% | |||
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 11,333,000 | 11,163,005 | |
5.35% 3/15/20 (b) | 8,816,000 | 8,948,240 | |
5.85% 5/21/43 (b)(c) | 6,758,000 | 5,169,870 | |
El Paso Pipeline Partners Operating Co. LLC: | |||
5% 10/1/21 | 18,884,000 | 20,513,425 | |
6.5% 4/1/20 | 738,000 | 824,599 | |
Ensco PLC: | |||
4.5% 10/1/24 | 650,000 | 462,722 | |
5.2% 3/15/25 | 14,770,000 | 10,634,400 | |
5.75% 10/1/44 | 7,801,000 | 4,797,615 | |
Exterran Partners LP/EXLP Finance Corp.: | |||
6% 4/1/21 | 3,210,000 | 3,009,375 | |
6% 10/1/22 | 995,000 | 920,375 | |
Forbes Energy Services Ltd. 9% 6/15/19 (e) | 8,236,000 | 2,306,080 | |
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,780,000 | 3,581,550 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 9,790,000 | 10,118,229 | |
4.85% 11/15/35 | 8,550,000 | 9,132,229 | |
5% 11/15/45 | 11,714,000 | 12,894,888 | |
Hornbeck Offshore Services, Inc.: | |||
5% 3/1/21 | 1,345,000 | 770,013 | |
5.875% 4/1/20 | 1,850,000 | 1,128,500 | |
Noble Holding International Ltd.: | |||
5% 3/16/18 (c) | 1,187,000 | 1,167,118 | |
6.95% 4/1/25 (c) | 7,570,000 | 6,169,550 | |
7.95% 4/1/45 (c) | 7,307,000 | 5,334,110 | |
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S) | 920,000 | 1,305,000 | |
Pride International, Inc. 6.875% 8/15/20 | 4,340,000 | 4,263,573 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | 1,305,000 | 1,463,297 | |
Transocean, Inc.: | |||
3.75% 10/15/17 (d) | 1,000,000 | 997,500 | |
5.55% 12/15/16 (c) | 7,572,000 | 7,628,790 | |
6.8% 3/15/38 | 2,255,000 | 1,460,113 | |
7.5% 4/15/31 | 900,000 | 632,250 | |
Weatherford International Ltd.: | |||
7.75% 6/15/21 | 2,835,000 | 2,806,650 | |
8.25% 6/15/23 | 3,805,000 | 3,739,858 | |
143,342,924 | |||
Oil, Gas & Consumable Fuels - 7.3% | |||
Afren PLC: | |||
6.625% 12/9/20 (b)(e) | 1,341,775 | 134 | |
10.25% 4/8/19 (Reg. S) (e) | 2,024,860 | 202 | |
American Energy-Permian Basin LLC/AEPB Finance Corp. 7.2591% 8/1/19 (b)(c) | 2,113,000 | 1,362,885 | |
Anadarko Finance Co. 7.5% 5/1/31 | 15,903,000 | 19,273,991 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 6,730,000 | 7,159,603 | |
5.55% 3/15/26 | 13,807,000 | 15,273,138 | |
6.375% 9/15/17 | 3,001,000 | 3,139,091 | |
6.6% 3/15/46 | 22,460,000 | 26,736,317 | |
Antero Resources Corp.: | |||
5.125% 12/1/22 | 10,555,000 | 10,423,063 | |
5.625% 6/1/23 (Reg. S) | 4,310,000 | 4,320,775 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 3,675,000 | 3,679,594 | |
BP Capital Markets PLC: | |||
2.315% 2/13/20 | 37,777,000 | 38,583,237 | |
3.535% 11/4/24 | 15,450,000 | 16,492,072 | |
3.814% 2/10/24 | 21,032,000 | 22,892,512 | |
4.5% 10/1/20 | 5,954,000 | 6,573,948 | |
4.742% 3/11/21 | 8,800,000 | 9,951,058 | |
Canadian Natural Resources Ltd.: | |||
1.75% 1/15/18 | 6,049,000 | 6,025,693 | |
3.9% 2/1/25 | 24,997,000 | 25,182,103 | |
Cenovus Energy, Inc. 5.7% 10/15/19 | 16,926,000 | 18,180,640 | |
Cheniere Corpus Christi Holdings LLC 7% 6/30/24 (b) | 4,155,000 | 4,445,850 | |
Chesapeake Energy Corp.: | |||
5.75% 3/15/23 | 900,000 | 690,188 | |
6.125% 2/15/21 | 3,895,000 | 3,252,325 | |
8% 12/15/22 (b) | 7,205,000 | 6,862,763 | |
Citgo Holding, Inc. 10.75% 2/15/20 (b) | 1,850,000 | 1,895,094 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (b) | 4,145,000 | 4,020,650 | |
Columbia Pipeline Group, Inc.: | |||
2.45% 6/1/18 | 3,149,000 | 3,164,096 | |
3.3% 6/1/20 | 15,490,000 | 16,031,081 | |
4.5% 6/1/25 | 4,707,000 | 5,090,032 | |
5.8% 6/1/45 | 5,906,000 | 7,112,318 | |
Concho Resources, Inc. 5.5% 4/1/23 | 3,145,000 | 3,247,213 | |
ConocoPhillips Co. 5.75% 2/1/19 | 2,930,000 | 3,203,776 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 6,110,000 | 5,332,930 | |
DCP Midstream Operating LP: | |||
2.5% 12/1/17 | 5,924,000 | 5,901,785 | |
2.7% 4/1/19 | 14,993,000 | 14,524,469 | |
3.875% 3/15/23 | 5,532,000 | 5,255,400 | |
Denbury Resources, Inc. 4.625% 7/15/23 | 4,460,000 | 2,876,700 | |
Duke Energy Field Services 6.45% 11/3/36 (b) | 13,741,000 | 13,294,418 | |
EDC Finance Ltd. 4.875% 4/17/20 (b) | 3,120,000 | 3,127,800 | |
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 18,045,117 | |
El Paso Natural Gas Co. 5.95% 4/15/17 | 1,166,000 | 1,195,691 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) | 9,045,000 | 9,672,072 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 | 4,028,000 | 3,934,909 | |
3.9% 5/15/24 | 4,249,000 | 3,997,952 | |
Enbridge Energy Partners LP: | |||
4.2% 9/15/21 | 13,331,000 | 13,757,819 | |
4.375% 10/15/20 | 11,319,000 | 11,793,843 | |
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (b) | 8,190,000 | 8,210,475 | |
Energy Transfer Equity LP: | |||
5.5% 6/1/27 | 4,210,000 | 4,220,525 | |
5.875% 1/15/24 | 3,025,000 | 3,100,625 | |
Enterprise Products Operating LP: | |||
2.55% 10/15/19 | 2,971,000 | 3,042,637 | |
3.75% 2/15/25 | 9,982,000 | 10,430,122 | |
EP Energy LLC/Everest Acquisition Finance, Inc.: | |||
6.375% 6/15/23 | 1,920,000 | 1,051,200 | |
7.75% 9/1/22 | 965,000 | 528,338 | |
9.375% 5/1/20 | 5,212,000 | 3,361,740 | |
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) | 1,425,000 | 1,492,688 | |
Gibson Energy, Inc. 6.75% 7/15/21 (b) | 1,935,000 | 1,964,025 | |
Global Partners LP/GLP Finance Corp.: | |||
6.25% 7/15/22 | 4,045,000 | 3,640,500 | |
7% 6/15/23 | 9,200,000 | 8,372,000 | |
Halcon Resources Corp. 8.625% 2/1/20 (b) | 7,035,000 | 6,683,250 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (b) | 1,305,000 | 1,265,850 | |
5.75% 10/1/25 (b) | 2,135,000 | 2,092,300 | |
Indo Energy Finance BV 7% 5/7/18 (b) | 600,000 | 513,000 | |
Jupiter Resources, Inc. 8.5% 10/1/22 (b) | 885,000 | 699,150 | |
Kinder Morgan Energy Partners LP: | |||
2.65% 2/1/19 | 1,711,000 | 1,731,511 | |
3.5% 3/1/21 | 11,339,000 | 11,712,178 | |
3.95% 9/1/22 | 14,085,000 | 14,578,581 | |
4.25% 9/1/24 | 3,263,000 | 3,358,723 | |
5.5% 3/1/44 | 42,953,000 | 43,609,451 | |
6.55% 9/15/40 | 1,889,000 | 2,051,786 | |
Kinder Morgan, Inc.: | |||
2% 12/1/17 | 5,467,000 | 5,472,609 | |
3.05% 12/1/19 | 5,004,000 | 5,137,752 | |
5% 2/15/21 (b) | 10,606,000 | 11,483,689 | |
5.05% 2/15/46 | 4,854,000 | 4,656,496 | |
Kosmos Energy Ltd.: | |||
7.875% 8/1/21 (b) | 1,045,000 | 1,003,200 | |
7.875% 8/1/21 (b) | 650,000 | 624,000 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 10,178,000 | 11,338,139 | |
Motiva Enterprises LLC 5.75% 1/15/20 (b) | 4,187,000 | 4,606,416 | |
MPLX LP 4% 2/15/25 | 2,532,000 | 2,473,141 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,975,000 | 2,385,603 | |
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 2,940,000 | 2,991,450 | |
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (b) | 2,780,000 | 2,585,956 | |
Pacific Exploration and Production Corp. 12% 12/22/16 | 1,204,000 | 1,059,520 | |
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (b)(e) | 6,806,000 | 1,191,050 | |
Pan American Energy LLC 7.875% 5/7/21 (b) | 2,808,000 | 3,015,090 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 6,170,000 | 5,969,475 | |
Pemex Project Funding Master Trust 6.625% 6/15/35 | 5,185,000 | 5,613,800 | |
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 4,122,703 | |
Petrobras Global Finance BV: | |||
2.8201% 1/15/19 (c) | 4,360,000 | 4,169,250 | |
3% 1/15/19 | 4,545,000 | 4,386,834 | |
4.375% 5/20/23 | 20,096,000 | 17,525,902 | |
4.875% 3/17/20 | 38,750,000 | 37,975,000 | |
5.625% 5/20/43 | 18,504,000 | 14,271,210 | |
6.25% 3/17/24 | 21,380,000 | 20,793,119 | |
8.375% 5/23/21 | 54,810,000 | 58,972,820 | |
8.75% 5/23/26 | 50,000,000 | 54,885,000 | |
Petrobras International Finance Co. Ltd.: | |||
3.25% 4/1/19 | EUR | 1,500,000 | 1,647,860 |
5.375% 1/27/21 | 44,755,000 | 43,132,631 | |
5.75% 1/20/20 | 16,140,000 | 16,323,350 | |
6.875% 1/20/40 | 3,100,000 | 2,766,750 | |
7.875% 3/15/19 | 3,011,000 | 3,213,339 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 | 2,050,000 | 738,000 | |
5.5% 4/12/37 | 655,000 | 232,525 | |
6% 5/16/24 (b) | 2,085,000 | 771,450 | |
6% 11/15/26 (b) | 1,755,000 | 636,188 | |
8.5% 11/2/17 (b) | 14,400,000 | 10,548,000 | |
9.75% 5/17/35 (b) | 2,920,000 | 1,376,780 | |
12.75% 2/17/22 (b) | 1,485,000 | 861,300 | |
Petroleos Mexicanos: | |||
3.125% 1/23/19 | 1,776,000 | 1,799,088 | |
3.5% 7/18/18 | 14,963,000 | 15,301,164 | |
3.5% 7/23/20 | 13,960,000 | 14,134,500 | |
3.5% 1/30/23 | 12,689,000 | 12,331,170 | |
4.5% 1/23/26 | 46,043,000 | 46,112,065 | |
4.875% 1/24/22 | 11,642,000 | 12,126,307 | |
4.875% 1/18/24 | 13,872,000 | 14,392,200 | |
5.125% 3/15/23 (Reg. S) | EUR | 4,600,000 | 5,791,695 |
5.5% 2/4/19 (b) | 1,105,000 | 1,174,063 | |
5.5% 1/21/21 | 12,189,000 | 13,151,931 | |
5.5% 6/27/44 | 36,194,000 | 34,384,300 | |
5.625% 1/23/46 | 35,710,000 | 34,499,431 | |
6% 3/5/20 | 6,145,000 | 6,724,166 | |
6.375% 2/4/21 (b) | 785,000 | 869,231 | |
6.375% 1/23/45 | 29,382,000 | 30,942,184 | |
6.5% 6/2/41 | 27,182,000 | 28,815,638 | |
6.625% (b)(f) | 4,175,000 | 4,112,375 | |
6.875% 8/4/26 (b) | 41,910,000 | 48,720,375 | |
8% 5/3/19 | 8,600,000 | 9,730,900 | |
Phillips 66 Co.: | |||
4.3% 4/1/22 | 12,618,000 | 13,899,408 | |
4.875% 11/15/44 | 34,230,000 | 38,340,167 | |
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,324,472 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.65% 6/1/22 | 5,217,000 | 5,272,238 | |
6.125% 1/15/17 | 6,185,000 | 6,286,211 | |
PT Pertamina Persero: | |||
4.875% 5/3/22 (b) | 595,000 | 640,158 | |
5.25% 5/23/21 (b) | 815,000 | 887,360 | |
5.625% 5/20/43 (b) | 300,000 | 315,715 | |
6% 5/3/42 (b) | 645,000 | 710,249 | |
6.5% 5/27/41 (b) | 2,450,000 | 2,850,916 | |
Rice Energy, Inc.: | |||
6.25% 5/1/22 | 14,590,000 | 14,954,750 | |
7.25% 5/1/23 | 8,289,000 | 8,662,005 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 2/1/21 (c) | 9,170,000 | 9,628,500 | |
5.625% 3/1/25 | 12,415,000 | 13,128,863 | |
5.75% 5/15/24 | 7,045,000 | 7,485,313 | |
5.875% 6/30/26 (b) | 3,800,000 | 4,066,000 | |
Shell International Finance BV: | |||
3.25% 5/11/25 | 20,000,000 | 21,235,500 | |
4.375% 5/11/45 | 20,000,000 | 22,017,380 | |
Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22 | 2,750,000 | 2,974,078 | |
SM Energy Co. 6.5% 11/15/21 | 3,345,000 | 3,311,550 | |
Southwestern Energy Co.: | |||
5.8% 1/23/20 (c) | 92,397,000 | 92,397,000 | |
6.7% 1/23/25 (c) | 34,312,000 | 35,255,580 | |
Spectra Energy Capital, LLC 5.65% 3/1/20 | 308,000 | 332,731 | |
Spectra Energy Partners LP: | |||
2.95% 9/25/18 | 1,960,000 | 1,995,782 | |
4.6% 6/15/21 | 2,694,000 | 2,907,392 | |
Sunoco LP/Sunoco Finance Corp.: | |||
5.5% 8/1/20 (b) | 3,405,000 | 3,456,416 | |
6.25% 4/15/21 (b) | 3,260,000 | 3,357,800 | |
6.375% 4/1/23 (b) | 3,035,000 | 3,126,050 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5% 1/15/18 | 2,000,000 | 2,040,000 | |
5.25% 5/1/23 | 685,000 | 695,275 | |
6.75% 3/15/24 (b) | 4,420,000 | 4,696,250 | |
Teine Energy Ltd. 6.875% 9/30/22 (b) | 6,310,000 | 6,325,775 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | |||
5.5% 10/15/19 | 220,000 | 234,300 | |
5.875% 10/1/20 | 255,000 | 262,013 | |
6.125% 10/15/21 | 735,000 | 769,913 | |
6.25% 10/15/22 | 1,940,000 | 2,053,490 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 14,510,000 | 14,074,700 | |
4.55% 6/24/24 | 93,426,000 | 95,528,085 | |
5.75% 6/24/44 | 19,187,000 | 19,714,643 | |
Transportadora de Gas del Sur SA: | |||
7.875% 5/14/17 (Reg. S) | 100,000 | 100,650 | |
9.625% 5/14/20 (b) | 3,668,817 | 3,925,634 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 4,876,000 | 5,055,929 | |
5.375% 6/1/21 | 24,990,000 | 27,140,764 | |
Whiting Petroleum Corp. 6.5% 10/1/18 | 1,585,000 | 1,517,638 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 10,817,000 | 10,797,605 | |
3.9% 1/15/25 | 26,667,000 | 26,516,865 | |
4% 11/15/21 | 6,716,000 | 6,907,366 | |
4% 9/15/25 | 3,000,000 | 3,001,728 | |
4.125% 11/15/20 | 2,399,000 | 2,487,480 | |
4.3% 3/4/24 | 40,932,000 | 41,903,275 | |
4.5% 11/15/23 | 7,325,000 | 7,599,717 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 3,240,000 | 2,988,900 | |
6% 1/15/22 | 2,480,000 | 2,411,800 | |
7.5% 8/1/20 | 6,710,000 | 6,890,331 | |
YPF SA: | |||
8.5% 3/23/21 (b) | 4,220,000 | 4,557,600 | |
8.75% 4/4/24 (b) | 4,140,000 | 4,440,150 | |
8.875% 12/19/18 (Reg. S) | 2,150,000 | 2,351,025 | |
Zhaikmunai International BV 7.125% 11/13/19 (b) | 4,140,000 | 3,860,550 | |
1,882,426,217 | |||
TOTAL ENERGY | 2,025,769,141 | ||
FINANCIALS - 16.1% | |||
Banks - 6.0% | |||
Akbank T.A.S. 6.5% 3/9/18 (Reg. S) | 3,100,000 | 3,228,495 | |
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (c) | EUR | 1,600,000 | 1,695,484 |
Banco de Bogota SA 6.25% 5/12/26 (b) | 690,000 | 733,125 | |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) | 1,295,000 | 1,327,375 | |
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) (e) | EUR | 1,300,000 | 333,520 |
Banco Hipotecario SA 9.75% 11/30/20 (b) | 2,675,000 | 3,039,469 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
3.375% 9/26/16 (b) | 10,570,000 | 10,543,575 | |
4% 4/14/19 (b) | 12,855,000 | 13,024,686 | |
5.75% 9/26/23 (b) | 10,130,000 | 10,813,775 | |
6.369% 6/16/18 (b) | 13,935,000 | 14,579,494 | |
Bank Nederlandse Gemeenten NV 1.375% 9/27/17 (b) | 3,720,000 | 3,734,568 | |
Bank of America Corp.: | |||
2% 1/11/18 | 50,000,000 | 50,302,000 | |
2.25% 4/21/20 | 66,694,000 | 67,209,745 | |
2.6% 1/15/19 | 8,068,000 | 8,246,222 | |
3.3% 1/11/23 | 901,000 | 935,891 | |
3.5% 4/19/26 | 17,610,000 | 18,380,191 | |
3.875% 8/1/25 | 11,647,000 | 12,475,451 | |
3.95% 4/21/25 | 27,638,000 | 28,765,713 | |
4% 1/22/25 | 6,663,000 | 6,938,462 | |
4.1% 7/24/23 | 11,481,000 | 12,467,011 | |
4.2% 8/26/24 | 40,532,000 | 42,992,455 | |
4.25% 10/22/26 | 14,724,000 | 15,616,201 | |
4.45% 3/3/26 | 2,949,000 | 3,173,198 | |
5.65% 5/1/18 | 8,780,000 | 9,344,141 | |
5.75% 12/1/17 | 21,955,000 | 23,083,926 | |
5.875% 1/5/21 | 6,530,000 | 7,523,226 | |
Bank of Ireland 4.25% 6/11/24 (Reg. S) (c) | EUR | 3,050,000 | 3,403,041 |
Banque Centrale de Tunisie 5.75% 1/30/25 (b) | 905,000 | 891,606 | |
Barclays Bank PLC 4.25% 1/12/22 | GBP | 4,000,000 | 6,196,461 |
Barclays PLC: | |||
2.75% 11/8/19 | 12,249,000 | 12,347,617 | |
3.25% 1/12/21 | 21,116,000 | 21,519,189 | |
4.375% 1/12/26 | 25,086,000 | 26,189,784 | |
BBVA Bancomer SA 7.25% 4/22/20 (b) | 975,000 | 1,082,250 | |
Biz Finance PLC 9.625% 4/27/22 (Reg. S) | 500,000 | 491,350 | |
BPCE SA 5.7% 10/22/23 (b) | 2,965,000 | 3,245,302 | |
Capital One NA 2.95% 7/23/21 | 18,827,000 | 19,442,398 | |
Citigroup, Inc.: | |||
1.8% 2/5/18 | 33,287,000 | 33,408,131 | |
1.85% 11/24/17 | 33,365,000 | 33,508,336 | |
2.4% 2/18/20 | 60,588,000 | 61,378,916 | |
2.65% 10/26/20 | 20,000,000 | 20,486,640 | |
4.05% 7/30/22 | 5,303,000 | 5,640,435 | |
4.4% 6/10/25 | 40,790,000 | 43,231,853 | |
4.45% 9/29/27 | 10,000,000 | 10,539,380 | |
5.125% 12/12/18 | GBP | 910,000 | 1,287,725 |
5.5% 9/13/25 | 4,478,000 | 5,073,037 | |
Citizens Bank NA 2.55% 5/13/21 | 6,564,000 | 6,679,914 | |
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) | 15,987,000 | 16,525,346 | |
Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (c) | EUR | 2,700,000 | 2,997,807 |
Credit Suisse Group Funding Guernsey Ltd.: | |||
2.75% 3/26/20 | 19,455,000 | 19,507,801 | |
3.75% 3/26/25 | 19,450,000 | 19,481,276 | |
3.8% 9/15/22 | 30,700,000 | 31,325,359 | |
3.8% 6/9/23 (b) | 36,648,000 | 37,177,967 | |
Discover Bank: | |||
4.2% 8/8/23 | 17,852,000 | 19,124,062 | |
7% 4/15/20 | 2,030,000 | 2,303,879 | |
Export Credit Bank of Turkey 5.875% 4/24/19 (b) | 1,165,000 | 1,211,717 | |
Fifth Third Bancorp: | |||
4.5% 6/1/18 | 798,000 | 835,304 | |
8.25% 3/1/38 | 4,667,000 | 7,058,193 | |
Finansbank A/S 6.25% 4/30/19 (b) | 235,000 | 247,338 | |
GTB Finance BV 6% 11/8/18 (b) | 3,755,000 | 3,736,225 | |
HBOS PLC 6.75% 5/21/18 (b) | 6,067,000 | 6,490,222 | |
HSBC Holdings PLC 4.25% 3/14/24 | 6,192,000 | 6,446,089 | |
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,126,413 | |
HSBK BV: | |||
7.25% 5/3/17 (b) | 1,770,000 | 1,818,817 | |
7.25% 5/3/17 (Reg. S) | 250,000 | 256,895 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,320,451 | |
International Bank of Azerbaijan OJSC 5.625% 6/11/19 (Reg. S) | 1,250,000 | 1,228,625 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 5,800,000 | 5,471,523 | |
5.71% 1/15/26 (b) | 28,396,000 | 27,817,119 | |
Itau Unibanco Holding SA: | |||
5.125% 5/13/23 (Reg. S) | 1,850,000 | 1,872,755 | |
5.5% 8/6/22 (b) | 1,155,000 | 1,186,878 | |
6.2% 12/21/21 (Reg. S) | 980,000 | 1,041,250 | |
JPMorgan Chase & Co.: | |||
1.625% 5/15/18 | 12,580,000 | 12,635,138 | |
2% 8/15/17 | 11,000,000 | 11,086,075 | |
2.2% 10/22/19 | 7,268,000 | 7,390,270 | |
2.25% 1/23/20 | 40,000,000 | 40,538,480 | |
2.35% 1/28/19 | 6,857,000 | 6,998,460 | |
2.95% 10/1/26 | 7,120,000 | 7,163,923 | |
3.25% 9/23/22 | 18,423,000 | 19,336,799 | |
3.875% 9/10/24 | 35,791,000 | 37,778,761 | |
4.125% 12/15/26 | 43,776,000 | 46,914,126 | |
4.25% 10/15/20 | 6,995,000 | 7,612,540 | |
4.35% 8/15/21 | 20,267,000 | 22,345,948 | |
4.5% 1/24/22 | 22,046,000 | 24,412,352 | |
4.625% 5/10/21 | 6,879,000 | 7,626,630 | |
4.95% 3/25/20 | 22,079,000 | 24,347,021 | |
JSC BGEO Group 6% 7/26/23 (b) | 1,960,000 | 2,011,940 | |
JSC Halyk Bank of Kazakhstan 7.25% 1/28/21 (b) | 790,000 | 855,570 | |
Nacional Financiera SNC 3.375% 11/5/20 (b) | 1,105,000 | 1,147,543 | |
OJSC Russian Agricultural Bank 7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (b) | 1,000,000 | 1,073,500 | |
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 27,444,355 | |
Regions Bank 6.45% 6/26/37 | 24,618,000 | 29,994,399 | |
Regions Financial Corp. 3.2% 2/8/21 | 11,916,000 | 12,353,889 | |
Royal Bank of Canada 4.65% 1/27/26 | 21,308,000 | 23,434,879 | |
Royal Bank of Scotland Group PLC: | |||
2.5% 3/22/23 (Reg. S) | EUR | 2,850,000 | 3,256,458 |
3.625% 3/25/24 (Reg. S) (c) | EUR | 2,850,000 | 3,172,083 |
4.8% 4/5/26 | 50,452,000 | 52,792,872 | |
5.125% 5/28/24 | 64,006,000 | 64,758,647 | |
6% 12/19/23 | 25,897,000 | 27,392,189 | |
6.1% 6/10/23 | 31,961,000 | 33,937,276 | |
6.125% 12/15/22 | 42,557,000 | 45,451,599 | |
Royal Bank of Scotland PLC 6.934% 4/9/18 | EUR | 1,250,000 | 1,521,900 |
RSHB Capital SA 5.298% 12/27/17 (b) | 1,225,000 | 1,257,218 | |
SB Capital SA 5.5% 2/26/24 (b)(c) | 1,585,000 | 1,577,075 | |
Turkiye Garanti Bankasi A/S 4% 9/13/17 (b) | 350,000 | 352,265 | |
Turkiye Halk Bankasi A/S: | |||
3.875% 2/5/20 (b) | 850,000 | 818,678 | |
4.75% 6/4/19 (b) | 980,000 | 977,362 | |
Turkiye Is Bankasi A/S: | |||
3.75% 10/10/18 (b) | 535,000 | 530,319 | |
5.5% 4/21/19 (b) | 415,000 | 424,711 | |
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (c) | 1,275,000 | 1,278,188 | |
UniCredit Luxembourg 6% 10/31/17 (Reg. S) | 3,550,000 | 3,638,629 | |
Wachovia Corp. 5.75% 6/15/17 | 2,933,000 | 3,035,986 | |
Wells Fargo & Co. 4.48% 1/16/24 | 4,804,000 | 5,320,512 | |
Zenith Bank PLC 6.25% 4/22/19 (b) | 4,870,000 | 4,712,115 | |
1,546,868,755 | |||
Capital Markets - 3.1% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 19,025,000 | 18,987,140 | |
4.25% 2/15/24 | 14,661,000 | 15,448,442 | |
Argos Merger Sub, Inc. 7.125% 3/15/23 (b) | 7,410,000 | 7,789,763 | |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 19,011,354 | |
Credit Suisse Group AG 5.75% 9/18/25 (Reg. S) (c) | EUR | 1,250,000 | 1,523,095 |
Deutsche Bank AG: | |||
4.5% 4/1/25 | 80,571,000 | 76,077,797 | |
4.5% 5/19/26 | EUR | 1,100,000 | 1,187,072 |
Deutsche Bank AG London Branch: | |||
1.875% 2/13/18 | 37,777,000 | 37,583,695 | |
2.85% 5/10/19 | 47,570,000 | 47,723,746 | |
Goldman Sachs Group, Inc.: | |||
1.748% 9/15/17 | 42,024,000 | 42,122,630 | |
2.55% 10/23/19 | 33,080,000 | 33,814,442 | |
2.625% 1/31/19 | 50,400,000 | 51,691,450 | |
2.9% 7/19/18 | 17,494,000 | 17,935,234 | |
4.25% 10/21/25 | 20,000,000 | 21,214,920 | |
5.25% 7/27/21 | 17,105,000 | 19,416,535 | |
5.625% 1/15/17 | 3,200,000 | 3,249,821 | |
5.95% 1/18/18 | 4,975,000 | 5,271,983 | |
Lazard Group LLC: | |||
4.25% 11/14/20 | 10,151,000 | 10,757,563 | |
6.85% 6/15/17 | 1,263,000 | 1,311,242 | |
Morgan Stanley: | |||
1.875% 1/5/18 | 16,953,000 | 17,037,545 | |
2.125% 4/25/18 | 12,586,000 | 12,711,772 | |
2.8% 6/16/20 | 30,000,000 | 30,844,470 | |
3.125% 7/27/26 | 30,000,000 | 30,175,320 | |
3.7% 10/23/24 | 24,714,000 | 26,187,399 | |
4.875% 11/1/22 | 26,240,000 | 29,084,075 | |
5% 11/24/25 | 3,189,000 | 3,554,664 | |
5.5% 1/26/20 | 88,000,000 | 97,855,912 | |
5.625% 9/23/19 | 12,714,000 | 14,131,802 | |
5.75% 1/25/21 | 19,879,000 | 22,785,031 | |
6.625% 4/1/18 | 16,118,000 | 17,365,743 | |
UBS AG Stamford Branch: | |||
1.375% 6/1/17 | 12,643,000 | 12,646,793 | |
1.8% 3/26/18 | 24,142,000 | 24,276,857 | |
UBS Group Funding Ltd. 4.125% 9/24/25 (b) | 18,881,000 | 19,877,841 | |
790,653,148 | |||
Consumer Finance - 1.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.95% 2/1/22 | 4,940,000 | 5,125,250 | |
4.25% 7/1/20 | 3,025,000 | 3,176,250 | |
4.5% 5/15/21 | 1,550,000 | 1,635,250 | |
4.625% 7/1/22 | 2,685,000 | 2,849,456 | |
Ally Financial, Inc. 4.25% 4/15/21 | 17,390,000 | 17,911,700 | |
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,764,207 | |
Credito Real S.A.B. de CV: | |||
7.25% 7/20/23 (b) | 790,000 | 803,430 | |
7.5% 3/13/19 (b) | 1,140,000 | 1,189,020 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 25,882,000 | 26,751,169 | |
3.95% 11/6/24 | 14,738,000 | 15,162,204 | |
5.2% 4/27/22 | 12,545,000 | 13,750,562 | |
6.45% 6/12/17 | 10,366,000 | 10,734,491 | |
Ford Motor Credit Co. LLC: | |||
1.724% 12/6/17 | 18,742,000 | 18,771,875 | |
2.24% 6/15/18 | 19,162,000 | 19,319,933 | |
2.597% 11/4/19 | 52,209,000 | 53,157,481 | |
2.875% 10/1/18 | 13,000,000 | 13,319,618 | |
Hyundai Capital America: | |||
1.45% 2/6/17 (b) | 14,591,000 | 14,596,399 | |
2.125% 10/2/17 (b) | 18,524,000 | 18,649,963 | |
2.875% 8/9/18 (b) | 5,276,000 | 5,386,896 | |
Navient Corp.: | |||
5% 10/26/20 | 300,000 | 301,500 | |
5.875% 3/25/21 | 2,250,000 | 2,280,938 | |
5.875% 10/25/24 | 3,930,000 | 3,704,025 | |
SLM Corp.: | |||
4.875% 6/17/19 | 2,160,000 | 2,181,600 | |
5.5% 1/15/19 | 1,305,000 | 1,340,888 | |
5.5% 1/25/23 | 5,325,000 | 5,058,750 | |
Synchrony Financial: | |||
1.875% 8/15/17 | 3,341,000 | 3,348,143 | |
3% 8/15/19 | 4,907,000 | 5,016,107 | |
3.75% 8/15/21 | 7,409,000 | 7,769,885 | |
4.25% 8/15/24 | 7,458,000 | 7,826,142 | |
291,883,132 | |||
Diversified Financial Services - 0.6% | |||
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 25,518,000 | 25,568,500 | |
3.85% 2/1/25 | 14,325,000 | 14,596,473 | |
3.875% 8/15/22 | 21,027,000 | 21,953,408 | |
4.125% 6/15/26 | 8,647,000 | 8,974,021 | |
Cimpor Financial Operations BV 5.75% 7/17/24 (b) | 1,350,000 | 1,167,750 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.875% 3/15/19 | 12,570,000 | 12,507,150 | |
5.875% 2/1/22 | 25,766,000 | 24,059,003 | |
6% 8/1/20 | 3,260,000 | 3,133,675 | |
ILFC E-Capital Trust I 3.98% 12/21/65 (b)(c) | 11,760,000 | 9,390,360 | |
ILFC E-Capital Trust II 4.23% 12/21/65 (b)(c) | 6,150,000 | 4,981,500 | |
IntercontinentalExchange, Inc.: | |||
2.75% 12/1/20 | 6,489,000 | 6,763,791 | |
3.75% 12/1/25 | 11,601,000 | 12,702,611 | |
MSCI, Inc.: | |||
4.75% 8/1/26 (b) | 2,270,000 | 2,329,588 | |
5.25% 11/15/24 (b) | 4,420,000 | 4,696,250 | |
Nationwide Building Society 4.125% 3/20/23 (Reg. S) (c) | EUR | 1,365,000 | 1,582,937 |
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (b) | 1,975,000 | 2,012,031 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) | 6,270,000 | 6,944,025 | |
Springleaf Financial Corp. 7.75% 10/1/21 | 3,225,000 | 3,386,250 | |
TMK Capital SA 6.75% 4/3/20 (Reg. S) | 560,000 | 586,600 | |
167,335,923 | |||
Insurance - 1.8% | |||
ACE INA Holdings, Inc. 2.875% 11/3/22 | 11,752,000 | 12,367,088 | |
AIA Group Ltd. 2.25% 3/11/19 (b) | 2,566,000 | 2,597,847 | |
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (b) | 9,217,000 | 9,526,922 | |
American International Group, Inc.: | |||
2.3% 7/16/19 | 6,461,000 | 6,583,190 | |
3.3% 3/1/21 | 9,614,000 | 10,085,797 | |
3.875% 1/15/35 | 19,041,000 | 18,900,059 | |
4.875% 6/1/22 | 18,193,000 | 20,367,064 | |
5.6% 10/18/16 | 10,702,000 | 10,759,127 | |
Aon Corp. 5% 9/30/20 | 3,854,000 | 4,262,354 | |
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (c) | 1,750,000 | 1,868,038 | |
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (c) | EUR | 4,000,000 | 4,742,224 |
Aviva PLC 6.625% 6/3/41 (c) | GBP | 2,250,000 | 3,316,929 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) | 2,000,000 | 2,140,982 | |
Five Corners Funding Trust 4.419% 11/15/23 (b) | 12,460,000 | 13,449,760 | |
Great-West Life & Annuity Insurance Co. 3.3563% 5/16/46 (b)(c) | 1,859,000 | 1,589,445 | |
Hartford Financial Services Group, Inc.: | |||
5.125% 4/15/22 | 14,787,000 | 16,750,965 | |
5.375% 3/15/17 | 194,000 | 197,936 | |
Legal & General Group PLC 5.375% 10/27/45 (Reg. S) (c) | GBP | 2,300,000 | 3,258,542 |
Liberty Mutual Group, Inc. 5% 6/1/21 (b) | 12,644,000 | 13,999,626 | |
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,861,725 | |
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) | 30,523,000 | 30,984,752 | |
MetLife, Inc.: | |||
1.903% 12/15/17 (c) | 2,987,000 | 3,005,310 | |
3.048% 12/15/22 (c) | 12,433,000 | 12,968,266 | |
4.368% 9/15/23 (c) | 9,625,000 | 10,674,722 | |
4.75% 2/8/21 | 4,032,000 | 4,528,896 | |
Metropolitan Life Global Funding I 3% 1/10/23 (b) | 7,896,000 | 8,151,104 | |
Muenchener Rueckversicherungs AG 6.25% 5/26/42 (Reg. S) (c) | EUR | 1,000,000 | 1,378,263 |
Pacific Life Insurance Co. 9.25% 6/15/39 (b) | 7,041,000 | 11,120,724 | |
Pacific LifeCorp: | |||
5.125% 1/30/43 (b) | 33,774,000 | 37,400,449 | |
6% 2/10/20 (b) | 15,416,000 | 17,114,658 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 17,492,000 | 18,366,600 | |
Prudential Financial, Inc.: | |||
2.3% 8/15/18 | 1,622,000 | 1,647,486 | |
4.5% 11/16/21 | 6,390,000 | 7,151,944 | |
6.2% 11/15/40 | 4,318,000 | 5,429,540 | |
7.375% 6/15/19 | 3,230,000 | 3,716,235 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 18,083,000 | 20,633,444 | |
TIAA Asset Management Finance LLC: | |||
2.95% 11/1/19 (b) | 4,172,000 | 4,283,392 | |
4.125% 11/1/24 (b) | 6,048,000 | 6,365,103 | |
Unum Group: | |||
3.875% 11/5/25 | 21,587,000 | 21,777,095 | |
4% 3/15/24 | 20,000,000 | 20,683,180 | |
5.625% 9/15/20 | 8,386,000 | 9,383,817 | |
5.75% 8/15/42 | 25,545,000 | 29,236,968 | |
7.125% 9/30/16 | 587,000 | 589,279 | |
Zurich Insurance Co. Ltd. 3.5% 10/1/46 (c) | EUR | 4,450,000 | 5,271,108 |
456,487,955 | |||
Real Estate Investment Trusts - 1.9% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 2,884,000 | 2,915,802 | |
4.6% 4/1/22 | 4,896,000 | 5,299,284 | |
alstria office REIT-AG 2.25% 3/24/21 (Reg. S) | EUR | 2,800,000 | 3,369,829 |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 3,491,000 | 3,661,459 | |
AvalonBay Communities, Inc.: | |||
3.625% 10/1/20 | 5,005,000 | 5,310,595 | |
4.2% 12/15/23 | 12,000,000 | 13,196,244 | |
Boston Properties, Inc. 3.85% 2/1/23 | 14,583,000 | 15,700,597 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 6,621,000 | 6,672,869 | |
4.25% 1/15/24 | 9,191,000 | 9,939,901 | |
Carmila SAS 2.375% 9/16/24 (Reg. S) | EUR | 1,600,000 | 1,974,953 |
CBL & Associates LP 4.6% 10/15/24 | 272,000 | 263,398 | |
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,356,502 | |
Corporate Office Properties LP 5% 7/1/25 | 8,095,000 | 8,726,054 | |
DDR Corp.: | |||
3.625% 2/1/25 | 7,690,000 | 7,799,729 | |
4.25% 2/1/26 | 6,601,000 | 7,001,839 | |
4.625% 7/15/22 | 20,268,000 | 22,013,561 | |
4.75% 4/15/18 | 11,273,000 | 11,749,217 | |
7.5% 4/1/17 | 5,574,000 | 5,751,526 | |
7.875% 9/1/20 | 323,000 | 388,398 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 3,140,000 | 3,223,807 | |
3.625% 4/15/23 | 6,287,000 | 6,634,520 | |
3.75% 12/1/24 | 5,408,000 | 5,753,420 | |
3.875% 10/15/22 | 17,388,000 | 18,512,117 | |
4.375% 6/15/22 | 10,999,000 | 11,975,612 | |
6.5% 1/15/18 | 3,795,000 | 4,039,360 | |
6.75% 3/15/20 | 10,379,000 | 11,938,964 | |
8.25% 8/15/19 | 75,000 | 88,029 | |
Equity One, Inc. 3.75% 11/15/22 | 18,100,000 | 18,538,726 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 8,777,000 | 8,942,727 | |
4.625% 12/15/21 | 17,159,000 | 19,228,461 | |
4.75% 7/15/20 | 7,700,000 | 8,492,153 | |
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,848,277 | |
Health Care REIT, Inc.: | |||
2.25% 3/15/18 | 5,151,000 | 5,197,184 | |
4% 6/1/25 | 11,717,000 | 12,535,643 | |
4.7% 9/15/17 | 1,538,000 | 1,588,634 | |
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 627,783 | |
HRPT Properties Trust: | |||
6.25% 6/15/17 | 1,232,000 | 1,246,544 | |
6.65% 1/15/18 | 867,000 | 899,137 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,729,711 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5.25% 8/1/26 | 1,405,000 | 1,492,813 | |
6.375% 3/1/24 | 2,250,000 | 2,469,375 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 42,087,000 | 42,913,042 | |
4.5% 1/15/25 | 4,655,000 | 4,725,039 | |
4.5% 4/1/27 | 50,980,000 | 51,558,419 | |
4.95% 4/1/24 | 17,495,000 | 18,292,352 | |
5.25% 1/15/26 | 29,233,000 | 31,391,302 | |
5.875% 3/15/24 | 290,000 | 303,440 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 3,376,000 | 3,415,293 | |
5% 12/15/23 | 2,030,000 | 2,175,056 | |
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 276,883 | |
Simon Property Group LP 4.125% 12/1/21 | 7,287,000 | 8,052,514 | |
VEREIT Operating Partnership LP: | |||
4.125% 6/1/21 | 1,770,000 | 1,849,650 | |
4.875% 6/1/26 | 1,770,000 | 1,907,175 | |
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,789,925 | |
WP Carey, Inc. 4% 2/1/25 | 21,616,000 | 21,584,765 | |
476,329,609 | |||
Real Estate Management & Development - 1.6% | |||
Aroundtown Property Holdings PLC 1.5% 7/15/24 (Reg. S) | EUR | 5,400,000 | 5,939,777 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 17,710,000 | 18,121,332 | |
4.1% 10/1/24 | 15,881,000 | 16,341,755 | |
4.55% 10/1/29 | 15,881,000 | 16,588,165 | |
4.95% 4/15/18 | 12,690,000 | 13,262,205 | |
5.7% 5/1/17 | 7,049,000 | 7,243,045 | |
CBRE Group, Inc. 5% 3/15/23 | 10,300,000 | 10,878,592 | |
Deutsche Annington Finance BV 5% 10/2/23 (b) | 5,800,000 | 6,419,742 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 17,707,000 | 18,453,297 | |
3.625% 10/1/22 | 9,206,000 | 9,542,608 | |
3.95% 7/1/22 | 11,369,000 | 12,025,116 | |
4.75% 10/1/25 | 22,475,000 | 24,502,267 | |
5.25% 3/15/21 | 5,708,000 | 6,433,515 | |
Essex Portfolio LP: | |||
3.875% 5/1/24 | 8,802,000 | 9,384,023 | |
5.5% 3/15/17 | 3,597,000 | 3,670,069 | |
Host Hotels & Resorts LP 4.75% 3/1/23 | 150,000 | 161,563 | |
Howard Hughes Corp. 6.875% 10/1/21 (b) | 2,035,000 | 2,136,750 | |
Hunt Companies, Inc. 9.625% 3/1/21 (b) | 870,000 | 885,225 | |
Inversiones y Representaciones SA: | |||
8.5% 2/2/17 (Reg. S) | 65,000 | 64,189 | |
11.5% 7/20/20 (Reg. S) | 5,000 | 5,688 | |
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) | 770,000 | 847,770 | |
Liberty Property LP: | |||
3.375% 6/15/23 | 8,174,000 | 8,325,391 | |
4.125% 6/15/22 | 14,880,000 | 15,674,160 | |
4.4% 2/15/24 | 13,017,000 | 14,077,430 | |
4.75% 10/1/20 | 11,282,000 | 12,219,624 | |
5.5% 12/15/16 | 1,891,000 | 1,913,136 | |
6.625% 10/1/17 | 4,835,000 | 5,074,802 | |
Mack-Cali Realty LP: | |||
2.5% 12/15/17 | 9,223,000 | 9,261,534 | |
3.15% 5/15/23 | 14,735,000 | 13,717,342 | |
4.5% 4/18/22 | 17,365,000 | 17,749,027 | |
7.75% 8/15/19 | 3,156,000 | 3,545,043 | |
Mid-America Apartments LP: | |||
4% 11/15/25 | 4,704,000 | 5,039,235 | |
4.3% 10/15/23 | 2,224,000 | 2,410,643 | |
6.05% 9/1/16 | 2,000,000 | 2,000,000 | |
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,634,160 | |
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (b) | 235,000 | 243,813 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 11,019,000 | 11,004,565 | |
3.75% 12/1/24 | 21,455,000 | 22,512,238 | |
3.875% 12/1/23 | 4,812,000 | 5,097,371 | |
6.125% 6/1/20 | 14,318,000 | 16,263,229 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 5,458,000 | 5,564,546 | |
3.5% 2/1/25 | 5,961,000 | 6,176,216 | |
3.75% 5/1/24 | 20,000,000 | 20,975,560 | |
4.125% 1/15/26 | 5,557,000 | 6,015,152 | |
Ventas Realty LP/Ventas Capital Corp.: | |||
2% 2/15/18 | 8,050,000 | 8,097,093 | |
4% 4/30/19 | 3,747,000 | 3,939,251 | |
4.25% 3/1/22 | 300,000 | 323,220 | |
402,760,474 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23(b) | 1,000,000 | 1,088,750 | |
TOTAL FINANCIALS | 4,133,407,746 | ||
HEALTH CARE - 2.4% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
1.75% 11/6/17 | 13,509,000 | 13,569,980 | |
2.9% 11/6/22 | 24,855,000 | 25,600,749 | |
3.6% 5/14/25 | 24,114,000 | 25,499,494 | |
4.5% 5/14/35 | 23,238,000 | 25,197,986 | |
4.7% 5/14/45 | 23,197,000 | 25,824,455 | |
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) | 3,150,000 | 3,098,813 | |
118,791,477 | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. 2.675% 12/15/19 | 4,539,000 | 4,698,115 | |
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (b) | 655,000 | 645,175 | |
Teleflex, Inc. 4.875% 6/1/26 | 1,605,000 | 1,673,213 | |
7,016,503 | |||
Health Care Providers & Services - 1.1% | |||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 2,039,533 | |
Community Health Systems, Inc.: | |||
6.875% 2/1/22 | 14,810,000 | 12,292,300 | |
7.125% 7/15/20 | 3,545,000 | 3,170,577 | |
Express Scripts Holding Co. 4.75% 11/15/21 | 24,746,000 | 27,825,813 | |
HCA Holdings, Inc.: | |||
3.75% 3/15/19 | 18,722,000 | 19,307,063 | |
4.25% 10/15/19 | 7,590,000 | 7,960,013 | |
4.5% 2/15/27 | 5,230,000 | 5,282,300 | |
4.75% 5/1/23 | 595,000 | 622,519 | |
5% 3/15/24 | 5,000,000 | 5,300,000 | |
5.25% 6/15/26 | 11,470,000 | 12,258,563 | |
5.875% 3/15/22 | 715,000 | 786,500 | |
5.875% 2/15/26 | 7,310,000 | 7,730,325 | |
6.5% 2/15/20 | 30,303,000 | 33,484,815 | |
HealthSouth Corp. 5.125% 3/15/23 | 4,745,000 | 4,804,313 | |
Kindred Healthcare, Inc.: | |||
8% 1/15/20 | 2,975,000 | 3,079,125 | |
8.75% 1/15/23 | 9,765,000 | 9,984,713 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 7,486,000 | 8,066,277 | |
Sabra Health Care LP/Sabra Capital Corp.: | |||
5.375% 6/1/23 | 500,000 | 509,375 | |
5.5% 2/1/21 | 1,555,000 | 1,632,750 | |
Tenet Healthcare Corp.: | |||
4.1525% 6/15/20 (c) | 2,550,000 | 2,553,188 | |
5% 3/1/19 | 2,285,000 | 2,219,306 | |
6.75% 6/15/23 | 14,225,000 | 13,531,531 | |
6.875% 11/15/31 | 2,130,000 | 1,762,575 | |
8.125% 4/1/22 | 6,540,000 | 6,621,750 | |
UnitedHealth Group, Inc.: | |||
2.75% 2/15/23 | 2,398,000 | 2,483,623 | |
2.875% 3/15/23 | 16,114,000 | 16,837,615 | |
3.35% 7/15/22 | 6,192,000 | 6,663,892 | |
3.75% 7/15/25 | 19,000,000 | 21,044,267 | |
4.75% 7/15/45 | 20,331,000 | 25,188,970 | |
Universal Health Services, Inc. 4.75% 8/1/22 (b) | 3,275,000 | 3,397,813 | |
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,742,403 | |
275,183,807 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc.: | |||
1.3% 2/1/17 | 3,107,000 | 3,109,364 | |
2.4% 2/1/19 | 1,959,000 | 1,995,804 | |
4.15% 2/1/24 | 3,010,000 | 3,298,990 | |
8,404,158 | |||
Pharmaceuticals - 0.8% | |||
Actavis Funding SCS: | |||
3% 3/12/20 | 13,777,000 | 14,240,169 | |
3.45% 3/15/22 | 31,597,000 | 33,067,777 | |
Bayer AG 2.375% 4/2/75 (Reg. S) (c) | EUR | 2,080,000 | 2,227,495 |
Horizon Pharma PLC 6.625% 5/1/23 | 5,835,000 | 5,762,063 | |
Mylan N.V.: | |||
2.5% 6/7/19 (b) | 10,382,000 | 10,513,665 | |
3.15% 6/15/21 (b) | 21,235,000 | 21,705,015 | |
Mylan, Inc. 1.35% 11/29/16 | 3,628,000 | 3,632,118 | |
Perrigo Co. PLC: | |||
1.3% 11/8/16 | 2,954,000 | 2,955,188 | |
2.3% 11/8/18 | 3,161,000 | 3,176,906 | |
Perrigo Finance PLC: | |||
3.5% 12/15/21 | 3,657,000 | 3,753,223 | |
3.9% 12/15/24 | 5,449,000 | 5,516,164 | |
4.9% 12/15/44 | 2,390,000 | 2,461,678 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
2.2% 7/21/21 | 15,311,000 | 15,316,175 | |
2.8% 7/21/23 | 10,972,000 | 11,016,349 | |
3.15% 10/1/26 | 13,048,000 | 13,136,909 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.375% 3/15/20 (b) | 15,590,000 | 14,693,575 | |
5.625% 12/1/21 (b) | 6,120,000 | 5,523,300 | |
5.875% 5/15/23 (b) | 11,835,000 | 10,414,800 | |
6.125% 4/15/25 (b) | 3,795,000 | 3,334,856 | |
6.75% 8/15/18 (b) | 3,820,000 | 3,831,078 | |
VPI Escrow Corp. 6.375% 10/15/20 (b) | 4,185,000 | 3,996,675 | |
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 4,757,000 | 4,778,093 | |
Zoetis, Inc.: | |||
1.875% 2/1/18 | 2,006,000 | 2,010,524 | |
3.25% 2/1/23 | 4,892,000 | 5,032,464 | |
3.45% 11/13/20 | 5,179,000 | 5,413,790 | |
207,510,049 | |||
TOTAL HEALTH CARE | 616,905,994 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc.: | |||
3.8% 10/7/24 (b) | 9,122,000 | 9,642,346 | |
6.375% 6/1/19 (b) | 8,071,000 | 8,984,605 | |
DigitalGlobe, Inc. 5.25% 2/1/21 (b) | 11,145,000 | 11,089,275 | |
Orbital ATK, Inc. 5.5% 10/1/23 | 2,280,000 | 2,399,700 | |
TransDigm, Inc.: | |||
5.5% 10/15/20 | 4,530,000 | 4,648,913 | |
6% 7/15/22 | 685,000 | 712,400 | |
6.375% 6/15/26 (b) | 2,210,000 | 2,254,200 | |
6.5% 5/15/25 | 1,355,000 | 1,402,425 | |
41,133,864 | |||
Airlines - 0.2% | |||
Air Canada: | |||
6.625% 5/15/18 (b) | 1,465,000 | 1,510,781 | |
7.75% 4/15/21 (b) | 1,470,000 | 1,549,013 | |
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 3/15/20 (b) | 5,685,000 | 5,571,300 | |
Allegiant Travel Co. 5.5% 7/15/19 | 6,030,000 | 6,286,275 | |
American Airlines Group, Inc.: | |||
4.625% 3/1/20 (b) | 2,670,000 | 2,676,675 | |
5.5% 10/1/19 (b) | 8,970,000 | 9,250,313 | |
American Airlines, Inc. pass-thru trust certificates 5.625% 1/15/21 (b) | 195,089 | 203,136 | |
Continental Airlines, Inc.: | |||
pass-thru trust certificates 9.798% 4/1/21 | 195,480 | 216,494 | |
6.125% 4/29/18 | 240,000 | 252,000 | |
6.648% 3/15/19 | 518,201 | 529,186 | |
6.9% 7/2/19 | 163,630 | 167,918 | |
9.25% 5/10/17 | 963,479 | 1,006,836 | |
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 933,038 | |
U.S. Airways pass-thru certificates: | |||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,749,150 | |
Series 2013-1 Class B, 5.375% 5/15/23 | 303,731 | 314,361 | |
U.S. Airways pass-thru trust certificates: | |||
6.85% 1/30/18 | 870,739 | 896,861 | |
8.36% 1/20/19 | 661,187 | 690,147 | |
United Air Lines, Inc. pass-thru trust certificates Class B, 7.336% 7/2/19 | 572,378 | 599,566 | |
United Continental Holdings, Inc.: | |||
6% 12/1/20 | 2,600,000 | 2,782,000 | |
6.375% 6/1/18 | 140,000 | 147,000 | |
37,332,050 | |||
Building Products - 0.1% | |||
Builders FirstSource, Inc. 5.625% 9/1/24 (b) | 1,915,000 | 1,948,513 | |
Building Materials Corp. of America: | |||
5.375% 11/15/24 (b) | 3,095,000 | 3,292,306 | |
6% 10/15/25 (b) | 3,630,000 | 3,979,388 | |
Masco Corp.: | |||
3.5% 4/1/21 | 1,913,000 | 1,996,694 | |
4.375% 4/1/26 | 2,435,000 | 2,605,450 | |
13,822,351 | |||
Commercial Services & Supplies - 0.2% | |||
APX Group, Inc.: | |||
6.375% 12/1/19 | 21,050,000 | 21,602,352 | |
7.875% 12/1/22 | 6,345,000 | 6,678,113 | |
8.75% 12/1/20 | 13,055,000 | 12,549,119 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (b) | 3,475,000 | 3,466,313 | |
Cenveo Corp. 6% 8/1/19 (b) | 325,000 | 287,625 | |
Covanta Holding Corp. 5.875% 3/1/24 | 2,675,000 | 2,691,719 | |
Garda World Security Corp.: | |||
7.25% 11/15/21 (b) | 400,000 | 365,000 | |
7.25% 11/15/21 (b) | 8,485,000 | 7,742,563 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) | 3,500,000 | 3,465,000 | |
R.R. Donnelley & Sons Co. 6.5% 11/15/23 | 410,000 | 415,125 | |
59,262,929 | |||
Construction & Engineering - 0.0% | |||
Cementos Progreso Trust 7.125% 11/6/23 (b) | 570,000 | 608,532 | |
Odebrecht Finance Ltd. 4.375% 4/25/25 (b) | 850,000 | 282,625 | |
891,157 | |||
Electrical Equipment - 0.0% | |||
General Cable Corp. 5.75% 10/1/22 (c) | 3,470,000 | 3,295,390 | |
Sensata Technologies BV 5% 10/1/25 (b) | 2,825,000 | 2,923,875 | |
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 4,090,000 | 4,866,767 |
11,086,032 | |||
Industrial Conglomerates - 0.0% | |||
Alfa SA de CV 5.25% 3/25/24 (b) | 450,000 | 495,000 | |
Turk Sise ve Cam Fabrikalari A/S 4.25% 5/9/20 (Reg. S) | 250,000 | 249,973 | |
744,973 | |||
Machinery - 0.0% | |||
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (b) | 75,000 | 64,875 | |
Xerium Technologies, Inc.: | |||
8.875% 6/15/18 | 1,645,000 | 1,682,013 | |
9.5% 8/15/21 (b) | 5,060,000 | 5,186,500 | |
6,933,388 | |||
Marine - 0.0% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) | 5,055,000 | 3,841,800 | |
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,373,456 |
JSC Georgian Railway 7.75% 7/11/22 (b) | 650,000 | 726,375 | |
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) | 570,000 | 633,413 | |
5,733,244 | |||
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
2.125% 1/15/18 | 7,271,000 | 7,278,126 | |
2.625% 9/4/18 | 16,438,000 | 16,533,390 | |
3.375% 6/1/21 | 10,493,000 | 10,860,255 | |
3.75% 2/1/22 | 26,396,000 | 27,570,173 | |
3.875% 4/1/21 | 14,814,000 | 15,610,253 | |
4.25% 9/15/24 | 12,030,000 | 12,646,538 | |
4.75% 3/1/20 | 11,796,000 | 12,739,680 | |
Aircastle Ltd.: | |||
5% 4/1/23 | 1,285,000 | 1,362,100 | |
5.125% 3/15/21 | 1,575,000 | 1,708,875 | |
6.25% 12/1/19 | 830,000 | 918,188 | |
Beacon Roofing Supply, Inc. 6.375% 10/1/23 | 1,160,000 | 1,247,000 | |
FLY Leasing Ltd.: | |||
6.375% 10/15/21 | 6,000,000 | 6,060,000 | |
6.75% 12/15/20 | 2,795,000 | 2,871,863 | |
International Lease Finance Corp. 4.625% 4/15/21 | 955,000 | 1,012,778 | |
Travis Perkins PLC 4.375% 9/15/21 (Reg. S) | GBP | 2,350,000 | 3,165,843 |
United Rentals North America, Inc.: | |||
4.625% 7/15/23 | 4,663,000 | 4,770,482 | |
5.5% 7/15/25 | 2,725,000 | 2,810,156 | |
129,165,700 | |||
Transportation Infrastructure - 0.0% | |||
Aeropuertos Argentina 2000 SA: | |||
10.75% 12/1/20 (b) | 1,281,420 | 1,403,155 | |
10.75% 12/1/20 (Reg. S) | 71,820 | 78,643 | |
Autoridad del Canal de Panama 4.95% 7/29/35 (b) | 585,000 | 657,694 | |
Global Ports Finance PLC 6.872% 1/25/22 (b) | 1,260,000 | 1,323,000 | |
Great Rolling Stock Co. Ltd. 6.25% 7/27/20 | GBP | 1,900,000 | 2,941,206 |
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 3,300,000 | 5,012,585 |
11,416,283 | |||
TOTAL INDUSTRIALS | 321,363,771 | ||
INFORMATION TECHNOLOGY - 1.0% | |||
Communications Equipment - 0.2% | |||
Banglalink Digital Communications Ltd.: | |||
8.625% 5/6/19 (b) | 3,165,000 | 3,370,725 | |
8.625% 5/6/19 (Reg. S) | 200,000 | 213,000 | |
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 1,430,000 | 1,412,125 | |
Hughes Satellite Systems Corp.: | |||
5.25% 8/1/26 (b) | 5,220,000 | 5,178,188 | |
6.625% 8/1/26 (b) | 2,610,000 | 2,590,425 | |
Lucent Technologies, Inc.: | |||
6.45% 3/15/29 | 22,935,000 | 24,941,813 | |
6.5% 1/15/28 | 6,207,000 | 6,672,525 | |
44,378,801 | |||
Electronic Equipment & Components - 0.0% | |||
Amphenol Corp. 3.125% 9/15/21 | 4,703,000 | 4,877,514 | |
Belden, Inc. 5.25% 7/15/24 (b) | 865,000 | 877,975 | |
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (b) | 796,000 | 818,251 | |
4.42% 6/15/21 (b) | 2,400,000 | 2,510,894 | |
Tyco Electronics Group SA: | |||
2.375% 12/17/18 | 2,244,000 | 2,284,589 | |
6.55% 10/1/17 | 1,383,000 | 1,458,852 | |
12,828,075 | |||
Internet Software & Services - 0.0% | |||
Alibaba Group Holding Ltd. 3.125% 11/28/21 | 3,250,000 | 3,371,602 | |
Rackspace Hosting, Inc. 6.5% 1/15/24 (b) | 3,280,000 | 3,444,328 | |
6,815,930 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Micron Technology, Inc.: | |||
5.25% 8/1/23 (b) | 1,730,000 | 1,673,775 | |
5.25% 1/15/24 (b) | 2,650,000 | 2,536,024 | |
5.5% 2/1/25 | 1,675,000 | 1,622,656 | |
5.625% 1/15/26 (b) | 1,285,000 | 1,227,175 | |
Microsemi Corp. 9.125% 4/15/23 (b) | 3,120,000 | 3,572,400 | |
NXP BV/NXP Funding LLC: | |||
4.125% 6/1/21 (b) | 9,955,000 | 10,412,930 | |
4.625% 6/15/22 (b) | 3,745,000 | 3,943,934 | |
4.625% 6/1/23 (b) | 2,480,000 | 2,616,400 | |
Qorvo, Inc.: | |||
6.75% 12/1/23 (b) | 4,980,000 | 5,421,975 | |
7% 12/1/25 (b) | 5,885,000 | 6,517,638 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) | 3,025,000 | 3,316,156 | |
42,861,063 | |||
Software - 0.1% | |||
Nuance Communications, Inc.: | |||
5.375% 8/15/20 (b) | 4,525,000 | 4,632,469 | |
6% 7/1/24 (b) | 5,095,000 | 5,298,800 | |
Open Text Corp. 5.875% 6/1/26 (b) | 6,720,000 | 7,038,192 | |
16,969,461 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Apple, Inc.: | |||
3.2% 5/13/25 | 20,000,000 | 21,370,060 | |
4.375% 5/13/45 | 20,000,000 | 22,431,960 | |
Hewlett Packard Enterprise Co.: | |||
3.6% 10/15/20 (b) | 20,381,000 | 21,294,456 | |
4.9% 10/15/25 (b) | 20,381,000 | 21,733,667 | |
6.35% 10/15/45 (b) | 30,381,000 | 31,354,195 | |
NCR Corp.: | |||
4.625% 2/15/21 | 1,465,000 | 1,480,456 | |
5% 7/15/22 | 5,240,000 | 5,344,800 | |
NXP BV/NXP Funding LLC 3.875% 9/1/22 (b) | 6,525,000 | 6,631,031 | |
131,640,625 | |||
TOTAL INFORMATION TECHNOLOGY | 255,493,955 | ||
MATERIALS - 1.2% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems 4.875% 8/15/24 (b) | 3,630,000 | 3,784,275 | |
Braskem Finance Ltd.: | |||
5.375% 5/2/22 (b) | 1,560,000 | 1,604,460 | |
5.75% 4/15/21 (b) | 830,000 | 869,425 | |
6.45% 2/3/24 | 680,000 | 741,200 | |
Evolution Escrow Issuer LLC 7.5% 3/15/22 (b) | 4,150,000 | 3,724,625 | |
LSB Industries, Inc. 7.75% 8/1/19 | 1,055,000 | 1,086,650 | |
Mexichem S.A.B. de CV 4.875% 9/19/22 (b) | 725,000 | 794,513 | |
Nufarm Australia Ltd. 6.375% 10/15/19 (b) | 3,605,000 | 3,650,063 | |
OCP SA 5.625% 4/25/24 (b) | 390,000 | 429,406 | |
The Dow Chemical Co.: | |||
4.125% 11/15/21 | 10,888,000 | 11,904,678 | |
4.25% 11/15/20 | 3,653,000 | 3,963,571 | |
32,552,866 | |||
Construction Materials - 0.1% | |||
CEMEX Finance LLC: | |||
4.625% 6/15/24 | EUR | 200,000 | 232,348 |
6% 4/1/24 (b) | 3,795,000 | 4,003,725 | |
9.375% 10/12/22 (b) | 1,235,000 | 1,369,306 | |
CEMEX S.A.B. de CV: | |||
4.375% 3/5/23 (Reg. S) | EUR | 250,000 | 289,459 |
4.75% 1/11/22 (Reg. S) | EUR | 250,000 | 292,108 |
7.75% 4/16/26 (b) | 4,100,000 | 4,643,250 | |
Eagle Materials, Inc. 4.5% 8/1/26 | 2,630,000 | 2,674,439 | |
Standard Industries, Inc. 5.125% 2/15/21 (b) | 4,870,000 | 5,143,938 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 1,130,000 | 1,178,025 | |
Union Andina de Cementos SAA 5.875% 10/30/21 (b) | 635,000 | 663,258 | |
20,489,856 | |||
Containers & Packaging - 0.2% | |||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (b)(c) | 16,280,653 | 16,676,137 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
3.6525% 12/15/19 (b)(c) | 8,795,000 | 8,882,950 | |
4.067% 5/15/21 (b)(c) | 5,945,000 | 6,049,038 | |
4.625% 5/15/23 (b) | 6,305,000 | 6,415,338 | |
7% 11/15/20 (b) | 2,655,000 | 2,651,681 | |
Graphic Packaging International, Inc. 4.125% 8/15/24 | 2,855,000 | 2,883,550 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) | 3,665,000 | 3,839,088 | |
47,397,782 | |||
Metals & Mining - 0.8% | |||
Alcoa, Inc. 5.125% 10/1/24 | 9,954,000 | 10,501,470 | |
Alrosa Finance SA 7.75% 11/3/20 (b) | 700,000 | 797,125 | |
Anglo American Capital PLC: | |||
3.625% 5/14/20 (b) | 24,322,000 | 24,078,780 | |
4.875% 5/14/25 (b) | 24,100,000 | 24,160,250 | |
BHP Billiton Financial (U.S.A.) Ltd.: | |||
6.25% 10/19/75 (b)(c) | 7,018,000 | 7,667,165 | |
6.75% 10/19/75 (b)(c) | 17,432,000 | 19,874,223 | |
Compania Minera Ares SAC 7.75% 1/23/21 (b) | 1,730,000 | 1,848,938 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.875% 11/3/21 (b) | 11,456,000 | 12,121,594 | |
4.875% 11/4/44 (b) | 5,532,000 | 5,752,622 | |
EVRAZ Group SA: | |||
6.5% 4/22/20(b) | 1,630,000 | 1,665,697 | |
8.25% 1/28/21 (Reg. S) | 1,925,000 | 2,088,433 | |
9.5% 4/24/18 (Reg. S) | 1,250,000 | 1,353,250 | |
Evraz, Inc. NA Canada 7.5% 11/15/19 (b) | 3,664,000 | 3,673,160 | |
Ferrexpo Finance PLC: | |||
10.375% 4/7/19 (b) | 350,000 | 332,063 | |
10.375% 4/7/19 (b) | 2,197,000 | 2,084,404 | |
Freeport-McMoRan, Inc.: | |||
2.3% 11/14/17 | 14,626,000 | 14,370,045 | |
3.55% 3/1/22 | 7,135,000 | 6,207,450 | |
3.875% 3/15/23 | 7,715,000 | 6,615,613 | |
4.55% 11/14/24 | 3,260,000 | 2,852,500 | |
Gerdau Trade, Inc. 5.75% 1/30/21 (b) | 460,000 | 473,800 | |
Gold Fields Orogen Holding BVI Ltd.: | |||
4.875% 10/7/20 (b) | 4,080,000 | 4,059,600 | |
4.875% 10/7/20 (Reg. S) | 200,000 | 199,000 | |
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) | 1,325,000 | 1,318,375 | |
Lundin Mining Corp.: | |||
7.5% 11/1/20 (b) | 5,125,000 | 5,406,875 | |
7.875% 11/1/22 (b) | 5,615,000 | 6,008,050 | |
Metalloinvest Finance Ltd. 5.625% 4/17/20 (b) | 1,440,000 | 1,507,622 | |
Metinvest BV: | |||
8.75% 2/14/18 (Reg. S) | 660,538 | 488,930 | |
10.5% 11/28/17 (b) | 3,942,065 | 2,917,916 | |
10.5% 11/28/17 (Reg. S) | 912,795 | 675,651 | |
Nord Gold NV 6.375% 5/7/18 (b) | 575,000 | 602,709 | |
Polyus Gold International Ltd.: | |||
5.625% 4/29/20 (b) | 2,610,000 | 2,718,294 | |
5.625% 4/29/20 (Reg. S) | 200,000 | 208,298 | |
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (b) | 1,600,000 | 1,632,000 | |
Southern Copper Corp.: | |||
6.75% 4/16/40 | 410,000 | 453,988 | |
7.5% 7/27/35 | 1,560,000 | 1,836,824 | |
Steel Dynamics, Inc.: | |||
5.125% 10/1/21 | 2,205,000 | 2,293,200 | |
5.25% 4/15/23 | 3,040,000 | 3,161,600 | |
5.5% 10/1/24 | 4,070,000 | 4,293,850 | |
6.125% 8/15/19 | 2,683,000 | 2,770,198 | |
Teck Resources Ltd.: | |||
8% 6/1/21 (b) | 1,470,000 | 1,586,681 | |
8.5% 6/1/24 (b) | 1,470,000 | 1,653,750 | |
Urenco Finance NV 2.25% 8/5/22 (Reg. S) | EUR | 1,650,000 | 1,990,979 |
Vale Overseas Ltd.: | |||
4.375% 1/11/22 | 13,855,000 | 13,487,843 | |
5.875% 6/10/21 | 775,000 | 803,094 | |
6.25% 1/23/17 | 5,581,000 | 5,678,668 | |
6.875% 11/21/36 | 640,000 | 635,008 | |
Vedanta Resources PLC 6% 1/31/19 (b) | 2,190,000 | 2,047,650 | |
218,955,235 | |||
Paper & Forest Products - 0.0% | |||
Sino-Forest Corp. 6.25% 10/21/17 (b)(e) | 1,365,000 | 0 | |
TOTAL MATERIALS | 319,395,739 | ||
TELECOMMUNICATION SERVICES - 2.2% | |||
Diversified Telecommunication Services - 1.6% | |||
Altice Financing SA: | |||
6.5% 1/15/22 (b) | 6,250,000 | 6,578,125 | |
6.625% 2/15/23 (b) | 2,780,000 | 2,894,675 | |
7.5% 5/15/26 (b) | 6,230,000 | 6,557,075 | |
Altice Finco SA: | |||
7.625% 2/15/25 (b) | 3,995,000 | 4,044,938 | |
9.875% 12/15/20 (b) | 6,135,000 | 6,572,119 | |
AT&T, Inc.: | |||
2.45% 6/30/20 | 11,294,000 | 11,521,348 | |
3% 6/30/22 | 29,259,000 | 30,143,763 | |
3.4% 5/15/25 | 39,520,000 | 40,689,160 | |
3.6% 2/17/23 | 27,844,000 | 29,392,878 | |
4.75% 5/15/46 | 12,191,000 | 13,036,421 | |
4.8% 6/15/44 | 15,000,000 | 15,942,090 | |
5.875% 10/1/19 | 5,944,000 | 6,680,349 | |
6.3% 1/15/38 | 16,665,000 | 21,071,076 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 55,080 | |
CenturyLink, Inc.: | |||
5.15% 6/15/17 | 972,000 | 996,300 | |
6% 4/1/17 | 2,432,000 | 2,495,840 | |
6.15% 9/15/19 | 6,992,000 | 7,586,320 | |
Embarq Corp. 7.995% 6/1/36 | 2,467,000 | 2,557,971 | |
GTH Finance BV: | |||
6.25% 4/26/20 (b) | 1,540,000 | 1,617,000 | |
7.25% 4/26/23 (b) | 2,880,000 | 3,103,200 | |
Level 3 Financing, Inc. 5.25% 3/15/26 (b) | 4,635,000 | 4,803,019 | |
Qtel International Finance Ltd. 5% 10/19/25 (b) | 645,000 | 741,440 | |
Sable International Finance Ltd. 6.875% 8/1/22 (b) | 10,030,000 | 10,381,050 | |
SBA Communications Corp. 4.875% 9/1/24 (b) | 6,500,000 | 6,589,375 | |
SFR Group SA: | |||
6% 5/15/22 (b) | 2,550,000 | 2,606,100 | |
6.25% 5/15/24 (b) | 1,490,000 | 1,501,175 | |
7.375% 5/1/26 (b) | 2,380,000 | 2,457,350 | |
Sprint Capital Corp. 6.875% 11/15/28 | 23,565,000 | 21,208,500 | |
TDC A/S 3.5% 2/26/3015 (Reg. S) (c) | EUR | 1,550,000 | 1,668,227 |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 5,580,000 | 5,608,458 | |
6.375% 11/15/33 | 1,610,000 | 1,664,338 | |
Telecom Italia SpA: | |||
3.625% 5/25/26 (Reg. S) | EUR | 1,900,000 | 2,273,309 |
5.303% 5/30/24 (b) | 1,350,000 | 1,390,500 | |
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) | 790,000 | 819,625 | |
Verizon Communications, Inc.: | |||
2.625% 2/21/20 | 21,379,000 | 22,048,890 | |
4.5% 9/15/20 | 36,000,000 | 39,727,512 | |
5.012% 8/21/54 | 55,038,000 | 60,346,745 | |
6.25% 4/1/37 | 2,348,000 | 3,013,822 | |
Wind Acquisition Finance SA: | |||
4.75% 7/15/20 (b) | 3,205,000 | 3,245,063 | |
7.375% 4/23/21 (b) | 6,335,000 | 6,525,050 | |
412,155,276 | |||
Wireless Telecommunication Services - 0.6% | |||
America Movil S.A.B. de CV: | |||
2.375% 9/8/16 | 15,982,000 | 15,982,719 | |
3.125% 7/16/22 | 9,218,000 | 9,539,561 | |
Comcel Trust 6.875% 2/6/24 (b) | 775,000 | 806,000 | |
Digicel Group Ltd.: | |||
6% 4/15/21 (b) | 3,360,000 | 3,070,200 | |
6.75% 3/1/23 (b) | 560,000 | 511,000 | |
8.25% 9/30/20 (b) | 4,115,000 | 3,724,075 | |
MetroPCS Wireless, Inc. 6.625% 11/15/20 | 3,975,000 | 4,104,188 | |
Millicom International Cellular SA: | |||
4.75% 5/22/20 (b) | 650,000 | 657,475 | |
6% 3/15/25 (b) | 8,705,000 | 8,911,744 | |
6.625% 10/15/21 (b) | 1,975,000 | 2,079,675 | |
MTS International Funding Ltd. 8.625% 6/22/20 (b) | 755,000 | 886,491 | |
Neptune Finco Corp.: | |||
10.125% 1/15/23 (b) | 9,665,000 | 11,036,222 | |
10.875% 10/15/25 (b) | 3,075,000 | 3,605,438 | |
Sprint Communications, Inc.: | |||
7% 3/1/20 (b) | 4,585,000 | 4,917,413 | |
9% 11/15/18 (b) | 2,225,000 | 2,450,281 | |
Sprint Corp.: | |||
7.25% 9/15/21 | 7,925,000 | 7,835,844 | |
7.625% 2/15/25 | 9,855,000 | 9,356,091 | |
7.875% 9/15/23 | 15,440,000 | 15,007,526 | |
T-Mobile U.S.A., Inc.: | |||
6% 3/1/23 | 4,060,000 | 4,303,762 | |
6% 4/15/24 | 3,580,000 | 3,812,700 | |
6.375% 3/1/25 | 15,125,000 | 16,259,375 | |
6.464% 4/28/19 | 1,520,000 | 1,550,400 | |
6.5% 1/15/24 | 6,085,000 | 6,541,375 | |
6.625% 4/1/23 | 12,185,000 | 12,999,811 | |
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 480,000 | 487,776 | |
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (b) | 1,910,000 | 2,139,200 | |
Vodafone Group PLC 3% 8/12/56 (Reg. S) | GBP | 2,350,000 | 3,198,266 |
155,774,608 | |||
TOTAL TELECOMMUNICATION SERVICES | 567,929,884 | ||
UTILITIES - 2.9% | |||
Electric Utilities - 1.5% | |||
American Electric Power Co., Inc.: | |||
1.65% 12/15/17 | 5,213,000 | 5,223,702 | |
2.95% 12/15/22 | 4,935,000 | 5,145,043 | |
CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23 | 3,000,000 | 3,083,772 | |
DPL, Inc. 6.75% 10/1/19 | 2,490,000 | 2,514,900 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (b) | 29,344,000 | 33,119,663 | |
6.4% 9/15/20 (b) | 25,897,000 | 29,369,788 | |
EDF SA 4.125% (Reg. S) (c)(f) | EUR | 2,400,000 | 2,672,529 |
Edison International 3.75% 9/15/17 | 6,674,000 | 6,850,414 | |
EDP Finance BV 1.125% 2/12/24 (Reg. S) | EUR | 3,900,000 | 4,301,532 |
Eversource Energy: | |||
1.45% 5/1/18 | 3,325,000 | 3,327,836 | |
2.8% 5/1/23 | 15,104,000 | 15,478,685 | |
Exelon Corp.: | |||
1.55% 6/9/17 | 3,319,000 | 3,325,260 | |
2.85% 6/15/20 | 4,888,000 | 5,061,983 | |
FirstEnergy Corp.: | |||
2.75% 3/15/18 | 36,397,000 | 36,760,060 | |
4.25% 3/15/23 | 31,243,000 | 33,040,878 | |
7.375% 11/15/31 | 64,123,000 | 83,663,266 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 17,551,312 | |
IPALCO Enterprises, Inc. 3.45% 7/15/20 | 27,495,000 | 28,182,375 | |
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) | 600,000 | 756,750 | |
Lamar Funding Ltd. 3.958% 5/7/25 (b) | 565,000 | 549,485 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 1,450,000 | 1,555,599 | |
Monongahela Power Co. 4.1% 4/15/24 (b) | 3,982,000 | 4,382,510 | |
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 857,878 | |
NRG Yield Operating LLC 5% 9/15/26 (b) | 3,945,000 | 3,935,138 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 8,941,191 | 9,567,074 | |
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 4,114,957 | |
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 794,536 | |
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,715,788 | |
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,578,459 | |
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 13,224,804 | |
RJS Power Holdings LLC 4.625% 7/15/19 (b) | 8,575,000 | 8,060,500 | |
TECO Finance, Inc. 5.15% 3/15/20 | 3,761,000 | 4,138,736 | |
Western Power Distribution Holdings Ltd. 5.25% 1/17/23 | GBP | 1,800,000 | 2,929,984 |
Western Power Distribution Ltd. 3.625% 11/6/23 (Reg. S) | GBP | 1,650,000 | 2,417,137 |
385,252,333 | |||
Gas Utilities - 0.0% | |||
Southern Natural Gas Co. 5.9% 4/1/17 (b)(c) | 442,000 | 453,149 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,903,692 | |
4,356,841 | |||
Independent Power and Renewable Electricity Producers - 0.6% | |||
Calpine Corp. 5.25% 6/1/26 (b) | 3,765,000 | 3,821,475 | |
Dolphin Subsidiary II, Inc.: | |||
6.5% 10/15/16 | 8,326,000 | 8,346,024 | |
7.25% 10/15/21 | 77,564,000 | 78,223,294 | |
Dynegy, Inc.: | |||
6.75% 11/1/19 | 5,505,000 | 5,642,625 | |
7.375% 11/1/22 | 8,765,000 | 8,655,438 | |
7.625% 11/1/24 | 17,685,000 | 17,331,300 | |
Emera U.S. Finance LP: | |||
2.15% 6/15/19 (b) | 5,136,000 | 5,197,514 | |
2.7% 6/15/21 (b) | 5,055,000 | 5,167,191 | |
3.55% 6/15/26 (b) | 8,087,000 | 8,511,042 | |
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 1,350,000 | 1,397,399 | |
NRG Energy, Inc.: | |||
6.25% 5/1/24 | 4,290,000 | 4,257,825 | |
6.625% 1/15/27 (b) | 3,925,000 | 3,932,340 | |
PPL Energy Supply LLC 6.5% 6/1/25 | 1,180,000 | 1,011,708 | |
The AES Corp.: | |||
3.6731% 6/1/19 (c) | 1,359,000 | 1,359,000 | |
4.875% 5/15/23 | 3,775,000 | 3,822,188 | |
6% 5/15/26 | 3,855,000 | 4,091,119 | |
160,767,482 | |||
Multi-Utilities - 0.7% | |||
Berkshire Hathaway Energy Co. 2% 11/15/18 | 12,172,000 | 12,310,797 | |
Dominion Resources, Inc.: | |||
2.9311% 9/30/66 (c) | 35,229,000 | 27,830,910 | |
3.4561% 6/30/66 (c) | 10,345,000 | 9,103,600 | |
NiSource Finance Corp.: | |||
5.25% 2/15/43 | 12,739,000 | 15,500,102 | |
5.45% 9/15/20 | 11,473,000 | 12,910,498 | |
5.8% 2/1/42 | 6,336,000 | 8,147,881 | |
5.95% 6/15/41 | 11,832,000 | 15,069,425 | |
6.4% 3/15/18 | 1,228,000 | 1,313,741 | |
6.8% 1/15/19 | 6,774,000 | 7,562,128 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 15,565,000 | 17,964,500 | |
6.5% 12/15/20 | 5,125,000 | 5,956,070 | |
RWE AG 7% 10/12/72 (Reg. S) (c) | 3,650,000 | 3,767,895 | |
Sempra Energy: | |||
2.3% 4/1/17 | 14,116,000 | 14,211,636 | |
2.875% 10/1/22 | 5,760,000 | 5,951,854 | |
6% 10/15/39 | 15,009,000 | 19,516,833 | |
Wisconsin Energy Corp. 6.25% 5/15/67 (c) | 3,860,000 | 3,300,300 | |
180,418,170 | |||
Water Utilities - 0.1% | |||
Anglian Water Services Financing PLC 5.837% 7/30/22 | GBP | 1,125,000 | 1,880,834 |
Severn Trent Utilities Finance PLC 6.125% 2/26/24 | GBP | 801,000 | 1,412,917 |
Yorkshire Water Services Finance Ltd. 6% 4/24/25 (c) | GBP | 2,821,000 | 3,808,827 |
7,102,578 | |||
TOTAL UTILITIES | 737,897,404 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $10,336,593,656) | 10,857,460,574 | ||
U.S. Government and Government Agency Obligations - 21.2% | |||
U.S. Treasury Inflation-Protected Obligations - 6.3% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $230,310,000 | $239,480,310 | |
1% 2/15/46 | 143,823,046 | 160,276,185 | |
1.375% 2/15/44 | 137,016,115 | 163,582,370 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 | 167,763,429 | 168,424,283 | |
0.125% 7/15/26 | 193,171,918 | 193,436,457 | |
0.25% 1/15/25 | 76,324,500 | 76,984,774 | |
0.375% 7/15/25 | 403,205,683 | 412,217,469 | |
0.625% 1/15/26 | 202,884,000 | 211,491,749 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 1,625,893,597 | ||
U.S. Treasury Obligations - 14.9% | |||
U.S. Treasury Bonds: | |||
2.25% 8/15/46 | 114,364,000 | 114,766,104 | |
2.5% 2/15/45 (g) | 730,000 | 770,977 | |
2.5% 2/15/46 | 1,337,000 | 1,412,311 | |
3% 5/15/45 | 145,382,000 | 169,216,652 | |
3% 11/15/45 | 207,323,000 | 241,539,381 | |
4.5% 2/15/36 | 500,000 | 714,453 | |
U.S. Treasury Notes: | |||
0.625% 6/30/18 | 2,000,000 | 1,993,516 | |
0.75% 2/15/19 | 2,250,000 | 2,242,969 | |
1.125% 6/30/21 | 250,000 | 249,102 | |
1.125% 8/31/21 | 447,881,000 | 446,306,250 | |
1.25% 11/15/18 | 10,200,000 | 10,285,262 | |
1.25% 3/31/21 | 1,180,775,000 | 1,184,003,156 | |
1.375% 4/30/20 | 22,176,000 | 22,426,345 | |
1.375% 4/30/21 | 484,800,000 | 488,663,371 | |
1.375% 8/31/23 | 475,289,000 | 472,819,874 | |
1.5% 8/15/26 | 475,000 | 471,512 | |
1.625% 7/31/20 (h) | 4,593,000 | 4,683,785 | |
1.625% 2/15/26 | 2,949,000 | 2,958,216 | |
1.625% 5/15/26 | 25,750,000 | 25,824,443 | |
1.75% 12/31/20 | 600,000,000 | 614,695,200 | |
2% 8/15/25 | 5,305,000 | 5,494,611 | |
2.25% 11/15/25 | 1,800,000 | 1,903,079 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,813,440,569 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $5,312,713,635) | 5,439,334,166 | ||
U.S. Government Agency - Mortgage Securities - 17.2% | |||
Fannie Mae - 9.9% | |||
2.25% 10/1/34 (c) | 1,351 | 1,389 | |
2.272% 7/1/35 (c) | 18,033 | 18,675 | |
2.276% 2/1/33 (c) | 1,076 | 1,110 | |
2.291% 10/1/33 (c) | 403,116 | 420,936 | |
2.298% 3/1/35 (c) | 22,442 | 23,204 | |
2.315% 9/1/36 (c) | 75,608 | 78,977 | |
2.32% 12/1/34 (c) | 52,760 | 54,523 | |
2.329% 1/1/35 (c) | 251,309 | 259,601 | |
2.35% 10/1/33 (c) | 2,020 | 2,083 | |
2.361% 9/1/36 (c) | 70,441 | 73,751 | |
2.38% 1/1/35 (c) | 2,963 | 3,061 | |
2.413% 10/1/33 (c) | 16,241 | 16,801 | |
2.424% 1/1/35 (c) | 176,483 | 183,677 | |
2.5% 5/1/27 to 8/1/43 | 85,410,860 | 88,062,261 | |
2.5% 9/1/31 (i) | 52,500,000 | 54,231,182 | |
2.533% 5/1/35 (c) | 188,014 | 197,161 | |
2.54% 6/1/42 (c) | 252,508 | 262,874 | |
2.557% 10/1/33 (c) | 89,399 | 94,578 | |
2.57% 4/1/37 (c) | 94,083 | 97,922 | |
2.573% 3/1/33 (c) | 87,562 | 91,452 | |
2.574% 7/1/34 (c) | 31,072 | 32,310 | |
2.615% 12/1/34 (c) | 8,357 | 8,710 | |
2.627% 3/1/40 (c) | 366,511 | 386,452 | |
2.627% 6/1/47 (c) | 93,567 | 98,623 | |
2.662% 7/1/35 (c) | 96,130 | 100,951 | |
2.662% 2/1/36 (c) | 379,408 | 399,674 | |
2.672% 6/1/36 (c) | 285,932 | 302,791 | |
2.685% 12/1/39 (c) | 189,798 | 200,670 | |
2.69% 3/1/37 (c) | 25,716 | 26,908 | |
2.693% 2/1/42 (c) | 1,580,633 | 1,650,574 | |
2.695% 12/1/35 (c) | 234,840 | 247,726 | |
2.751% 1/1/42 (c) | 1,683,991 | 1,755,825 | |
2.801% 11/1/36 (c) | 74,578 | 78,359 | |
2.803% 6/1/36 (c) | 141,365 | 147,641 | |
2.817% 5/1/36 (c) | 173,667 | 183,214 | |
2.833% 3/1/35 (c) | 58,416 | 61,735 | |
2.835% 9/1/35 (c) | 66,545 | 69,878 | |
2.837% 7/1/34 (c) | 195,963 | 207,806 | |
2.951% 11/1/40 (c) | 141,647 | 149,376 | |
2.98% 9/1/41 (c) | 169,148 | 176,922 | |
2.991% 10/1/41 (c) | 79,813 | 83,594 | |
3% 12/1/26 to 7/1/46 | 323,376,163 | 338,092,227 | |
3% 9/1/31 (i) | 13,800,000 | 14,447,502 | |
3% 9/1/46 (i) | 5,000,000 | 5,184,766 | |
3% 9/1/46 (i) | 4,450,000 | 4,614,441 | |
3% 9/1/46 (i) | 34,700,000 | 35,982,273 | |
3% 9/1/46 (i) | 29,600,000 | 30,693,812 | |
3% 9/1/46 (i) | 80,500,000 | 83,474,725 | |
3% 9/1/46 (i) | 4,000,000 | 4,147,812 | |
3% 10/1/46 (i) | 5,000,000 | 5,174,610 | |
3% 10/1/46 (i) | 34,700,000 | 35,911,790 | |
3% 10/1/46 (i) | 4,000,000 | 4,139,688 | |
3% 10/1/46 (i) | 80,500,000 | 83,311,213 | |
3% 10/1/46 (i) | 4,450,000 | 4,605,402 | |
3% 10/1/46 (i) | 25,400,000 | 26,287,016 | |
3.005% 7/1/37 (c) | 161,589 | 171,767 | |
3.007% 5/1/36 (c) | 120,709 | 127,297 | |
3.022% 8/1/41 (c) | 870,121 | 904,867 | |
3.229% 7/1/41 (c) | 249,844 | 262,912 | |
3.352% 10/1/41 (c) | 133,574 | 140,733 | |
3.36% 9/1/41 (c) | 290,359 | 308,936 | |
3.466% 12/1/40 (c) | 12,061,207 | 12,657,965 | |
3.5% 3/1/25 to 5/1/46 | 541,645,070 | 574,917,400 | |
3.5% 9/1/46 (i) | 9,200,000 | 9,692,349 | |
3.557% 7/1/41 (c) | 321,163 | 337,745 | |
4% 9/1/24 to 4/1/46 | 399,005,682 | 430,324,579 | |
4% 9/1/46 (i) | 100,000,000 | 107,101,560 | |
4% 9/1/46 (i) | 118,100,000 | 126,486,942 | |
4.5% 2/1/33 to 4/1/45 | 179,209,539 | 197,211,841 | |
5% 3/1/18 to 3/1/45 | 168,333,879 | 188,693,474 | |
5.203% 7/1/37 (c) | 38,701 | 40,839 | |
5.255% 8/1/41 | 2,700,499 | 3,009,009 | |
5.5% 12/1/17 to 3/1/41 | 32,331,653 | 36,605,854 | |
6% 2/1/17 to 1/1/42 | 15,663,727 | 18,008,011 | |
6.5% 9/1/16 to 4/1/37 | 6,807,611 | 7,891,720 | |
7% 9/1/21 to 7/1/37 | 1,450,826 | 1,696,912 | |
7.5% 6/1/25 to 2/1/32 | 628,782 | 742,186 | |
8% 12/1/17 to 3/1/37 | 14,025 | 17,164 | |
8.5% 1/1/17 to 7/1/22 | 1,456 | 1,658 | |
9.5% 6/1/18 to 9/1/21 | 11,496 | 12,190 | |
TOTAL FANNIE MAE | 2,543,978,144 | ||
Freddie Mac - 4.3% | |||
2% 8/1/37 (c) | 35,106 | 35,750 | |
2.171% 1/1/36 (c) | 81,149 | 83,959 | |
2.2% 3/1/37 (c) | 17,008 | 17,596 | |
2.231% 3/1/36 (c) | 155,554 | 161,245 | |
2.32% 3/1/35 (c) | 68,475 | 70,531 | |
2.366% 11/1/35 (c) | 148,343 | 154,613 | |
2.47% 3/1/36 (c) | 171,067 | 178,078 | |
2.493% 12/1/35 (c) | 178,576 | 185,209 | |
2.5% 7/1/31 | 7,281,086 | 7,542,510 | |
2.55% 6/1/37 (c) | 29,113 | 30,286 | |
2.555% 2/1/37 (c) | 176,462 | 183,229 | |
2.582% 5/1/37 (c) | 51,252 | 53,442 | |
2.599% 6/1/33 (c) | 206,071 | 215,776 | |
2.625% 5/1/37 (c) | 34,654 | 36,689 | |
2.66% 8/1/37 (c) | 77,820 | 81,165 | |
2.668% 4/1/37 (c) | 49,275 | 51,906 | |
2.82% 10/1/36 (c) | 306,406 | 320,649 | |
2.823% 10/1/42 (c) | 1,828,552 | 1,932,408 | |
2.827% 3/1/35 (c) | 974,046 | 1,035,180 | |
2.856% 10/1/35 (c) | 123,567 | 129,413 | |
2.885% 6/1/37 (c) | 24,562 | 25,826 | |
2.887% 6/1/33 (c) | 586,051 | 618,969 | |
2.915% 6/1/37 (c) | 226,671 | 238,934 | |
2.916% 3/1/33 (c) | 2,058 | 2,170 | |
2.949% 6/1/37 (c) | 49,512 | 52,030 | |
2.989% 4/1/36 (c) | 184,746 | 194,485 | |
3% 10/1/28 to 6/1/46 | 148,599,154 | 155,541,287 | |
3% 9/1/46 (i) | 100,850,000 | 104,582,206 | |
3.068% 9/1/41 (c) | 1,536,243 | 1,607,257 | |
3.075% 12/1/36 (c) | 304,639 | 324,552 | |
3.17% 6/1/36 (c) | 48,877 | 50,797 | |
3.193% 9/1/41 (c) | 184,919 | 194,006 | |
3.22% 4/1/37 (c) | 8,560 | 9,100 | |
3.231% 4/1/41 (c) | 186,993 | 195,235 | |
3.286% 6/1/41 (c) | 196,190 | 206,555 | |
3.295% 7/1/36 (c) | 72,100 | 76,813 | |
3.309% 7/1/41 (c) | 963,539 | 1,012,006 | |
3.417% 5/1/41 (c) | 149,980 | 157,148 | |
3.435% 12/1/40 (c) | 5,908,124 | 6,182,843 | |
3.5% 3/1/32 to 5/1/46 (g)(j) | 448,463,999 | 476,351,906 | |
3.5% 9/1/46 (i) | 1,050,000 | 1,105,371 | |
3.581% 10/1/35 (c) | 135,362 | 144,210 | |
3.627% 6/1/41 (c) | 278,209 | 292,803 | |
3.704% 5/1/41 (c) | 249,161 | 262,452 | |
4% 7/1/31 to 4/1/46 | 242,570,753 | 261,264,629 | |
4.5% 6/1/25 to 1/1/45 | 27,049,526 | 29,781,774 | |
5% 6/1/20 to 7/1/41 | 28,116,572 | 31,685,684 | |
5.125% 4/1/38 (c) | 195,836 | 207,623 | |
5.5% 10/1/17 to 3/1/41 | 12,205,024 | 13,738,818 | |
6% 9/1/16 to 12/1/37 | 3,126,514 | 3,575,389 | |
6.5% 9/1/16 to 9/1/39 | 4,339,091 | 4,999,476 | |
7% 6/1/21 to 9/1/36 | 1,362,089 | 1,603,888 | |
7.5% 1/1/27 to 6/1/32 | 24,777 | 29,484 | |
8% 1/1/17 to 1/1/37 | 46,082 | 55,791 | |
8.5% 9/1/19 to 1/1/28 | 41,761 | 49,228 | |
9% 5/1/17 to 10/1/20 | 57 | 61 | |
9.5% 5/1/21 to 7/1/21 | 256 | 279 | |
10% 11/15/18 to 11/1/20 | 94 | 102 | |
11% 7/1/19 to 9/1/20 | 29 | 32 | |
TOTAL FREDDIE MAC | 1,108,920,853 | ||
Ginnie Mae - 3.0% | |||
3% 6/15/42 to 4/15/45 | 59,295,063 | 62,343,209 | |
3% 9/1/46 (i) | 16,600,000 | 17,380,718 | |
3% 9/1/46 (i) | 22,430,000 | 23,484,910 | |
3% 9/1/46 (i) | 8,300,000 | 8,690,359 | |
3% 9/1/46 (i) | 12,200,000 | 12,773,781 | |
3.5% 11/15/40 to 6/20/46 (j) | 319,543,382 | 341,555,504 | |
3.5% 9/1/46 (i) | 55,900,000 | 59,310,772 | |
4% 5/20/33 to 7/20/45 | 108,472,903 | 117,171,657 | |
4.5% 6/20/33 to 8/15/41 | 70,956,104 | 78,167,255 | |
5% 12/15/32 to 9/15/41 | 29,580,254 | 33,359,672 | |
5.5% 4/15/29 to 9/15/39 | 4,918,243 | 5,650,241 | |
6% 10/15/30 to 11/15/39 | 716,845 | 825,030 | |
6.5% 3/20/31 to 11/15/37 | 391,031 | 456,830 | |
7% 10/15/22 to 3/15/33 | 1,299,711 | 1,547,936 | |
7.5% 1/15/17 to 9/15/31 | 592,082 | 691,119 | |
8% 4/15/17 to 11/15/29 | 196,694 | 228,348 | |
8.5% 10/15/21 to 1/15/31 | 36,750 | 44,280 | |
9% 8/15/19 to 1/15/23 | 1,441 | 1,574 | |
9.5% 12/15/20 to 2/15/25 | 575 | 632 | |
10.5% 10/20/17 to 1/20/18 | 785 | 810 | |
11% 9/20/19 | 613 | 677 | |
TOTAL GINNIE MAE | 763,685,314 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $4,364,789,176) | 4,416,584,311 | ||
Asset-Backed Securities - 0.5% | |||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1929% 4/25/35 (c) | $664,344 | $619,515 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.1744% 3/25/34 (c) | 247,488 | 237,846 | |
Airspeed Ltd. Series 2007-1A Class C1, 3.0077% 6/15/32 (b)(c) | 3,192,797 | 846,091 | |
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (b) | 7,351,123 | 7,382,568 | |
American Homes 4 Rent: | |||
Series 2014-SFR1 Class E, 2.9821% 6/17/31 (b)(c) | 1,265,000 | 1,239,585 | |
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) | 147,000 | 161,038 | |
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) | 428,000 | 474,881 | |
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) | 599,438 | 631,808 | |
Series 2015-SFR2: | |||
Class E, 6.07% 10/17/45 (b) | 981,000 | 1,065,623 | |
Class XS, 0% 10/17/45 (b)(c)(k) | 694,019 | 7 | |
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | |||
Series 2003-10 Class M1, 1.5379% 12/25/33 (c) | 42,361 | 38,876 | |
Series 2004-R2 Class M3, 1.3129% 4/25/34 (c) | 89,819 | 68,231 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2003-W7 Class A2, 1.2679% 3/25/34 (c) | 47,932 | 43,437 | |
Series 2004-W11 Class M2, 1.5744% 11/25/34 (c) | 561,149 | 543,219 | |
Series 2004-W7 Class M1, 1.3129% 5/25/34 (c) | 1,407,905 | 1,295,263 | |
Series 2006-W4 Class A2C, 0.6844% 5/25/36 (c) | 1,127,804 | 385,008 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2004-HE2 Class M1, 1.3494% 4/25/34 (c) | 1,558,236 | 1,348,261 | |
Series 2006-HE2 Class M1, 0.8944% 3/25/36 (c) | 17,649 | 3,464 | |
Avis Budget Rental Car Funding (AESOP) LLC Series 2012-2A Class A, 2.802% 5/20/18 (b) | 8,445,000 | 8,498,008 | |
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.6644% 12/25/36 (c) | 1,802,588 | 1,034,365 | |
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (b) | 3,908,480 | 3,908,971 | |
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (b) | 5,979,085 | 5,975,163 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 5.7744% 3/25/32 (c) | 3,192 | 3,134 | |
Series 2004-3 Class M4, 1.9794% 4/25/34 (c) | 59,541 | 52,840 | |
Series 2004-4 Class M2, 1.3194% 6/25/34 (c) | 90,341 | 84,242 | |
Series 2004-7 Class AF5, 5.868% 1/25/35 (c) | 2,226,080 | 2,290,706 | |
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 247,030 | 255,945 | |
Fannie Mae Series 2004-T5 Class AB3, 1.1662% 5/28/35 (c) | 38,916 | 33,941 | |
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6994% 8/25/34 (c) | 285,560 | 269,415 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.3494% 3/25/34 (c) | 9,379 | 7,922 | |
Flagship Credit Auto Trust Series 2015-3 Class A, 2.34% 10/15/20 (b) | 7,309,186 | 7,338,438 | |
Fremont Home Loan Trust Series 2005-A: | |||
Class M3, 1.2594% 1/25/35 (c) | 948,695 | 814,377 | |
Class M4, 1.5444% 1/25/35 (c) | 347,133 | 185,677 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.2054% 2/25/47 (b)(c) | 1,033,051 | 858,235 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 0.6877% 11/15/34 (b)(c) | 635,038 | 588,463 | |
Class B, 0.7877% 11/15/34 (b)(c) | 229,395 | 204,563 | |
Class C, 0.8877% 11/15/34 (b)(c) | 381,245 | 334,583 | |
Class D, 1.2577% 11/15/34 (b)(c) | 144,771 | 124,155 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b) | 79,112 | 1,743 | |
Home Equity Asset Trust: | |||
Series 2003-2 Class M1, 1.8444% 8/25/33 (c) | 247,952 | 230,931 | |
Series 2003-3 Class M1, 1.8144% 8/25/33 (c) | 406,129 | 380,786 | |
Series 2003-5 Class A2, 1.2244% 12/25/33 (c) | 32,929 | 30,214 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7144% 1/25/37 (c) | 1,522,035 | 1,066,329 | |
Invitation Homes Trust: | |||
Series 2013-SFR1 Class F, 4.137% 12/17/30 (b)(c) | 590,000 | 582,157 | |
Series 2014-SFR1 Class F, 4.2321% 6/17/31 (b)(c) | 557,000 | 548,252 | |
Series 2014-SFR3 Class E, 4.9821% 12/17/31 (b)(c) | 206,000 | 208,854 | |
Series 2014-SRF2 Class F, 4.4821% 9/17/31 (b)(c) | 335,000 | 331,650 | |
Series 2015-SFR2 Class E, 3.6279% 6/17/32 (b)(c) | 485,000 | 482,409 | |
Series 2015-SFR3 Class E, 4.2321% 8/17/32 (b)(c) | 5,116,000 | 5,134,708 | |
Series 2015-SRF1 Class E, 4.6461% 3/17/32 (b)(c) | 624,000 | 630,150 | |
JPMorgan Mortgage Acquisition Trust: | |||
Series 2006-NC2 Class M2, 0.7879% 7/25/36 (c) | 162,414 | 75,283 | |
Series 2007-CH1 Class AF3, 5.532% 11/25/36 | 5,734,312 | 5,760,448 | |
KeyCorp Student Loan Trust: | |||
Series 1999-A Class A2, 0.9601% 12/27/29 (c) | 33,651 | 33,526 | |
Series 2006-A Class 2C, 1.7901% 3/27/42 (c) | 3,243,000 | 1,600,329 | |
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.6844% 11/25/36 (c) | 4,382,811 | 1,894,998 | |
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.8244% 5/25/37 (c) | 270,977 | 6,522 | |
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.2744% 7/25/34 (c) | 100,913 | 83,624 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-OPT1 Class M1, 1.4994% 7/25/34 (c) | 179,908 | 169,645�� | |
Series 2006-FF1 Class M2, 0.8144% 8/25/36 (c) | 13,300,000 | 12,901,092 | |
Series 2006-FM1 Class A2B, 0.5979% 4/25/37 (c) | 37,285 | 32,181 | |
Series 2006-OPT1 Class A1A, 1.0444% 6/25/35 (c) | 1,366,755 | 1,315,578 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2004-HE6 Class A2, 1.2044% 8/25/34 (c) | 57,368 | 49,115 | |
Series 2004-NC6 Class M3, 2.6994% 7/25/34 (c) | 14,622 | 14,202 | |
Series 2004-NC8 Class M6, 2.3994% 9/25/34 (c) | 16,509 | 15,365 | |
Series 2005-NC1 Class M1, 1.1844% 1/25/35 (c) | 204,193 | 183,132 | |
Series 2005-NC2 Class B1, 2.2794% 3/25/35 (c) | 155,719 | 3,595 | |
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (b) | 12,578,874 | 12,630,297 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.0344% 9/25/35 (c) | 1,426,957 | 1,342,833 | |
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (b) | 2,660,201 | 2,662,862 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M3, 2.3994% 9/25/34 (c) | 532,896 | 486,807 | |
Class M4, 2.6994% 9/25/34 (c) | 683,353 | 424,454 | |
Series 2005-WCH1 Class M4, 1.7694% 1/25/36 (c) | 1,475,804 | 1,314,089 | |
Progress Residential Trust Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) | 168,000 | 173,266 | |
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.4744% 9/25/46 (b)(c) | 250,000 | 58,186 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3244% 4/25/33 (c) | 5,108 | 4,307 | |
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2829% 3/25/35 (c) | 640,560 | 594,812 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.6025% 6/15/33 (c) | 432,173 | 409,169 | |
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (b) | 16,358,728 | 16,372,247 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.2494% 9/25/34 (c) | 37,706 | 32,782 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.3844% 9/25/34 (c) | 28,819 | 25,661 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1901% 4/6/42 (b)(c) | 2,577,358 | 1,134,037 | |
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (b) | 5,259,712 | 5,271,370 | |
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: | |||
Class A1, 0.9739% 11/21/40 (b)(c) | 58,508 | 57,922 | |
Class D, 1.5039% 11/21/40 (b)(c) | 305,000 | 255,745 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $120,372,006) | 126,265,528 | ||
Collateralized Mortgage Obligations - 2.0% | |||
Private Sponsor - 0.5% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.6279% 6/27/36 (b)(c) | 14,850,432 | 14,324,102 | |
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 2.9241% 12/26/35 (b)(c) | 3,070,646 | 3,069,386 | |
BCAP LLC Trust sequential payer: | |||
Series 2012-RR5 Class 8A5, 0.6481% 7/26/36 (b)(c) | 2,367,299 | 2,249,411 | |
Series 2013-RR4 Class 2A1, 3.1328% 5/26/47 (b)(c) | 6,722,713 | 6,680,185 | |
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.0844% 1/25/35 (c) | 833,540 | 805,166 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) | 10,031,451 | 9,927,640 | |
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.4142% 10/26/37 (b)(c) | 463,655 | 454,958 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 0.7326% 5/27/37 (b)(c) | 10,831,510 | 10,033,993 | |
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (b) | 6,852,136 | 6,753,614 | |
Series 2014-3R Class 2A1, 1.1879% 5/27/37 (b)(c) | 1,380,947 | 1,298,327 | |
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.7843% 10/25/34 (c) | 426,120 | 422,695 | |
FREMF Mortgage Trust: | |||
Series 2010-K6 Class B, 5.3579% 12/25/46 (b)(c) | 910,000 | 986,285 | |
Series 2010-K7 Class B, 5.4408% 4/25/20 (b)(c) | 1,000,000 | 1,105,375 | |
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.5085% 3/25/37 (c) | 763,603 | 741,392 | |
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.9609% 8/25/36 (c) | 1,006,123 | 904,821 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6944% 2/25/37 (c) | 2,698,314 | 2,487,983 | |
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (b) | 32,597 | 32,763 | |
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (b) | 10,267,145 | 10,267,145 | |
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 2.9036% 3/26/37 (b)(c) | 5,064,087 | 4,994,391 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8144% 7/25/35 (c) | 723,425 | 699,038 | |
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | |||
Class B5, 2.8243% 6/10/35 (b)(c) | 292,948 | 240,295 | |
Class B6, 3.3243% 6/10/35 (b)(c) | 65,317 | 48,735 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.8046% 7/20/34 (c) | 21,400 | 20,938 | |
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.28% 4/25/33 (c) | 56,154 | 55,371 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.1644% 9/25/43 (c) | 10,215,412 | 9,826,331 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2004-BB Class A2, 2.8508% 1/25/35 (c) | 2,383,444 | 2,416,691 | |
Series 2005-AR10 Class 2A15, 2.9022% 6/25/35 (c) | 12,322,275 | 12,661,848 | |
Series 2005-AR2: | |||
Class 1A2, 2.8637% 3/25/35 (c) | 1,531,131 | 1,412,660 | |
Class 3A1, 2.8409% 3/25/35 (c) | 21,365,338 | 21,489,334 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 2.921% 6/27/36 (b)(c) | 2,398,220 | 2,351,335 | |
TOTAL PRIVATE SPONSOR | 128,762,208 | ||
U.S. Government Agency - 1.5% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1.3244% 2/25/32 (c) | 28,129 | 28,391 | |
Series 2002-39 Class FD, 1.5074% 3/18/32 (c) | 46,273 | 47,010 | |
Series 2002-60 Class FV, 1.5244% 4/25/32 (c) | 59,920 | 60,930 | |
Series 2002-63 Class FN, 1.5244% 10/25/32 (c) | 77,963 | 79,235 | |
Series 2002-7 Class FC, 1.2744% 1/25/32 (c) | 29,405 | 29,962 | |
Series 2002-94 Class FB, 0.9244% 1/25/18 (c) | 19,888 | 19,913 | |
Series 2003-118 Class S, 7.5756% 12/25/33 (c)(k)(l) | 926,742 | 243,874 | |
Series 2006-104 Class GI, 6.1556% 11/25/36 (c)(k)(l) | 690,327 | 143,734 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 42,988 | 46,603 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 522,530 | 579,160 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 166,787 | 185,167 | |
Series 1999-17 Class PG, 6% 4/25/29 | 451,683 | 491,848 | |
Series 1999-32 Class PL, 6% 7/25/29 | 404,493 | 441,273 | |
Series 1999-33 Class PK, 6% 7/25/29 | 270,368 | 295,603 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 31,875 | 37,239 | |
Series 2002-9 Class PC, 6% 3/25/17 | 4,092 | 4,131 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 299,662 | 322,925 | |
Series 2004-21 Class QE, 4.5% 11/25/32 | 30,166 | 30,489 | |
Series 2005-102 Class CO, 11/25/35 (m) | 240,410 | 215,367 | |
Series 2005-73 Class SA, 16.1866% 8/25/35 (c)(l) | 90,321 | 117,218 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 427,876 | 493,278 | |
Series 2006-12 Class BO, 10/25/35 (m) | 1,063,397 | 1,009,318 | |
Series 2006-37 Class OW, 5/25/36 (m) | 112,046 | 103,825 | |
Series 2006-45 Class OP, 6/25/36 (m) | 320,469 | 291,454 | |
Series 2006-62 Class KP, 4/25/36 (m) | 480,266 | 451,070 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 87,846 | 102,940 | |
Series 1999-25 Class Z, 6% 6/25/29 | 346,325 | 392,720 | |
Series 2001-20 Class Z, 6% 5/25/31 | 470,590 | 527,642 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 246,346 | 284,556 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 130,093 | 151,337 | |
Series 2002-74 Class SV, 7.0256% 11/25/32 (c)(k) | 594,161 | 115,287 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (k) | 3,193,551 | 403,719 | |
Series 06-116 Class SG, 6.1156% 12/25/36 (c)(k)(l) | 455,579 | 101,184 | |
Series 07-40 Class SE, 5.9156% 5/25/37 (c)(k)(l) | 277,533 | 57,600 | |
Series 1993-165 Class SH, 18.3166% 9/25/23 (c)(l) | 21,030 | 28,120 | |
Series 2003-21 Class SK, 7.5756% 3/25/33 (c)(k)(l) | 72,759 | 13,602 | |
Series 2003-35 Class TQ, 6.9756% 5/25/18 (c)(k)(l) | 21,556 | 904 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 3,055,287 | 3,433,790 | |
Series 2007-57 Class SA, 37.4737% 6/25/37 (c)(l) | 224,250 | 470,310 | |
Series 2007-66: | |||
Class SA, 36.4537% 7/25/37 (c)(l) | 332,894 | 676,565 | |
Class SB, 36.4537% 7/25/37 (c)(l) | 145,072 | 287,017 | |
Series 2007-75 Class JI, 6.0206% 8/25/37 (c)(k) | 10,221,304 | 2,009,374 | |
Series 2008-12 Class SG, 5.8256% 3/25/38 (c)(k)(l) | 1,886,475 | 358,147 | |
Series 2009-114 Class AI, 5% 12/25/23 (k) | 174,373 | 3,484 | |
Series 2009-16 Class SA, 5.7256% 3/25/24 (c)(k)(l) | 36,113 | 514 | |
Series 2009-76 Class MI, 5.5% 9/25/24 (k) | 91,475 | 2,709 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (k) | 160,132 | 10,543 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (k) | 240,204 | 15,110 | |
Series 2010-112 Class SG, 5.8356% 6/25/21 (c)(k)(l) | 184,396 | 9,832 | |
Series 2010-12 Class AI, 5% 12/25/18 (k) | 455,697 | 13,940 | |
Series 2010-135 Class LS, 5.5256% 12/25/40 (c)(k)(l) | 1,739,682 | 287,881 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (k) | 1,686,674 | 212,286 | |
Series 2010-17 Class DI, 4.5% 6/25/21 (k) | 143,510 | 6,574 | |
Series 2010-23: | |||
Class AI, 5% 12/25/18 (k) | 175,302 | 5,304 | |
Class HI, 4.5% 10/25/18 (k) | 143,426 | 4,403 | |
Series 2010-29 Class LI, 4.5% 6/25/19 (k) | 416,805 | 11,726 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (k) | 544,745 | 30,055 | |
Series 2011-110 Class SA, 6.0856% 4/25/41 (c)(k) | 5,170,645 | 734,847 | |
Series 2011-123 Class SD, 7.1244% 8/25/39 (c)(k) | 4,404,227 | 568,694 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 1,162,671 | 1,333,060 | |
Series 2011-67 Class AI, 4% 7/25/26 (k) | 509,791 | 53,333 | |
Series 2011-83 Class DI, 6% 9/25/26 (k) | 778,715 | 92,945 | |
Series 2012-100 Class WI, 3% 9/25/27 (k) | 7,472,213 | 659,876 | |
Series 2012-14 Class JS, 6.1256% 12/25/30 (c)(k) | 2,694,787 | 371,054 | |
Series 2013-133 Class IB, 3% 4/25/32 (k) | 4,787,041 | 363,541 | |
Series 2013-51 Class GI, 3% 10/25/32 (k) | 6,613,663 | 708,156 | |
Series 2013-N1 Class A, 6.1956% 6/25/35 (c)(k)(l) | 1,427,133 | 301,450 | |
Series 2014-68 Class ID, 3.5% 3/25/34 (k) | 3,566,464 | 384,995 | |
Series 2015-42 Class LS, 5.6756% 6/25/45 (c)(k)(l) | 18,090,249 | 3,325,545 | |
Series 2015-70 Class JC, 3% 10/25/45 | 9,683,572 | 10,118,056 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339: | |||
Class 29, 5.5% 8/25/18 (k) | 59,625 | 1,747 | |
Class 5, 5.5% 7/25/33 (k) | 254,409 | 55,949 | |
Series 343 Class 16, 5.5% 5/25/34 (k) | 212,994 | 31,978 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(k) | 157,258 | 31,346 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (c)(k) | 104,855 | 18,158 | |
Class 13, 6% 3/25/34 (k) | 136,397 | 27,113 | |
Series 359 Class 19, 6% 7/25/35 (c)(k) | 94,489 | 14,995 | |
Series 384 Class 6, 5% 7/25/37 (k) | 1,190,042 | 228,744 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1.3077% 1/15/32 (c) | 23,229 | 23,439 | |
Series 2423 Class FA, 1.4077% 3/15/32 (c) | 31,032 | 31,438 | |
Series 2424 Class FM, 1.5077% 3/15/32 (c) | 34,078 | 34,649 | |
Series 2432: | |||
Class FE, 1.4077% 6/15/31 (c) | 56,022 | 56,781 | |
Class FG, 1.4077% 3/15/32 (c) | 18,160 | 18,394 | |
floater target amortization class Series 3366 Class FD, 0.7577% 5/15/37 (c) | 1,283,225 | 1,275,595 | |
planned amortization class: | |||
Series 2006-15 Class OP, 3/25/36 (m) | 912,218 | 829,653 | |
Series 2095 Class PE, 6% 11/15/28 | 486,958 | 533,012 | |
Series 2101 Class PD, 6% 11/15/28 | 45,740 | 49,827 | |
Series 2121 Class MG, 6% 2/15/29 | 198,297 | 216,328 | |
Series 2131 Class BG, 6% 3/15/29 | 1,364,247 | 1,491,499 | |
Series 2137 Class PG, 6% 3/15/29 | 215,545 | 241,809 | |
Series 2154 Class PT, 6% 5/15/29 | 354,815 | 386,743 | |
Series 2162 Class PH, 6% 6/15/29 | 82,943 | 92,570 | |
Series 2425 Class JH, 6% 3/15/17 | 8,183 | 8,267 | |
Series 2520 Class BE, 6% 11/15/32 | 444,049 | 485,843 | |
Series 2585 Class KS, 7.0924% 3/15/23 (c)(k)(l) | 29,018 | 3,318 | |
Series 2693 Class MD, 5.5% 10/15/33 | 5,243,942 | 5,913,819 | |
Series 2802 Class OB, 6% 5/15/34 | 858,304 | 959,823 | |
Series 2937 Class KC, 4.5% 2/15/20 | 880,889 | 908,482 | |
Series 2962 Class BE, 4.5% 4/15/20 | 949,649 | 987,321 | |
Series 3002 Class NE, 5% 7/15/35 | 1,244,365 | 1,365,138 | |
Series 3110 Class OP, 9/15/35 (m) | 599,399 | 567,323 | |
Series 3119 Class PO, 2/15/36 (m) | 1,029,524 | 948,071 | |
Series 3121 Class KO, 3/15/36 (m) | 195,183 | 177,938 | |
Series 3123 Class LO, 3/15/36 (m) | 584,642 | 537,551 | |
Series 3145 Class GO, 4/15/36 (m) | 562,284 | 540,425 | |
Series 3189 Class PD, 6% 7/15/36 | 1,276,701 | 1,449,911 | |
Series 3225 Class EO, 10/15/36 (m) | 338,670 | 308,290 | |
Series 3258 Class PM, 5.5% 12/15/36 | 563,977 | 631,760 | |
Series 3415 Class PC, 5% 12/15/37 | 469,889 | 511,964 | |
Series 3786 Class HI, 4% 3/15/38 (k) | 1,541,110 | 147,448 | |
Series 3806 Class UP, 4.5% 2/15/41 | 3,094,779 | 3,321,728 | |
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,713,366 | |
sequential payer: | |||
Series 2135 Class JE, 6% 3/15/29 | 97,293 | 106,068 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 111,729 | 128,891 | |
Series 2281 Class ZB, 6% 3/15/30 | 273,065 | 296,664 | |
Series 2303 Class ZV, 6% 4/15/31 | 117,731 | 128,928 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 828,867 | 968,049 | |
Series 2502 Class ZC, 6% 9/15/32 | 238,709 | 262,664 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 400,712 | 433,642 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 186,080 | 197,427 | |
Series 2601 Class TB, 5.5% 4/15/23 | 88,976 | 96,666 | |
Series 2998 Class LY, 5.5% 7/15/25 | 251,436 | 273,843 | |
Series 06-3115 Class SM, 6.0924% 2/15/36 (c)(k)(l) | 390,794 | 86,285 | |
Series 2013-4281 Class AI, 4% 12/15/28 (k) | 5,430,104 | 554,650 | |
Series 2844: | |||
Class SC, 43.5003% 8/15/24 (c)(l) | 11,632 | 19,365 | |
Class SD, 79.8505% 8/15/24 (c)(l) | 17,112 | 37,741 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 4,262,342 | 4,852,324 | |
Series 2947 Class XZ, 6% 3/15/35 | 1,420,161 | 1,610,799 | |
Series 3055 Class CS, 6.0824% 10/15/35 (c)(k) | 544,544 | 97,965 | |
Series 3237 Class C, 5.5% 11/15/36 | 3,913,307 | 4,547,580 | |
Series 3244 Class SG, 6.1524% 11/15/36 (c)(k)(l) | 1,291,015 | 263,559 | |
Series 3284 Class CI, 5.6124% 3/15/37 (c)(k) | 2,977,421 | 597,590 | |
Series 3287 Class SD, 6.2424% 3/15/37 (c)(k)(l) | 1,971,886 | 449,425 | |
Series 3297 Class BI, 6.2524% 4/15/37 (c)(k)(l) | 2,858,081 | 657,595 | |
Series 3336 Class LI, 6.0724% 6/15/37 (c)(k) | 1,004,637 | 146,810 | |
Series 3772 Class BI, 4.5% 10/15/18 (k) | 497,270 | 17,206 | |
Series 3949 Class MK, 4.5% 10/15/34 | 891,206 | 962,523 | |
Series 3955 Class YI, 3% 11/15/21 (k) | 2,883,823 | 147,236 | |
Series 4055 Class BI, 3.5% 5/15/31 (k) | 4,483,428 | 388,120 | |
Series 4149 Class IO, 3% 1/15/33 (k) | 2,896,343 | 382,654 | |
Series 4314 Class AI, 5% 3/15/34 (k) | 1,745,763 | 239,749 | |
Series 4427 Class LI, 3.5% 2/15/34 (k) | 8,077,554 | 760,031 | |
Series 4471 Class PA 4% 12/15/40 | 12,211,078 | 12,930,023 | |
Series 4476 Class IA, 3.5% 1/15/32 (k) | 8,692,454 | 614,835 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 278,512 | 306,233 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1.4077% 2/15/24 (c) | 112,041 | 113,132 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 188,690 | 210,625 | |
Series 2056 Class Z, 6% 5/15/28 | 378,457 | 412,999 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 9,330,389 | 10,199,054 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.1834% 6/16/37 (c)(k)(l) | 559,664 | 106,799 | |
Series 2010-H03 Class FA, 1.0409% 3/20/60 (c)(n) | 6,528,805 | 6,517,283 | |
Series 2010-H17 Class FA, 0.8209% 7/20/60 (c)(n) | 692,144 | 684,910 | |
Series 2010-H18 Class AF, 0.7676% 9/20/60 (c)(n) | 855,594 | 845,877 | |
Series 2010-H19 Class FG, 0.7676% 8/20/60 (c)(n) | 981,482 | 970,491 | |
Series 2010-H27 Series FA, 0.8476% 12/20/60 (c)(n) | 1,718,320 | 1,703,447 | |
Series 2011-H05 Class FA, 0.9676% 12/20/60 (c)(n) | 2,764,049 | 2,754,143 | |
Series 2011-H07 Class FA, 0.9676% 2/20/61 (c)(n) | 5,319,446 | 5,301,492 | |
Series 2011-H12 Class FA, 0.9576% 2/20/61 (c)(n) | 7,018,233 | 6,991,893 | |
Series 2011-H13 Class FA, 0.9676% 4/20/61 (c)(n) | 2,611,945 | 2,602,761 | |
Series 2011-H14: | |||
Class FB, 0.9676% 5/20/61 (c)(n) | 3,089,617 | 3,077,459 | |
Class FC, 0.9676% 5/20/61 (c)(n) | 2,737,769 | 2,727,588 | |
Series 2011-H17 Class FA, 0.9976% 6/20/61 (c)(n) | 3,604,495 | 3,595,848 | |
Series 2011-H21 Class FA, 1.0676% 10/20/61 (c)(n) | 7,000,868 | 7,000,018 | |
Series 2012-H01 Class FA, 1.1676% 11/20/61 (c)(n) | 3,469,596 | 3,481,592 | |
Series 2012-H03 Class FA, 1.1676% 1/20/62 (c)(n) | 2,178,944 | 2,186,533 | |
Series 2012-H06 Class FA, 1.0976% 1/20/62 (c)(n) | 3,382,232 | 3,385,357 | |
Series 2012-H07 Class FA, 1.0976% 3/20/62 (c)(n) | 1,997,416 | 1,999,372 | |
Series 2012-H23 Class WA, 0.9876% 10/20/62 (c)(n) | 1,713,066 | 1,707,595 | |
Series 2012-H26, Class CA, 0.9976% 7/20/60 (c)(n) | 7,126,390 | 7,110,696 | |
Series 2013-H07 Class BA, 0.8276% 3/20/63 (c)(n) | 2,827,861 | 2,799,875 | |
Series 2014-H03 Class FA, 1.0676% 1/20/64 (c)(n) | 3,187,104 | 3,186,678 | |
Series 2014-H05 Class FB, 1.0676% 12/20/63 (c)(n) | 8,505,499 | 8,504,371 | |
Series 2014-H11 Class BA, 0.9676% 6/20/64 (c)(n) | 12,713,544 | 12,663,196 | |
Series 2014-H20 Class BF, 0.9676% 9/20/64 (c)(n) | 40,706,307 | 40,540,213 | |
Series 2015-H13 Class FL, 0.7476% 5/20/63 (c)(n) | 16,070,006 | 16,010,680 | |
Series 2015-H19 Class FA, 0.6676% 4/20/63 (c)(n) | 15,037,885 | 14,967,268 | |
planned amortization class: | |||
Series 1993-13 Class PD, 6% 5/20/29 | 470,150 | 536,562 | |
Series 1997-8 Class PE, 7.5% 5/16/27 | 194,308 | 230,304 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (k) | 1,232,464 | 103,170 | |
sequential payer Series 2004-24 Class ZM, 5% 4/20/34 | 1,898,754 | 2,107,468 | |
Series 2004-32 Class GS, 5.9934% 5/16/34 (c)(k)(l) | 295,825 | 61,277 | |
Series 2004-73 Class AL, 6.6934% 8/17/34 (c)(k)(l) | 361,986 | 89,566 | |
Series 2007-35 Class SC, 37.1601% 6/16/37 (c)(l) | 23,775 | 46,404 | |
Series 2010-98 Class HS, 6.0876% 8/20/40 (c)(k) | 2,213,433 | 381,225 | |
Series 2010-H10 Class FA, 0.8209% 5/20/60 (c)(n) | 2,221,165 | 2,198,626 | |
Series 2011-94 Class SA, 5.5876% 7/20/41 (c)(k)(l) | 2,056,351 | 319,798 | |
Series 2012-76 Class GS, 6.1934% 6/16/42 (c)(k)(l) | 1,176,949 | 257,506 | |
Series 2012-97 Class JS, 5.7434% 8/16/42 (c)(k)(l) | 3,761,138 | 672,374 | |
Series 2013-124: | |||
Class ES, 7.9834% 4/20/39 (c)(l) | 4,031,555 | 4,332,165 | |
Class ST, 8.1168% 8/20/39 (c)(l) | 7,740,226 | 8,510,433 | |
Series 2013-147 Class A/S, 5.6376% 10/20/43 (c)(k) | 3,185,880 | 483,559 | |
Series 2013-160 Class MS, 5.6876% 9/20/32 (c)(k)(l) | 5,115,077 | 1,003,839 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) | 31,274,833 | 31,689,809 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (n) | 26,560,952 | 26,932,112 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (n) | 6,021,176 | 6,086,102 | |
Class JA, 2.5% 6/20/65 (n) | 28,325,500 | 28,645,629 | |
Ginnie Mae pass thru certificates Series 2010-85 Class SE, 6.0376% 7/20/40 (c)(k) | 1,939,154 | 330,516 | |
TOTAL U.S. GOVERNMENT AGENCY | 385,934,126 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $512,071,657) | 514,696,334 | ||
Commercial Mortgage Securities - 4.0% | |||
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) | 180,000 | 199,849 | |
Asset Securitization Corp.: | |||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 128,120 | |
Series 1997-D5 Class PS1, 1.4918% 2/14/43 (c)(k) | 283,691 | 129 | |
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (b)(c) | 1,500,000 | 1,520,368 | |
Banc of America Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-3 Class A4, 5.889% 7/10/44 (c) | 845,792 | 844,577 | |
Series 2007-5 Class A1A, 5.361% 2/10/51 | 25,336,339 | 26,110,465 | |
Series 2004-1 Class F, 5.279% 11/10/39 (b)(c) | 26,437 | 26,501 | |
Series 2005-1 Class CJ, 5.349% 11/10/42 (c) | 98,631 | 98,520 | |
Series 2005-5 Class D, 5.4036% 10/10/45 (c) | 511,295 | 511,100 | |
Series 2007-2 Class A4, 5.6241% 4/10/49 (c) | 6,398,790 | 6,449,403 | |
Series 2007-3 Class A4, 5.5433% 6/10/49 (c) | 15,824,031 | 16,046,591 | |
Series 2008-1 Class D, 6.27% 2/10/51 (b)(c) | 125,000 | 95,064 | |
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 5,752,627 | 5,794,302 | |
Bank of America Commercial Mortgage Trust: | |||
Series 2015-UBS7 Class D, 3.167% 9/15/48 | 258,000 | 204,065 | |
Series 2016-UB10 Class XA, 2.0127% 6/15/49 (c)(k) | 46,442,834 | 5,965,503 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class E, 4.2844% 9/10/28 (b)(c) | 1,782,000 | 1,686,129 | |
Bayview Commercial Asset Trust: | |||
floater: | |||
Series 2003-2 Class M1, 1.7994% 12/25/33 (b)(c) | 26,595 | 24,279 | |
Series 2005-4A: | |||
Class A2, 0.9144% 1/25/36 (b)(c) | 672,982 | 578,521 | |
Class B1, 1.9244% 1/25/36 (b)(c) | 29,351 | 22,422 | |
Class M1, 0.9744% 1/25/36 (b)(c) | 217,091 | 179,432 | |
Class M2, 0.9944% 1/25/36 (b)(c) | 65,127 | 52,888 | |
Class M3, 1.0244% 1/25/36 (b)(c) | 95,113 | 77,036 | |
Class M4, 1.1344% 1/25/36 (b)(c) | 52,603 | 41,943 | |
Class M5, 1.1744% 1/25/36 (b)(c) | 52,603 | 40,385 | |
Class M6, 1.2244% 1/25/36 (b)(c) | 55,870 | 42,108 | |
Series 2006-3A Class M4, 0.9544% 10/25/36 (b)(c) | 28,499 | 20,699 | |
Series 2007-1 Class A2, 0.7944% 3/25/37 (b)(c) | 439,508 | 371,393 | |
Series 2007-2A: | |||
Class A1, 0.7944% 7/25/37 (b)(c) | 469,112 | 403,389 | |
Class A2, 0.8444% 7/25/37 (b)(c) | 438,322 | 348,352 | |
Class M1, 0.8944% 7/25/37 (b)(c) | 153,914 | 116,954 | |
Class M2, 0.9344% 7/25/37 (b)(c) | 84,105 | 59,938 | |
Class M3, 1.0144% 7/25/37 (b)(c) | 65,766 | 46,494 | |
Series 2007-3: | |||
Class A2, 0.8144% 7/25/37 (b)(c) | 419,825 | 333,250 | |
Class M1, 0.8344% 7/25/37 (b)(c) | 91,182 | 69,532 | |
Class M2, 0.8644% 7/25/37 (b)(c) | 97,730 | 70,963 | |
Class M3, 0.8944% 7/25/37 (b)(c) | 153,999 | 103,841 | |
Class M4, 1.0244% 7/25/37 (b)(c) | 241,802 | 161,766 | |
Class M5, 1.1244% 7/25/37 (b)(c) | 117,422 | 57,931 | |
Series 2007-4A Class M1, 1.4379% 9/25/37 (b)(c) | 77,823 | 25,296 | |
Series 2006-3A, Class IO, 0% 10/25/36 (b)(c)(k) | 4,370,290 | 0 | |
BBCMS Mortgage Trust Series 2016-ETC: | |||
Class D, 3.7291% 8/14/36 (b)(c) | 1,000,000 | 1,007,500 | |
Class E, 3.7291% 8/14/36 (b)(c) | 1,000,000 | 885,077 | |
Bear Stearns Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 601,971 | |
Series 2007-PW16 Class A4, 5.7197% 6/11/40 (c) | 814,087 | 829,368 | |
Series 2006-T22 Class B, 5.723% 4/12/38 (b)(c) | 173,852 | 174,171 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PWR11 Class AJ, 5.4286% 3/11/39 (c) | 450,000 | 429,809 | |
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (b) | 656,967 | 688,880 | |
BLCP Hotel Trust floater Series 2014-CLRN Class F, 3.5416% 8/15/29 (b)(c) | 832,000 | 768,172 | |
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/13/35 (b)(c) | 1,000,000 | 935,627 | |
C-BASS Trust floater Series 2006-SC1 Class A, 0.7579% 5/25/36 (b)(c) | 56,249 | 55,251 | |
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(c) | 606,000 | 587,927 | |
CDGJ Commercial Mortgage Trust Series 2014-BXCH: | |||
Class A, 2.0801% 12/15/27 (b)(c) | 17,387,124 | 17,425,334 | |
Class DPA, 3.6801% 12/15/27 (b)(c) | 5,842,935 | 5,776,935 | |
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.6226% 12/15/47 (b)(c) | 750,000 | 869,383 | |
CG-CCRE Commercial Mortgage Trust: | |||
Series 2014-FL1: | |||
Class YTC2, 2.9967% 6/15/31 (b)(c) | 511,000 | 481,121 | |
Class YTC3, 2.9967% 6/15/31 (b)(c) | 184,000 | 172,188 | |
Series 2014-FL1, 2.9967% 6/15/31 (b)(c) | 511,000 | 484,066 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT: | |||
Class E, 3.7859% 4/10/28 (b)(c) | 162,000 | 155,917 | |
Class F, 3.7859% 4/10/28 (b)(c) | 1,133,000 | 1,066,005 | |
CGGS Commercial Mortgage Trust Series 2016-RND Class DFL, 5.2314% 2/15/33 (b)(c) | 294,000 | 297,987 | |
Chase Commercial Mortgage Securities Corp.: | |||
Series 1998-1 Class H, 6.34% 5/18/30 (b) | 781,359 | 808,060 | |
Series 1998-2 Class J, 6.39% 11/18/30 (b) | 487,111 | 446,324 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC15 Class D, 5.1034% 9/10/46 (b)(c) | 1,927,000 | 1,797,195 | |
Series 2015-SHP2 Class E, 4.858% 7/15/27 (b)(c) | 693,000 | 647,145 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer: | |||
Series 2006-CD3 Class A5, 5.617% 10/15/48 | 1,199,593 | 1,198,534 | |
Series 2007-CD4 Class A4, 5.322% 12/11/49 | 19,305,628 | 19,383,862 | |
Claregold Trust Series 2007-2A: | |||
Class F, 5.01% 5/15/44 (b)(c) | CAD | 138,000 | 104,647 |
Class G, 5.01% 5/15/44 (b)(c) | CAD | 30,000 | 22,539 |
Class H, 5.01% 5/15/44 (b)(c) | CAD | 20,000 | 14,799 |
Class J, 5.01% 5/15/44 (b)(c) | CAD | 20,000 | 14,473 |
Class K, 5.01% 5/15/44 (b)(c) | CAD | 10,000 | 7,157 |
Class L, 5.01% 5/15/44 (b)(c) | CAD | 36,000 | 25,206 |
Class M, 5.01% 5/15/44 (b)(c) | CAD | 165,000 | 111,832 |
COMM Mortgage Trust: | |||
floater Series 2014-PAT Class E, 3.6279% 8/13/27 (b)(c) | 735,000 | 724,387 | |
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 1,410,000 | 990,204 | |
Series 2012-CR1: | |||
Class C, 5.3514% 5/15/45 (c) | 850,000 | 935,319 | |
Class D, 5.3514% 5/15/45 (b)(c) | 1,510,000 | 1,564,742 | |
Class G, 2.462% 5/15/45 (b) | 231,000 | 143,567 | |
Series 2012-CR5 Class D, 4.3343% 12/10/45 (b)(c) | 740,000 | 717,338 | |
Series 2012-LC4: | |||
Class C, 5.6329% 12/10/44 (c) | 260,000 | 294,788 | |
Class D, 5.6329% 12/10/44 (b)(c) | 1,437,000 | 1,494,667 | |
Series 2013-CR10: | |||
Class C, 4.7894% 8/10/46 (b)(c) | 270,000 | 287,667 | |
Class D, 4.7894% 8/10/46 (b)(c) | 790,000 | 712,632 | |
Class XA, 0.9462% 8/10/46 (c)(k) | 35,561,285 | 1,413,067 | |
Series 2013-CR12 Class D, 5.0835% 10/10/46 (b)(c) | 1,680,000 | 1,577,615 | |
Series 2013-CR6 Class F, 4.1715% 3/10/46 (b)(c) | 418,000 | 287,838 | |
Series 2013-CR9: | |||
Class C, 4.2572% 7/10/45 (b)(c) | 525,000 | 551,217 | |
Class D, 4.2572% 7/10/45 (b)(c) | 252,000 | 225,347 | |
Series 2013-LC6 Class D, 4.2844% 1/10/46 (b)(c) | 1,250,000 | 1,159,920 | |
Series 2014-CR15 Class D, 4.7628% 2/10/47 (b)(c) | 258,000 | 238,588 | |
Series 2014-CR17: | |||
Class D, 4.799% 5/10/47 (b)(c) | 799,000 | 740,411 | |
Class E, 4.799% 5/10/47 (b)(c) | 100,000 | 77,888 | |
Series 2014-CR19 Class XA, 1.2786% 8/10/47 (c)(k) | 70,405,549 | 4,452,876 | |
Series 2014-CR20 Class XA, 1.1975% 11/10/47 (c)(k) | 167,076,183 | 11,059,357 | |
Series 2014-LC17 Class XA, 0.9979% 10/10/47 (c)(k) | 51,388,947 | 2,401,935 | |
Series 2014-UBS2 Class D, 5.1821% 3/10/47 (b)(c) | 844,000 | 734,049 | |
Series 2014-UBS4 Class XA, 1.263% 8/10/47 (c)(k) | 45,233,567 | 2,929,276 | |
Series 2014-UBS6 Class XA, 1.0618% 12/10/47 (c)(k) | 128,533,104 | 7,591,242 | |
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(c) | 1,500,000 | 1,318,650 | |
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(c) | 483,000 | 435,879 | |
Series 2016-CD1 Class D, 2.9067% 8/10/49 (b)(c) | 226,000 | 169,194 | |
COMM Mortgage Trust pass-thru certificates: | |||
floater Series 2005-F10A Class J, 1.3577% 4/15/17 (b)(c) | 126,140 | 126,185 | |
Series 2005-LP5 Class F, 4.8452% 5/10/43 (b)(c) | 1,290,000 | 1,288,065 | |
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (b) | 969,441 | 944,994 | |
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) | 665,948 | 690,784 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class E, 4.8547% 8/15/45 (b)(c) | 1,727,000 | 1,654,001 | |
Class F, 4.25% 8/15/45 (b) | 1,418,000 | 1,165,899 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) | 403,000 | 285,033 | |
Core Industrial Trust: | |||
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(c) | 625,000 | 587,087 | |
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(c) | 483,000 | 450,760 | |
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(c) | 1,566,000 | 1,367,237 | |
Credit Suisse Commercial Mortgage Trust: | |||
sequential payer Series 2007-C3 Class A4, 5.6994% 6/15/39 (c) | 14,858,653 | 15,038,008 | |
Series 2007-C5 Class A4, 5.695% 9/15/40 (c) | 1,258,921 | 1,290,682 | |
Credit Suisse First Boston Mortgage Securities Corp.: | |||
Series 1998-C1: | |||
Class F, 6% 5/17/40 (b) | 798,531 | 820,118 | |
Class H, 6% 5/17/40 (b) | 90,315 | 73,737 | |
Series 1998-C2: | |||
Class F, 6.75% 11/15/30 (b) | 103,933 | 104,682 | |
Class G, 6.75% 11/15/30 (b) | 180,000 | 184,490 | |
Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (b)(c) | 112,549 | 112,539 | |
CSMC Series 2015-TOWN: | |||
Class A, 1.7577% 3/15/17 (b)(c) | 9,866,000 | 9,867,019 | |
Class B, 2.4077% 3/15/17 (b)(c) | 3,043,000 | 2,989,243 | |
Class C, 2.7577% 3/15/17 (b)(c) | 2,964,000 | 2,902,043 | |
Class D, 3.7077% 3/15/17 (b)(c) | 4,485,000 | 4,397,735 | |
Class E, 4.6577% 3/15/17 (b)(c) | 20,318,000 | 19,830,559 | |
CSMC Trust floater Series 2015-DEAL: | |||
Class E, 4.508% 4/15/29 (b)(c) | 724,000 | 716,665 | |
Class F, 5.258% 4/15/29 (b)(c) | 989,000 | 980,358 | |
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (b)(c) | 1,449,000 | 1,358,654 | |
DBUBS Mortgage Trust: | |||
Series 2011-LC1A: | |||
Class D, 5.6968% 11/10/46 (b)(c) | 500,000 | 557,425 | |
Class E, 5.6968% 11/10/46 (b)(c) | 1,810,000 | 1,972,376 | |
Class F, 5.6968% 11/10/46 (b)(c) | 1,560,000 | 1,510,984 | |
Class G, 4.652% 11/10/46 (b) | 1,948,000 | 1,732,389 | |
Class XB, 0.3055% 11/10/46 (b)(c)(k) | 20,920,000 | 261,762 | |
Series 2011-LC3A Class D, 5.4252% 8/10/44 (b)(c) | 812,000 | 868,097 | |
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.636% 9/10/49 (c) | 600,000 | 600,515 | |
Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (b) | 1,000,000 | 1,001,138 | |
Freddie Mac: | |||
pass-thru certificates: | |||
Series K011 Class X3, 2.5765% 12/25/43 (c)(k) | 1,640,000 | 160,682 | |
Series K012 Class X3, 2.2518% 1/25/41 (c)(k) | 1,770,276 | 156,675 | |
Series K013 Class X3, 2.9089% 1/25/43 (c)(k) | 820,000 | 89,032 | |
Series KAIV Class X2, 3.6147% 6/25/46 (c)(k) | 420,000 | 63,160 | |
FREMF Mortgage Trust: | |||
Series 2010-K9 Class B, 5.195% 9/25/45 (b)(c) | 1,815,000 | 2,003,476 | |
Series 2011-K10 Class B, 4.6306% 11/25/49 (b)(c) | 500,000 | 542,479 | |
Series 2011-K11 Class B, 4.4229% 12/25/48 (b)(c) | 750,000 | 809,049 | |
GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
Class BFX, 3.4949% 12/15/34 (b)(c) | 18,910,000 | 19,548,050 | |
Class CFX, 3.4949% 12/15/34 (b)(c) | 14,152,000 | 14,436,227 | |
Class DFX, 3.4949% 12/15/34 (b)(c) | 11,994,000 | 12,070,315 | |
Class EFX, 3.4949% 12/15/34 (b)(c) | 1,750,000 | 1,712,163 | |
Class FFX, 3.4949% 12/15/34 (b)(c) | 383,000 | 362,589 | |
GE Capital Commercial Mortgage Corp.: | |||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 42,220,000 | 42,675,744 | |
Series 2007-C1 Class A1A, 5.483% 12/10/49 (c) | 10,322,122 | 10,432,105 | |
GMAC Commercial Mortgage Securities, Inc.: | |||
Series 1997-C1 Class H, 6.6% 7/15/29 | 281,148 | 277,080 | |
Series 1997-C2 Class G, 6.75% 4/15/29 (c) | 140,914 | 143,769 | |
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 763,314 | |
GP Portfolio Trust Series 2014-GPP: | |||
Class D, 3.2314% 2/15/27 (b)(c) | 291,000 | 287,366 | |
Class E, 4.3314% 2/15/27 (b)(c) | 378,000 | 363,302 | |
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(c) | 357,000 | 352,406 | |
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 13,750,708 | 13,828,907 | |
GS Mortgage Securities Corp. II Series 2010-C1: | |||
Class D, 6.0707% 8/10/43 (b)(c) | 1,255,000 | 1,302,077 | |
Class E, 4% 8/10/43 (b) | 1,240,000 | 1,160,941 | |
Class F, 4% 8/10/43 (b) | 894,000 | 770,283 | |
Class X, 1.4462% 8/10/43 (b)(c)(k) | 4,995,025 | 229,416 | |
GS Mortgage Securities Trust: | |||
floater Series 2014-GSFL Class A, 1.4841% 7/15/31 (b)(c) | 519,899 | 513,540 | |
sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 | 151,463 | 151,370 | |
Series 2010-C2: | |||
Class D, 5.1844% 12/10/43 (b)(c) | 720,000 | 725,574 | |
Class XA, 0.1605% 12/10/43 (b)(c)(k) | 3,282,273 | 19,760 | |
Series 2011-GC3 Class D, 5.6328% 3/10/44 (b)(c) | 294,000 | 300,064 | |
Series 2011-GC5: | |||
Class C, 5.3856% 8/10/44 (b)(c) | 1,050,000 | 1,157,929 | |
Class D, 5.3856% 8/10/44 (b)(c) | 1,500,000 | 1,566,491 | |
Class E, 5.3856% 8/10/44 (b)(c) | 210,000 | 193,421 | |
Class F, 4.5% 8/10/44 (b) | 1,020,000 | 791,260 | |
Series 2012-GC6: | |||
Class D, 5.6467% 1/10/45 (b)(c) | 954,000 | 950,602 | |
Class E, 5% 1/10/45 (b)(c) | 412,000 | 340,152 | |
Series 2012-GC6I Class F, 5% 1/10/45 (c) | 390,000 | 300,933 | |
Series 2012-GCJ7: | |||
Class C, 5.7291% 5/10/45 (c) | 630,000 | 686,353 | |
Class D, 5.7291% 5/10/45 (b)(c) | 2,162,000 | 2,120,267 | |
Class E, 5% 5/10/45 (b) | 1,311,000 | 1,053,538 | |
Class F, 5% 5/10/45 (b) | 2,079,000 | 1,534,897 | |
Series 2012-GCJ9: | |||
Class D, 4.853% 11/10/45 (b)(c) | 1,972,000 | 1,840,885 | |
Class E, 4.853% 11/10/45 (b)(c) | 1,290,000 | 997,465 | |
Series 2013-GC10 Class D, 4.4102% 2/10/46 (b)(c) | 920,000 | 848,606 | |
Series 2013-GC12 Class D, 4.4754% 6/10/46 (b)(c) | 219,000 | 195,058 | |
Series 2013-GC13 Class D, 4.0673% 7/10/46 (b)(c) | 1,858,000 | 1,672,369 | |
Series 2013-GC16: | |||
Class C, 5.32% 11/10/46 (c) | 662,844 | 736,702 | |
Class D, 5.32% 11/10/46 (b)(c) | 1,009,000 | 939,272 | |
Class F, 3.5% 11/10/46 (b) | 999,000 | 672,913 | |
Series 2014-GC20 Class XA, 1.1715% 4/10/47 (c)(k) | 39,832,706 | 2,402,028 | |
Series 2015-GC34 Class XA, 1.3751% 10/10/48 (c)(k) | 29,465,686 | 2,692,707 | |
Series 2016-GS2 Class C, 4.5303% 5/10/49 (c) | 699,000 | 763,040 | |
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) | 1,113,000 | 1,079,197 | |
Series 2016-RENT: | |||
Class E, 4.0667% 2/10/29 (b)(c) | 409,000 | 394,161 | |
Class F, 4.0667% 2/10/29 (b)(c) | 1,520,000 | 1,436,151 | |
Hilton U.S.A. Trust: | |||
floater Series 2014-ORL Class E, 3.7314% 7/15/29 (b)(c) | 617,000 | 590,421 | |
Series 2013-HLT: | |||
Class CFX, 3.7141% 11/5/30 (b) | 2,450,000 | 2,456,500 | |
Class DFX, 4.4065% 11/5/30 (b) | 23,706,000 | 23,782,409 | |
Class EFX, 5.2216% 11/5/30 (b)(c) | 2,000,000 | 2,005,020 | |
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.9976% 11/15/29 (b)(c) | 406,000 | 382,552 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22 Class D, 4.5603% 9/15/47 (b)(c) | 525,000 | 429,065 | |
Series 2015-C30 Class XA, 0.7169% 7/15/48 (c)(k) | 84,742,637 | 3,276,625 | |
Series 2015-C32 Class C, 4.6684% 11/15/48 (c) | 1,419,000 | 1,379,660 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (b) | 440,000 | 470,549 | |
Series 2003-C1 Class F, 5.4395% 1/12/37 (b)(c) | 250,000 | 246,113 | |
Series 2009-IWST: | |||
Class C, 7.4453% 12/5/27 (b)(c) | 380,000 | 432,375 | |
Class D, 7.4453% 12/5/27 (b)(c) | 1,885,000 | 2,135,584 | |
Series 2010-CNTR Class D, 6.1838% 8/5/32 (b)(c) | 695,000 | 774,741 | |
Series 2012-CBX: | |||
Class C, 5.2192% 6/15/45 (c) | 250,000 | 273,062 | |
Class D, 5.2192% 6/16/45 (b)(c) | 690,000 | 713,771 | |
Class E, 5.2192% 6/15/45 (b)(c) | 1,043,000 | 1,062,919 | |
Class F, 4% 6/15/45 (b) | 988,000 | 811,441 | |
Class G 4% 6/15/45 (b) | 1,079,000 | 754,921 | |
Class XA, 1.698% 6/15/45 (c)(k) | 147,022,039 | 9,273,150 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2014-BXH: | |||
Class A, 1.4077% 4/15/27 (b)(c) | 3,000,000 | 2,937,852 | |
Class C, 2.1577% 4/15/27 (b)(c) | 4,460,000 | 4,374,319 | |
Class D, 2.7577% 4/15/27 (b)(c) | 9,517,000 | 9,268,337 | |
Series 2014-INN: | |||
Class E, 4.108% 6/15/29 (b)(c) | 713,000 | 695,090 | |
Class F, 4.508% 6/15/29 (b)(c) | 1,006,000 | 965,569 | |
Series 2015-CSMO Class D, 3.8077% 1/15/32 (b)(c) | 2,184,000 | 2,181,932 | |
sequential payer: | |||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 342,327 | 342,520 | |
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 5,830,015 | 5,843,232 | |
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 1,978,366 | 1,992,749 | |
Series 2007-CB19 Class A4, 5.6986% 2/12/49 (c) | 12,094,576 | 12,282,195 | |
Series 2007-LD11 Class A4, 5.7416% 6/15/49 (c) | 27,676,787 | 28,119,466 | |
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 18,916,246 | 19,106,452 | |
Series 2004-CBX Class D, 5.097% 1/12/37 (c) | 170,000 | 164,626 | |
Series 2004-LN2 Class D, 5.3719% 7/15/41 (c) | 420,000 | 37,061 | |
Series 2005-LDP2: | |||
Class C, 4.911% 7/15/42 (c) | 660,000 | 659,150 | |
Class F, 5.01% 7/15/42 (c) | 189,000 | 171,232 | |
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (c) | 15,700 | 0 | |
Series 2011-C3: | |||
Class E, 5.6142% 2/15/46 (b)(c) | 518,000 | 550,668 | |
Class H, 4.409% 2/15/46 (b)(c) | 756,000 | 621,878 | |
Class J, 4.409% 2/15/46 (b)(c) | 106,000 | 79,637 | |
Series 2011-C4: | |||
Class E, 5.5305% 7/15/46 (b)(c) | 1,130,000 | 1,178,917 | |
Class F, 3.873% 7/15/46 (b) | 105,000 | 90,429 | |
Class H, 3.873% 7/15/46 (b) | 674,250 | 491,808 | |
Class NR, 3.873% 7/15/46 (b) | 385,000 | 228,936 | |
Class TAC1, 7.99% 7/15/46 (b) | 744,163 | 750,709 | |
Class TAC2, 7.99% 7/15/46 (b) | 671,000 | 670,927 | |
Series 2011-C5: | |||
Class B. 5.3206% 8/15/46 (b)(c) | 1,140,000 | 1,298,002 | |
Class C, 5.3206% 8/15/46 (b)(c) | 1,102,648 | 1,217,824 | |
Series 2013-LC11: | |||
Class C, 3.9582% 4/15/46 (c) | 1,163,000 | 1,201,799 | |
Class D, 4.2374% 4/15/46 (c) | 1,666,000 | 1,570,162 | |
Class F, 3.25% 4/15/46 (b)(c) | 1,682,000 | 1,000,244 | |
Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (b)(c) | 816,000 | 792,926 | |
Class E, 3.8046% 6/10/27 (b)(c) | 1,169,000 | 1,083,460 | |
Series 2015-UES Class F, 3.621% 9/5/32 (b)(c) | 945,000 | 873,663 | |
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(c) | 1,218,000 | 1,166,994 | |
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9184% 7/15/44 (c) | 18,492,966 | 19,014,192 | |
LB-UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-C6 Class AM, 5.413% 9/15/39 | 910,241 | 910,271 | |
Series 2006-C7 Class AM, 5.378% 11/15/38 | 160,000 | 160,274 | |
Series 2007-C1 Class A4, 5.424% 2/15/40 | 7,114,611 | 7,158,482 | |
Series 2007-C2 Class A3, 5.43% 2/15/40 | 1,961,871 | 1,981,568 | |
Series 2004-C2 Class G, 4.595% 3/15/36 (b)(c) | 32,737 | 32,732 | |
Series 2006-C4 Class AJ, 5.9305% 6/15/38 (c) | 28,380 | 28,359 | |
Series 2007-C6 Class A4, 5.858% 7/15/40 (c) | 1,785,600 | 1,814,773 | |
Series 2007-C7 Class A3, 5.866% 9/15/45 | 12,317,354 | 12,781,273 | |
Liberty Street Trust Series 2016-225L: | |||
Class D, 4.6485% 2/10/36 (b)(c) | 588,000 | 636,886 | |
Class E, 4.6485% 2/10/36 (b)(c) | 1,050,000 | 1,056,279 | |
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2.243% 9/15/28 (b)(c) | 13,800,379 | 14,021,824 | |
LSTAR Commercial Mortgage Trust Series 2014-2: | |||
Class D, 4.8974% 1/20/41 (b)(c) | 256,000 | 253,634 | |
Class E, 4.8974% 1/20/41 (b)(c) | 400,000 | 367,814 | |
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3577% 10/12/39 (b)(c) | CAD | 320,000 | 243,746 |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (c) | 147,598 | 147,347 | |
Merrill Lynch Mortgage Trust: | |||
Series 2005-LC1 Class F, 5.4984% 1/12/44 (b)(c) | 428,608 | 427,696 | |
Series 2006-C1 Class AJ, 5.5544% 5/12/39 (c) | 718,252 | 717,811 | |
Series 2007-C1 Class A4, 5.8262% 6/12/50 (c) | 9,429,517 | 9,654,755 | |
Series 2008-C1 Class A4, 5.69% 2/12/51 | 2,807,187 | 2,892,910 | |
Merrill Lynch-CFC Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2007-5 Class A4, 5.378% 8/12/48 | 14,526,734 | 14,612,526 | |
Series 2007-6 Class A4, 5.485% 3/12/51 (c) | 14,650,000 | 14,824,542 | |
Series 2007-7 Class A4, 5.7387% 6/12/50 (c) | 5,868,055 | 5,980,398 | |
Series 2007-8 Class A3, 5.8755% 8/12/49 (c) | 1,598,418 | 1,636,701 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (b) | 750,000 | 692,990 | |
Series 2012-C6 Class D, 4.657% 11/15/45 (b)(c) | 1,357,000 | 1,370,451 | |
Series 2013-C12 Class D, 4.7657% 10/15/46 (b)(c) | 1,000,000 | 967,387 | |
Series 2013-C13: | |||
Class D, 4.8917% 11/15/46 (b)(c) | 1,019,000 | 989,619 | |
Class E, 4.8917% 11/15/46 (b)(c) | 887,000 | 702,207 | |
Series 2013-C7: | |||
Class D, 4.2818% 2/15/46 (b)(c) | 810,000 | 772,341 | |
Class E, 4.2818% 2/15/46 (b)(c) | 340,000 | 264,723 | |
Series 2013-C8 Class D, 4.0617% 12/15/48 (b)(c) | 400,000 | 362,283 | |
Series 2013-C9: | |||
Class C, 4.0675% 5/15/46 (c) | 620,000 | 650,514 | |
Class D, 4.1555% 5/15/46 (b)(c) | 1,747,000 | 1,654,352 | |
Series 2014-C17 Class XA, 1.2621% 8/15/47 (c)(k) | 177,612,254 | 10,869,408 | |
Series 2015-C25 Class XA, 1.1512% 10/15/48 (c)(k) | 47,743,317 | 3,601,694 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2006-XLF: | |||
Class C, 1.708% 7/15/19 (b)(c) | 357,716 | 357,609 | |
Class J, 0.9114% 7/15/19 (b)(c) | 335,939 | 330,315 | |
sequential payer: | |||
Series 2006-HQ10 Class AM, 5.36% 11/12/41 | 616,733 | 616,715 | |
Series 2012-C4 Class E, 5.521% 3/15/45 (b)(c) | 1,483,000 | 1,484,862 | |
Series 1997-RR Class F, 7.4205% 4/30/39 (b)(c) | 34,267 | 33,986 | |
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) | 173,617 | 173,815 | |
Series 1999-WF1: | |||
Class N, 5.91% 11/15/31 (b) | 210,000 | 208,146 | |
Class O, 5.91% 11/15/31 (b) | 160,563 | 131,505 | |
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 | 719,000 | 721,954 | |
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 89,155,000 | 90,222,667 | |
Series 2011-C1: | |||
Class C, 5.4324% 9/15/47 (b)(c) | 970,000 | 1,091,557 | |
Class D, 5.4324% 9/15/47 (b)(c) | 1,760,000 | 1,943,750 | |
Class E, 5.4324% 9/15/47 (b)(c) | 573,100 | 626,076 | |
Series 2011-C2: | |||
Class D, 5.4723% 6/15/44 (b)(c) | 1,272,000 | 1,341,235 | |
Class E, 5.4723% 6/15/44 (b)(c) | 600,000 | 627,736 | |
Class F, 5.4723% 6/15/44 (b)(c) | 550,000 | 533,329 | |
Class XB, 0.53% 6/15/44 (b)(c)(k) | 9,001,008 | 203,687 | |
Series 2011-C3: | |||
Class C, 5.1538% 7/15/49 (b)(c) | 1,000,000 | 1,108,154 | |
Class D, 5.1538% 7/15/49 (b)(c) | 1,130,000 | 1,217,161 | |
Class E, 5.1538% 7/15/49 (b)(c) | 505,000 | 524,063 | |
Class G, 5.1538% 7/15/49 (b)(c) | 924,000 | 727,866 | |
Series 2012-C4: | |||
Class D, 5.521% 3/15/45 (b)(c) | 330,000 | 345,870 | |
Class F, 3.07% 3/15/45 (b) | 623,000 | 465,192 | |
Series 2014-150E: | |||
Class C, 4.295% 9/9/32 (b)(c) | 656,000 | 711,945 | |
Class F, 4.295% 9/9/32 (b)(c) | 651,000 | 564,676 | |
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(c) | 1,000,000 | 984,366 | |
Series 2015-MS1: | |||
Class C, 4.0295% 5/15/48 (c) | 734,000 | 738,725 | |
Class D, 4.0295% 5/15/48 (b)(c) | 632,000 | 498,464 | |
Series 2015-UBS8 Class D, 3.25% 12/15/48 (b) | 798,000 | 594,188 | |
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5569% 7/15/33 (b)(c) | 121,496 | 129,595 | |
Motel 6 Trust Series 2015-MTL6: | |||
Class E, 5.2785% 2/5/30 (b) | 2,089,000 | 2,081,715 | |
Class F, 5% 2/5/30 (b) | 691,000 | 658,960 | |
MSJP Commercial Securities Mortgage Trust: | |||
Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(c) | 278,000 | 234,211 | |
Series 2015-HAUL, Class D, 4.851% 9/5/47 (b)(c) | 285,000 | 298,601 | |
NationsLink Funding Corp. Series 1999-LTL1: | |||
Class C, 7.399% 1/22/26 (b) | 29,498 | 29,492 | |
Class D, 6.45% 1/22/26 (b) | 740,731 | 746,394 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 1,028,073 | 1,382,141 | |
Real Estate Asset Liquidity Trust: | |||
Series 2006-2: | |||
Class F, 4.456% 9/12/38 (b) | CAD | 107,000 | 81,958 |
Class G, 4.456% 9/12/38 (b) | CAD | 54,000 | 41,230 |
Class H, 4.456% 9/12/38 (b) | CAD | 36,000 | 27,328 |
Class J, 4.456% 9/12/38 (b) | CAD | 36,000 | 26,911 |
Class K, 4.456% 9/12/38 (b) | CAD | 18,000 | 13,185 |
Class L, 4.456% 9/12/38 (b) | CAD | 26,000 | 18,351 |
Class M, 4.456% 9/12/38 (b) | CAD | 104,391 | 69,073 |
Series 2007-1: | |||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 96,692 |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 32,136 |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 32,043 |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 31,950 |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 15,929 |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 47,649 |
Class M, 4.57% 4/12/23 | CAD | 155,242 | 113,420 |
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b) | 235,343 | 113,413 | |
SCG Trust Series 2013-SRP1 Class D, 3.8251% 11/15/26 (b)(c) | 2,529,000 | 2,388,269 | |
Starwood Retail Property Trust Series 2014-STAR Class D, 3.7314% 11/15/27 (b)(c) | 1,805,000 | 1,735,210 | |
TIAA Seasoned Commercial Mortgage Trust: | |||
sequential payer Series 2007-C4 Class AJ, 5.482% 8/15/39 (c) | 36,404 | 36,764 | |
Series 2007-C4 Class F, 5.482% 8/15/39 (c) | 820,000 | 761,546 | |
UBS Commercial Mortgage Trust Series 2012-C1: | |||
Class D, 5.5308% 5/10/45 (b)(c) | 1,197,000 | 1,229,334 | |
Class E, 5% 5/10/45 (b)(c) | 537,000 | 465,724 | |
Class F, 5% 5/10/45 (b)(c) | 430,700 | 322,102 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.238% 6/10/30 (b)(c) | 310,000 | 308,321 | |
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(c) | 970,000 | 932,185 | |
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(c) | 1,299,000 | 1,307,091 | |
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) | 180,000 | 200,236 | |
Wachovia Bank Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 6,690,702 | 6,715,327 | |
Series 2007-C30 Class A5, 5.342% 12/15/43 | 24,454,000 | 24,653,848 | |
Series 2007-C31 Class A4, 5.509% 4/15/47 | 42,647,536 | 43,116,185 | |
Series 2007-C32 Class A3, 5.7021% 6/15/49 (c) | 40,608,000 | 41,522,914 | |
Series 2007-C33: | |||
Class A4, 5.9484% 2/15/51 (c) | 28,305,557 | 28,765,870 | |
Class A5, 5.9484% 2/15/51 (c) | 19,259,000 | 19,807,849 | |
Series 2004-C11: | |||
Class D, 5.6912% 1/15/41 (c) | 320,979 | 324,475 | |
Class E, 5.7412% 1/15/41 (c) | 327,000 | 335,175 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2010-C1 Class XB, 0.5901% 11/15/43 (b)(c)(k) | 20,614,217 | 467,961 | |
Series 2012-LC5: | |||
Class C, 4.693% 10/15/45 (c) | 569,000 | 603,015 | |
Class D, 4.7762% 10/15/45 (b)(c) | 1,621,000 | 1,581,150 | |
Series 2013-LC12 Class C, 4.2971% 7/15/46 (c) | 760,000 | 788,285 | |
Series 2015-C31 Class XA, 1.1183% 11/15/48 (c)(k) | 38,565,084 | 2,892,559 | |
Series 2015-NXS4 Class E, 3.6025% 12/15/48 (b)(c) | 588,000 | 411,476 | |
Series 2016-BNK1: | |||
Class C, 3.071% 8/15/49 | 700,000 | 696,473 | |
Class D, 3% 8/15/49 (b) | 250,000 | 200,002 | |
Series 2016-C34 Class XA, 2.1922% 6/15/49 (c)(k) | 34,695,637 | 4,986,839 | |
Series 2016-C35 Class D, 3.142% 7/15/48 (b) | 924,000 | 662,348 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (b) | 325,000 | 258,018 | |
Series 2011-C3: | |||
Class C, 5.335% 3/15/44 (b) | 360,000 | 390,644 | |
Class D, 5.6399% 3/15/44 (b)(c) | 800,000 | 840,234 | |
Class E, 5% 3/15/44 (b) | 890,000 | 820,310 | |
Class F, 5% 3/15/44 (b) | 693,000 | 549,871 | |
Series 2011-C4: | |||
Class D, 5.2482% 6/15/44 (b)(c) | 408,000 | 429,713 | |
Class E, 5.2482% 6/15/44 (b)(c) | 439,432 | 454,592 | |
Series 2011-C5: | |||
Class C, 5.6574% 11/15/44 (b)(c) | 260,000 | 288,836 | |
Class D, 5.6574% 11/15/44 (b)(c) | 600,000 | 654,482 | |
Class E, 5.6574% 11/15/44 (b)(c) | 1,853,000 | 1,914,075 | |
Class F, 5.25% 11/15/44 (b)(c) | 933,000 | 798,676 | |
Class G, 5.25% 11/15/44 (b)(c) | 329,000 | 260,775 | |
Class XA, 1.8567% 11/15/44 (b)(c)(k) | 4,302,212 | 297,522 | |
Series 2012-C10: | |||
Class D, 4.4531% 12/15/45 (b)(c) | 422,000 | 400,465 | |
Class E, 4.4531% 12/15/45 (b)(c) | 1,190,000 | 963,767 | |
Class F, 4.4531% 12/15/45 (b)(c) | 1,726,000 | 1,236,971 | |
Series 2012-C6 Class D, 5.5698% 4/15/45 (b)(c) | 540,000 | 557,229 | |
Series 2012-C7: | |||
Class C, 4.8361% 6/15/45 (c) | 1,270,000 | 1,391,588 | |
Class E, 4.8361% 6/15/45 (b)(c) | 2,501,000 | 2,456,101 | |
Class F, 4.5% 6/15/45 (b) | 357,000 | 267,121 | |
Class G, 4.5% 6/15/45 (b) | 1,076,000 | 760,869 | |
Series 2012-C8: | |||
Class D, 4.8735% 8/15/45 (b)(c) | 650,000 | 651,945 | |
Class E, 4.8735% 8/15/45 (b)(c) | 335,000 | 325,306 | |
Series 2013-C11: | |||
Class D, 4.1781% 3/15/45 (b)(c) | 870,000 | 808,841 | |
Class E, 4.1781% 3/15/45 (b)(c) | 1,750,000 | 1,317,336 | |
Series 2013-C13 Class D, 4.1386% 5/15/45 (b)(c) | 600,000 | 552,367 | |
Series 2013-C16 Class D, 4.9829% 9/15/46 (b)(c) | 193,000 | 189,526 | |
Series 2013-UBS1 Class D, 4.6282% 3/15/46 (b)(c) | 756,000 | 723,890 | |
Series 2014-C19 Class XA, 1.2541% 3/15/47 (c)(k) | 36,965,718 | 2,287,002 | |
Series 2014-C21 Class XA, 1.1677% 8/15/47 (c)(k) | 107,272,406 | 6,835,333 | |
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | |||
Class F, 4.2017% 11/15/29 (b)(c) | 1,054,900 | 1,016,070 | |
Class G, 3.5014% 11/15/29 (b)(c) | 249,062 | 230,470 | |
WP Glimcher Mall Trust Series 2015-WPG Class PR2, 3.516% 6/5/35 (b)(c) | 609,000 | 515,760 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,024,572,470) | 1,028,414,829 | ||
Municipal Securities - 1.8% | |||
California Gen. Oblig.: | |||
Series 2009, 7.35% 11/1/39 | $2,650,000 | $4,115,609 | |
7.3% 10/1/39 | 27,595,000 | 42,701,883 | |
7.5% 4/1/34 | 9,105,000 | 14,053,659 | |
7.55% 4/1/39 | 18,745,000 | 30,544,603 | |
7.6% 11/1/40 | 29,220,000 | 48,207,740 | |
7.625% 3/1/40 | 10,110,000 | 16,320,169 | |
Chicago Gen. Oblig.: | |||
(Taxable Proj.): | |||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,436,028 | |
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 16,054,637 | |
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 3,034,453 | |
6.314% 1/1/44 | 19,560,000 | 19,902,691 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.35% 6/1/18 | 6,431,333 | 6,567,485 | |
4.95% 6/1/23 | 24,240,000 | 25,575,624 | |
5.1% 6/1/33 | 63,045,000 | 61,467,614 | |
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 13,100,320 | |
Series 2010-3: | |||
5.547% 4/1/19 | 330,000 | 350,714 | |
6.725% 4/1/35 | 17,810,000 | 19,561,792 | |
7.35% 7/1/35 | 8,165,000 | 9,405,019 | |
Series 2010-5, 6.2% 7/1/21 | 8,160,000 | 8,853,600 | |
Series 2011: | |||
5.365% 3/1/17 | 395,000 | 402,651 | |
5.665% 3/1/18 | 21,275,000 | 22,356,621 | |
5.877% 3/1/19 | 77,850,000 | 84,460,244 | |
Series 2013: | |||
2.69% 12/1/17 | $3,365,000 | 3,388,992 | |
3.14% 12/1/18 | 3,490,000 | 3,519,840 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $428,220,954) | 456,381,988 | ||
Foreign Government and Government Agency Obligations - 0.9% | |||
Argentine Republic: | |||
6.25% 4/22/19 (b) | $4,015,000 | $4,273,968 | |
6.875% 4/22/21 (b) | 8,675,000 | 9,408,038 | |
7% 4/17/17 | 13,390,000 | 13,717,311 | |
7.5% 4/22/26(b) | 975,000 | 1,087,125 | |
8.75% 5/7/24 | 1,165,000 | 1,346,813 | |
Azerbaijan Republic 4.75% 3/18/24 (b) | 760,000 | 780,900 | |
Belarus Republic 8.95% 1/26/18 | 5,335,000 | 5,575,075 | |
Brazilian Federative Republic: | |||
4.25% 1/7/25 | 11,895,000 | 11,895,000 | |
5.625% 1/7/41 | 13,460,000 | 13,594,600 | |
6% 4/7/26 | 830,000 | 926,488 | |
7.125% 1/20/37 | 4,305,000 | 5,122,950 | |
8.25% 1/20/34 | 5,840,000 | 7,665,000 | |
Buenos Aires Province: | |||
5.75% 6/15/19 (b) | 395,000 | 410,800 | |
9.375% 9/14/18 (b) | 1,110,000 | 1,218,225 | |
9.95% 6/9/21 (b) | 775,000 | 877,688 | |
10.875% 1/26/21 (Reg. S) | 6,535,000 | 7,564,263 | |
City of Buenos Aires 8.95% 2/19/21 (b) | 1,660,000 | 1,871,650 | |
Colombian Republic: | |||
5% 6/15/45 | 400,000 | 433,500 | |
5.625% 2/26/44 | 550,000 | 634,563 | |
6.125% 1/18/41 | 5,000 | 6,031 | |
7.375% 9/18/37 | 1,320,000 | 1,771,770 | |
10.375% 1/28/33 | 2,100,000 | 3,286,500 | |
Congo Republic 4% 6/30/29 (d) | 3,666,696 | 2,470,895 | |
Costa Rican Republic: | |||
4.25% 1/26/23 (b) | 270,000 | 267,975 | |
5.625% 4/30/43 (b) | 490,000 | 461,825 | |
7% 4/4/44 (b) | 1,450,000 | 1,587,750 | |
Croatia Republic: | |||
5.5% 4/4/23 (b) | 410,000 | 447,925 | |
6% 1/26/24 (b) | 600,000 | 673,980 | |
6.375% 3/24/21 (b) | 960,000 | 1,068,029 | |
6.625% 7/14/20 (b) | 770,000 | 854,333 | |
6.75% 11/5/19 (b) | 350,000 | 385,875 | |
Democratic Socialist Republic of Sri Lanka: | |||
6.25% 10/4/20 (b) | 830,000 | 871,505 | |
6.25% 7/27/21 (b) | 360,000 | 380,256 | |
Dominican Republic: | |||
1.8125% 8/30/24 (c) | 4,600,000 | 4,490,750 | |
6.85% 1/27/45 (b) | 1,395,000 | 1,583,325 | |
6.875% 1/29/26 (b) | 1,220,000 | 1,409,100 | |
7.45% 4/30/44 (b) | 2,240,000 | 2,688,000 | |
7.5% 5/6/21 (b) | 1,880,000 | 2,114,060 | |
El Salvador Republic: | |||
7.625% 2/1/41 (b) | 250,000 | 261,250 | |
7.65% 6/15/35 (Reg. S) | 50,000 | 53,250 | |
Georgia Republic 6.875% 4/12/21 (b) | 495,000 | 551,925 | |
German Federal Republic: | |||
0% 4/9/21(Reg. S) | EUR | 700,000 | 801,100 |
0% 8/15/26(Reg. S) | EUR | 300,000 | 337,218 |
4% 1/4/37 | EUR | 1,075,000 | 2,082,504 |
Guatemalan Republic 4.5% 5/3/26 (b) | 550,000 | 581,625 | |
Hungarian Republic: | |||
5.375% 3/25/24 | 594,000 | 680,902 | |
5.75% 11/22/23 | 1,310,000 | 1,526,936 | |
7.625% 3/29/41 | 870,000 | 1,326,750 | |
Indonesian Republic: | |||
2.625% 6/14/23 | EUR | 3,600,000 | 4,227,528 |
2.875% 7/8/21(Reg. S) | EUR | 3,850,000 | 4,616,569 |
3.375% 4/15/23 (b) | 555,000 | 571,693 | |
4.75% 1/8/26 (b) | 745,000 | 830,592 | |
5.25% 1/17/42 (b) | 715,000 | 822,073 | |
5.375% 10/17/23 | 725,000 | 836,585 | |
5.95% 1/8/46 (b) | 430,000 | 544,917 | |
6.625% 2/17/37 (b) | 1,550,000 | 2,026,205 | |
6.75% 1/15/44 (b) | 490,000 | 669,942 | |
7.75% 1/17/38 (b) | 2,545,000 | 3,670,427 | |
8.5% 10/12/35 (Reg. S) | 2,385,000 | 3,612,569 | |
Islamic Republic of Pakistan: | |||
7.25% 4/15/19 (b) | 2,485,000 | 2,654,032 | |
8.25% 4/15/24 (b) | 1,000,000 | 1,122,562 | |
Ivory Coast 5.75% 12/31/32 | 3,118,500 | 3,100,194 | |
Kazakhstan Republic: | |||
5.125% 7/21/25 (b) | 715,000 | 803,660 | |
6.5% 7/21/45 (b) | 645,000 | 805,528 | |
Lebanese Republic: | |||
4% 12/31/17 | 2,279,250 | 2,260,742 | |
5.45% 11/28/19 | 575,000 | 565,352 | |
Panamanian Republic: | |||
6.7% 1/26/36 | 320,000 | 445,600 | |
8.875% 9/30/27 | 285,000 | 430,350 | |
9.375% 4/1/29 | 365,000 | 573,050 | |
Perusahaan Penerbit SBSN 4.55% 3/29/26 (b) | 765,000 | 826,200 | |
Peruvian Republic 4% 3/7/27 (d) | 1,360,000 | 1,360,000 | |
Philippine Republic 9.5% 2/2/30 | 745,000 | 1,299,880 | |
Provincia de Cordoba: | |||
7.125% 6/10/21 (b) | 2,580,000 | 2,657,400 | |
12.375% 8/17/17 (b) | 1,269,000 | 1,370,520 | |
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,950,000 | 1,952,535 | |
Republic of Armenia: | |||
6% 9/30/20 (b) | 2,531,000 | 2,619,585 | |
7.15% 3/26/25 (b) | 995,000 | 1,070,093 | |
Republic of Iceland 5.875% 5/11/22 (b) | 560,000 | 653,986 | |
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 4,875,000 | 3,942,900 | |
Republic of Nigeria 5.125% 7/12/18 (b) | 1,330,000 | 1,343,300 | |
Republic of Serbia: | |||
6.75% 11/1/24 (b) | 1,965,269 | 1,991,376 | |
7.25% 9/28/21 (b) | 1,450,000 | 1,680,202 | |
Russian Federation: | |||
4.5% 4/4/22 (b) | 200,000 | 214,300 | |
4.875% 9/16/23 (b) | 1,335,000 | 1,460,223 | |
5% 4/29/20 (b) | 625,000 | 672,813 | |
5.625% 4/4/42 (b) | 1,000,000 | 1,144,796 | |
5.875% 9/16/43 (b) | 1,700,000 | 2,010,049 | |
12.75% 6/24/28 (Reg. S) | 6,340,000 | 11,421,256 | |
South African Republic 5.875% 5/30/22 | 250,000 | 279,583 | |
Turkish Republic: | |||
3.25% 3/23/23 | 245,000 | 232,549 | |
5.125% 3/25/22 | 515,000 | 540,879 | |
5.625% 3/30/21 | 1,325,000 | 1,421,063 | |
6.25% 9/26/22 | 1,080,000 | 1,197,450 | |
6.75% 5/30/40 | 1,375,000 | 1,641,310 | |
6.875% 3/17/36 | 1,795,000 | 2,142,404 | |
7% 6/5/20 | 635,000 | 706,285 | |
7.25% 3/5/38 | 1,150,000 | 1,438,765 | |
7.375% 2/5/25 | 1,055,000 | 1,269,019 | |
7.5% 11/7/19 | 1,765,000 | 1,979,469 | |
8% 2/14/34 | 760,000 | 1,004,446 | |
11.875% 1/15/30 | 1,305,000 | 2,207,786 | |
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) | 670,000 | 689,778 | |
Ukraine Government: | |||
0% 5/31/40 (b)(c) | 776,000 | 249,329 | |
7.75% 9/1/19 (b) | 505,000 | 501,869 | |
7.75% 9/1/20 (b) | 548,000 | 540,964 | |
7.75% 9/1/21 (b) | 444,000 | 435,697 | |
7.75% 9/1/22 (b) | 444,000 | 431,790 | |
7.75% 9/1/23 (b) | 444,000 | 432,345 | |
7.75% 9/1/24 (b) | 321,000 | 310,985 | |
7.75% 9/1/25 (b) | 321,000 | 309,027 | |
7.75% 9/1/26 (b) | 321,000 | 308,256 | |
7.75% 9/1/27 (b) | 421,000 | 402,055 | |
United Kingdom, Great Britain and Northern Ireland: | |||
1.5% 7/22/26(Reg. S) | GBP | 200,000 | 284,746 |
2% 9/7/25(Reg. S) | GBP | 1,285,000 | 1,904,957 |
4.25% 3/7/36 | GBP | 125,000 | 254,249 |
4.5% 9/7/34 | GBP | 2,135,000 | 4,381,652 |
United Mexican States 6.05% 1/11/40 | 670,000 | 866,813 | |
United Republic of Tanzania 6.8921% 3/9/20 (c) | 182,222 | 188,600 | |
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,015,000 | 1,461,601 | |
Venezuelan Republic: | |||
9.25% 9/15/27 | 2,870,000 | 1,442,175 | |
11.95% 8/5/31 (Reg. S) | 1,875,000 | 946,875 | |
12.75% 8/23/22 | 1,130,000 | 616,980 | |
Vietnamese Socialist Republic: | |||
1.75% 3/13/28 (c) | 195,000 | 187,200 | |
4% 3/12/28 (d) | 5,361,833 | 5,361,833 | |
4.8% 11/19/24 (b) | 1,000,000 | 1,085,119 | |
6.75% 1/29/20 (b) | 885,000 | 995,652 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $219,448,297) | 238,960,440 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 807,296 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Pacific Exploration and Production Corp. warrants | 30,100 | 96,320 | |
Southwestern Energy Co. (o) | 14,861 | 206,717 | |
Warrior Met Coal LLC Class A (p) | 2,289 | 321,811 | |
624,848 | |||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
HealthSouth Corp. warrants 1/17/17 (o) | 43 | 108 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 2,477,146 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
FairPoint Communications, Inc. (o) | 19,400 | 270,436 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E, (o) | 1 | 34,600 | |
TOTAL TELECOMMUNICATION SERVICES | 305,036 | ||
UTILITIES - 0.0% | |||
Gas Utilities - 0.0% | |||
Southcross Holdings Borrower LP | 395 | 296,128 | |
TOTAL COMMON STOCKS | |||
(Cost $9,441,130) | 4,510,562 | ||
Preferred Stocks - 0.1% | |||
Convertible Preferred Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Southwestern Energy Co. Series B 6.25% | 243,900 | 7,853,580 | |
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D, 7.00% | 9,000 | 313,290 | |
FelCor Lodging Trust, Inc. Series A, 1.95% | 17,900 | 450,543 | |
763,833 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS | 8,617,413 | ||
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 | 387,000 | |
American Homes 4 Rent Series D, 6.50% | 24,500 | 664,440 | |
Annaly Capital Management, Inc. Series C, 7.625% | 27,600 | 702,972 | |
Boston Properties, Inc. 5.25% | 17,500 | 456,400 | |
CBL & Associates Properties, Inc. Series D, 7.375% | 7,720 | 196,860 | |
Cedar Shopping Centers, Inc. Series B, 7.25% | 10,000 | 258,700 | |
Corporate Office Properties Trust Series L, 7.375% | 12,221 | 323,123 | |
CYS Investments, Inc. Series B, 7.50% | 17,000 | 412,250 | |
DDR Corp. Series K, 6.25% | 17,823 | 470,527 | |
Digital Realty Trust, Inc. Series E, 7.00% | 10,000 | 253,400 | |
Equity Lifestyle Properties, Inc. Series C, 6.75% | 39,667 | 1,040,069 | |
Hospitality Properties Trust Series D, 7.125% | 10,000 | 258,000 | |
LaSalle Hotel Properties Series H, 7.50% | 10,000 | 257,000 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 580,725 | |
PS Business Parks, Inc. Series S, 6.45% | 21,000 | 543,270 | |
Public Storage Series S, 5.90% | 20,000 | 514,800 | |
Realty Income Corp. Series F, 6.625% | 12,000 | 313,920 | |
Regency Centers Corp. Series 6, 6.625% | 5,510 | 142,709 | |
Retail Properties America, Inc. Series A, 7.00% | 24,109 | 662,756 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 499,365 | |
Stag Industrial, Inc. Series A, 9.00% | 20,000 | 520,000 | |
Sun Communities, Inc. Series A, 7.125% | 34,701 | 909,166 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 297,396 | |
10,664,848 | |||
TOTAL PREFERRED STOCKS | |||
(Cost $15,162,887) | 19,282,261 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 5.1% | |||
CONSUMER DISCRETIONARY - 1.6% | |||
Auto Components - 0.0% | |||
Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (c) | 1,475,417 | 1,404,922 | |
North American Lifting Holdings, Inc.: | |||
Tranche 1LN, term loan 5.5% 11/27/20 (c) | 4,588,489 | 3,498,723 | |
Tranche 2LN, term loan 10% 11/27/21 (c) | 1,594,000 | 1,052,040 | |
Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (c) | 905,699 | 900,038 | |
6,855,723 | |||
Automobiles - 0.0% | |||
Chrysler Group LLC term loan 3.25% 12/31/18 (c) | 750,577 | 751,140 | |
Distributors - 0.0% | |||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (c) | 938,018 | 939,837 | |
Diversified Consumer Services - 0.2% | |||
Bright Horizons Family Solutions Tranche B 2LN, term loan 4.2502% 1/30/20 (c) | 1,482,425 | 1,484,649 | |
Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (c) | 1,076,270 | 1,079,133 | |
Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (c) | 7,345,159 | 7,269,871 | |
Creative Artists Agency LLC Tranche B, term loan 5% 12/17/21 (c) | 3,892,720 | 3,902,452 | |
KC Mergersub, Inc.: | |||
Tranche 1LN, term loan 6% 8/13/22 (c) | 2,979,994 | 2,972,544 | |
Tranche L 2LN, term loan 10.25% 8/13/23 (c) | 1,000,000 | 965,000 | |
Laureate Education, Inc. Tranche B, term loan 8.1571% 3/17/21 (c) | 13,391,052 | 13,303,206 | |
Nord Anglia Education Tranche B, term loan 5% 3/31/21 (c) | 6,860,480 | 6,851,905 | |
The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (c) | 4,795,776 | 4,824,551 | |
Wash Multifamily Acquisition, Inc.: | |||
Tranche B 1LN, term loan 4.25% 5/14/22 (c) | 3,783,886 | 3,764,966 | |
Tranche B 2LN, term loan 8% 5/14/23 (c) | 360,000 | 354,600 | |
Weight Watchers International, Inc. Tranche B 2LN, term loan 4% 4/2/20(c) | 4,310,625 | 3,295,214 | |
50,068,091 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (c) | 6,732,557 | 6,538,996 | |
Affinity Gaming LLC Tranche B, term loan 5% 7/1/23 (c) | 2,000,000 | 1,999,160 | |
American Casino & Entertainment Properties LLC Tranche B, term loan 4.75% 7/7/22 (c) | 1,307,034 | 1,313,569 | |
Aristocrat International Pty Ltd. Tranche B 1LN, term loan 3.5% 10/20/21 (c) | 4,647,092 | 4,656,758 | |
Boyd Gaming Corp. Tranche B 2LN, term loan 3.5431% 10/31/23 (c) | 2,240,000 | 2,248,400 | |
Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (c) | 2,828,022 | 2,838,627 | |
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (c) | 11,703,133 | 11,436,185 | |
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (c) | 16,626,139 | 15,981,876 | |
CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (c) | 2,198,670 | 2,209,663 | |
CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (c) | 1,034,691 | 1,040,082 | |
ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 12/15/22 (c) | 2,000,000 | 2,007,500 | |
Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (c) | 1,980,000 | 1,980,000 | |
Equinox Holdings, Inc. Tranche B 1LN, term loan 5% 2/1/20 (c) | 4,571,033 | 4,588,174 | |
ESH Hospitality, Inc. Tranche B, term loan 8/30/23 (q) | 2,730,000 | 2,735,678 | |
Four Seasons Holdings, Inc.: | |||
Tranche 2LN, term loan 6.25% 12/27/20 (c) | 3,037,000 | 3,043,317 | |
Tranche B 1LN, term loan 3.588% 6/27/20(c) | 7,123,701 | 7,134,387 | |
Golden Nugget, Inc. Tranche B, term loan: | |||
5.5% 11/21/19 (c) | 4,403,106 | 4,422,391 | |
5.5% 11/21/19 (c) | 1,886,649 | 1,894,913 | |
Graton Economic Development Authority Tranche B, term loan 4.75% 9/1/22 (c) | 4,671,890 | 4,680,673 | |
Hilton Worldwide Finance LLC: | |||
Tranche B 2LN, term loan 3.0964% 10/25/23 (c) | 2,835,194 | 2,847,952 | |
Tranche B, term loan 3.5% 10/25/20 (c) | 2,096,109 | 2,101,789 | |
La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3.75% 4/14/21 (c) | 3,575,374 | 3,532,183 | |
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (c) | 3,180,802 | 3,182,392 | |
Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (c) | 992,366 | 995,473 | |
LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (c) | 3,588,289 | 3,590,549 | |
MGM Mirage, Inc. Tranche A, term loan 3.2744% 4/25/21 (c) | 1,840,000 | 1,814,700 | |
Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 6/15/18 (c) | 8,123,277 | 8,109,061 | |
Planet Fitness Holdings, LLC. Tranche B, term loan 4.5% 3/31/21 (c) | 2,495,205 | 2,510,800 | |
Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (c) | 1,599,019 | 1,589,697 | |
Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (c) | 3,364,379 | 3,372,790 | |
Scientific Games Corp.: | |||
Tranche B 2LN, term loan 6% 10/1/21 (c) | 13,917,065 | 13,907,462 | |
Tranche B, term loan 6% 10/18/20 (c) | 1,498,579 | 1,498,579 | |
SMG Tranche B 1LN, term loan 4.5042% 2/27/20 (c) | 1,549,918 | 1,505,358 | |
Station Casinos LLC Tranche B, term loan 3.75% 6/8/23 (c) | 6,220,000 | 6,223,919 | |
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (c) | 1,852,142 | 1,842,881 | |
Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (c) | 1,496,911 | 1,496,911 | |
Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (c) | 475,725 | 470,173 | |
143,343,018 | |||
Household Durables - 0.0% | |||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (c) | 2,097,400 | 2,094,778 | |
Internet & Catalog Retail - 0.0% | |||
Bass Pro Group LLC Tranche B, term loan 4% 6/5/20 (c) | 1,976,977 | 1,966,262 | |
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 4% 8/19/23 (c) | 5,440,000 | 5,450,227 | |
Zayo Group LLC/Zayo Capital, Inc. Tranche B, term loan 3.75% 5/6/21 (c) | 680,520 | 681,030 | |
8,097,519 | |||
Leisure Products - 0.0% | |||
SRAM LLC. Tranche B, term loan 4.0184% 4/10/20 (c) | 2,828,011 | 2,707,821 | |
Media - 0.5% | |||
Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (c) | 9,909,762 | 9,633,081 | |
Altice U.S. Finance SA Tranche B, term loan 4.25% 12/14/22 (c) | 1,739,341 | 1,745,864 | |
AMC Entertainment, Inc. Tranche B, term loan 4% 12/15/22 (c) | 1,985,000 | 1,996,176 | |
CDS U.S. Intermediate Holdings, Inc.: | |||
Tranche B 1LN, term loan 5% 7/8/22 (c) | 1,839,093 | 1,817,630 | |
Tranche B 2LN, term loan 9.25% 7/8/23 (c) | 465,000 | 420,825 | |
Cengage Learning, Inc. Tranche B, term loan 5.25% 6/7/23 (c) | 6,215,000 | 6,203,378 | |
Charter Communication Operating LLC: | |||
Tranche H, term loan 3.25% 8/24/21 (c) | 997,500 | 1,000,413 | |
Tranche I, term loan 3.5% 1/24/23 (c) | 6,319,163 | 6,350,758 | |
Charter Communications Operating LLC: | |||
Tranche E, term loan 3% 7/1/20 (c) | 1,478,142 | 1,480,404 | |
Tranche F, term loan 3% 1/3/21 (c) | 4,415,232 | 4,418,279 | |
Clear Channel Communications, Inc. Tranche D, term loan 7.2744% 1/30/19 (c) | 16,730,000 | 12,823,545 | |
CSC Holdings LLC Tranche B, term loan 5% 10/9/22 (c) | 1,995,000 | 2,010,381 | |
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (c) | 5,168,680 | 4,376,786 | |
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (c) | 3,533,577 | 3,504,884 | |
ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (c) | 1,438,474 | 1,440,272 | |
JD Power & Associates Tranche B 1LN, term loan 5.25% 6/9/23 (c) | 780,000 | 782,925 | |
Karman Buyer Corp.: | |||
Tranche 1LN, term loan 4.25% 7/25/21 (c) | 3,644,111 | 3,614,047 | |
Tranche 2LN, term loan 7.5% 7/25/22 (c) | 2,880,000 | 2,738,390 | |
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 4.5% 1/7/22 (c) | 1,620,000 | 1,595,700 | |
McGraw-Hill Global Education Holdings, LLC term loan 5% 5/4/22 (c) | 7,940,000 | 7,974,777 | |
Numericable LLC: | |||
Tranche B 1LN, term loan 4.564% 7/20/22 (c) | 992,500 | 992,679 | |
Tranche B 6LN, term loan 4.7515% 2/10/23 (c) | 3,980,000 | 3,989,950 | |
Tranche B, term loan 5.0015% 1/15/24 (c) | 6,618,413 | 6,653,159 | |
Proquest LLC Tranche B, term loan 5.75% 10/24/21 (c) | 3,958,190 | 3,916,946 | |
Regal Cinemas Corp. Tranche B, term loan 3.5% 4/1/22 (c) | 992,500 | 995,974 | |
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (c) | 14,295,192 | 13,830,598 | |
Trader Corp. Tranche B 1LN, term loan 8/9/23 (q) | 2,500,000 | 2,501,575 | |
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (c) | 4,050,268 | 4,047,960 | |
Virgin Media Investment Holdings Ltd. Tranche B, term loan 3.6492% 6/30/23 (c) | 1,013,348 | 1,013,207 | |
WideOpenWest Finance LLC Tranche B, term loan 4.5% 8/19/23 (c) | 9,910,000 | 9,860,450 | |
Ziggo B.V.: | |||
Tranche B 1LN, term loan 3.6519% 1/15/22 (c) | 1,945,681 | 1,935,952 | |
Tranche B 2LN, term loan 3.6559% 1/15/22 (c) | 1,254,447 | 1,248,175 | |
Tranche B 3LN, term loan 3.7014% 1/15/22 (c) | 2,062,872 | 2,052,558 | |
Ziggo Secured Finance Partnership Tranche D, term loan 8/31/24 (q) | 4,295,000 | 4,278,894 | |
133,246,592 | |||
Multiline Retail - 0.1% | |||
Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 7/6/22 (c) | 2,747,879 | 2,751,891 | |
JC Penney Corp., Inc. Tranche B, term loan 5.25% 6/23/23 (c) | 19,320,000 | 19,392,450 | |
Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (c) | 9,062,677 | 8,779,469 | |
30,923,810 | |||
Specialty Retail - 0.2% | |||
ABB Optical Group LLC Tranche B, term loan 6% 6/15/23 (c) | 1,140,000 | 1,143,568 | |
Academy Ltd. Tranche B, term loan 5% 7/2/22 (c) | 5,205,759 | 5,078,894 | |
Davids Bridal, Inc. Tranche B, term loan 5.00% 10/11/19(c) | 1,863,830 | 1,741,135 | |
General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (c) | 1,640,014 | 1,620,875 | |
J. Crew Group, Inc. Tranche B, term loan 4% 3/5/21 (c) | 3,982,882 | 3,138,511 | |
Party City Holdings, Inc. Tranche B, term loan 4.4717% 8/19/22 (c) | 5,119,784 | 5,125,364 | |
Petco Holdings, Inc. Tranche B 1LN, term loan 5% 1/26/23 (c) | 4,987,469 | 5,028,316 | |
PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (c) | 14,300,016 | 14,320,322 | |
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (c)(e) | 3,137,000 | 920,176 | |
38,117,161 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (c) | 3,413,049 | 3,421,581 | |
Samsonite IP Holdings SARL Tranche B, term loan 4% 5/13/23 (c) | 1,175,000 | 1,186,750 | |
4,608,331 | |||
TOTAL CONSUMER DISCRETIONARY | 421,753,821 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.0% | |||
Blue Ribbon LLC Tranche B 1LN, term loan 5% 11/13/21 (c) | 5,930,150 | 5,970,950 | |
Food & Staples Retailing - 0.3% | |||
Albertson's LLC: | |||
Tranche B 4LN, term loan 4.5% 8/25/21 (c) | 18,913,442 | 18,986,826 | |
Tranche B 5LN, term loan 4.75% 12/21/22 (c) | 6,652,625 | 6,688,416 | |
Tranche B 6LN, term loan 4.75% 6/22/23 (c) | 5,908,571 | 5,939,769 | |
BJ's Wholesale Club, Inc.: | |||
Tranche 2LN, term loan 8.5% 3/31/20 (c) | 649,890 | 650,975 | |
Tranche B 1LN, term loan 4.5% 9/26/19 (c) | 5,776,693 | 5,771,090 | |
Candy Intermediate Holdings, Inc. Tranche B 1LN, term loan 5.5% 6/15/23 (c) | 3,000,000 | 2,994,390 | |
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (c) | 1,072,224 | 1,029,335 | |
GOBP Holdings, Inc.: | |||
Tranche 2LN, term loan 9.25% 10/21/22 (c) | 1,129,000 | 1,123,355 | |
Tranche B 1LN, term loan 5% 10/21/21 (c) | 3,893,099 | 3,839,568 | |
Pizza Hut Holdings LLC Tranche B, term loan 3.2574% 6/16/23 (c) | 3,000,000 | 3,017,670 | |
Shearer's Foods, Inc.: | |||
Tranche 2LN, term loan 7.75% 6/30/22 (c) | 2,913,000 | 2,621,700 | |
Tranche B 1LN, term loan 4.9375% 6/30/21 (c) | 3,366,601 | 3,345,560 | |
Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (c) | 2,378,000 | 2,376,026 | |
SUPERVALU, Inc. Tranche B, term loan 5.5% 3/21/19 (c) | 1,040,526 | 1,040,838 | |
U.S. Foods, Inc. Tranche B, term loan 4% 6/27/23 (c) | 3,500,000 | 3,515,330 | |
62,940,848 | |||
Food Products - 0.0% | |||
AdvancePierre Foods, Inc. Tranche B 1LN, term loan 4.5% 6/2/23 (c) | 1,954,154 | 1,967,344 | |
Hostess Brands LLC: | |||
Tranche B 1LN, term loan 4.5% 8/3/22 (c) | 1,061,975 | 1,067,019 | |
Tranche B 2LN, term loan 8.5% 8/3/23 (c) | 125,000 | 125,156 | |
JBS U.S.A. LLC Tranche B, term loan 4% 10/30/22 (c) | 1,492,500 | 1,488,142 | |
Keurig Green Mountain, Inc. Tranche B, term loan 5.25% 3/3/23 (c) | 3,361,667 | 3,391,922 | |
8,039,583 | |||
Personal Products - 0.0% | |||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (c) | 2,580,207 | 2,578,607 | |
TOTAL CONSUMER STAPLES | 79,529,988 | ||
ENERGY - 0.2% | |||
Energy Equipment & Services - 0.0% | |||
Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (c) | 4,027,801 | 3,040,990 | |
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (c) | 3,114,784 | 2,097,277 | |
Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (c) | 2,986,531 | 2,365,900 | |
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (c) | 1,354,465 | 358,933 | |
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (c) | 4,549,194 | 2,179,837 | |
10,042,937 | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.5% 6/20/21 (c) | 961,650 | 959,650 | |
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (c) | 2,149,800 | 2,139,051 | |
California Resources Corp. Tranche 1LN, term loan 12/31/21 (q) | 4,615,000 | 4,834,213 | |
Chesapeake Energy Corp. Tranche 1LN, term loan 8.5% 8/16/21 (c) | 5,220,000 | 5,383,125 | |
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (c) | 1,882,000 | 1,685,952 | |
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (c) | 2,595,390 | 2,610,806 | |
Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (c) | 527,940 | 518,569 | |
Crestwood Holdings Partners LLC Tranche B, term loan 9% 6/19/19 (c) | 8,188,846 | 7,431,377 | |
Energy Transfer Equity LP Tranche C, term loan 4.0424% 12/2/19 (c) | 2,797,824 | 2,773,343 | |
Foresight Energy LLC Tranche B, term loan 7.5% 8/23/20 (c) | 1,105,000 | 983,450 | |
Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (c) | 6,789,913 | 6,518,316 | |
Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (c) | 9,696,158 | 9,211,350 | |
Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (c) | 433,949 | 429,609 | |
Panda Temple Power, LLC term loan 7.25% 4/3/19 (c) | 1,014,900 | 923,559 | |
Peabody Energy Corp. Tranche B, term loan 0% 9/24/20 (c)(e) | 2,582,518 | 1,776,411 | |
Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (c) | 1,699,980 | 1,371,323 | |
Targa Resources Corp. term loan 5.75% 2/27/22 (c) | 1,470,512 | 1,470,512 | |
Western Refining, Inc. Tranche B, term loan 5.25% 11/12/20 (c) | 829,242 | 809,034 | |
51,829,650 | |||
TOTAL ENERGY | 61,872,587 | ||
FINANCIALS - 0.4% | |||
Capital Markets - 0.0% | |||
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (c) | 836,772 | 834,680 | |
IBC Capital U.S. LLC: | |||
Tranche 2LN, term loan 8% 9/11/22 (c) | 2,505,000 | 2,229,450 | |
Tranche B 1LN, term loan 4.75% 9/11/21 (c) | 1,969,075 | 1,895,235 | |
4,959,365 | |||
Diversified Financial Services - 0.1% | |||
Assuredpartners, Inc. Tranche B 1LN, term loan 5.75% 10/22/22 (c) | 3,579,092 | 3,591,011 | |
Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (c) | 4,118,000 | 4,129,777 | |
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (c) | 473,270 | 460,255 | |
Flying Fortress Holdings, Inc. Tranche B, term loan 3.5% 4/30/20 (c) | 2,000,000 | 2,005,000 | |
NMSC Holdings, Inc. Tranche B 1LN, term loan 6% 4/19/23 (c) | 1,395,317 | 1,405,782 | |
TransUnion LLC Tranche B 2LN, term loan 3.5% 4/9/21 (c) | 4,944,425 | 4,958,862 | |
UFC Holdings LLC: | |||
Tranche 2LN, term loan 8.5% 8/18/24 (c) | 1,235,000 | 1,242,336 | |
Tranche B 1LN, term loan 5% 8/18/23 (c) | 4,500,000 | 4,509,000 | |
VF Holdings Corp. Tranche B 1LN, term loan 4.75% 6/30/23 (c) | 1,500,000 | 1,502,295 | |
23,804,318 | |||
Insurance - 0.1% | |||
Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (c) | 3,975,000 | 3,958,106 | |
Asurion LLC: | |||
Tranche B 1LN, term loan 5% 5/24/19 (c) | 3,534,379 | 3,536,323 | |
Tranche B 2LN, term loan 4.25% 7/8/20 (c) | 939,926 | 935,057 | |
Tranche B 2LN, term loan 8.5% 3/3/21 (c) | 2,770,000 | 2,758,920 | |
Tranche B 4LN, term loan 5% 8/4/22 (c) | 5,920,763 | 5,918,632 | |
HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (c) | 5,855,306 | 5,831,534 | |
Lonestar Intermediate Super Holdings LLC term loan 10% 8/10/21 pay-in-kind | 1,955,000 | 1,944,736 | |
24,883,308 | |||
Real Estate Investment Trusts - 0.1% | |||
Communications Sales & Leasing, Inc. Tranche B, term loan 5% 10/24/22 (c) | 4,907,582 | 4,907,582 | |
iStar Financial, Inc. Tranche B, term loan 5.5% 7/1/20 (c) | 1,235,000 | 1,242,719 | |
6,150,301 | |||
Real Estate Management & Development - 0.1% | |||
Americold Realty Operating Partnership LP Tranche B, term loan 5.75% 12/1/22 (c) | 2,490,650 | 2,515,557 | |
DTZ U.S. Borrower LLC: | |||
Tranche 2LN, term loan 9.25% 11/4/22 (c) | 1,882,000 | 1,893,763 | |
Tranche B 1LN, term loan 4.25% 11/4/21 (c) | 6,761,242 | 6,725,340 | |
MGM Growth Properties Operating Partner LP Tranche B, term loan 4% 4/25/23 (c) | 7,286,738 | 7,345,323 | |
Realogy Group LLC Tranche B, term loan 3.75% 7/20/22 (c) | 8,175,000 | 8,215,875 | |
26,695,858 | |||
Thrifts& Mortgage Finance - 0.0% | |||
Ocwen Loan Servicing, LLC Tranche B, term loan 5.5% 2/15/18 (c) | 1,285,608 | 1,279,579 | |
TOTAL FINANCIALS | 87,772,729 | ||
HEALTH CARE - 0.5% | |||
Biotechnology - 0.0% | |||
AMAG Pharmaceuticals, Inc. Tranche B, term loan 4.75% 8/17/21 (c) | 2,638,612 | 2,638,612 | |
Health Care Equipment & Supplies - 0.1% | |||
Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (c) | 1,374,683 | 1,357,499 | |
American Renal Holdings, Inc. Tranche B 1LN, term loan 4.75% 8/20/19 (c) | 1,997,349 | 1,964,892 | |
DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (c) | 3,993,777 | 3,847,325 | |
Hill-Rom Holdings, Inc. Tranche B, term loan 3.5% 9/8/22 (c) | 1,320,000 | 1,327,154 | |
Ortho-Clinical Diagnostics, Inc. Tranche B, term loan 4.75% 6/30/21 (c) | 3,270,000 | 3,190,310 | |
11,687,180 | |||
Health Care Providers & Services - 0.2% | |||
AmSurg Corp. Tranche B, term loan 3.5% 7/16/21 (c) | 2,402,057 | 2,403,066 | |
Community Health Systems, Inc.: | |||
Tranche F, term loan 4.0834% 12/31/18 (c) | 878,235 | 864,877 | |
Tranche G, term loan 3.75% 12/31/19 (c) | 1,960,952 | 1,882,514 | |
Tranche H, term loan 4% 1/27/21 (c) | 10,177,105 | 9,751,804 | |
Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (c) | 990,000 | 991,238 | |
Emergency Medical Services Corp. Tranche B, term loan 4.25% 5/25/18 (c) | 1,867,497 | 1,867,497 | |
Gold Merger Co., Inc. Tranche B, term loan 4.75% 7/27/23 (c) | 855,000 | 857,138 | |
HCA Holdings, Inc.: | |||
Tranche B 6LN, term loan 3.7744% 3/18/23 (c) | 7,980,000 | 8,071,770 | |
Tranche B 7LN, term loan 3.567% 2/15/24 (c) | 3,000,000 | 3,027,000 | |
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (c) | 3,409,164 | 2,846,652 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (c) | 2,151,409 | 2,157,326 | |
Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (c) | 3,538,569 | 3,500,246 | |
Milk Specialties Co. Tranche B, term loan 6% 8/16/23 (c) | 1,695,000 | 1,697,119 | |
MPH Acquisition Holdings LLC Tranche B, term loan 5% 6/7/23 (c) | 2,500,000 | 2,526,050 | |
Onex Schumacher Finance LP Tranche B 1LN, term loan 5% 7/31/22 (c) | 2,979,994 | 2,989,917 | |
Precyse Acquisition Corp. Tranche B, term loan 6.5% 10/20/22 (c) | 1,500,000 | 1,504,695 | |
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (c) | 225,565 | 225,565 | |
U.S. Renal Care, Inc.: | |||
Tranche 2LN, term loan 9% 12/31/23 (c) | 3,000,000 | 2,940,000 | |
Tranche B 1LN, term loan 5.25% 12/31/22 (c) | 6,408,897 | 6,168,564 | |
Vizient, Inc. Tranche B, term loan 6.25% 2/11/23 (c) | 3,990,000 | 4,032,414 | |
60,305,452 | |||
Life Sciences Tools & Services - 0.0% | |||
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (c) | 7,028,422 | 6,997,708 | |
Pharmaceuticals - 0.2% | |||
Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (c) | 2,366,544 | 2,365,077 | |
Avantor Performance Materials Holdings, Inc. Tranche B 1LN, term loan 6% 6/21/22 (c) | 1,500,000 | 1,497,195 | |
Endo Pharmaceuticals, Inc. Tranche B, term loan 3.75% 9/25/22 (c) | 4,676,500 | 4,648,722 | |
Grifols, S.A. Tranche B, term loan 3.443% 2/27/21 (c) | 1,471,421 | 1,481,353 | |
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (c) | 3,039,312 | 3,031,714 | |
PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (c) | 3,811,711 | 3,827,910 | |
Valeant Pharmaceuticals International, Inc.: | |||
Tranche A 3LN, term loan 4.28% 10/20/18 (c) | 3,867,388 | 3,864,178 | |
Tranche B, term loan 5.5% 4/1/22 (c) | 11,147,561 | 11,161,495 | |
Tranche BD 2LN, term loan 5% 2/13/19 (c) | 5,224,331 | 5,215,607 | |
Tranche E, term loan 5.25% 8/5/20 (c) | 4,734,580 | 4,725,727 | |
41,818,978 | |||
TOTAL HEALTH CARE | 123,447,930 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.1% | |||
Camp International Holding Co.: | |||
Tranche 1LN, term loan 4.75% 8/18/23 (c) | 2,500,000 | 2,482,300 | |
Tranche 2LN, term loan 8.25% 8/18/24 (c) | 295,000 | 294,263 | |
DigitalGlobe, Inc. Tranche B, term loan 4.75% 1/31/20 (c) | 504,183 | 507,334 | |
Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (c) | 271,338 | 254,718 | |
Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (c) | 1,997,456 | 1,994,960 | |
TransDigm, Inc.: | |||
Tranche C, term loan 3.75% 2/28/20 (c) | 3,127,975 | 3,120,499 | |
Tranche D, term loan 3.75% 6/4/21 (c) | 6,011,931 | 5,995,939 | |
Tranche E, term loan 3.75% 5/14/22 (c) | 992,826 | 990,066 | |
Tranche F, term loan 3.75% 6/9/23 (c) | 1,500,000 | 1,496,250 | |
17,136,329 | |||
Airlines - 0.0% | |||
American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (c) | 1,965,150 | 1,966,074 | |
Building Products - 0.1% | |||
GCP Applied Technologies, Inc. Tranche B, term loan 4% 2/3/22 (c) | 997,500 | 1,009,969 | |
GYP Holdings III Corp. Tranche 1LN, term loan 4.75% 4/1/21 (c) | 6,942,657 | 6,925,301 | |
Jeld-Wen, Inc. Tranche B, term loan 4.75% 7/1/22 (c) | 992,500 | 996,639 | |
LBM Borrower LLC Tranche B 1LN, term loan 6.25% 8/20/22 (c) | 7,313,503 | 7,273,279 | |
Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (c) | 740,449 | 741,145 | |
16,946,333 | |||
Commercial Services & Supplies - 0.2% | |||
ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (c) | 3,547,356 | 3,542,177 | |
Apollo Security Service Borrower LLC Tranche B 1LN, term loan 4.75% 5/2/22 (c) | 10,330,000 | 10,397,765 | |
ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (c) | 1,478,315 | 1,482,469 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (c) | 5,664,448 | 5,592,226 | |
Garda World Security Corp.: | |||
term loan 4.0039% 11/8/20 (c) | 7,638,858 | 7,514,727 | |
Tranche DD, term loan 4.0039% 11/8/20 (c) | 1,589,474 | 1,563,645 | |
GCA Services Group, Inc. Tranche B 1LN, term loan 5.75% 3/1/23 (c) | 2,244,375 | 2,257,460 | |
Harland Clarke Holdings Corp. Tranche B 5LN, term loan 7% 12/31/19 (c) | 3,765,000 | 3,692,825 | |
KAR Auction Services, Inc. Tranche B 3LN, term loan 4.25% 3/9/23 (c) | 2,009,963 | 2,033,841 | |
Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (c) | 12,786,738 | 12,531,003 | |
Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (c) | 1,844,535 | 1,687,750 | |
Metal Services LLC Tranche B, term loan 8.5% 6/30/19 (c) | 1,100,114 | 1,080,862 | |
The Brickman Group, Ltd.: | |||
Tranche 2LN, term loan 7.5% 12/18/21 (c) | 560,000 | 551,600 | |
Tranche B 1LN, term loan 4% 12/18/20 (c) | 4,376,835 | 4,349,918 | |
WTG Holdings III Corp.: | |||
term loan 5.5% 1/15/21 (c) | 1,496,250 | 1,503,731 | |
Tranche B 1LN, term loan 4.75% 1/15/21 (c) | 549,545 | 550,919 | |
60,332,918 | |||
Construction & Engineering - 0.0% | |||
Drumm Investors LLC Tranche B, term loan 9.5% 5/4/18 (c) | 2,793,489 | 2,737,619 | |
Ventia Deco LLC Tranche B, term loan 5% 5/21/22 (c) | 3,164,375 | 3,176,241 | |
5,913,860 | |||
Machinery - 0.1% | |||
Generac Power Systems, Inc. Tranche B, term loan 3.5% 5/31/20 (c) | 1,287,713 | 1,286,104 | |
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 4.25% 3/13/22 (c) | 3,938,700 | 3,942,520 | |
Rexnord LLC Tranche B, term loan 4% 8/21/20 (c) | 3,243,586 | 3,242,386 | |
The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (c) | 545,183 | 536,324 | |
Wireco Worldgroup, Inc. Tranche B 1LN, term loan 7/21/23 (q) | 1,495,000 | 1,496,241 | |
10,503,575 | |||
Marine - 0.0% | |||
American Commercial Barge Line Tranche B 1LN, term loan 9.75% 11/12/20 (c) | 2,552,688 | 2,437,817 | |
Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (c) | 2,978,800 | 2,656,107 | |
5,093,924 | |||
Professional Services - 0.0% | |||
AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (c) | 2,109,063 | 2,119,608 | |
Research Now Group, Inc.: | |||
Tranche 2LN, term loan 9.75% 3/18/22 (c) | 285,000 | 273,600 | |
Tranche B 1LN, term loan 5.5% 3/18/21 (c) | 864,063 | 838,141 | |
Science Applications International Corp. Tranche B, term loan 3.25% 5/4/22 (c) | 1,405,732 | 1,416,275 | |
4,647,624 | |||
Road & Rail - 0.0% | |||
YRC Worldwide, Inc. Tranche B, term loan 8% 2/13/19 (c) | 1,456,136 | 1,368,768 | |
Trading Companies & Distributors - 0.0% | |||
Beacon Roofing Supply, Inc. Tranche B, term loan 4% 10/1/22 (c) | 4,505,950 | 4,517,215 | |
Fly Funding II Sarl Tranche B, term loan 3.54% 8/9/19 (c) | 2,215,360 | 2,215,360 | |
6,732,575 | |||
TOTAL INDUSTRIALS | 130,641,980 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
Communications Equipment - 0.0% | |||
Mitel U.S. Holdings, Inc. Tranche B, term loan 5.5% 4/29/22 (c) | 1,600,140 | 1,610,141 | |
Electronic Equipment & Components - 0.1% | |||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (c) | 2,935,519 | 2,901,761 | |
Lux FinCo U.S. SPV: | |||
Tranche 2LN, term loan 9.5% 10/16/23 (c) | 500,000 | 492,500 | |
Tranche B 1LN, term loan 5% 10/16/22 (c) | 2,409,920 | 2,411,438 | |
TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (c) | 11,997,038 | 12,012,034 | |
17,817,733 | |||
Internet Software & Services - 0.1% | |||
Abacus Innovations Corp. Tranche B, term loan 3.2744% 8/16/23 (c) | 2,000,000 | 2,009,380 | |
Datapipe, Inc. Tranche B 1LN, term loan 5.75% 3/15/19 (c) | 6,271,719 | 6,230,953 | |
EIG Investors Corp. Tranche B 1LN, term loan 6% 2/9/23 (c) | 5,930,050 | 5,371,617 | |
TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (c) | 937,028 | 937,028 | |
Uber Technologies, Inc. Tranche B, term loan 5% 7/13/23 (c) | 14,685,000 | 14,694,252 | |
29,243,230 | |||
IT Services - 0.1% | |||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (c) | 5,813,745 | 5,610,264 | |
Computer Discount Warehouse (CDW) LLC Tranche B, term loan 3% 8/17/23 (c) | 1,848,353 | 1,842,955 | |
First Data Corp. Tranche B, term loan 4.2722% 7/10/22 (c) | 12,500,000 | 12,534,375 | |
G.I. Peak Merger Sub Corp.: | |||
Tranche 2LN, term loan 8.25% 6/17/22 (c) | 515,000 | 466,935 | |
Tranche B 1LN, term loan 5% 6/17/21 (c) | 2,644,748 | 2,623,272 | |
Global Payments, Inc. Tranche B, term loan 3.9957% 4/22/23 (c) | 2,410,000 | 2,425,665 | |
RP Crown Parent, LLC Tranche B, term loan 6% 12/21/18 (c) | 460,000 | 459,425 | |
WEX, Inc. Tranche B, term loan 4.25% 7/1/23 (c) | 3,500,000 | 3,524,360 | |
29,487,251 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Avago Technologies Cayman Finance Ltd. Tranche B 3LN, term loan 3.5076% 2/1/23 (c) | 4,734,872 | 4,775,639 | |
Cavium, Inc. Tranche B, term loan 3.75% 8/16/22 (c) | 2,095,000 | 2,100,238 | |
Micron Technology, Inc. Tranche B, term loan 6.64% 4/26/22 (c) | 1,250,000 | 1,261,975 | |
Microsemi Corp. Tranche B, term loan 3.75% 1/15/23 (c) | 1,740,471 | 1,751,157 | |
NXP BV: | |||
Tranche B 2LN, term loan 3.75% 12/7/20 (c) | 2,132,803 | 2,144,128 | |
Tranche D, term loan 3.25% 1/11/20 (c) | 1,848,489 | 1,853,110 | |
13,886,247 | |||
Software - 0.2% | |||
Applied Systems, Inc.: | |||
Tranche B 1LN, term loan 4% 1/23/21 (c) | 433,691 | 434,233 | |
Tranche B 2LN, term loan 7.5% 1/23/22 (c) | 114,733 | 115,055 | |
BMC Software Finance, Inc. Tranche B, term loan: | |||
5% 9/10/20 (c) | 216,534 | 206,069 | |
5% 9/10/20 (c) | 3,702,501 | 3,530,482 | |
Epicor Software Corp.: | |||
Tranche B, term loan 4.75% 6/1/22 (c) | 6,031,805 | 5,915,692 | |
Tranche B2 1LN, term loan 5% 6/1/22 (c) | 1,500,000 | 1,475,625 | |
Kronos, Inc.: | |||
Tranche 2LN, term loan 9.75% 4/30/20 (c) | 6,685,089 | 6,820,863 | |
Tranche B 1LN, term loan 4.5% 10/30/19 (c) | 5,116,317 | 5,133,662 | |
Renaissance Learning, Inc.: | |||
Tranche 1LN, term loan 4.5% 4/9/21 (c) | 6,435,758 | 6,414,327 | |
Tranche 2LN, term loan 8% 4/9/22 (c) | 3,653,000 | 3,573,839 | |
SolarWinds Holdings, Inc. Tranche B, term loan 5.5% 2/5/23 (c) | 3,000,000 | 3,009,750 | |
Solera LLC Tranche B, term loan 5.75% 3/3/23 (c) | 3,241,875 | 3,259,251 | |
Sophia L.P. Tranche B, term loan 4.75% 9/30/22 (c) | 4,962,500 | 4,964,584 | |
SS&C Technologies, Inc.: | |||
Tranche B 1LN, term loan 4.0002% 7/8/22 (c) | 2,324,113 | 2,338,639 | |
Tranche B 2LN, term loan 4.0001% 7/8/22 (c) | 296,088 | 297,938 | |
Sybil Software LLC. Tranche B, term loan 8/3/22 (q) | 5,465,000 | 5,470,137 | |
52,960,146 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Dell International LLC: | |||
Tranche B 2LN, term loan 4% 4/29/20 (c) | 9,902,245 | 9,931,951 | |
Tranche B, term loan 4% 6/2/23 (c) | 4,000,000 | 4,021,440 | |
Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (c) | 2,536,344 | 2,524,448 | |
Western Digital Corp. Tranche B 1LN, term loan 4.5% 4/29/23 (c) | 2,200,000 | 2,211,396 | |
18,689,235 | |||
TOTAL INFORMATION TECHNOLOGY | 163,693,983 | ||
MATERIALS - 0.4% | |||
Chemicals - 0.1% | |||
A. Schulman, Inc. Tranche B, term loan 4.2315% 6/1/22 (c) | 1,752,813 | 1,751,726 | |
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (c) | 2,761,451 | 2,624,538 | |
Chromaflo Technologies Corp.: | |||
Tranche 2LN, term loan 8.25% 6/2/20 (c) | 751,971 | 676,774 | |
Tranche B 1LN, term loan 4.5% 12/2/19 (c) | 969,969 | 966,332 | |
Hilex Poly Co. LLC Tranche B 1LN, term loan 6% 12/5/21 (c) | 5,079,495 | 5,104,893 | |
Kraton Polymers LLC Tranche B, term loan 6% 1/6/22 (c) | 3,975,000 | 3,977,504 | |
MacDermid, Inc.: | |||
Tranche B 1LN, term loan 5.5% 6/7/20 (c) | 1,129,179 | 1,128,479 | |
Tranche B 2LN, term loan 5.5% 6/7/20 (c) | 2,590,682 | 2,587,444 | |
Tranche B 3LN, term loan 5.5% 6/7/20 (c) | 4,469,981 | 4,467,746 | |
Nexeo Solutions LLC Tranche B, term loan 5.25% 6/9/23 (c) | 860,000 | 862,692 | |
Royal Holdings, Inc.: | |||
Tranche B 1LN, term loan 4.5% 6/19/22 (c) | 2,113,650 | 2,118,279 | |
Tranche B 2LN, term loan 8.5% 6/19/23 (c) | 175,000 | 172,375 | |
Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (c) | 4,063,125 | 4,068,204 | |
The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (c) | 1,370,905 | 1,350,630 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (c) | 1,603,800 | 1,610,311 | |
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 4.5% 3/19/20 (c) | 1,014,769 | 1,002,085 | |
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (c) | 459,821 | 461,812 | |
Univar, Inc. Tranche B, term loan 4.25% 7/1/22 (c) | 1,225,738 | 1,223,543 | |
36,155,367 | |||
Containers & Packaging - 0.2% | |||
Anchor Glass Container Corp. Tranche B, term loan 4.75% 7/1/22 (c) | 2,686,975 | 2,703,769 | |
Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (c) | 5,703,836 | 5,723,457 | |
Berlin Packaging, LLC: | |||
Tranche 2LN, term loan 7.75% 10/1/22 (c) | 1,129,000 | 1,121,470 | |
Tranche B 1LN, term loan 4.5% 10/1/21 (c) | 6,052,945 | 6,054,034 | |
Berry Plastics Corp.: | |||
Tranche G, term loan 3.5% 1/6/21 (c) | 3,552,000 | 3,543,688 | |
Tranche H, term loan 3.75% 10/1/22 (c) | 6,011,310 | 6,007,583 | |
BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (c) | 3,999,039 | 4,011,556 | |
Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (c) | 706,400 | 710,228 | |
Charter NEX U.S. Holdings, Inc. Tranche 2LN, term loan 9.25% 2/5/23 (c) | 556,024 | 536,563 | |
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (c) | 4,971,301 | 4,909,160 | |
Printpack Holdings, Inc. Tranche B, term loan 5% 7/26/23 (c) | 1,080,000 | 1,081,350 | |
Reynolds Group Holdings, Inc. Tranche B, term loan 4.25% 2/5/23 (c) | 3,965,000 | 3,968,727 | |
Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (c) | 2,084,611 | 2,078,107 | |
42,449,692 | |||
Metals & Mining - 0.1% | |||
Ameriforge Group, Inc.: | |||
Tranche B 1LN, term loan 5% 12/19/19 (c) | 2,588,282 | 1,216,493 | |
Tranche B 2LN, term loan 8.75% 12/19/20 (c) | 1,296,000 | 176,580 | |
Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (c) | 1,598,073 | 1,570,107 | |
Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (c) | 3,509,408 | 3,488,562 | |
Gulf Finance LLC Tranche B 1LN, term loan 6.25% 8/17/23 (c) | 6,000,000 | 5,809,980 | |
JMC Steel Group, Inc. Tranche B, term loan 6% 6/14/21 (c) | 3,500,000 | 3,524,080 | |
Murray Energy Corp.: | |||
Tranche B 1LN, term loan 7.75% 4/16/17 (c) | 770,102 | 713,307 | |
Tranche B 2LN, term loan 8.25% 4/16/20(c) | 9,130,733 | 7,532,854 | |
Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (c) | 722,000 | 707,560 | |
Walter Energy, Inc. Tranche B, term loan 0% 4/1/18 (c)(e) | 2,094,809 | 0 | |
24,739,523 | |||
TOTAL MATERIALS | 103,344,582 | ||
TELECOMMUNICATION SERVICES - 0.3% | |||
Diversified Telecommunication Services - 0.2% | |||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (c) | 6,737,542 | 6,729,120 | |
Integra Telecom Holdings, Inc.: | |||
Tranche 2LN, term loan 9.75% 2/14/21 (c) | 500,000 | 473,440 | |
Tranche B 1LN, term loan 5.25% 8/14/20 (c) | 5,951,193 | 5,888,706 | |
Level 3 Financing, Inc.: | |||
Tranche B 2LN, term loan 3.5% 5/31/22 (c) | 3,764,000 | 3,781,239 | |
Tranche B 3LN, term loan 4% 8/1/19 (c) | 2,742,000 | 2,753,434 | |
Tranche B 4LN, term loan 4% 1/15/20 (c) | 3,011,000 | 3,026,055 | |
LTS Buyer LLC: | |||
Tranche 2LN, term loan 8% 4/12/21 (c) | 163,000 | 162,796 | |
Tranche B 1LN, term loan 4% 4/11/20 (c) | 10,315,444 | 10,299,352 | |
Sable International Finance Ltd.: | |||
Tranche B 1LN, term loan 5.5% 12/31/22 (c) | 2,475,000 | 2,488,415 | |
Tranche B 2LN, term loan 5.83% 12/31/22 (c) | 2,025,000 | 2,035,976 | |
Securus Technologies Holdings, Inc.: | |||
Tranche 2LN, term loan 9% 4/30/21 (c) | 5,224,000 | 4,871,380 | |
Tranche B 1LN, term loan 4.75% 4/30/20 (c) | 2,795,884 | 2,732,976 | |
Securus Technologies, Inc. Tranche B2 1LN, term loan 5.25% 4/30/20 (c) | 2,782,897 | 2,720,282 | |
47,963,171 | |||
Wireless Telecommunication Services - 0.1% | |||
Digicel International Finance Ltd.: | |||
Tranche D 1LN, term loan 4.1875% 3/31/17 (c) | 690,951 | 656,404 | |
Tranche D 2LN, term loan 4.1311% 3/31/19 (c) | 4,119,049 | 3,913,096 | |
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (c) | 11,760,000 | 11,154,007 | |
Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (c) | 2,516,420 | 2,235,411 | |
T-Mobile U.S.A., Inc. Tranche B, term loan 3.5% 11/9/22 (c) | 2,075,000 | 2,088,301 | |
Telenet Financing USD LLC term loan 4.25% 6/30/24 (c) | 3,000,000 | 3,008,580 | |
23,055,799 | |||
TOTAL TELECOMMUNICATION SERVICES | 71,018,970 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.2% | |||
Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | |||
6.375% 8/13/18 (c) | 281,822 | 280,413 | |
6.375% 8/13/19 (c) | 4,254,286 | 4,233,015 | |
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (c) | 2,980,856 | 2,940,794 | |
Dynegy Finance IV, Inc. Tranche C, term loan 5% 6/27/23 (c) | 7,500,000 | 7,501,200 | |
Empire Generating Co. LLC: | |||
Tranche B, term loan 5.25% 3/14/21 (c) | 3,309,319 | 2,812,921 | |
Tranche C, term loan 5.25% 3/14/21 (c) | 263,000 | 223,550 | |
Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (c) | 6,150,439 | 6,135,063 | |
Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (c) | 4,486,089 | 3,600,087 | |
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (c) | 3,042,000 | 2,867,085 | |
InterGen NV Tranche B, term loan 5.5% 6/13/20 (c) | 5,343,599 | 4,835,958 | |
Longview Power LLC Tranche B, term loan 7% 4/13/21 (c) | 1,980,000 | 1,742,400 | |
Texas Competitive Electric Holdings Co. LLC: | |||
term loan 5% 10/31/17 (c) | 1,485,714 | 1,489,057 | |
Tranche B, term loan 5% 10/31/17 (c) | 6,514,286 | 6,528,943 | |
USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (c) | 584,804 | 578,956 | |
45,769,442 | |||
Gas Utilities - 0.0% | |||
EP Energy LLC Tranche B 3LN, term loan 9.75% 6/30/21 (c) | 1,812,000 | 1,782,555 | |
Southcross Holdings Borrower LP Tranche B, term loan 9% 4/13/23 | 355,686 | 299,961 | |
2,082,516 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
APLP Holdings LP Tranche B, term loan 6% 4/13/23 (c) | 2,892,309 | 2,902,432 | |
Calpine Corp.: | |||
Tranche B 5LN, term loan 3.5% 5/28/22 (c) | 1,485,000 | 1,485,416 | |
Tranche B 6LN, term loan 4% 1/1/23 (c) | 3,656,625 | 3,674,140 | |
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 12/19/16 (c) | 4,653,000 | 4,670,449 | |
ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (c) | 1,237,399 | 1,245,133 | |
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (c) | 6,805,149 | 6,600,995 | |
Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (c) | 2,803,578 | 2,367,286 | |
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 7% 6/26/22 (c) | 2,805,327 | 2,749,221 | |
25,695,072 | |||
TOTAL UTILITIES | 73,547,030 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $1,322,117,479) | 1,316,623,600 | ||
Sovereign Loan Participations - 0.0% | |||
Indonesian Republic loan participation: | |||
Citibank 1.6875% 12/14/19 (c) | 703,337 | 689,270 | |
Goldman Sachs 1.6875% 12/14/19 (c) | 602,778 | 590,722 | |
Mizuho 1.6875% 12/14/19 (c) | 282,632 | 276,979 | |
TOTAL SOVEREIGN LOAN PARTICIPATIONS | |||
(Cost $1,486,698) | 1,556,971 | ||
Bank Notes - 0.6% | |||
Capital One NA 1.65% 2/5/18 | 18,801,000 | 18,827,378 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | $25,781,000 | $26,483,584 | |
3.1% 6/4/20 | 22,584,000 | 23,233,064 | |
8.7% 11/18/19 | 2,958,000 | 3,431,647 | |
JPMorgan Chase Bank 6% 10/1/17 | 11,313,000 | 11,860,470 | |
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,585,331 | |
Marshall & Ilsley Bank 5% 1/17/17 | 14,669,000 | 14,847,346 | |
RBS Citizens NA 2.5% 3/14/19 | 11,319,000 | 11,489,113 | |
Regions Bank 7.5% 5/15/18 | 24,647,000 | 26,910,482 | |
Wachovia Bank NA 6% 11/15/17 | 2,243,000 | 2,364,180 | |
TOTAL BANK NOTES | |||
(Cost $137,898,786) | 142,032,595 | ||
Preferred Securities - 0.8% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV 2.5%(Reg. S) (c)(f) | EUR | $1,525,000 | $1,702,464 |
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (f) | 3,057,000 | 3,071,704 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Total SA 2.625% (Reg. S) (c)(f) | EUR | 2,150,000 | 2,404,145 |
FINANCIALS - 0.8% | |||
Banks - 0.7% | |||
Allied Irish Banks PLC 7.375% (Reg. S) (c)(f) | EUR | 2,390,000 | 2,454,580 |
Banco Do Brasil SA 9% (b)(c)(f) | 1,265,000 | 1,157,744 | |
Bank of America Corp.: | |||
6.1% (c)(f) | 8,141,000 | 8,784,935 | |
6.25% (c)(f) | 5,325,000 | 5,754,039 | |
6.5% (c)(f) | 3,000,000 | 3,340,095 | |
Barclays Bank PLC 7.625% 11/21/22 | 35,375,000 | 40,481,042 | |
Barclays PLC: | |||
6.625% (c)(f) | 19,750,000 | 19,064,519 | |
7.875% (Reg. S) (c)(f) | 2,500,000 | 2,506,162 | |
8.25% (c)(f) | 5,470,000 | 5,698,878 | |
BNP Paribas SA 7.375% (b)(c)(f) | 3,830,000 | 3,907,003 | |
Citigroup, Inc.: | |||
5.875% (c)(f) | 4,305,000 | 4,478,165 | |
5.95% (c)(f) | 12,150,000 | 12,766,596 | |
5.95% (c)(f) | 2,285,000 | 2,332,696 | |
6.125% (c)(f) | 6,140,000 | 6,517,868 | |
6.3% (c)(f) | 7,100,000 | 7,480,988 | |
Credit Agricole SA: | |||
6.625% (b)(c)(f) | 18,240,000 | 17,933,968 | |
6.625% (Reg. S) (c)(f) | 5,790,000 | 5,692,855 | |
7.875% (b)(c)(f) | 4,250,000 | 4,414,601 | |
8.125% 9/19/33 (Reg. S) (c) | 2,500,000 | 2,828,001 | |
Intesa Sanpaolo SpA 7% (Reg. S) (c)(f) | EUR | 2,180,000 | 2,403,511 |
JPMorgan Chase & Co.: | |||
5.3% (c)(f) | 3,245,000 | 3,369,412 | |
6% (c)(f) | 7,955,000 | 8,426,368 | |
6.1% (c)(f) | 2,440,000 | 2,666,139 | |
Royal Bank of Scotland Group PLC: | |||
7.5% (c)(f) | 6,490,000 | 6,232,604 | |
8.625% (c)(f) | 2,795,000 | 2,861,897 | |
183,554,666 | |||
Capital Markets - 0.0% | |||
Goldman Sachs Group, Inc. 5.375% (c)(f) | 3,250,000 | 3,339,865 | |
UBS Group AG 7.125% (Reg. S) (c)(f) | 1,650,000 | 1,705,628 | |
5,045,493 | |||
Consumer Finance - 0.1% | |||
American Express Co. 4.9% (c)(f) | 6,100,000 | 6,154,204 | |
Diversified Financial Services - 0.0% | |||
Magnesita Finance Ltd.: | |||
8.625% (b)(f) | 650,000 | 552,398 | |
8.625% (Reg. S) (f) | 200,000 | 169,969 | |
722,367 | |||
TOTAL FINANCIALS | 195,476,730 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd.: | |||
7.5% (b)(f) | 7,735,000 | 3,373,260 | |
7.5% (Reg. S) (f) | 100,000 | 43,610 | |
3,416,870 | |||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
CSN Islands XII Corp. 7% (Reg. S) (f) | 2,600,000 | 1,471,097 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $204,947,628) | 207,543,010 | ||
Shares | Value | ||
Money Market Funds - 6.5% | |||
Fidelity Cash Central Fund, 0.42% (r) | |||
(Cost $1,668,097,710) | 1,668,097,710 | 1,668,097,710 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount(a) | Value | ||
Put Options - 0.0% | ||||
Option on a credit default swap with Deutsche Bank AG to buy protection on the 5-Year iTraxx Europe Crossover Series 25 Index expiring June 2021 exercise rate 3.375% | 10/19/16 | $24,550,000 | $166,944 | |
Option on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 25 Index expiring June 2021 3.25% | 11/16/16 | 23,500,000 | 305,409 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $842,932) | 472,353 | |||
TOTAL INVESTMENT PORTFOLIO - 102.9% | ||||
(Cost $25,678,777,101) | 26,438,217,232 | |||
NET OTHER ASSETS (LIABILITIES) - (2.9)% | (734,518,245) | |||
NET ASSETS - 100% | $25,703,698,987 |
TBA Sale Commitments | ||
Principal Amount(a) | Value | |
Fannie Mae | ||
3% 9/1/31 | $(9,200,000) | $(9,631,668) |
3% 9/1/46 | (4,200,000) | (4,355,203) |
3% 9/1/46 | (5,000,000) | (5,184,766) |
3% 9/1/46 | (34,700,000) | (35,982,273) |
3% 9/1/46 | (4,000,000) | (4,147,812) |
3% 9/1/46 | (80,500,000) | (83,474,725) |
3% 9/1/46 | (4,450,000) | (4,614,441) |
3% 9/1/46 | (25,400,000) | (26,338,609) |
3.5% 9/1/46 | (9,200,000) | (9,692,349) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $183,397,307) | $(183,421,846) |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Bond Index Contracts | |||
18 Eurex Euro-Bobl Contracts (Germany) | Sept. 2016 | 2,682,233 | $(1,703) |
17 Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | Sept. 2016 | 3,659,412 | 271,072 |
64 TME 10 Year Canadian Note Contracts (Canada) | Dec. 2016 | 7,162,788 | 10,026 |
3 TSE 10 Year Japanese Government Bond Index Contracts (Japan) | Sept. 2016 | 4,390,180 | (17,060) |
TOTAL BOND INDEX CONTRACTS | 262,335 | ||
Treasury Contracts | |||
35 ASX 10 Year Treasury Bond Index Contracts (Australia) | Sept. 2016 | 3,627,195 | 68,846 |
51 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 6,677,016 | (19,617) |
153 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 33,401,813 | (29,245) |
185 CBOT 5-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 22,431,250 | (49,149) |
23 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2016 | 3,918,625 | (14,245) |
17 CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 2,454,375 | (5,083) |
3 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2016 | 562,406 | (544) |
TOTAL TREASURY CONTRACTS | (49,037) | ||
TOTAL PURCHASED | 213,298 | ||
Sold | |||
Bond Index Contracts | |||
30 Eurex Euro-Bund Contracts (Germany) | Sept. 2016 | 5,601,121 | 6,331 |
3 ICE Long Gilt Contracts (United Kingdom) | Dec. 2016 | 518,156 | 45 |
145 ICE Medium Gilt Contracts (United Kingdom) | Dec. 2016 | 22,117,648 | (16,698) |
TOTAL BOND INDEX CONTRACTS | (10,322) | ||
Treasury Contracts | |||
668 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 87,455,813 | 249,097 |
164 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 35,803,250 | 30,683 |
106 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2016 | 18,059,750 | 65,194 |
TOTAL TREASURY CONTRACTS | 344,974 | ||
TOTAL SOLD | 334,652 | ||
TOTAL FUTURES CONTRACTS | $547,950 |
The face value of futures purchased as a percentage of Net Assets is 0.4%
The face value of futures sold as a percentage of Net Assets is 0.7%
Foreign Currency Contracts | ||||||
Settlement Date | Currency | Counterparty | Type | Quantity | Contract Amount* | Unrealized Appreciation/(Depreciation) |
9/1/16 | JPY | Citibank, N.A. | Sell | 360,000 | $3,506 | $26 |
9/2/16 | EUR | Citibank, N.A. | Buy | 421,000 | 469,268 | 337 |
11/18/16 | AUD | Citibank, N.A. | Sell | 173,000 | 132,217 | 2,444 |
11/18/16 | CAD | Citibank, N.A. | Sell | 145,000 | 112,555 | 1,943 |
11/18/16 | EUR | Citibank, N.A. | Sell | 421,000 | 470,815 | (359) |
11/18/16 | EUR | Goldman Sachs Bank USA | Buy | 255,000 | 289,593 | (4,203) |
11/18/16 | EUR | Goldman Sachs Bank USA | Sell | 349,000 | 389,885 | (708) |
11/18/16 | EUR | Goldman Sachs Bank USA | Sell | 95,310,000 | 107,778,359 | 1,109,630 |
11/18/16 | EUR | JPMorgan Chase Bank, N.A. | Sell | 100,000 | 113,317 | 1,400 |
11/18/16 | EUR | JPMorgan Chase Bank, N.A. | Sell | 329,000 | 372,274 | 4,065 |
11/18/16 | GBP | Goldman Sachs Bank USA | Sell | 667,000 | 875,294 | (2,013) |
11/18/16 | GBP | Goldman Sachs Bank USA | Sell | 38,691,000 | 50,574,167 | (316,247) |
11/18/16 | GBP | JPMorgan Chase Bank, N.A. | Buy | 1,125,000 | 1,486,585 | (6,869) |
11/18/16 | GBP | JPMorgan Chase Bank, N.A. | Sell | 1,019,000 | 1,346,019 | 5,724 |
11/18/16 | JPY | JPMorgan Chase Bank, N.A. | Sell | 1,800,000 | 18,046 | 591 |
$795,761 |
*Amount in U.S. Dollars unless otherwise noted
Swaps
Underlying Reference | Rating(1) | Expiration Date | Clearinghouse/Counterparty(2) | Fixed Payment Received/(Paid) | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
5-Year iTraxx Europe Series 25 Index | Jun. 2021 | ICE | (1)% | EUR 8,300,000 | $(56,736) | $0 | $(56,736) | |
BBVA, SA | Jun. 2021 | Credit Suisse International | (1%) | EUR 3,250,000 | 207,265 | (279,482) | (72,217) | |
Carlsberg Breweries A/S | Jun. 2020 | JPMorgan Chase Bank, N.A. | (1%) | EUR 2,600,000 | (68,598) | 24,260 | (44,338) | |
Carlsberg Breweries A/S | Dec. 2020 | Citibank, N.A. | (1%) | EUR 2,600,000 | (67,223) | (8,546) | (75,769) | |
Gas Natural Capital Markets SA | Jun. 2021 | BNP Paribas, SA | (1%) | EUR 1,400,000 | (24,065) | 1,474 | (22,591) | |
Kering SA | Sep. 2018 | Morgan Stanley Capital Group, Inc. | (1%) | EUR 3,500,000 | (68,216) | 6,037 | (62,179) | |
Metro AG | Dec. 2021 | JPMorgan Chase Bank, N.A. | (1%) | EUR 2,800,000 | 4,608 | (31,943) | (27,335) | |
Societe Generale | Jun. 2021 | Goldman Sachs Bank USA | (1%) | EUR 1,450,000 | 41,444 | (64,497) | (23,053) | |
Standard Chartered PLC | Jun. 2021 | Goldman Sachs Bank USA | (1%) | EUR 1,550,000 | 80,456 | (154,354) | (73,898) | |
TOTAL BUY PROTECTION | 48,935 | (507,051) | (458,116) | |||||
Sell Protection | ||||||||
5-Year iTraxx Europe Senior Financial Series 25 Index | NR | Jun. 2021 | ICE | 1% | EUR 8,300,000 | 109,841 | 0 | 109,841 |
Deutsche Bank AG | BBB- | Dec. 2016 | JPMorgan Chase Bank, N.A. | 1% | EUR 1,400,000 | (3,542) | 13,605 | 10,063 |
TOTAL SELL PROTECTION | 106,299 | 13,605 | 119,904 | |||||
TOTAL CREDIT DEFAULT SWAPS | $155,234 | $(493,446) | $(338,212) | |||||
(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) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(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 Portfolio could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Clearinghouse/Counterparty(1) | Expiration Date | Notional Amount | Payment Received | Payment Paid | Value | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||
LCH | Sep. 2021 | $22,100,000 | 3-month LIBOR | 2% | $(55,630) | $0 | $(55,630) |
LCH | Sep. 2026 | 16,900,000 | 3-month LIBOR | 2.25% | (291,555) | 0 | (291,555) |
LCH | Sep. 2046 | 2,930,000 | 3-month LIBOR | 2.75% | (294,507) | 0 | (294,507) |
TOTAL INTEREST RATE SWAPS | $(641,692) | $0 | $(641,692) | ||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (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) Amount is stated in United States dollars unless otherwise noted.
(b) 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 $2,641,193,864 or 10.3% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) 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.
(e) Non-income producing - Security is in default.
(f) Security is perpetual in nature with no stated maturity date.
(g) 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 $2,708,385.
(h) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $72,403.
(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(j) 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 $2,657,502.
(k) 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.
(l) 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.
(m) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(n) 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.
(o) Non-income producing
(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $321,811 or 0.0% of net assets.
(q) The coupon rate will be determined upon settlement of the loan after period end.
(r) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Warrior Met Coal LLC Class A | 2/20/15 | $3,177,225 |
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 | $3,583,591 |
Total | $3,583,591 |
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $807,296 | $807,296 | $-- | $-- |
Energy | 8,478,428 | 8,060,297 | -- | 418,131 |
Financials | 11,428,681 | 11,428,681 | -- | -- |
Health Care | 108 | 108 | -- | -- |
Materials | 2,477,146 | 2,477,146 | -- | -- |
Telecommunication Services | 305,036 | 270,436 | -- | 34,600 |
Utilities | 296,128 | -- | -- | 296,128 |
Corporate Bonds | 10,857,460,574 | -- | 10,856,400,718 | 1,059,856 |
U.S. Government and Government Agency Obligations | 5,439,334,166 | -- | 5,439,334,166 | -- |
U.S. Government Agency - Mortgage Securities | 4,416,584,311 | -- | 4,416,584,311 | -- |
Asset-Backed Securities | 126,265,528 | -- | 121,189,538 | 5,075,990 |
Collateralized Mortgage Obligations | 514,696,334 | -- | 514,696,334 | -- |
Commercial Mortgage Securities | 1,028,414,829 | -- | 1,022,238,351 | 6,176,478 |
Municipal Securities | 456,381,988 | -- | 456,381,988 | -- |
Foreign Government and Government Agency Obligations | 238,960,440 | -- | 237,600,440 | 1,360,000 |
Bank Loan Obligations | 1,316,623,600 | -- | 1,309,515,123 | 7,108,477 |
Sovereign Loan Participations | 1,556,971 | -- | -- | 1,556,971 |
Bank Notes | 142,032,595 | -- | 142,032,595 | -- |
Preferred Securities | 207,543,010 | -- | 207,543,010 | -- |
Money Market Funds | 1,668,097,710 | 1,668,097,710 | -- | -- |
Purchased Swaptions | 472,353 | -- | 472,353 | -- |
Total Investments in Securities: | $26,438,217,232 | $1,691,141,674 | $24,723,988,927 | $23,086,631 |
Other Derivative Instruments: | ||||
Assets | ||||
Foreign Currency Contracts | $1,126,160 | $-- | $1,126,160 | $-- |
Futures Contracts | 701,294 | 701,294 | -- | -- |
Swaps | 443,614 | -- | 443,614 | -- |
Total Assets | $2,271,068 | $701,294 | $1,569,774 | $-- |
Liabilities | ||||
Foreign Currency Contracts | $(330,399) | $-- | $(330,399) | $-- |
Futures Contracts | (153,344) | (153,344) | -- | -- |
Swaps | (930,072) | -- | (930,072) | -- |
Total Liabilities | $(1,413,815) | $(153,344) | $(1,260,471) | $-- |
Total Other Derivative Instruments: | $857,253 | $547,950 | $309,303 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(183,421,846) | $-- | $(183,421,846) | $-- |
Total Other Financial Instruments: | $(183,421,846) | $-- | $(183,421,846) | $-- |
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, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Purchased Swaptions(a) | $472,353 | $0 |
Swaps(b) | 443,614 | (288,380) |
Total Credit Risk | 915,967 | (288,380) |
Foreign Exchange Risk | ||
Foreign Currency Contracts(c) | 1,126,160 | (330,399) |
Total Foreign Exchange Risk | 1,126,160 | (330,399) |
Interest Rate Risk | ||
Futures Contracts(d) | 701,294 | (153,344) |
Swaps(b) | 0 | (641,692) |
Total Interest Rate Risk | 701,294 | (795,036) |
Total Value of Derivatives | $2,743,421 | $(1,413,815) |
(a) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(b) For bi-lateral over-the-counter (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. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on foreign currency contracts line-items.
(d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 88.3% |
United Kingdom | 2.7% |
Netherlands | 1.8% |
Mexico | 1.6% |
Luxembourg | 1.0% |
Others (Individually Less Than 1%) | 4.6% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2016 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $24,010,679,391) | $24,770,119,522 | |
Fidelity Central Funds (cost $1,668,097,710) | 1,668,097,710 | |
Total Investments (cost $25,678,777,101) | $26,438,217,232 | |
Cash | 5,836,844 | |
Foreign currency held at value (cost $1,105,311) | 1,099,187 | |
Receivable for investments sold | 14,270,602 | |
Receivable for TBA sale commitments | 183,397,307 | |
Unrealized appreciation on foreign currency contracts | 1,126,160 | |
Receivable for fund shares sold | 35,655,631 | |
Dividends receivable | 57,347 | |
Interest receivable | 182,190,416 | |
Distributions receivable from Fidelity Central Funds | 534,745 | |
Receivable for daily variation margin for derivative instruments | 27,120 | |
Bi-lateral OTC swaps, at value | 333,773 | |
Other receivables | 117,505 | |
Total assets | 26,862,863,869 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $74,198,561 | |
Delayed delivery | 861,797,609 | |
TBA sale commitments, at value | 183,421,846 | |
Unrealized depreciation on foreign currency contracts | 330,399 | |
Payable for fund shares redeemed | 26,594,499 | |
Distributions payable | 2,379,485 | |
Bi-lateral OTC swaps, at value | 231,644 | |
Accrued management fee | 6,576,431 | |
Distribution and service plan fees payable | 440,190 | |
Other affiliated payables | 3,072,688 | |
Other payables and accrued expenses | 121,530 | |
Total liabilities | 1,159,164,882 | |
Net Assets | $25,703,698,987 | |
Net Assets consist of: | ||
Paid in capital | $24,883,055,554 | |
Undistributed net investment income | 61,951,817 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (1,029,988) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 759,721,604 | |
Net Assets | $25,703,698,987 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($1,233,806,020 ÷ 113,522,429 shares) | $10.87 | |
Maximum offering price per share (100/96.00 of $10.87) | $11.32 | |
Class T: | ||
Net Asset Value and redemption price per share ($155,517,725 ÷ 14,334,356 shares) | $10.85 | |
Maximum offering price per share (100/96.00 of $10.85) | $11.30 | |
Class C: | ||
Net Asset Value and offering price per share ($186,379,856 ÷ 17,143,366 shares)(a) | $10.87 | |
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($20,469,676,977 ÷ 1,884,181,205 shares) | $10.86 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($2,846,877,985 ÷ 262,444,312 shares) | $10.85 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($811,440,424 ÷ 74,801,346 shares) | $10.85 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended August 31, 2016 | ||
Investment Income | ||
Dividends | $14,201,705 | |
Interest | 826,582,204 | |
Income from Fidelity Central Funds | 3,583,591 | |
Total income | 844,367,500 | |
Expenses | ||
Management fee | $70,790,898 | |
Transfer agent fees | 24,130,612 | |
Distribution and service plan fees | 4,802,144 | |
Fund wide operations fee | 8,883,826 | |
Independent trustees' fees and expenses | 99,245 | |
Miscellaneous | 56,037 | |
Total expenses before reductions | 108,762,762 | |
Expense reductions | (98,338) | 108,664,424 |
Net investment income (loss) | 735,703,076 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 29,626,465 | |
Foreign currency transactions | 8,917,013 | |
Futures contracts | (2,008,239) | |
Swaps | (7,308,496) | |
Total net realized gain (loss) | 29,226,743 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 812,496,372 | |
Assets and liabilities in foreign currencies | 809,778 | |
Futures contracts | 762,682 | |
Swaps | 1,132,172 | |
Delayed delivery commitments | 322,528 | |
Total change in net unrealized appreciation (depreciation) | 815,523,532 | |
Net gain (loss) | 844,750,275 | |
Net increase (decrease) in net assets resulting from operations | $1,580,453,351 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended August 31, 2016 | Year ended August 31, 2015 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $735,703,076 | $553,721,327 |
Net realized gain (loss) | 29,226,743 | 353,243,022 |
Change in net unrealized appreciation (depreciation) | 815,523,532 | (782,562,955) |
Net increase (decrease) in net assets resulting from operations | 1,580,453,351 | 124,401,394 |
Distributions to shareholders from net investment income | (690,311,363) | (523,227,512) |
Distributions to shareholders from net realized gain | (113,897,060) | (52,368,873) |
Total distributions | (804,208,423) | (575,596,385) |
Share transactions - net increase (decrease) | 4,657,836,676 | 4,814,116,048 |
Total increase (decrease) in net assets | 5,434,081,604 | 4,362,921,057 |
Net Assets | ||
Beginning of period | 20,269,617,383 | 15,906,696,326 |
End of period | $25,703,698,987 | $20,269,617,383 |
Other Information | ||
Undistributed net investment income end of period | $61,951,817 | $36,361,125 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class A
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.53 | $10.77 | $10.48 | $11.29 | $11.04 |
Income from Investment Operations | |||||
Net investment income (loss)A | .312 | .287 | .292 | .263 | .322 |
Net realized and unrealized gain (loss) | .377 | (.224) | .382 | (.468) | .438 |
Total from investment operations | .689 | .063 | .674 | (.205) | .760 |
Distributions from net investment income | (.290) | (.270) | (.275) | (.250) | (.335) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.349) | (.303) | (.384) | (.605) | (.510) |
Net asset value, end of period | $10.87 | $10.53 | $10.77 | $10.48 | $11.29 |
Total ReturnB,C | 6.71% | .58% | 6.56% | (1.94)% | 7.11% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .75% | .75% | .76% | .79% | .82% |
Expenses net of fee waivers, if any | .75% | .75% | .76% | .79% | .82% |
Expenses net of all reductions | .75% | .75% | .76% | .79% | .82% |
Net investment income (loss) | 2.95% | 2.69% | 2.76% | 2.41% | 2.92% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $1,233,806 | $852,243 | $639,235 | $517,259 | $643,995 |
Portfolio turnover rateF | 134% | 140%G | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class T
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.51 | $10.76 | $10.46 | $11.28 | $11.03 |
Income from Investment Operations | |||||
Net investment income (loss)A | .309 | .285 | .290 | .265 | .328 |
Net realized and unrealized gain (loss) | .378 | (.234) | .392 | (.477) | .433 |
Total from investment operations | .687 | .051 | .682 | (.212) | .761 |
Distributions from net investment income | (.288) | (.268) | (.273) | (.253) | (.336) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.347) | (.301) | (.382) | (.608) | (.511) |
Net asset value, end of period | $10.85 | $10.51 | $10.76 | $10.46 | $11.28 |
Total ReturnB,C | 6.71% | .47% | 6.65% | (2.01)% | 7.14% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .77% | .77% | .78% | .76% | .77% |
Expenses net of fee waivers, if any | .77% | .77% | .78% | .76% | .77% |
Expenses net of all reductions | .77% | .77% | .78% | .76% | .77% |
Net investment income (loss) | 2.94% | 2.67% | 2.74% | 2.44% | 2.97% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $155,518 | $101,673 | $57,972 | $52,848 | $59,896 |
Portfolio turnover rateF | 134% | 140%G | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class C
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.53 | $10.77 | $10.48 | $11.29 | $11.04 |
Income from Investment Operations | |||||
Net investment income (loss)A | .231 | .205 | .211 | .185 | .246 |
Net realized and unrealized gain (loss) | .378 | (.225) | .382 | (.469) | .434 |
Total from investment operations | .609 | (.020) | .593 | (.284) | .680 |
Distributions from net investment income | (.210) | (.187) | (.194) | (.171) | (.255) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.269) | (.220) | (.303) | (.526) | (.430) |
Net asset value, end of period | $10.87 | $10.53 | $10.77 | $10.48 | $11.29 |
Total ReturnB,C | 5.90% | (.20)% | 5.75% | (2.65)% | 6.34% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.52% | 1.53% | 1.53% | 1.51% | 1.51% |
Expenses net of fee waivers, if any | 1.52% | 1.53% | 1.53% | 1.51% | 1.51% |
Expenses net of all reductions | 1.52% | 1.53% | 1.53% | 1.51% | 1.51% |
Net investment income (loss) | 2.19% | 1.92% | 1.99% | 1.69% | 2.23% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $186,380 | $139,264 | $83,818 | $79,711 | $102,385 |
Portfolio turnover rateF | 134% | 140%G | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.53 | $10.77 | $10.47 | $11.29 | $11.04 |
Income from Investment Operations | |||||
Net investment income (loss)A | .343 | .320 | .326 | .300 | .363 |
Net realized and unrealized gain (loss) | .368 | (.224) | .392 | (.478) | .434 |
Total from investment operations | .711 | .096 | .718 | (.178) | .797 |
Distributions from net investment income | (.322) | (.303) | (.309) | (.287) | (.372) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.381) | (.336) | (.418) | (.642) | (.547) |
Net asset value, end of period | $10.86 | $10.53 | $10.77 | $10.47 | $11.29 |
Total ReturnB | 6.94% | .88% | 7.00% | (1.70)% | 7.48% |
Ratios to Average Net AssetsC,D | |||||
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) | 3.25% | 2.99% | 3.07% | 2.75% | 3.29% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $20,469,677 | $17,359,294 | $14,547,801 | $11,526,014 | $13,963,154 |
Portfolio turnover rateE | 134% | 140%F | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class I
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.51 | $10.76 | $10.46 | $11.27 | $11.02 |
Income from Investment Operations | |||||
Net investment income (loss)A | .337 | .313 | .319 | .295 | .353 |
Net realized and unrealized gain (loss) | .378 | (.233) | .393 | (.469) | .435 |
Total from investment operations | .715 | .080 | .712 | (.174) | .788 |
Distributions from net investment income | (.316) | (.297) | (.303) | (.281) | (.363) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.375) | (.330) | (.412) | (.636) | (.538) |
Net asset value, end of period | $10.85 | $10.51 | $10.76 | $10.46 | $11.27 |
Total ReturnB | 6.99% | .73% | 6.95% | (1.67)% | 7.40% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .50% | .50% | .51% | .51% | .53% |
Expenses net of fee waivers, if any | .50% | .50% | .51% | .51% | .53% |
Expenses net of all reductions | .50% | .50% | .51% | .51% | .53% |
Net investment income (loss) | 3.20% | 2.94% | 3.02% | 2.69% | 3.20% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $2,846,878 | $1,266,870 | $573,410 | $244,911 | $596,238 |
Portfolio turnover rateE | 134% | 140%F | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class Z
Years ended August 31, | 2016 | 2015 A |
Selected Per–Share Data | ||
Net asset value, beginning of period | $10.51 | $10.66 |
Income from Investment Operations | ||
Net investment income (loss)B | .352 | .234 |
Net realized and unrealized gain (loss) | .378 | (.167) |
Total from investment operations | .730 | .067 |
Distributions from net investment income | (.331) | (.217) |
Distributions from net realized gain | (.059) | – |
Total distributions | (.390) | (.217) |
Net asset value, end of period | $10.85 | $10.51 |
Total ReturnC,D | 7.14% | .59% |
Ratios to Average Net AssetsE,F | ||
Expenses before reductions | .36% | .36%G |
Expenses net of fee waivers, if any | .36% | .36%G |
Expenses net of all reductions | .36% | .36%G |
Net investment income (loss) | 3.34% | 3.29%G |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $811,440 | $546,968 |
Portfolio turnover rateH | 134% | 140%I |
A For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds..
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2016
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 offers Class A, Class T, Class C, Total Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All current fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The 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.)
- 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, 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 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 vendor or 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, 2016 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.
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 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, 2016, 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.
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, market discount, 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 | $952,985,453 |
Gross unrealized depreciation | (180,886,682) |
Net unrealized appreciation (depreciation) on securities | $772,098,771 |
Tax Cost | $25,666,118,461 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $44,833,950 |
Undistributed long-term capital gain | $11,065,558 |
Net unrealized appreciation (depreciation) on securities and other investments | $764,860,185 |
The tax character of distributions paid was as follows:
August 31, 2016 | August 31, 2015 | |
Ordinary Income | $736,642,371 | $ 565,758,842 |
Long-term Capital Gains | 67,566,052 | 9,837,543 |
Total | $804,208,423 | $ 575,596,385 |
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 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.
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 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 (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Purchased Options | $(1,396,193) | $(404,316) |
Swaps | 172,101 | (112,891) |
Total Credit Risk | (1,224,092) | (517,207) |
Foreign Exchange Risk | ||
Foreign Currency Contracts | 6,418,103 | 855,142 |
Interest Rate Risk | ||
Futures Contracts | (2,008,239) | 762,682 |
Swaps | (7,480,597) | 1,245,063 |
Total Interest Rate Risk | (9,488,836) | 2,007,745 |
Totals | $(4,294,825) | $2,345,680 |
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 and is representative of volume activity during the period.
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 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 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, 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.
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 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, other than short-term securities and U.S. government securities, aggregated $5,599,161,811 and $4,239,587,584, 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.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $2,876,569 | $42,429 |
Class T | -% | .25% | 312,422 | – |
Class B | .65% | .25% | 21,737 | 15,699 |
Class C | .75% | .25% | 1,591,416 | 463,406 |
$4,802,144 | $521,534 |
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 by FDC | |
Class A | $129,087 |
Class T | 16,329 |
Class B(a) | 738 |
Class C(a) | 43,432 |
$189,586 |
(a) 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 for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets | |
Class A | $1,746,166 | .15 |
Class T | 208,012 | .17 |
Class B | 4,648 | .19 |
Class C | 268,810 | .17 |
Total Bond | 18,313,414 | .10 |
Class I | 3,521,490 | .15 |
Class Z | 68,072 | .01 |
$24,130,612 |
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% of the Fund's average net assets 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.
Prior Fiscal Year Exchanges In-Kind. During the prior 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. The Fund had 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. The transaction generally did not result in the recognition of gains or losses for federal income tax purposes.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $51,795.
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 $46,443 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is 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 $1,240,190.
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 $93 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $70,390.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $27,855.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Year ended August 31, 2016 | Year ended August 31, 2015(a) | |
From net investment income | ||
Class A | $31,727,561 | $19,261,143 |
Class T | 3,400,558 | 1,998,555 |
Class B | 52,324 | 71,894 |
Class C | 3,143,821 | 2,070,818 |
Total Bond | 559,720,907 | 468,456,666 |
Class I | 70,886,754 | 28,443,167 |
Class Z | 21,379,438 | 2,925,269 |
Total | $690,311,363 | $523,227,512 |
From net realized gain | ||
Class A | $5,050,640 | $2,146,775 |
Class T | 600,521 | 193,116 |
Class B | 17,887 | 13,138 |
Class C | 809,224 | 303,573 |
Total Bond | 97,033,225 | 47,388,889 |
Class I | 7,167,426 | 2,323,382 |
Class Z | 3,218,137 | – |
Total | $113,897,060 | $52,368,873 |
(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 affiliated funds:
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2016 | Year ended August 31, 2015(a) | Year ended August 31, 2016 | Year ended August 31, 2015(a) | |
Class A | ||||
Shares sold | 79,582,385 | 46,571,257 | $836,125,573 | $499,377,221 |
Reinvestment of distributions | 3,397,092 | 1,930,629 | 35,693,646 | 20,670,065 |
Shares redeemed | (50,390,515) | (26,903,901) | (531,503,136) | (288,269,536) |
Net increase (decrease) | 32,588,962 | 21,597,985 | $340,316,083 | $231,777,750 |
Class T | ||||
Shares sold | 7,797,143 | 6,974,914 | $81,948,331 | $74,605,782 |
Reinvestment of distributions | 371,455 | 199,988 | 3,901,602 | 2,136,905 |
Shares redeemed | (3,506,111) | (2,893,126) | (36,795,670) | (30,963,185) |
Net increase (decrease) | 4,662,487 | 4,281,776 | $49,054,263 | $45,779,502 |
Class B | ||||
Shares sold | 52,386 | 54,717 | $545,030 | $586,026 |
Reinvestment of distributions | 5,304 | 6,657 | 55,384 | 71,357 |
Shares redeemed | (371,399) | (161,541) | (3,942,186) | (1,731,933) |
Net increase (decrease) | (313,709) | (100,167) | $(3,341,772) | $(1,074,550) |
Class C | ||||
Shares sold | 7,989,480 | 8,235,348 | $84,112,756 | $88,316,556 |
Reinvestment of distributions | 338,212 | 196,619 | 3,555,483 | 2,104,956 |
Shares redeemed | (4,407,873) | (2,989,581) | (46,363,403) | (31,990,728) |
Net increase (decrease) | 3,919,819 | 5,442,386 | $41,304,836 | $58,430,784 |
Total Bond | ||||
Shares sold | 564,396,562 | 1,119,099,210 | $5,943,329,183 | $12,023,173,893 |
Reinvestment of distributions | 59,893,089 | 46,138,120 | 629,464,263 | 493,997,692 |
Shares redeemed | (389,085,832) | (866,846,007) | (4,072,787,679) | (9,307,894,830) |
Net increase (decrease) | 235,203,819 | 298,391,323 | $2,500,005,767 | $3,209,276,755 |
Class I | ||||
Shares sold | 202,861,513 | 96,458,549 | $2,130,458,698 | $1,031,052,872 |
Reinvestment of distributions | 7,026,236 | 2,698,883 | 73,778,315 | 28,838,468 |
Shares redeemed | (67,965,246) | (31,950,235) | (713,298,115) | (340,167,664) |
Net increase (decrease) | 141,922,503 | 67,207,197 | $1,490,938,898 | $719,723,676 |
Class Z | ||||
Shares sold | 31,568,440 | 56,087,638 | $331,880,727 | $592,975,149 |
Reinvestment of distributions | 2,342,277 | 276,639 | 24,597,125 | 2,920,079 |
Shares redeemed | (11,141,442) | (4,332,206) | (116,919,251) | (45,693,097) |
Net increase (decrease) | 22,769,275 | 52,032,071 | $239,558,601 | $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 20% 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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and 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, 2016, 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, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 20, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), 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 Jennifer Toolin McAuliffe and Mark A. Murray, each of the Trustees oversees 244 funds. Ms. McAuliffe and Mr. Murray each oversees 191 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 is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-835-5095 (plan accounts) or 1-877-208-0098 (all other accounts).
Experience, Skills, Attributes, and Qualifications of the 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.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person 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 Trustees."
Interested Trustees*:
Correspondence intended for a 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.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Ms. McAuliffe previously served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information 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 an Independent 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 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). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), 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 & 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 (pipeline and tanker operations). 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 Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-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).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information 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.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
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. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (U.K.) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO 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).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
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 serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and 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). Previously, Mr. Deberghes served in other fund officer roles.
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 Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); 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).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).
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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
John F. Papandrea (1972)
Year of Election or Appointment: 2016
Anti-Money Laundering (AML) Officer
Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).
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 FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM 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 Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
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).
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, 2016 to August 31, 2016).
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.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period-B March 1, 2016 to August 31, 2016 | |
Class A | .75% | |||
Actual | $1,000.00 | $1,066.60 | $3.90 | |
Hypothetical-C | $1,000.00 | $1,021.37 | $3.81 | |
Class T | .76% | |||
Actual | $1,000.00 | $1,066.60 | $3.95 | |
Hypothetical-C | $1,000.00 | $1,021.32 | $3.86 | |
Class C | 1.51% | |||
Actual | $1,000.00 | $1,062.50 | $7.83 | |
Hypothetical-C | $1,000.00 | $1,017.55 | $7.66 | |
Total Bond | .45% | |||
Actual | $1,000.00 | $1,067.20 | $2.34 | |
Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 | |
Class I | .50% | |||
Actual | $1,000.00 | $1,068.00 | $2.60 | |
Hypothetical-C | $1,000.00 | $1,022.62 | $2.54 | |
Class Z | .36% | |||
Actual | $1,000.00 | $1,068.80 | $1.87 | |
Hypothetical-C | $1,000.00 | $1,023.33 | $1.83 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity 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 | |
Fidelity Total Bond Fund | |||
Class A | 10/17/16 | 10/14/16 | $0.017 |
Class T | 10/17/16 | 10/14/16 | $0.017 |
Class C | 10/17/16 | 10/14/16 | $0.017 |
Total Bond Fund | 10/17/16 | 10/14/16 | $0.017 |
Class I | 10/17/16 | 10/14/16 | $0.017 |
Class Z | 10/17/16 | 10/14/16 | $0.017 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $ 13,913,879, or, if subsequently determined to be different, the net capital gain of such year.
A total of 7.53% 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 $380,589,919 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.
Proxy Voting Results
A special meeting of shareholders was held on April 13, 2016. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Elizabeth S. Acton | ||
Affirmative | 23,485,695,172.82 | 97.873 |
Withheld | 510,412,850.89 | 2.127 |
TOTAL | 23,996,108,023.71 | 100.000 |
John Engler | ||
Affirmative | 23,396,775,263.01 | 97.503 |
Withheld | 599,332,760.70 | 2.497 |
TOTAL | 23,996,108,023.71 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 23,408,625,557.99 | 97.552 |
Withheld | 587,482,465.72 | 2.448 |
TOTAL | 23,996,108,023.71 | 100.000 |
Robert F. Gartland | ||
Affirmative | 23,466,064,780.31 | 97.792 |
Withheld | 530,043,243.40 | 2.208 |
TOTAL | 23,996,108,023.71 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 23,449,693,125.04 | 97.723 |
Withheld | 546,414,898.67 | 2.277 |
TOTAL | 23,996,108,023.71 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 23,433,937,136.83 | 97.658 |
Withheld | 562,170,886.88 | 2.342 |
TOTAL | 23,996,108,023.71 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 23,472,891,022.59 | 97.820 |
Withheld | 523,217,001.12 | 2.180 |
TOTAL | 23,996,108,023.71 | 100.000 |
James H. Keyes | ||
Affirmative | 23,409,640,697.18 | 97.556 |
Withheld | 586,467,326.53 | 2.444 |
TOTAL | 23,996,108,023.71 | 100.000 |
Marie L. Knowles | ||
Affirmative | 23,434,534,070.88 | 97.660 |
Withheld | 561,573,952.83 | 2.340 |
TOTAL | 23,996,108,023.71 | 100.000 |
Geoffrey A. von Kuhn | ||
Affirmative | 23,442,506,227.29 | 97.693 |
Withheld | 553,601,796.42 | 2.307 |
TOTAL | 23,996,108,023.71 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
ATB-ANN-1016
1.804575.113
Fidelity® Total Bond Fund Annual Report August 31, 2016 |
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Contents
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov.
You may also call 1-800-544-8544 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. © 2016 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC’s web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330.
For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.institutional.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED •MAY LOSE VALUE •NO BANK GUARANTEE
Neither the Fund nor Fidelity Distributors Corporation is a bank.
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of 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 hypothetical investment and the average annual total 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
For the periods ended August 31, 2016 | Past 1 year | Past 5 years | Past 10 years |
Fidelity® Total Bond Fund | 6.94% | 4.05% | 5.34% |
$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, 2006.
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.
![](https://capedge.com/proxy/N-CSR/0001379491-16-006641/img140067399_740.jpg)
Period Ending Values | ||
$16,822 | Fidelity® Total Bond Fund | |
$16,115 | Barclays® U.S. Aggregate Bond Index |
Management's Discussion of Fund Performance
Market Recap: Taxable investment-grade bonds gained solidly for the 12 months ending August 31, 2016, a volatile period marked by persistent concern about global growth, divergent global monetary policies and Brexit – the U.K.’s late-June referendum vote to leave the European Union. The Barclays U.S. Aggregate Bond Index rose 5.97% the past year, gaining significant ground in the mid-to-late stages of the period. The return primarily was driven by bond-price gains, partly as foreign investors sought the relatively higher yields and stability of U.S. fixed-income securities. Bond yields trended lower and the yield curve flattened for much of the period, especially in early 2016, soon after the U.S. Federal Reserve raised policy interest rates. Still, U.S. yields remained higher than those in most industrial countries, especially in Japan and parts of Europe, where rates largely were negative. Within the Barclays index, investment-grade corporate bonds led all major market segments by far, with a return of 9.64%. U.S. Treasuries, meanwhile, lagged many spread-based sectors, returning 5.14%. Commercial mortgage-backed securities topped the index, returning 6.72%, although most other securitized sectors fell short. Riskier, non-core fixed-income segments, including emerging-markets debt, led the broader market amid a strong surge in the period’s second half.Comments from Lead Portfolio Manager Ford O'Neil: For the year, the fund's share classes (excluding sales charges, if applicable) returned about 6% to 7%. Most outpaced, net of fees, the 5.97% return of the Barclays U.S. Aggregate Index. Asset allocation boosted relative performance, including out-of-benchmark positions in non-investment-grade bonds. These holdings, including high-yield corporates and leveraged loans, were some of the U.S. bond market’s best performers. The fund’s overweighted exposure to investment-grade emerging markets debt also was a plus. Our above-benchmark weighting in investment-grade corporates also added value, as did bond choices there. Within corporates, overweighted exposure to financials was opportune. Additionally, our positioning within the industrials segment was advantageous. Conversely, we had a modest misstep in the electric utilities group within corporates, owning a handful of poor performers. Among U.S. government-backed bonds, underweighting Treasury securities and agency mortgage-backed securities helped. In contrast, the fund's out-of-benchmark position in Treasury Inflation-Protected Securities (TIPS) detracted.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.
Investment Summary (Unaudited)
Quality Diversification (% of fund's net assets)
As of August 31, 2016 | ||
U.S. Government and U.S. Government Agency Obligations | 39.2% | |
AAA | 2.0% | |
AA | 2.1% | |
A | 7.3% | |
BBB | 23.2% | |
BB and Below | 20.8% | |
Not Rated | 1.0% | |
Equities | 0.1% | |
Short-Term Investments and Net Other Assets | 4.3% |
As of February 29, 2016 | ||
U.S. Government and U.S. Government Agency Obligations | 36.7% | |
AAA | 2.5% | |
AA | 2.4% | |
A | 10.7% | |
BBB | 27.0% | |
BB and Below | 18.7% | |
Not Rated | 1.0% | |
Equities | 0.1% | |
Short-Term Investments and Net Other Assets | 0.9% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes.
Asset Allocation (% of fund's net assets)
As of August 31, 2016*,** | ||
Corporate Bonds | 42.2% | |
U.S. Government and U.S. Government Agency Obligations | 39.2% | |
Asset-Backed Securities | 0.5% | |
CMOs and Other Mortgage Related Securities | 4.5% | |
Municipal Bonds | 1.8% | |
Stocks | 0.1% | |
Other Investments | 7.4% | |
Short-Term Investments and Net Other Assets (Liabilities) | 4.3% |
* Foreign investments - 11.7%
** Futures and Swaps - 0.1%
As of February 29, 2016 *,** | ||
Corporate Bonds | 45.6% | |
U.S. Government and U.S. Government Agency Obligations | 36.7% | |
Asset-Backed Securities | 0.8% | |
CMOs and Other Mortgage Related Securities | 6.0% | |
Municipal Bonds | 2.0% | |
Stocks | 0.1% | |
Other Investments | 7.9% | |
Short-Term Investments and Net Other Assets (Liabilities) | 0.9% |
* Foreign investments - 12.6%
** Futures and Swaps - (0.2)%
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments.
Investments August 31, 2016
Showing Percentage of Net Assets
Nonconvertible Bonds - 42.2% | |||
Principal Amount(a) | Value | ||
CONSUMER DISCRETIONARY - 4.8% | |||
Auto Components - 0.1% | |||
J.B. Poindexter & Co., Inc. 9% 4/1/22 (b) | $3,045,000 | $3,273,375 | |
Metalsa SA de CV 4.9% 4/24/23 (b) | 1,215,000 | 1,230,188 | |
Tenedora Nemak SA de CV 5.5% 2/28/23 (b) | 2,660,000 | 2,779,700 | |
Tenneco, Inc. 5% 7/15/26 | 1,700,000 | 1,751,000 | |
The Goodyear Tire & Rubber Co. 5% 5/31/26 | 5,035,000 | 5,270,990 | |
Tupy Overseas SA 6.625% 7/17/24 (b) | 530,000 | 533,180 | |
ZF North America Capital, Inc. 4.75% 4/29/25 (b) | 5,910,000 | 6,271,988 | |
21,110,421 | |||
Automobiles - 0.9% | |||
General Motors Co.: | |||
3.5% 10/2/18 | 9,215,000 | 9,481,728 | |
5.2% 4/1/45 | 10,682,000 | 11,371,833 | |
6.25% 10/2/43 | 1,543,000 | 1,849,196 | |
6.6% 4/1/36 | 9,383,000 | 11,569,624 | |
6.75% 4/1/46 | 15,744,000 | 20,204,574 | |
General Motors Financial Co., Inc.: | |||
2.625% 7/10/17 | 2,955,000 | 2,983,046 | |
3.15% 1/15/20 | 27,252,000 | 27,824,755 | |
3.2% 7/13/20 | 20,200,000 | 20,649,430 | |
3.25% 5/15/18 | 4,810,000 | 4,902,203 | |
3.5% 7/10/19 | 10,761,000 | 11,089,985 | |
4% 1/15/25 | 18,085,000 | 18,411,217 | |
4.2% 3/1/21 | 26,269,000 | 27,718,629 | |
4.25% 5/15/23 | 5,420,000 | 5,674,014 | |
4.375% 9/25/21 | 47,963,000 | 51,154,266 | |
4.75% 8/15/17 | 5,050,000 | 5,202,480 | |
230,086,980 | |||
Distributors - 0.0% | |||
American Tire Distributors, Inc. 10.25% 3/1/22 (b) | 4,340,000 | 3,849,059 | |
Diversified Consumer Services - 0.0% | |||
Ingersoll-Rand Global Holding Co. Ltd.: | |||
2.875% 1/15/19 | 1,206,000 | 1,242,397 | |
4.25% 6/15/23 | 8,466,000 | 9,311,753 | |
10,554,150 | |||
Hotels, Restaurants & Leisure - 0.5% | |||
24 Hour Holdings III LLC 8% 6/1/22 (b) | 5,650,000 | 4,618,875 | |
Aramark Services, Inc.: | |||
4.75% 6/1/26 (b) | 2,520,000 | 2,532,852 | |
5.125% 1/15/24 (b) | 2,520,000 | 2,612,925 | |
ESH Hospitality, Inc. 5.25% 5/1/25 (b) | 5,205,000 | 5,203,386 | |
FelCor Lodging LP 5.625% 3/1/23 | 135,000 | 138,713 | |
GLP Capital LP/GLP Financing II, Inc.: | |||
4.375% 4/15/21 | 2,820,000 | 2,975,890 | |
5.375% 4/15/26 | 880,000 | 961,400 | |
Hilton Escrow Issuer LLC 4.25% 9/1/24 (b) | 4,760,000 | 4,849,250 | |
KFC Holding Co./Pizza Hut Holding LLC: | |||
5% 6/1/24 (b) | 1,790,000 | 1,877,209 | |
5.25% 6/1/26 (b) | 1,790,000 | 1,901,875 | |
McDonald's Corp.: | |||
2.75% 12/9/20 | 3,638,000 | 3,785,743 | |
3.7% 1/30/26 | 9,591,000 | 10,364,802 | |
4.7% 12/9/35 | 4,951,000 | 5,679,654 | |
4.875% 12/9/45 | 7,770,000 | 9,191,079 | |
MCE Finance Ltd. 5% 2/15/21 (b) | 13,400,000 | 13,514,811 | |
MGM Growth Properties Operating Partnership LP 4.5% 9/1/26 (b) | 2,835,000 | 2,833,228 | |
NCL Corp. Ltd. 4.625% 11/15/20 (b) | 4,910,000 | 4,963,470 | |
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 | 540,000 | 549,450 | |
Scientific Games Corp.: | |||
6.625% 5/15/21 | 8,310,000 | 6,170,175 | |
7% 1/1/22 (b) | 2,375,000 | 2,523,438 | |
10% 12/1/22 | 5,680,000 | 5,254,000 | |
Speedway Motorsports, Inc. 5.125% 2/1/23 | 3,315,000 | 3,422,738 | |
Times Square Hotel Trust 8.528% 8/1/26 (b) | 700,196 | 825,258 | |
Wynn Macau Ltd. 5.25% 10/15/21 (b) | 31,195,000 | 31,584,938 | |
128,335,159 | |||
Household Durables - 0.3% | |||
CalAtlantic Group, Inc.: | |||
5.25% 6/1/26 | 4,630,000 | 4,699,450 | |
5.875% 11/15/24 | 1,775,000 | 1,917,000 | |
Lennar Corp.: | |||
4.75% 4/1/21 | 4,845,000 | 5,198,685 | |
4.875% 12/15/23 | 3,435,000 | 3,598,163 | |
M/I Homes, Inc. 6.75% 1/15/21 | 4,265,000 | 4,456,925 | |
Meritage Homes Corp. 6% 6/1/25 | 1,905,000 | 2,028,825 | |
PulteGroup, Inc.: | |||
4.25% 3/1/21 | 7,545,000 | 7,926,928 | |
5% 1/15/27 | 2,625,000 | 2,684,063 | |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | |||
4.1271% 7/15/21 (b)(c) | 3,930,000 | 3,988,950 | |
5.125% 7/15/23 (b) | 5,170,000 | 5,363,875 | |
5.75% 10/15/20 | 2,935,000 | 3,026,719 | |
8.25% 2/15/21 (c) | 3,885,000 | 4,040,400 | |
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (b) | 1,495,000 | 1,562,275 | |
TRI Pointe Homes, Inc.: | |||
4.375% 6/15/19 | 570,000 | 585,675 | |
5.875% 6/15/24 | 415,000 | 433,675 | |
William Lyon Homes, Inc.: | |||
5.75% 4/15/19 | 6,175,000 | 6,283,063 | |
7% 8/15/22 | 12,090,000 | 12,482,925 | |
70,277,596 | |||
Internet & Catalog Retail - 0.0% | |||
Netflix, Inc. 5.875% 2/15/25 | 1,865,000 | 2,023,525 | |
Zayo Group LLC/Zayo Capital, Inc. 6.375% 5/15/25 | 6,400,000 | 6,753,344 | |
8,776,869 | |||
Media - 2.7% | |||
21st Century Fox America, Inc.: | |||
6.15% 3/1/37 | 4,759,000 | 6,095,955 | |
6.15% 2/15/41 | 23,838,000 | 30,924,584 | |
7.75% 12/1/45 | 3,932,000 | 5,975,547 | |
Altice SA 7.75% 5/15/22 (b) | 38,580,000 | 41,063,588 | |
Altice U.S. Finance SA: | |||
5.375% 7/15/23 (b) | 2,560,000 | 2,678,400 | |
5.5% 5/15/26 (b) | 5,035,000 | 5,311,925 | |
AMC Networks, Inc. 5% 4/1/24 | 2,950,000 | 3,023,750 | |
Anna Merger Sub, Inc. 7.75% 10/1/22 (b) | 1,270,000 | 1,173,163 | |
AOL Time Warner, Inc. 7.625% 4/15/31 | 500,000 | 705,004 | |
Cablevision SA 6.5% 6/15/21 (b) | 585,000 | 609,863 | |
Cablevision Systems Corp. 7.75% 4/15/18 | 2,110,000 | 2,252,425 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | |||
5.125% 2/15/23 | 1,130,000 | 1,186,500 | |
5.125% 5/1/23 (b) | 5,910,000 | 6,218,443 | |
5.5% 5/1/26 (b) | 6,210,000 | 6,574,838 | |
5.75% 2/15/26 (b) | 3,370,000 | 3,605,900 | |
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: | |||
4.464% 7/23/22 (b) | 20,419,000 | 22,137,953 | |
4.908% 7/23/25 (b) | 20,419,000 | 22,513,663 | |
6.484% 10/23/45 (b) | 6,023,000 | 7,401,002 | |
Clear Channel Communications, Inc.: | |||
5.5% 12/15/16 | 8,895,000 | 8,717,100 | |
9% 12/15/19 | 1,875,000 | 1,516,406 | |
10% 1/15/18 | 3,050,000 | 1,898,625 | |
Columbus International, Inc. 7.375% 3/30/21 (b) | 21,264,000 | 22,752,480 | |
Comcast Corp.: | |||
3.6% 3/1/24 | 24,000,000 | 26,344,656 | |
4.6% 8/15/45 | 33,362,000 | 39,272,879 | |
6.45% 3/15/37 | 2,196,000 | 3,082,639 | |
CSC Holdings LLC 6.75% 11/15/21 | 8,225,000 | 8,780,188 | |
Discovery Communications LLC: | |||
3.25% 4/1/23 | 1,789,000 | 1,790,145 | |
6.35% 6/1/40 | 6,392,000 | 6,766,309 | |
DISH DBS Corp.: | |||
5.125% 5/1/20 | 3,590,000 | 3,715,650 | |
7.75% 7/1/26 (b) | 3,800,000 | 4,054,562 | |
Globo Comunicacao e Participacoes SA: | |||
4.843% 6/8/25 (b) | 1,820,000 | 1,879,150 | |
4.875% 4/11/22 (b) | 565,000 | 588,306 | |
5.307% 5/11/22 (Reg. S) (d) | 640,000 | 651,200 | |
Grupo Televisa SA de CV: | |||
6.125% 1/31/46 | 515,000 | 614,551 | |
6.625% 3/18/25 | 790,000 | 978,033 | |
iHeartCommunications, Inc. 10.625% 3/15/23 | 1,765,000 | 1,301,688 | |
Lagardere S.C.A. 2.75% 4/13/23 Reg. S | EUR | 2,500,000 | 2,947,083 |
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 7.875% 5/15/24 (b) | 1,750,000 | 1,872,500 | |
MDC Partners, Inc. 6.5% 5/1/24 (b) | 5,960,000 | 5,662,000 | |
MHGE Parent LLC/MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (b)(c) | 15,920,000 | 16,119,000 | |
Myriad International Holding BV 5.5% 7/21/25 (b) | 1,490,000 | 1,571,950 | |
National CineMedia LLC 5.75% 8/15/26 (b) | 2,475,000 | 2,539,969 | |
NBCUniversal, Inc. 5.15% 4/30/20 | 11,614,000 | 13,095,749 | |
New Cotai LLC/New Cotai Capital Corp. 10.625% 5/1/19 pay-in-kind (b)(c) | 4,245,326 | 1,908,628 | |
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (b) | 1,460,000 | 1,556,725 | |
Sirius XM Radio, Inc. 5.375% 7/15/26 (b) | 2,310,000 | 2,376,413 | |
SKY PLC 2.25% 11/17/25 (Reg. S) | EUR | 2,650,000 | 3,242,492 |
Thomson Reuters Corp.: | |||
1.3% 2/23/17 | 3,690,000 | 3,695,616 | |
3.85% 9/29/24 | 11,394,000 | 12,203,658 | |
Time Warner Cable, Inc.: | |||
4% 9/1/21 | 20,277,000 | 21,612,950 | |
4.5% 9/15/42 | 54,497,000 | 52,723,504 | |
5.5% 9/1/41 | 12,973,000 | 14,078,079 | |
5.85% 5/1/17 | 3,419,000 | 3,518,165 | |
5.875% 11/15/40 | 16,544,000 | 18,454,154 | |
6.55% 5/1/37 | 38,302,000 | 46,216,687 | |
6.75% 7/1/18 | 13,763,000 | 14,998,298 | |
7.3% 7/1/38 | 38,728,000 | 50,296,092 | |
8.25% 4/1/19 | 24,391,000 | 28,187,825 | |
Time Warner, Inc.: | |||
3.6% 7/15/25 | 6,406,000 | 6,860,634 | |
6.2% 3/15/40 | 11,792,000 | 15,226,444 | |
6.5% 11/15/36 | 9,243,000 | 12,011,907 | |
TV Azteca SA de CV: | |||
7.5% 5/25/18 (Reg. S) | 2,700,000 | 2,193,750 | |
7.625% 9/18/20 (Reg S.) | 575,000 | 425,500 | |
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5% 1/15/25 (b) | 2,920,000 | 3,044,100 | |
Univision Communications, Inc.: | |||
5.125% 5/15/23 (b) | 3,000,000 | 3,120,000 | |
5.125% 2/15/25 (b) | 2,805,000 | 2,931,225 | |
Viacom, Inc. 2.5% 9/1/18 | 1,478,000 | 1,495,267 | |
Virgin Media Secured Finance PLC: | |||
5.5% 1/15/25 (b) | 2,500,000 | 2,568,750 | |
5.5% 8/15/26 (b) | 5,450,000 | 5,695,250 | |
VTR Finance BV 6.875% 1/15/24 (b) | 2,680,000 | 2,813,196 | |
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | |||
10.25% 7/15/19 | 8,315,000 | 8,751,538 | |
13.375% 10/15/19 | 2,205,000 | 2,353,838 | |
WMG Acquisition Corp.: | |||
6% 1/15/21 (b) | 1,585,000 | 1,644,438 | |
6.75% 4/15/22 (b) | 6,906,000 | 7,320,360 | |
Ziggo Bond Finance BV 5.875% 1/15/25 (b) | 3,100,000 | 3,115,500 | |
704,606,304 | |||
Multiline Retail - 0.2% | |||
JC Penney Corp., Inc.: | |||
5.65% 6/1/20 | 28,475,000 | 28,332,625 | |
5.875% 7/1/23 (b) | 4,084,000 | 4,261,246 | |
7.4% 4/1/37 | 13,550,000 | 12,195,000 | |
8.125% 10/1/19 | 3,190,000 | 3,433,238 | |
48,222,109 | |||
Specialty Retail - 0.1% | |||
L Brands, Inc.: | |||
6.75% 7/1/36 | 5,950,000 | 6,393,275 | |
6.875% 11/1/35 | 2,175,000 | 2,376,188 | |
Sally Holdings LLC 5.625% 12/1/25 | 4,435,000 | 4,803,105 | |
13,572,568 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Christian Dior SA 0.75% 6/24/21 | EUR | 1,100,000 | 1,240,816 |
TOTAL CONSUMER DISCRETIONARY | 1,240,632,031 | ||
CONSUMER STAPLES - 2.5% | |||
Beverages - 0.9% | |||
Anheuser-Busch InBev Finance, Inc.: | |||
2.65% 2/1/21 | 38,614,000 | 39,792,075 | |
3.3% 2/1/23 | 41,589,000 | 43,640,086 | |
4.7% 2/1/36 | 42,171,000 | 48,879,984 | |
4.9% 2/1/46 | 45,032,000 | 54,455,396 | |
Constellation Brands, Inc.: | |||
3.875% 11/15/19 | 2,360,000 | 2,483,900 | |
4.25% 5/1/23 | 5,205,000 | 5,553,084 | |
6% 5/1/22 | 21,795,000 | 25,282,200 | |
SABMiller Holdings, Inc. 3.75% 1/15/22 (b) | 10,217,000 | 11,110,426 | |
231,197,151 | |||
Food & Staples Retailing - 0.5% | |||
Albertsons Companies LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC: | |||
5.75% 3/15/25 (b) | 4,430,000 | 4,585,050 | |
6.625% 6/15/24 (b) | 2,215,000 | 2,378,024 | |
Albertsons, Inc.: | |||
6.625% 6/1/28 | 705,000 | 657,413 | |
7.45% 8/1/29 | 645,000 | 635,325 | |
7.75% 6/15/26 | 765,000 | 772,650 | |
8% 5/1/31 | 660,000 | 669,900 | |
8.7% 5/1/30 | 560,000 | 571,200 | |
Arcor SAIC 6% 7/6/23 (b) | 765,000 | 821,228 | |
C&S Group Enterprises LLC 5.375% 7/15/22 (b) | 835,000 | 814,125 | |
CVS Health Corp.: | |||
2.8% 7/20/20 | 15,202,000 | 15,832,016 | |
3.5% 7/20/22 | 8,944,000 | 9,605,123 | |
4% 12/5/23 | 8,525,000 | 9,431,531 | |
ESAL GmbH 6.25% 2/5/23 (b) | 16,640,000 | 16,806,400 | |
FAGE International SA/FAGE U.S.A. Dairy Industry, Inc. 5.625% 8/15/26 (b) | 1,105,000 | 1,142,294 | |
Minerva Luxembourg SA: | |||
7.75% 1/31/23 (b) | 12,999,000 | 13,671,048 | |
7.75% 1/31/23 (Reg. S) | 1,705,000 | 1,793,149 | |
Tesco PLC: | |||
5% 3/24/23 | GBP | 1,100,000 | 1,599,960 |
6.125% 2/24/22 | GBP | 750,000 | 1,141,180 |
6.15% 11/15/37 (b) | 14,035,000 | 14,284,262 | |
Tops Holding LLC/Tops Markets II Corp. 8% 6/15/22 (b) | 5,155,000 | 4,626,613 | |
U.S. Foods, Inc. 5.875% 6/15/24 (b) | 2,345,000 | 2,456,388 | |
Walgreens Boots Alliance, Inc.: | |||
1.75% 11/17/17 | 3,756,000 | 3,777,969 | |
2.7% 11/18/19 | 8,473,000 | 8,743,297 | |
3.3% 11/18/21 | 10,050,000 | 10,615,112 | |
127,431,257 | |||
Food Products - 0.2% | |||
Barry Callebaut Services NV 2.375% 5/24/24 (Reg. S) | EUR | 975,000 | 1,156,896 |
ConAgra Foods, Inc. 1.9% 1/25/18 | 4,611,000 | 4,642,959 | |
Gruma S.A.B. de CV 4.875% 12/1/24 (b) | 625,000 | 697,656 | |
JBS Investments GmbH: | |||
7.25% 4/3/24 (b) | 13,260,000 | 14,035,710 | |
7.75% 10/28/20 (b) | 4,750,000 | 5,046,875 | |
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | |||
5.875% 7/15/24 (b) | 6,410,000 | 6,618,325 | |
7.25% 6/1/21 (b) | 2,730,000 | 2,825,550 | |
7.25% 6/1/21 (b) | 2,200,000 | 2,277,000 | |
8.25% 2/1/20 (b) | 1,510,000 | 1,570,400 | |
MHP SA 8.25% 4/2/20 (b) | 955,000 | 914,604 | |
39,785,975 | |||
Household Products - 0.0% | |||
Edgewell Personal Care Co. 5.5% 6/15/25 (b) | 11,815,000 | 12,317,138 | |
Tobacco - 0.9% | |||
Altria Group, Inc.: | |||
2.85% 8/9/22 | 9,573,000 | 10,037,539 | |
4% 1/31/24 | 6,408,000 | 7,191,365 | |
Imperial Tobacco Finance PLC: | |||
2.05% 2/11/18 (b) | 19,975,000 | 20,089,457 | |
2.05% 7/20/18 (b) | 8,743,000 | 8,822,159 | |
2.95% 7/21/20 (b) | 20,000,000 | 20,647,500 | |
3.75% 7/21/22 (b) | 23,400,000 | 24,823,001 | |
4.25% 7/21/25 (b) | 18,467,000 | 20,212,926 | |
Reynolds American, Inc.: | |||
2.3% 6/12/18 | 7,358,000 | 7,473,491 | |
3.25% 6/12/20 | 3,274,000 | 3,446,209 | |
4% 6/12/22 | 11,386,000 | 12,466,987 | |
4.45% 6/12/25 | 14,753,000 | 16,556,038 | |
5.7% 8/15/35 | 4,237,000 | 5,264,095 | |
5.85% 8/15/45 | 35,690,000 | 46,544,578 | |
6.15% 9/15/43 | 4,511,000 | 6,043,549 | |
7.25% 6/15/37 | 5,056,000 | 6,978,094 | |
Vector Group Ltd. 7.75% 2/15/21 | 10,720,000 | 11,336,400 | |
227,933,388 | |||
TOTAL CONSUMER STAPLES | 638,664,909 | ||
ENERGY - 7.9% | |||
Energy Equipment & Services - 0.6% | |||
DCP Midstream LLC: | |||
4.75% 9/30/21 (b) | 11,333,000 | 11,163,005 | |
5.35% 3/15/20 (b) | 8,816,000 | 8,948,240 | |
5.85% 5/21/43 (b)(c) | 6,758,000 | 5,169,870 | |
El Paso Pipeline Partners Operating Co. LLC: | |||
5% 10/1/21 | 18,884,000 | 20,513,425 | |
6.5% 4/1/20 | 738,000 | 824,599 | |
Ensco PLC: | |||
4.5% 10/1/24 | 650,000 | 462,722 | |
5.2% 3/15/25 | 14,770,000 | 10,634,400 | |
5.75% 10/1/44 | 7,801,000 | 4,797,615 | |
Exterran Partners LP/EXLP Finance Corp.: | |||
6% 4/1/21 | 3,210,000 | 3,009,375 | |
6% 10/1/22 | 995,000 | 920,375 | |
Forbes Energy Services Ltd. 9% 6/15/19 (e) | 8,236,000 | 2,306,080 | |
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 3,780,000 | 3,581,550 | |
Halliburton Co.: | |||
3.8% 11/15/25 | 9,790,000 | 10,118,229 | |
4.85% 11/15/35 | 8,550,000 | 9,132,229 | |
5% 11/15/45 | 11,714,000 | 12,894,888 | |
Hornbeck Offshore Services, Inc.: | |||
5% 3/1/21 | 1,345,000 | 770,013 | |
5.875% 4/1/20 | 1,850,000 | 1,128,500 | |
Noble Holding International Ltd.: | |||
5% 3/16/18 (c) | 1,187,000 | 1,167,118 | |
6.95% 4/1/25 (c) | 7,570,000 | 6,169,550 | |
7.95% 4/1/45 (c) | 7,307,000 | 5,334,110 | |
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S) | 920,000 | 1,305,000 | |
Pride International, Inc. 6.875% 8/15/20 | 4,340,000 | 4,263,573 | |
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) | 1,305,000 | 1,463,297 | |
Transocean, Inc.: | |||
3.75% 10/15/17 (d) | 1,000,000 | 997,500 | |
5.55% 12/15/16 (c) | 7,572,000 | 7,628,790 | |
6.8% 3/15/38 | 2,255,000 | 1,460,113 | |
7.5% 4/15/31 | 900,000 | 632,250 | |
Weatherford International Ltd.: | |||
7.75% 6/15/21 | 2,835,000 | 2,806,650 | |
8.25% 6/15/23 | 3,805,000 | 3,739,858 | |
143,342,924 | |||
Oil, Gas & Consumable Fuels - 7.3% | |||
Afren PLC: | |||
6.625% 12/9/20 (b)(e) | 1,341,775 | 134 | |
10.25% 4/8/19 (Reg. S) (e) | 2,024,860 | 202 | |
American Energy-Permian Basin LLC/AEPB Finance Corp. 7.2591% 8/1/19 (b)(c) | 2,113,000 | 1,362,885 | |
Anadarko Finance Co. 7.5% 5/1/31 | 15,903,000 | 19,273,991 | |
Anadarko Petroleum Corp.: | |||
4.85% 3/15/21 | 6,730,000 | 7,159,603 | |
5.55% 3/15/26 | 13,807,000 | 15,273,138 | |
6.375% 9/15/17 | 3,001,000 | 3,139,091 | |
6.6% 3/15/46 | 22,460,000 | 26,736,317 | |
Antero Resources Corp.: | |||
5.125% 12/1/22 | 10,555,000 | 10,423,063 | |
5.625% 6/1/23 (Reg. S) | 4,310,000 | 4,320,775 | |
Antero Resources Finance Corp. 5.375% 11/1/21 | 3,675,000 | 3,679,594 | |
BP Capital Markets PLC: | |||
2.315% 2/13/20 | 37,777,000 | 38,583,237 | |
3.535% 11/4/24 | 15,450,000 | 16,492,072 | |
3.814% 2/10/24 | 21,032,000 | 22,892,512 | |
4.5% 10/1/20 | 5,954,000 | 6,573,948 | |
4.742% 3/11/21 | 8,800,000 | 9,951,058 | |
Canadian Natural Resources Ltd.: | |||
1.75% 1/15/18 | 6,049,000 | 6,025,693 | |
3.9% 2/1/25 | 24,997,000 | 25,182,103 | |
Cenovus Energy, Inc. 5.7% 10/15/19 | 16,926,000 | 18,180,640 | |
Cheniere Corpus Christi Holdings LLC 7% 6/30/24 (b) | 4,155,000 | 4,445,850 | |
Chesapeake Energy Corp.: | |||
5.75% 3/15/23 | 900,000 | 690,188 | |
6.125% 2/15/21 | 3,895,000 | 3,252,325 | |
8% 12/15/22 (b) | 7,205,000 | 6,862,763 | |
Citgo Holding, Inc. 10.75% 2/15/20 (b) | 1,850,000 | 1,895,094 | |
Citgo Petroleum Corp. 6.25% 8/15/22 (b) | 4,145,000 | 4,020,650 | |
Columbia Pipeline Group, Inc.: | |||
2.45% 6/1/18 | 3,149,000 | 3,164,096 | |
3.3% 6/1/20 | 15,490,000 | 16,031,081 | |
4.5% 6/1/25 | 4,707,000 | 5,090,032 | |
5.8% 6/1/45 | 5,906,000 | 7,112,318 | |
Concho Resources, Inc. 5.5% 4/1/23 | 3,145,000 | 3,247,213 | |
ConocoPhillips Co. 5.75% 2/1/19 | 2,930,000 | 3,203,776 | |
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 6,110,000 | 5,332,930 | |
DCP Midstream Operating LP: | |||
2.5% 12/1/17 | 5,924,000 | 5,901,785 | |
2.7% 4/1/19 | 14,993,000 | 14,524,469 | |
3.875% 3/15/23 | 5,532,000 | 5,255,400 | |
Denbury Resources, Inc. 4.625% 7/15/23 | 4,460,000 | 2,876,700 | |
Duke Energy Field Services 6.45% 11/3/36 (b) | 13,741,000 | 13,294,418 | |
EDC Finance Ltd. 4.875% 4/17/20 (b) | 3,120,000 | 3,127,800 | |
El Paso Corp. 6.5% 9/15/20 | 16,140,000 | 18,045,117 | |
El Paso Natural Gas Co. 5.95% 4/15/17 | 1,166,000 | 1,195,691 | |
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) | 9,045,000 | 9,672,072 | |
Enable Midstream Partners LP: | |||
2.4% 5/15/19 | 4,028,000 | 3,934,909 | |
3.9% 5/15/24 | 4,249,000 | 3,997,952 | |
Enbridge Energy Partners LP: | |||
4.2% 9/15/21 | 13,331,000 | 13,757,819 | |
4.375% 10/15/20 | 11,319,000 | 11,793,843 | |
Endeavor Energy Resources LP/EER Finance, Inc. 7% 8/15/21 (b) | 8,190,000 | 8,210,475 | |
Energy Transfer Equity LP: | |||
5.5% 6/1/27 | 4,210,000 | 4,220,525 | |
5.875% 1/15/24 | 3,025,000 | 3,100,625 | |
Enterprise Products Operating LP: | |||
2.55% 10/15/19 | 2,971,000 | 3,042,637 | |
3.75% 2/15/25 | 9,982,000 | 10,430,122 | |
EP Energy LLC/Everest Acquisition Finance, Inc.: | |||
6.375% 6/15/23 | 1,920,000 | 1,051,200 | |
7.75% 9/1/22 | 965,000 | 528,338 | |
9.375% 5/1/20 | 5,212,000 | 3,361,740 | |
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) | 1,425,000 | 1,492,688 | |
Gibson Energy, Inc. 6.75% 7/15/21 (b) | 1,935,000 | 1,964,025 | |
Global Partners LP/GLP Finance Corp.: | |||
6.25% 7/15/22 | 4,045,000 | 3,640,500 | |
7% 6/15/23 | 9,200,000 | 8,372,000 | |
Halcon Resources Corp. 8.625% 2/1/20 (b) | 7,035,000 | 6,683,250 | |
Hilcorp Energy I LP/Hilcorp Finance Co.: | |||
5% 12/1/24 (b) | 1,305,000 | 1,265,850 | |
5.75% 10/1/25 (b) | 2,135,000 | 2,092,300 | |
Indo Energy Finance BV 7% 5/7/18 (b) | 600,000 | 513,000 | |
Jupiter Resources, Inc. 8.5% 10/1/22 (b) | 885,000 | 699,150 | |
Kinder Morgan Energy Partners LP: | |||
2.65% 2/1/19 | 1,711,000 | 1,731,511 | |
3.5% 3/1/21 | 11,339,000 | 11,712,178 | |
3.95% 9/1/22 | 14,085,000 | 14,578,581 | |
4.25% 9/1/24 | 3,263,000 | 3,358,723 | |
5.5% 3/1/44 | 42,953,000 | 43,609,451 | |
6.55% 9/15/40 | 1,889,000 | 2,051,786 | |
Kinder Morgan, Inc.: | |||
2% 12/1/17 | 5,467,000 | 5,472,609 | |
3.05% 12/1/19 | 5,004,000 | 5,137,752 | |
5% 2/15/21 (b) | 10,606,000 | 11,483,689 | |
5.05% 2/15/46 | 4,854,000 | 4,656,496 | |
Kosmos Energy Ltd.: | |||
7.875% 8/1/21 (b) | 1,045,000 | 1,003,200 | |
7.875% 8/1/21 (b) | 650,000 | 624,000 | |
Marathon Petroleum Corp. 5.125% 3/1/21 | 10,178,000 | 11,338,139 | |
Motiva Enterprises LLC 5.75% 1/15/20 (b) | 4,187,000 | 4,606,416 | |
MPLX LP 4% 2/15/25 | 2,532,000 | 2,473,141 | |
Nakilat, Inc. 6.067% 12/31/33 (b) | 1,975,000 | 2,385,603 | |
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 2,940,000 | 2,991,450 | |
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (b) | 2,780,000 | 2,585,956 | |
Pacific Exploration and Production Corp. 12% 12/22/16 | 1,204,000 | 1,059,520 | |
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (b)(e) | 6,806,000 | 1,191,050 | |
Pan American Energy LLC 7.875% 5/7/21 (b) | 2,808,000 | 3,015,090 | |
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 | 6,170,000 | 5,969,475 | |
Pemex Project Funding Master Trust 6.625% 6/15/35 | 5,185,000 | 5,613,800 | |
Petro-Canada 6.05% 5/15/18 | 3,850,000 | 4,122,703 | |
Petrobras Global Finance BV: | |||
2.8201% 1/15/19 (c) | 4,360,000 | 4,169,250 | |
3% 1/15/19 | 4,545,000 | 4,386,834 | |
4.375% 5/20/23 | 20,096,000 | 17,525,902 | |
4.875% 3/17/20 | 38,750,000 | 37,975,000 | |
5.625% 5/20/43 | 18,504,000 | 14,271,210 | |
6.25% 3/17/24 | 21,380,000 | 20,793,119 | |
8.375% 5/23/21 | 54,810,000 | 58,972,820 | |
8.75% 5/23/26 | 50,000,000 | 54,885,000 | |
Petrobras International Finance Co. Ltd.: | |||
3.25% 4/1/19 | EUR | 1,500,000 | 1,647,860 |
5.375% 1/27/21 | 44,755,000 | 43,132,631 | |
5.75% 1/20/20 | 16,140,000 | 16,323,350 | |
6.875% 1/20/40 | 3,100,000 | 2,766,750 | |
7.875% 3/15/19 | 3,011,000 | 3,213,339 | |
Petroleos de Venezuela SA: | |||
5.375% 4/12/27 | 2,050,000 | 738,000 | |
5.5% 4/12/37 | 655,000 | 232,525 | |
6% 5/16/24 (b) | 2,085,000 | 771,450 | |
6% 11/15/26 (b) | 1,755,000 | 636,188 | |
8.5% 11/2/17 (b) | 14,400,000 | 10,548,000 | |
9.75% 5/17/35 (b) | 2,920,000 | 1,376,780 | |
12.75% 2/17/22 (b) | 1,485,000 | 861,300 | |
Petroleos Mexicanos: | |||
3.125% 1/23/19 | 1,776,000 | 1,799,088 | |
3.5% 7/18/18 | 14,963,000 | 15,301,164 | |
3.5% 7/23/20 | 13,960,000 | 14,134,500 | |
3.5% 1/30/23 | 12,689,000 | 12,331,170 | |
4.5% 1/23/26 | 46,043,000 | 46,112,065 | |
4.875% 1/24/22 | 11,642,000 | 12,126,307 | |
4.875% 1/18/24 | 13,872,000 | 14,392,200 | |
5.125% 3/15/23 (Reg. S) | EUR | 4,600,000 | 5,791,695 |
5.5% 2/4/19 (b) | 1,105,000 | 1,174,063 | |
5.5% 1/21/21 | 12,189,000 | 13,151,931 | |
5.5% 6/27/44 | 36,194,000 | 34,384,300 | |
5.625% 1/23/46 | 35,710,000 | 34,499,431 | |
6% 3/5/20 | 6,145,000 | 6,724,166 | |
6.375% 2/4/21 (b) | 785,000 | 869,231 | |
6.375% 1/23/45 | 29,382,000 | 30,942,184 | |
6.5% 6/2/41 | 27,182,000 | 28,815,638 | |
6.625% (b)(f) | 4,175,000 | 4,112,375 | |
6.875% 8/4/26 (b) | 41,910,000 | 48,720,375 | |
8% 5/3/19 | 8,600,000 | 9,730,900 | |
Phillips 66 Co.: | |||
4.3% 4/1/22 | 12,618,000 | 13,899,408 | |
4.875% 11/15/44 | 34,230,000 | 38,340,167 | |
Phillips 66 Partners LP 2.646% 2/15/20 | 1,316,000 | 1,324,472 | |
Plains All American Pipeline LP/PAA Finance Corp.: | |||
3.65% 6/1/22 | 5,217,000 | 5,272,238 | |
6.125% 1/15/17 | 6,185,000 | 6,286,211 | |
PT Pertamina Persero: | |||
4.875% 5/3/22 (b) | 595,000 | 640,158 | |
5.25% 5/23/21 (b) | 815,000 | 887,360 | |
5.625% 5/20/43 (b) | 300,000 | 315,715 | |
6% 5/3/42 (b) | 645,000 | 710,249 | |
6.5% 5/27/41 (b) | 2,450,000 | 2,850,916 | |
Rice Energy, Inc.: | |||
6.25% 5/1/22 | 14,590,000 | 14,954,750 | |
7.25% 5/1/23 | 8,289,000 | 8,662,005 | |
Sabine Pass Liquefaction LLC: | |||
5.625% 2/1/21 (c) | 9,170,000 | 9,628,500 | |
5.625% 3/1/25 | 12,415,000 | 13,128,863 | |
5.75% 5/15/24 | 7,045,000 | 7,485,313 | |
5.875% 6/30/26 (b) | 3,800,000 | 4,066,000 | |
Shell International Finance BV: | |||
3.25% 5/11/25 | 20,000,000 | 21,235,500 | |
4.375% 5/11/45 | 20,000,000 | 22,017,380 | |
Sinopec Group Overseas Development 2012 Ltd. 3.9% 5/17/22 | 2,750,000 | 2,974,078 | |
SM Energy Co. 6.5% 11/15/21 | 3,345,000 | 3,311,550 | |
Southwestern Energy Co.: | |||
5.8% 1/23/20 (c) | 92,397,000 | 92,397,000 | |
6.7% 1/23/25 (c) | 34,312,000 | 35,255,580 | |
Spectra Energy Capital, LLC 5.65% 3/1/20 | 308,000 | 332,731 | |
Spectra Energy Partners LP: | |||
2.95% 9/25/18 | 1,960,000 | 1,995,782 | |
4.6% 6/15/21 | 2,694,000 | 2,907,392 | |
Sunoco LP/Sunoco Finance Corp.: | |||
5.5% 8/1/20 (b) | 3,405,000 | 3,456,416 | |
6.25% 4/15/21 (b) | 3,260,000 | 3,357,800 | |
6.375% 4/1/23 (b) | 3,035,000 | 3,126,050 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | |||
5% 1/15/18 | 2,000,000 | 2,040,000 | |
5.25% 5/1/23 | 685,000 | 695,275 | |
6.75% 3/15/24 (b) | 4,420,000 | 4,696,250 | |
Teine Energy Ltd. 6.875% 9/30/22 (b) | 6,310,000 | 6,325,775 | |
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | |||
5.5% 10/15/19 | 220,000 | 234,300 | |
5.875% 10/1/20 | 255,000 | 262,013 | |
6.125% 10/15/21 | 735,000 | 769,913 | |
6.25% 10/15/22 | 1,940,000 | 2,053,490 | |
The Williams Companies, Inc.: | |||
3.7% 1/15/23 | 14,510,000 | 14,074,700 | |
4.55% 6/24/24 | 93,426,000 | 95,528,085 | |
5.75% 6/24/44 | 19,187,000 | 19,714,643 | |
Transportadora de Gas del Sur SA: | |||
7.875% 5/14/17 (Reg. S) | 100,000 | 100,650 | |
9.625% 5/14/20 (b) | 3,668,817 | 3,925,634 | |
Western Gas Partners LP: | |||
4.65% 7/1/26 | 4,876,000 | 5,055,929 | |
5.375% 6/1/21 | 24,990,000 | 27,140,764 | |
Whiting Petroleum Corp. 6.5% 10/1/18 | 1,585,000 | 1,517,638 | |
Williams Partners LP: | |||
3.6% 3/15/22 | 10,817,000 | 10,797,605 | |
3.9% 1/15/25 | 26,667,000 | 26,516,865 | |
4% 11/15/21 | 6,716,000 | 6,907,366 | |
4% 9/15/25 | 3,000,000 | 3,001,728 | |
4.125% 11/15/20 | 2,399,000 | 2,487,480 | |
4.3% 3/4/24 | 40,932,000 | 41,903,275 | |
4.5% 11/15/23 | 7,325,000 | 7,599,717 | |
WPX Energy, Inc.: | |||
5.25% 9/15/24 | 3,240,000 | 2,988,900 | |
6% 1/15/22 | 2,480,000 | 2,411,800 | |
7.5% 8/1/20 | 6,710,000 | 6,890,331 | |
YPF SA: | |||
8.5% 3/23/21 (b) | 4,220,000 | 4,557,600 | |
8.75% 4/4/24 (b) | 4,140,000 | 4,440,150 | |
8.875% 12/19/18 (Reg. S) | 2,150,000 | 2,351,025 | |
Zhaikmunai International BV 7.125% 11/13/19 (b) | 4,140,000 | 3,860,550 | |
1,882,426,217 | |||
TOTAL ENERGY | 2,025,769,141 | ||
FINANCIALS - 16.1% | |||
Banks - 6.0% | |||
Akbank T.A.S. 6.5% 3/9/18 (Reg. S) | 3,100,000 | 3,228,495 | |
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (c) | EUR | 1,600,000 | 1,695,484 |
Banco de Bogota SA 6.25% 5/12/26 (b) | 690,000 | 733,125 | |
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) | 1,295,000 | 1,327,375 | |
Banco Espirito Santo SA 4% 1/21/19 (Reg. S) (e) | EUR | 1,300,000 | 333,520 |
Banco Hipotecario SA 9.75% 11/30/20 (b) | 2,675,000 | 3,039,469 | |
Banco Nacional de Desenvolvimento Economico e Social: | |||
3.375% 9/26/16 (b) | 10,570,000 | 10,543,575 | |
4% 4/14/19 (b) | 12,855,000 | 13,024,686 | |
5.75% 9/26/23 (b) | 10,130,000 | 10,813,775 | |
6.369% 6/16/18 (b) | 13,935,000 | 14,579,494 | |
Bank Nederlandse Gemeenten NV 1.375% 9/27/17 (b) | 3,720,000 | 3,734,568 | |
Bank of America Corp.: | |||
2% 1/11/18 | 50,000,000 | 50,302,000 | |
2.25% 4/21/20 | 66,694,000 | 67,209,745 | |
2.6% 1/15/19 | 8,068,000 | 8,246,222 | |
3.3% 1/11/23 | 901,000 | 935,891 | |
3.5% 4/19/26 | 17,610,000 | 18,380,191 | |
3.875% 8/1/25 | 11,647,000 | 12,475,451 | |
3.95% 4/21/25 | 27,638,000 | 28,765,713 | |
4% 1/22/25 | 6,663,000 | 6,938,462 | |
4.1% 7/24/23 | 11,481,000 | 12,467,011 | |
4.2% 8/26/24 | 40,532,000 | 42,992,455 | |
4.25% 10/22/26 | 14,724,000 | 15,616,201 | |
4.45% 3/3/26 | 2,949,000 | 3,173,198 | |
5.65% 5/1/18 | 8,780,000 | 9,344,141 | |
5.75% 12/1/17 | 21,955,000 | 23,083,926 | |
5.875% 1/5/21 | 6,530,000 | 7,523,226 | |
Bank of Ireland 4.25% 6/11/24 (Reg. S) (c) | EUR | 3,050,000 | 3,403,041 |
Banque Centrale de Tunisie 5.75% 1/30/25 (b) | 905,000 | 891,606 | |
Barclays Bank PLC 4.25% 1/12/22 | GBP | 4,000,000 | 6,196,461 |
Barclays PLC: | |||
2.75% 11/8/19 | 12,249,000 | 12,347,617 | |
3.25% 1/12/21 | 21,116,000 | 21,519,189 | |
4.375% 1/12/26 | 25,086,000 | 26,189,784 | |
BBVA Bancomer SA 7.25% 4/22/20 (b) | 975,000 | 1,082,250 | |
Biz Finance PLC 9.625% 4/27/22 (Reg. S) | 500,000 | 491,350 | |
BPCE SA 5.7% 10/22/23 (b) | 2,965,000 | 3,245,302 | |
Capital One NA 2.95% 7/23/21 | 18,827,000 | 19,442,398 | |
Citigroup, Inc.: | |||
1.8% 2/5/18 | 33,287,000 | 33,408,131 | |
1.85% 11/24/17 | 33,365,000 | 33,508,336 | |
2.4% 2/18/20 | 60,588,000 | 61,378,916 | |
2.65% 10/26/20 | 20,000,000 | 20,486,640 | |
4.05% 7/30/22 | 5,303,000 | 5,640,435 | |
4.4% 6/10/25 | 40,790,000 | 43,231,853 | |
4.45% 9/29/27 | 10,000,000 | 10,539,380 | |
5.125% 12/12/18 | GBP | 910,000 | 1,287,725 |
5.5% 9/13/25 | 4,478,000 | 5,073,037 | |
Citizens Bank NA 2.55% 5/13/21 | 6,564,000 | 6,679,914 | |
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) | 15,987,000 | 16,525,346 | |
Commonwealth Bank of Australia 2% 4/22/27 (Reg. S) (c) | EUR | 2,700,000 | 2,997,807 |
Credit Suisse Group Funding Guernsey Ltd.: | |||
2.75% 3/26/20 | 19,455,000 | 19,507,801 | |
3.75% 3/26/25 | 19,450,000 | 19,481,276 | |
3.8% 9/15/22 | 30,700,000 | 31,325,359 | |
3.8% 6/9/23 (b) | 36,648,000 | 37,177,967 | |
Discover Bank: | |||
4.2% 8/8/23 | 17,852,000 | 19,124,062 | |
7% 4/15/20 | 2,030,000 | 2,303,879 | |
Export Credit Bank of Turkey 5.875% 4/24/19 (b) | 1,165,000 | 1,211,717 | |
Fifth Third Bancorp: | |||
4.5% 6/1/18 | 798,000 | 835,304 | |
8.25% 3/1/38 | 4,667,000 | 7,058,193 | |
Finansbank A/S 6.25% 4/30/19 (b) | 235,000 | 247,338 | |
GTB Finance BV 6% 11/8/18 (b) | 3,755,000 | 3,736,225 | |
HBOS PLC 6.75% 5/21/18 (b) | 6,067,000 | 6,490,222 | |
HSBC Holdings PLC 4.25% 3/14/24 | 6,192,000 | 6,446,089 | |
HSBC U.S.A., Inc. 1.625% 1/16/18 | 11,125,000 | 11,126,413 | |
HSBK BV: | |||
7.25% 5/3/17 (b) | 1,770,000 | 1,818,817 | |
7.25% 5/3/17 (Reg. S) | 250,000 | 256,895 | |
Huntington Bancshares, Inc. 7% 12/15/20 | 2,851,000 | 3,320,451 | |
International Bank of Azerbaijan OJSC 5.625% 6/11/19 (Reg. S) | 1,250,000 | 1,228,625 | |
Intesa Sanpaolo SpA: | |||
5.017% 6/26/24 (b) | 5,800,000 | 5,471,523 | |
5.71% 1/15/26 (b) | 28,396,000 | 27,817,119 | |
Itau Unibanco Holding SA: | |||
5.125% 5/13/23 (Reg. S) | 1,850,000 | 1,872,755 | |
5.5% 8/6/22 (b) | 1,155,000 | 1,186,878 | |
6.2% 12/21/21 (Reg. S) | 980,000 | 1,041,250 | |
JPMorgan Chase & Co.: | |||
1.625% 5/15/18 | 12,580,000 | 12,635,138 | |
2% 8/15/17 | 11,000,000 | 11,086,075 | |
2.2% 10/22/19 | 7,268,000 | 7,390,270 | |
2.25% 1/23/20 | 40,000,000 | 40,538,480 | |
2.35% 1/28/19 | 6,857,000 | 6,998,460 | |
2.95% 10/1/26 | 7,120,000 | 7,163,923 | |
3.25% 9/23/22 | 18,423,000 | 19,336,799 | |
3.875% 9/10/24 | 35,791,000 | 37,778,761 | |
4.125% 12/15/26 | 43,776,000 | 46,914,126 | |
4.25% 10/15/20 | 6,995,000 | 7,612,540 | |
4.35% 8/15/21 | 20,267,000 | 22,345,948 | |
4.5% 1/24/22 | 22,046,000 | 24,412,352 | |
4.625% 5/10/21 | 6,879,000 | 7,626,630 | |
4.95% 3/25/20 | 22,079,000 | 24,347,021 | |
JSC BGEO Group 6% 7/26/23 (b) | 1,960,000 | 2,011,940 | |
JSC Halyk Bank of Kazakhstan 7.25% 1/28/21 (b) | 790,000 | 855,570 | |
Nacional Financiera SNC 3.375% 11/5/20 (b) | 1,105,000 | 1,147,543 | |
OJSC Russian Agricultural Bank 7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (b) | 1,000,000 | 1,073,500 | |
Rabobank Nederland 4.375% 8/4/25 | 25,937,000 | 27,444,355 | |
Regions Bank 6.45% 6/26/37 | 24,618,000 | 29,994,399 | |
Regions Financial Corp. 3.2% 2/8/21 | 11,916,000 | 12,353,889 | |
Royal Bank of Canada 4.65% 1/27/26 | 21,308,000 | 23,434,879 | |
Royal Bank of Scotland Group PLC: | |||
2.5% 3/22/23 (Reg. S) | EUR | 2,850,000 | 3,256,458 |
3.625% 3/25/24 (Reg. S) (c) | EUR | 2,850,000 | 3,172,083 |
4.8% 4/5/26 | 50,452,000 | 52,792,872 | |
5.125% 5/28/24 | 64,006,000 | 64,758,647 | |
6% 12/19/23 | 25,897,000 | 27,392,189 | |
6.1% 6/10/23 | 31,961,000 | 33,937,276 | |
6.125% 12/15/22 | 42,557,000 | 45,451,599 | |
Royal Bank of Scotland PLC 6.934% 4/9/18 | EUR | 1,250,000 | 1,521,900 |
RSHB Capital SA 5.298% 12/27/17 (b) | 1,225,000 | 1,257,218 | |
SB Capital SA 5.5% 2/26/24 (b)(c) | 1,585,000 | 1,577,075 | |
Turkiye Garanti Bankasi A/S 4% 9/13/17 (b) | 350,000 | 352,265 | |
Turkiye Halk Bankasi A/S: | |||
3.875% 2/5/20 (b) | 850,000 | 818,678 | |
4.75% 6/4/19 (b) | 980,000 | 977,362 | |
Turkiye Is Bankasi A/S: | |||
3.75% 10/10/18 (b) | 535,000 | 530,319 | |
5.5% 4/21/19 (b) | 415,000 | 424,711 | |
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (Reg. S) (c) | 1,275,000 | 1,278,188 | |
UniCredit Luxembourg 6% 10/31/17 (Reg. S) | 3,550,000 | 3,638,629 | |
Wachovia Corp. 5.75% 6/15/17 | 2,933,000 | 3,035,986 | |
Wells Fargo & Co. 4.48% 1/16/24 | 4,804,000 | 5,320,512 | |
Zenith Bank PLC 6.25% 4/22/19 (b) | 4,870,000 | 4,712,115 | |
1,546,868,755 | |||
Capital Markets - 3.1% | |||
Affiliated Managers Group, Inc.: | |||
3.5% 8/1/25 | 19,025,000 | 18,987,140 | |
4.25% 2/15/24 | 14,661,000 | 15,448,442 | |
Argos Merger Sub, Inc. 7.125% 3/15/23 (b) | 7,410,000 | 7,789,763 | |
Credit Suisse AG 6% 2/15/18 | 18,058,000 | 19,011,354 | |
Credit Suisse Group AG 5.75% 9/18/25 (Reg. S) (c) | EUR | 1,250,000 | 1,523,095 |
Deutsche Bank AG: | |||
4.5% 4/1/25 | 80,571,000 | 76,077,797 | |
4.5% 5/19/26 | EUR | 1,100,000 | 1,187,072 |
Deutsche Bank AG London Branch: | |||
1.875% 2/13/18 | 37,777,000 | 37,583,695 | |
2.85% 5/10/19 | 47,570,000 | 47,723,746 | |
Goldman Sachs Group, Inc.: | |||
1.748% 9/15/17 | 42,024,000 | 42,122,630 | |
2.55% 10/23/19 | 33,080,000 | 33,814,442 | |
2.625% 1/31/19 | 50,400,000 | 51,691,450 | |
2.9% 7/19/18 | 17,494,000 | 17,935,234 | |
4.25% 10/21/25 | 20,000,000 | 21,214,920 | |
5.25% 7/27/21 | 17,105,000 | 19,416,535 | |
5.625% 1/15/17 | 3,200,000 | 3,249,821 | |
5.95% 1/18/18 | 4,975,000 | 5,271,983 | |
Lazard Group LLC: | |||
4.25% 11/14/20 | 10,151,000 | 10,757,563 | |
6.85% 6/15/17 | 1,263,000 | 1,311,242 | |
Morgan Stanley: | |||
1.875% 1/5/18 | 16,953,000 | 17,037,545 | |
2.125% 4/25/18 | 12,586,000 | 12,711,772 | |
2.8% 6/16/20 | 30,000,000 | 30,844,470 | |
3.125% 7/27/26 | 30,000,000 | 30,175,320 | |
3.7% 10/23/24 | 24,714,000 | 26,187,399 | |
4.875% 11/1/22 | 26,240,000 | 29,084,075 | |
5% 11/24/25 | 3,189,000 | 3,554,664 | |
5.5% 1/26/20 | 88,000,000 | 97,855,912 | |
5.625% 9/23/19 | 12,714,000 | 14,131,802 | |
5.75% 1/25/21 | 19,879,000 | 22,785,031 | |
6.625% 4/1/18 | 16,118,000 | 17,365,743 | |
UBS AG Stamford Branch: | |||
1.375% 6/1/17 | 12,643,000 | 12,646,793 | |
1.8% 3/26/18 | 24,142,000 | 24,276,857 | |
UBS Group Funding Ltd. 4.125% 9/24/25 (b) | 18,881,000 | 19,877,841 | |
790,653,148 | |||
Consumer Finance - 1.1% | |||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | |||
3.95% 2/1/22 | 4,940,000 | 5,125,250 | |
4.25% 7/1/20 | 3,025,000 | 3,176,250 | |
4.5% 5/15/21 | 1,550,000 | 1,635,250 | |
4.625% 7/1/22 | 2,685,000 | 2,849,456 | |
Ally Financial, Inc. 4.25% 4/15/21 | 17,390,000 | 17,911,700 | |
Capital One Financial Corp. 2.45% 4/24/19 | 10,550,000 | 10,764,207 | |
Credito Real S.A.B. de CV: | |||
7.25% 7/20/23 (b) | 790,000 | 803,430 | |
7.5% 3/13/19 (b) | 1,140,000 | 1,189,020 | |
Discover Financial Services: | |||
3.85% 11/21/22 | 25,882,000 | 26,751,169 | |
3.95% 11/6/24 | 14,738,000 | 15,162,204 | |
5.2% 4/27/22 | 12,545,000 | 13,750,562 | |
6.45% 6/12/17 | 10,366,000 | 10,734,491 | |
Ford Motor Credit Co. LLC: | |||
1.724% 12/6/17 | 18,742,000 | 18,771,875 | |
2.24% 6/15/18 | 19,162,000 | 19,319,933 | |
2.597% 11/4/19 | 52,209,000 | 53,157,481 | |
2.875% 10/1/18 | 13,000,000 | 13,319,618 | |
Hyundai Capital America: | |||
1.45% 2/6/17 (b) | 14,591,000 | 14,596,399 | |
2.125% 10/2/17 (b) | 18,524,000 | 18,649,963 | |
2.875% 8/9/18 (b) | 5,276,000 | 5,386,896 | |
Navient Corp.: | |||
5% 10/26/20 | 300,000 | 301,500 | |
5.875% 3/25/21 | 2,250,000 | 2,280,938 | |
5.875% 10/25/24 | 3,930,000 | 3,704,025 | |
SLM Corp.: | |||
4.875% 6/17/19 | 2,160,000 | 2,181,600 | |
5.5% 1/15/19 | 1,305,000 | 1,340,888 | |
5.5% 1/25/23 | 5,325,000 | 5,058,750 | |
Synchrony Financial: | |||
1.875% 8/15/17 | 3,341,000 | 3,348,143 | |
3% 8/15/19 | 4,907,000 | 5,016,107 | |
3.75% 8/15/21 | 7,409,000 | 7,769,885 | |
4.25% 8/15/24 | 7,458,000 | 7,826,142 | |
291,883,132 | |||
Diversified Financial Services - 0.6% | |||
Brixmor Operating Partnership LP: | |||
3.25% 9/15/23 | 25,518,000 | 25,568,500 | |
3.85% 2/1/25 | 14,325,000 | 14,596,473 | |
3.875% 8/15/22 | 21,027,000 | 21,953,408 | |
4.125% 6/15/26 | 8,647,000 | 8,974,021 | |
Cimpor Financial Operations BV 5.75% 7/17/24 (b) | 1,350,000 | 1,167,750 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | |||
4.875% 3/15/19 | 12,570,000 | 12,507,150 | |
5.875% 2/1/22 | 25,766,000 | 24,059,003 | |
6% 8/1/20 | 3,260,000 | 3,133,675 | |
ILFC E-Capital Trust I 3.98% 12/21/65 (b)(c) | 11,760,000 | 9,390,360 | |
ILFC E-Capital Trust II 4.23% 12/21/65 (b)(c) | 6,150,000 | 4,981,500 | |
IntercontinentalExchange, Inc.: | |||
2.75% 12/1/20 | 6,489,000 | 6,763,791 | |
3.75% 12/1/25 | 11,601,000 | 12,702,611 | |
MSCI, Inc.: | |||
4.75% 8/1/26 (b) | 2,270,000 | 2,329,588 | |
5.25% 11/15/24 (b) | 4,420,000 | 4,696,250 | |
Nationwide Building Society 4.125% 3/20/23 (Reg. S) (c) | EUR | 1,365,000 | 1,582,937 |
RegionalCare Hospital Partners Holdings, Inc. 8.25% 5/1/23 (b) | 1,975,000 | 2,012,031 | |
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) | 6,270,000 | 6,944,025 | |
Springleaf Financial Corp. 7.75% 10/1/21 | 3,225,000 | 3,386,250 | |
TMK Capital SA 6.75% 4/3/20 (Reg. S) | 560,000 | 586,600 | |
167,335,923 | |||
Insurance - 1.8% | |||
ACE INA Holdings, Inc. 2.875% 11/3/22 | 11,752,000 | 12,367,088 | |
AIA Group Ltd. 2.25% 3/11/19 (b) | 2,566,000 | 2,597,847 | |
Alliant Holdings Co.-Issuer, Inc./Wayne Merger Sub LLC 8.25% 8/1/23 (b) | 9,217,000 | 9,526,922 | |
American International Group, Inc.: | |||
2.3% 7/16/19 | 6,461,000 | 6,583,190 | |
3.3% 3/1/21 | 9,614,000 | 10,085,797 | |
3.875% 1/15/35 | 19,041,000 | 18,900,059 | |
4.875% 6/1/22 | 18,193,000 | 20,367,064 | |
5.6% 10/18/16 | 10,702,000 | 10,759,127 | |
Aon Corp. 5% 9/30/20 | 3,854,000 | 4,262,354 | |
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (c) | 1,750,000 | 1,868,038 | |
Assicurazioni Generali SpA 5.5% 10/27/47 (Reg. S) (c) | EUR | 4,000,000 | 4,742,224 |
Aviva PLC 6.625% 6/3/41 (c) | GBP | 2,250,000 | 3,316,929 |
Demeter Investments BV 5.625% 8/15/52 (Reg. S) (c) | 2,000,000 | 2,140,982 | |
Five Corners Funding Trust 4.419% 11/15/23 (b) | 12,460,000 | 13,449,760 | |
Great-West Life & Annuity Insurance Co. 3.3563% 5/16/46 (b)(c) | 1,859,000 | 1,589,445 | |
Hartford Financial Services Group, Inc.: | |||
5.125% 4/15/22 | 14,787,000 | 16,750,965 | |
5.375% 3/15/17 | 194,000 | 197,936 | |
Legal & General Group PLC 5.375% 10/27/45 (Reg. S) (c) | GBP | 2,300,000 | 3,258,542 |
Liberty Mutual Group, Inc. 5% 6/1/21 (b) | 12,644,000 | 13,999,626 | |
Marsh & McLennan Companies, Inc. 4.8% 7/15/21 | 7,090,000 | 7,861,725 | |
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) | 30,523,000 | 30,984,752 | |
MetLife, Inc.: | |||
1.903% 12/15/17 (c) | 2,987,000 | 3,005,310 | |
3.048% 12/15/22 (c) | 12,433,000 | 12,968,266 | |
4.368% 9/15/23 (c) | 9,625,000 | 10,674,722 | |
4.75% 2/8/21 | 4,032,000 | 4,528,896 | |
Metropolitan Life Global Funding I 3% 1/10/23 (b) | 7,896,000 | 8,151,104 | |
Muenchener Rueckversicherungs AG 6.25% 5/26/42 (Reg. S) (c) | EUR | 1,000,000 | 1,378,263 |
Pacific Life Insurance Co. 9.25% 6/15/39 (b) | 7,041,000 | 11,120,724 | |
Pacific LifeCorp: | |||
5.125% 1/30/43 (b) | 33,774,000 | 37,400,449 | |
6% 2/10/20 (b) | 15,416,000 | 17,114,658 | |
Pricoa Global Funding I 5.375% 5/15/45 (c) | 17,492,000 | 18,366,600 | |
Prudential Financial, Inc.: | |||
2.3% 8/15/18 | 1,622,000 | 1,647,486 | |
4.5% 11/16/21 | 6,390,000 | 7,151,944 | |
6.2% 11/15/40 | 4,318,000 | 5,429,540 | |
7.375% 6/15/19 | 3,230,000 | 3,716,235 | |
Teachers Insurance & Annuity Association of America 4.9% 9/15/44 (b) | 18,083,000 | 20,633,444 | |
TIAA Asset Management Finance LLC: | |||
2.95% 11/1/19 (b) | 4,172,000 | 4,283,392 | |
4.125% 11/1/24 (b) | 6,048,000 | 6,365,103 | |
Unum Group: | |||
3.875% 11/5/25 | 21,587,000 | 21,777,095 | |
4% 3/15/24 | 20,000,000 | 20,683,180 | |
5.625% 9/15/20 | 8,386,000 | 9,383,817 | |
5.75% 8/15/42 | 25,545,000 | 29,236,968 | |
7.125% 9/30/16 | 587,000 | 589,279 | |
Zurich Insurance Co. Ltd. 3.5% 10/1/46 (c) | EUR | 4,450,000 | 5,271,108 |
456,487,955 | |||
Real Estate Investment Trusts - 1.9% | |||
Alexandria Real Estate Equities, Inc.: | |||
2.75% 1/15/20 | 2,884,000 | 2,915,802 | |
4.6% 4/1/22 | 4,896,000 | 5,299,284 | |
alstria office REIT-AG 2.25% 3/24/21 (Reg. S) | EUR | 2,800,000 | 3,369,829 |
American Campus Communities Operating Partnership LP 3.75% 4/15/23 | 3,491,000 | 3,661,459 | |
AvalonBay Communities, Inc.: | |||
3.625% 10/1/20 | 5,005,000 | 5,310,595 | |
4.2% 12/15/23 | 12,000,000 | 13,196,244 | |
Boston Properties, Inc. 3.85% 2/1/23 | 14,583,000 | 15,700,597 | |
Camden Property Trust: | |||
2.95% 12/15/22 | 6,621,000 | 6,672,869 | |
4.25% 1/15/24 | 9,191,000 | 9,939,901 | |
Carmila SAS 2.375% 9/16/24 (Reg. S) | EUR | 1,600,000 | 1,974,953 |
CBL & Associates LP 4.6% 10/15/24 | 272,000 | 263,398 | |
CommonWealth REIT 5.875% 9/15/20 | 2,130,000 | 2,356,502 | |
Corporate Office Properties LP 5% 7/1/25 | 8,095,000 | 8,726,054 | |
DDR Corp.: | |||
3.625% 2/1/25 | 7,690,000 | 7,799,729 | |
4.25% 2/1/26 | 6,601,000 | 7,001,839 | |
4.625% 7/15/22 | 20,268,000 | 22,013,561 | |
4.75% 4/15/18 | 11,273,000 | 11,749,217 | |
7.5% 4/1/17 | 5,574,000 | 5,751,526 | |
7.875% 9/1/20 | 323,000 | 388,398 | |
Duke Realty LP: | |||
3.25% 6/30/26 | 3,140,000 | 3,223,807 | |
3.625% 4/15/23 | 6,287,000 | 6,634,520 | |
3.75% 12/1/24 | 5,408,000 | 5,753,420 | |
3.875% 10/15/22 | 17,388,000 | 18,512,117 | |
4.375% 6/15/22 | 10,999,000 | 11,975,612 | |
6.5% 1/15/18 | 3,795,000 | 4,039,360 | |
6.75% 3/15/20 | 10,379,000 | 11,938,964 | |
8.25% 8/15/19 | 75,000 | 88,029 | |
Equity One, Inc. 3.75% 11/15/22 | 18,100,000 | 18,538,726 | |
ERP Operating LP: | |||
2.375% 7/1/19 | 8,777,000 | 8,942,727 | |
4.625% 12/15/21 | 17,159,000 | 19,228,461 | |
4.75% 7/15/20 | 7,700,000 | 8,492,153 | |
Federal Realty Investment Trust 5.9% 4/1/20 | 2,504,000 | 2,848,277 | |
Health Care REIT, Inc.: | |||
2.25% 3/15/18 | 5,151,000 | 5,197,184 | |
4% 6/1/25 | 11,717,000 | 12,535,643 | |
4.7% 9/15/17 | 1,538,000 | 1,588,634 | |
Highwoods/Forsyth LP 5.85% 3/15/17 | 615,000 | 627,783 | |
HRPT Properties Trust: | |||
6.25% 6/15/17 | 1,232,000 | 1,246,544 | |
6.65% 1/15/18 | 867,000 | 899,137 | |
Lexington Corporate Properties Trust 4.4% 6/15/24 | 4,608,000 | 4,729,711 | |
MPT Operating Partnership LP/MPT Finance Corp.: | |||
5.25% 8/1/26 | 1,405,000 | 1,492,813 | |
6.375% 3/1/24 | 2,250,000 | 2,469,375 | |
Omega Healthcare Investors, Inc.: | |||
4.375% 8/1/23 | 42,087,000 | 42,913,042 | |
4.5% 1/15/25 | 4,655,000 | 4,725,039 | |
4.5% 4/1/27 | 50,980,000 | 51,558,419 | |
4.95% 4/1/24 | 17,495,000 | 18,292,352 | |
5.25% 1/15/26 | 29,233,000 | 31,391,302 | |
5.875% 3/15/24 | 290,000 | 303,440 | |
Retail Opportunity Investments Partnership LP: | |||
4% 12/15/24 | 3,376,000 | 3,415,293 | |
5% 12/15/23 | 2,030,000 | 2,175,056 | |
Senior Housing Properties Trust 6.75% 4/15/20 | 250,000 | 276,883 | |
Simon Property Group LP 4.125% 12/1/21 | 7,287,000 | 8,052,514 | |
VEREIT Operating Partnership LP: | |||
4.125% 6/1/21 | 1,770,000 | 1,849,650 | |
4.875% 6/1/26 | 1,770,000 | 1,907,175 | |
Weingarten Realty Investors 3.375% 10/15/22 | 2,729,000 | 2,789,925 | |
WP Carey, Inc. 4% 2/1/25 | 21,616,000 | 21,584,765 | |
476,329,609 | |||
Real Estate Management & Development - 1.6% | |||
Aroundtown Property Holdings PLC 1.5% 7/15/24 (Reg. S) | EUR | 5,400,000 | 5,939,777 |
Brandywine Operating Partnership LP: | |||
3.95% 2/15/23 | 17,710,000 | 18,121,332 | |
4.1% 10/1/24 | 15,881,000 | 16,341,755 | |
4.55% 10/1/29 | 15,881,000 | 16,588,165 | |
4.95% 4/15/18 | 12,690,000 | 13,262,205 | |
5.7% 5/1/17 | 7,049,000 | 7,243,045 | |
CBRE Group, Inc. 5% 3/15/23 | 10,300,000 | 10,878,592 | |
Deutsche Annington Finance BV 5% 10/2/23 (b) | 5,800,000 | 6,419,742 | |
Digital Realty Trust LP: | |||
3.4% 10/1/20 | 17,707,000 | 18,453,297 | |
3.625% 10/1/22 | 9,206,000 | 9,542,608 | |
3.95% 7/1/22 | 11,369,000 | 12,025,116 | |
4.75% 10/1/25 | 22,475,000 | 24,502,267 | |
5.25% 3/15/21 | 5,708,000 | 6,433,515 | |
Essex Portfolio LP: | |||
3.875% 5/1/24 | 8,802,000 | 9,384,023 | |
5.5% 3/15/17 | 3,597,000 | 3,670,069 | |
Host Hotels & Resorts LP 4.75% 3/1/23 | 150,000 | 161,563 | |
Howard Hughes Corp. 6.875% 10/1/21 (b) | 2,035,000 | 2,136,750 | |
Hunt Companies, Inc. 9.625% 3/1/21 (b) | 870,000 | 885,225 | |
Inversiones y Representaciones SA: | |||
8.5% 2/2/17 (Reg. S) | 65,000 | 64,189 | |
11.5% 7/20/20 (Reg. S) | 5,000 | 5,688 | |
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) | 770,000 | 847,770 | |
Liberty Property LP: | |||
3.375% 6/15/23 | 8,174,000 | 8,325,391 | |
4.125% 6/15/22 | 14,880,000 | 15,674,160 | |
4.4% 2/15/24 | 13,017,000 | 14,077,430 | |
4.75% 10/1/20 | 11,282,000 | 12,219,624 | |
5.5% 12/15/16 | 1,891,000 | 1,913,136 | |
6.625% 10/1/17 | 4,835,000 | 5,074,802 | |
Mack-Cali Realty LP: | |||
2.5% 12/15/17 | 9,223,000 | 9,261,534 | |
3.15% 5/15/23 | 14,735,000 | 13,717,342 | |
4.5% 4/18/22 | 17,365,000 | 17,749,027 | |
7.75% 8/15/19 | 3,156,000 | 3,545,043 | |
Mid-America Apartments LP: | |||
4% 11/15/25 | 4,704,000 | 5,039,235 | |
4.3% 10/15/23 | 2,224,000 | 2,410,643 | |
6.05% 9/1/16 | 2,000,000 | 2,000,000 | |
Post Apartment Homes LP 3.375% 12/1/22 | 2,570,000 | 2,634,160 | |
Realogy Group LLC/Realogy Co.-Issuer Corp. 4.5% 4/15/19 (b) | 235,000 | 243,813 | |
Tanger Properties LP: | |||
3.125% 9/1/26 | 11,019,000 | 11,004,565 | |
3.75% 12/1/24 | 21,455,000 | 22,512,238 | |
3.875% 12/1/23 | 4,812,000 | 5,097,371 | |
6.125% 6/1/20 | 14,318,000 | 16,263,229 | |
Ventas Realty LP: | |||
3.125% 6/15/23 | 5,458,000 | 5,564,546 | |
3.5% 2/1/25 | 5,961,000 | 6,176,216 | |
3.75% 5/1/24 | 20,000,000 | 20,975,560 | |
4.125% 1/15/26 | 5,557,000 | 6,015,152 | |
Ventas Realty LP/Ventas Capital Corp.: | |||
2% 2/15/18 | 8,050,000 | 8,097,093 | |
4% 4/30/19 | 3,747,000 | 3,939,251 | |
4.25% 3/1/22 | 300,000 | 323,220 | |
402,760,474 | |||
Thrifts & Mortgage Finance - 0.0% | |||
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23(b) | 1,000,000 | 1,088,750 | |
TOTAL FINANCIALS | 4,133,407,746 | ||
HEALTH CARE - 2.4% | |||
Biotechnology - 0.5% | |||
AbbVie, Inc.: | |||
1.75% 11/6/17 | 13,509,000 | 13,569,980 | |
2.9% 11/6/22 | 24,855,000 | 25,600,749 | |
3.6% 5/14/25 | 24,114,000 | 25,499,494 | |
4.5% 5/14/35 | 23,238,000 | 25,197,986 | |
4.7% 5/14/45 | 23,197,000 | 25,824,455 | |
AMAG Pharmaceuticals, Inc. 7.875% 9/1/23 (b) | 3,150,000 | 3,098,813 | |
118,791,477 | |||
Health Care Equipment & Supplies - 0.0% | |||
Becton, Dickinson & Co. 2.675% 12/15/19 | 4,539,000 | 4,698,115 | |
Mallinckrodt International Finance SA/Mallinckrodt CB LLC 5.5% 4/15/25 (b) | 655,000 | 645,175 | |
Teleflex, Inc. 4.875% 6/1/26 | 1,605,000 | 1,673,213 | |
7,016,503 | |||
Health Care Providers & Services - 1.1% | |||
Aetna, Inc. 2.75% 11/15/22 | 2,010,000 | 2,039,533 | |
Community Health Systems, Inc.: | |||
6.875% 2/1/22 | 14,810,000 | 12,292,300 | |
7.125% 7/15/20 | 3,545,000 | 3,170,577 | |
Express Scripts Holding Co. 4.75% 11/15/21 | 24,746,000 | 27,825,813 | |
HCA Holdings, Inc.: | |||
3.75% 3/15/19 | 18,722,000 | 19,307,063 | |
4.25% 10/15/19 | 7,590,000 | 7,960,013 | |
4.5% 2/15/27 | 5,230,000 | 5,282,300 | |
4.75% 5/1/23 | 595,000 | 622,519 | |
5% 3/15/24 | 5,000,000 | 5,300,000 | |
5.25% 6/15/26 | 11,470,000 | 12,258,563 | |
5.875% 3/15/22 | 715,000 | 786,500 | |
5.875% 2/15/26 | 7,310,000 | 7,730,325 | |
6.5% 2/15/20 | 30,303,000 | 33,484,815 | |
HealthSouth Corp. 5.125% 3/15/23 | 4,745,000 | 4,804,313 | |
Kindred Healthcare, Inc.: | |||
8% 1/15/20 | 2,975,000 | 3,079,125 | |
8.75% 1/15/23 | 9,765,000 | 9,984,713 | |
Medco Health Solutions, Inc. 4.125% 9/15/20 | 7,486,000 | 8,066,277 | |
Sabra Health Care LP/Sabra Capital Corp.: | |||
5.375% 6/1/23 | 500,000 | 509,375 | |
5.5% 2/1/21 | 1,555,000 | 1,632,750 | |
Tenet Healthcare Corp.: | |||
4.1525% 6/15/20 (c) | 2,550,000 | 2,553,188 | |
5% 3/1/19 | 2,285,000 | 2,219,306 | |
6.75% 6/15/23 | 14,225,000 | 13,531,531 | |
6.875% 11/15/31 | 2,130,000 | 1,762,575 | |
8.125% 4/1/22 | 6,540,000 | 6,621,750 | |
UnitedHealth Group, Inc.: | |||
2.75% 2/15/23 | 2,398,000 | 2,483,623 | |
2.875% 3/15/23 | 16,114,000 | 16,837,615 | |
3.35% 7/15/22 | 6,192,000 | 6,663,892 | |
3.75% 7/15/25 | 19,000,000 | 21,044,267 | |
4.75% 7/15/45 | 20,331,000 | 25,188,970 | |
Universal Health Services, Inc. 4.75% 8/1/22 (b) | 3,275,000 | 3,397,813 | |
WellPoint, Inc. 3.3% 1/15/23 | 6,442,000 | 6,742,403 | |
275,183,807 | |||
Life Sciences Tools & Services - 0.0% | |||
Thermo Fisher Scientific, Inc.: | |||
1.3% 2/1/17 | 3,107,000 | 3,109,364 | |
2.4% 2/1/19 | 1,959,000 | 1,995,804 | |
4.15% 2/1/24 | 3,010,000 | 3,298,990 | |
8,404,158 | |||
Pharmaceuticals - 0.8% | |||
Actavis Funding SCS: | |||
3% 3/12/20 | 13,777,000 | 14,240,169 | |
3.45% 3/15/22 | 31,597,000 | 33,067,777 | |
Bayer AG 2.375% 4/2/75 (Reg. S) (c) | EUR | 2,080,000 | 2,227,495 |
Horizon Pharma PLC 6.625% 5/1/23 | 5,835,000 | 5,762,063 | |
Mylan N.V.: | |||
2.5% 6/7/19 (b) | 10,382,000 | 10,513,665 | |
3.15% 6/15/21 (b) | 21,235,000 | 21,705,015 | |
Mylan, Inc. 1.35% 11/29/16 | 3,628,000 | 3,632,118 | |
Perrigo Co. PLC: | |||
1.3% 11/8/16 | 2,954,000 | 2,955,188 | |
2.3% 11/8/18 | 3,161,000 | 3,176,906 | |
Perrigo Finance PLC: | |||
3.5% 12/15/21 | 3,657,000 | 3,753,223 | |
3.9% 12/15/24 | 5,449,000 | 5,516,164 | |
4.9% 12/15/44 | 2,390,000 | 2,461,678 | |
Teva Pharmaceutical Finance Netherlands III BV: | |||
2.2% 7/21/21 | 15,311,000 | 15,316,175 | |
2.8% 7/21/23 | 10,972,000 | 11,016,349 | |
3.15% 10/1/26 | 13,048,000 | 13,136,909 | |
Valeant Pharmaceuticals International, Inc.: | |||
5.375% 3/15/20 (b) | 15,590,000 | 14,693,575 | |
5.625% 12/1/21 (b) | 6,120,000 | 5,523,300 | |
5.875% 5/15/23 (b) | 11,835,000 | 10,414,800 | |
6.125% 4/15/25 (b) | 3,795,000 | 3,334,856 | |
6.75% 8/15/18 (b) | 3,820,000 | 3,831,078 | |
VPI Escrow Corp. 6.375% 10/15/20 (b) | 4,185,000 | 3,996,675 | |
Watson Pharmaceuticals, Inc. 1.875% 10/1/17 | 4,757,000 | 4,778,093 | |
Zoetis, Inc.: | |||
1.875% 2/1/18 | 2,006,000 | 2,010,524 | |
3.25% 2/1/23 | 4,892,000 | 5,032,464 | |
3.45% 11/13/20 | 5,179,000 | 5,413,790 | |
207,510,049 | |||
TOTAL HEALTH CARE | 616,905,994 | ||
INDUSTRIALS - 1.2% | |||
Aerospace & Defense - 0.2% | |||
BAE Systems Holdings, Inc.: | |||
3.8% 10/7/24 (b) | 9,122,000 | 9,642,346 | |
6.375% 6/1/19 (b) | 8,071,000 | 8,984,605 | |
DigitalGlobe, Inc. 5.25% 2/1/21 (b) | 11,145,000 | 11,089,275 | |
Orbital ATK, Inc. 5.5% 10/1/23 | 2,280,000 | 2,399,700 | |
TransDigm, Inc.: | |||
5.5% 10/15/20 | 4,530,000 | 4,648,913 | |
6% 7/15/22 | 685,000 | 712,400 | |
6.375% 6/15/26 (b) | 2,210,000 | 2,254,200 | |
6.5% 5/15/25 | 1,355,000 | 1,402,425 | |
41,133,864 | |||
Airlines - 0.2% | |||
Air Canada: | |||
6.625% 5/15/18 (b) | 1,465,000 | 1,510,781 | |
7.75% 4/15/21 (b) | 1,470,000 | 1,549,013 | |
Air Canada Trust Series 2015-1 equipment trust certificate Class C, 5% 3/15/20 (b) | 5,685,000 | 5,571,300 | |
Allegiant Travel Co. 5.5% 7/15/19 | 6,030,000 | 6,286,275 | |
American Airlines Group, Inc.: | |||
4.625% 3/1/20 (b) | 2,670,000 | 2,676,675 | |
5.5% 10/1/19 (b) | 8,970,000 | 9,250,313 | |
American Airlines, Inc. pass-thru trust certificates 5.625% 1/15/21 (b) | 195,089 | 203,136 | |
Continental Airlines, Inc.: | |||
pass-thru trust certificates 9.798% 4/1/21 | 195,480 | 216,494 | |
6.125% 4/29/18 | 240,000 | 252,000 | |
6.648% 3/15/19 | 518,201 | 529,186 | |
6.9% 7/2/19 | 163,630 | 167,918 | |
9.25% 5/10/17 | 963,479 | 1,006,836 | |
U.S. Airways Group, Inc. 6.125% 6/1/18 | 895,000 | 933,038 | |
U.S. Airways pass-thru certificates: | |||
Series 2012-2C, 5.45% 6/3/18 | 1,690,000 | 1,749,150 | |
Series 2013-1 Class B, 5.375% 5/15/23 | 303,731 | 314,361 | |
U.S. Airways pass-thru trust certificates: | |||
6.85% 1/30/18 | 870,739 | 896,861 | |
8.36% 1/20/19 | 661,187 | 690,147 | |
United Air Lines, Inc. pass-thru trust certificates Class B, 7.336% 7/2/19 | 572,378 | 599,566 | |
United Continental Holdings, Inc.: | |||
6% 12/1/20 | 2,600,000 | 2,782,000 | |
6.375% 6/1/18 | 140,000 | 147,000 | |
37,332,050 | |||
Building Products - 0.1% | |||
Builders FirstSource, Inc. 5.625% 9/1/24 (b) | 1,915,000 | 1,948,513 | |
Building Materials Corp. of America: | |||
5.375% 11/15/24 (b) | 3,095,000 | 3,292,306 | |
6% 10/15/25 (b) | 3,630,000 | 3,979,388 | |
Masco Corp.: | |||
3.5% 4/1/21 | 1,913,000 | 1,996,694 | |
4.375% 4/1/26 | 2,435,000 | 2,605,450 | |
13,822,351 | |||
Commercial Services & Supplies - 0.2% | |||
APX Group, Inc.: | |||
6.375% 12/1/19 | 21,050,000 | 21,602,352 | |
7.875% 12/1/22 | 6,345,000 | 6,678,113 | |
8.75% 12/1/20 | 13,055,000 | 12,549,119 | |
Brand Energy & Infrastructure Services, Inc. 8.5% 12/1/21 (b) | 3,475,000 | 3,466,313 | |
Cenveo Corp. 6% 8/1/19 (b) | 325,000 | 287,625 | |
Covanta Holding Corp. 5.875% 3/1/24 | 2,675,000 | 2,691,719 | |
Garda World Security Corp.: | |||
7.25% 11/15/21 (b) | 400,000 | 365,000 | |
7.25% 11/15/21 (b) | 8,485,000 | 7,742,563 | |
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) | 3,500,000 | 3,465,000 | |
R.R. Donnelley & Sons Co. 6.5% 11/15/23 | 410,000 | 415,125 | |
59,262,929 | |||
Construction & Engineering - 0.0% | |||
Cementos Progreso Trust 7.125% 11/6/23 (b) | 570,000 | 608,532 | |
Odebrecht Finance Ltd. 4.375% 4/25/25 (b) | 850,000 | 282,625 | |
891,157 | |||
Electrical Equipment - 0.0% | |||
General Cable Corp. 5.75% 10/1/22 (c) | 3,470,000 | 3,295,390 | |
Sensata Technologies BV 5% 10/1/25 (b) | 2,825,000 | 2,923,875 | |
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) | EUR | 4,090,000 | 4,866,767 |
11,086,032 | |||
Industrial Conglomerates - 0.0% | |||
Alfa SA de CV 5.25% 3/25/24 (b) | 450,000 | 495,000 | |
Turk Sise ve Cam Fabrikalari A/S 4.25% 5/9/20 (Reg. S) | 250,000 | 249,973 | |
744,973 | |||
Machinery - 0.0% | |||
Blueline Rent Finance Corp./Volvo 7% 2/1/19 (b) | 75,000 | 64,875 | |
Xerium Technologies, Inc.: | |||
8.875% 6/15/18 | 1,645,000 | 1,682,013 | |
9.5% 8/15/21 (b) | 5,060,000 | 5,186,500 | |
6,933,388 | |||
Marine - 0.0% | |||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (b) | 5,055,000 | 3,841,800 | |
Road & Rail - 0.0% | |||
Alpha Trains Finance SA 2.064% 6/30/25 | EUR | 4,000,000 | 4,373,456 |
JSC Georgian Railway 7.75% 7/11/22 (b) | 650,000 | 726,375 | |
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (b) | 570,000 | 633,413 | |
5,733,244 | |||
Trading Companies & Distributors - 0.5% | |||
Air Lease Corp.: | |||
2.125% 1/15/18 | 7,271,000 | 7,278,126 | |
2.625% 9/4/18 | 16,438,000 | 16,533,390 | |
3.375% 6/1/21 | 10,493,000 | 10,860,255 | |
3.75% 2/1/22 | 26,396,000 | 27,570,173 | |
3.875% 4/1/21 | 14,814,000 | 15,610,253 | |
4.25% 9/15/24 | 12,030,000 | 12,646,538 | |
4.75% 3/1/20 | 11,796,000 | 12,739,680 | |
Aircastle Ltd.: | |||
5% 4/1/23 | 1,285,000 | 1,362,100 | |
5.125% 3/15/21 | 1,575,000 | 1,708,875 | |
6.25% 12/1/19 | 830,000 | 918,188 | |
Beacon Roofing Supply, Inc. 6.375% 10/1/23 | 1,160,000 | 1,247,000 | |
FLY Leasing Ltd.: | |||
6.375% 10/15/21 | 6,000,000 | 6,060,000 | |
6.75% 12/15/20 | 2,795,000 | 2,871,863 | |
International Lease Finance Corp. 4.625% 4/15/21 | 955,000 | 1,012,778 | |
Travis Perkins PLC 4.375% 9/15/21 (Reg. S) | GBP | 2,350,000 | 3,165,843 |
United Rentals North America, Inc.: | |||
4.625% 7/15/23 | 4,663,000 | 4,770,482 | |
5.5% 7/15/25 | 2,725,000 | 2,810,156 | |
129,165,700 | |||
Transportation Infrastructure - 0.0% | |||
Aeropuertos Argentina 2000 SA: | |||
10.75% 12/1/20 (b) | 1,281,420 | 1,403,155 | |
10.75% 12/1/20 (Reg. S) | 71,820 | 78,643 | |
Autoridad del Canal de Panama 4.95% 7/29/35 (b) | 585,000 | 657,694 | |
Global Ports Finance PLC 6.872% 1/25/22 (b) | 1,260,000 | 1,323,000 | |
Great Rolling Stock Co. Ltd. 6.25% 7/27/20 | GBP | 1,900,000 | 2,941,206 |
Heathrow Funding Ltd. 6% 3/20/20 | GBP | 3,300,000 | 5,012,585 |
11,416,283 | |||
TOTAL INDUSTRIALS | 321,363,771 | ||
INFORMATION TECHNOLOGY - 1.0% | |||
Communications Equipment - 0.2% | |||
Banglalink Digital Communications Ltd.: | |||
8.625% 5/6/19 (b) | 3,165,000 | 3,370,725 | |
8.625% 5/6/19 (Reg. S) | 200,000 | 213,000 | |
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 1,430,000 | 1,412,125 | |
Hughes Satellite Systems Corp.: | |||
5.25% 8/1/26 (b) | 5,220,000 | 5,178,188 | |
6.625% 8/1/26 (b) | 2,610,000 | 2,590,425 | |
Lucent Technologies, Inc.: | |||
6.45% 3/15/29 | 22,935,000 | 24,941,813 | |
6.5% 1/15/28 | 6,207,000 | 6,672,525 | |
44,378,801 | |||
Electronic Equipment & Components - 0.0% | |||
Amphenol Corp. 3.125% 9/15/21 | 4,703,000 | 4,877,514 | |
Belden, Inc. 5.25% 7/15/24 (b) | 865,000 | 877,975 | |
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | |||
3.48% 6/1/19 (b) | 796,000 | 818,251 | |
4.42% 6/15/21 (b) | 2,400,000 | 2,510,894 | |
Tyco Electronics Group SA: | |||
2.375% 12/17/18 | 2,244,000 | 2,284,589 | |
6.55% 10/1/17 | 1,383,000 | 1,458,852 | |
12,828,075 | |||
Internet Software & Services - 0.0% | |||
Alibaba Group Holding Ltd. 3.125% 11/28/21 | 3,250,000 | 3,371,602 | |
Rackspace Hosting, Inc. 6.5% 1/15/24 (b) | 3,280,000 | 3,444,328 | |
6,815,930 | |||
Semiconductors & Semiconductor Equipment - 0.2% | |||
Micron Technology, Inc.: | |||
5.25% 8/1/23 (b) | 1,730,000 | 1,673,775 | |
5.25% 1/15/24 (b) | 2,650,000 | 2,536,024 | |
5.5% 2/1/25 | 1,675,000 | 1,622,656 | |
5.625% 1/15/26 (b) | 1,285,000 | 1,227,175 | |
Microsemi Corp. 9.125% 4/15/23 (b) | 3,120,000 | 3,572,400 | |
NXP BV/NXP Funding LLC: | |||
4.125% 6/1/21 (b) | 9,955,000 | 10,412,930 | |
4.625% 6/15/22 (b) | 3,745,000 | 3,943,934 | |
4.625% 6/1/23 (b) | 2,480,000 | 2,616,400 | |
Qorvo, Inc.: | |||
6.75% 12/1/23 (b) | 4,980,000 | 5,421,975 | |
7% 12/1/25 (b) | 5,885,000 | 6,517,638 | |
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) | 3,025,000 | 3,316,156 | |
42,861,063 | |||
Software - 0.1% | |||
Nuance Communications, Inc.: | |||
5.375% 8/15/20 (b) | 4,525,000 | 4,632,469 | |
6% 7/1/24 (b) | 5,095,000 | 5,298,800 | |
Open Text Corp. 5.875% 6/1/26 (b) | 6,720,000 | 7,038,192 | |
16,969,461 | |||
Technology Hardware, Storage & Peripherals - 0.5% | |||
Apple, Inc.: | |||
3.2% 5/13/25 | 20,000,000 | 21,370,060 | |
4.375% 5/13/45 | 20,000,000 | 22,431,960 | |
Hewlett Packard Enterprise Co.: | |||
3.6% 10/15/20 (b) | 20,381,000 | 21,294,456 | |
4.9% 10/15/25 (b) | 20,381,000 | 21,733,667 | |
6.35% 10/15/45 (b) | 30,381,000 | 31,354,195 | |
NCR Corp.: | |||
4.625% 2/15/21 | 1,465,000 | 1,480,456 | |
5% 7/15/22 | 5,240,000 | 5,344,800 | |
NXP BV/NXP Funding LLC 3.875% 9/1/22 (b) | 6,525,000 | 6,631,031 | |
131,640,625 | |||
TOTAL INFORMATION TECHNOLOGY | 255,493,955 | ||
MATERIALS - 1.2% | |||
Chemicals - 0.1% | |||
Axalta Coating Systems 4.875% 8/15/24 (b) | 3,630,000 | 3,784,275 | |
Braskem Finance Ltd.: | |||
5.375% 5/2/22 (b) | 1,560,000 | 1,604,460 | |
5.75% 4/15/21 (b) | 830,000 | 869,425 | |
6.45% 2/3/24 | 680,000 | 741,200 | |
Evolution Escrow Issuer LLC 7.5% 3/15/22 (b) | 4,150,000 | 3,724,625 | |
LSB Industries, Inc. 7.75% 8/1/19 | 1,055,000 | 1,086,650 | |
Mexichem S.A.B. de CV 4.875% 9/19/22 (b) | 725,000 | 794,513 | |
Nufarm Australia Ltd. 6.375% 10/15/19 (b) | 3,605,000 | 3,650,063 | |
OCP SA 5.625% 4/25/24 (b) | 390,000 | 429,406 | |
The Dow Chemical Co.: | |||
4.125% 11/15/21 | 10,888,000 | 11,904,678 | |
4.25% 11/15/20 | 3,653,000 | 3,963,571 | |
32,552,866 | |||
Construction Materials - 0.1% | |||
CEMEX Finance LLC: | |||
4.625% 6/15/24 | EUR | 200,000 | 232,348 |
6% 4/1/24 (b) | 3,795,000 | 4,003,725 | |
9.375% 10/12/22 (b) | 1,235,000 | 1,369,306 | |
CEMEX S.A.B. de CV: | |||
4.375% 3/5/23 (Reg. S) | EUR | 250,000 | 289,459 |
4.75% 1/11/22 (Reg. S) | EUR | 250,000 | 292,108 |
7.75% 4/16/26 (b) | 4,100,000 | 4,643,250 | |
Eagle Materials, Inc. 4.5% 8/1/26 | 2,630,000 | 2,674,439 | |
Standard Industries, Inc. 5.125% 2/15/21 (b) | 4,870,000 | 5,143,938 | |
U.S. Concrete, Inc. 6.375% 6/1/24 | 1,130,000 | 1,178,025 | |
Union Andina de Cementos SAA 5.875% 10/30/21 (b) | 635,000 | 663,258 | |
20,489,856 | |||
Containers & Packaging - 0.2% | |||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (b)(c) | 16,280,653 | 16,676,137 | |
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | |||
3.6525% 12/15/19 (b)(c) | 8,795,000 | 8,882,950 | |
4.067% 5/15/21 (b)(c) | 5,945,000 | 6,049,038 | |
4.625% 5/15/23 (b) | 6,305,000 | 6,415,338 | |
7% 11/15/20 (b) | 2,655,000 | 2,651,681 | |
Graphic Packaging International, Inc. 4.125% 8/15/24 | 2,855,000 | 2,883,550 | |
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) | 3,665,000 | 3,839,088 | |
47,397,782 | |||
Metals & Mining - 0.8% | |||
Alcoa, Inc. 5.125% 10/1/24 | 9,954,000 | 10,501,470 | |
Alrosa Finance SA 7.75% 11/3/20 (b) | 700,000 | 797,125 | |
Anglo American Capital PLC: | |||
3.625% 5/14/20 (b) | 24,322,000 | 24,078,780 | |
4.875% 5/14/25 (b) | 24,100,000 | 24,160,250 | |
BHP Billiton Financial (U.S.A.) Ltd.: | |||
6.25% 10/19/75 (b)(c) | 7,018,000 | 7,667,165 | |
6.75% 10/19/75 (b)(c) | 17,432,000 | 19,874,223 | |
Compania Minera Ares SAC 7.75% 1/23/21 (b) | 1,730,000 | 1,848,938 | |
Corporacion Nacional del Cobre de Chile (Codelco): | |||
3.875% 11/3/21 (b) | 11,456,000 | 12,121,594 | |
4.875% 11/4/44 (b) | 5,532,000 | 5,752,622 | |
EVRAZ Group SA: | |||
6.5% 4/22/20(b) | 1,630,000 | 1,665,697 | |
8.25% 1/28/21 (Reg. S) | 1,925,000 | 2,088,433 | |
9.5% 4/24/18 (Reg. S) | 1,250,000 | 1,353,250 | |
Evraz, Inc. NA Canada 7.5% 11/15/19 (b) | 3,664,000 | 3,673,160 | |
Ferrexpo Finance PLC: | |||
10.375% 4/7/19 (b) | 350,000 | 332,063 | |
10.375% 4/7/19 (b) | 2,197,000 | 2,084,404 | |
Freeport-McMoRan, Inc.: | |||
2.3% 11/14/17 | 14,626,000 | 14,370,045 | |
3.55% 3/1/22 | 7,135,000 | 6,207,450 | |
3.875% 3/15/23 | 7,715,000 | 6,615,613 | |
4.55% 11/14/24 | 3,260,000 | 2,852,500 | |
Gerdau Trade, Inc. 5.75% 1/30/21 (b) | 460,000 | 473,800 | |
Gold Fields Orogen Holding BVI Ltd.: | |||
4.875% 10/7/20 (b) | 4,080,000 | 4,059,600 | |
4.875% 10/7/20 (Reg. S) | 200,000 | 199,000 | |
GTL Trade Finance, Inc. 5.893% 4/29/24 (b) | 1,325,000 | 1,318,375 | |
Lundin Mining Corp.: | |||
7.5% 11/1/20 (b) | 5,125,000 | 5,406,875 | |
7.875% 11/1/22 (b) | 5,615,000 | 6,008,050 | |
Metalloinvest Finance Ltd. 5.625% 4/17/20 (b) | 1,440,000 | 1,507,622 | |
Metinvest BV: | |||
8.75% 2/14/18 (Reg. S) | 660,538 | 488,930 | |
10.5% 11/28/17 (b) | 3,942,065 | 2,917,916 | |
10.5% 11/28/17 (Reg. S) | 912,795 | 675,651 | |
Nord Gold NV 6.375% 5/7/18 (b) | 575,000 | 602,709 | |
Polyus Gold International Ltd.: | |||
5.625% 4/29/20 (b) | 2,610,000 | 2,718,294 | |
5.625% 4/29/20 (Reg. S) | 200,000 | 208,298 | |
Signode Industrial Group Lux SA/Signode Industrial Group U.S., Inc. 6.375% 5/1/22 (b) | 1,600,000 | 1,632,000 | |
Southern Copper Corp.: | |||
6.75% 4/16/40 | 410,000 | 453,988 | |
7.5% 7/27/35 | 1,560,000 | 1,836,824 | |
Steel Dynamics, Inc.: | |||
5.125% 10/1/21 | 2,205,000 | 2,293,200 | |
5.25% 4/15/23 | 3,040,000 | 3,161,600 | |
5.5% 10/1/24 | 4,070,000 | 4,293,850 | |
6.125% 8/15/19 | 2,683,000 | 2,770,198 | |
Teck Resources Ltd.: | |||
8% 6/1/21 (b) | 1,470,000 | 1,586,681 | |
8.5% 6/1/24 (b) | 1,470,000 | 1,653,750 | |
Urenco Finance NV 2.25% 8/5/22 (Reg. S) | EUR | 1,650,000 | 1,990,979 |
Vale Overseas Ltd.: | |||
4.375% 1/11/22 | 13,855,000 | 13,487,843 | |
5.875% 6/10/21 | 775,000 | 803,094 | |
6.25% 1/23/17 | 5,581,000 | 5,678,668 | |
6.875% 11/21/36 | 640,000 | 635,008 | |
Vedanta Resources PLC 6% 1/31/19 (b) | 2,190,000 | 2,047,650 | |
218,955,235 | |||
Paper & Forest Products - 0.0% | |||
Sino-Forest Corp. 6.25% 10/21/17 (b)(e) | 1,365,000 | 0 | |
TOTAL MATERIALS | 319,395,739 | ||
TELECOMMUNICATION SERVICES - 2.2% | |||
Diversified Telecommunication Services - 1.6% | |||
Altice Financing SA: | |||
6.5% 1/15/22 (b) | 6,250,000 | 6,578,125 | |
6.625% 2/15/23 (b) | 2,780,000 | 2,894,675 | |
7.5% 5/15/26 (b) | 6,230,000 | 6,557,075 | |
Altice Finco SA: | |||
7.625% 2/15/25 (b) | 3,995,000 | 4,044,938 | |
9.875% 12/15/20 (b) | 6,135,000 | 6,572,119 | |
AT&T, Inc.: | |||
2.45% 6/30/20 | 11,294,000 | 11,521,348 | |
3% 6/30/22 | 29,259,000 | 30,143,763 | |
3.4% 5/15/25 | 39,520,000 | 40,689,160 | |
3.6% 2/17/23 | 27,844,000 | 29,392,878 | |
4.75% 5/15/46 | 12,191,000 | 13,036,421 | |
4.8% 6/15/44 | 15,000,000 | 15,942,090 | |
5.875% 10/1/19 | 5,944,000 | 6,680,349 | |
6.3% 1/15/38 | 16,665,000 | 21,071,076 | |
BellSouth Capital Funding Corp. 7.875% 2/15/30 | 40,000 | 55,080 | |
CenturyLink, Inc.: | |||
5.15% 6/15/17 | 972,000 | 996,300 | |
6% 4/1/17 | 2,432,000 | 2,495,840 | |
6.15% 9/15/19 | 6,992,000 | 7,586,320 | |
Embarq Corp. 7.995% 6/1/36 | 2,467,000 | 2,557,971 | |
GTH Finance BV: | |||
6.25% 4/26/20 (b) | 1,540,000 | 1,617,000 | |
7.25% 4/26/23 (b) | 2,880,000 | 3,103,200 | |
Level 3 Financing, Inc. 5.25% 3/15/26 (b) | 4,635,000 | 4,803,019 | |
Qtel International Finance Ltd. 5% 10/19/25 (b) | 645,000 | 741,440 | |
Sable International Finance Ltd. 6.875% 8/1/22 (b) | 10,030,000 | 10,381,050 | |
SBA Communications Corp. 4.875% 9/1/24 (b) | 6,500,000 | 6,589,375 | |
SFR Group SA: | |||
6% 5/15/22 (b) | 2,550,000 | 2,606,100 | |
6.25% 5/15/24 (b) | 1,490,000 | 1,501,175 | |
7.375% 5/1/26 (b) | 2,380,000 | 2,457,350 | |
Sprint Capital Corp. 6.875% 11/15/28 | 23,565,000 | 21,208,500 | |
TDC A/S 3.5% 2/26/3015 (Reg. S) (c) | EUR | 1,550,000 | 1,668,227 |
Telecom Italia Capital SA: | |||
6% 9/30/34 | 5,580,000 | 5,608,458 | |
6.375% 11/15/33 | 1,610,000 | 1,664,338 | |
Telecom Italia SpA: | |||
3.625% 5/25/26 (Reg. S) | EUR | 1,900,000 | 2,273,309 |
5.303% 5/30/24 (b) | 1,350,000 | 1,390,500 | |
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (b) | 790,000 | 819,625 | |
Verizon Communications, Inc.: | |||
2.625% 2/21/20 | 21,379,000 | 22,048,890 | |
4.5% 9/15/20 | 36,000,000 | 39,727,512 | |
5.012% 8/21/54 | 55,038,000 | 60,346,745 | |
6.25% 4/1/37 | 2,348,000 | 3,013,822 | |
Wind Acquisition Finance SA: | |||
4.75% 7/15/20 (b) | 3,205,000 | 3,245,063 | |
7.375% 4/23/21 (b) | 6,335,000 | 6,525,050 | |
412,155,276 | |||
Wireless Telecommunication Services - 0.6% | |||
America Movil S.A.B. de CV: | |||
2.375% 9/8/16 | 15,982,000 | 15,982,719 | |
3.125% 7/16/22 | 9,218,000 | 9,539,561 | |
Comcel Trust 6.875% 2/6/24 (b) | 775,000 | 806,000 | |
Digicel Group Ltd.: | |||
6% 4/15/21 (b) | 3,360,000 | 3,070,200 | |
6.75% 3/1/23 (b) | 560,000 | 511,000 | |
8.25% 9/30/20 (b) | 4,115,000 | 3,724,075 | |
MetroPCS Wireless, Inc. 6.625% 11/15/20 | 3,975,000 | 4,104,188 | |
Millicom International Cellular SA: | |||
4.75% 5/22/20 (b) | 650,000 | 657,475 | |
6% 3/15/25 (b) | 8,705,000 | 8,911,744 | |
6.625% 10/15/21 (b) | 1,975,000 | 2,079,675 | |
MTS International Funding Ltd. 8.625% 6/22/20 (b) | 755,000 | 886,491 | |
Neptune Finco Corp.: | |||
10.125% 1/15/23 (b) | 9,665,000 | 11,036,222 | |
10.875% 10/15/25 (b) | 3,075,000 | 3,605,438 | |
Sprint Communications, Inc.: | |||
7% 3/1/20 (b) | 4,585,000 | 4,917,413 | |
9% 11/15/18 (b) | 2,225,000 | 2,450,281 | |
Sprint Corp.: | |||
7.25% 9/15/21 | 7,925,000 | 7,835,844 | |
7.625% 2/15/25 | 9,855,000 | 9,356,091 | |
7.875% 9/15/23 | 15,440,000 | 15,007,526 | |
T-Mobile U.S.A., Inc.: | |||
6% 3/1/23 | 4,060,000 | 4,303,762 | |
6% 4/15/24 | 3,580,000 | 3,812,700 | |
6.375% 3/1/25 | 15,125,000 | 16,259,375 | |
6.464% 4/28/19 | 1,520,000 | 1,550,400 | |
6.5% 1/15/24 | 6,085,000 | 6,541,375 | |
6.625% 4/1/23 | 12,185,000 | 12,999,811 | |
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 480,000 | 487,776 | |
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (b) | 1,910,000 | 2,139,200 | |
Vodafone Group PLC 3% 8/12/56 (Reg. S) | GBP | 2,350,000 | 3,198,266 |
155,774,608 | |||
TOTAL TELECOMMUNICATION SERVICES | 567,929,884 | ||
UTILITIES - 2.9% | |||
Electric Utilities - 1.5% | |||
American Electric Power Co., Inc.: | |||
1.65% 12/15/17 | 5,213,000 | 5,223,702 | |
2.95% 12/15/22 | 4,935,000 | 5,145,043 | |
CLP Power Hong Kong Financing Ltd. 2.875% 4/26/23 | 3,000,000 | 3,083,772 | |
DPL, Inc. 6.75% 10/1/19 | 2,490,000 | 2,514,900 | |
Duquesne Light Holdings, Inc.: | |||
5.9% 12/1/21 (b) | 29,344,000 | 33,119,663 | |
6.4% 9/15/20 (b) | 25,897,000 | 29,369,788 | |
EDF SA 4.125% (Reg. S) (c)(f) | EUR | 2,400,000 | 2,672,529 |
Edison International 3.75% 9/15/17 | 6,674,000 | 6,850,414 | |
EDP Finance BV 1.125% 2/12/24 (Reg. S) | EUR | 3,900,000 | 4,301,532 |
Eversource Energy: | |||
1.45% 5/1/18 | 3,325,000 | 3,327,836 | |
2.8% 5/1/23 | 15,104,000 | 15,478,685 | |
Exelon Corp.: | |||
1.55% 6/9/17 | 3,319,000 | 3,325,260 | |
2.85% 6/15/20 | 4,888,000 | 5,061,983 | |
FirstEnergy Corp.: | |||
2.75% 3/15/18 | 36,397,000 | 36,760,060 | |
4.25% 3/15/23 | 31,243,000 | 33,040,878 | |
7.375% 11/15/31 | 64,123,000 | 83,663,266 | |
FirstEnergy Solutions Corp. 6.05% 8/15/21 | 20,194,000 | 17,551,312 | |
IPALCO Enterprises, Inc. 3.45% 7/15/20 | 27,495,000 | 28,182,375 | |
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) | 600,000 | 756,750 | |
Lamar Funding Ltd. 3.958% 5/7/25 (b) | 565,000 | 549,485 | |
LG&E and KU Energy LLC 3.75% 11/15/20 | 1,450,000 | 1,555,599 | |
Monongahela Power Co. 4.1% 4/15/24 (b) | 3,982,000 | 4,382,510 | |
Nevada Power Co. 6.5% 5/15/18 | 790,000 | 857,878 | |
NRG Yield Operating LLC 5% 9/15/26 (b) | 3,945,000 | 3,935,138 | |
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) | 8,941,191 | 9,567,074 | |
NV Energy, Inc. 6.25% 11/15/20 | 3,500,000 | 4,114,957 | |
Pennsylvania Electric Co. 6.05% 9/1/17 | 764,000 | 794,536 | |
PG&E Corp. 2.4% 3/1/19 | 1,683,000 | 1,715,788 | |
PPL Capital Funding, Inc. 3.4% 6/1/23 | 7,184,000 | 7,578,459 | |
Progress Energy, Inc. 4.4% 1/15/21 | 12,059,000 | 13,224,804 | |
RJS Power Holdings LLC 4.625% 7/15/19 (b) | 8,575,000 | 8,060,500 | |
TECO Finance, Inc. 5.15% 3/15/20 | 3,761,000 | 4,138,736 | |
Western Power Distribution Holdings Ltd. 5.25% 1/17/23 | GBP | 1,800,000 | 2,929,984 |
Western Power Distribution Ltd. 3.625% 11/6/23 (Reg. S) | GBP | 1,650,000 | 2,417,137 |
385,252,333 | |||
Gas Utilities - 0.0% | |||
Southern Natural Gas Co. 5.9% 4/1/17 (b)(c) | 442,000 | 453,149 | |
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 | 3,646,000 | 3,903,692 | |
4,356,841 | |||
Independent Power and Renewable Electricity Producers - 0.6% | |||
Calpine Corp. 5.25% 6/1/26 (b) | 3,765,000 | 3,821,475 | |
Dolphin Subsidiary II, Inc.: | |||
6.5% 10/15/16 | 8,326,000 | 8,346,024 | |
7.25% 10/15/21 | 77,564,000 | 78,223,294 | |
Dynegy, Inc.: | |||
6.75% 11/1/19 | 5,505,000 | 5,642,625 | |
7.375% 11/1/22 | 8,765,000 | 8,655,438 | |
7.625% 11/1/24 | 17,685,000 | 17,331,300 | |
Emera U.S. Finance LP: | |||
2.15% 6/15/19 (b) | 5,136,000 | 5,197,514 | |
2.7% 6/15/21 (b) | 5,055,000 | 5,167,191 | |
3.55% 6/15/26 (b) | 8,087,000 | 8,511,042 | |
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 1,350,000 | 1,397,399 | |
NRG Energy, Inc.: | |||
6.25% 5/1/24 | 4,290,000 | 4,257,825 | |
6.625% 1/15/27 (b) | 3,925,000 | 3,932,340 | |
PPL Energy Supply LLC 6.5% 6/1/25 | 1,180,000 | 1,011,708 | |
The AES Corp.: | |||
3.6731% 6/1/19 (c) | 1,359,000 | 1,359,000 | |
4.875% 5/15/23 | 3,775,000 | 3,822,188 | |
6% 5/15/26 | 3,855,000 | 4,091,119 | |
160,767,482 | |||
Multi-Utilities - 0.7% | |||
Berkshire Hathaway Energy Co. 2% 11/15/18 | 12,172,000 | 12,310,797 | |
Dominion Resources, Inc.: | |||
2.9311% 9/30/66 (c) | 35,229,000 | 27,830,910 | |
3.4561% 6/30/66 (c) | 10,345,000 | 9,103,600 | |
NiSource Finance Corp.: | |||
5.25% 2/15/43 | 12,739,000 | 15,500,102 | |
5.45% 9/15/20 | 11,473,000 | 12,910,498 | |
5.8% 2/1/42 | 6,336,000 | 8,147,881 | |
5.95% 6/15/41 | 11,832,000 | 15,069,425 | |
6.4% 3/15/18 | 1,228,000 | 1,313,741 | |
6.8% 1/15/19 | 6,774,000 | 7,562,128 | |
Puget Energy, Inc.: | |||
6% 9/1/21 | 15,565,000 | 17,964,500 | |
6.5% 12/15/20 | 5,125,000 | 5,956,070 | |
RWE AG 7% 10/12/72 (Reg. S) (c) | 3,650,000 | 3,767,895 | |
Sempra Energy: | |||
2.3% 4/1/17 | 14,116,000 | 14,211,636 | |
2.875% 10/1/22 | 5,760,000 | 5,951,854 | |
6% 10/15/39 | 15,009,000 | 19,516,833 | |
Wisconsin Energy Corp. 6.25% 5/15/67 (c) | 3,860,000 | 3,300,300 | |
180,418,170 | |||
Water Utilities - 0.1% | |||
Anglian Water Services Financing PLC 5.837% 7/30/22 | GBP | 1,125,000 | 1,880,834 |
Severn Trent Utilities Finance PLC 6.125% 2/26/24 | GBP | 801,000 | 1,412,917 |
Yorkshire Water Services Finance Ltd. 6% 4/24/25 (c) | GBP | 2,821,000 | 3,808,827 |
7,102,578 | |||
TOTAL UTILITIES | 737,897,404 | ||
TOTAL NONCONVERTIBLE BONDS | |||
(Cost $10,336,593,656) | 10,857,460,574 | ||
U.S. Government and Government Agency Obligations - 21.2% | |||
U.S. Treasury Inflation-Protected Obligations - 6.3% | |||
U.S. Treasury Inflation-Indexed Bonds: | |||
0.75% 2/15/45 | $230,310,000 | $239,480,310 | |
1% 2/15/46 | 143,823,046 | 160,276,185 | |
1.375% 2/15/44 | 137,016,115 | 163,582,370 | |
U.S. Treasury Inflation-Indexed Notes: | |||
0.125% 7/15/24 | 167,763,429 | 168,424,283 | |
0.125% 7/15/26 | 193,171,918 | 193,436,457 | |
0.25% 1/15/25 | 76,324,500 | 76,984,774 | |
0.375% 7/15/25 | 403,205,683 | 412,217,469 | |
0.625% 1/15/26 | 202,884,000 | 211,491,749 | |
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 1,625,893,597 | ||
U.S. Treasury Obligations - 14.9% | |||
U.S. Treasury Bonds: | |||
2.25% 8/15/46 | 114,364,000 | 114,766,104 | |
2.5% 2/15/45 (g) | 730,000 | 770,977 | |
2.5% 2/15/46 | 1,337,000 | 1,412,311 | |
3% 5/15/45 | 145,382,000 | 169,216,652 | |
3% 11/15/45 | 207,323,000 | 241,539,381 | |
4.5% 2/15/36 | 500,000 | 714,453 | |
U.S. Treasury Notes: | |||
0.625% 6/30/18 | 2,000,000 | 1,993,516 | |
0.75% 2/15/19 | 2,250,000 | 2,242,969 | |
1.125% 6/30/21 | 250,000 | 249,102 | |
1.125% 8/31/21 | 447,881,000 | 446,306,250 | |
1.25% 11/15/18 | 10,200,000 | 10,285,262 | |
1.25% 3/31/21 | 1,180,775,000 | 1,184,003,156 | |
1.375% 4/30/20 | 22,176,000 | 22,426,345 | |
1.375% 4/30/21 | 484,800,000 | 488,663,371 | |
1.375% 8/31/23 | 475,289,000 | 472,819,874 | |
1.5% 8/15/26 | 475,000 | 471,512 | |
1.625% 7/31/20 (h) | 4,593,000 | 4,683,785 | |
1.625% 2/15/26 | 2,949,000 | 2,958,216 | |
1.625% 5/15/26 | 25,750,000 | 25,824,443 | |
1.75% 12/31/20 | 600,000,000 | 614,695,200 | |
2% 8/15/25 | 5,305,000 | 5,494,611 | |
2.25% 11/15/25 | 1,800,000 | 1,903,079 | |
TOTAL U.S. TREASURY OBLIGATIONS | 3,813,440,569 | ||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $5,312,713,635) | 5,439,334,166 | ||
U.S. Government Agency - Mortgage Securities - 17.2% | |||
Fannie Mae - 9.9% | |||
2.25% 10/1/34 (c) | 1,351 | 1,389 | |
2.272% 7/1/35 (c) | 18,033 | 18,675 | |
2.276% 2/1/33 (c) | 1,076 | 1,110 | |
2.291% 10/1/33 (c) | 403,116 | 420,936 | |
2.298% 3/1/35 (c) | 22,442 | 23,204 | |
2.315% 9/1/36 (c) | 75,608 | 78,977 | |
2.32% 12/1/34 (c) | 52,760 | 54,523 | |
2.329% 1/1/35 (c) | 251,309 | 259,601 | |
2.35% 10/1/33 (c) | 2,020 | 2,083 | |
2.361% 9/1/36 (c) | 70,441 | 73,751 | |
2.38% 1/1/35 (c) | 2,963 | 3,061 | |
2.413% 10/1/33 (c) | 16,241 | 16,801 | |
2.424% 1/1/35 (c) | 176,483 | 183,677 | |
2.5% 5/1/27 to 8/1/43 | 85,410,860 | 88,062,261 | |
2.5% 9/1/31 (i) | 52,500,000 | 54,231,182 | |
2.533% 5/1/35 (c) | 188,014 | 197,161 | |
2.54% 6/1/42 (c) | 252,508 | 262,874 | |
2.557% 10/1/33 (c) | 89,399 | 94,578 | |
2.57% 4/1/37 (c) | 94,083 | 97,922 | |
2.573% 3/1/33 (c) | 87,562 | 91,452 | |
2.574% 7/1/34 (c) | 31,072 | 32,310 | |
2.615% 12/1/34 (c) | 8,357 | 8,710 | |
2.627% 3/1/40 (c) | 366,511 | 386,452 | |
2.627% 6/1/47 (c) | 93,567 | 98,623 | |
2.662% 7/1/35 (c) | 96,130 | 100,951 | |
2.662% 2/1/36 (c) | 379,408 | 399,674 | |
2.672% 6/1/36 (c) | 285,932 | 302,791 | |
2.685% 12/1/39 (c) | 189,798 | 200,670 | |
2.69% 3/1/37 (c) | 25,716 | 26,908 | |
2.693% 2/1/42 (c) | 1,580,633 | 1,650,574 | |
2.695% 12/1/35 (c) | 234,840 | 247,726 | |
2.751% 1/1/42 (c) | 1,683,991 | 1,755,825 | |
2.801% 11/1/36 (c) | 74,578 | 78,359 | |
2.803% 6/1/36 (c) | 141,365 | 147,641 | |
2.817% 5/1/36 (c) | 173,667 | 183,214 | |
2.833% 3/1/35 (c) | 58,416 | 61,735 | |
2.835% 9/1/35 (c) | 66,545 | 69,878 | |
2.837% 7/1/34 (c) | 195,963 | 207,806 | |
2.951% 11/1/40 (c) | 141,647 | 149,376 | |
2.98% 9/1/41 (c) | 169,148 | 176,922 | |
2.991% 10/1/41 (c) | 79,813 | 83,594 | |
3% 12/1/26 to 7/1/46 | 323,376,163 | 338,092,227 | |
3% 9/1/31 (i) | 13,800,000 | 14,447,502 | |
3% 9/1/46 (i) | 5,000,000 | 5,184,766 | |
3% 9/1/46 (i) | 4,450,000 | 4,614,441 | |
3% 9/1/46 (i) | 34,700,000 | 35,982,273 | |
3% 9/1/46 (i) | 29,600,000 | 30,693,812 | |
3% 9/1/46 (i) | 80,500,000 | 83,474,725 | |
3% 9/1/46 (i) | 4,000,000 | 4,147,812 | |
3% 10/1/46 (i) | 5,000,000 | 5,174,610 | |
3% 10/1/46 (i) | 34,700,000 | 35,911,790 | |
3% 10/1/46 (i) | 4,000,000 | 4,139,688 | |
3% 10/1/46 (i) | 80,500,000 | 83,311,213 | |
3% 10/1/46 (i) | 4,450,000 | 4,605,402 | |
3% 10/1/46 (i) | 25,400,000 | 26,287,016 | |
3.005% 7/1/37 (c) | 161,589 | 171,767 | |
3.007% 5/1/36 (c) | 120,709 | 127,297 | |
3.022% 8/1/41 (c) | 870,121 | 904,867 | |
3.229% 7/1/41 (c) | 249,844 | 262,912 | |
3.352% 10/1/41 (c) | 133,574 | 140,733 | |
3.36% 9/1/41 (c) | 290,359 | 308,936 | |
3.466% 12/1/40 (c) | 12,061,207 | 12,657,965 | |
3.5% 3/1/25 to 5/1/46 | 541,645,070 | 574,917,400 | |
3.5% 9/1/46 (i) | 9,200,000 | 9,692,349 | |
3.557% 7/1/41 (c) | 321,163 | 337,745 | |
4% 9/1/24 to 4/1/46 | 399,005,682 | 430,324,579 | |
4% 9/1/46 (i) | 100,000,000 | 107,101,560 | |
4% 9/1/46 (i) | 118,100,000 | 126,486,942 | |
4.5% 2/1/33 to 4/1/45 | 179,209,539 | 197,211,841 | |
5% 3/1/18 to 3/1/45 | 168,333,879 | 188,693,474 | |
5.203% 7/1/37 (c) | 38,701 | 40,839 | |
5.255% 8/1/41 | 2,700,499 | 3,009,009 | |
5.5% 12/1/17 to 3/1/41 | 32,331,653 | 36,605,854 | |
6% 2/1/17 to 1/1/42 | 15,663,727 | 18,008,011 | |
6.5% 9/1/16 to 4/1/37 | 6,807,611 | 7,891,720 | |
7% 9/1/21 to 7/1/37 | 1,450,826 | 1,696,912 | |
7.5% 6/1/25 to 2/1/32 | 628,782 | 742,186 | |
8% 12/1/17 to 3/1/37 | 14,025 | 17,164 | |
8.5% 1/1/17 to 7/1/22 | 1,456 | 1,658 | |
9.5% 6/1/18 to 9/1/21 | 11,496 | 12,190 | |
TOTAL FANNIE MAE | 2,543,978,144 | ||
Freddie Mac - 4.3% | |||
2% 8/1/37 (c) | 35,106 | 35,750 | |
2.171% 1/1/36 (c) | 81,149 | 83,959 | |
2.2% 3/1/37 (c) | 17,008 | 17,596 | |
2.231% 3/1/36 (c) | 155,554 | 161,245 | |
2.32% 3/1/35 (c) | 68,475 | 70,531 | |
2.366% 11/1/35 (c) | 148,343 | 154,613 | |
2.47% 3/1/36 (c) | 171,067 | 178,078 | |
2.493% 12/1/35 (c) | 178,576 | 185,209 | |
2.5% 7/1/31 | 7,281,086 | 7,542,510 | |
2.55% 6/1/37 (c) | 29,113 | 30,286 | |
2.555% 2/1/37 (c) | 176,462 | 183,229 | |
2.582% 5/1/37 (c) | 51,252 | 53,442 | |
2.599% 6/1/33 (c) | 206,071 | 215,776 | |
2.625% 5/1/37 (c) | 34,654 | 36,689 | |
2.66% 8/1/37 (c) | 77,820 | 81,165 | |
2.668% 4/1/37 (c) | 49,275 | 51,906 | |
2.82% 10/1/36 (c) | 306,406 | 320,649 | |
2.823% 10/1/42 (c) | 1,828,552 | 1,932,408 | |
2.827% 3/1/35 (c) | 974,046 | 1,035,180 | |
2.856% 10/1/35 (c) | 123,567 | 129,413 | |
2.885% 6/1/37 (c) | 24,562 | 25,826 | |
2.887% 6/1/33 (c) | 586,051 | 618,969 | |
2.915% 6/1/37 (c) | 226,671 | 238,934 | |
2.916% 3/1/33 (c) | 2,058 | 2,170 | |
2.949% 6/1/37 (c) | 49,512 | 52,030 | |
2.989% 4/1/36 (c) | 184,746 | 194,485 | |
3% 10/1/28 to 6/1/46 | 148,599,154 | 155,541,287 | |
3% 9/1/46 (i) | 100,850,000 | 104,582,206 | |
3.068% 9/1/41 (c) | 1,536,243 | 1,607,257 | |
3.075% 12/1/36 (c) | 304,639 | 324,552 | |
3.17% 6/1/36 (c) | 48,877 | 50,797 | |
3.193% 9/1/41 (c) | 184,919 | 194,006 | |
3.22% 4/1/37 (c) | 8,560 | 9,100 | |
3.231% 4/1/41 (c) | 186,993 | 195,235 | |
3.286% 6/1/41 (c) | 196,190 | 206,555 | |
3.295% 7/1/36 (c) | 72,100 | 76,813 | |
3.309% 7/1/41 (c) | 963,539 | 1,012,006 | |
3.417% 5/1/41 (c) | 149,980 | 157,148 | |
3.435% 12/1/40 (c) | 5,908,124 | 6,182,843 | |
3.5% 3/1/32 to 5/1/46 (g)(j) | 448,463,999 | 476,351,906 | |
3.5% 9/1/46 (i) | 1,050,000 | 1,105,371 | |
3.581% 10/1/35 (c) | 135,362 | 144,210 | |
3.627% 6/1/41 (c) | 278,209 | 292,803 | |
3.704% 5/1/41 (c) | 249,161 | 262,452 | |
4% 7/1/31 to 4/1/46 | 242,570,753 | 261,264,629 | |
4.5% 6/1/25 to 1/1/45 | 27,049,526 | 29,781,774 | |
5% 6/1/20 to 7/1/41 | 28,116,572 | 31,685,684 | |
5.125% 4/1/38 (c) | 195,836 | 207,623 | |
5.5% 10/1/17 to 3/1/41 | 12,205,024 | 13,738,818 | |
6% 9/1/16 to 12/1/37 | 3,126,514 | 3,575,389 | |
6.5% 9/1/16 to 9/1/39 | 4,339,091 | 4,999,476 | |
7% 6/1/21 to 9/1/36 | 1,362,089 | 1,603,888 | |
7.5% 1/1/27 to 6/1/32 | 24,777 | 29,484 | |
8% 1/1/17 to 1/1/37 | 46,082 | 55,791 | |
8.5% 9/1/19 to 1/1/28 | 41,761 | 49,228 | |
9% 5/1/17 to 10/1/20 | 57 | 61 | |
9.5% 5/1/21 to 7/1/21 | 256 | 279 | |
10% 11/15/18 to 11/1/20 | 94 | 102 | |
11% 7/1/19 to 9/1/20 | 29 | 32 | |
TOTAL FREDDIE MAC | 1,108,920,853 | ||
Ginnie Mae - 3.0% | |||
3% 6/15/42 to 4/15/45 | 59,295,063 | 62,343,209 | |
3% 9/1/46 (i) | 16,600,000 | 17,380,718 | |
3% 9/1/46 (i) | 22,430,000 | 23,484,910 | |
3% 9/1/46 (i) | 8,300,000 | 8,690,359 | |
3% 9/1/46 (i) | 12,200,000 | 12,773,781 | |
3.5% 11/15/40 to 6/20/46 (j) | 319,543,382 | 341,555,504 | |
3.5% 9/1/46 (i) | 55,900,000 | 59,310,772 | |
4% 5/20/33 to 7/20/45 | 108,472,903 | 117,171,657 | |
4.5% 6/20/33 to 8/15/41 | 70,956,104 | 78,167,255 | |
5% 12/15/32 to 9/15/41 | 29,580,254 | 33,359,672 | |
5.5% 4/15/29 to 9/15/39 | 4,918,243 | 5,650,241 | |
6% 10/15/30 to 11/15/39 | 716,845 | 825,030 | |
6.5% 3/20/31 to 11/15/37 | 391,031 | 456,830 | |
7% 10/15/22 to 3/15/33 | 1,299,711 | 1,547,936 | |
7.5% 1/15/17 to 9/15/31 | 592,082 | 691,119 | |
8% 4/15/17 to 11/15/29 | 196,694 | 228,348 | |
8.5% 10/15/21 to 1/15/31 | 36,750 | 44,280 | |
9% 8/15/19 to 1/15/23 | 1,441 | 1,574 | |
9.5% 12/15/20 to 2/15/25 | 575 | 632 | |
10.5% 10/20/17 to 1/20/18 | 785 | 810 | |
11% 9/20/19 | 613 | 677 | |
TOTAL GINNIE MAE | 763,685,314 | ||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES | |||
(Cost $4,364,789,176) | 4,416,584,311 | ||
Asset-Backed Securities - 0.5% | |||
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 1.1929% 4/25/35 (c) | $664,344 | $619,515 | |
ACE Securities Corp. Home Equity Loan Trust Series 2004-HE1 Class M2, 2.1744% 3/25/34 (c) | 247,488 | 237,846 | |
Airspeed Ltd. Series 2007-1A Class C1, 3.0077% 6/15/32 (b)(c) | 3,192,797 | 846,091 | |
American Credit Acceptance Receivable Trust Series 2016-1A Class A, 2.37% 5/12/20 (b) | 7,351,123 | 7,382,568 | |
American Homes 4 Rent: | |||
Series 2014-SFR1 Class E, 2.9821% 6/17/31 (b)(c) | 1,265,000 | 1,239,585 | |
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) | 147,000 | 161,038 | |
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) | 428,000 | 474,881 | |
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) | 599,438 | 631,808 | |
Series 2015-SFR2: | |||
Class E, 6.07% 10/17/45 (b) | 981,000 | 1,065,623 | |
Class XS, 0% 10/17/45 (b)(c)(k) | 694,019 | 7 | |
Ameriquest Mortgage Securities, Inc. pass-thru certificates: | |||
Series 2003-10 Class M1, 1.5379% 12/25/33 (c) | 42,361 | 38,876 | |
Series 2004-R2 Class M3, 1.3129% 4/25/34 (c) | 89,819 | 68,231 | |
Argent Securities, Inc. pass-thru certificates: | |||
Series 2003-W7 Class A2, 1.2679% 3/25/34 (c) | 47,932 | 43,437 | |
Series 2004-W11 Class M2, 1.5744% 11/25/34 (c) | 561,149 | 543,219 | |
Series 2004-W7 Class M1, 1.3129% 5/25/34 (c) | 1,407,905 | 1,295,263 | |
Series 2006-W4 Class A2C, 0.6844% 5/25/36 (c) | 1,127,804 | 385,008 | |
Asset Backed Securities Corp. Home Equity Loan Trust: | |||
Series 2004-HE2 Class M1, 1.3494% 4/25/34 (c) | 1,558,236 | 1,348,261 | |
Series 2006-HE2 Class M1, 0.8944% 3/25/36 (c) | 17,649 | 3,464 | |
Avis Budget Rental Car Funding (AESOP) LLC Series 2012-2A Class A, 2.802% 5/20/18 (b) | 8,445,000 | 8,498,008 | |
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.6644% 12/25/36 (c) | 1,802,588 | 1,034,365 | |
Citi Held For Asset Issuance Series 2015-PM33 Class A, 2.56% 5/16/22 (b) | 3,908,480 | 3,908,971 | |
Citi Held For Asset Issuance 2 Series 2015-PM2 Class A, 2% 3/15/22 (b) | 5,979,085 | 5,975,163 | |
Countrywide Home Loans, Inc.: | |||
Series 2003-BC1 Class B1, 5.7744% 3/25/32 (c) | 3,192 | 3,134 | |
Series 2004-3 Class M4, 1.9794% 4/25/34 (c) | 59,541 | 52,840 | |
Series 2004-4 Class M2, 1.3194% 6/25/34 (c) | 90,341 | 84,242 | |
Series 2004-7 Class AF5, 5.868% 1/25/35 (c) | 2,226,080 | 2,290,706 | |
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 | 247,030 | 255,945 | |
Fannie Mae Series 2004-T5 Class AB3, 1.1662% 5/28/35 (c) | 38,916 | 33,941 | |
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.6994% 8/25/34 (c) | 285,560 | 269,415 | |
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.3494% 3/25/34 (c) | 9,379 | 7,922 | |
Flagship Credit Auto Trust Series 2015-3 Class A, 2.34% 10/15/20 (b) | 7,309,186 | 7,338,438 | |
Fremont Home Loan Trust Series 2005-A: | |||
Class M3, 1.2594% 1/25/35 (c) | 948,695 | 814,377 | |
Class M4, 1.5444% 1/25/35 (c) | 347,133 | 185,677 | |
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 1.2054% 2/25/47 (b)(c) | 1,033,051 | 858,235 | |
GE Business Loan Trust Series 2006-2A: | |||
Class A, 0.6877% 11/15/34 (b)(c) | 635,038 | 588,463 | |
Class B, 0.7877% 11/15/34 (b)(c) | 229,395 | 204,563 | |
Class C, 0.8877% 11/15/34 (b)(c) | 381,245 | 334,583 | |
Class D, 1.2577% 11/15/34 (b)(c) | 144,771 | 124,155 | |
GSAMP Trust Series 2004-AR1 Class B4, 5.5% 6/25/34 (b) | 79,112 | 1,743 | |
Home Equity Asset Trust: | |||
Series 2003-2 Class M1, 1.8444% 8/25/33 (c) | 247,952 | 230,931 | |
Series 2003-3 Class M1, 1.8144% 8/25/33 (c) | 406,129 | 380,786 | |
Series 2003-5 Class A2, 1.2244% 12/25/33 (c) | 32,929 | 30,214 | |
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.7144% 1/25/37 (c) | 1,522,035 | 1,066,329 | |
Invitation Homes Trust: | |||
Series 2013-SFR1 Class F, 4.137% 12/17/30 (b)(c) | 590,000 | 582,157 | |
Series 2014-SFR1 Class F, 4.2321% 6/17/31 (b)(c) | 557,000 | 548,252 | |
Series 2014-SFR3 Class E, 4.9821% 12/17/31 (b)(c) | 206,000 | 208,854 | |
Series 2014-SRF2 Class F, 4.4821% 9/17/31 (b)(c) | 335,000 | 331,650 | |
Series 2015-SFR2 Class E, 3.6279% 6/17/32 (b)(c) | 485,000 | 482,409 | |
Series 2015-SFR3 Class E, 4.2321% 8/17/32 (b)(c) | 5,116,000 | 5,134,708 | |
Series 2015-SRF1 Class E, 4.6461% 3/17/32 (b)(c) | 624,000 | 630,150 | |
JPMorgan Mortgage Acquisition Trust: | |||
Series 2006-NC2 Class M2, 0.7879% 7/25/36 (c) | 162,414 | 75,283 | |
Series 2007-CH1 Class AF3, 5.532% 11/25/36 | 5,734,312 | 5,760,448 | |
KeyCorp Student Loan Trust: | |||
Series 1999-A Class A2, 0.9601% 12/27/29 (c) | 33,651 | 33,526 | |
Series 2006-A Class 2C, 1.7901% 3/27/42 (c) | 3,243,000 | 1,600,329 | |
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.6844% 11/25/36 (c) | 4,382,811 | 1,894,998 | |
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.8244% 5/25/37 (c) | 270,977 | 6,522 | |
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 1.2744% 7/25/34 (c) | 100,913 | 83,624 | |
Merrill Lynch Mortgage Investors Trust: | |||
Series 2003-OPT1 Class M1, 1.4994% 7/25/34 (c) | 179,908 | 169,645 | |
Series 2006-FF1 Class M2, 0.8144% 8/25/36 (c) | 13,300,000 | 12,901,092 | |
Series 2006-FM1 Class A2B, 0.5979% 4/25/37 (c) | 37,285 | 32,181 | |
Series 2006-OPT1 Class A1A, 1.0444% 6/25/35 (c) | 1,366,755 | 1,315,578 | |
Morgan Stanley ABS Capital I Trust: | |||
Series 2004-HE6 Class A2, 1.2044% 8/25/34 (c) | 57,368 | 49,115 | |
Series 2004-NC6 Class M3, 2.6994% 7/25/34 (c) | 14,622 | 14,202 | |
Series 2004-NC8 Class M6, 2.3994% 9/25/34 (c) | 16,509 | 15,365 | |
Series 2005-NC1 Class M1, 1.1844% 1/25/35 (c) | 204,193 | 183,132 | |
Series 2005-NC2 Class B1, 2.2794% 3/25/35 (c) | 155,719 | 3,595 | |
Nationstar HECM Loan Trust Series 2016-1A Class A, 3.1294% 2/25/26 (b) | 12,578,874 | 12,630,297 | |
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1.0344% 9/25/35 (c) | 1,426,957 | 1,342,833 | |
OneMain Financial Issuance Trust Series 2014-1A Class A, 2.43% 6/18/24 (b) | 2,660,201 | 2,662,862 | |
Park Place Securities, Inc.: | |||
Series 2004-WCW1: | |||
Class M3, 2.3994% 9/25/34 (c) | 532,896 | 486,807 | |
Class M4, 2.6994% 9/25/34 (c) | 683,353 | 424,454 | |
Series 2005-WCH1 Class M4, 1.7694% 1/25/36 (c) | 1,475,804 | 1,314,089 | |
Progress Residential Trust Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) | 168,000 | 173,266 | |
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.4744% 9/25/46 (b)(c) | 250,000 | 58,186 | |
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 1.3244% 4/25/33 (c) | 5,108 | 4,307 | |
Saxon Asset Securities Trust Series 2004-1 Class M1, 1.2829% 3/25/35 (c) | 640,560 | 594,812 | |
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.6025% 6/15/33 (c) | 432,173 | 409,169 | |
Springcastle SPV Series 2014-AA Class A, 2.7% 5/25/23 (b) | 16,358,728 | 16,372,247 | |
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 2.2494% 9/25/34 (c) | 37,706 | 32,782 | |
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.3844% 9/25/34 (c) | 28,819 | 25,661 | |
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 1.1901% 4/6/42 (b)(c) | 2,577,358 | 1,134,037 | |
Vericrest Opportunity Loan Trust Series 2014-NP11 Class A1, 3.875% 4/25/55 (b) | 5,259,712 | 5,271,370 | |
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A: | |||
Class A1, 0.9739% 11/21/40 (b)(c) | 58,508 | 57,922 | |
Class D, 1.5039% 11/21/40 (b)(c) | 305,000 | 255,745 | |
TOTAL ASSET-BACKED SECURITIES | |||
(Cost $120,372,006) | 126,265,528 | ||
Collateralized Mortgage Obligations - 2.0% | |||
Private Sponsor - 0.5% | |||
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 0.6279% 6/27/36 (b)(c) | 14,850,432 | 14,324,102 | |
Banc of America Funding Trust sequential payer Series 2010-R3 Class 1A1, 2.9241% 12/26/35 (b)(c) | 3,070,646 | 3,069,386 | |
BCAP LLC Trust sequential payer: | |||
Series 2012-RR5 Class 8A5, 0.6481% 7/26/36 (b)(c) | 2,367,299 | 2,249,411 | |
Series 2013-RR4 Class 2A1, 3.1328% 5/26/47 (b)(c) | 6,722,713 | 6,680,185 | |
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1.0844% 1/25/35 (c) | 833,540 | 805,166 | |
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(c) | 10,031,451 | 9,927,640 | |
Credit Suisse Commercial Mortgage Trust Series 2014-15R Class 7A3, 1.4142% 10/26/37 (b)(c) | 463,655 | 454,958 | |
CSMC: | |||
floater Series 2015-1R Class 6A1, 0.7326% 5/27/37 (b)(c) | 10,831,510 | 10,033,993 | |
Series 2011-2R Class 2A1, 2.6521% 7/27/36 (b) | 6,852,136 | 6,753,614 | |
Series 2014-3R Class 2A1, 1.1879% 5/27/37 (b)(c) | 1,380,947 | 1,298,327 | |
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.7843% 10/25/34 (c) | 426,120 | 422,695 | |
FREMF Mortgage Trust: | |||
Series 2010-K6 Class B, 5.3579% 12/25/46 (b)(c) | 910,000 | 986,285 | |
Series 2010-K7 Class B, 5.4408% 4/25/20 (b)(c) | 1,000,000 | 1,105,375 | |
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 2.5085% 3/25/37 (c) | 763,603 | 741,392 | |
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 2.9609% 8/25/36 (c) | 1,006,123 | 904,821 | |
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.6944% 2/25/37 (c) | 2,698,314 | 2,487,983 | |
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (b) | 32,597 | 32,763 | |
Nationstar HECM Loan Trust sequential payer Series 2015-2A Class A, 2.8826% 11/25/25 (b) | 10,267,145 | 10,267,145 | |
Nomura Resecuritization Trust sequential payer Series 2011-3RA Class 2A1, 2.9036% 3/26/37 (b)(c) | 5,064,087 | 4,994,391 | |
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.8144% 7/25/35 (c) | 723,425 | 699,038 | |
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B: | |||
Class B5, 2.8243% 6/10/35 (b)(c) | 292,948 | 240,295 | |
Class B6, 3.3243% 6/10/35 (b)(c) | 65,317 | 48,735 | |
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.8046% 7/20/34 (c) | 21,400 | 20,938 | |
Structured Asset Securities Corp. Series 2003-15A Class 4A, 3.28% 4/25/33 (c) | 56,154 | 55,371 | |
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1.1644% 9/25/43 (c) | 10,215,412 | 9,826,331 | |
Wells Fargo Mortgage Backed Securities Trust: | |||
Series 2004-BB Class A2, 2.8508% 1/25/35 (c) | 2,383,444 | 2,416,691 | |
Series 2005-AR10 Class 2A15, 2.9022% 6/25/35 (c) | 12,322,275 | 12,661,848 | |
Series 2005-AR2: | |||
Class 1A2, 2.8637% 3/25/35 (c) | 1,531,131 | 1,412,660 | |
Class 3A1, 2.8409% 3/25/35 (c) | 21,365,338 | 21,489,334 | |
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 2.921% 6/27/36 (b)(c) | 2,398,220 | 2,351,335 | |
TOTAL PRIVATE SPONSOR | 128,762,208 | ||
U.S. Government Agency - 1.5% | |||
Fannie Mae: | |||
floater: | |||
Series 2002-18 Class FD, 1.3244% 2/25/32 (c) | 28,129 | 28,391 | |
Series 2002-39 Class FD, 1.5074% 3/18/32 (c) | 46,273 | 47,010 | |
Series 2002-60 Class FV, 1.5244% 4/25/32 (c) | 59,920 | 60,930 | |
Series 2002-63 Class FN, 1.5244% 10/25/32 (c) | 77,963 | 79,235 | |
Series 2002-7 Class FC, 1.2744% 1/25/32 (c) | 29,405 | 29,962 | |
Series 2002-94 Class FB, 0.9244% 1/25/18 (c) | 19,888 | 19,913 | |
Series 2003-118 Class S, 7.5756% 12/25/33 (c)(k)(l) | 926,742 | 243,874 | |
Series 2006-104 Class GI, 6.1556% 11/25/36 (c)(k)(l) | 690,327 | 143,734 | |
planned amortization class: | |||
Series 1992-168 Class KB, 7% 10/25/22 | 42,988 | 46,603 | |
Series 1993-207 Class H, 6.5% 11/25/23 | 522,530 | 579,160 | |
Series 1996-28 Class PK, 6.5% 7/25/25 | 166,787 | 185,167 | |
Series 1999-17 Class PG, 6% 4/25/29 | 451,683 | 491,848 | |
Series 1999-32 Class PL, 6% 7/25/29 | 404,493 | 441,273 | |
Series 1999-33 Class PK, 6% 7/25/29 | 270,368 | 295,603 | |
Series 2001-52 Class YZ, 6.5% 10/25/31 | 31,875 | 37,239 | |
Series 2002-9 Class PC, 6% 3/25/17 | 4,092 | 4,131 | |
Series 2003-28 Class KG, 5.5% 4/25/23 | 299,662 | 322,925 | |
Series 2004-21 Class QE, 4.5% 11/25/32 | 30,166 | 30,489 | |
Series 2005-102 Class CO, 11/25/35 (m) | 240,410 | 215,367 | |
Series 2005-73 Class SA, 16.1866% 8/25/35 (c)(l) | 90,321 | 117,218 | |
Series 2005-81 Class PC, 5.5% 9/25/35 | 427,876 | 493,278 | |
Series 2006-12 Class BO, 10/25/35 (m) | 1,063,397 | 1,009,318 | |
Series 2006-37 Class OW, 5/25/36 (m) | 112,046 | 103,825 | |
Series 2006-45 Class OP, 6/25/36 (m) | 320,469 | 291,454 | |
Series 2006-62 Class KP, 4/25/36 (m) | 480,266 | 451,070 | |
sequential payer: | |||
Series 1997-41 Class J, 7.5% 6/18/27 | 87,846 | 102,940 | |
Series 1999-25 Class Z, 6% 6/25/29 | 346,325 | 392,720 | |
Series 2001-20 Class Z, 6% 5/25/31 | 470,590 | 527,642 | |
Series 2001-31 Class ZC, 6.5% 7/25/31 | 246,346 | 284,556 | |
Series 2002-16 Class ZD, 6.5% 4/25/32 | 130,093 | 151,337 | |
Series 2002-74 Class SV, 7.0256% 11/25/32 (c)(k) | 594,161 | 115,287 | |
Series 2012-67 Class AI, 4.5% 7/25/27 (k) | 3,193,551 | 403,719 | |
Series 06-116 Class SG, 6.1156% 12/25/36 (c)(k)(l) | 455,579 | 101,184 | |
Series 07-40 Class SE, 5.9156% 5/25/37 (c)(k)(l) | 277,533 | 57,600 | |
Series 1993-165 Class SH, 18.3166% 9/25/23 (c)(l) | 21,030 | 28,120 | |
Series 2003-21 Class SK, 7.5756% 3/25/33 (c)(k)(l) | 72,759 | 13,602 | |
Series 2003-35 Class TQ, 6.9756% 5/25/18 (c)(k)(l) | 21,556 | 904 | |
Series 2005-72 Class ZC, 5.5% 8/25/35 | 3,055,287 | 3,433,790 | |
Series 2007-57 Class SA, 37.4737% 6/25/37 (c)(l) | 224,250 | 470,310 | |
Series 2007-66: | |||
Class SA, 36.4537% 7/25/37 (c)(l) | 332,894 | 676,565 | |
Class SB, 36.4537% 7/25/37 (c)(l) | 145,072 | 287,017 | |
Series 2007-75 Class JI, 6.0206% 8/25/37 (c)(k) | 10,221,304 | 2,009,374 | |
Series 2008-12 Class SG, 5.8256% 3/25/38 (c)(k)(l) | 1,886,475 | 358,147 | |
Series 2009-114 Class AI, 5% 12/25/23 (k) | 174,373 | 3,484 | |
Series 2009-16 Class SA, 5.7256% 3/25/24 (c)(k)(l) | 36,113 | 514 | |
Series 2009-76 Class MI, 5.5% 9/25/24 (k) | 91,475 | 2,709 | |
Series 2009-85 Class IB, 4.5% 8/25/24 (k) | 160,132 | 10,543 | |
Series 2009-93 Class IC, 4.5% 9/25/24 (k) | 240,204 | 15,110 | |
Series 2010-112 Class SG, 5.8356% 6/25/21 (c)(k)(l) | 184,396 | 9,832 | |
Series 2010-12 Class AI, 5% 12/25/18 (k) | 455,697 | 13,940 | |
Series 2010-135 Class LS, 5.5256% 12/25/40 (c)(k)(l) | 1,739,682 | 287,881 | |
Series 2010-139 Class NI, 4.5% 2/25/40 (k) | 1,686,674 | 212,286 | |
Series 2010-17 Class DI, 4.5% 6/25/21 (k) | 143,510 | 6,574 | |
Series 2010-23: | |||
Class AI, 5% 12/25/18 (k) | 175,302 | 5,304 | |
Class HI, 4.5% 10/25/18 (k) | 143,426 | 4,403 | |
Series 2010-29 Class LI, 4.5% 6/25/19 (k) | 416,805 | 11,726 | |
Series 2010-97 Class CI, 4.5% 8/25/25 (k) | 544,745 | 30,055 | |
Series 2011-110 Class SA, 6.0856% 4/25/41 (c)(k) | 5,170,645 | 734,847 | |
Series 2011-123 Class SD, 7.1244% 8/25/39 (c)(k) | 4,404,227 | 568,694 | |
Series 2011-39 Class ZA, 6% 11/25/32 | 1,162,671 | 1,333,060 | |
Series 2011-67 Class AI, 4% 7/25/26 (k) | 509,791 | 53,333 | |
Series 2011-83 Class DI, 6% 9/25/26 (k) | 778,715 | 92,945 | |
Series 2012-100 Class WI, 3% 9/25/27 (k) | 7,472,213 | 659,876 | |
Series 2012-14 Class JS, 6.1256% 12/25/30 (c)(k) | 2,694,787 | 371,054 | |
Series 2013-133 Class IB, 3% 4/25/32 (k) | 4,787,041 | 363,541 | |
Series 2013-51 Class GI, 3% 10/25/32 (k) | 6,613,663 | 708,156 | |
Series 2013-N1 Class A, 6.1956% 6/25/35 (c)(k)(l) | 1,427,133 | 301,450 | |
Series 2014-68 Class ID, 3.5% 3/25/34 (k) | 3,566,464 | 384,995 | |
Series 2015-42 Class LS, 5.6756% 6/25/45 (c)(k)(l) | 18,090,249 | 3,325,545 | |
Series 2015-70 Class JC, 3% 10/25/45 | 9,683,572 | 10,118,056 | |
Fannie Mae Stripped Mortgage-Backed Securities: | |||
Series 339: | |||
Class 29, 5.5% 8/25/18 (k) | 59,625 | 1,747 | |
Class 5, 5.5% 7/25/33 (k) | 254,409 | 55,949 | |
Series 343 Class 16, 5.5% 5/25/34 (k) | 212,994 | 31,978 | |
Series 348 Class 14, 6.5% 8/25/34 (c)(k) | 157,258 | 31,346 | |
Series 351: | |||
Class 12, 5.5% 4/25/34 (c)(k) | 104,855 | 18,158 | |
Class 13, 6% 3/25/34 (k) | 136,397 | 27,113 | |
Series 359 Class 19, 6% 7/25/35 (c)(k) | 94,489 | 14,995 | |
Series 384 Class 6, 5% 7/25/37 (k) | 1,190,042 | 228,744 | |
Freddie Mac: | |||
floater: | |||
Series 2412 Class FK, 1.3077% 1/15/32 (c) | 23,229 | 23,439 | |
Series 2423 Class FA, 1.4077% 3/15/32 (c) | 31,032 | 31,438 | |
Series 2424 Class FM, 1.5077% 3/15/32 (c) | 34,078 | 34,649 | |
Series 2432: | |||
Class FE, 1.4077% 6/15/31 (c) | 56,022 | 56,781 | |
Class FG, 1.4077% 3/15/32 (c) | 18,160 | 18,394 | |
floater target amortization class Series 3366 Class FD, 0.7577% 5/15/37 (c) | 1,283,225 | 1,275,595 | |
planned amortization class: | |||
Series 2006-15 Class OP, 3/25/36 (m) | 912,218 | 829,653 | |
Series 2095 Class PE, 6% 11/15/28 | 486,958 | 533,012 | |
Series 2101 Class PD, 6% 11/15/28 | 45,740 | 49,827 | |
Series 2121 Class MG, 6% 2/15/29 | 198,297 | 216,328 | |
Series 2131 Class BG, 6% 3/15/29 | 1,364,247 | 1,491,499 | |
Series 2137 Class PG, 6% 3/15/29 | 215,545 | 241,809 | |
Series 2154 Class PT, 6% 5/15/29 | 354,815 | 386,743 | |
Series 2162 Class PH, 6% 6/15/29 | 82,943 | 92,570 | |
Series 2425 Class JH, 6% 3/15/17 | 8,183 | 8,267 | |
Series 2520 Class BE, 6% 11/15/32 | 444,049 | 485,843 | |
Series 2585 Class KS, 7.0924% 3/15/23 (c)(k)(l) | 29,018 | 3,318 | |
Series 2693 Class MD, 5.5% 10/15/33 | 5,243,942 | 5,913,819 | |
Series 2802 Class OB, 6% 5/15/34 | 858,304 | 959,823 | |
Series 2937 Class KC, 4.5% 2/15/20 | 880,889 | 908,482 | |
Series 2962 Class BE, 4.5% 4/15/20 | 949,649 | 987,321 | |
Series 3002 Class NE, 5% 7/15/35 | 1,244,365 | 1,365,138 | |
Series 3110 Class OP, 9/15/35 (m) | 599,399 | 567,323 | |
Series 3119 Class PO, 2/15/36 (m) | 1,029,524 | 948,071 | |
Series 3121 Class KO, 3/15/36 (m) | 195,183 | 177,938 | |
Series 3123 Class LO, 3/15/36 (m) | 584,642 | 537,551 | |
Series 3145 Class GO, 4/15/36 (m) | 562,284 | 540,425 | |
Series 3189 Class PD, 6% 7/15/36 | 1,276,701 | 1,449,911 | |
Series 3225 Class EO, 10/15/36 (m) | 338,670 | 308,290 | |
Series 3258 Class PM, 5.5% 12/15/36 | 563,977 | 631,760 | |
Series 3415 Class PC, 5% 12/15/37 | 469,889 | 511,964 | |
Series 3786 Class HI, 4% 3/15/38 (k) | 1,541,110 | 147,448 | |
Series 3806 Class UP, 4.5% 2/15/41 | 3,094,779 | 3,321,728 | |
Series 3832 Class PE, 5% 3/15/41 | 2,375,210 | 2,713,366 | |
sequential payer: | |||
Series 2135 Class JE, 6% 3/15/29 | 97,293 | 106,068 | |
Series 2274 Class ZM, 6.5% 1/15/31 | 111,729 | 128,891 | |
Series 2281 Class ZB, 6% 3/15/30 | 273,065 | 296,664 | |
Series 2303 Class ZV, 6% 4/15/31 | 117,731 | 128,928 | |
Series 2357 Class ZB, 6.5% 9/15/31 | 828,867 | 968,049 | |
Series 2502 Class ZC, 6% 9/15/32 | 238,709 | 262,664 | |
Series 2519 Class ZD, 5.5% 11/15/32 | 400,712 | 433,642 | |
Series 2546 Class MJ, 5.5% 3/15/23 | 186,080 | 197,427 | |
Series 2601 Class TB, 5.5% 4/15/23 | 88,976 | 96,666 | |
Series 2998 Class LY, 5.5% 7/15/25 | 251,436 | 273,843 | |
Series 06-3115 Class SM, 6.0924% 2/15/36 (c)(k)(l) | 390,794 | 86,285 | |
Series 2013-4281 Class AI, 4% 12/15/28 (k) | 5,430,104 | 554,650 | |
Series 2844: | |||
Class SC, 43.5003% 8/15/24 (c)(l) | 11,632 | 19,365 | |
Class SD, 79.8505% 8/15/24 (c)(l) | 17,112 | 37,741 | |
Series 2935 Class ZK, 5.5% 2/15/35 | 4,262,342 | 4,852,324 | |
Series 2947 Class XZ, 6% 3/15/35 | 1,420,161 | 1,610,799 | |
Series 3055 Class CS, 6.0824% 10/15/35 (c)(k) | 544,544 | 97,965 | |
Series 3237 Class C, 5.5% 11/15/36 | 3,913,307 | 4,547,580 | |
Series 3244 Class SG, 6.1524% 11/15/36 (c)(k)(l) | 1,291,015 | 263,559 | |
Series 3284 Class CI, 5.6124% 3/15/37 (c)(k) | 2,977,421 | 597,590 | |
Series 3287 Class SD, 6.2424% 3/15/37 (c)(k)(l) | 1,971,886 | 449,425 | |
Series 3297 Class BI, 6.2524% 4/15/37 (c)(k)(l) | 2,858,081 | 657,595 | |
Series 3336 Class LI, 6.0724% 6/15/37 (c)(k) | 1,004,637 | 146,810 | |
Series 3772 Class BI, 4.5% 10/15/18 (k) | 497,270 | 17,206 | |
Series 3949 Class MK, 4.5% 10/15/34 | 891,206 | 962,523 | |
Series 3955 Class YI, 3% 11/15/21 (k) | 2,883,823 | 147,236 | |
Series 4055 Class BI, 3.5% 5/15/31 (k) | 4,483,428 | 388,120 | |
Series 4149 Class IO, 3% 1/15/33 (k) | 2,896,343 | 382,654 | |
Series 4314 Class AI, 5% 3/15/34 (k) | 1,745,763 | 239,749 | |
Series 4427 Class LI, 3.5% 2/15/34 (k) | 8,077,554 | 760,031 | |
Series 4471 Class PA 4% 12/15/40 | 12,211,078 | 12,930,023 | |
Series 4476 Class IA, 3.5% 1/15/32 (k) | 8,692,454 | 614,835 | |
target amortization class Series 2156 Class TC, 6.25% 5/15/29 | 278,512 | 306,233 | |
Freddie Mac Manufactured Housing participation certificates guaranteed: | |||
floater Series 1686 Class FA, 1.4077% 2/15/24 (c) | 112,041 | 113,132 | |
sequential payer: | |||
Series 2043 Class ZH, 6% 4/15/28 | 188,690 | 210,625 | |
Series 2056 Class Z, 6% 5/15/28 | 378,457 | 412,999 | |
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 | 9,330,389 | 10,199,054 | |
Ginnie Mae guaranteed REMIC pass-thru certificates: | |||
floater: | |||
Series 2007-37 Class TS, 6.1834% 6/16/37 (c)(k)(l) | 559,664 | 106,799 | |
Series 2010-H03 Class FA, 1.0409% 3/20/60 (c)(n) | 6,528,805 | 6,517,283 | |
Series 2010-H17 Class FA, 0.8209% 7/20/60 (c)(n) | 692,144 | 684,910 | |
Series 2010-H18 Class AF, 0.7676% 9/20/60 (c)(n) | 855,594 | 845,877 | |
Series 2010-H19 Class FG, 0.7676% 8/20/60 (c)(n) | 981,482 | 970,491 | |
Series 2010-H27 Series FA, 0.8476% 12/20/60 (c)(n) | 1,718,320 | 1,703,447 | |
Series 2011-H05 Class FA, 0.9676% 12/20/60 (c)(n) | 2,764,049 | 2,754,143 | |
Series 2011-H07 Class FA, 0.9676% 2/20/61 (c)(n) | 5,319,446 | 5,301,492 | |
Series 2011-H12 Class FA, 0.9576% 2/20/61 (c)(n) | 7,018,233 | 6,991,893 | |
Series 2011-H13 Class FA, 0.9676% 4/20/61 (c)(n) | 2,611,945 | 2,602,761 | |
Series 2011-H14: | |||
Class FB, 0.9676% 5/20/61 (c)(n) | 3,089,617 | 3,077,459 | |
Class FC, 0.9676% 5/20/61 (c)(n) | 2,737,769 | 2,727,588 | |
Series 2011-H17 Class FA, 0.9976% 6/20/61 (c)(n) | 3,604,495 | 3,595,848 | |
Series 2011-H21 Class FA, 1.0676% 10/20/61 (c)(n) | 7,000,868 | 7,000,018 | |
Series 2012-H01 Class FA, 1.1676% 11/20/61 (c)(n) | 3,469,596 | 3,481,592 | |
Series 2012-H03 Class FA, 1.1676% 1/20/62 (c)(n) | 2,178,944 | 2,186,533 | |
Series 2012-H06 Class FA, 1.0976% 1/20/62 (c)(n) | 3,382,232 | 3,385,357 | |
Series 2012-H07 Class FA, 1.0976% 3/20/62 (c)(n) | 1,997,416 | 1,999,372 | |
Series 2012-H23 Class WA, 0.9876% 10/20/62 (c)(n) | 1,713,066 | 1,707,595 | |
Series 2012-H26, Class CA, 0.9976% 7/20/60 (c)(n) | 7,126,390 | 7,110,696 | |
Series 2013-H07 Class BA, 0.8276% 3/20/63 (c)(n) | 2,827,861 | 2,799,875 | |
Series 2014-H03 Class FA, 1.0676% 1/20/64 (c)(n) | 3,187,104 | 3,186,678 | |
Series 2014-H05 Class FB, 1.0676% 12/20/63 (c)(n) | 8,505,499 | 8,504,371 | |
Series 2014-H11 Class BA, 0.9676% 6/20/64 (c)(n) | 12,713,544 | 12,663,196 | |
Series 2014-H20 Class BF, 0.9676% 9/20/64 (c)(n) | 40,706,307 | 40,540,213 | |
Series 2015-H13 Class FL, 0.7476% 5/20/63 (c)(n) | 16,070,006 | 16,010,680 | |
Series 2015-H19 Class FA, 0.6676% 4/20/63 (c)(n) | 15,037,885 | 14,967,268 | |
planned amortization class: | |||
Series 1993-13 Class PD, 6% 5/20/29 | 470,150 | 536,562 | |
Series 1997-8 Class PE, 7.5% 5/16/27 | 194,308 | 230,304 | |
Series 2011-136 Class WI, 4.5% 5/20/40 (k) | 1,232,464 | 103,170 | |
sequential payer Series 2004-24 Class ZM, 5% 4/20/34 | 1,898,754 | 2,107,468 | |
Series 2004-32 Class GS, 5.9934% 5/16/34 (c)(k)(l) | 295,825 | 61,277 | |
Series 2004-73 Class AL, 6.6934% 8/17/34 (c)(k)(l) | 361,986 | 89,566 | |
Series 2007-35 Class SC, 37.1601% 6/16/37 (c)(l) | 23,775 | 46,404 | |
Series 2010-98 Class HS, 6.0876% 8/20/40 (c)(k) | 2,213,433 | 381,225 | |
Series 2010-H10 Class FA, 0.8209% 5/20/60 (c)(n) | 2,221,165 | 2,198,626 | |
Series 2011-94 Class SA, 5.5876% 7/20/41 (c)(k)(l) | 2,056,351 | 319,798 | |
Series 2012-76 Class GS, 6.1934% 6/16/42 (c)(k)(l) | 1,176,949 | 257,506 | |
Series 2012-97 Class JS, 5.7434% 8/16/42 (c)(k)(l) | 3,761,138 | 672,374 | |
Series 2013-124: | |||
Class ES, 7.9834% 4/20/39 (c)(l) | 4,031,555 | 4,332,165 | |
Class ST, 8.1168% 8/20/39 (c)(l) | 7,740,226 | 8,510,433 | |
Series 2013-147 Class A/S, 5.6376% 10/20/43 (c)(k) | 3,185,880 | 483,559 | |
Series 2013-160 Class MS, 5.6876% 9/20/32 (c)(k)(l) | 5,115,077 | 1,003,839 | |
Series 2015-H13 Class HA, 2.5% 8/20/64 (n) | 31,274,833 | 31,689,809 | |
Series 2015-H17 Class HA, 2.5% 5/20/65 (n) | 26,560,952 | 26,932,112 | |
Series 2015-H21: | |||
Class HA, 2.5% 6/20/63 (n) | 6,021,176 | 6,086,102 | |
Class JA, 2.5% 6/20/65 (n) | 28,325,500 | 28,645,629 | |
Ginnie Mae pass thru certificates Series 2010-85 Class SE, 6.0376% 7/20/40 (c)(k) | 1,939,154 | 330,516 | |
TOTAL U.S. GOVERNMENT AGENCY | 385,934,126 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | |||
(Cost $512,071,657) | 514,696,334 | ||
Commercial Mortgage Securities - 4.0% | |||
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) | 180,000 | 199,849 | |
Asset Securitization Corp.: | |||
Series 1997-D4 Class B5, 7.525% 4/14/29 | 129,000 | 128,120 | |
Series 1997-D5 Class PS1, 1.4918% 2/14/43 (c)(k) | 283,691 | 129 | |
Aventura Mall Trust Series 2013-AVM Class E, 3.7427% 12/5/32 (b)(c) | 1,500,000 | 1,520,368 | |
Banc of America Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-3 Class A4, 5.889% 7/10/44 (c) | 845,792 | 844,577 | |
Series 2007-5 Class A1A, 5.361% 2/10/51 | 25,336,339 | 26,110,465 | |
Series 2004-1 Class F, 5.279% 11/10/39 (b)(c) | 26,437 | 26,501 | |
Series 2005-1 Class CJ, 5.349% 11/10/42 (c) | 98,631 | 98,520 | |
Series 2005-5 Class D, 5.4036% 10/10/45 (c) | 511,295 | 511,100 | |
Series 2007-2 Class A4, 5.6241% 4/10/49 (c) | 6,398,790 | 6,449,403 | |
Series 2007-3 Class A4, 5.5433% 6/10/49 (c) | 15,824,031 | 16,046,591 | |
Series 2008-1 Class D, 6.27% 2/10/51 (b)(c) | 125,000 | 95,064 | |
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4, 5.451% 1/15/49 | 5,752,627 | 5,794,302 | |
Bank of America Commercial Mortgage Trust: | |||
Series 2015-UBS7 Class D, 3.167% 9/15/48 | 258,000 | 204,065 | |
Series 2016-UB10 Class XA, 2.0127% 6/15/49 (c)(k) | 46,442,834 | 5,965,503 | |
Barclays Commercial Mortgage Securities LLC Series 2015-STP Class E, 4.2844% 9/10/28 (b)(c) | 1,782,000 | 1,686,129 | |
Bayview Commercial Asset Trust: | |||
floater: | |||
Series 2003-2 Class M1, 1.7994% 12/25/33 (b)(c) | 26,595 | 24,279 | |
Series 2005-4A: | |||
Class A2, 0.9144% 1/25/36 (b)(c) | 672,982 | 578,521 | |
Class B1, 1.9244% 1/25/36 (b)(c) | 29,351 | 22,422 | |
Class M1, 0.9744% 1/25/36 (b)(c) | 217,091 | 179,432 | |
Class M2, 0.9944% 1/25/36 (b)(c) | 65,127 | 52,888 | |
Class M3, 1.0244% 1/25/36 (b)(c) | 95,113 | 77,036 | |
Class M4, 1.1344% 1/25/36 (b)(c) | 52,603 | 41,943 | |
Class M5, 1.1744% 1/25/36 (b)(c) | 52,603 | 40,385 | |
Class M6, 1.2244% 1/25/36 (b)(c) | 55,870 | 42,108 | |
Series 2006-3A Class M4, 0.9544% 10/25/36 (b)(c) | 28,499 | 20,699 | |
Series 2007-1 Class A2, 0.7944% 3/25/37 (b)(c) | 439,508 | 371,393 | |
Series 2007-2A: | |||
Class A1, 0.7944% 7/25/37 (b)(c) | 469,112 | 403,389 | |
Class A2, 0.8444% 7/25/37 (b)(c) | 438,322 | 348,352 | |
Class M1, 0.8944% 7/25/37 (b)(c) | 153,914 | 116,954 | |
Class M2, 0.9344% 7/25/37 (b)(c) | 84,105 | 59,938 | |
Class M3, 1.0144% 7/25/37 (b)(c) | 65,766 | 46,494 | |
Series 2007-3: | |||
Class A2, 0.8144% 7/25/37 (b)(c) | 419,825 | 333,250 | |
Class M1, 0.8344% 7/25/37 (b)(c) | 91,182 | 69,532 | |
Class M2, 0.8644% 7/25/37 (b)(c) | 97,730 | 70,963 | |
Class M3, 0.8944% 7/25/37 (b)(c) | 153,999 | 103,841 | |
Class M4, 1.0244% 7/25/37 (b)(c) | 241,802 | 161,766 | |
Class M5, 1.1244% 7/25/37 (b)(c) | 117,422 | 57,931 | |
Series 2007-4A Class M1, 1.4379% 9/25/37 (b)(c) | 77,823 | 25,296 | |
Series 2006-3A, Class IO, 0% 10/25/36 (b)(c)(k) | 4,370,290 | 0 | |
BBCMS Mortgage Trust Series 2016-ETC: | |||
Class D, 3.7291% 8/14/36 (b)(c) | 1,000,000 | 1,007,500 | |
Class E, 3.7291% 8/14/36 (b)(c) | 1,000,000 | 885,077 | |
Bear Stearns Commercial Mortgage Securities Trust: | |||
sequential payer: | |||
Series 2006-PW14 Class AM, 5.243% 12/11/38 | 600,000 | 601,971 | |
Series 2007-PW16 Class A4, 5.7197% 6/11/40 (c) | 814,087 | 829,368 | |
Series 2006-T22 Class B, 5.723% 4/12/38 (b)(c) | 173,852 | 174,171 | |
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PWR11 Class AJ, 5.4286% 3/11/39 (c) | 450,000 | 429,809 | |
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (b) | 656,967 | 688,880 | |
BLCP Hotel Trust floater Series 2014-CLRN Class F, 3.5416% 8/15/29 (b)(c) | 832,000 | 768,172 | |
BWAY Mortgage Trust Series 2015-1740 Class E, 3.8241% 1/13/35 (b)(c) | 1,000,000 | 935,627 | |
C-BASS Trust floater Series 2006-SC1 Class A, 0.7579% 5/25/36 (b)(c) | 56,249 | 55,251 | |
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(c) | 606,000 | 587,927 | |
CDGJ Commercial Mortgage Trust Series 2014-BXCH: | |||
Class A, 2.0801% 12/15/27 (b)(c) | 17,387,124 | 17,425,334 | |
Class DPA, 3.6801% 12/15/27 (b)(c) | 5,842,935 | 5,776,935 | |
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.6226% 12/15/47 (b)(c) | 750,000 | 869,383 | |
CG-CCRE Commercial Mortgage Trust: | |||
Series 2014-FL1: | |||
Class YTC2, 2.9967% 6/15/31 (b)(c) | 511,000 | 481,121 | |
Class YTC3, 2.9967% 6/15/31 (b)(c) | 184,000 | 172,188 | |
Series 2014-FL1, 2.9967% 6/15/31 (b)(c) | 511,000 | 484,066 | |
CGBAM Commercial Mortgage Trust Series 2015-SMRT: | |||
Class E, 3.7859% 4/10/28 (b)(c) | 162,000 | 155,917 | |
Class F, 3.7859% 4/10/28 (b)(c) | 1,133,000 | 1,066,005 | |
CGGS Commercial Mortgage Trust Series 2016-RND Class DFL, 5.2314% 2/15/33 (b)(c) | 294,000 | 297,987 | |
Chase Commercial Mortgage Securities Corp.: | |||
Series 1998-1 Class H, 6.34% 5/18/30 (b) | 781,359 | 808,060 | |
Series 1998-2 Class J, 6.39% 11/18/30 (b) | 487,111 | 446,324 | |
Citigroup Commercial Mortgage Trust: | |||
Series 2013-GC15 Class D, 5.1034% 9/10/46 (b)(c) | 1,927,000 | 1,797,195 | |
Series 2015-SHP2 Class E, 4.858% 7/15/27 (b)(c) | 693,000 | 647,145 | |
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer: | |||
Series 2006-CD3 Class A5, 5.617% 10/15/48 | 1,199,593 | 1,198,534 | |
Series 2007-CD4 Class A4, 5.322% 12/11/49 | 19,305,628 | 19,383,862 | |
Claregold Trust Series 2007-2A: | |||
Class F, 5.01% 5/15/44 (b)(c) | CAD | 138,000 | 104,647 |
Class G, 5.01% 5/15/44 (b)(c) | CAD | 30,000 | 22,539 |
Class H, 5.01% 5/15/44 (b)(c) | CAD | 20,000 | 14,799 |
Class J, 5.01% 5/15/44 (b)(c) | CAD | 20,000 | 14,473 |
Class K, 5.01% 5/15/44 (b)(c) | CAD | 10,000 | 7,157 |
Class L, 5.01% 5/15/44 (b)(c) | CAD | 36,000 | 25,206 |
Class M, 5.01% 5/15/44 (b)(c) | CAD | 165,000 | 111,832 |
COMM Mortgage Trust: | |||
floater Series 2014-PAT Class E, 3.6279% 8/13/27 (b)(c) | 735,000 | 724,387 | |
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (b) | 1,410,000 | 990,204 | |
Series 2012-CR1: | |||
Class C, 5.3514% 5/15/45 (c) | 850,000 | 935,319 | |
Class D, 5.3514% 5/15/45 (b)(c) | 1,510,000 | 1,564,742 | |
Class G, 2.462% 5/15/45 (b) | 231,000 | 143,567 | |
Series 2012-CR5 Class D, 4.3343% 12/10/45 (b)(c) | 740,000 | 717,338 | |
Series 2012-LC4: | |||
Class C, 5.6329% 12/10/44 (c) | 260,000 | 294,788 | |
Class D, 5.6329% 12/10/44 (b)(c) | 1,437,000 | 1,494,667 | |
Series 2013-CR10: | |||
Class C, 4.7894% 8/10/46 (b)(c) | 270,000 | 287,667 | |
Class D, 4.7894% 8/10/46 (b)(c) | 790,000 | 712,632 | |
Class XA, 0.9462% 8/10/46 (c)(k) | 35,561,285 | 1,413,067 | |
Series 2013-CR12 Class D, 5.0835% 10/10/46 (b)(c) | 1,680,000 | 1,577,615 | |
Series 2013-CR6 Class F, 4.1715% 3/10/46 (b)(c) | 418,000 | 287,838 | |
Series 2013-CR9: | |||
Class C, 4.2572% 7/10/45 (b)(c) | 525,000 | 551,217 | |
Class D, 4.2572% 7/10/45 (b)(c) | 252,000 | 225,347 | |
Series 2013-LC6 Class D, 4.2844% 1/10/46 (b)(c) | 1,250,000 | 1,159,920 | |
Series 2014-CR15 Class D, 4.7628% 2/10/47 (b)(c) | 258,000 | 238,588 | |
Series 2014-CR17: | |||
Class D, 4.799% 5/10/47 (b)(c) | 799,000 | 740,411 | |
Class E, 4.799% 5/10/47 (b)(c) | 100,000 | 77,888 | |
Series 2014-CR19 Class XA, 1.2786% 8/10/47 (c)(k) | 70,405,549 | 4,452,876 | |
Series 2014-CR20 Class XA, 1.1975% 11/10/47 (c)(k) | 167,076,183 | 11,059,357 | |
Series 2014-LC17 Class XA, 0.9979% 10/10/47 (c)(k) | 51,388,947 | 2,401,935 | |
Series 2014-UBS2 Class D, 5.1821% 3/10/47 (b)(c) | 844,000 | 734,049 | |
Series 2014-UBS4 Class XA, 1.263% 8/10/47 (c)(k) | 45,233,567 | 2,929,276 | |
Series 2014-UBS6 Class XA, 1.0618% 12/10/47 (c)(k) | 128,533,104 | 7,591,242 | |
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(c) | 1,500,000 | 1,318,650 | |
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(c) | 483,000 | 435,879 | |
Series 2016-CD1 Class D, 2.9067% 8/10/49 (b)(c) | 226,000 | 169,194 | |
COMM Mortgage Trust pass-thru certificates: | |||
floater Series 2005-F10A Class J, 1.3577% 4/15/17 (b)(c) | 126,140 | 126,185 | |
Series 2005-LP5 Class F, 4.8452% 5/10/43 (b)(c) | 1,290,000 | 1,288,065 | |
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class J, 5.44% 9/15/30 (b) | 969,441 | 944,994 | |
Commercial Mortgage Asset Trust Series 1999-C2 Class H, 6% 11/17/32 (b) | 665,948 | 690,784 | |
Commercial Mortgage Trust pass-thru certificates: | |||
Series 2012-CR2: | |||
Class E, 4.8547% 8/15/45 (b)(c) | 1,727,000 | 1,654,001 | |
Class F, 4.25% 8/15/45 (b) | 1,418,000 | 1,165,899 | |
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) | 403,000 | 285,033 | |
Core Industrial Trust: | |||
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(c) | 625,000 | 587,087 | |
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(c) | 483,000 | 450,760 | |
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(c) | 1,566,000 | 1,367,237 | |
Credit Suisse Commercial Mortgage Trust: | |||
sequential payer Series 2007-C3 Class A4, 5.6994% 6/15/39 (c) | 14,858,653 | 15,038,008 | |
Series 2007-C5 Class A4, 5.695% 9/15/40 (c) | 1,258,921 | 1,290,682 | |
Credit Suisse First Boston Mortgage Securities Corp.: | |||
Series 1998-C1: | |||
Class F, 6% 5/17/40 (b) | 798,531 | 820,118 | |
Class H, 6% 5/17/40 (b) | 90,315 | 73,737 | |
Series 1998-C2: | |||
Class F, 6.75% 11/15/30 (b) | 103,933 | 104,682 | |
Class G, 6.75% 11/15/30 (b) | 180,000 | 184,490 | |
Series 2002-CKP1 Class KZ, 6.294% 12/15/35 (b)(c) | 112,549 | 112,539 | |
CSMC Series 2015-TOWN: | |||
Class A, 1.7577% 3/15/17 (b)(c) | 9,866,000 | 9,867,019 | |
Class B, 2.4077% 3/15/17 (b)(c) | 3,043,000 | 2,989,243 | |
Class C, 2.7577% 3/15/17 (b)(c) | 2,964,000 | 2,902,043 | |
Class D, 3.7077% 3/15/17 (b)(c) | 4,485,000 | 4,397,735 | |
Class E, 4.6577% 3/15/17 (b)(c) | 20,318,000 | 19,830,559 | |
CSMC Trust floater Series 2015-DEAL: | |||
Class E, 4.508% 4/15/29 (b)(c) | 724,000 | 716,665 | |
Class F, 5.258% 4/15/29 (b)(c) | 989,000 | 980,358 | |
DBCCRE Mortgage Trust Series 2014-ARCP Class E, 4.9345% 1/10/34 (b)(c) | 1,449,000 | 1,358,654 | |
DBUBS Mortgage Trust: | |||
Series 2011-LC1A: | |||
Class D, 5.6968% 11/10/46 (b)(c) | 500,000 | 557,425 | |
Class E, 5.6968% 11/10/46 (b)(c) | 1,810,000 | 1,972,376 | |
Class F, 5.6968% 11/10/46 (b)(c) | 1,560,000 | 1,510,984 | |
Class G, 4.652% 11/10/46 (b) | 1,948,000 | 1,732,389 | |
Class XB, 0.3055% 11/10/46 (b)(c)(k) | 20,920,000 | 261,762 | |
Series 2011-LC3A Class D, 5.4252% 8/10/44 (b)(c) | 812,000 | 868,097 | |
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.636% 9/10/49 (c) | 600,000 | 600,515 | |
Extended Stay America Trust Series 2013-ESH7 Class C7, 3.9017% 12/5/31 (b) | 1,000,000 | 1,001,138 | |
Freddie Mac: | |||
pass-thru certificates: | |||
Series K011 Class X3, 2.5765% 12/25/43 (c)(k) | 1,640,000 | 160,682 | |
Series K012 Class X3, 2.2518% 1/25/41 (c)(k) | 1,770,276 | 156,675 | |
Series K013 Class X3, 2.9089% 1/25/43 (c)(k) | 820,000 | 89,032 | |
Series KAIV Class X2, 3.6147% 6/25/46 (c)(k) | 420,000 | 63,160 | |
FREMF Mortgage Trust: | |||
Series 2010-K9 Class B, 5.195% 9/25/45 (b)(c) | 1,815,000 | 2,003,476 | |
Series 2011-K10 Class B, 4.6306% 11/25/49 (b)(c) | 500,000 | 542,479 | |
Series 2011-K11 Class B, 4.4229% 12/25/48 (b)(c) | 750,000 | 809,049 | |
GAHR Commercial Mortgage Trust Series 2015-NRF: | |||
Class BFX, 3.4949% 12/15/34 (b)(c) | 18,910,000 | 19,548,050 | |
Class CFX, 3.4949% 12/15/34 (b)(c) | 14,152,000 | 14,436,227 | |
Class DFX, 3.4949% 12/15/34 (b)(c) | 11,994,000 | 12,070,315 | |
Class EFX, 3.4949% 12/15/34 (b)(c) | 1,750,000 | 1,712,163 | |
Class FFX, 3.4949% 12/15/34 (b)(c) | 383,000 | 362,589 | |
GE Capital Commercial Mortgage Corp.: | |||
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49 | 42,220,000 | 42,675,744 | |
Series 2007-C1 Class A1A, 5.483% 12/10/49 (c) | 10,322,122 | 10,432,105 | |
GMAC Commercial Mortgage Securities, Inc.: | |||
Series 1997-C1 Class H, 6.6% 7/15/29 | 281,148 | 277,080 | |
Series 1997-C2 Class G, 6.75% 4/15/29 (c) | 140,914 | 143,769 | |
Series 1999-C2I Class K, 6.481% 9/15/33 | 835,000 | 763,314 | |
GP Portfolio Trust Series 2014-GPP: | |||
Class D, 3.2314% 2/15/27 (b)(c) | 291,000 | 287,366 | |
Class E, 4.3314% 2/15/27 (b)(c) | 378,000 | 363,302 | |
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(c) | 357,000 | 352,406 | |
Greenwich Capital Commercial Funding Corp. sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39 | 13,750,708 | 13,828,907 | |
GS Mortgage Securities Corp. II Series 2010-C1: | |||
Class D, 6.0707% 8/10/43 (b)(c) | 1,255,000 | 1,302,077 | |
Class E, 4% 8/10/43 (b) | 1,240,000 | 1,160,941 | |
Class F, 4% 8/10/43 (b) | 894,000 | 770,283 | |
Class X, 1.4462% 8/10/43 (b)(c)(k) | 4,995,025 | 229,416 | |
GS Mortgage Securities Trust: | |||
floater Series 2014-GSFL Class A, 1.4841% 7/15/31 (b)(c) | 519,899 | 513,540 | |
sequential payer Series 2006-GG8 Class A4, 5.56% 11/10/39 | 151,463 | 151,370 | |
Series 2010-C2: | |||
Class D, 5.1844% 12/10/43 (b)(c) | 720,000 | 725,574 | |
Class XA, 0.1605% 12/10/43 (b)(c)(k) | 3,282,273 | 19,760 | |
Series 2011-GC3 Class D, 5.6328% 3/10/44 (b)(c) | 294,000 | 300,064 | |
Series 2011-GC5: | |||
Class C, 5.3856% 8/10/44 (b)(c) | 1,050,000 | 1,157,929 | |
Class D, 5.3856% 8/10/44 (b)(c) | 1,500,000 | 1,566,491 | |
Class E, 5.3856% 8/10/44 (b)(c) | 210,000 | 193,421 | |
Class F, 4.5% 8/10/44 (b) | 1,020,000 | 791,260 | |
Series 2012-GC6: | |||
Class D, 5.6467% 1/10/45 (b)(c) | 954,000 | 950,602 | |
Class E, 5% 1/10/45 (b)(c) | 412,000 | 340,152 | |
Series 2012-GC6I Class F, 5% 1/10/45 (c) | 390,000 | 300,933 | |
Series 2012-GCJ7: | |||
Class C, 5.7291% 5/10/45 (c) | 630,000 | 686,353 | |
Class D, 5.7291% 5/10/45 (b)(c) | 2,162,000 | 2,120,267 | |
Class E, 5% 5/10/45 (b) | 1,311,000 | 1,053,538 | |
Class F, 5% 5/10/45 (b) | 2,079,000 | 1,534,897 | |
Series 2012-GCJ9: | |||
Class D, 4.853% 11/10/45 (b)(c) | 1,972,000 | 1,840,885 | |
Class E, 4.853% 11/10/45 (b)(c) | 1,290,000 | 997,465 | |
Series 2013-GC10 Class D, 4.4102% 2/10/46 (b)(c) | 920,000 | 848,606 | |
Series 2013-GC12 Class D, 4.4754% 6/10/46 (b)(c) | 219,000 | 195,058 | |
Series 2013-GC13 Class D, 4.0673% 7/10/46 (b)(c) | 1,858,000 | 1,672,369 | |
Series 2013-GC16: | |||
Class C, 5.32% 11/10/46 (c) | 662,844 | 736,702 | |
Class D, 5.32% 11/10/46 (b)(c) | 1,009,000 | 939,272 | |
Class F, 3.5% 11/10/46 (b) | 999,000 | 672,913 | |
Series 2014-GC20 Class XA, 1.1715% 4/10/47 (c)(k) | 39,832,706 | 2,402,028 | |
Series 2015-GC34 Class XA, 1.3751% 10/10/48 (c)(k) | 29,465,686 | 2,692,707 | |
Series 2016-GS2 Class C, 4.5303% 5/10/49 (c) | 699,000 | 763,040 | |
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) | 1,113,000 | 1,079,197 | |
Series 2016-RENT: | |||
Class E, 4.0667% 2/10/29 (b)(c) | 409,000 | 394,161 | |
Class F, 4.0667% 2/10/29 (b)(c) | 1,520,000 | 1,436,151 | |
Hilton U.S.A. Trust: | |||
floater Series 2014-ORL Class E, 3.7314% 7/15/29 (b)(c) | 617,000 | 590,421 | |
Series 2013-HLT: | |||
Class CFX, 3.7141% 11/5/30 (b) | 2,450,000 | 2,456,500 | |
Class DFX, 4.4065% 11/5/30 (b) | 23,706,000 | 23,782,409 | |
Class EFX, 5.2216% 11/5/30 (b)(c) | 2,000,000 | 2,005,020 | |
Hyatt Hotel Portfolio Trust floater Series 2015-HYT Class F, 3.9976% 11/15/29 (b)(c) | 406,000 | 382,552 | |
JPMBB Commercial Mortgage Securities Trust: | |||
Series 2014-C22 Class D, 4.5603% 9/15/47 (b)(c) | 525,000 | 429,065 | |
Series 2015-C30 Class XA, 0.7169% 7/15/48 (c)(k) | 84,742,637 | 3,276,625 | |
Series 2015-C32 Class C, 4.6684% 11/15/48 (c) | 1,419,000 | 1,379,660 | |
JPMorgan Chase Commercial Mortgage Securities Corp.: | |||
sequential payer Series 2010-CNTR Class A2, 4.311% 8/5/32 (b) | 440,000 | 470,549 | |
Series 2003-C1 Class F, 5.4395% 1/12/37 (b)(c) | 250,000 | 246,113 | |
Series 2009-IWST: | |||
Class C, 7.4453% 12/5/27 (b)(c) | 380,000 | 432,375 | |
Class D, 7.4453% 12/5/27 (b)(c) | 1,885,000 | 2,135,584 | |
Series 2010-CNTR Class D, 6.1838% 8/5/32 (b)(c) | 695,000 | 774,741 | |
Series 2012-CBX: | |||
Class C, 5.2192% 6/15/45 (c) | 250,000 | 273,062 | |
Class D, 5.2192% 6/16/45 (b)(c) | 690,000 | 713,771 | |
Class E, 5.2192% 6/15/45 (b)(c) | 1,043,000 | 1,062,919 | |
Class F, 4% 6/15/45 (b) | 988,000 | 811,441 | |
Class G 4% 6/15/45 (b) | 1,079,000 | 754,921 | |
Class XA, 1.698% 6/15/45 (c)(k) | 147,022,039 | 9,273,150 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
floater: | |||
Series 2014-BXH: | |||
Class A, 1.4077% 4/15/27 (b)(c) | 3,000,000 | 2,937,852 | |
Class C, 2.1577% 4/15/27 (b)(c) | 4,460,000 | 4,374,319 | |
Class D, 2.7577% 4/15/27 (b)(c) | 9,517,000 | 9,268,337 | |
Series 2014-INN: | |||
Class E, 4.108% 6/15/29 (b)(c) | 713,000 | 695,090 | |
Class F, 4.508% 6/15/29 (b)(c) | 1,006,000 | 965,569 | |
Series 2015-CSMO Class D, 3.8077% 1/15/32 (b)(c) | 2,184,000 | 2,181,932 | |
sequential payer: | |||
Series 2006-CB17 Class A4, 5.429% 12/12/43 | 342,327 | 342,520 | |
Series 2006-LDP9 Class A3, 5.336% 5/15/47 | 5,830,015 | 5,843,232 | |
Series 2007-CB18 Class A4, 5.44% 6/12/47 | 1,978,366 | 1,992,749 | |
Series 2007-CB19 Class A4, 5.6986% 2/12/49 (c) | 12,094,576 | 12,282,195 | |
Series 2007-LD11 Class A4, 5.7416% 6/15/49 (c) | 27,676,787 | 28,119,466 | |
Series 2007-LDPX Class A3, 5.42% 1/15/49 | 18,916,246 | 19,106,452 | |
Series 2004-CBX Class D, 5.097% 1/12/37 (c) | 170,000 | 164,626 | |
Series 2004-LN2 Class D, 5.3719% 7/15/41 (c) | 420,000 | 37,061 | |
Series 2005-LDP2: | |||
Class C, 4.911% 7/15/42 (c) | 660,000 | 659,150 | |
Class F, 5.01% 7/15/42 (c) | 189,000 | 171,232 | |
Series 2007-LDP10 Class CS, 5.466% 1/15/49 (c) | 15,700 | 0 | |
Series 2011-C3: | |||
Class E, 5.6142% 2/15/46 (b)(c) | 518,000 | 550,668 | |
Class H, 4.409% 2/15/46 (b)(c) | 756,000 | 621,878 | |
Class J, 4.409% 2/15/46 (b)(c) | 106,000 | 79,637 | |
Series 2011-C4: | |||
Class E, 5.5305% 7/15/46 (b)(c) | 1,130,000 | 1,178,917 | |
Class F, 3.873% 7/15/46 (b) | 105,000 | 90,429 | |
Class H, 3.873% 7/15/46 (b) | 674,250 | 491,808 | |
Class NR, 3.873% 7/15/46 (b) | 385,000 | 228,936 | |
Class TAC1, 7.99% 7/15/46 (b) | 744,163 | 750,709 | |
Class TAC2, 7.99% 7/15/46 (b) | 671,000 | 670,927 | |
Series 2011-C5: | |||
Class B. 5.3206% 8/15/46 (b)(c) | 1,140,000 | 1,298,002 | |
Class C, 5.3206% 8/15/46 (b)(c) | 1,102,648 | 1,217,824 | |
Series 2013-LC11: | |||
Class C, 3.9582% 4/15/46 (c) | 1,163,000 | 1,201,799 | |
Class D, 4.2374% 4/15/46 (c) | 1,666,000 | 1,570,162 | |
Class F, 3.25% 4/15/46 (b)(c) | 1,682,000 | 1,000,244 | |
Series 2014-DSTY: | |||
Class D, 3.8046% 6/10/27 (b)(c) | 816,000 | 792,926 | |
Class E, 3.8046% 6/10/27 (b)(c) | 1,169,000 | 1,083,460 | |
Series 2015-UES Class F, 3.621% 9/5/32 (b)(c) | 945,000 | 873,663 | |
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(c) | 1,218,000 | 1,166,994 | |
LB Commercial Conduit Mortgage Trust sequential payer Series 2007-C3 Class A4, 5.9184% 7/15/44 (c) | 18,492,966 | 19,014,192 | |
LB-UBS Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-C6 Class AM, 5.413% 9/15/39 | 910,241 | 910,271 | |
Series 2006-C7 Class AM, 5.378% 11/15/38 | 160,000 | 160,274 | |
Series 2007-C1 Class A4, 5.424% 2/15/40 | 7,114,611 | 7,158,482 | |
Series 2007-C2 Class A3, 5.43% 2/15/40 | 1,961,871 | 1,981,568 | |
Series 2004-C2 Class G, 4.595% 3/15/36 (b)(c) | 32,737 | 32,732 | |
Series 2006-C4 Class AJ, 5.9305% 6/15/38 (c) | 28,380 | 28,359 | |
Series 2007-C6 Class A4, 5.858% 7/15/40 (c) | 1,785,600 | 1,814,773 | |
Series 2007-C7 Class A3, 5.866% 9/15/45 | 12,317,354 | 12,781,273 | |
Liberty Street Trust Series 2016-225L: | |||
Class D, 4.6485% 2/10/36 (b)(c) | 588,000 | 636,886 | |
Class E, 4.6485% 2/10/36 (b)(c) | 1,050,000 | 1,056,279 | |
Lone Star Portfolio Trust floater Series 2015-LSP Class A1A2, 2.243% 9/15/28 (b)(c) | 13,800,379 | 14,021,824 | |
LSTAR Commercial Mortgage Trust Series 2014-2: | |||
Class D, 4.8974% 1/20/41 (b)(c) | 256,000 | 253,634 | |
Class E, 4.8974% 1/20/41 (b)(c) | 400,000 | 367,814 | |
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.3577% 10/12/39 (b)(c) | CAD | 320,000 | 243,746 |
Merrill Lynch Mortgage Investors Trust Series 1997-C2 Class F, 6.25% 12/10/29 (c) | 147,598 | 147,347 | |
Merrill Lynch Mortgage Trust: | |||
Series 2005-LC1 Class F, 5.4984% 1/12/44 (b)(c) | 428,608 | 427,696 | |
Series 2006-C1 Class AJ, 5.5544% 5/12/39 (c) | 718,252 | 717,811 | |
Series 2007-C1 Class A4, 5.8262% 6/12/50 (c) | 9,429,517 | 9,654,755 | |
Series 2008-C1 Class A4, 5.69% 2/12/51 | 2,807,187 | 2,892,910 | |
Merrill Lynch-CFC Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2007-5 Class A4, 5.378% 8/12/48 | 14,526,734 | 14,612,526 | |
Series 2007-6 Class A4, 5.485% 3/12/51 (c) | 14,650,000 | 14,824,542 | |
Series 2007-7 Class A4, 5.7387% 6/12/50 (c) | 5,868,055 | 5,980,398 | |
Series 2007-8 Class A3, 5.8755% 8/12/49 (c) | 1,598,418 | 1,636,701 | |
Morgan Stanley BAML Trust: | |||
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 (b) | 750,000 | 692,990 | |
Series 2012-C6 Class D, 4.657% 11/15/45 (b)(c) | 1,357,000 | 1,370,451 | |
Series 2013-C12 Class D, 4.7657% 10/15/46 (b)(c) | 1,000,000 | 967,387 | |
Series 2013-C13: | |||
Class D, 4.8917% 11/15/46 (b)(c) | 1,019,000 | 989,619 | |
Class E, 4.8917% 11/15/46 (b)(c) | 887,000 | 702,207 | |
Series 2013-C7: | |||
Class D, 4.2818% 2/15/46 (b)(c) | 810,000 | 772,341 | |
Class E, 4.2818% 2/15/46 (b)(c) | 340,000 | 264,723 | |
Series 2013-C8 Class D, 4.0617% 12/15/48 (b)(c) | 400,000 | 362,283 | |
Series 2013-C9: | |||
Class C, 4.0675% 5/15/46 (c) | 620,000 | 650,514 | |
Class D, 4.1555% 5/15/46 (b)(c) | 1,747,000 | 1,654,352 | |
Series 2014-C17 Class XA, 1.2621% 8/15/47 (c)(k) | 177,612,254 | 10,869,408 | |
Series 2015-C25 Class XA, 1.1512% 10/15/48 (c)(k) | 47,743,317 | 3,601,694 | |
Morgan Stanley Capital I Trust: | |||
floater Series 2006-XLF: | |||
Class C, 1.708% 7/15/19 (b)(c) | 357,716 | 357,609 | |
Class J, 0.9114% 7/15/19 (b)(c) | 335,939 | 330,315 | |
sequential payer: | |||
Series 2006-HQ10 Class AM, 5.36% 11/12/41 | 616,733 | 616,715 | |
Series 2012-C4 Class E, 5.521% 3/15/45 (b)(c) | 1,483,000 | 1,484,862 | |
Series 1997-RR Class F, 7.4205% 4/30/39 (b)(c) | 34,267 | 33,986 | |
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) | 173,617 | 173,815 | |
Series 1999-WF1: | |||
Class N, 5.91% 11/15/31 (b) | 210,000 | 208,146 | |
Class O, 5.91% 11/15/31 (b) | 160,563 | 131,505 | |
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43 | 719,000 | 721,954 | |
Series 2007-IQ14 Class A4, 5.692% 4/15/49 | 89,155,000 | 90,222,667 | |
Series 2011-C1: | |||
Class C, 5.4324% 9/15/47 (b)(c) | 970,000 | 1,091,557 | |
Class D, 5.4324% 9/15/47 (b)(c) | 1,760,000 | 1,943,750 | |
Class E, 5.4324% 9/15/47 (b)(c) | 573,100 | 626,076 | |
Series 2011-C2: | |||
Class D, 5.4723% 6/15/44 (b)(c) | 1,272,000 | 1,341,235 | |
Class E, 5.4723% 6/15/44 (b)(c) | 600,000 | 627,736 | |
Class F, 5.4723% 6/15/44 (b)(c) | 550,000 | 533,329 | |
Class XB, 0.53% 6/15/44 (b)(c)(k) | 9,001,008 | 203,687 | |
Series 2011-C3: | |||
Class C, 5.1538% 7/15/49 (b)(c) | 1,000,000 | 1,108,154 | |
Class D, 5.1538% 7/15/49 (b)(c) | 1,130,000 | 1,217,161 | |
Class E, 5.1538% 7/15/49 (b)(c) | 505,000 | 524,063 | |
Class G, 5.1538% 7/15/49 (b)(c) | 924,000 | 727,866 | |
Series 2012-C4: | |||
Class D, 5.521% 3/15/45 (b)(c) | 330,000 | 345,870 | |
Class F, 3.07% 3/15/45 (b) | 623,000 | 465,192 | |
Series 2014-150E: | |||
Class C, 4.295% 9/9/32 (b)(c) | 656,000 | 711,945 | |
Class F, 4.295% 9/9/32 (b)(c) | 651,000 | 564,676 | |
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(c) | 1,000,000 | 984,366 | |
Series 2015-MS1: | |||
Class C, 4.0295% 5/15/48 (c) | 734,000 | 738,725 | |
Class D, 4.0295% 5/15/48 (b)(c) | 632,000 | 498,464 | |
Series 2015-UBS8 Class D, 3.25% 12/15/48 (b) | 798,000 | 594,188 | |
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.5569% 7/15/33 (b)(c) | 121,496 | 129,595 | |
Motel 6 Trust Series 2015-MTL6: | |||
Class E, 5.2785% 2/5/30 (b) | 2,089,000 | 2,081,715 | |
Class F, 5% 2/5/30 (b) | 691,000 | 658,960 | |
MSJP Commercial Securities Mortgage Trust: | |||
Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(c) | 278,000 | 234,211 | |
Series 2015-HAUL, Class D, 4.851% 9/5/47 (b)(c) | 285,000 | 298,601 | |
NationsLink Funding Corp. Series 1999-LTL1: | |||
Class C, 7.399% 1/22/26 (b) | 29,498 | 29,492 | |
Class D, 6.45% 1/22/26 (b) | 740,731 | 746,394 | |
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) | 1,028,073 | 1,382,141 | |
Real Estate Asset Liquidity Trust: | |||
Series 2006-2: | |||
Class F, 4.456% 9/12/38 (b) | CAD | 107,000 | 81,958 |
Class G, 4.456% 9/12/38 (b) | CAD | 54,000 | 41,230 |
Class H, 4.456% 9/12/38 (b) | CAD | 36,000 | 27,328 |
Class J, 4.456% 9/12/38 (b) | CAD | 36,000 | 26,911 |
Class K, 4.456% 9/12/38 (b) | CAD | 18,000 | 13,185 |
Class L, 4.456% 9/12/38 (b) | CAD | 26,000 | 18,351 |
Class M, 4.456% 9/12/38 (b) | CAD | 104,391 | 69,073 |
Series 2007-1: | |||
Class F, 4.57% 4/12/23 | CAD | 126,000 | 96,692 |
Class G, 4.57% 4/12/23 | CAD | 42,000 | 32,136 |
Class H, 4.57% 4/12/23 | CAD | 42,000 | 32,043 |
Class J, 4.57% 4/12/23 | CAD | 42,000 | 31,950 |
Class K, 4.57% 4/12/23 | CAD | 21,000 | 15,929 |
Class L, 4.57% 4/12/23 | CAD | 63,000 | 47,649 |
Class M, 4.57% 4/12/23 | CAD | 155,242 | 113,420 |
Salomon Brothers Mortgage Securities VII, Inc. Series 2006-C2 Class H, 6.308% 7/18/33 (b) | 235,343 | 113,413 | |
SCG Trust Series 2013-SRP1 Class D, 3.8251% 11/15/26 (b)(c) | 2,529,000 | 2,388,269 | |
Starwood Retail Property Trust Series 2014-STAR Class D, 3.7314% 11/15/27 (b)(c) | 1,805,000 | 1,735,210 | |
TIAA Seasoned Commercial Mortgage Trust: | |||
sequential payer Series 2007-C4 Class AJ, 5.482% 8/15/39 (c) | 36,404 | 36,764 | |
Series 2007-C4 Class F, 5.482% 8/15/39 (c) | 820,000 | 761,546 | |
UBS Commercial Mortgage Trust Series 2012-C1: | |||
Class D, 5.5308% 5/10/45 (b)(c) | 1,197,000 | 1,229,334 | |
Class E, 5% 5/10/45 (b)(c) | 537,000 | 465,724 | |
Class F, 5% 5/10/45 (b)(c) | 430,700 | 322,102 | |
UBS-BAMLL Trust: | |||
Series 12-WRM Class D, 4.238% 6/10/30 (b)(c) | 310,000 | 308,321 | |
Series 2012-WRM Class E, 4.238% 6/10/30 (b)(c) | 970,000 | 932,185 | |
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(c) | 1,299,000 | 1,307,091 | |
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) | 180,000 | 200,236 | |
Wachovia Bank Commercial Mortgage Trust: | |||
sequential payer: | |||
Series 2006-C29 Class A1A, 5.297% 11/15/48 | 6,690,702 | 6,715,327 | |
Series 2007-C30 Class A5, 5.342% 12/15/43 | 24,454,000 | 24,653,848 | |
Series 2007-C31 Class A4, 5.509% 4/15/47 | 42,647,536 | 43,116,185 | |
Series 2007-C32 Class A3, 5.7021% 6/15/49 (c) | 40,608,000 | 41,522,914 | |
Series 2007-C33: | |||
Class A4, 5.9484% 2/15/51 (c) | 28,305,557 | 28,765,870 | |
Class A5, 5.9484% 2/15/51 (c) | 19,259,000 | 19,807,849 | |
Series 2004-C11: | |||
Class D, 5.6912% 1/15/41 (c) | 320,979 | 324,475 | |
Class E, 5.7412% 1/15/41 (c) | 327,000 | 335,175 | |
Wells Fargo Commercial Mortgage Trust: | |||
Series 2010-C1 Class XB, 0.5901% 11/15/43 (b)(c)(k) | 20,614,217 | 467,961 | |
Series 2012-LC5: | |||
Class C, 4.693% 10/15/45 (c) | 569,000 | 603,015 | |
Class D, 4.7762% 10/15/45 (b)(c) | 1,621,000 | 1,581,150 | |
Series 2013-LC12 Class C, 4.2971% 7/15/46 (c) | 760,000 | 788,285 | |
Series 2015-C31 Class XA, 1.1183% 11/15/48 (c)(k) | 38,565,084 | 2,892,559 | |
Series 2015-NXS4 Class E, 3.6025% 12/15/48 (b)(c) | 588,000 | 411,476 | |
Series 2016-BNK1: | |||
Class C, 3.071% 8/15/49 | 700,000 | 696,473 | |
Class D, 3% 8/15/49 (b) | 250,000 | 200,002 | |
Series 2016-C34 Class XA, 2.1922% 6/15/49 (c)(k) | 34,695,637 | 4,986,839 | |
Series 2016-C35 Class D, 3.142% 7/15/48 (b) | 924,000 | 662,348 | |
WF-RBS Commercial Mortgage Trust: | |||
sequential payer Series 2011-C4I Class G, 5% 6/15/44 (b) | 325,000 | 258,018 | |
Series 2011-C3: | |||
Class C, 5.335% 3/15/44 (b) | 360,000 | 390,644 | |
Class D, 5.6399% 3/15/44 (b)(c) | 800,000 | 840,234 | |
Class E, 5% 3/15/44 (b) | 890,000 | 820,310 | |
Class F, 5% 3/15/44 (b) | 693,000 | 549,871 | |
Series 2011-C4: | |||
Class D, 5.2482% 6/15/44 (b)(c) | 408,000 | 429,713 | |
Class E, 5.2482% 6/15/44 (b)(c) | 439,432 | 454,592 | |
Series 2011-C5: | |||
Class C, 5.6574% 11/15/44 (b)(c) | 260,000 | 288,836 | |
Class D, 5.6574% 11/15/44 (b)(c) | 600,000 | 654,482 | |
Class E, 5.6574% 11/15/44 (b)(c) | 1,853,000 | 1,914,075 | |
Class F, 5.25% 11/15/44 (b)(c) | 933,000 | 798,676 | |
Class G, 5.25% 11/15/44 (b)(c) | 329,000 | 260,775 | |
Class XA, 1.8567% 11/15/44 (b)(c)(k) | 4,302,212 | 297,522 | |
Series 2012-C10: | |||
Class D, 4.4531% 12/15/45 (b)(c) | 422,000 | 400,465 | |
Class E, 4.4531% 12/15/45 (b)(c) | 1,190,000 | 963,767 | |
Class F, 4.4531% 12/15/45 (b)(c) | 1,726,000 | 1,236,971 | |
Series 2012-C6 Class D, 5.5698% 4/15/45 (b)(c) | 540,000 | 557,229 | |
Series 2012-C7: | |||
Class C, 4.8361% 6/15/45 (c) | 1,270,000 | 1,391,588 | |
Class E, 4.8361% 6/15/45 (b)(c) | 2,501,000 | 2,456,101 | |
Class F, 4.5% 6/15/45 (b) | 357,000 | 267,121 | |
Class G, 4.5% 6/15/45 (b) | 1,076,000 | 760,869 | |
Series 2012-C8: | |||
Class D, 4.8735% 8/15/45 (b)(c) | 650,000 | 651,945 | |
Class E, 4.8735% 8/15/45 (b)(c) | 335,000 | 325,306 | |
Series 2013-C11: | |||
Class D, 4.1781% 3/15/45 (b)(c) | 870,000 | 808,841 | |
Class E, 4.1781% 3/15/45 (b)(c) | 1,750,000 | 1,317,336 | |
Series 2013-C13 Class D, 4.1386% 5/15/45 (b)(c) | 600,000 | 552,367 | |
Series 2013-C16 Class D, 4.9829% 9/15/46 (b)(c) | 193,000 | 189,526 | |
Series 2013-UBS1 Class D, 4.6282% 3/15/46 (b)(c) | 756,000 | 723,890 | |
Series 2014-C19 Class XA, 1.2541% 3/15/47 (c)(k) | 36,965,718 | 2,287,002 | |
Series 2014-C21 Class XA, 1.1677% 8/15/47 (c)(k) | 107,272,406 | 6,835,333 | |
WFCG Commercial Mortgage Trust floater Series 2015-BXRP: | |||
Class F, 4.2017% 11/15/29 (b)(c) | 1,054,900 | 1,016,070 | |
Class G, 3.5014% 11/15/29 (b)(c) | 249,062 | 230,470 | |
WP Glimcher Mall Trust Series 2015-WPG Class PR2, 3.516% 6/5/35 (b)(c) | 609,000 | 515,760 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES | |||
(Cost $1,024,572,470) | 1,028,414,829 | ||
Municipal Securities - 1.8% | |||
California Gen. Oblig.: | |||
Series 2009, 7.35% 11/1/39 | $2,650,000 | $4,115,609 | |
7.3% 10/1/39 | 27,595,000 | 42,701,883 | |
7.5% 4/1/34 | 9,105,000 | 14,053,659 | |
7.55% 4/1/39 | 18,745,000 | 30,544,603 | |
7.6% 11/1/40 | 29,220,000 | 48,207,740 | |
7.625% 3/1/40 | 10,110,000 | 16,320,169 | |
Chicago Gen. Oblig.: | |||
(Taxable Proj.): | |||
Series 2008 B, 5.63% 1/1/22 | 2,410,000 | 2,436,028 | |
Series 2010 C1, 7.781% 1/1/35 | 13,950,000 | 16,054,637 | |
Series 2012 B, 5.432% 1/1/42 | 3,285,000 | 3,034,453 | |
6.314% 1/1/44 | 19,560,000 | 19,902,691 | |
Illinois Gen. Oblig.: | |||
Series 2003: | |||
4.35% 6/1/18 | 6,431,333 | 6,567,485 | |
4.95% 6/1/23 | 24,240,000 | 25,575,624 | |
5.1% 6/1/33 | 63,045,000 | 61,467,614 | |
Series 2010-1, 6.63% 2/1/35 | 11,945,000 | 13,100,320 | |
Series 2010-3: | |||
5.547% 4/1/19 | 330,000 | 350,714 | |
6.725% 4/1/35 | 17,810,000 | 19,561,792 | |
7.35% 7/1/35 | 8,165,000 | 9,405,019 | |
Series 2010-5, 6.2% 7/1/21 | 8,160,000 | 8,853,600 | |
Series 2011: | |||
5.365% 3/1/17 | 395,000 | 402,651 | |
5.665% 3/1/18 | 21,275,000 | 22,356,621 | |
5.877% 3/1/19 | 77,850,000 | 84,460,244 | |
Series 2013: | |||
2.69% 12/1/17 | $3,365,000 | 3,388,992 | |
3.14% 12/1/18 | 3,490,000 | 3,519,840 | |
TOTAL MUNICIPAL SECURITIES | |||
(Cost $428,220,954) | 456,381,988 | ||
Foreign Government and Government Agency Obligations - 0.9% | |||
Argentine Republic: | |||
6.25% 4/22/19 (b) | $4,015,000 | $4,273,968 | |
6.875% 4/22/21 (b) | 8,675,000 | 9,408,038 | |
7% 4/17/17 | 13,390,000 | 13,717,311 | |
7.5% 4/22/26(b) | 975,000 | 1,087,125 | |
8.75% 5/7/24 | 1,165,000 | 1,346,813 | |
Azerbaijan Republic 4.75% 3/18/24 (b) | 760,000 | 780,900 | |
Belarus Republic 8.95% 1/26/18 | 5,335,000 | 5,575,075 | |
Brazilian Federative Republic: | |||
4.25% 1/7/25 | 11,895,000 | 11,895,000 | |
5.625% 1/7/41 | 13,460,000 | 13,594,600 | |
6% 4/7/26 | 830,000 | 926,488 | |
7.125% 1/20/37 | 4,305,000 | 5,122,950 | |
8.25% 1/20/34 | 5,840,000 | 7,665,000 | |
Buenos Aires Province: | |||
5.75% 6/15/19 (b) | 395,000 | 410,800 | |
9.375% 9/14/18 (b) | 1,110,000 | 1,218,225 | |
9.95% 6/9/21 (b) | 775,000 | 877,688 | |
10.875% 1/26/21 (Reg. S) | 6,535,000 | 7,564,263 | |
City of Buenos Aires 8.95% 2/19/21 (b) | 1,660,000 | 1,871,650 | |
Colombian Republic: | |||
5% 6/15/45 | 400,000 | 433,500 | |
5.625% 2/26/44 | 550,000 | 634,563 | |
6.125% 1/18/41 | 5,000 | 6,031 | |
7.375% 9/18/37 | 1,320,000 | 1,771,770 | |
10.375% 1/28/33 | 2,100,000 | 3,286,500 | |
Congo Republic 4% 6/30/29 (d) | 3,666,696 | 2,470,895 | |
Costa Rican Republic: | |||
4.25% 1/26/23 (b) | 270,000 | 267,975 | |
5.625% 4/30/43 (b) | 490,000 | 461,825 | |
7% 4/4/44 (b) | 1,450,000 | 1,587,750 | |
Croatia Republic: | |||
5.5% 4/4/23 (b) | 410,000 | 447,925 | |
6% 1/26/24 (b) | 600,000 | 673,980 | |
6.375% 3/24/21 (b) | 960,000 | 1,068,029 | |
6.625% 7/14/20 (b) | 770,000 | 854,333 | |
6.75% 11/5/19 (b) | 350,000 | 385,875 | |
Democratic Socialist Republic of Sri Lanka: | |||
6.25% 10/4/20 (b) | 830,000 | 871,505 | |
6.25% 7/27/21 (b) | 360,000 | 380,256 | |
Dominican Republic: | |||
1.8125% 8/30/24 (c) | 4,600,000 | 4,490,750 | |
6.85% 1/27/45 (b) | 1,395,000 | 1,583,325 | |
6.875% 1/29/26 (b) | 1,220,000 | 1,409,100 | |
7.45% 4/30/44 (b) | 2,240,000 | 2,688,000 | |
7.5% 5/6/21 (b) | 1,880,000 | 2,114,060 | |
El Salvador Republic: | |||
7.625% 2/1/41 (b) | 250,000 | 261,250 | |
7.65% 6/15/35 (Reg. S) | 50,000 | 53,250 | |
Georgia Republic 6.875% 4/12/21 (b) | 495,000 | 551,925 | |
German Federal Republic: | |||
0% 4/9/21(Reg. S) | EUR | 700,000 | 801,100 |
0% 8/15/26(Reg. S) | EUR | 300,000 | 337,218 |
4% 1/4/37 | EUR | 1,075,000 | 2,082,504 |
Guatemalan Republic 4.5% 5/3/26 (b) | 550,000 | 581,625 | |
Hungarian Republic: | |||
5.375% 3/25/24 | 594,000 | 680,902 | |
5.75% 11/22/23 | 1,310,000 | 1,526,936 | |
7.625% 3/29/41 | 870,000 | 1,326,750 | |
Indonesian Republic: | |||
2.625% 6/14/23 | EUR | 3,600,000 | 4,227,528 |
2.875% 7/8/21(Reg. S) | EUR | 3,850,000 | 4,616,569 |
3.375% 4/15/23 (b) | 555,000 | 571,693 | |
4.75% 1/8/26 (b) | 745,000 | 830,592 | |
5.25% 1/17/42 (b) | 715,000 | 822,073 | |
5.375% 10/17/23 | 725,000 | 836,585 | |
5.95% 1/8/46 (b) | 430,000 | 544,917 | |
6.625% 2/17/37 (b) | 1,550,000 | 2,026,205 | |
6.75% 1/15/44 (b) | 490,000 | 669,942 | |
7.75% 1/17/38 (b) | 2,545,000 | 3,670,427 | |
8.5% 10/12/35 (Reg. S) | 2,385,000 | 3,612,569 | |
Islamic Republic of Pakistan: | |||
7.25% 4/15/19 (b) | 2,485,000 | 2,654,032 | |
8.25% 4/15/24 (b) | 1,000,000 | 1,122,562 | |
Ivory Coast 5.75% 12/31/32 | 3,118,500 | 3,100,194 | |
Kazakhstan Republic: | |||
5.125% 7/21/25 (b) | 715,000 | 803,660 | |
6.5% 7/21/45 (b) | 645,000 | 805,528 | |
Lebanese Republic: | |||
4% 12/31/17 | 2,279,250 | 2,260,742 | |
5.45% 11/28/19 | 575,000 | 565,352 | |
Panamanian Republic: | |||
6.7% 1/26/36 | 320,000 | 445,600 | |
8.875% 9/30/27 | 285,000 | 430,350 | |
9.375% 4/1/29 | 365,000 | 573,050 | |
Perusahaan Penerbit SBSN 4.55% 3/29/26 (b) | 765,000 | 826,200 | |
Peruvian Republic 4% 3/7/27 (d) | 1,360,000 | 1,360,000 | |
Philippine Republic 9.5% 2/2/30 | 745,000 | 1,299,880 | |
Provincia de Cordoba: | |||
7.125% 6/10/21 (b) | 2,580,000 | 2,657,400 | |
12.375% 8/17/17 (b) | 1,269,000 | 1,370,520 | |
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,950,000 | 1,952,535 | |
Republic of Armenia: | |||
6% 9/30/20 (b) | 2,531,000 | 2,619,585 | |
7.15% 3/26/25 (b) | 995,000 | 1,070,093 | |
Republic of Iceland 5.875% 5/11/22 (b) | 560,000 | 653,986 | |
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 4,875,000 | 3,942,900 | |
Republic of Nigeria 5.125% 7/12/18 (b) | 1,330,000 | 1,343,300 | |
Republic of Serbia: | |||
6.75% 11/1/24 (b) | 1,965,269 | 1,991,376 | |
7.25% 9/28/21 (b) | 1,450,000 | 1,680,202 | |
Russian Federation: | |||
4.5% 4/4/22 (b) | 200,000 | 214,300 | |
4.875% 9/16/23 (b) | 1,335,000 | 1,460,223 | |
5% 4/29/20 (b) | 625,000 | 672,813 | |
5.625% 4/4/42 (b) | 1,000,000 | 1,144,796 | |
5.875% 9/16/43 (b) | 1,700,000 | 2,010,049 | |
12.75% 6/24/28 (Reg. S) | 6,340,000 | 11,421,256 | |
South African Republic 5.875% 5/30/22 | 250,000 | 279,583 | |
Turkish Republic: | |||
3.25% 3/23/23 | 245,000 | 232,549 | |
5.125% 3/25/22 | 515,000 | 540,879 | |
5.625% 3/30/21 | 1,325,000 | 1,421,063 | |
6.25% 9/26/22 | 1,080,000 | 1,197,450 | |
6.75% 5/30/40 | 1,375,000 | 1,641,310 | |
6.875% 3/17/36 | 1,795,000 | 2,142,404 | |
7% 6/5/20 | 635,000 | 706,285 | |
7.25% 3/5/38 | 1,150,000 | 1,438,765 | |
7.375% 2/5/25 | 1,055,000 | 1,269,019 | |
7.5% 11/7/19 | 1,765,000 | 1,979,469 | |
8% 2/14/34 | 760,000 | 1,004,446 | |
11.875% 1/15/30 | 1,305,000 | 2,207,786 | |
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) | 670,000 | 689,778 | |
Ukraine Government: | |||
0% 5/31/40 (b)(c) | 776,000 | 249,329 | |
7.75% 9/1/19 (b) | 505,000 | 501,869 | |
7.75% 9/1/20 (b) | 548,000 | 540,964 | |
7.75% 9/1/21 (b) | 444,000 | 435,697 | |
7.75% 9/1/22 (b) | 444,000 | 431,790 | |
7.75% 9/1/23 (b) | 444,000 | 432,345 | |
7.75% 9/1/24 (b) | 321,000 | 310,985 | |
7.75% 9/1/25 (b) | 321,000 | 309,027 | |
7.75% 9/1/26 (b) | 321,000 | 308,256 | |
7.75% 9/1/27 (b) | 421,000 | 402,055 | |
United Kingdom, Great Britain and Northern Ireland: | |||
1.5% 7/22/26(Reg. S) | GBP | 200,000 | 284,746 |
2% 9/7/25(Reg. S) | GBP | 1,285,000 | 1,904,957 |
4.25% 3/7/36 | GBP | 125,000 | 254,249 |
4.5% 9/7/34 | GBP | 2,135,000 | 4,381,652 |
United Mexican States 6.05% 1/11/40 | 670,000 | 866,813 | |
United Republic of Tanzania 6.8921% 3/9/20 (c) | 182,222 | 188,600 | |
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 1,015,000 | 1,461,601 | |
Venezuelan Republic: | |||
9.25% 9/15/27 | 2,870,000 | 1,442,175 | |
11.95% 8/5/31 (Reg. S) | 1,875,000 | 946,875 | |
12.75% 8/23/22 | 1,130,000 | 616,980 | |
Vietnamese Socialist Republic: | |||
1.75% 3/13/28 (c) | 195,000 | 187,200 | |
4% 3/12/28 (d) | 5,361,833 | 5,361,833 | |
4.8% 11/19/24 (b) | 1,000,000 | 1,085,119 | |
6.75% 1/29/20 (b) | 885,000 | 995,652 | |
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | |||
(Cost $219,448,297) | 238,960,440 | ||
Shares | Value | ||
Common Stocks - 0.0% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Media - 0.0% | |||
Tribune Media Co. Class A | 21,200 | 807,296 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Pacific Exploration and Production Corp. warrants | 30,100 | 96,320 | |
Southwestern Energy Co. (o) | 14,861 | 206,717 | |
Warrior Met Coal LLC Class A (p) | 2,289 | 321,811 | |
624,848 | |||
HEALTH CARE - 0.0% | |||
Health Care Providers & Services - 0.0% | |||
HealthSouth Corp. warrants 1/17/17 (o) | 43 | 108 | |
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 31,400 | 2,477,146 | |
TELECOMMUNICATION SERVICES - 0.0% | |||
Diversified Telecommunication Services - 0.0% | |||
FairPoint Communications, Inc. (o) | 19,400 | 270,436 | |
Wireless Telecommunication Services - 0.0% | |||
CUI Acquisition Corp. Class E, (o) | 1 | 34,600 | |
TOTAL TELECOMMUNICATION SERVICES | 305,036 | ||
UTILITIES - 0.0% | |||
Gas Utilities - 0.0% | |||
Southcross Holdings Borrower LP | 395 | 296,128 | |
TOTAL COMMON STOCKS | |||
(Cost $9,441,130) | 4,510,562 | ||
Preferred Stocks - 0.1% | |||
Convertible Preferred Stocks - 0.0% | |||
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Southwestern Energy Co. Series B 6.25% | 243,900 | 7,853,580 | |
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Alexandria Real Estate Equities, Inc. Series D, 7.00% | 9,000 | 313,290 | |
FelCor Lodging Trust, Inc. Series A, 1.95% | 17,900 | 450,543 | |
763,833 | |||
TOTAL CONVERTIBLE PREFERRED STOCKS | 8,617,413 | ||
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 | 387,000 | |
American Homes 4 Rent Series D, 6.50% | 24,500 | 664,440 | |
Annaly Capital Management, Inc. Series C, 7.625% | 27,600 | 702,972 | |
Boston Properties, Inc. 5.25% | 17,500 | 456,400 | |
CBL & Associates Properties, Inc. Series D, 7.375% | 7,720 | 196,860 | |
Cedar Shopping Centers, Inc. Series B, 7.25% | 10,000 | 258,700 | |
Corporate Office Properties Trust Series L, 7.375% | 12,221 | 323,123 | |
CYS Investments, Inc. Series B, 7.50% | 17,000 | 412,250 | |
DDR Corp. Series K, 6.25% | 17,823 | 470,527 | |
Digital Realty Trust, Inc. Series E, 7.00% | 10,000 | 253,400 | |
Equity Lifestyle Properties, Inc. Series C, 6.75% | 39,667 | 1,040,069 | |
Hospitality Properties Trust Series D, 7.125% | 10,000 | 258,000 | |
LaSalle Hotel Properties Series H, 7.50% | 10,000 | 257,000 | |
MFA Financial, Inc. Series B, 7.50% | 22,500 | 580,725 | |
PS Business Parks, Inc. Series S, 6.45% | 21,000 | 543,270 | |
Public Storage Series S, 5.90% | 20,000 | 514,800 | |
Realty Income Corp. Series F, 6.625% | 12,000 | 313,920 | |
Regency Centers Corp. Series 6, 6.625% | 5,510 | 142,709 | |
Retail Properties America, Inc. Series A, 7.00% | 24,109 | 662,756 | |
Sabra Health Care REIT, Inc. Series A, 7.125% | 18,495 | 499,365 | |
Stag Industrial, Inc. Series A, 9.00% | 20,000 | 520,000 | |
Sun Communities, Inc. Series A, 7.125% | 34,701 | 909,166 | |
Taubman Centers, Inc. Series J, 6.50% | 11,338 | 297,396 | |
10,664,848 | |||
TOTAL PREFERRED STOCKS | |||
(Cost $15,162,887) | 19,282,261 | ||
Principal Amount(a) | Value | ||
Bank Loan Obligations - 5.1% | |||
CONSUMER DISCRETIONARY - 1.6% | |||
Auto Components - 0.0% | |||
Federal-Mogul Corp. Tranche C, term loan 4.75% 4/15/21 (c) | 1,475,417 | 1,404,922 | |
North American Lifting Holdings, Inc.: | |||
Tranche 1LN, term loan 5.5% 11/27/20 (c) | 4,588,489 | 3,498,723 | |
Tranche 2LN, term loan 10% 11/27/21 (c) | 1,594,000 | 1,052,040 | |
Tower Automotive Holdings U.S.A. LLC term loan 4% 4/23/20 (c) | 905,699 | 900,038 | |
6,855,723 | |||
Automobiles - 0.0% | |||
Chrysler Group LLC term loan 3.25% 12/31/18 (c) | 750,577 | 751,140 | |
Distributors - 0.0% | |||
American Builders & Contractors Supply Co., Inc. Tranche B, term loan 3.5% 4/16/20 (c) | 938,018 | 939,837 | |
Diversified Consumer Services - 0.2% | |||
Bright Horizons Family Solutions Tranche B 2LN, term loan 4.2502% 1/30/20 (c) | 1,482,425 | 1,484,649 | |
Bright Horizons Family Solutions, Inc. Tranche B, term loan 3.7501% 1/30/20 (c) | 1,076,270 | 1,079,133 | |
Coinmach Service Corp. Tranche B, term loan 4.25% 11/14/19 (c) | 7,345,159 | 7,269,871 | |
Creative Artists Agency LLC Tranche B, term loan 5% 12/17/21 (c) | 3,892,720 | 3,902,452 | |
KC Mergersub, Inc.: | |||
Tranche 1LN, term loan 6% 8/13/22 (c) | 2,979,994 | 2,972,544 | |
Tranche L 2LN, term loan 10.25% 8/13/23 (c) | 1,000,000 | 965,000 | |
Laureate Education, Inc. Tranche B, term loan 8.1571% 3/17/21 (c) | 13,391,052 | 13,303,206 | |
Nord Anglia Education Tranche B, term loan 5% 3/31/21 (c) | 6,860,480 | 6,851,905 | |
The ServiceMaster Co. Tranche B, term loan 4.25% 7/1/21 (c) | 4,795,776 | 4,824,551 | |
Wash Multifamily Acquisition, Inc.: | |||
Tranche B 1LN, term loan 4.25% 5/14/22 (c) | 3,783,886 | 3,764,966 | |
Tranche B 2LN, term loan 8% 5/14/23 (c) | 360,000 | 354,600 | |
Weight Watchers International, Inc. Tranche B 2LN, term loan 4% 4/2/20(c) | 4,310,625 | 3,295,214 | |
50,068,091 | |||
Hotels, Restaurants & Leisure - 0.6% | |||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 4.75% 5/30/21 (c) | 6,732,557 | 6,538,996 | |
Affinity Gaming LLC Tranche B, term loan 5% 7/1/23 (c) | 2,000,000 | 1,999,160 | |
American Casino & Entertainment Properties LLC Tranche B, term loan 4.75% 7/7/22 (c) | 1,307,034 | 1,313,569 | |
Aristocrat International Pty Ltd. Tranche B 1LN, term loan 3.5% 10/20/21 (c) | 4,647,092 | 4,656,758 | |
Boyd Gaming Corp. Tranche B 2LN, term loan 3.5431% 10/31/23 (c) | 2,240,000 | 2,248,400 | |
Burger King Worldwide, Inc. Tranche B, term loan 3.75% 12/12/21 (c) | 2,828,022 | 2,838,627 | |
Caesars Entertainment Resort Properties LLC Tranche B 1LN, term loan 7% 10/11/20 (c) | 11,703,133 | 11,436,185 | |
Caesars Growth Properties Holdings, LLC Tranche 1LN, term loan 6.25% 5/8/21 (c) | 16,626,139 | 15,981,876 | |
CCM Merger, Inc. Tranche B, term loan 4.5% 8/8/21 (c) | 2,198,670 | 2,209,663 | |
CityCenter Holdings LLC Tranche B, term loan 4.25% 10/16/20 (c) | 1,034,691 | 1,040,082 | |
ClubCorp Club Operations, Inc. Tranche B, term loan 4.25% 12/15/22 (c) | 2,000,000 | 2,007,500 | |
Eldorado Resorts, Inc. Tranche B, term loan 4.25% 7/23/22 (c) | 1,980,000 | 1,980,000 | |
Equinox Holdings, Inc. Tranche B 1LN, term loan 5% 2/1/20 (c) | 4,571,033 | 4,588,174 | |
ESH Hospitality, Inc. Tranche B, term loan 8/30/23 (q) | 2,730,000 | 2,735,678 | |
Four Seasons Holdings, Inc.: | |||
Tranche 2LN, term loan 6.25% 12/27/20 (c) | 3,037,000 | 3,043,317 | |
Tranche B 1LN, term loan 3.588% 6/27/20(c) | 7,123,701 | 7,134,387 | |
Golden Nugget, Inc. Tranche B, term loan: | |||
5.5% 11/21/19 (c) | 4,403,106 | 4,422,391 | |
5.5% 11/21/19 (c) | 1,886,649 | 1,894,913 | |
Graton Economic Development Authority Tranche B, term loan 4.75% 9/1/22 (c) | 4,671,890 | 4,680,673 | |
Hilton Worldwide Finance LLC: | |||
Tranche B 2LN, term loan 3.0964% 10/25/23 (c) | 2,835,194 | 2,847,952 | |
Tranche B, term loan 3.5% 10/25/20 (c) | 2,096,109 | 2,101,789 | |
La Quinta Intermediate Holdings LLC Tranche B LN, term loan 3.75% 4/14/21 (c) | 3,575,374 | 3,532,183 | |
Landry's Restaurants, Inc. Tranche B, term loan 4% 4/24/18 (c) | 3,180,802 | 3,182,392 | |
Las Vegas Sands LLC Tranche B, term loan 3.25% 12/19/20 (c) | 992,366 | 995,473 | |
LTF Merger Sub, Inc. Tranche B, term loan 4.25% 6/10/22 (c) | 3,588,289 | 3,590,549 | |
MGM Mirage, Inc. Tranche A, term loan 3.2744% 4/25/21 (c) | 1,840,000 | 1,814,700 | |
Mohegan Tribal Gaming Authority Tranche B, term loan 5.5% 6/15/18 (c) | 8,123,277 | 8,109,061 | |
Planet Fitness Holdings, LLC. Tranche B, term loan 4.5% 3/31/21 (c) | 2,495,205 | 2,510,800 | |
Playa Resorts Holding BV Tranche B, term loan 4% 8/9/19 (c) | 1,599,019 | 1,589,697 | |
Red Lobster Hospitality LLC Tranche B, term loan 6.25% 7/28/21 (c) | 3,364,379 | 3,372,790 | |
Scientific Games Corp.: | |||
Tranche B 2LN, term loan 6% 10/1/21 (c) | 13,917,065 | 13,907,462 | |
Tranche B, term loan 6% 10/18/20 (c) | 1,498,579 | 1,498,579 | |
SMG Tranche B 1LN, term loan 4.5042% 2/27/20 (c) | 1,549,918 | 1,505,358 | |
Station Casinos LLC Tranche B, term loan 3.75% 6/8/23 (c) | 6,220,000 | 6,223,919 | |
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (c) | 1,852,142 | 1,842,881 | |
Tropicana Entertainment, Inc. Tranche B, term loan 4% 11/27/20 (c) | 1,496,911 | 1,496,911 | |
Yonkers Racing Corp. Tranche B 1LN, term loan 4.25% 8/20/19 (c) | 475,725 | 470,173 | |
143,343,018 | |||
Household Durables - 0.0% | |||
Wilsonart LLC Tranche B, term loan 4% 10/31/19 (c) | 2,097,400 | 2,094,778 | |
Internet & Catalog Retail - 0.0% | |||
Bass Pro Group LLC Tranche B, term loan 4% 6/5/20 (c) | 1,976,977 | 1,966,262 | |
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 4% 8/19/23 (c) | 5,440,000 | 5,450,227 | |
Zayo Group LLC/Zayo Capital, Inc. Tranche B, term loan 3.75% 5/6/21 (c) | 680,520 | 681,030 | |
8,097,519 | |||
Leisure Products - 0.0% | |||
SRAM LLC. Tranche B, term loan 4.0184% 4/10/20 (c) | 2,828,011 | 2,707,821 | |
Media - 0.5% | |||
Acosta, Inc. Tranche B, term loan 4.25% 9/26/21 (c) | 9,909,762 | 9,633,081 | |
Altice U.S. Finance SA Tranche B, term loan 4.25% 12/14/22 (c) | 1,739,341 | 1,745,864 | |
AMC Entertainment, Inc. Tranche B, term loan 4% 12/15/22 (c) | 1,985,000 | 1,996,176 | |
CDS U.S. Intermediate Holdings, Inc.: | |||
Tranche B 1LN, term loan 5% 7/8/22 (c) | 1,839,093 | 1,817,630 | |
Tranche B 2LN, term loan 9.25% 7/8/23 (c) | 465,000 | 420,825 | |
Cengage Learning, Inc. Tranche B, term loan 5.25% 6/7/23 (c) | 6,215,000 | 6,203,378 | |
Charter Communication Operating LLC: | |||
Tranche H, term loan 3.25% 8/24/21 (c) | 997,500 | 1,000,413 | |
Tranche I, term loan 3.5% 1/24/23 (c) | 6,319,163 | 6,350,758 | |
Charter Communications Operating LLC: | |||
Tranche E, term loan 3% 7/1/20 (c) | 1,478,142 | 1,480,404 | |
Tranche F, term loan 3% 1/3/21 (c) | 4,415,232 | 4,418,279 | |
Clear Channel Communications, Inc. Tranche D, term loan 7.2744% 1/30/19 (c) | 16,730,000 | 12,823,545 | |
CSC Holdings LLC Tranche B, term loan 5% 10/9/22 (c) | 1,995,000 | 2,010,381 | |
Getty Images, Inc. Tranche B, term loan 4.75% 10/18/19 (c) | 5,168,680 | 4,376,786 | |
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 4% 5/29/21 (c) | 3,533,577 | 3,504,884 | |
ION Media Networks, Inc. Tranche B, term loan 4.75% 12/18/20 (c) | 1,438,474 | 1,440,272 | |
JD Power & Associates Tranche B 1LN, term loan 5.25% 6/9/23 (c) | 780,000 | 782,925 | |
Karman Buyer Corp.: | |||
Tranche 1LN, term loan 4.25% 7/25/21 (c) | 3,644,111 | 3,614,047 | |
Tranche 2LN, term loan 7.5% 7/25/22 (c) | 2,880,000 | 2,738,390 | |
Liberty Cablevision of Puerto Rico Tranche 1LN, term loan 4.5% 1/7/22 (c) | 1,620,000 | 1,595,700 | |
McGraw-Hill Global Education Holdings, LLC term loan 5% 5/4/22 (c) | 7,940,000 | 7,974,777 | |
Numericable LLC: | |||
Tranche B 1LN, term loan 4.564% 7/20/22 (c) | 992,500 | 992,679 | |
Tranche B 6LN, term loan 4.7515% 2/10/23 (c) | 3,980,000 | 3,989,950 | |
Tranche B, term loan 5.0015% 1/15/24 (c) | 6,618,413 | 6,653,159 | |
Proquest LLC Tranche B, term loan 5.75% 10/24/21 (c) | 3,958,190 | 3,916,946 | |
Regal Cinemas Corp. Tranche B, term loan 3.5% 4/1/22 (c) | 992,500 | 995,974 | |
Springer Science+Business Media Deutschland GmbH Tranche B 9LN, term loan 4.75% 8/14/20 (c) | 14,295,192 | 13,830,598 | |
Trader Corp. Tranche B 1LN, term loan 8/9/23 (q) | 2,500,000 | 2,501,575 | |
Univision Communications, Inc. Tranche C 4LN, term loan 4% 3/1/20 (c) | 4,050,268 | 4,047,960 | |
Virgin Media Investment Holdings Ltd. Tranche B, term loan 3.6492% 6/30/23 (c) | 1,013,348 | 1,013,207 | |
WideOpenWest Finance LLC Tranche B, term loan 4.5% 8/19/23 (c) | 9,910,000 | 9,860,450 | |
Ziggo B.V.: | |||
Tranche B 1LN, term loan 3.6519% 1/15/22 (c) | 1,945,681 | 1,935,952 | |
Tranche B 2LN, term loan 3.6559% 1/15/22 (c) | 1,254,447 | 1,248,175 | |
Tranche B 3LN, term loan 3.7014% 1/15/22 (c) | 2,062,872 | 2,052,558 | |
Ziggo Secured Finance Partnership Tranche D, term loan 8/31/24 (q) | 4,295,000 | 4,278,894 | |
133,246,592 | |||
Multiline Retail - 0.1% | |||
Dollar Tree, Inc. Tranche B 1LN, term loan 3.5% 7/6/22 (c) | 2,747,879 | 2,751,891 | |
JC Penney Corp., Inc. Tranche B, term loan 5.25% 6/23/23 (c) | 19,320,000 | 19,392,450 | |
Sears Holdings Corp. Tranche ABL, term loan 5.5% 6/30/18 (c) | 9,062,677 | 8,779,469 | |
30,923,810 | |||
Specialty Retail - 0.2% | |||
ABB Optical Group LLC Tranche B, term loan 6% 6/15/23 (c) | 1,140,000 | 1,143,568 | |
Academy Ltd. Tranche B, term loan 5% 7/2/22 (c) | 5,205,759 | 5,078,894 | |
Davids Bridal, Inc. Tranche B, term loan 5.00% 10/11/19(c) | 1,863,830 | 1,741,135 | |
General Nutrition Centers, Inc. Tranche B, term loan 3.25% 3/4/19 (c) | 1,640,014 | 1,620,875 | |
J. Crew Group, Inc. Tranche B, term loan 4% 3/5/21 (c) | 3,982,882 | 3,138,511 | |
Party City Holdings, Inc. Tranche B, term loan 4.4717% 8/19/22 (c) | 5,119,784 | 5,125,364 | |
Petco Holdings, Inc. Tranche B 1LN, term loan 5% 1/26/23 (c) | 4,987,469 | 5,028,316 | |
PetSmart, Inc. Tranche B, term loan 4.25% 3/11/22 (c) | 14,300,016 | 14,320,322 | |
Sports Authority, Inc. Tranche B, term loan 7.5% 11/16/17 (c)(e) | 3,137,000 | 920,176 | |
38,117,161 | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Hercules Achievement, Inc. Tranche B, term loan 5% 12/11/21 (c) | 3,413,049 | 3,421,581 | |
Samsonite IP Holdings SARL Tranche B, term loan 4% 5/13/23 (c) | 1,175,000 | 1,186,750 | |
4,608,331 | |||
TOTAL CONSUMER DISCRETIONARY | 421,753,821 | ||
CONSUMER STAPLES - 0.3% | |||
Beverages - 0.0% | |||
Blue Ribbon LLC Tranche B 1LN, term loan 5% 11/13/21 (c) | 5,930,150 | 5,970,950 | |
Food & Staples Retailing - 0.3% | |||
Albertson's LLC: | |||
Tranche B 4LN, term loan 4.5% 8/25/21 (c) | 18,913,442 | 18,986,826 | |
Tranche B 5LN, term loan 4.75% 12/21/22 (c) | 6,652,625 | 6,688,416 | |
Tranche B 6LN, term loan 4.75% 6/22/23 (c) | 5,908,571 | 5,939,769 | |
BJ's Wholesale Club, Inc.: | |||
Tranche 2LN, term loan 8.5% 3/31/20 (c) | 649,890 | 650,975 | |
Tranche B 1LN, term loan 4.5% 9/26/19 (c) | 5,776,693 | 5,771,090 | |
Candy Intermediate Holdings, Inc. Tranche B 1LN, term loan 5.5% 6/15/23 (c) | 3,000,000 | 2,994,390 | |
CTI Foods Holdings Co. LLC Tranche 1LN, term loan 4.5% 6/28/20 (c) | 1,072,224 | 1,029,335 | |
GOBP Holdings, Inc.: | |||
Tranche 2LN, term loan 9.25% 10/21/22 (c) | 1,129,000 | 1,123,355 | |
Tranche B 1LN, term loan 5% 10/21/21 (c) | 3,893,099 | 3,839,568 | |
Pizza Hut Holdings LLC Tranche B, term loan 3.2574% 6/16/23 (c) | 3,000,000 | 3,017,670 | |
Shearer's Foods, Inc.: | |||
Tranche 2LN, term loan 7.75% 6/30/22 (c) | 2,913,000 | 2,621,700 | |
Tranche B 1LN, term loan 4.9375% 6/30/21 (c) | 3,366,601 | 3,345,560 | |
Smart & Final, Inc. Tranche B, term loan 4% 11/15/19 (c) | 2,378,000 | 2,376,026 | |
SUPERVALU, Inc. Tranche B, term loan 5.5% 3/21/19 (c) | 1,040,526 | 1,040,838 | |
U.S. Foods, Inc. Tranche B, term loan 4% 6/27/23 (c) | 3,500,000 | 3,515,330 | |
62,940,848 | |||
Food Products - 0.0% | |||
AdvancePierre Foods, Inc. Tranche B 1LN, term loan 4.5% 6/2/23 (c) | 1,954,154 | 1,967,344 | |
Hostess Brands LLC: | |||
Tranche B 1LN, term loan 4.5% 8/3/22 (c) | 1,061,975 | 1,067,019 | |
Tranche B 2LN, term loan 8.5% 8/3/23 (c) | 125,000 | 125,156 | |
JBS U.S.A. LLC Tranche B, term loan 4% 10/30/22 (c) | 1,492,500 | 1,488,142 | |
Keurig Green Mountain, Inc. Tranche B, term loan 5.25% 3/3/23 (c) | 3,361,667 | 3,391,922 | |
8,039,583 | |||
Personal Products - 0.0% | |||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (c) | 2,580,207 | 2,578,607 | |
TOTAL CONSUMER STAPLES | 79,529,988 | ||
ENERGY - 0.2% | |||
Energy Equipment & Services - 0.0% | |||
Cactus Wellhead LLC Tranche B, term loan 7% 7/31/20 (c) | 4,027,801 | 3,040,990 | |
Drillships Ocean Ventures, Inc. Tranche B, term loan 5.5% 7/25/21 (c) | 3,114,784 | 2,097,277 | |
Expro Finservices S.a.r.l. Tranche B, term loan 5.75% 9/2/21 (c) | 2,986,531 | 2,365,900 | |
Pacific Drilling SA Tranche B, term loan 4.5% 6/3/18 (c) | 1,354,465 | 358,933 | |
Seadrill Operating LP Tranche B, term loan 4% 2/21/21 (c) | 4,549,194 | 2,179,837 | |
10,042,937 | |||
Oil, Gas & Consumable Fuels - 0.2% | |||
Alfred Fueling Systems, Inc. Tranche B 1LN, term loan 4.5% 6/20/21 (c) | 961,650 | 959,650 | |
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (c) | 2,149,800 | 2,139,051 | |
California Resources Corp. Tranche 1LN, term loan 12/31/21 (q) | 4,615,000 | 4,834,213 | |
Chesapeake Energy Corp. Tranche 1LN, term loan 8.5% 8/16/21 (c) | 5,220,000 | 5,383,125 | |
Chief Exploration & Development, LLC. Tranche 2LN, term loan 7.5% 5/16/21 (c) | 1,882,000 | 1,685,952 | |
Citgo Holding, Inc. Tranche B, term loan 9.5% 5/12/18 (c) | 2,595,390 | 2,610,806 | |
Citgo Petroleum Corp. Tranche B, term loan 4.5% 7/29/21 (c) | 527,940 | 518,569 | |
Crestwood Holdings Partners LLC Tranche B, term loan 9% 6/19/19 (c) | 8,188,846 | 7,431,377 | |
Energy Transfer Equity LP Tranche C, term loan 4.0424% 12/2/19 (c) | 2,797,824 | 2,773,343 | |
Foresight Energy LLC Tranche B, term loan 7.5% 8/23/20 (c) | 1,105,000 | 983,450 | |
Houston Fuel Oil Terminal Co. Tranche B, term loan 4.25% 8/19/21 (c) | 6,789,913 | 6,518,316 | |
Moxie Patriot LLC Tranche B, term loan 6.75% 12/19/20 (c) | 9,696,158 | 9,211,350 | |
Overseas Shipholding Group, Inc. Tranche B, term loan 5.25% 8/5/19 (c) | 433,949 | 429,609 | |
Panda Temple Power, LLC term loan 7.25% 4/3/19 (c) | 1,014,900 | 923,559 | |
Peabody Energy Corp. Tranche B, term loan 0% 9/24/20 (c)(e) | 2,582,518 | 1,776,411 | |
Southcross Energy Partners LP Tranche B, term loan 5.25% 8/4/21 (c) | 1,699,980 | 1,371,323 | |
Targa Resources Corp. term loan 5.75% 2/27/22 (c) | 1,470,512 | 1,470,512 | |
Western Refining, Inc. Tranche B, term loan 5.25% 11/12/20 (c) | 829,242 | 809,034 | |
51,829,650 | |||
TOTAL ENERGY | 61,872,587 | ||
FINANCIALS - 0.4% | |||
Capital Markets - 0.0% | |||
HarbourVest Partners LLC Tranche B, term loan 3.25% 2/4/21 (c) | 836,772 | 834,680 | |
IBC Capital U.S. LLC: | |||
Tranche 2LN, term loan 8% 9/11/22 (c) | 2,505,000 | 2,229,450 | |
Tranche B 1LN, term loan 4.75% 9/11/21 (c) | 1,969,075 | 1,895,235 | |
4,959,365 | |||
Diversified Financial Services - 0.1% | |||
Assuredpartners, Inc. Tranche B 1LN, term loan 5.75% 10/22/22 (c) | 3,579,092 | 3,591,011 | |
Delos Finance SARL Tranche B LN, term loan 3.5% 3/6/21 (c) | 4,118,000 | 4,129,777 | |
Energy & Minerals Group Tranche B, term loan 4.75% 3/27/20 (c) | 473,270 | 460,255 | |
Flying Fortress Holdings, Inc. Tranche B, term loan 3.5% 4/30/20 (c) | 2,000,000 | 2,005,000 | |
NMSC Holdings, Inc. Tranche B 1LN, term loan 6% 4/19/23 (c) | 1,395,317 | 1,405,782 | |
TransUnion LLC Tranche B 2LN, term loan 3.5% 4/9/21 (c) | 4,944,425 | 4,958,862 | |
UFC Holdings LLC: | |||
Tranche 2LN, term loan 8.5% 8/18/24 (c) | 1,235,000 | 1,242,336 | |
Tranche B 1LN, term loan 5% 8/18/23 (c) | 4,500,000 | 4,509,000 | |
VF Holdings Corp. Tranche B 1LN, term loan 4.75% 6/30/23 (c) | 1,500,000 | 1,502,295 | |
23,804,318 | |||
Insurance - 0.1% | |||
Alliant Holdings Intermediate LLC Tranche B, term loan 4.5% 8/14/22 (c) | 3,975,000 | 3,958,106 | |
Asurion LLC: | |||
Tranche B 1LN, term loan 5% 5/24/19 (c) | 3,534,379 | 3,536,323 | |
Tranche B 2LN, term loan 4.25% 7/8/20 (c) | 939,926 | 935,057 | |
Tranche B 2LN, term loan 8.5% 3/3/21 (c) | 2,770,000 | 2,758,920 | |
Tranche B 4LN, term loan 5% 8/4/22 (c) | 5,920,763 | 5,918,632 | |
HUB International Ltd. Tranche B 1LN, term loan 4% 10/2/20 (c) | 5,855,306 | 5,831,534 | |
Lonestar Intermediate Super Holdings LLC term loan 10% 8/10/21 pay-in-kind | 1,955,000 | 1,944,736 | |
24,883,308 | |||
Real Estate Investment Trusts - 0.1% | |||
Communications Sales & Leasing, Inc. Tranche B, term loan 5% 10/24/22 (c) | 4,907,582 | 4,907,582 | |
iStar Financial, Inc. Tranche B, term loan 5.5% 7/1/20 (c) | 1,235,000 | 1,242,719 | |
6,150,301 | |||
Real Estate Management & Development - 0.1% | |||
Americold Realty Operating Partnership LP Tranche B, term loan 5.75% 12/1/22 (c) | 2,490,650 | 2,515,557 | |
DTZ U.S. Borrower LLC: | |||
Tranche 2LN, term loan 9.25% 11/4/22 (c) | 1,882,000 | 1,893,763 | |
Tranche B 1LN, term loan 4.25% 11/4/21 (c) | 6,761,242 | 6,725,340 | |
MGM Growth Properties Operating Partner LP Tranche B, term loan 4% 4/25/23 (c) | 7,286,738 | 7,345,323 | |
Realogy Group LLC Tranche B, term loan 3.75% 7/20/22 (c) | 8,175,000 | 8,215,875 | |
26,695,858 | |||
Thrifts& Mortgage Finance - 0.0% | |||
Ocwen Loan Servicing, LLC Tranche B, term loan 5.5% 2/15/18 (c) | 1,285,608 | 1,279,579 | |
TOTAL FINANCIALS | 87,772,729 | ||
HEALTH CARE - 0.5% | |||
Biotechnology - 0.0% | |||
AMAG Pharmaceuticals, Inc. Tranche B, term loan 4.75% 8/17/21 (c) | 2,638,612 | 2,638,612 | |
Health Care Equipment & Supplies - 0.1% | |||
Alere, Inc. Tranche B, term loan 4.25% 6/18/22 (c) | 1,374,683 | 1,357,499 | |
American Renal Holdings, Inc. Tranche B 1LN, term loan 4.75% 8/20/19 (c) | 1,997,349 | 1,964,892 | |
DJO Finance LLC Tranche B 1LN, term loan 4.25% 6/7/20 (c) | 3,993,777 | 3,847,325 | |
Hill-Rom Holdings, Inc. Tranche B, term loan 3.5% 9/8/22 (c) | 1,320,000 | 1,327,154 | |
Ortho-Clinical Diagnostics, Inc. Tranche B, term loan 4.75% 6/30/21 (c) | 3,270,000 | 3,190,310 | |
11,687,180 | |||
Health Care Providers & Services - 0.2% | |||
AmSurg Corp. Tranche B, term loan 3.5% 7/16/21 (c) | 2,402,057 | 2,403,066 | |
Community Health Systems, Inc.: | |||
Tranche F, term loan 4.0834% 12/31/18 (c) | 878,235 | 864,877 | |
Tranche G, term loan 3.75% 12/31/19 (c) | 1,960,952 | 1,882,514 | |
Tranche H, term loan 4% 1/27/21 (c) | 10,177,105 | 9,751,804 | |
Concentra, Inc. Tranche B 1LN, term loan 4% 6/1/22 (c) | 990,000 | 991,238 | |
Emergency Medical Services Corp. Tranche B, term loan 4.25% 5/25/18 (c) | 1,867,497 | 1,867,497 | |
Gold Merger Co., Inc. Tranche B, term loan 4.75% 7/27/23 (c) | 855,000 | 857,138 | |
HCA Holdings, Inc.: | |||
Tranche B 6LN, term loan 3.7744% 3/18/23 (c) | 7,980,000 | 8,071,770 | |
Tranche B 7LN, term loan 3.567% 2/15/24 (c) | 3,000,000 | 3,027,000 | |
HCR Healthcare LLC Tranche B, term loan 5% 4/6/18 (c) | 3,409,164 | 2,846,652 | |
Jaguar Holding Co. II/Pharmaceutical Product Development LLC Tranche B, term loan 4.25% 8/18/22 (c) | 2,151,409 | 2,157,326 | |
Kindred Healthcare, Inc. Tranche B, term loan 4.25% 4/9/21 (c) | 3,538,569 | 3,500,246 | |
Milk Specialties Co. Tranche B, term loan 6% 8/16/23 (c) | 1,695,000 | 1,697,119 | |
MPH Acquisition Holdings LLC Tranche B, term loan 5% 6/7/23 (c) | 2,500,000 | 2,526,050 | |
Onex Schumacher Finance LP Tranche B 1LN, term loan 5% 7/31/22 (c) | 2,979,994 | 2,989,917 | |
Precyse Acquisition Corp. Tranche B, term loan 6.5% 10/20/22 (c) | 1,500,000 | 1,504,695 | |
Surgery Center Holdings, Inc. Tranche B 1LN, term loan 5.25% 11/3/20 (c) | 225,565 | 225,565 | |
U.S. Renal Care, Inc.: | |||
Tranche 2LN, term loan 9% 12/31/23 (c) | 3,000,000 | 2,940,000 | |
Tranche B 1LN, term loan 5.25% 12/31/22 (c) | 6,408,897 | 6,168,564 | |
Vizient, Inc. Tranche B, term loan 6.25% 2/11/23 (c) | 3,990,000 | 4,032,414 | |
60,305,452 | |||
Life Sciences Tools & Services - 0.0% | |||
Patheon, Inc. Tranche B, term loan 4.25% 3/11/21 (c) | 7,028,422 | 6,997,708 | |
Pharmaceuticals - 0.2% | |||
Alvogen Pharma U.S., Inc. Tranche B 1LN, term loan 6% 4/2/22 (c) | 2,366,544 | 2,365,077 | |
Avantor Performance Materials Holdings, Inc. Tranche B 1LN, term loan 6% 6/21/22 (c) | 1,500,000 | 1,497,195 | |
Endo Pharmaceuticals, Inc. Tranche B, term loan 3.75% 9/25/22 (c) | 4,676,500 | 4,648,722 | |
Grifols, S.A. Tranche B, term loan 3.443% 2/27/21 (c) | 1,471,421 | 1,481,353 | |
Horizon Pharmaceuticals, Inc. Tranche B, term loan 4.5% 5/7/21 (c) | 3,039,312 | 3,031,714 | |
PRA Holdings, Inc. Tranche B, term loan 4.5% 9/23/20 (c) | 3,811,711 | 3,827,910 | |
Valeant Pharmaceuticals International, Inc.: | |||
Tranche A 3LN, term loan 4.28% 10/20/18 (c) | 3,867,388 | 3,864,178 | |
Tranche B, term loan 5.5% 4/1/22 (c) | 11,147,561 | 11,161,495 | |
Tranche BD 2LN, term loan 5% 2/13/19 (c) | 5,224,331 | 5,215,607 | |
Tranche E, term loan 5.25% 8/5/20 (c) | 4,734,580 | 4,725,727 | |
41,818,978 | |||
TOTAL HEALTH CARE | 123,447,930 | ||
INDUSTRIALS - 0.5% | |||
Aerospace & Defense - 0.1% | |||
Camp International Holding Co.: | |||
Tranche 1LN, term loan 4.75% 8/18/23 (c) | 2,500,000 | 2,482,300 | |
Tranche 2LN, term loan 8.25% 8/18/24 (c) | 295,000 | 294,263 | |
DigitalGlobe, Inc. Tranche B, term loan 4.75% 1/31/20 (c) | 504,183 | 507,334 | |
Doncasters PLC Tranche B 2LN, term loan 9.5% 10/9/20 (c) | 271,338 | 254,718 | |
Gemini HDPE LLC Tranche B, term loan 4.75% 8/7/21 (c) | 1,997,456 | 1,994,960 | |
TransDigm, Inc.: | |||
Tranche C, term loan 3.75% 2/28/20 (c) | 3,127,975 | 3,120,499 | |
Tranche D, term loan 3.75% 6/4/21 (c) | 6,011,931 | 5,995,939 | |
Tranche E, term loan 3.75% 5/14/22 (c) | 992,826 | 990,066 | |
Tranche F, term loan 3.75% 6/9/23 (c) | 1,500,000 | 1,496,250 | |
17,136,329 | |||
Airlines - 0.0% | |||
American Airlines, Inc. Tranche B, term loan 3.5% 10/10/21 (c) | 1,965,150 | 1,966,074 | |
Building Products - 0.1% | |||
GCP Applied Technologies, Inc. Tranche B, term loan 4% 2/3/22 (c) | 997,500 | 1,009,969 | |
GYP Holdings III Corp. Tranche 1LN, term loan 4.75% 4/1/21 (c) | 6,942,657 | 6,925,301 | |
Jeld-Wen, Inc. Tranche B, term loan 4.75% 7/1/22 (c) | 992,500 | 996,639 | |
LBM Borrower LLC Tranche B 1LN, term loan 6.25% 8/20/22 (c) | 7,313,503 | 7,273,279 | |
Ply Gem Industries, Inc. Tranche B, term loan 4% 2/1/21 (c) | 740,449 | 741,145 | |
16,946,333 | |||
Commercial Services & Supplies - 0.2% | |||
ADS Waste Holdings, Inc. Tranche B 2LN, term loan 3.75% 10/9/19 (c) | 3,547,356 | 3,542,177 | |
Apollo Security Service Borrower LLC Tranche B 1LN, term loan 4.75% 5/2/22 (c) | 10,330,000 | 10,397,765 | |
ARAMARK Corp. Tranche F, term loan 3.25% 2/24/21 (c) | 1,478,315 | 1,482,469 | |
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 4.75% 11/26/20 (c) | 5,664,448 | 5,592,226 | |
Garda World Security Corp.: | |||
term loan 4.0039% 11/8/20 (c) | 7,638,858 | 7,514,727 | |
Tranche DD, term loan 4.0039% 11/8/20 (c) | 1,589,474 | 1,563,645 | |
GCA Services Group, Inc. Tranche B 1LN, term loan 5.75% 3/1/23 (c) | 2,244,375 | 2,257,460 | |
Harland Clarke Holdings Corp. Tranche B 5LN, term loan 7% 12/31/19 (c) | 3,765,000 | 3,692,825 | |
KAR Auction Services, Inc. Tranche B 3LN, term loan 4.25% 3/9/23 (c) | 2,009,963 | 2,033,841 | |
Lineage Logistics Holdings, LLC. Tranche B, term loan 4.5% 4/7/21 (c) | 12,786,738 | 12,531,003 | |
Merrill Communications LLC Tranche B, term loan 6.25% 6/1/22 (c) | 1,844,535 | 1,687,750 | |
Metal Services LLC Tranche B, term loan 8.5% 6/30/19 (c) | 1,100,114 | 1,080,862 | |
The Brickman Group, Ltd.: | |||
Tranche 2LN, term loan 7.5% 12/18/21 (c) | 560,000 | 551,600 | |
Tranche B 1LN, term loan 4% 12/18/20 (c) | 4,376,835 | 4,349,918 | |
WTG Holdings III Corp.: | |||
term loan 5.5% 1/15/21 (c) | 1,496,250 | 1,503,731 | |
Tranche B 1LN, term loan 4.75% 1/15/21 (c) | 549,545 | 550,919 | |
60,332,918 | |||
Construction & Engineering - 0.0% | |||
Drumm Investors LLC Tranche B, term loan 9.5% 5/4/18 (c) | 2,793,489 | 2,737,619 | |
Ventia Deco LLC Tranche B, term loan 5% 5/21/22 (c) | 3,164,375 | 3,176,241 | |
5,913,860 | |||
Machinery - 0.1% | |||
Generac Power Systems, Inc. Tranche B, term loan 3.5% 5/31/20 (c) | 1,287,713 | 1,286,104 | |
Onex Wizard U.S. Acquisition, Inc. Tranche B, term loan 4.25% 3/13/22 (c) | 3,938,700 | 3,942,520 | |
Rexnord LLC Tranche B, term loan 4% 8/21/20 (c) | 3,243,586 | 3,242,386 | |
The Gates Corp. Tranche B 1LN, term loan 4.25% 7/3/21 (c) | 545,183 | 536,324 | |
Wireco Worldgroup, Inc. Tranche B 1LN, term loan 7/21/23 (q) | 1,495,000 | 1,496,241 | |
10,503,575 | |||
Marine - 0.0% | |||
American Commercial Barge Line Tranche B 1LN, term loan 9.75% 11/12/20 (c) | 2,552,688 | 2,437,817 | |
Navios Partners Finance (U.S.), Inc. Tranche B, term loan 5.25% 6/27/18 (c) | 2,978,800 | 2,656,107 | |
5,093,924 | |||
Professional Services - 0.0% | |||
AlixPartners LLP Tranche B, term loan 4.5% 7/28/22 (c) | 2,109,063 | 2,119,608 | |
Research Now Group, Inc.: | |||
Tranche 2LN, term loan 9.75% 3/18/22 (c) | 285,000 | 273,600 | |
Tranche B 1LN, term loan 5.5% 3/18/21 (c) | 864,063 | 838,141 | |
Science Applications International Corp. Tranche B, term loan 3.25% 5/4/22 (c) | 1,405,732 | 1,416,275 | |
4,647,624 | |||
Road & Rail - 0.0% | |||
YRC Worldwide, Inc. Tranche B, term loan 8% 2/13/19 (c) | 1,456,136 | 1,368,768 | |
Trading Companies & Distributors - 0.0% | |||
Beacon Roofing Supply, Inc. Tranche B, term loan 4% 10/1/22 (c) | 4,505,950 | 4,517,215 | |
Fly Funding II Sarl Tranche B, term loan 3.54% 8/9/19 (c) | 2,215,360 | 2,215,360 | |
6,732,575 | |||
TOTAL INDUSTRIALS | 130,641,980 | ||
INFORMATION TECHNOLOGY - 0.6% | |||
Communications Equipment - 0.0% | |||
Mitel U.S. Holdings, Inc. Tranche B, term loan 5.5% 4/29/22 (c) | 1,600,140 | 1,610,141 | |
Electronic Equipment & Components - 0.1% | |||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (c) | 2,935,519 | 2,901,761 | |
Lux FinCo U.S. SPV: | |||
Tranche 2LN, term loan 9.5% 10/16/23 (c) | 500,000 | 492,500 | |
Tranche B 1LN, term loan 5% 10/16/22 (c) | 2,409,920 | 2,411,438 | |
TTM Technologies, Inc. Tranche B 1LN, term loan 6% 5/31/21 (c) | 11,997,038 | 12,012,034 | |
17,817,733 | |||
Internet Software & Services - 0.1% | |||
Abacus Innovations Corp. Tranche B, term loan 3.2744% 8/16/23 (c) | 2,000,000 | 2,009,380 | |
Datapipe, Inc. Tranche B 1LN, term loan 5.75% 3/15/19 (c) | 6,271,719 | 6,230,953 | |
EIG Investors Corp. Tranche B 1LN, term loan 6% 2/9/23 (c) | 5,930,050 | 5,371,617 | |
TCH-2 Holdings, LLC. Tranche B 1LN, term loan 5.5% 5/12/21 (c) | 937,028 | 937,028 | |
Uber Technologies, Inc. Tranche B, term loan 5% 7/13/23 (c) | 14,685,000 | 14,694,252 | |
29,243,230 | |||
IT Services - 0.1% | |||
Ceridian HCM Holding, Inc. Tranche B 2LN, term loan 4.5% 9/15/20 (c) | 5,813,745 | 5,610,264 | |
Computer Discount Warehouse (CDW) LLC Tranche B, term loan 3% 8/17/23 (c) | 1,848,353 | 1,842,955 | |
First Data Corp. Tranche B, term loan 4.2722% 7/10/22 (c) | 12,500,000 | 12,534,375 | |
G.I. Peak Merger Sub Corp.: | |||
Tranche 2LN, term loan 8.25% 6/17/22 (c) | 515,000 | 466,935 | |
Tranche B 1LN, term loan 5% 6/17/21 (c) | 2,644,748 | 2,623,272 | |
Global Payments, Inc. Tranche B, term loan 3.9957% 4/22/23 (c) | 2,410,000 | 2,425,665 | |
RP Crown Parent, LLC Tranche B, term loan 6% 12/21/18 (c) | 460,000 | 459,425 | |
WEX, Inc. Tranche B, term loan 4.25% 7/1/23 (c) | 3,500,000 | 3,524,360 | |
29,487,251 | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
Avago Technologies Cayman Finance Ltd. Tranche B 3LN, term loan 3.5076% 2/1/23 (c) | 4,734,872 | 4,775,639 | |
Cavium, Inc. Tranche B, term loan 3.75% 8/16/22 (c) | 2,095,000 | 2,100,238 | |
Micron Technology, Inc. Tranche B, term loan 6.64% 4/26/22 (c) | 1,250,000 | 1,261,975 | |
Microsemi Corp. Tranche B, term loan 3.75% 1/15/23 (c) | 1,740,471 | 1,751,157 | |
NXP BV: | |||
Tranche B 2LN, term loan 3.75% 12/7/20 (c) | 2,132,803 | 2,144,128 | |
Tranche D, term loan 3.25% 1/11/20 (c) | 1,848,489 | 1,853,110 | |
13,886,247 | |||
Software - 0.2% | |||
Applied Systems, Inc.: | |||
Tranche B 1LN, term loan 4% 1/23/21 (c) | 433,691 | 434,233 | |
Tranche B 2LN, term loan 7.5% 1/23/22 (c) | 114,733 | 115,055 | |
BMC Software Finance, Inc. Tranche B, term loan: | |||
5% 9/10/20 (c) | 216,534 | 206,069 | |
5% 9/10/20 (c) | 3,702,501 | 3,530,482 | |
Epicor Software Corp.: | |||
Tranche B, term loan 4.75% 6/1/22 (c) | 6,031,805 | 5,915,692 | |
Tranche B2 1LN, term loan 5% 6/1/22 (c) | 1,500,000 | 1,475,625 | |
Kronos, Inc.: | |||
Tranche 2LN, term loan 9.75% 4/30/20 (c) | 6,685,089 | 6,820,863 | |
Tranche B 1LN, term loan 4.5% 10/30/19 (c) | 5,116,317 | 5,133,662 | |
Renaissance Learning, Inc.: | |||
Tranche 1LN, term loan 4.5% 4/9/21 (c) | 6,435,758 | 6,414,327 | |
Tranche 2LN, term loan 8% 4/9/22 (c) | 3,653,000 | 3,573,839 | |
SolarWinds Holdings, Inc. Tranche B, term loan 5.5% 2/5/23 (c) | 3,000,000 | 3,009,750 | |
Solera LLC Tranche B, term loan 5.75% 3/3/23 (c) | 3,241,875 | 3,259,251 | |
Sophia L.P. Tranche B, term loan 4.75% 9/30/22 (c) | 4,962,500 | 4,964,584 | |
SS&C Technologies, Inc.: | |||
Tranche B 1LN, term loan 4.0002% 7/8/22 (c) | 2,324,113 | 2,338,639 | |
Tranche B 2LN, term loan 4.0001% 7/8/22 (c) | 296,088 | 297,938 | |
Sybil Software LLC. Tranche B, term loan 8/3/22 (q) | 5,465,000 | 5,470,137 | |
52,960,146 | |||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Dell International LLC: | |||
Tranche B 2LN, term loan 4% 4/29/20 (c) | 9,902,245 | 9,931,951 | |
Tranche B, term loan 4% 6/2/23 (c) | 4,000,000 | 4,021,440 | |
Oberthur Technologies Tranche B 2LN, term loan 4.5% 10/18/19 (c) | 2,536,344 | 2,524,448 | |
Western Digital Corp. Tranche B 1LN, term loan 4.5% 4/29/23 (c) | 2,200,000 | 2,211,396 | |
18,689,235 | |||
TOTAL INFORMATION TECHNOLOGY | 163,693,983 | ||
MATERIALS - 0.4% | |||
Chemicals - 0.1% | |||
A. Schulman, Inc. Tranche B, term loan 4.2315% 6/1/22 (c) | 1,752,813 | 1,751,726 | |
American Rock Salt Co. LLC Tranche B 1LN, term loan 4.75% 5/20/21 (c) | 2,761,451 | 2,624,538 | |
Chromaflo Technologies Corp.: | |||
Tranche 2LN, term loan 8.25% 6/2/20 (c) | 751,971 | 676,774 | |
Tranche B 1LN, term loan 4.5% 12/2/19 (c) | 969,969 | 966,332 | |
Hilex Poly Co. LLC Tranche B 1LN, term loan 6% 12/5/21 (c) | 5,079,495 | 5,104,893 | |
Kraton Polymers LLC Tranche B, term loan 6% 1/6/22 (c) | 3,975,000 | 3,977,504 | |
MacDermid, Inc.: | |||
Tranche B 1LN, term loan 5.5% 6/7/20 (c) | 1,129,179 | 1,128,479 | |
Tranche B 2LN, term loan 5.5% 6/7/20 (c) | 2,590,682 | 2,587,444 | |
Tranche B 3LN, term loan 5.5% 6/7/20 (c) | 4,469,981 | 4,467,746 | |
Nexeo Solutions LLC Tranche B, term loan 5.25% 6/9/23 (c) | 860,000 | 862,692 | |
Royal Holdings, Inc.: | |||
Tranche B 1LN, term loan 4.5% 6/19/22 (c) | 2,113,650 | 2,118,279 | |
Tranche B 2LN, term loan 8.5% 6/19/23 (c) | 175,000 | 172,375 | |
Styrolution U.S. Holding LLC Tranche B, term loan 6.5% 11/7/19 (c) | 4,063,125 | 4,068,204 | |
The Chemours Co. LLC Tranche B, term loan 3.75% 5/12/22 (c) | 1,370,905 | 1,350,630 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. Tranche B 1LN, term loan 4.25% 11/5/21 (c) | 1,603,800 | 1,610,311 | |
Tronox Pigments (Netherlands) B.V. Tranche B, term loan 4.5% 3/19/20 (c) | 1,014,769 | 1,002,085 | |
U.S. Coatings Acquisition, Inc. Tranche B, term loan 3.75% 2/1/20 (c) | 459,821 | 461,812 | |
Univar, Inc. Tranche B, term loan 4.25% 7/1/22 (c) | 1,225,738 | 1,223,543 | |
36,155,367 | |||
Containers & Packaging - 0.2% | |||
Anchor Glass Container Corp. Tranche B, term loan 4.75% 7/1/22 (c) | 2,686,975 | 2,703,769 | |
Ardagh Holdings U.S.A., Inc. Tranche B, term loan 4% 12/17/19 (c) | 5,703,836 | 5,723,457 | |
Berlin Packaging, LLC: | |||
Tranche 2LN, term loan 7.75% 10/1/22 (c) | 1,129,000 | 1,121,470 | |
Tranche B 1LN, term loan 4.5% 10/1/21 (c) | 6,052,945 | 6,054,034 | |
Berry Plastics Corp.: | |||
Tranche G, term loan 3.5% 1/6/21 (c) | 3,552,000 | 3,543,688 | |
Tranche H, term loan 3.75% 10/1/22 (c) | 6,011,310 | 6,007,583 | |
BWAY Holding Co. Tranche B, term loan 5.5% 8/14/20 (c) | 3,999,039 | 4,011,556 | |
Caraustar Industries, Inc. Tranche B, term loan 8% 5/1/19 (c) | 706,400 | 710,228 | |
Charter NEX U.S. Holdings, Inc. Tranche 2LN, term loan 9.25% 2/5/23 (c) | 556,024 | 536,563 | |
Consolidated Container Co. Tranche B, term loan 5% 7/3/19 (c) | 4,971,301 | 4,909,160 | |
Printpack Holdings, Inc. Tranche B, term loan 5% 7/26/23 (c) | 1,080,000 | 1,081,350 | |
Reynolds Group Holdings, Inc. Tranche B, term loan 4.25% 2/5/23 (c) | 3,965,000 | 3,968,727 | |
Signode Packaging Systems, Inc. Tranche B, term loan 3.75% 5/1/21 (c) | 2,084,611 | 2,078,107 | |
42,449,692 | |||
Metals & Mining - 0.1% | |||
Ameriforge Group, Inc.: | |||
Tranche B 1LN, term loan 5% 12/19/19 (c) | 2,588,282 | 1,216,493 | |
Tranche B 2LN, term loan 8.75% 12/19/20 (c) | 1,296,000 | 176,580 | |
Doncasters Group, LLC Tranche B 1LN, term loan 4.5% 4/9/20 (c) | 1,598,073 | 1,570,107 | |
Fortescue Metals Group Ltd. Tranche B, term loan 3.75% 6/30/19 (c) | 3,509,408 | 3,488,562 | |
Gulf Finance LLC Tranche B 1LN, term loan 6.25% 8/17/23 (c) | 6,000,000 | 5,809,980 | |
JMC Steel Group, Inc. Tranche B, term loan 6% 6/14/21 (c) | 3,500,000 | 3,524,080 | |
Murray Energy Corp.: | |||
Tranche B 1LN, term loan 7.75% 4/16/17 (c) | 770,102 | 713,307 | |
Tranche B 2LN, term loan 8.25% 4/16/20(c) | 9,130,733 | 7,532,854 | |
Oxbow Carbon LLC Tranche 2LN, term loan 8% 1/19/20 (c) | 722,000 | 707,560 | |
Walter Energy, Inc. Tranche B, term loan 0% 4/1/18 (c)(e) | 2,094,809 | 0 | |
24,739,523 | |||
TOTAL MATERIALS | 103,344,582 | ||
TELECOMMUNICATION SERVICES - 0.3% | |||
Diversified Telecommunication Services - 0.2% | |||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (c) | 6,737,542 | 6,729,120 | |
Integra Telecom Holdings, Inc.: | |||
Tranche 2LN, term loan 9.75% 2/14/21 (c) | 500,000 | 473,440 | |
Tranche B 1LN, term loan 5.25% 8/14/20 (c) | 5,951,193 | 5,888,706 | |
Level 3 Financing, Inc.: | |||
Tranche B 2LN, term loan 3.5% 5/31/22 (c) | 3,764,000 | 3,781,239 | |
Tranche B 3LN, term loan 4% 8/1/19 (c) | 2,742,000 | 2,753,434 | |
Tranche B 4LN, term loan 4% 1/15/20 (c) | 3,011,000 | 3,026,055 | |
LTS Buyer LLC: | |||
Tranche 2LN, term loan 8% 4/12/21 (c) | 163,000 | 162,796 | |
Tranche B 1LN, term loan 4% 4/11/20 (c) | 10,315,444 | 10,299,352 | |
Sable International Finance Ltd.: | |||
Tranche B 1LN, term loan 5.5% 12/31/22 (c) | 2,475,000 | 2,488,415 | |
Tranche B 2LN, term loan 5.83% 12/31/22 (c) | 2,025,000 | 2,035,976 | |
Securus Technologies Holdings, Inc.: | |||
Tranche 2LN, term loan 9% 4/30/21 (c) | 5,224,000 | 4,871,380 | |
Tranche B 1LN, term loan 4.75% 4/30/20 (c) | 2,795,884 | 2,732,976 | |
Securus Technologies, Inc. Tranche B2 1LN, term loan 5.25% 4/30/20 (c) | 2,782,897 | 2,720,282 | |
47,963,171 | |||
Wireless Telecommunication Services - 0.1% | |||
Digicel International Finance Ltd.: | |||
Tranche D 1LN, term loan 4.1875% 3/31/17 (c) | 690,951 | 656,404 | |
Tranche D 2LN, term loan 4.1311% 3/31/19 (c) | 4,119,049 | 3,913,096 | |
Intelsat Jackson Holdings SA Tranche B 2LN, term loan 3.75% 6/30/19 (c) | 11,760,000 | 11,154,007 | |
Syniverse Holdings, Inc. Tranche B, term loan 4% 4/23/19 (c) | 2,516,420 | 2,235,411 | |
T-Mobile U.S.A., Inc. Tranche B, term loan 3.5% 11/9/22 (c) | 2,075,000 | 2,088,301 | |
Telenet Financing USD LLC term loan 4.25% 6/30/24 (c) | 3,000,000 | 3,008,580 | |
23,055,799 | |||
TOTAL TELECOMMUNICATION SERVICES | 71,018,970 | ||
UTILITIES - 0.3% | |||
Electric Utilities - 0.2% | |||
Alinta Energy Finance Pty. Ltd. Tranche B, term loan: | |||
6.375% 8/13/18 (c) | 281,822 | 280,413 | |
6.375% 8/13/19 (c) | 4,254,286 | 4,233,015 | |
Calpine Construction Finance Co. LP Tranche B 1LN, term loan 3% 5/3/20 (c) | 2,980,856 | 2,940,794 | |
Dynegy Finance IV, Inc. Tranche C, term loan 5% 6/27/23 (c) | 7,500,000 | 7,501,200 | |
Empire Generating Co. LLC: | |||
Tranche B, term loan 5.25% 3/14/21 (c) | 3,309,319 | 2,812,921 | |
Tranche C, term loan 5.25% 3/14/21 (c) | 263,000 | 223,550 | |
Essential Power LLC Tranche B, term loan 4.75% 8/8/19 (c) | 6,150,439 | 6,135,063 | |
Exgen Texas Power LLC Tranche B, term loan 5.75% 9/18/21 (c) | 4,486,089 | 3,600,087 | |
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 6.5% 11/13/21 (c) | 3,042,000 | 2,867,085 | |
InterGen NV Tranche B, term loan 5.5% 6/13/20 (c) | 5,343,599 | 4,835,958 | |
Longview Power LLC Tranche B, term loan 7% 4/13/21 (c) | 1,980,000 | 1,742,400 | |
Texas Competitive Electric Holdings Co. LLC: | |||
term loan 5% 10/31/17 (c) | 1,485,714 | 1,489,057 | |
Tranche B, term loan 5% 10/31/17 (c) | 6,514,286 | 6,528,943 | |
USIC Holdings, Inc. Tranche B, term loan 4% 7/10/20 (c) | 584,804 | 578,956 | |
45,769,442 | |||
Gas Utilities - 0.0% | |||
EP Energy LLC Tranche B 3LN, term loan 9.75% 6/30/21 (c) | 1,812,000 | 1,782,555 | |
Southcross Holdings Borrower LP Tranche B, term loan 9% 4/13/23 | 355,686 | 299,961 | |
2,082,516 | |||
Independent Power and Renewable Electricity Producers - 0.1% | |||
APLP Holdings LP Tranche B, term loan 6% 4/13/23 (c) | 2,892,309 | 2,902,432 | |
Calpine Corp.: | |||
Tranche B 5LN, term loan 3.5% 5/28/22 (c) | 1,485,000 | 1,485,416 | |
Tranche B 6LN, term loan 4% 1/1/23 (c) | 3,656,625 | 3,674,140 | |
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 12/19/16 (c) | 4,653,000 | 4,670,449 | |
ExGen Renewables I, LLC Tranche B term loan 5.25% 2/6/21 (c) | 1,237,399 | 1,245,133 | |
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (c) | 6,805,149 | 6,600,995 | |
Terra-Gen Finance Co. LLC Tranche B, term loan 5.25% 12/9/21 (c) | 2,803,578 | 2,367,286 | |
TerraForm AP Acquisition Holdings LLC Tranche B, term loan 7% 6/26/22 (c) | 2,805,327 | 2,749,221 | |
25,695,072 | |||
TOTAL UTILITIES | 73,547,030 | ||
TOTAL BANK LOAN OBLIGATIONS | |||
(Cost $1,322,117,479) | 1,316,623,600 | ||
Sovereign Loan Participations - 0.0% | |||
Indonesian Republic loan participation: | |||
Citibank 1.6875% 12/14/19 (c) | 703,337 | 689,270 | |
Goldman Sachs 1.6875% 12/14/19 (c) | 602,778 | 590,722 | |
Mizuho 1.6875% 12/14/19 (c) | 282,632 | 276,979 | |
TOTAL SOVEREIGN LOAN PARTICIPATIONS | |||
(Cost $1,486,698) | 1,556,971 | ||
Bank Notes - 0.6% | |||
Capital One NA 1.65% 2/5/18 | 18,801,000 | 18,827,378 | |
Discover Bank: | |||
(Delaware) 3.2% 8/9/21 | $25,781,000 | $26,483,584 | |
3.1% 6/4/20 | 22,584,000 | 23,233,064 | |
8.7% 11/18/19 | 2,958,000 | 3,431,647 | |
JPMorgan Chase Bank 6% 10/1/17 | 11,313,000 | 11,860,470 | |
KeyBank NA 6.95% 2/1/28 | 1,977,000 | 2,585,331 | |
Marshall & Ilsley Bank 5% 1/17/17 | 14,669,000 | 14,847,346 | |
RBS Citizens NA 2.5% 3/14/19 | 11,319,000 | 11,489,113 | |
Regions Bank 7.5% 5/15/18 | 24,647,000 | 26,910,482 | |
Wachovia Bank NA 6% 11/15/17 | 2,243,000 | 2,364,180 | |
TOTAL BANK NOTES | |||
(Cost $137,898,786) | 142,032,595 | ||
Preferred Securities - 0.8% | |||
CONSUMER DISCRETIONARY - 0.0% | |||
Automobiles - 0.0% | |||
Volkswagen International Finance NV 2.5%(Reg. S) (c)(f) | EUR | $1,525,000 | $1,702,464 |
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (f) | 3,057,000 | 3,071,704 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Total SA 2.625% (Reg. S) (c)(f) | EUR | 2,150,000 | 2,404,145 |
FINANCIALS - 0.8% | |||
Banks - 0.7% | |||
Allied Irish Banks PLC 7.375% (Reg. S) (c)(f) | EUR | 2,390,000 | 2,454,580 |
Banco Do Brasil SA 9% (b)(c)(f) | 1,265,000 | 1,157,744 | |
Bank of America Corp.: | |||
6.1% (c)(f) | 8,141,000 | 8,784,935 | |
6.25% (c)(f) | 5,325,000 | 5,754,039 | |
6.5% (c)(f) | 3,000,000 | 3,340,095 | |
Barclays Bank PLC 7.625% 11/21/22 | 35,375,000 | 40,481,042 | |
Barclays PLC: | |||
6.625% (c)(f) | 19,750,000 | 19,064,519 | |
7.875% (Reg. S) (c)(f) | 2,500,000 | 2,506,162 | |
8.25% (c)(f) | 5,470,000 | 5,698,878 | |
BNP Paribas SA 7.375% (b)(c)(f) | 3,830,000 | 3,907,003 | |
Citigroup, Inc.: | |||
5.875% (c)(f) | 4,305,000 | 4,478,165 | |
5.95% (c)(f) | 12,150,000 | 12,766,596 | |
5.95% (c)(f) | 2,285,000 | 2,332,696 | |
6.125% (c)(f) | 6,140,000 | 6,517,868 | |
6.3% (c)(f) | 7,100,000 | 7,480,988 | |
Credit Agricole SA: | |||
6.625% (b)(c)(f) | 18,240,000 | 17,933,968 | |
6.625% (Reg. S) (c)(f) | 5,790,000 | 5,692,855 | |
7.875% (b)(c)(f) | 4,250,000 | 4,414,601 | |
8.125% 9/19/33 (Reg. S) (c) | 2,500,000 | 2,828,001 | |
Intesa Sanpaolo SpA 7% (Reg. S) (c)(f) | EUR | 2,180,000 | 2,403,511 |
JPMorgan Chase & Co.: | |||
5.3% (c)(f) | 3,245,000 | 3,369,412 | |
6% (c)(f) | 7,955,000 | 8,426,368 | |
6.1% (c)(f) | 2,440,000 | 2,666,139 | |
Royal Bank of Scotland Group PLC: | |||
7.5% (c)(f) | 6,490,000 | 6,232,604 | |
8.625% (c)(f) | 2,795,000 | 2,861,897 | |
183,554,666 | |||
Capital Markets - 0.0% | |||
Goldman Sachs Group, Inc. 5.375% (c)(f) | 3,250,000 | 3,339,865 | |
UBS Group AG 7.125% (Reg. S) (c)(f) | 1,650,000 | 1,705,628 | |
5,045,493 | |||
Consumer Finance - 0.1% | |||
American Express Co. 4.9% (c)(f) | 6,100,000 | 6,154,204 | |
Diversified Financial Services - 0.0% | |||
Magnesita Finance Ltd.: | |||
8.625% (b)(f) | 650,000 | 552,398 | |
8.625% (Reg. S) (f) | 200,000 | 169,969 | |
722,367 | |||
TOTAL FINANCIALS | 195,476,730 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd.: | |||
7.5% (b)(f) | 7,735,000 | 3,373,260 | |
7.5% (Reg. S) (f) | 100,000 | 43,610 | |
3,416,870 | |||
MATERIALS - 0.0% | |||
Metals & Mining - 0.0% | |||
CSN Islands XII Corp. 7% (Reg. S) (f) | 2,600,000 | 1,471,097 | |
TOTAL PREFERRED SECURITIES | |||
(Cost $204,947,628) | 207,543,010 | ||
Shares | Value | ||
Money Market Funds - 6.5% | |||
Fidelity Cash Central Fund, 0.42% (r) | |||
(Cost $1,668,097,710) | 1,668,097,710 | 1,668,097,710 |
Purchased Swaptions - 0.0% | ||||
Expiration Date | Notional Amount(a) | Value | ||
Put Options - 0.0% | ||||
Option on a credit default swap with Deutsche Bank AG to buy protection on the 5-Year iTraxx Europe Crossover Series 25 Index expiring June 2021 exercise rate 3.375% | 10/19/16 | $24,550,000 | $166,944 | |
Option on a credit default swap with Goldman Sachs Bank U.S.A. to buy protection on the 5-Year iTraxx Europe Crossover Series 25 Index expiring June 2021 3.25% | 11/16/16 | 23,500,000 | 305,409 | |
TOTAL PURCHASED SWAPTIONS | ||||
(Cost $842,932) | 472,353 | |||
TOTAL INVESTMENT PORTFOLIO - 102.9% | ||||
(Cost $25,678,777,101) | 26,438,217,232 | |||
NET OTHER ASSETS (LIABILITIES) - (2.9)% | (734,518,245) | |||
NET ASSETS - 100% | $25,703,698,987 |
TBA Sale Commitments | ||
Principal Amount(a) | Value | |
Fannie Mae | ||
3% 9/1/31 | $(9,200,000) | $(9,631,668) |
3% 9/1/46 | (4,200,000) | (4,355,203) |
3% 9/1/46 | (5,000,000) | (5,184,766) |
3% 9/1/46 | (34,700,000) | (35,982,273) |
3% 9/1/46 | (4,000,000) | (4,147,812) |
3% 9/1/46 | (80,500,000) | (83,474,725) |
3% 9/1/46 | (4,450,000) | (4,614,441) |
3% 9/1/46 | (25,400,000) | (26,338,609) |
3.5% 9/1/46 | (9,200,000) | (9,692,349) |
TOTAL TBA SALE COMMITMENTS | ||
(Proceeds $183,397,307) | $(183,421,846) |
Futures Contracts | |||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/(Depreciation) | |
Purchased | |||
Bond Index Contracts | |||
18 Eurex Euro-Bobl Contracts (Germany) | Sept. 2016 | 2,682,233 | $(1,703) |
17 Eurex Euro-Buxl 30 Year Bond Contracts (Germany) | Sept. 2016 | 3,659,412 | 271,072 |
64 TME 10 Year Canadian Note Contracts (Canada) | Dec. 2016 | 7,162,788 | 10,026 |
3 TSE 10 Year Japanese Government Bond Index Contracts (Japan) | Sept. 2016 | 4,390,180 | (17,060) |
TOTAL BOND INDEX CONTRACTS | 262,335 | ||
Treasury Contracts | |||
35 ASX 10 Year Treasury Bond Index Contracts (Australia) | Sept. 2016 | 3,627,195 | 68,846 |
51 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 6,677,016 | (19,617) |
153 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 33,401,813 | (29,245) |
185 CBOT 5-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 22,431,250 | (49,149) |
23 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2016 | 3,918,625 | (14,245) |
17 CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 2,454,375 | (5,083) |
3 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2016 | 562,406 | (544) |
TOTAL TREASURY CONTRACTS | (49,037) | ||
TOTAL PURCHASED | 213,298 | ||
Sold | |||
Bond Index Contracts | |||
30 Eurex Euro-Bund Contracts (Germany) | Sept. 2016 | 5,601,121 | 6,331 |
3 ICE Long Gilt Contracts (United Kingdom) | Dec. 2016 | 518,156 | 45 |
145 ICE Medium Gilt Contracts (United Kingdom) | Dec. 2016 | 22,117,648 | (16,698) |
TOTAL BOND INDEX CONTRACTS | (10,322) | ||
Treasury Contracts | |||
668 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 87,455,813 | 249,097 |
164 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Dec. 2016 | 35,803,250 | 30,683 |
106 CBOT Long Term U.S. Treasury Bond Contracts (United States) | Dec. 2016 | 18,059,750 | 65,194 |
TOTAL TREASURY CONTRACTS | 344,974 | ||
TOTAL SOLD | 334,652 | ||
TOTAL FUTURES CONTRACTS | $547,950 |
The face value of futures purchased as a percentage of Net Assets is 0.4%
The face value of futures sold as a percentage of Net Assets is 0.7%
Foreign Currency Contracts | ||||||
Settlement Date | Currency | Counterparty | Type | Quantity | Contract Amount* | Unrealized Appreciation/(Depreciation) |
9/1/16 | JPY | Citibank, N.A. | Sell | 360,000 | $3,506 | $26 |
9/2/16 | EUR | Citibank, N.A. | Buy | 421,000 | 469,268 | 337 |
11/18/16 | AUD | Citibank, N.A. | Sell | 173,000 | 132,217 | 2,444 |
11/18/16 | CAD | Citibank, N.A. | Sell | 145,000 | 112,555 | 1,943 |
11/18/16 | EUR | Citibank, N.A. | Sell | 421,000 | 470,815 | (359) |
11/18/16 | EUR | Goldman Sachs Bank USA | Buy | 255,000 | 289,593 | (4,203) |
11/18/16 | EUR | Goldman Sachs Bank USA | Sell | 349,000 | 389,885 | (708) |
11/18/16 | EUR | Goldman Sachs Bank USA | Sell | 95,310,000 | 107,778,359 | 1,109,630 |
11/18/16 | EUR | JPMorgan Chase Bank, N.A. | Sell | 100,000 | 113,317 | 1,400 |
11/18/16 | EUR | JPMorgan Chase Bank, N.A. | Sell | 329,000 | 372,274 | 4,065 |
11/18/16 | GBP | Goldman Sachs Bank USA | Sell | 667,000 | 875,294 | (2,013) |
11/18/16 | GBP | Goldman Sachs Bank USA | Sell | 38,691,000 | 50,574,167 | (316,247) |
11/18/16 | GBP | JPMorgan Chase Bank, N.A. | Buy | 1,125,000 | 1,486,585 | (6,869) |
11/18/16 | GBP | JPMorgan Chase Bank, N.A. | Sell | 1,019,000 | 1,346,019 | 5,724 |
11/18/16 | JPY | JPMorgan Chase Bank, N.A. | Sell | 1,800,000 | 18,046 | 591 |
$795,761 |
*Amount in U.S. Dollars unless otherwise noted
Swaps
Underlying Reference | Rating(1) | Expiration Date | Clearinghouse/Counterparty(2) | Fixed Payment Received/(Paid) | Notional Amount(3) | Value(1) | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Credit Default Swaps | ||||||||
Buy Protection | ||||||||
5-Year iTraxx Europe Series 25 Index | Jun. 2021 | ICE | (1)% | EUR 8,300,000 | $(56,736) | $0 | $(56,736) | |
BBVA, SA | Jun. 2021 | Credit Suisse International | (1%) | EUR 3,250,000 | 207,265 | (279,482) | (72,217) | |
Carlsberg Breweries A/S | Jun. 2020 | JPMorgan Chase Bank, N.A. | (1%) | EUR 2,600,000 | (68,598) | 24,260 | (44,338) | |
Carlsberg Breweries A/S | Dec. 2020 | Citibank, N.A. | (1%) | EUR 2,600,000 | (67,223) | (8,546) | (75,769) | |
Gas Natural Capital Markets SA | Jun. 2021 | BNP Paribas, SA | (1%) | EUR 1,400,000 | (24,065) | 1,474 | (22,591) | |
Kering SA | Sep. 2018 | Morgan Stanley Capital Group, Inc. | (1%) | EUR 3,500,000 | (68,216) | 6,037 | (62,179) | |
Metro AG | Dec. 2021 | JPMorgan Chase Bank, N.A. | (1%) | EUR 2,800,000 | 4,608 | (31,943) | (27,335) | |
Societe Generale | Jun. 2021 | Goldman Sachs Bank USA | (1%) | EUR 1,450,000 | 41,444 | (64,497) | (23,053) | |
Standard Chartered PLC | Jun. 2021 | Goldman Sachs Bank USA | (1%) | EUR 1,550,000 | 80,456 | (154,354) | (73,898) | |
TOTAL BUY PROTECTION | 48,935 | (507,051) | (458,116) | |||||
Sell Protection | ||||||||
5-Year iTraxx Europe Senior Financial Series 25 Index | NR | Jun. 2021 | ICE | 1% | EUR 8,300,000 | 109,841 | 0 | 109,841 |
Deutsche Bank AG | BBB- | Dec. 2016 | JPMorgan Chase Bank, N.A. | 1% | EUR 1,400,000 | (3,542) | 13,605 | 10,063 |
TOTAL SELL PROTECTION | 106,299 | 13,605 | 119,904 | |||||
TOTAL CREDIT DEFAULT SWAPS | $155,234 | $(493,446) | $(338,212) | |||||
(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) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.
(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 Portfolio could be required to make if a credit event were to occur.
(4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).
Clearinghouse/Counterparty(1) | Expiration Date | Notional Amount | Payment Received | Payment Paid | Value | Upfront Premium Received/(Paid)(4) | Unrealized Appreciation/(Depreciation) |
Interest Rate Swaps | |||||||
LCH | Sep. 2021 | $22,100,000 | 3-month LIBOR | 2% | $(55,630) | $0 | $(55,630) |
LCH | Sep. 2026 | 16,900,000 | 3-month LIBOR | 2.25% | (291,555) | 0 | (291,555) |
LCH | Sep. 2046 | 2,930,000 | 3-month LIBOR | 2.75% | (294,507) | 0 | (294,507) |
TOTAL INTEREST RATE SWAPS | $(641,692) | $0 | $(641,692) | ||||
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.
(2) Any premiums for centrally cleared over-the-counter (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) Amount is stated in United States dollars unless otherwise noted.
(b) 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 $2,641,193,864 or 10.3% of net assets.
(c) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.
(d) 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.
(e) Non-income producing - Security is in default.
(f) Security is perpetual in nature with no stated maturity date.
(g) 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 $2,708,385.
(h) Security or a portion of the security has been segregated as collateral for open bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $72,403.
(i) Security or a portion of the security purchased on a delayed delivery or when-issued basis.
(j) 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 $2,657,502.
(k) 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.
(l) 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.
(m) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.
(n) 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.
(o) Non-income producing
(p) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $321,811 or 0.0% of net assets.
(q) The coupon rate will be determined upon settlement of the loan after period end.
(r) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request.
Additional information on each restricted holding is as follows:
Security | Acquisition Date | Acquisition Cost |
Warrior Met Coal LLC Class A | 2/20/15 | $3,177,225 |
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 | $3,583,591 |
Total | $3,583,591 |
Investment Valuation
The following is a summary of the inputs used, as of August 31, 2016, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements.
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $807,296 | $807,296 | $-- | $-- |
Energy | 8,478,428 | 8,060,297 | -- | 418,131 |
Financials | 11,428,681 | 11,428,681 | -- | -- |
Health Care | 108 | 108 | -- | -- |
Materials | 2,477,146 | 2,477,146 | -- | -- |
Telecommunication Services | 305,036 | 270,436 | -- | 34,600 |
Utilities | 296,128 | -- | -- | 296,128 |
Corporate Bonds | 10,857,460,574 | -- | 10,856,400,718 | 1,059,856 |
U.S. Government and Government Agency Obligations | 5,439,334,166 | -- | 5,439,334,166 | -- |
U.S. Government Agency - Mortgage Securities | 4,416,584,311 | -- | 4,416,584,311 | -- |
Asset-Backed Securities | 126,265,528 | -- | 121,189,538 | 5,075,990 |
Collateralized Mortgage Obligations | 514,696,334 | -- | 514,696,334 | -- |
Commercial Mortgage Securities | 1,028,414,829 | -- | 1,022,238,351 | 6,176,478 |
Municipal Securities | 456,381,988 | -- | 456,381,988 | -- |
Foreign Government and Government Agency Obligations | 238,960,440 | -- | 237,600,440 | 1,360,000 |
Bank Loan Obligations | 1,316,623,600 | -- | 1,309,515,123 | 7,108,477 |
Sovereign Loan Participations | 1,556,971 | -- | -- | 1,556,971 |
Bank Notes | 142,032,595 | -- | 142,032,595 | -- |
Preferred Securities | 207,543,010 | -- | 207,543,010 | -- |
Money Market Funds | 1,668,097,710 | 1,668,097,710 | -- | -- |
Purchased Swaptions | 472,353 | -- | 472,353 | -- |
Total Investments in Securities: | $26,438,217,232 | $1,691,141,674 | $24,723,988,927 | $23,086,631 |
Other Derivative Instruments: | ||||
Assets | ||||
Foreign Currency Contracts | $1,126,160 | $-- | $1,126,160 | $-- |
Futures Contracts | 701,294 | 701,294 | -- | -- |
Swaps | 443,614 | -- | 443,614 | -- |
Total Assets | $2,271,068 | $701,294 | $1,569,774 | $-- |
Liabilities | ||||
Foreign Currency Contracts | $(330,399) | $-- | $(330,399) | $-- |
Futures Contracts | (153,344) | (153,344) | -- | -- |
Swaps | (930,072) | -- | (930,072) | -- |
Total Liabilities | $(1,413,815) | $(153,344) | $(1,260,471) | $-- |
Total Other Derivative Instruments: | $857,253 | $547,950 | $309,303 | $-- |
Other Financial Instruments: | ||||
TBA Sale Commitments | $(183,421,846) | $-- | $(183,421,846) | $-- |
Total Other Financial Instruments: | $(183,421,846) | $-- | $(183,421,846) | $-- |
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, 2016. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements.
Primary Risk Exposure / Derivative Type | Value | |
Asset | Liability | |
Credit Risk | ||
Purchased Swaptions(a) | $472,353 | $0 |
Swaps(b) | 443,614 | (288,380) |
Total Credit Risk | 915,967 | (288,380) |
Foreign Exchange Risk | ||
Foreign Currency Contracts(c) | 1,126,160 | (330,399) |
Total Foreign Exchange Risk | 1,126,160 | (330,399) |
Interest Rate Risk | ||
Futures Contracts(d) | 701,294 | (153,344) |
Swaps(b) | 0 | (641,692) |
Total Interest Rate Risk | 701,294 | (795,036) |
Total Value of Derivatives | $2,743,421 | $(1,413,815) |
(a) Gross value is included in the Statement of Assets and Liabilities in the investments, at value line-item.
(b) For bi-lateral over-the-counter (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. In the Statement of Assets and Liabilities, the period end daily variation margin for centrally cleared OTC swaps is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) for centrally cleared OTC swaps is included in net unrealized appreciation (depreciation).
(c) Gross value is presented in the Statement of Assets and Liabilities in the unrealized appreciation/depreciation on foreign currency contracts line-items.
(d) Reflects gross cumulative appreciation (depreciation) on futures contracts as presented in the Schedule of Investments. In the Statement of Assets and Liabilities, the period end daily variation margin is included in receivable or payable for daily variation margin for derivative instruments, and the net cumulative appreciation (depreciation) is included in net unrealized appreciation (depreciation).
Other Information
Distribution of investments by country or territory of incorporation, as a percentage of Total Net Assets, is as follows (Unaudited):
United States of America | 88.3% |
United Kingdom | 2.7% |
Netherlands | 1.8% |
Mexico | 1.6% |
Luxembourg | 1.0% |
Others (Individually Less Than 1%) | 4.6% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Financial Statements
Statement of Assets and Liabilities
August 31, 2016 | ||
Assets | ||
Investment in securities, at value — See accompanying schedule: Unaffiliated issuers (cost $24,010,679,391) | $24,770,119,522 | |
Fidelity Central Funds (cost $1,668,097,710) | 1,668,097,710 | |
Total Investments (cost $25,678,777,101) | $26,438,217,232 | |
Cash | 5,836,844 | |
Foreign currency held at value (cost $1,105,311) | 1,099,187 | |
Receivable for investments sold | 14,270,602 | |
Receivable for TBA sale commitments | 183,397,307 | |
Unrealized appreciation on foreign currency contracts | 1,126,160 | |
Receivable for fund shares sold | 35,655,631 | |
Dividends receivable | 57,347 | |
Interest receivable | 182,190,416 | |
Distributions receivable from Fidelity Central Funds | 534,745 | |
Receivable for daily variation margin for derivative instruments | 27,120 | |
Bi-lateral OTC swaps, at value | 333,773 | |
Other receivables | 117,505 | |
Total assets | 26,862,863,869 | |
Liabilities | ||
Payable for investments purchased | ||
Regular delivery | $74,198,561 | |
Delayed delivery | 861,797,609 | |
TBA sale commitments, at value | 183,421,846 | |
Unrealized depreciation on foreign currency contracts | 330,399 | |
Payable for fund shares redeemed | 26,594,499 | |
Distributions payable | 2,379,485 | |
Bi-lateral OTC swaps, at value | 231,644 | |
Accrued management fee | 6,576,431 | |
Distribution and service plan fees payable | 440,190 | |
Other affiliated payables | 3,072,688 | |
Other payables and accrued expenses | 121,530 | |
Total liabilities | 1,159,164,882 | |
Net Assets | $25,703,698,987 | |
Net Assets consist of: | ||
Paid in capital | $24,883,055,554 | |
Undistributed net investment income | 61,951,817 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (1,029,988) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 759,721,604 | |
Net Assets | $25,703,698,987 | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($1,233,806,020 ÷ 113,522,429 shares) | $10.87 | |
Maximum offering price per share (100/96.00 of $10.87) | $11.32 | |
Class T: | ||
Net Asset Value and redemption price per share ($155,517,725 ÷ 14,334,356 shares) | $10.85 | |
Maximum offering price per share (100/96.00 of $10.85) | $11.30 | |
Class C: | ||
Net Asset Value and offering price per share ($186,379,856 ÷ 17,143,366 shares)(a) | $10.87 | |
Total Bond: | ||
Net Asset Value, offering price and redemption price per share ($20,469,676,977 ÷ 1,884,181,205 shares) | $10.86 | |
Class I: | ||
Net Asset Value, offering price and redemption price per share ($2,846,877,985 ÷ 262,444,312 shares) | $10.85 | |
Class Z: | ||
Net Asset Value, offering price and redemption price per share ($811,440,424 ÷ 74,801,346 shares) | $10.85 |
(a) Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Statement of Operations
Year ended August 31, 2016 | ||
Investment Income | ||
Dividends | $14,201,705 | |
Interest | 826,582,204 | |
Income from Fidelity Central Funds | 3,583,591 | |
Total income | 844,367,500 | |
Expenses | ||
Management fee | $70,790,898 | |
Transfer agent fees | 24,130,612 | |
Distribution and service plan fees | 4,802,144 | |
Fund wide operations fee | 8,883,826 | |
Independent trustees' fees and expenses | 99,245 | |
Miscellaneous | 56,037 | |
Total expenses before reductions | 108,762,762 | |
Expense reductions | (98,338) | 108,664,424 |
Net investment income (loss) | 735,703,076 | |
Realized and Unrealized Gain (Loss) | ||
Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | 29,626,465 | |
Foreign currency transactions | 8,917,013 | |
Futures contracts | (2,008,239) | |
Swaps | (7,308,496) | |
Total net realized gain (loss) | 29,226,743 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 812,496,372 | |
Assets and liabilities in foreign currencies | 809,778 | |
Futures contracts | 762,682 | |
Swaps | 1,132,172 | |
Delayed delivery commitments | 322,528 | |
Total change in net unrealized appreciation (depreciation) | 815,523,532 | |
Net gain (loss) | 844,750,275 | |
Net increase (decrease) in net assets resulting from operations | $1,580,453,351 |
See accompanying notes which are an integral part of the financial statements.
Statement of Changes in Net Assets
Year ended August 31, 2016 | Year ended August 31, 2015 | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $735,703,076 | $553,721,327 |
Net realized gain (loss) | 29,226,743 | 353,243,022 |
Change in net unrealized appreciation (depreciation) | 815,523,532 | (782,562,955) |
Net increase (decrease) in net assets resulting from operations | 1,580,453,351 | 124,401,394 |
Distributions to shareholders from net investment income | (690,311,363) | (523,227,512) |
Distributions to shareholders from net realized gain | (113,897,060) | (52,368,873) |
Total distributions | (804,208,423) | (575,596,385) |
Share transactions - net increase (decrease) | 4,657,836,676 | 4,814,116,048 |
Total increase (decrease) in net assets | 5,434,081,604 | 4,362,921,057 |
Net Assets | ||
Beginning of period | 20,269,617,383 | 15,906,696,326 |
End of period | $25,703,698,987 | $20,269,617,383 |
Other Information | ||
Undistributed net investment income end of period | $61,951,817 | $36,361,125 |
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class A
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.53 | $10.77 | $10.48 | $11.29 | $11.04 |
Income from Investment Operations | |||||
Net investment income (loss)A | .312 | .287 | .292 | .263 | .322 |
Net realized and unrealized gain (loss) | .377 | (.224) | .382 | (.468) | .438 |
Total from investment operations | .689 | .063 | .674 | (.205) | .760 |
Distributions from net investment income | (.290) | (.270) | (.275) | (.250) | (.335) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.349) | (.303) | (.384) | (.605) | (.510) |
Net asset value, end of period | $10.87 | $10.53 | $10.77 | $10.48 | $11.29 |
Total ReturnB,C | 6.71% | .58% | 6.56% | (1.94)% | 7.11% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .75% | .75% | .76% | .79% | .82% |
Expenses net of fee waivers, if any | .75% | .75% | .76% | .79% | .82% |
Expenses net of all reductions | .75% | .75% | .76% | .79% | .82% |
Net investment income (loss) | 2.95% | 2.69% | 2.76% | 2.41% | 2.92% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $1,233,806 | $852,243 | $639,235 | $517,259 | $643,995 |
Portfolio turnover rateF | 134% | 140%G | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class T
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.51 | $10.76 | $10.46 | $11.28 | $11.03 |
Income from Investment Operations | |||||
Net investment income (loss)A | .309 | .285 | .290 | .265 | .328 |
Net realized and unrealized gain (loss) | .378 | (.234) | .392 | (.477) | .433 |
Total from investment operations | .687 | .051 | .682 | (.212) | .761 |
Distributions from net investment income | (.288) | (.268) | (.273) | (.253) | (.336) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.347) | (.301) | (.382) | (.608) | (.511) |
Net asset value, end of period | $10.85 | $10.51 | $10.76 | $10.46 | $11.28 |
Total ReturnB,C | 6.71% | .47% | 6.65% | (2.01)% | 7.14% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | .77% | .77% | .78% | .76% | .77% |
Expenses net of fee waivers, if any | .77% | .77% | .78% | .76% | .77% |
Expenses net of all reductions | .77% | .77% | .78% | .76% | .77% |
Net investment income (loss) | 2.94% | 2.67% | 2.74% | 2.44% | 2.97% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $155,518 | $101,673 | $57,972 | $52,848 | $59,896 |
Portfolio turnover rateF | 134% | 140%G | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the sales charges.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class C
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.53 | $10.77 | $10.48 | $11.29 | $11.04 |
Income from Investment Operations | |||||
Net investment income (loss)A | .231 | .205 | .211 | .185 | .246 |
Net realized and unrealized gain (loss) | .378 | (.225) | .382 | (.469) | .434 |
Total from investment operations | .609 | (.020) | .593 | (.284) | .680 |
Distributions from net investment income | (.210) | (.187) | (.194) | (.171) | (.255) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.269) | (.220) | (.303) | (.526) | (.430) |
Net asset value, end of period | $10.87 | $10.53 | $10.77 | $10.48 | $11.29 |
Total ReturnB,C | 5.90% | (.20)% | 5.75% | (2.65)% | 6.34% |
Ratios to Average Net AssetsD,E | |||||
Expenses before reductions | 1.52% | 1.53% | 1.53% | 1.51% | 1.51% |
Expenses net of fee waivers, if any | 1.52% | 1.53% | 1.53% | 1.51% | 1.51% |
Expenses net of all reductions | 1.52% | 1.53% | 1.53% | 1.51% | 1.51% |
Net investment income (loss) | 2.19% | 1.92% | 1.99% | 1.69% | 2.23% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $186,380 | $139,264 | $83,818 | $79,711 | $102,385 |
Portfolio turnover rateF | 134% | 140%G | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
C Total returns do not include the effect of the contingent deferred sales charge.
D Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the 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 Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.53 | $10.77 | $10.47 | $11.29 | $11.04 |
Income from Investment Operations | |||||
Net investment income (loss)A | .343 | .320 | .326 | .300 | .363 |
Net realized and unrealized gain (loss) | .368 | (.224) | .392 | (.478) | .434 |
Total from investment operations | .711 | .096 | .718 | (.178) | .797 |
Distributions from net investment income | (.322) | (.303) | (.309) | (.287) | (.372) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.381) | (.336) | (.418) | (.642) | (.547) |
Net asset value, end of period | $10.86 | $10.53 | $10.77 | $10.47 | $11.29 |
Total ReturnB | 6.94% | .88% | 7.00% | (1.70)% | 7.48% |
Ratios to Average Net AssetsC,D | |||||
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) | 3.25% | 2.99% | 3.07% | 2.75% | 3.29% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $20,469,677 | $17,359,294 | $14,547,801 | $11,526,014 | $13,963,154 |
Portfolio turnover rateE | 134% | 140%F | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class I
Years ended August 31, | 2016 | 2015 | 2014 | 2013 | 2012 |
Selected Per–Share Data | |||||
Net asset value, beginning of period | $10.51 | $10.76 | $10.46 | $11.27 | $11.02 |
Income from Investment Operations | |||||
Net investment income (loss)A | .337 | .313 | .319 | .295 | .353 |
Net realized and unrealized gain (loss) | .378 | (.233) | .393 | (.469) | .435 |
Total from investment operations | .715 | .080 | .712 | (.174) | .788 |
Distributions from net investment income | (.316) | (.297) | (.303) | (.281) | (.363) |
Distributions from net realized gain | (.059) | (.033) | (.109) | (.355) | (.175) |
Total distributions | (.375) | (.330) | (.412) | (.636) | (.538) |
Net asset value, end of period | $10.85 | $10.51 | $10.76 | $10.46 | $11.27 |
Total ReturnB | 6.99% | .73% | 6.95% | (1.67)% | 7.40% |
Ratios to Average Net AssetsC,D | |||||
Expenses before reductions | .50% | .50% | .51% | .51% | .53% |
Expenses net of fee waivers, if any | .50% | .50% | .51% | .51% | .53% |
Expenses net of all reductions | .50% | .50% | .51% | .51% | .53% |
Net investment income (loss) | 3.20% | 2.94% | 3.02% | 2.69% | 3.20% |
Supplemental Data | |||||
Net assets, end of period (000 omitted) | $2,846,878 | $1,266,870 | $573,410 | $244,911 | $596,238 |
Portfolio turnover rateE | 134% | 140%F | 108% | 201% | 155% |
A Calculated based on average shares outstanding during the period.
B Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
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.
D 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Financial Highlights — Fidelity Total Bond Fund Class Z
Years ended August 31, | 2016 | 2015 A |
Selected Per–Share Data | ||
Net asset value, beginning of period | $10.51 | $10.66 |
Income from Investment Operations | ||
Net investment income (loss)B | .352 | .234 |
Net realized and unrealized gain (loss) | .378 | (.167) |
Total from investment operations | .730 | .067 |
Distributions from net investment income | (.331) | (.217) |
Distributions from net realized gain | (.059) | – |
Total distributions | (.390) | (.217) |
Net asset value, end of period | $10.85 | $10.51 |
Total ReturnC,D | 7.14% | .59% |
Ratios to Average Net AssetsE,F | ||
Expenses before reductions | .36% | .36%G |
Expenses net of fee waivers, if any | .36% | .36%G |
Expenses net of all reductions | .36% | .36%G |
Net investment income (loss) | 3.34% | 3.29%G |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $811,440 | $546,968 |
Portfolio turnover rateH | 134% | 140%I |
A For the period December 22, 2014 (commencement of sale of shares) to August 31, 2015.
B Calculated based on average shares outstanding during the period.
C Total returns for periods of less than one year are not annualized.
D Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds..
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
G Annualized
H Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
I Portfolio turnover rate excludes securities received or delivered in-kind.
See accompanying notes which are an integral part of the financial statements.
Notes to Financial Statements
For the period ended August 31, 2016
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 offers Class A, Class T, Class C, Total Bond, Class I and Class Z shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class.
After the close of business on June 24, 2016, all outstanding Class B shares were converted to Class A shares. All current fiscal period dollar and share amounts for Class B presented in the Notes to Financial Statements are for the period September 1, 2015 through June 24, 2016.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .005%.
A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC website or upon request.
3. Significant Accounting Policies.
The 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.)
- 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, 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 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 vendor or 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, 2016 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.
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 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, 2016, 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.
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, market discount, 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 | $952,985,453 |
Gross unrealized depreciation | (180,886,682) |
Net unrealized appreciation (depreciation) on securities | $772,098,771 |
Tax Cost | $25,666,118,461 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $44,833,950 |
Undistributed long-term capital gain | $11,065,558 |
Net unrealized appreciation (depreciation) on securities and other investments | $764,860,185 |
The tax character of distributions paid was as follows:
August 31, 2016 | August 31, 2015 | |
Ordinary Income | $736,642,371 | $ 565,758,842 |
Long-term Capital Gains | 67,566,052 | 9,837,543 |
Total | $804,208,423 | $ 575,596,385 |
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 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.
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 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 (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Credit Risk | ||
Purchased Options | $(1,396,193) | $(404,316) |
Swaps | 172,101 | (112,891) |
Total Credit Risk | (1,224,092) | (517,207) |
Foreign Exchange Risk | ||
Foreign Currency Contracts | 6,418,103 | 855,142 |
Interest Rate Risk | ||
Futures Contracts | (2,008,239) | 762,682 |
Swaps | (7,480,597) | 1,245,063 |
Total Interest Rate Risk | (9,488,836) | 2,007,745 |
Totals | $(4,294,825) | $2,345,680 |
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 and is representative of volume activity during the period.
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 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 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, 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.
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 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, other than short-term securities and U.S. government securities, aggregated $5,599,161,811 and $4,239,587,584, 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.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of the investment adviser, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
Distribution Fee | Service Fee | Total Fees | Retained by FDC | |
Class A | -% | .25% | $2,876,569 | $42,429 |
Class T | -% | .25% | 312,422 | – |
Class B | .65% | .25% | 21,737 | 15,699 |
Class C | .75% | .25% | 1,591,416 | 463,406 |
$4,802,144 | $521,534 |
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 by FDC | |
Class A | $129,087 |
Class T | 16,329 |
Class B(a) | 738 |
Class C(a) | 43,432 |
$189,586 |
(a) 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 for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, transfer agent fees for each class were as follows:
Amount | % of Class-Level Average Net Assets | |
Class A | $1,746,166 | .15 |
Class T | 208,012 | .17 |
Class B | 4,648 | .19 |
Class C | 268,810 | .17 |
Total Bond | 18,313,414 | .10 |
Class I | 3,521,490 | .15 |
Class Z | 68,072 | .01 |
$24,130,612 |
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% of the Fund's average net assets 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.
Prior Fiscal Year Exchanges In-Kind. During the prior 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. The Fund had 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. The transaction generally did not result in the recognition of gains or losses for federal income tax purposes.
Interfund Trades. The Fund may purchase from or sell securities to other Fidelity Funds under procedures adopted by the Board. The procedures have been designed to ensure these interfund trades are executed in accordance with Rule 17a-7 of the 1940 Act. Interfund trades are included within the respective purchases and sales amounts shown in the Purchases and Sales of Investments note.
Other. During the period, the investment adviser reimbursed the Fund for certain losses in the amount of $51,795.
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 $46,443 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. The Fund or borrower may terminate the loan at any time, and if the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is 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 $1,240,190.
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 $93 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of certain uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $70,390.
In addition, during the period the investment adviser reimbursed and/or waived a portion of fund-level operating expenses in the amount of $27,855.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Year ended August 31, 2016 | Year ended August 31, 2015(a) | |
From net investment income | ||
Class A | $31,727,561 | $19,261,143 |
Class T | 3,400,558 | 1,998,555 |
Class B | 52,324 | 71,894 |
Class C | 3,143,821 | 2,070,818 |
Total Bond | 559,720,907 | 468,456,666 |
Class I | 70,886,754 | 28,443,167 |
Class Z | 21,379,438 | 2,925,269 |
Total | $690,311,363 | $523,227,512 |
From net realized gain | ||
Class A | $5,050,640 | $2,146,775 |
Class T | 600,521 | 193,116 |
Class B | 17,887 | 13,138 |
Class C | 809,224 | 303,573 |
Total Bond | 97,033,225 | 47,388,889 |
Class I | 7,167,426 | 2,323,382 |
Class Z | 3,218,137 | – |
Total | $113,897,060 | $52,368,873 |
(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 affiliated funds:
Shares | Shares | Dollars | Dollars | |
Year ended August 31, 2016 | Year ended August 31, 2015(a) | Year ended August 31, 2016 | Year ended August 31, 2015(a) | |
Class A | ||||
Shares sold | 79,582,385 | 46,571,257 | $836,125,573 | $499,377,221 |
Reinvestment of distributions | 3,397,092 | 1,930,629 | 35,693,646 | 20,670,065 |
Shares redeemed | (50,390,515) | (26,903,901) | (531,503,136) | (288,269,536) |
Net increase (decrease) | 32,588,962 | 21,597,985 | $340,316,083 | $231,777,750 |
Class T | ||||
Shares sold | 7,797,143 | 6,974,914 | $81,948,331 | $74,605,782 |
Reinvestment of distributions | 371,455 | 199,988 | 3,901,602 | 2,136,905 |
Shares redeemed | (3,506,111) | (2,893,126) | (36,795,670) | (30,963,185) |
Net increase (decrease) | 4,662,487 | 4,281,776 | $49,054,263 | $45,779,502 |
Class B | ||||
Shares sold | 52,386 | 54,717 | $545,030 | $586,026 |
Reinvestment of distributions | 5,304 | 6,657 | 55,384 | 71,357 |
Shares redeemed | (371,399) | (161,541) | (3,942,186) | (1,731,933) |
Net increase (decrease) | (313,709) | (100,167) | $(3,341,772) | $(1,074,550) |
Class C | ||||
Shares sold | 7,989,480 | 8,235,348 | $84,112,756 | $88,316,556 |
Reinvestment of distributions | 338,212 | 196,619 | 3,555,483 | 2,104,956 |
Shares redeemed | (4,407,873) | (2,989,581) | (46,363,403) | (31,990,728) |
Net increase (decrease) | 3,919,819 | 5,442,386 | $41,304,836 | $58,430,784 |
Total Bond | ||||
Shares sold | 564,396,562 | 1,119,099,210 | $5,943,329,183 | $12,023,173,893 |
Reinvestment of distributions | 59,893,089 | 46,138,120 | 629,464,263 | 493,997,692 |
Shares redeemed | (389,085,832) | (866,846,007) | (4,072,787,679) | (9,307,894,830) |
Net increase (decrease) | 235,203,819 | 298,391,323 | $2,500,005,767 | $3,209,276,755 |
Class I | ||||
Shares sold | 202,861,513 | 96,458,549 | $2,130,458,698 | $1,031,052,872 |
Reinvestment of distributions | 7,026,236 | 2,698,883 | 73,778,315 | 28,838,468 |
Shares redeemed | (67,965,246) | (31,950,235) | (713,298,115) | (340,167,664) |
Net increase (decrease) | 141,922,503 | 67,207,197 | $1,490,938,898 | $719,723,676 |
Class Z | ||||
Shares sold | 31,568,440 | 56,087,638 | $331,880,727 | $592,975,149 |
Reinvestment of distributions | 2,342,277 | 276,639 | 24,597,125 | 2,920,079 |
Shares redeemed | (11,141,442) | (4,332,206) | (116,919,251) | (45,693,097) |
Net increase (decrease) | 22,769,275 | 52,032,071 | $239,558,601 | $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 20% 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.
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Income Fund and 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, 2016, 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, 2016 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
October 20, 2016
Trustees and Officers
The Trustees, Members of the Advisory Board (if any), 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 Jennifer Toolin McAuliffe and Mark A. Murray, each of the Trustees oversees 244 funds. Ms. McAuliffe and Mr. Murray each oversees 191 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 is referred to herein as an Independent Trustee. Each Independent Trustee shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. Officers and Advisory Board Members hold office without limit in time, except that any officer or Advisory Board Member may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
The fund’s Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-800-544-8544.
Experience, Skills, Attributes, and Qualifications of the 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.
Board Structure and Oversight Function. Abigail P. Johnson is an interested person 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 Trustees."
Interested Trustees*:
Correspondence intended for a 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.
Jennifer Toolin McAuliffe (1959)
Year of Election or Appointment: 2016
Trustee
Ms. McAuliffe also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Ms. McAuliffe previously served as Co-Head of Fixed Income of Fidelity Investments Limited (now known as FIL Limited (FIL)) (diversified financial services company). Earlier roles at FIL included Director of Research for FIL’s credit and quantitative teams in London, Hong Kong and Tokyo. Ms. McAuliffe also was the Director of Research for taxable and municipal bonds at Fidelity Investments Money Management, Inc. Ms. McAuliffe is also a director or trustee of several not-for-profit entities.
* Determined to be an “Interested Trustee” by virtue of, among other things, his or her affiliation with the trust or various entities under common control with FMR.
+ The information 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 an Independent 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 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). Previously, Ms. Acton served as a Member of the Advisory Board of certain Fidelity® funds (2013-2016).
John Engler (1948)
Year of Election or Appointment: 2014
Trustee
Mr. Engler also serves as Trustee of other Fidelity® funds. He serves as president of the Business Roundtable (2011-present), and on the board of directors for Universal Forest Products (manufacturer and distributor of wood and wood-alternative products, 2003-present) and K12 Inc. (technology-based education company, 2012-present). Previously, Mr. Engler served as a Member of the Advisory Board of certain Fidelity® funds (2014-2016), a trustee of The Munder Funds (2003-2014), president and CEO of the National Association of Manufacturers (2004-2011), member of the Board of Trustees of the Annie E. Casey Foundation (2004-2015), 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 & 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 (pipeline and tanker operations). 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 Santa Catalina Island Company (real estate, 2009-present). Ms. Knowles is a Member of the Investment Company Institute Board of Governors and a Member of the Governing Council of the Independent Directors Council (2014-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).
Mark A. Murray (1954)
Year of Election or Appointment: 2016
Trustee
Mr. Murray also serves as Trustee or Member of the Advisory Board of other Fidelity® funds. Mr. Murray is Vice Chairman (2013-present) of Meijer, Inc. (regional retail chain). Previously, Mr. Murray served as Co-Chief Executive Officer (2013-2016) and President (2006-2013) of Meijer, Inc. Mr. Murray serves as a member of the Board of Directors and Nuclear Review and Public Policy and Responsibility Committees of DTE Energy Company (diversified energy company, 2009-present). Mr. Murray also serves as a member of the Board of Directors of Spectrum Health (not-for-profit health system, 2015-present). Mr. Murray previously served as President of Grand Valley State University (2001-2006), Treasurer for the State of Michigan (1999-2001), Vice President of Finance and Administration for Michigan State University (1998-1999), and a member of the Board of Directors and Audit Committee and Chairman of the Nominating and Corporate Governance Committee of Universal Forest Products, Inc. (manufacturer and distributor of wood and wood-alternative products, 2004-2016). Mr. Murray is also a director or trustee of many community and professional organizations.
+ The information 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.
Advisory Board Members and Officers:
Correspondence intended for an officer may be sent to Fidelity Investments, 245 Summer Street, Boston, Massachusetts 02210. Officers appear below in alphabetical order.
Name, Year of Birth; Principal Occupation
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. Mr. Bryant serves as CLO, Secretary, and Senior Vice President of Fidelity Management & Research Company (investment adviser firm, 2015-present) and FMR Co., Inc. (investment adviser firm, 2015-present); Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2015-present) and Fidelity Investments Money Management, Inc. (investment adviser firm, 2015-present); and CLO of Fidelity Management & Research (Hong Kong) Limited and FMR Investment Management (U.K.) Limited (investment adviser firms, 2015-present) and Fidelity Management & Research (Japan) Limited (investment adviser firm, 2016-present). He is Senior Vice President and Deputy General Counsel of FMR LLC (diversified financial services company). Previously, Mr. Bryant served as Secretary and CLO 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).
Jeffrey S. Christian (1961)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Christian also serves as Assistant Treasurer of other funds. Mr. Christian is an employee of Fidelity Investments (2003-present).
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 serves as Executive Vice President of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2016-present) and 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). Previously, Mr. Deberghes served in other fund officer roles.
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 Vice President of other funds and is an employee of Fidelity Investments (2001-present). Mr. Goebel serves as Senior Vice President of Fidelity Management & Research Company (FMR) (investment adviser firm, 2016-present). Previously, Mr. Goebel served as Secretary of Fidelity SelectCo, LLC (investment adviser firm, 2013-2015), Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm, 2010-2015), and Fidelity Research and Analysis Company (FRAC) (investment adviser firm, 2010-2015); General Counsel, Secretary, and Senior Vice President of FMR (investment adviser firm, 2008-2015) and FMR Co., Inc. (investment adviser firm, 2008-2015); Assistant Secretary of Fidelity Management & Research (Japan) Limited (investment adviser firm, 2008-2015) and Fidelity Management & Research (U.K.) Inc. (investment adviser firm, 2008-2015); Chief Legal Officer (CLO) of Fidelity Management & Research (Hong Kong) Limited (investment adviser firm, 2008-2015); 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).
Colm A. Hogan (1973)
Year of Election or Appointment: 2016
Assistant Treasurer
Mr. Hogan also serves as an officer of other funds. Mr. Hogan is an employee of Fidelity Investments (2005-present).
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).
John B. McGinty, Jr. (1962)
Year of Election or Appointment: 2016
Chief Compliance Officer
Mr. McGinty also serves as Chief Compliance Officer of other funds. Mr. McGinty is Senior Vice President of Asset Management Compliance for Fidelity Investments and is an employee of Fidelity Investments (2016-present). Mr. McGinty previously served as Vice President, Senior Attorney at Eaton Vance Management (investment management firm, 2015-2016), and prior to Eaton Vance as global CCO for all firm operations and registered investment companies at GMO LLC (investment management firm, 2009-2015). Before joining GMO LLC, Mr. McGinty served as Senior Vice President, Deputy General Counsel for Fidelity Investments (2007-2009).
John F. Papandrea (1972)
Year of Election or Appointment: 2016
Anti-Money Laundering (AML) Officer
Mr. Papandrea also serves as AML Officer of other funds. Mr. Papandrea is Vice President of FMR LLC (diversified financial services company, 2008-present) and is an employee of Fidelity Investments (2005-present).
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 FMR Investment Management (U.K.) Limited (investment adviser firm, 2015-present), President (2016-present) and Director (2014-present) of Fidelity Investments Money Management, Inc. (FIMM) (investment adviser firm), President, Fixed Income (2014-present), Vice Chairman of FIAM 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 Group of Fidelity Management & Research (FMR) (investment adviser firm, 2013-2014), President, Money Market Group of FMR (2011-2013), Managing Director of Research (2009-2011), Senior Vice President and Deputy General Counsel (2007-2009), and Assistant Secretary of certain Fidelity® funds (2008-2009).
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). Previously, Ms. Smith served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
Renee Stagnone (1975)
Year of Election or Appointment: 2016
Assistant Treasurer
Ms. Stagnone also serves as an officer of other funds. Ms. Stagnone is an employee of Fidelity Investments (1997-present). Previously, Ms. Stagnone served as Deputy Treasurer of certain Fidelity® funds (2013-2016).
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).
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, 2016 to August 31, 2016).
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.
Annualized Expense Ratio-A | Beginning Account Value March 1, 2016 | Ending Account Value August 31, 2016 | Expenses Paid During Period-B March 1, 2016 to August 31, 2016 | |
Class A | .75% | |||
Actual | $1,000.00 | $1,066.60 | $3.90 | |
Hypothetical-C | $1,000.00 | $1,021.37 | $3.81 | |
Class T | .76% | |||
Actual | $1,000.00 | $1,066.60 | $3.95 | |
Hypothetical-C | $1,000.00 | $1,021.32 | $3.86 | |
Class C | 1.51% | |||
Actual | $1,000.00 | $1,062.50 | $7.83 | |
Hypothetical-C | $1,000.00 | $1,017.55 | $7.66 | |
Total Bond | .45% | |||
Actual | $1,000.00 | $1,067.20 | $2.34 | |
Hypothetical-C | $1,000.00 | $1,022.87 | $2.29 | |
Class I | .50% | |||
Actual | $1,000.00 | $1,068.00 | $2.60 | |
Hypothetical-C | $1,000.00 | $1,022.62 | $2.54 | |
Class Z | .36% | |||
Actual | $1,000.00 | $1,068.80 | $1.87 | |
Hypothetical-C | $1,000.00 | $1,023.33 | $1.83 |
A Annualized expense ratio reflects expenses net of applicable fee waivers.
B Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period).
C 5% return per year before expenses
Distributions (Unaudited)
The Board of Trustees of Fidelity 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 | |
Fidelity Total Bond Fund | |||
Class A | 10/17/16 | 10/14/16 | $0.017 |
Class T | 10/17/16 | 10/14/16 | $0.017 |
Class C | 10/17/16 | 10/14/16 | $0.017 |
Total Bond Fund | 10/17/16 | 10/14/16 | $0.017 |
Class I | 10/17/16 | 10/14/16 | $0.017 |
Class Z | 10/17/16 | 10/14/16 | $0.017 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended August 31, 2016, $ 13,913,879, or, if subsequently determined to be different, the net capital gain of such year.
A total of 7.53% 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 $380,589,919 of distributions paid during the period January 1, 2016 to August 31, 2016 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2017 of amounts for use in preparing 2016 income tax returns.
Proxy Voting Results
A special meeting of shareholders was held on April 13, 2016. The results of votes taken among shareholders on the proposal before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1
To elect a Board of Trustees. | ||
# of Votes | % of Votes | |
Elizabeth S. Acton | ||
Affirmative | 23,485,695,172.82 | 97.873 |
Withheld | 510,412,850.89 | 2.127 |
TOTAL | 23,996,108,023.71 | 100.000 |
John Engler | ||
Affirmative | 23,396,775,263.01 | 97.503 |
Withheld | 599,332,760.70 | 2.497 |
TOTAL | 23,996,108,023.71 | 100.000 |
Albert R. Gamper, Jr. | ||
Affirmative | 23,408,625,557.99 | 97.552 |
Withheld | 587,482,465.72 | 2.448 |
TOTAL | 23,996,108,023.71 | 100.000 |
Robert F. Gartland | ||
Affirmative | 23,466,064,780.31 | 97.792 |
Withheld | 530,043,243.40 | 2.208 |
TOTAL | 23,996,108,023.71 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 23,449,693,125.04 | 97.723 |
Withheld | 546,414,898.67 | 2.277 |
TOTAL | 23,996,108,023.71 | 100.000 |
Arthur E. Johnson | ||
Affirmative | 23,433,937,136.83 | 97.658 |
Withheld | 562,170,886.88 | 2.342 |
TOTAL | 23,996,108,023.71 | 100.000 |
Michael E. Kenneally | ||
Affirmative | 23,472,891,022.59 | 97.820 |
Withheld | 523,217,001.12 | 2.180 |
TOTAL | 23,996,108,023.71 | 100.000 |
James H. Keyes | ||
Affirmative | 23,409,640,697.18 | 97.556 |
Withheld | 586,467,326.53 | 2.444 |
TOTAL | 23,996,108,023.71 | 100.000 |
Marie L. Knowles | ||
Affirmative | 23,434,534,070.88 | 97.660 |
Withheld | 561,573,952.83 | 2.340 |
TOTAL | 23,996,108,023.71 | 100.000 |
Geoffrey A. von Kuhn | ||
Affirmative | 23,442,506,227.29 | 97.693 |
Withheld | 553,601,796.42 | 2.307 |
TOTAL | 23,996,108,023.71 | 100.000 |
Proposal 1 reflects trust wide proposal and voting results. |
Corporate Headquarters
245 Summer St.
Boston, MA 02210
www.fidelity.com
TBD-ANN-1016
1.789692.114
Item 2.
Code of Ethics
As of the end of the period, August 31, 2016, 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, 2016 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Government Income Fund | $88,000 | $- | $5,100 | $3,700 |
Fidelity Intermediate Government Income Fund | $84,000 | $- | $3,500 | $3,200 |
Fidelity Total Bond Fund | $205,000 | $- | $10,600 | $9,200 |
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 |
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, 2016A | August 31, 2015A |
|
Audit-Related Fees | $5,760,000 | $4,730,000 |
|
Tax Fees | $10,000 | $- |
|
All Other Fees | $- | $- |
|
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 Funds are as follows:
Billed By | August 31, 2016 A | August 31, 2015 A |
| |
PwC | $6,560,000 | $6,085,000 |
|
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 26, 2016 |
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 26, 2016 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | October 26, 2016 |