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 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Scott C. Goebel, 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: | December 31 |
|
|
Date of reporting period: | June 30, 2015 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Institutional Class
(To be renamed Class I effective July 1, 2015)
Semiannual Report
June 30, 2015
(Fidelity Cover Art)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,014.50 | $ 4.99 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,013.70 | $ 4.99 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class B | 1.69% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,011.10 | $ 8.43 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.41 | $ 8.45 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,010.70 | $ 8.72 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Institutional Class | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,014.80 | $ 3.85 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .01%.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.
Top Five Holdings as of June 30, 2015 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 14.4 | 18.4 |
Japan Government | 2.6 | 2.1 |
German Federal Republic | 2.2 | 0.1 |
Ginnie Mae guaranteed REMIC pass-thru certificates | 1.9 | 1.7 |
Freddie Mac | 1.7 | 1.6 |
| 22.8 | |
Top Five Market Sectors as of June 30, 2015 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 11.2 | 10.4 |
Financials | 11.0 | 10.0 |
Energy | 7.6 | 6.2 |
Telecommunication Services | 5.4 | 5.5 |
Industrials | 4.9 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2015 | As of December 31, 2014 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA,AA,A 10.2% |
| ![]() | AAA,AA,A 9.9% |
| ||
![]() | BBB 8.6% |
| ![]() | BBB 10.1% |
| ||
![]() | BB 20.7% |
| ![]() | BB 17.6% |
| ||
![]() | B 19.2% |
| ![]() | B 17.2% |
| ||
![]() | CCC,CC,C 6.4% |
| ![]() | CCC,CC,C 6.5% |
| ||
![]() | D 0.0%* |
| ![]() | D 0.0% |
| ||
![]() | Not Rated 5.3% |
| ![]() | Not Rated 4.2% |
| ||
![]() | Equities 5.7% |
| ![]() | Equities 5.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes NCUA Guaranteed Notes. |
* Amount represents less than 0.1%. |
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 June 30, 2015* | As of December 31, 2014** | ||||||
![]() | Preferred Securities 3.1% |
| ![]() | Preferred Securities 2.5% |
| ||
![]() | Corporate Bonds 43.2% |
| ![]() | Corporate Bonds 39.0% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Foreign Government |
| ![]() | Foreign Government |
| ||
![]() | Bank Loan |
| ![]() | Bank Loan |
| ||
![]() | Stocks 5.7% |
| ![]() | Stocks 5.3% |
| ||
![]() | Other Investments 0.1% |
| ![]() | Other Investments 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 35.1% |
| ** Foreign investments | 33.9% |
| ||
* Futures and Swaps | 1.6% |
| ** Futures and Swaps | 1.8% |
|
† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2015 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 43.1% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.0% | ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Auto Components - 0.0% | ||||
Exide Technologies 7% 4/30/25 pay-in-kind | $ 870 | $ 600 | ||
Nonconvertible Bonds - 43.1% | ||||
CONSUMER DISCRETIONARY - 7.5% | ||||
Auto Components - 0.6% | ||||
Affinia Group, Inc. 7.75% 5/1/21 | 1,015 | 1,061 | ||
Chassix Holdings, Inc. 10% 12/15/18 pay-in-kind (c)(g)(l) | 2,134 | 192 | ||
Chassix, Inc. 9.25% 8/1/18 (c)(g) | 7,635 | 6,872 | ||
Dana Holding Corp.: | ||||
5.375% 9/15/21 | 3,475 | 3,562 | ||
6% 9/15/23 | 3,475 | 3,625 | ||
6.75% 2/15/21 | 1,400 | 1,467 | ||
Delphi Automotive PLC 1.5% 3/10/25 | EUR | 2,600 | 2,645 | |
Delphi Corp. 5% 2/15/23 | 9,005 | 9,590 | ||
Exide Technologies 11% 4/30/20 | 835 | 704 | ||
International Automotive Components Group SA 9.125% 6/1/18 (g) | 5,245 | 5,350 | ||
Lear Corp. 4.75% 1/15/23 | 6,305 | 6,210 | ||
Schaeffler Holding Finance BV: | ||||
6.25% 11/15/19 pay-in-kind (g)(l) | 2,965 | 3,124 | ||
6.75% 11/15/22 pay-in-kind (g)(l) | 3,940 | 4,255 | ||
Tenneco, Inc. 6.875% 12/15/20 | 6,205 | 6,453 | ||
| 55,110 | |||
Automobiles - 0.1% | ||||
Chrysler Group LLC/CG Co-Issuer, Inc. 8.25% 6/15/21 | 7,620 | 8,306 | ||
General Motors Financial Co., Inc. 4.25% 5/15/23 | 2,145 | 2,168 | ||
| 10,474 | |||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (g) | 1,500 | 1,526 | ||
LKQ Corp. 4.75% 5/15/23 | 1,090 | 1,040 | ||
| 2,566 | |||
Diversified Consumer Services - 0.2% | ||||
Laureate Education, Inc. 10% 9/1/19 (g)(l) | 23,025 | 21,471 | ||
Hotels, Restaurants & Leisure - 1.1% | ||||
24 Hour Holdings III LLC 8% 6/1/22 (g) | 1,760 | 1,412 | ||
Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (g) | BRL | 19,840 | 5,943 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 (g) | $ 26,325 | $ 19,744 | ||
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,566 | ||
FelCor Lodging LP: | ||||
5.625% 3/1/23 | 4,185 | 4,300 | ||
6% 6/1/25 (g) | 8,495 | 8,622 | ||
GLP Capital LP/GLP Financing II, Inc.: | ||||
4.375% 11/1/18 | 1,850 | 1,899 | ||
4.875% 11/1/20 | 4,845 | 4,930 | ||
5.375% 11/1/23 | 3,845 | 3,951 | ||
Graton Economic Development Authority 9.625% 9/1/19 (g) | 10,505 | 11,329 | ||
Landry's Acquisition Co. 9.375% 5/1/20 (g) | 905 | 971 | ||
LTF Merger Sub, Inc. 8.5% 6/15/23 (g) | 4,280 | 4,130 | ||
MCE Finance Ltd. 5% 2/15/21 (g) | 5,750 | 5,463 | ||
Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (g)(l) | 2,333 | 2,336 | ||
MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind | 3,256 | 3,463 | ||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (g) | 1,135 | 1,135 | ||
Playa Resorts Holding BV 8% 8/15/20 (g) | 4,750 | 4,916 | ||
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/21 | 4,360 | 4,360 | ||
Scientific Games Corp. 10% 12/1/22 | 4,455 | 4,266 | ||
Six Flags Entertainment Corp. 5.25% 1/15/21 (g) | 7,515 | 7,684 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (c)(g) | 390 | 0 | ||
| 102,420 | |||
Household Durables - 1.1% | ||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (g) | 3,165 | 3,118 | ||
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (g) | 2,595 | 2,583 | ||
D.R. Horton, Inc.: | ||||
4.375% 9/15/22 | 5,495 | 5,330 | ||
4.75% 2/15/23 | 3,865 | 3,855 | ||
5.75% 8/15/23 | 2,155 | 2,279 | ||
Lennar Corp. 4.5% 11/15/19 | 3,345 | 3,387 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | $ 24,830 | $ 25,451 | ||
6.875% 2/15/21 | 6,200 | 6,464 | ||
8.25% 2/15/21 (l) | 6,920 | 7,180 | ||
9.875% 8/15/19 | 1,223 | 1,284 | ||
Springs Industries, Inc. 6.25% 6/1/21 | 1,475 | 1,442 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 2,255 | 2,571 | ||
8.375% 1/15/21 | 4,340 | 5,034 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (g) | 3,265 | 3,224 | ||
Tempur Sealy International, Inc. 6.875% 12/15/20 | 2,010 | 2,131 | ||
Toll Brothers Finance Corp.: | ||||
4.375% 4/15/23 | 10,429 | 10,220 | ||
5.625% 1/15/24 | 1,240 | 1,305 | ||
5.875% 2/15/22 | 5,640 | 6,049 | ||
TRI Pointe Homes, Inc.: | ||||
4.375% 6/15/19 | 2,545 | 2,494 | ||
5.875% 6/15/24 | 6,140 | 6,017 | ||
William Lyon Homes, Inc. 8.5% 11/15/20 | 2,235 | 2,414 | ||
| 103,832 | |||
Internet & Catalog Retail - 0.2% | ||||
Netflix, Inc. 5.375% 2/1/21 (g) | 4,010 | 4,160 | ||
Priceline Group, Inc. 1.8% 3/3/27 | EUR | 6,900 | 6,767 | |
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (g) | 4,435 | 4,380 | ||
| 15,307 | |||
Media - 3.7% | ||||
Altice SA: | ||||
5.375% 7/15/23 (g) | 7,415 | 7,230 | ||
7.75% 5/15/22 (g) | 24,970 | 24,158 | ||
AMC Entertainment, Inc. 5.75% 6/15/25 (g) | 6,450 | 6,321 | ||
AMC Networks, Inc. 4.75% 12/15/22 | 3,080 | 3,080 | ||
British Sky Broadcasting Group PLC 1.5% 9/15/21 (Reg. S) | EUR | 7,650 | 8,493 | |
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: | ||||
5.25% 2/15/22 | 980 | 992 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: - continued | ||||
5.625% 2/15/24 | $ 1,060 | $ 1,084 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 6,770 | 6,601 | ||
5.125% 5/1/23 (g) | 5,425 | 5,276 | ||
5.25% 3/15/21 | 4,975 | 4,963 | ||
5.25% 9/30/22 | 7,240 | 7,131 | ||
5.375% 5/1/25 (g) | 5,425 | 5,283 | ||
5.75% 9/1/23 | 670 | 671 | ||
5.75% 1/15/24 | 4,245 | 4,266 | ||
6.5% 4/30/21 | 10,200 | 10,672 | ||
6.625% 1/31/22 | 8,220 | 8,569 | ||
Cinemark U.S.A., Inc.: | ||||
4.875% 6/1/23 | 4,875 | 4,686 | ||
5.125% 12/15/22 | 1,470 | 1,457 | ||
Clear Channel Communications, Inc. 14% 2/1/21 pay-in-kind (l) | 4,900 | 3,438 | ||
Comcast Corp. 5.5% 11/23/29 | GBP | 3,800 | 7,188 | |
DISH DBS Corp.: | ||||
5% 3/15/23 | 3,985 | 3,686 | ||
5.125% 5/1/20 | 485 | 490 | ||
5.875% 7/15/22 | 15,180 | 14,876 | ||
DreamWorks Animation SKG, Inc. 6.875% 8/15/20 (g) | 2,245 | 2,223 | ||
Gannett Co., Inc.: | ||||
4.875% 9/15/21 (g) | 3,210 | 3,186 | ||
5.5% 9/15/24 (g) | 3,210 | 3,178 | ||
Globo Comunicacao e Participacoes SA 4.875% 4/11/22 (g) | 1,875 | 1,931 | ||
Liberty Media Corp.: | ||||
8.25% 2/1/30 | 4,120 | 4,326 | ||
8.5% 7/15/29 | 8,920 | 9,634 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (l) | 14,840 | 16,324 | ||
MDC Partners, Inc. 6.75% 4/1/20 (g) | 5,465 | 5,445 | ||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (g)(l) | 8,960 | 9,027 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Myriad International Holding BV 6% 7/18/20 (g) | $ 1,725 | $ 1,870 | ||
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (g) | 2,335 | 2,288 | ||
Numericable Group SA: | ||||
4.875% 5/15/19 (g) | 6,705 | 6,638 | ||
6% 5/15/22 (g) | 35,620 | 35,108 | ||
6.25% 5/15/24 (g) | 27,408 | 26,963 | ||
Quebecor Media, Inc. 5.75% 1/15/23 | 7,660 | 7,641 | ||
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (g) | 2,660 | 2,786 | ||
Regal Entertainment Group 5.75% 6/15/23 | 9,410 | 9,457 | ||
Sinclair Television Group, Inc. 5.375% 4/1/21 | 4,940 | 4,977 | ||
Sirius XM Radio, Inc.: | ||||
4.25% 5/15/20 (g) | 5,800 | 5,771 | ||
4.625% 5/15/23 (g) | 2,450 | 2,300 | ||
5.25% 8/15/22 (g) | 6,945 | 7,258 | ||
5.375% 4/15/25 (g) | 4,685 | 4,521 | ||
Starz LLC/Starz Finance Corp. 5% 9/15/19 | 4,305 | 4,359 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 6,690 | 6,907 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (g) | 5,540 | 5,647 | ||
VTR Finance BV 6.875% 1/15/24 (g) | 4,800 | 4,905 | ||
Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (g)(l) | 955 | 972 | ||
WMG Acquisition Corp.: | ||||
5.625% 4/15/22 (g) | 955 | 960 | ||
6.75% 4/15/22 (g) | 3,825 | 3,653 | ||
| 340,866 | |||
Specialty Retail - 0.4% | ||||
CST Brands, Inc. 5% 5/1/23 | 1,320 | 1,313 | ||
HT Intermediate Holdings Corp. 12% 5/15/19 pay-in-kind (g)(l) | 2,275 | 2,309 | ||
Jaguar Land Rover PLC 4.25% 11/15/19 (g) | 4,485 | 4,541 | ||
L Brands, Inc. 5.625% 10/15/23 | 4,625 | 4,856 | ||
L Brands, Inc. 5.625% 2/15/22 | 6,880 | 7,241 | ||
Sally Holdings LLC 6.875% 11/15/19 | 3,305 | 3,454 | ||
Sonic Automotive, Inc. 5% 5/15/23 | 800 | 782 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Tenedora Nemak SA de CV 5.5% 2/28/23 (g) | $ 6,460 | $ 6,622 | ||
The Men's Wearhouse, Inc. 7% 7/1/22 | 1,580 | 1,691 | ||
| 32,809 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Polymer Group, Inc.: | ||||
6.875% 6/1/19 (g) | 1,720 | 1,582 | ||
7.75% 2/1/19 | 855 | 881 | ||
PVH Corp. 4.5% 12/15/22 | 10,925 | 10,816 | ||
| 13,279 | |||
TOTAL CONSUMER DISCRETIONARY | 698,134 | |||
CONSUMER STAPLES - 2.0% | ||||
Beverages - 0.1% | ||||
Constellation Brands, Inc.: | ||||
3.875% 11/15/19 | 3,190 | 3,238 | ||
4.75% 11/15/24 | 4,475 | 4,486 | ||
JB y Co. SA de CV 3.75% 5/13/25 (g) | 1,875 | 1,819 | ||
| 9,543 | |||
Food & Staples Retailing - 0.6% | ||||
BI-LO LLC/BI-LO Finance Corp.: | ||||
8.625% 9/15/18 pay-in-kind (g)(l) | 4,670 | 4,320 | ||
9.25% 2/15/19 (g) | 5,285 | 5,338 | ||
ESAL GmbH 6.25% 2/5/23 (g) | 13,590 | 13,386 | ||
Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (g) | 1,265 | 1,208 | ||
Minerva Luxembourg SA 7.75% 1/31/23 (Reg. S) | 3,450 | 3,476 | ||
Rite Aid Corp.: | ||||
6.125% 4/1/23 (g) | 8,710 | 8,971 | ||
6.75% 6/15/21 | 12,320 | 12,936 | ||
9.25% 3/15/20 | 3,570 | 3,869 | ||
Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (g) | 1,465 | 1,575 | ||
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (g) | 4,305 | 4,310 | ||
| 59,389 | |||
Food Products - 1.0% | ||||
B&G Foods, Inc. 4.625% 6/1/21 | 5,220 | 5,142 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
Barry Callebaut Services NV 5.5% 6/15/23 (g) | $ 5,915 | $ 6,299 | ||
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (g) | 5,550 | 5,786 | ||
Gruma S.A.B. de CV 4.875% 12/1/24 (g) | 2,200 | 2,291 | ||
H.J. Heinz Co.: | ||||
4.125% 7/1/27 (Reg. S) | GBP | 4,900 | 7,682 | |
4.25% 10/15/20 | 9,880 | 10,090 | ||
JBS Investments GmbH 7.25% 4/3/24 (g) | 14,755 | 15,179 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | ||||
5.75% 6/15/25 (g) | 7,650 | 7,562 | ||
5.875% 7/15/24 (g) | 2,350 | 2,365 | ||
7.25% 6/1/21 (g) | 2,960 | 3,119 | ||
8.25% 2/1/20 (g) | 3,315 | 3,514 | ||
Mondelez International, Inc. 1.625% 3/8/27 | EUR | 4,200 | 4,214 | |
Pilgrim's Pride Corp. 5.75% 3/15/25 (g) | 6,540 | 6,605 | ||
Post Holdings, Inc.: | ||||
6% 12/15/22 (g) | 2,340 | 2,252 | ||
7.375% 2/15/22 | 2,500 | 2,544 | ||
Sigma Alimentos SA de CV 6.875% 12/16/19 (g) | 1,940 | 2,236 | ||
TreeHouse Foods, Inc. 4.875% 3/15/22 | 1,660 | 1,672 | ||
| 88,552 | |||
Household Products - 0.1% | ||||
Edgewell Personal Care Co. 5.5% 6/15/25 (g) | 2,800 | 2,765 | ||
Spectrum Brands Holdings, Inc.: | ||||
5.75% 7/15/25 (g) | 4,470 | 4,537 | ||
6.375% 11/15/20 | 1,415 | 1,496 | ||
6.625% 11/15/22 | 1,675 | 1,784 | ||
| 10,582 | |||
Personal Products - 0.2% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,264 | ||
First Quality Finance Co., Inc. 4.625% 5/15/21 (g) | 1,235 | 1,155 | ||
Prestige Brands, Inc. 8.125% 2/1/20 | 770 | 822 | ||
Revlon Consumer Products Corp. 5.75% 2/15/21 | 18,693 | 18,319 | ||
| 21,560 | |||
TOTAL CONSUMER STAPLES | 189,626 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - 6.8% | ||||
Energy Equipment & Services - 0.6% | ||||
Basic Energy Services, Inc. 7.75% 10/15/22 | $ 3,640 | $ 2,876 | ||
Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22 (g) | 3,100 | 2,961 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (g) | 1,955 | 1,716 | ||
Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22 | 3,200 | 3,040 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,755 | 3,004 | ||
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 5,850 | 5,792 | ||
Gulfmark Offshore, Inc. 6.375% 3/15/22 | 145 | 108 | ||
Hornbeck Offshore Services, Inc.: | ||||
5% 3/1/21 | 444 | 382 | ||
5.875% 4/1/20 | 3,990 | 3,671 | ||
Kinder Morgan, Inc. 2.25% 3/16/27 | EUR | 4,050 | 4,198 | |
Offshore Group Investment Ltd.: | ||||
7.125% 4/1/23 | 5,725 | 3,492 | ||
7.5% 11/1/19 | 2,265 | 1,393 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (g) | 9,695 | 8,338 | ||
Precision Drilling Corp.: | ||||
5.25% 11/15/24 | 4,310 | 3,750 | ||
6.5% 12/15/21 | 940 | 912 | ||
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S) | 1,425 | 1,357 | ||
Summit Midstream Holdings LLC 7.5% 7/1/21 | 2,035 | 2,137 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (g) | 1,615 | 1,615 | ||
Unit Corp. 6.625% 5/15/21 | 875 | 849 | ||
| 51,591 | |||
Oil, Gas & Consumable Fuels - 6.2% | ||||
Access Midstream Partners LP/ACMP Finance Corp.: | ||||
4.875% 5/15/23 | 7,005 | 6,910 | ||
4.875% 3/15/24 | 2,630 | 2,584 | ||
Afren PLC: | ||||
6.625% 12/9/20 (c)(g) | 6,575 | 2,893 | ||
10.25% 4/8/19 (Reg. S) (c) | 6,260 | 2,754 | ||
American Energy-Permian Basin LLC/ AEPB Finance Corp.: | ||||
7.125% 11/1/20 (g) | 6,920 | 4,706 | ||
7.375% 11/1/21 (g) | 1,820 | 1,236 | ||
Antero Resources Corp. 5.625% 6/1/23 (g) | 3,980 | 3,846 | ||
Carrizo Oil & Gas, Inc.: | ||||
6.25% 4/15/23 | 2,860 | 2,867 | ||
7.5% 9/15/20 | 8,045 | 8,467 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chaparral Energy, Inc. 9.875% 10/1/20 | $ 1,845 | $ 1,504 | ||
Citgo Holding, Inc. 10.75% 2/15/20 (g) | 6,595 | 6,743 | ||
Citgo Petroleum Corp. 6.25% 8/15/22 (g) | 6,280 | 6,170 | ||
Concho Resources, Inc.: | ||||
5.5% 4/1/23 | 13,120 | 13,120 | ||
6.5% 1/15/22 | 6,135 | 6,396 | ||
CONSOL Energy, Inc.: | ||||
5.875% 4/15/22 | 2,170 | 1,845 | ||
8% 4/1/23 (g) | 10,870 | 10,313 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | ||||
6% 12/15/20 | 6,670 | 6,903 | ||
6.125% 3/1/22 | 7,890 | 8,048 | ||
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 9,690 | 9,690 | ||
DTEK Finance PLC 7.875% 4/4/18 (Reg. S) | 200 | 90 | ||
Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 4,997 | ||
EDC Finance Ltd. 4.875% 4/17/20 (g) | 7,590 | 6,630 | ||
Endeavor Energy Resources LP/EER Finance, Inc.: | ||||
7% 8/15/21 (g) | 4,355 | 4,333 | ||
8.125% 9/15/23 (g) | 3,960 | 4,084 | ||
Energy Transfer Equity LP 5.5% 6/1/27 | 6,395 | 6,379 | ||
Energy XXI Gulf Coast, Inc. 11% 3/15/20 (g) | 5,565 | 4,869 | ||
EP Energy LLC/Everest Acquisition Finance, Inc. 6.375% 6/15/23 (g) | 5,175 | 5,188 | ||
EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19 | 3,705 | 3,446 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 1,765 | 1,886 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 | 2,400 | 2,370 | ||
Georgian Oil & Gas Corp. 6.875% 5/16/17 (g) | 3,780 | 3,808 | ||
Global Partners LP/GLP Finance Corp.: | ||||
6.25% 7/15/22 | 1,030 | 989 | ||
7% 6/15/23 (g) | 4,305 | 4,230 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 | 3,485 | 1,499 | ||
Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (g) | 3,765 | 4,066 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
5% 12/1/24 (g) | $ 4,000 | $ 3,751 | ||
5.75% 10/1/25 (g) | 4,310 | 4,138 | ||
7.625% 4/15/21 (g) | 4,325 | 4,498 | ||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | 4,875 | 4,863 | ||
Indo Energy Finance BV 7% 5/7/18 (g) | 1,175 | 969 | ||
Jupiter Resources, Inc. 8.5% 10/1/22 (g) | 6,720 | 5,628 | ||
KazMunaiGaz Finance Sub BV 6% 11/7/44 (g) | 2,275 | 1,951 | ||
KazMunaiGaz National Co. 5.75% 4/30/43 (g) | 3,705 | 3,092 | ||
Kinder Morgan, Inc. 5.625% 11/15/23 (g) | 3,115 | 3,314 | ||
Kosmos Energy Ltd. 7.875% 8/1/21 (g) | 2,195 | 2,118 | ||
Laredo Petroleum, Inc. 7.375% 5/1/22 (Reg. S) | 5,910 | 6,220 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp.: | ||||
4.875% 12/1/24 | 6,560 | 6,412 | ||
5.5% 2/15/23 | 3,215 | 3,299 | ||
Newfield Exploration Co.: | ||||
5.375% 1/1/26 | 5,450 | 5,396 | ||
5.625% 7/1/24 | 5,200 | 5,252 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 2,245 | 2,312 | ||
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (g) | 5,360 | 5,025 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g) | 15,449 | 12,668 | ||
Pan American Energy LLC 7.875% 5/7/21 (g) | 1,985 | 2,032 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 | 9,325 | 9,861 | ||
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (g) | 3,235 | 3,251 | ||
Peabody Energy Corp. 10% 3/15/22 (g) | 4,360 | 2,703 | ||
Pemex Project Funding Master Trust: | ||||
6.625% 6/15/35 | 7,740 | 8,262 | ||
8.625% 12/1/23 (l) | 500 | 615 | ||
PetroBakken Energy Ltd. 8.625% 2/1/20 (g) | 9,160 | 5,885 | ||
Petrobras Global Finance BV: | ||||
1.896% 5/20/16 (l) | 4,310 | 4,246 | ||
2% 5/20/16 | 1,450 | 1,433 | ||
2.4153% 1/15/19 (l) | 5,765 | 5,330 | ||
3% 1/15/19 | 2,340 | 2,163 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petrobras Global Finance BV: - continued | ||||
3.25% 3/17/17 | $ 2,240 | $ 2,209 | ||
6.25% 3/17/24 | 3,950 | 3,814 | ||
6.85% 6/5/15 | 4,250 | 3,487 | ||
7.25% 3/17/44 | 2,190 | 2,033 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 1,880 | 1,888 | ||
5.75% 1/20/20 | 2,150 | 2,130 | ||
6.875% 1/20/40 | 6,640 | 5,915 | ||
Petroleos de Venezuela SA: | ||||
5.375% 4/12/27 | 6,810 | 2,332 | ||
5.5% 4/12/37 | 2,200 | 755 | ||
8.5% 11/2/17 (g) | 46,685 | 32,096 | ||
9.75% 5/17/35 (g) | 10,275 | 4,156 | ||
12.75% 2/17/22 (g) | 8,985 | 4,434 | ||
Petroleos Mexicanos: | ||||
3.5% 1/30/23 | 4,305 | 4,084 | ||
4.875% 1/24/22 | 3,930 | 4,087 | ||
4.875% 1/18/24 | 3,685 | 3,777 | ||
5.5% 1/21/21 | 2,545 | 2,760 | ||
5.5% 6/27/44 | 4,490 | 4,131 | ||
5.5% 6/27/44 (g) | 3,250 | 2,990 | ||
5.625% 1/23/46 (g) | 2,160 | 2,017 | ||
6.375% 1/23/45 | 5,900 | 6,055 | ||
6.5% 6/2/41 | 7,295 | 7,587 | ||
6.625% (g)(h) | 19,963 | 19,888 | ||
Petronas Capital Ltd. 3.5% 3/18/25 (g) | 2,020 | 1,998 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (g) | 1,990 | 2,007 | ||
5.25% 5/23/21 (g) | 2,185 | 2,264 | ||
6% 5/3/42 (g) | 1,320 | 1,225 | ||
6.5% 5/27/41 (g) | 6,280 | 6,225 | ||
QEP Resources, Inc. 5.25% 5/1/23 | 5,955 | 5,702 | ||
Range Resources Corp. 5% 3/15/23 | 9,130 | 8,947 | ||
Rice Energy, Inc.: | ||||
6.25% 5/1/22 | 7,770 | 7,712 | ||
7.25% 5/1/23 (g) | 1,695 | 1,737 | ||
Rosetta Resources, Inc.: | ||||
5.625% 5/1/21 | 4,560 | 4,845 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Rosetta Resources, Inc.: - continued | ||||
5.875% 6/1/22 | $ 4,750 | $ 5,071 | ||
RSP Permian, Inc. 6.625% 10/1/22 (g) | 1,785 | 1,825 | ||
Sabine Pass Liquefaction LLC 5.625% 3/1/25 (g) | 8,895 | 8,806 | ||
SemGroup Corp. 7.5% 6/15/21 | 4,100 | 4,285 | ||
Sibur Securities Ltd. 3.914% 1/31/18 (g) | 5,840 | 5,479 | ||
SM Energy Co. 5.625% 6/1/25 | 2,100 | 2,079 | ||
Southern Star Central Corp. 5.125% 7/15/22 (g) | 2,570 | 2,609 | ||
Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (g) | 3,040 | 3,162 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 4,111 | ||
Teine Energy Ltd. 6.875% 9/30/22 (g) | 4,615 | 4,453 | ||
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 1,035 | 1,219 | ||
Tesoro Corp. 5.375% 10/1/22 | 3,340 | 3,390 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | ||||
5.5% 10/15/19 (g) | 2,540 | 2,635 | ||
5.875% 10/1/20 | 791 | 819 | ||
6.125% 10/15/21 | 2,735 | 2,851 | ||
6.25% 10/15/22 (g) | 2,715 | 2,810 | ||
Transportadora de Gas del Sur SA 9.625% 5/14/20 (g) | 10,149 | 10,250 | ||
W&T Offshore, Inc. 8.5% 6/15/19 | 4,890 | 3,392 | ||
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 (g) | 1,835 | 1,890 | ||
Western Refining, Inc. 6.25% 4/1/21 | 8,595 | 8,659 | ||
Whiting Petroleum Corp.: | ||||
5% 3/15/19 | 3,480 | 3,410 | ||
5.75% 3/15/21 | 3,480 | 3,424 | ||
WPX Energy, Inc. 6% 1/15/22 | 7,035 | 6,947 | ||
YPF SA: | ||||
8.5% 7/28/25 (g) | 4,275 | 4,232 | ||
8.75% 4/4/24 (g) | 8,815 | 8,947 | ||
8.875% 12/19/18 (g) | 6,430 | 6,832 | ||
Zhaikmunai International BV 7.125% 11/13/19 (g) | 6,980 | 6,605 | ||
| 578,025 | |||
TOTAL ENERGY | 629,616 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - 8.0% | ||||
Banks - 3.2% | ||||
ABN AMRO Bank NV: | ||||
2.875% 6/30/25 (Reg. S) | EUR | 500 | $ 561 | |
7.125% 7/6/22 | EUR | 5,250 | 7,468 | |
Banco Daycoval SA 5.75% 3/19/19 (g) | 345 | 358 | ||
Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S) | 2,217 | 2,328 | ||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
5.5% 7/12/20 (g) | 1,940 | 2,018 | ||
5.75% 9/26/23 (g) | 2,445 | 2,496 | ||
6.369% 6/16/18 (g) | 2,200 | 2,354 | ||
Bank of America Corp. 1.375% 9/10/21 (Reg. S) | EUR | 6,650 | 7,369 | |
Bank of Ireland 1.25% 4/9/20 | EUR | 16,800 | 18,161 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (g) | 3,560 | 3,475 | ||
Barclays Bank PLC 6.625% 3/30/22 (Reg. S) | EUR | 3,800 | 5,245 | |
BBVA Bancomer SA 6.75% 9/30/22 (g) | 1,300 | 1,432 | ||
BBVA Colombia SA 4.875% 4/21/25 (g) | 1,295 | 1,267 | ||
BBVA Paraguay SA 9.75% 2/11/16 (g) | 4,580 | 4,744 | ||
CIT Group, Inc.: | ||||
5% 8/15/22 | 8,305 | 8,222 | ||
5.375% 5/15/20 | 10,385 | 10,826 | ||
5.5% 2/15/19 (g) | 10,070 | 10,498 | ||
Citigroup, Inc. 2.125% 9/10/26 (Reg. S) | EUR | 6,100 | 6,641 | |
Development Bank of Philippines 8.375% (h)(l) | 6,765 | 7,104 | ||
Export-Import Bank of Korea 6% 6/4/16 (Reg. S) | INR | 137,400 | 2,147 | |
Finansbank A/S: | ||||
5.5% 5/11/16 (Reg. S) | 4,575 | 4,638 | ||
6.25% 4/30/19 (g) | 3,645 | 3,675 | ||
Georgia Bank Joint Stock Co.: | ||||
7.75% 7/5/17 (g) | 7,045 | 7,278 | ||
7.75% 7/5/17 (Reg. S) | 1,100 | 1,136 | ||
GTB Finance BV: | ||||
6% 11/8/18 (g) | 7,230 | 6,858 | ||
7.5% 5/19/16 (g) | 4,675 | 4,733 | ||
HSBC Bank PLC 5% 3/20/23 (l) | GBP | 9,056 | 14,967 | |
HSBC Holdings PLC 3% 6/30/25 | EUR | 3,350 | 3,722 | |
HSBK BV 7.25% 5/3/17 (g) | 8,370 | 8,642 | ||
Industrial Senior Trust 5.5% 11/1/22 (g) | 575 | 556 | ||
ING Bank NV: | ||||
6.125% 5/29/23 (l) | EUR | 10,945 | 13,729 | |
6.875% 5/29/23 (l) | GBP | 6,500 | 11,349 | |
Intesa Sanpaolo SpA 1.125% 1/14/20 (Reg. S) | EUR | 7,300 | 7,940 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Banks - continued | ||||
Itau Unibanco Holding SA: | ||||
2.85% 5/26/18 (g) | $ 2,150 | $ 2,133 | ||
5.125% 5/13/23 (Reg. S) | 3,660 | 3,572 | ||
6.2% 12/21/21 (Reg. S) | 3,275 | 3,461 | ||
KBC Groep NV 1.875% 3/11/27 (Reg. S) (l) | EUR | 9,700 | 10,219 | |
Lloyds Bank PLC 6.5% 3/24/20 | EUR | 4,950 | 6,589 | |
National Westminster Bank PLC 6.5% 9/7/21 | GBP | 4,430 | 7,782 | |
OJSC Russian Agricultural Bank: | ||||
6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g) | 2,985 | 3,007 | ||
7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g) | 2,840 | 2,931 | ||
Rabobank Nederland 6.875% 3/19/20 (Reg. S) | EUR | 13,850 | 18,171 | |
Royal Bank of Scotland Group PLC 1.625% 6/25/19 (Reg. S) | EUR | 8,700 | 9,729 | |
RSHB Capital SA 5.298% 12/27/17 (g) | 3,840 | 3,752 | ||
SB Capital SA 5.5% 2/26/24 (g)(l) | 7,365 | 6,097 | ||
Turkiye Halk Bankasi A/S 4.75% 6/4/19 (g) | 1,400 | 1,410 | ||
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (g)(l) | 2,150 | 2,112 | ||
UniCredit SpA: | ||||
3.25% 1/14/21 (Reg. S) | EUR | 7,500 | 8,883 | |
6.95% 10/31/22 (Reg. S) | EUR | 1,150 | 1,481 | |
Zenith Bank PLC 6.25% 4/22/19 (g) | 8,770 | 8,408 | ||
| 293,674 | |||
Capital Markets - 0.3% | ||||
Argos Merger Sub, Inc. 7.125% 3/15/23 (g) | 6,585 | 6,898 | ||
Criteria Caixaholding SA 1.625% 4/21/22 | EUR | 13,100 | 13,817 | |
Morgan Stanley 5.375% 8/10/20 | EUR | 7,200 | 9,661 | |
| 30,376 | |||
Consumer Finance - 2.3% | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | ||||
4.25% 7/1/20 | 4,275 | 4,278 | ||
4.5% 5/15/21 (g) | 8,055 | 8,095 | ||
4.625% 7/1/22 | 4,275 | 4,286 | ||
Ally Financial, Inc.: | ||||
4.125% 2/13/22 | 8,795 | 8,443 | ||
4.625% 3/30/25 | 1,500 | 1,429 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Ally Financial, Inc.: - continued | ||||
5.125% 9/30/24 | $ 16,971 | $ 17,013 | ||
Credito Real S.A.B. de CV 7.5% 3/13/19 (g) | 2,775 | 2,914 | ||
FCA Capital Ireland PLC 1.375% 4/17/20 (Reg. S) | EUR | 12,200 | 13,176 | |
Ford Credit Europe PLC 1.134% 2/10/22 (Reg. S) | EUR | 7,000 | 7,460 | |
General Motors Acceptance Corp. 8% 11/1/31 | 9,006 | 11,483 | ||
GMAC LLC 8% 11/1/31 | 72,978 | 87,391 | ||
Navient Corp.: | ||||
5% 10/26/20 | 3,110 | 3,048 | ||
5.875% 10/25/24 | 6,710 | 6,307 | ||
SLM Corp.: | ||||
5.5% 1/25/23 | 22,735 | 21,598 | ||
7.25% 1/25/22 | 12,720 | 13,420 | ||
8% 3/25/20 | 7,185 | 8,011 | ||
| 218,352 | |||
Diversified Financial Services - 1.0% | ||||
Cimpor Financial Operations BV 5.75% 7/17/24 (g) | 2,880 | 2,333 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
4.875% 3/15/19 | 7,260 | 7,314 | ||
5.875% 2/1/22 | 18,530 | 18,877 | ||
6% 8/1/20 | 25,690 | 26,525 | ||
Malaysia Sovereign Sukuk Bhd 3.043% 4/22/25 (g) | 3,130 | 3,112 | ||
MSCI, Inc. 5.25% 11/15/24 (g) | 2,735 | 2,769 | ||
Nationwide Building Society 4.125% 3/20/23 (Reg. S) (l) | EUR | 13,250 | 15,663 | |
TMK Capital SA: | ||||
6.75% 4/3/20 (Reg. S) | 2,730 | 2,361 | ||
7.75% 1/27/18 | 4,795 | 4,672 | ||
Unite (USAF) II PLC 3.374% 6/30/28 | GBP | 4,450 | 7,059 | |
Wendel SA 2.75% 10/2/24 (Reg. S) | EUR | 3,900 | 4,405 | |
| 95,090 | |||
Insurance - 0.2% | ||||
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (g) | 9,770 | 9,965 | ||
Society of Lloyd's 4.75% 10/30/24 | GBP | 2,700 | 4,264 | |
| 14,229 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - 0.5% | ||||
Communications Sales & Leasing, Inc.: | ||||
6% 4/15/23 (g) | $ 1,895 | $ 1,853 | ||
8.25% 10/15/23 (g) | 4,260 | 4,185 | ||
Crown Castle International Corp. 5.25% 1/15/23 | 8,270 | 8,330 | ||
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 | 700 | 712 | ||
Iron Mountain, Inc. 5.75% 8/15/24 | 3,800 | 3,802 | ||
MPT Operating Partnership LP/MPT Finance Corp. 6.375% 2/15/22 | 4,335 | 4,622 | ||
Omega Healthcare Investors, Inc. 5.875% 3/15/24 | 13,845 | 14,728 | ||
Prologis LP 3% 6/2/26 | EUR | 6,700 | 7,752 | |
Scentre Management Ltd./ RE1 Ltd. 2.25% 7/16/24 (Reg. S) | EUR | 2,118 | 2,411 | |
The GEO Group, Inc. 5.125% 4/1/23 | 1,910 | 1,905 | ||
| 50,300 | |||
Real Estate Management & Development - 0.5% | ||||
CBRE Group, Inc.: | ||||
5% 3/15/23 | 9,605 | 9,701 | ||
5.25% 3/15/25 | 5,100 | 5,279 | ||
Deutsche Annington Finance BV 2.125% 7/9/22 (Reg. S) | EUR | 2,924 | 3,306 | |
Grand City Properties SA 1.5% 4/17/25 (Reg. S) | EUR | 5,000 | 4,963 | |
Howard Hughes Corp. 6.875% 10/1/21 (g) | 10,865 | 11,517 | ||
Inversiones y Representaciones SA: | ||||
8.5% 2/2/17 (Reg. S) | 285 | 284 | ||
11.5% 7/20/20 (Reg. S) | 15 | 17 | ||
Realogy Corp. 9% 1/15/20 (g) | 3,740 | 4,030 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.25% 4/15/21 (g) | 7,370 | 7,259 | ||
| 46,356 | |||
TOTAL FINANCIALS | 748,377 | |||
HEALTH CARE - 2.6% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Alere, Inc. 6.375% 7/1/23 (g) | 1,935 | 1,969 | ||
Hologic, Inc. 5.25% 7/15/22 (g)(i) | 4,650 | 4,749 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Equipment & Supplies - continued | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC: | ||||
4.875% 4/15/20 (g) | $ 2,040 | $ 2,076 | ||
5.5% 4/15/25 (g) | 1,700 | 1,649 | ||
| 10,443 | |||
Health Care Providers & Services - 1.5% | ||||
AmSurg Corp. 5.625% 7/15/22 | 4,130 | 4,166 | ||
HCA Holdings, Inc.: | ||||
4.75% 5/1/23 | 6,115 | 6,191 | ||
5.25% 4/15/25 | 13,180 | 13,707 | ||
5.375% 2/1/25 | 8,650 | 8,791 | ||
5.875% 3/15/22 | 19,190 | 20,869 | ||
5.875% 5/1/23 | 7,155 | 7,602 | ||
6.5% 2/15/20 | 9,920 | 11,086 | ||
7.5% 2/15/22 | 12,110 | 13,911 | ||
HealthSouth Corp. 5.75% 11/1/24 | 6,425 | 6,562 | ||
InVentiv Health, Inc. 11% 8/15/18 (g)(l) | 905 | 873 | ||
Kindred Escrow Corp. II: | ||||
8% 1/15/20 (g) | 4,440 | 4,751 | ||
8.75% 1/15/23 (g) | 3,330 | 3,617 | ||
MPH Acquisition Holdings LLC 6.625% 4/1/22 (g) | 2,060 | 2,104 | ||
Quintiles Transnational Corp. 4.875% 5/15/23 (g) | 3,340 | 3,357 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 3,075 | 3,160 | ||
5.5% 2/1/21 | 2,250 | 2,329 | ||
Tenet Healthcare Corp.: | ||||
6.75% 6/15/23 (g) | 7,335 | 7,482 | ||
6.875% 11/15/31 | 11,540 | 10,675 | ||
Truven Health Analytics, Inc. 10.625% 6/1/20 | 4,285 | 4,489 | ||
| 135,722 | |||
Life Sciences Tools & Services - 0.1% | ||||
Jaguar Holding Co. I 9.375% 10/15/17 pay-in-kind (g)(l) | 4,255 | 4,345 | ||
Thermo Fisher Scientific, Inc. 2% 4/15/25 | EUR | 8,100 | 8,721 | |
| 13,066 | |||
Pharmaceuticals - 0.9% | ||||
Concordia Healthcare Corp. 7% 4/15/23 (g) | 2,090 | 2,090 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.: | ||||
6% 7/15/23 (g)(i) | $ 5,410 | $ 5,532 | ||
6% 2/1/25 (g) | 6,115 | 6,214 | ||
JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (g)(l) | 2,295 | 2,329 | ||
Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (g) | 5,922 | 6,618 | ||
Valeant Pharmaceuticals International: | ||||
5.625% 12/1/21 (g) | 1,615 | 1,651 | ||
6.75% 8/15/21 (g) | 4,210 | 4,389 | ||
7.5% 7/15/21 (g) | 4,070 | 4,380 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
5.375% 3/15/20 (g) | 7,635 | 7,883 | ||
5.875% 5/15/23 (g) | 20,705 | 21,223 | ||
6.125% 4/15/25 (g) | 14,710 | 15,133 | ||
VPI Escrow Corp. 6.375% 10/15/20 (g) | 9,225 | 9,715 | ||
| 87,157 | |||
TOTAL HEALTH CARE | 246,388 | |||
INDUSTRIALS - 3.7% | ||||
Aerospace & Defense - 0.3% | ||||
Alion Science & Technology Corp. 15.25% 2/18/20 pay-in-kind | 842 | 789 | ||
Bombardier, Inc. 6.125% 1/15/23 (g) | 2,240 | 1,988 | ||
GenCorp, Inc. 7.125% 3/15/21 | 1,340 | 1,427 | ||
Huntington Ingalls Industries, Inc. 5% 12/15/21 (g) | 2,700 | 2,747 | ||
KLX, Inc. 5.875% 12/1/22 (g) | 11,260 | 11,371 | ||
Triumph Group, Inc. 4.875% 4/1/21 | 4,990 | 4,890 | ||
| 23,212 | |||
Air Freight & Logistics - 0.1% | ||||
XPO Logistics, Inc. 7.875% 9/1/19 (g) | 5,235 | 5,594 | ||
Airlines - 0.6% | ||||
Air Canada: | ||||
5.375% 11/15/22 (g) | 1,526 | 1,587 | ||
7.75% 4/15/21 (g) | 3,800 | 4,057 | ||
Allegiant Travel Co. 5.5% 7/15/19 | 1,270 | 1,280 | ||
Aviation Capital Group Corp. 4.625% 1/31/18 (g) | 3,555 | 3,680 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 6.903% 4/19/22 | $ 731 | $ 773 | ||
6.125% 4/29/18 | 1,720 | 1,793 | ||
7.25% 11/10/19 | 3,788 | 4,356 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 7,770 | 8,916 | ||
8.021% 8/10/22 | 2,618 | 3,004 | ||
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 1/15/22 | 2,372 | 2,300 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 1,737 | 1,959 | ||
8.028% 11/1/17 | 462 | 514 | ||
U.S. Airways Group, Inc. 6.125% 6/1/18 | 7,310 | 7,588 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2011-1 Class A, 7.125% 4/22/25 | 4,060 | 4,709 | ||
Series 2012-2 Class B, 6.75% 12/3/22 | 1,683 | 1,826 | ||
Series 2013-1 Class B, 5.375% 5/15/23 | 2,234 | 2,289 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 4,039 | 4,392 | ||
United Continental Holdings, Inc. 6.375% 6/1/18 | 960 | 1,001 | ||
| 56,024 | |||
Building Products - 0.0% | ||||
Shea Homes Ltd. Partnershp/Corp.: | ||||
5.875% 4/1/23 (g) | 1,380 | 1,397 | ||
6.125% 4/1/25 (g) | 1,380 | 1,390 | ||
| 2,787 | |||
Commercial Services & Supplies - 0.6% | ||||
ADT Corp. 6.25% 10/15/21 | 13,075 | 13,729 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 | 3,875 | 3,759 | ||
8.75% 12/1/20 | 5,230 | 4,707 | ||
Bakercorp International, Inc. 8.25% 6/1/19 | 830 | 710 | ||
Cenveo Corp. 6% 8/1/19 (g) | 2,480 | 2,331 | ||
Clean Harbors, Inc.: | ||||
5.125% 6/1/21 | 3,050 | 3,020 | ||
5.25% 8/1/20 | 3,395 | 3,446 | ||
Covanta Holding Corp.: | ||||
5.875% 3/1/24 | 3,120 | 3,104 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
Covanta Holding Corp.: - continued | ||||
7.25% 12/1/20 | $ 4,940 | $ 5,187 | ||
Garda World Security Corp. 7.25% 11/15/21 (g) | 1,825 | 1,752 | ||
R.R. Donnelley & Sons Co.: | ||||
6% 4/1/24 | 1,925 | 1,935 | ||
7% 2/15/22 | 3,500 | 3,763 | ||
7.875% 3/15/21 | 4,975 | 5,616 | ||
TMS International Corp. 7.625% 10/15/21 (g) | 970 | 946 | ||
| 54,005 | |||
Construction & Engineering - 0.1% | ||||
AECOM Technology Corp.: | ||||
5.75% 10/15/22 (g) | 2,165 | 2,192 | ||
5.875% 10/15/24 (g) | 1,855 | 1,881 | ||
Cementos Progreso Trust 7.125% 11/6/23 (g) | 1,870 | 1,991 | ||
MasTec, Inc. 4.875% 3/15/23 | 5,255 | 4,795 | ||
Odebrecht Finance Ltd. 4.375% 4/25/25 (g) | 2,170 | 1,659 | ||
| 12,518 | |||
Electrical Equipment - 0.1% | ||||
Sensata Technologies BV: | ||||
4.875% 10/15/23 (g) | 2,505 | 2,474 | ||
5% 10/1/25 (g) | 4,355 | 4,241 | ||
| 6,715 | |||
Industrial Conglomerates - 0.0% | ||||
Alfa SA de CV 5.25% 3/25/24 (g) | 1,490 | 1,527 | ||
Machinery - 0.1% | ||||
Schaeffler Finance BV 4.75% 5/15/21 (g) | 4,880 | 4,904 | ||
Terex Corp. 6% 5/15/21 | 4,755 | 4,779 | ||
| 9,683 | |||
Marine - 0.1% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (g) | 5,205 | 5,127 | ||
Navios Maritime Holdings, Inc. 7.375% 1/15/22 (g) | 1,529 | 1,324 | ||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (g) | 4,035 | 3,864 | ||
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 | 3,130 | 2,754 | ||
| 13,069 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Professional Services - 0.0% | ||||
Pontis III Ltd. 0% (e)(g)(h) | $ 2,805 | $ 2,791 | ||
Road & Rail - 0.1% | ||||
JSC Georgian Railway 7.75% 7/11/22 (g) | 1,800 | 1,952 | ||
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (g) | 1,870 | 1,910 | ||
| 3,862 | |||
Trading Companies & Distributors - 1.4% | ||||
Aircastle Ltd.: | ||||
4.625% 12/15/18 | 3,405 | 3,507 | ||
5.5% 2/15/22 | 4,250 | 4,338 | ||
6.25% 12/1/19 | 5,850 | 6,340 | ||
7.625% 4/15/20 | 3,750 | 4,242 | ||
Ashtead Capital, Inc. 5.625% 10/1/24 (g) | 4,250 | 4,261 | ||
International Lease Finance Corp.: | ||||
4.625% 4/15/21 | 6,645 | 6,711 | ||
5.875% 4/1/19 | 13,663 | 14,567 | ||
5.875% 8/15/22 | 15,215 | 16,432 | ||
6.25% 5/15/19 | 19,100 | 20,652 | ||
8.25% 12/15/20 | 21,490 | 25,519 | ||
8.625% 1/15/22 | 21,585 | 26,334 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (g) | 1,505 | 1,520 | ||
| 134,423 | |||
Transportation Infrastructure - 0.2% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g) | 6,026 | 6,448 | ||
Heathrow Funding Ltd. 6.25% 9/10/18 | GBP | 7,100 | 12,453 | |
| 18,901 | |||
TOTAL INDUSTRIALS | 345,111 | |||
INFORMATION TECHNOLOGY - 2.2% | ||||
Communications Equipment - 0.5% | ||||
Alcatel-Lucent U.S.A., Inc.: | ||||
6.75% 11/15/20 (g) | 7,530 | 7,963 | ||
8.875% 1/1/20 (g) | 2,695 | 2,931 | ||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (g) | 6,705 | 6,772 | ||
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 3,330 | 3,222 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 17,025 | $ 17,578 | ||
6.5% 1/15/28 | 6,255 | 6,443 | ||
| 44,909 | |||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
4.625% 2/15/20 | 4,785 | 4,893 | ||
5% 2/15/23 | 2,495 | 2,544 | ||
| 7,437 | |||
Internet Software & Services - 0.2% | ||||
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 | 3,595 | 3,721 | ||
j2 Global, Inc. 8% 8/1/20 | 3,460 | 3,737 | ||
VeriSign, Inc.: | ||||
4.625% 5/1/23 | 4,375 | 4,205 | ||
5.25% 4/1/25 (g) | 4,270 | 4,259 | ||
| 15,922 | |||
IT Services - 0.4% | ||||
Audatex North America, Inc.: | ||||
6% 6/15/21 (g) | 9,200 | 9,453 | ||
6.125% 11/1/23 (g) | 1,345 | 1,382 | ||
CDW LLC/CDW Finance Corp. 5% 9/1/23 | 4,285 | 4,210 | ||
Ceridian HCM Holding, Inc. 11% 3/15/21 (g) | 2,360 | 2,496 | ||
First Data Corp.: | ||||
11.25% 1/15/21 | 2,564 | 2,846 | ||
11.75% 8/15/21 | 9,380 | 10,553 | ||
Global Cash Access, Inc. 10% 1/15/22 (g) | 2,900 | 2,748 | ||
| 33,688 | |||
Semiconductors & Semiconductor Equipment - 0.5% | ||||
Advanced Micro Devices, Inc. 7% 7/1/24 | 4,430 | 3,743 | ||
Entegris, Inc. 6% 4/1/22 (g) | 1,275 | 1,310 | ||
Infineon Technologies AG 1.5% 3/10/22 (Reg. S) | EUR | 1,950 | 2,129 | |
Micron Technology, Inc.: | ||||
5.25% 8/1/23 (g) | 1,740 | 1,668 | ||
5.25% 1/15/24 (g) | 3,250 | 3,069 | ||
5.5% 2/1/25 (g) | 12,245 | 11,474 | ||
5.625% 1/15/26 (g) | 3,250 | 3,002 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Micron Technology, Inc.: - continued | ||||
5.875% 2/15/22 | $ 2,615 | $ 2,661 | ||
NXP BV/NXP Funding LLC: | ||||
5.75% 2/15/21 (g) | 5,005 | 5,205 | ||
5.75% 3/15/23 (g) | 12,445 | 12,943 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (g) | 2,200 | 2,208 | ||
| 49,412 | |||
Software - 0.4% | ||||
Activision Blizzard, Inc.: | ||||
5.625% 9/15/21 (g) | 18,545 | 19,426 | ||
6.125% 9/15/23 (g) | 4,825 | 5,175 | ||
Blue Coat Systems, Inc. 8.375% 6/1/23 (g) | 3,790 | 3,856 | ||
Infor Software Parent LLC/Infor Software Parent, Inc. 7.125% 5/1/21 pay-in-kind (g)(l) | 1,885 | 1,890 | ||
Italics Merger Sub, Inc. 7.125% 7/15/23 (g) | 2,150 | 2,123 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (g) | 2,445 | 2,457 | ||
Sophia Holding Finance LP/Sophia Holding Finance, Inc. 9.625% 12/1/18 pay-in-kind (g)(l) | 3,425 | 3,468 | ||
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (g) | 3,370 | 3,404 | ||
| 41,799 | |||
Technology Hardware, Storage & Peripherals - 0.1% | ||||
Project Homestake Merger Corp. 8.875% 3/1/23 (g) | 2,375 | 2,304 | ||
Seagate HDD Cayman 4.75% 1/1/25 (g) | 4,335 | 4,308 | ||
| 6,612 | |||
TOTAL INFORMATION TECHNOLOGY | 199,779 | |||
MATERIALS - 3.7% | ||||
Chemicals - 1.3% | ||||
Albemarle Corp. U.S. 1.875% 12/8/21 (Reg. S) | EUR | 8,900 | 9,783 | |
Chemtura Corp. 5.75% 7/15/21 | 2,355 | 2,390 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 | 5,865 | 5,381 | ||
LSB Industries, Inc. 7.75% 8/1/19 | 1,680 | 1,781 | ||
Momentive Performance Materials, Inc.: | ||||
3.88% 10/24/21 | 44,218 | 39,686 | ||
4.69% 4/24/22 | 14,170 | 11,761 | ||
10% 10/15/20 (c) | 14,170 | 0 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (c) | $ 44,218 | $ 0 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (g) | 2,020 | 2,065 | ||
OCP SA 5.625% 4/25/24 (g) | 1,270 | 1,326 | ||
Platform Specialty Products Corp. 6.5% 2/1/22 (g) | 3,325 | 3,433 | ||
PolyOne Corp.: | ||||
5.25% 3/15/23 | 3,085 | 3,054 | ||
7.375% 9/15/20 | 1,845 | 1,928 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (g) | 3,435 | 3,349 | ||
8.25% 1/15/21 (g) | 1,730 | 1,682 | ||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (g) | 2,120 | 2,088 | ||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.: | ||||
7.375% 2/1/20 (g) | 2,350 | 2,374 | ||
7.375% 2/1/20 (g) | 1,680 | 1,697 | ||
The Chemours Company LLC: | ||||
6.625% 5/15/23 (g) | 650 | 630 | ||
7% 5/15/25 (g) | 3,465 | 3,361 | ||
TPC Group, Inc. 8.75% 12/15/20 (g) | 7,335 | 6,785 | ||
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (g) | 2,450 | 2,625 | ||
W.R. Grace & Co. - Conn: | ||||
5.125% 10/1/21 (g) | 13,010 | 13,108 | ||
5.625% 10/1/24 (g) | 2,840 | 2,876 | ||
| 123,163 | |||
Construction Materials - 0.1% | ||||
CEMEX Finance LLC: | ||||
6% 4/1/24 (g) | 1,500 | 1,485 | ||
9.375% 10/12/22 (g) | 2,370 | 2,640 | ||
Prince Mineral Holding Corp. 11.5% 12/15/19 (g) | 1,685 | 1,550 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g) | 3,215 | 3,127 | ||
Union Andina de Cementos SAA 5.875% 10/30/21 (g) | 2,055 | 2,078 | ||
| 10,880 | |||
Containers & Packaging - 0.8% | ||||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (g)(l) | 12,304 | 12,691 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
6% 6/30/21 (g) | $ 9,740 | $ 9,716 | ||
6.25% 1/31/19 (g) | 2,410 | 2,452 | ||
6.75% 1/31/21 (g) | 4,915 | 5,026 | ||
7% 11/15/20 (g) | 530 | 541 | ||
Beverage Packaging Holdings II SA (Luxembourg): | ||||
5.625% 12/15/16 (g) | 5,435 | 5,425 | ||
6% 6/15/17 (g) | 2,720 | 2,720 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (g) | 2,060 | 1,833 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 11,295 | 12,679 | ||
7.5% 12/15/96 | 3,685 | 3,547 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 1,555 | 1,571 | ||
Sealed Air Corp. 5.25% 4/1/23 (g) | 2,540 | 2,556 | ||
Silgan Holdings, Inc. 5% 4/1/20 | 9,600 | 9,864 | ||
| 70,621 | |||
Metals & Mining - 1.4% | ||||
Aleris International, Inc. 6% 6/1/20 (g) | 33 | 33 | ||
Alrosa Finance SA 7.75% 11/3/20 (g) | 2,285 | 2,388 | ||
Cliffs Natural Resources, Inc.: | ||||
7.75% 3/31/20 (g) | 7,943 | 5,084 | ||
8.25% 3/31/20 (g) | 3,265 | 3,085 | ||
Compania Minera Ares SAC 7.75% 1/23/21 (g) | 2,880 | 2,956 | ||
CSN Resources SA 6.5% 7/21/20 (g) | 1,600 | 1,360 | ||
Edgen Murray Corp. 8.75% 11/1/20 (g) | 3,848 | 4,156 | ||
Essar Steel Algoma, Inc. 9.5% 11/15/19 (g) | 3,790 | 3,212 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (g) | 5,345 | 4,835 | ||
9.5% 4/24/18 (Reg. S) | 9,565 | 9,849 | ||
Evraz, Inc. NA Canada 7.5% 11/15/19 (g) | 5,600 | 5,516 | ||
Ferrexpo Finance PLC 10.375% 4/7/19 (g) | 6,330 | 5,286 | ||
First Quantum Minerals Ltd.: | ||||
6.75% 2/15/20 (g) | 3,138 | 3,036 | ||
7% 2/15/21 (g) | 3,533 | 3,378 | ||
7.25% 5/15/22 (g) | 3,980 | 3,806 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Gold Fields Orogen Holding BVI Ltd.: | ||||
4.875% 10/7/20 (g) | $ 6,140 | $ 5,618 | ||
4.875% 10/7/20 (Reg. S) | 400 | 366 | ||
GTL Trade Finance, Inc. 5.893% 4/29/24 (g) | 3,450 | 3,365 | ||
Metalloinvest Finance Ltd. 5.625% 4/17/20 (g) | 1,880 | 1,720 | ||
Metinvest BV: | ||||
8.75% 2/14/18 (Reg. S) | 955 | 535 | ||
10.5% 11/28/17 (g) | 10,548 | 6,065 | ||
10.5% 11/28/17 (Reg. S) | 187 | 108 | ||
Mirabela Nickel Ltd. 1% 9/10/44 (g) | 14 | 0 | ||
Murray Energy Corp. 11.25% 4/15/21 (g) | 8,770 | 7,367 | ||
New Gold, Inc. 7% 4/15/20 (g) | 1,480 | 1,532 | ||
Nord Gold NV 6.375% 5/7/18 (g) | 5,685 | 5,628 | ||
Polyus Gold International Ltd.: | ||||
5.625% 4/29/20 (g) | 10,085 | 9,480 | ||
5.625% 4/29/20 (Reg. S) | 500 | 470 | ||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: | ||||
9% 10/15/17 | 7,005 | 7,058 | ||
11.25% 10/15/18 | 7,091 | 7,162 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 220 | 227 | ||
7.5% 7/27/35 | 3,875 | 4,340 | ||
Steel Dynamics, Inc.: | ||||
5.125% 10/1/21 | 1,280 | 1,283 | ||
5.25% 4/15/23 | 1,805 | 1,791 | ||
5.5% 10/1/24 | 3,200 | 3,200 | ||
Vale Overseas Ltd. 6.875% 11/21/36 | 2,160 | 2,088 | ||
Vedanta Resources PLC 6.75% 6/7/16 (g) | 3,410 | 3,491 | ||
Walter Energy, Inc. 9.5% 10/15/19 (g) | 2,645 | 1,428 | ||
| 132,302 | |||
Paper & Forest Products - 0.1% | ||||
Boise Cascade Co. 6.375% 11/1/20 | 1,410 | 1,486 | ||
Mercer International, Inc.: | ||||
7% 12/1/19 | 3,105 | 3,245 | ||
7.75% 12/1/22 | 5,580 | 5,999 | ||
NewPage Corp.: | ||||
0% 5/1/12 (c)(l) | 1,770 | 0 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
NewPage Corp.: - continued | ||||
11.375% 12/31/14 (c) | $ 4,404 | $ 0 | ||
Sino-Forest Corp. 6.25% 10/21/17 (c)(g) | 5,480 | 0 | ||
| 10,730 | |||
TOTAL MATERIALS | 347,696 | |||
TELECOMMUNICATION SERVICES - 4.6% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Altice Financing SA: | ||||
6.5% 1/15/22 (g) | 10,799 | 10,799 | ||
6.625% 2/15/23 (g) | 8,265 | 8,205 | ||
7.875% 12/15/19 (g) | 4,820 | 5,073 | ||
Altice Finco SA: | ||||
8.125% 1/15/24 (g) | 8,730 | 8,817 | ||
9.875% 12/15/20 (g) | 5,655 | 6,221 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 4,528 | ||
9% 8/15/31 | 3,655 | 3,326 | ||
Consolidated Communications, Inc. 10.875% 6/1/20 | 2,395 | 2,742 | ||
Eileme 2 AB 11.625% 1/31/20 (g) | 9,395 | 10,428 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (g) | 4,990 | 5,190 | ||
Frontier Communications Corp. 8.5% 4/15/20 | 12,120 | 12,671 | ||
GCI, Inc. 6.875% 4/15/25 | 4,240 | 4,282 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (g) | 3,445 | 3,566 | ||
Level 3 Communications, Inc. 5.75% 12/1/22 | 4,685 | 4,650 | ||
Level 3 Financing, Inc.: | ||||
5.125% 5/1/23 (g) | 4,340 | 4,232 | ||
5.375% 5/1/25 (g) | 4,340 | 4,183 | ||
Lynx I Corp. 5.375% 4/15/21 (g) | 2,898 | 2,985 | ||
Lynx II Corp. 6.375% 4/15/23 (g) | 1,820 | 1,881 | ||
Qtel International Finance Ltd. 5% 10/19/25 (g) | 2,155 | 2,320 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 15,690 | 13,493 | ||
8.75% 3/15/32 | 7,721 | 7,509 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g) | 1,880 | 1,946 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
U.S. West Communications: | ||||
6.875% 9/15/33 | $ 2,535 | $ 2,507 | ||
7.25% 9/15/25 | 535 | 611 | ||
7.25% 10/15/35 | 1,455 | 1,491 | ||
UPCB Finance IV Ltd. 5.375% 1/15/25 (g) | 4,635 | 4,424 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 5,445 | 5,118 | ||
| 143,198 | |||
Wireless Telecommunication Services - 3.1% | ||||
America Movil S.A.B. de CV 6.45% 12/5/22 | MXN | 79,000 | 4,815 | |
Comcel Trust 6.875% 2/6/24 (g) | 1,875 | 1,973 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (g) | 27,845 | 26,846 | ||
6.75% 3/1/23 (g) | 1,880 | 1,843 | ||
7% 2/15/20 (g) | 2,330 | 2,412 | ||
7.125% 4/1/22 (g) | 30,060 | 28,548 | ||
8.25% 9/30/20 (g) | 32,570 | 32,651 | ||
Intelsat Jackson Holdings SA: | ||||
6.625% 12/15/22 (Reg. S) | 12,000 | 10,920 | ||
7.5% 4/1/21 | 5,185 | 5,127 | ||
Millicom International Cellular SA: | ||||
4.75% 5/22/20 (g) | 4,710 | 4,529 | ||
6% 3/15/25 (g) | 3,755 | 3,624 | ||
6.625% 10/15/21 (g) | 1,475 | 1,516 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (g) | 9,215 | 9,933 | ||
Sprint Corp. 7.125% 6/15/24 | 1,565 | 1,452 | ||
T-Mobile U.S.A., Inc.: | ||||
6% 3/1/23 | 7,490 | 7,668 | ||
6.125% 1/15/22 | 7,790 | 8,043 | ||
6.25% 4/1/21 | 15,470 | 15,857 | ||
6.375% 3/1/25 | 33,465 | 34,218 | ||
6.5% 1/15/24 | 20,640 | 21,311 | ||
6.625% 4/1/23 | 20,286 | 21,072 | ||
6.633% 4/28/21 | 7,440 | 7,719 | ||
6.731% 4/28/22 | 4,835 | 5,040 | ||
6.836% 4/28/23 | 5,580 | 5,866 | ||
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 1,630 | 1,622 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) | $ 2,150 | $ 2,301 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g) | 13,615 | 13,666 | ||
VimpelCom Holdings BV: | ||||
9% 2/13/18 (g) | RUB | 60,220 | 1,000 | |
9% 2/13/18 (Reg S.) | RUB | 96,940 | 1,610 | |
| 283,182 | |||
TOTAL TELECOMMUNICATION SERVICES | 426,380 | |||
UTILITIES - 2.0% | ||||
Electric Utilities - 0.8% | ||||
E.ON International Finance BV 5.875% 10/30/37 | GBP | 5,000 | 9,306 | |
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
11% 10/1/21 (c) | 24,490 | 27,551 | ||
11.75% 3/1/22 (c)(g) | 22,732 | 25,886 | ||
Lamar Funding Ltd. 3.958% 5/7/25 (g) | 1,875 | 1,823 | ||
Mirant Americas Generation LLC 9.125% 5/1/31 | 4,075 | 3,790 | ||
RJS Power Holdings LLC 5.125% 7/15/19 (g) | 4,245 | 4,160 | ||
| 72,516 | |||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 2,095 | 2,158 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 7,463 | ||
8% 3/1/32 | 3,400 | 4,036 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,545 | ||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21 | 2,721 | 2,905 | ||
| 19,107 | |||
Independent Power and Renewable Electricity Producers - 1.0% | ||||
Calpine Corp. 7.875% 1/15/23 (g) | 4,840 | 5,227 | ||
Energy Future Holdings Corp.: | ||||
10.875% 11/1/17 (c) | 10,985 | 13,017 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - continued | ||||
Energy Future Holdings Corp.: - continued | ||||
11.25% 11/1/17 pay-in-kind (c)(l) | $ 8,822 | $ 10,454 | ||
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 1,815 | 1,897 | ||
PPL Energy Supply LLC 6.5% 6/1/25 (g) | 3,425 | 3,425 | ||
TerraForm Power Operating LLC 5.875% 2/1/23 (g) | 2,680 | 2,720 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 5,485 | 5,156 | ||
5.5% 3/15/24 | 2,635 | 2,536 | ||
TXU Corp.: | ||||
5.55% 11/15/14 (c) | 1,864 | 1,967 | ||
6.5% 11/15/24 (c) | 15,240 | 16,002 | ||
6.55% 11/15/34 (c) | 29,755 | 31,243 | ||
| 93,644 | |||
TOTAL UTILITIES | 185,267 | |||
TOTAL NONCONVERTIBLE BONDS | 4,016,374 | |||
TOTAL CORPORATE BONDS (Cost $3,966,522) |
| |||
U.S. Government and Government Agency Obligations - 15.4% | ||||
| ||||
U.S. Government Agency Obligations - 0.3% | ||||
Federal Home Loan Bank 1% 6/21/17 | 8,670 | 8,714 | ||
Tennessee Valley Authority: | ||||
1.75% 10/15/18 | 15,059 | 15,181 | ||
5.25% 9/15/39 | 1,138 | 1,380 | ||
5.375% 4/1/56 | 3,247 | 3,908 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 29,183 | |||
U.S. Treasury Inflation-Protected Obligations - 0.4% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 23,521 | 21,324 | ||
1.375% 2/15/44 | 12,234 | 12,964 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 34,288 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - 14.0% | ||||
U.S. Treasury Bonds: | ||||
3% 5/15/45 | $ 14,332 | $ 13,978 | ||
3.375% 5/15/44 | 5,044 | 5,273 | ||
3.625% 2/15/44 | 75,957 | 83,137 | ||
4.25% 5/15/39 | 17,000 | 20,433 | ||
5.25% 2/15/29 | 18,341 | 23,888 | ||
5.375% 2/15/31 (k) | 16,479 | 22,108 | ||
6.125% 8/15/29 (j) | 9,280 | 13,107 | ||
7.5% 11/15/16 | 2,850 | 3,125 | ||
7.5% 11/15/24 | 5,690 | 8,210 | ||
7.875% 2/15/21 | 6,800 | 9,021 | ||
8.125% 5/15/21 | 9,286 | 12,526 | ||
U.S. Treasury Notes: | ||||
0.25% 7/15/15 | 22,225 | 22,227 | ||
0.25% 5/15/16 | 10,407 | 10,402 | ||
0.375% 1/15/16 | 35,003 | 35,041 | ||
0.375% 10/31/16 | 25,000 | 24,973 | ||
0.5% 2/28/17 | 3,924 | 3,920 | ||
0.5% 7/31/17 | 16,952 | 16,888 | ||
0.625% 12/31/16 | 65,882 | 65,995 | ||
0.75% 4/15/18 | 12,453 | 12,380 | ||
0.875% 1/31/17 | 1,865 | 1,875 | ||
0.875% 5/15/17 | 8,337 | 8,373 | ||
0.875% 8/15/17 | 28,906 | 29,008 | ||
0.875% 10/15/17 | 8,270 | 8,285 | ||
0.875% 1/31/18 | 8,149 | 8,148 | ||
0.875% 7/31/19 | 34,096 | 33,366 | ||
1% 9/30/16 | 56,457 | 56,863 | ||
1% 10/31/16 | 35,137 | 35,387 | ||
1% 5/15/18 | 10,000 | 10,005 | ||
1% 5/31/18 | 23,293 | 23,286 | ||
1.125% 6/15/18 | 5,000 | 5,016 | ||
1.375% 7/31/18 | 4,355 | 4,396 | ||
1.375% 9/30/18 | 11,963 | 12,054 | ||
1.375% 2/28/19 | 41,776 | 41,897 | ||
1.375% 3/31/20 | 4,936 | 4,884 | ||
1.375% 4/30/20 | 42,203 | 41,705 | ||
1.5% 12/31/18 | 5,624 | 5,676 | ||
1.5% 1/31/19 | 38,339 | 38,663 | ||
1.5% 5/31/20 | 17,150 | 17,039 | ||
1.5% 1/31/22 | 25,140 | 24,311 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
1.625% 4/30/19 | $ 50,979 | $ 51,517 | ||
1.625% 6/30/19 | 39,152 | 39,495 | ||
1.625% 12/31/19 | 10,776 | 10,811 | ||
1.75% 9/30/19 | 39,910 | 40,356 | ||
1.75% 3/31/22 | 3,760 | 3,688 | ||
1.875% 8/31/17 | 7,700 | 7,892 | ||
1.875% 9/30/17 | 5,400 | 5,534 | ||
1.875% 10/31/17 | 13,764 | 14,106 | ||
2% 5/31/21 | 24,000 | 24,135 | ||
2% 2/15/25 | 5,586 | 5,419 | ||
2.125% 6/30/21 | 11,000 | 11,126 | ||
2.125% 6/30/22 | 23,000 | 23,074 | ||
2.25% 3/31/21 | 51,137 | 52,204 | ||
2.25% 4/30/21 | 45,402 | 46,321 | ||
2.25% 11/15/24 | 6,266 | 6,217 | ||
2.375% 7/31/17 | 21,976 | 22,735 | ||
2.375% 6/30/18 | 7,978 | 8,293 | ||
2.375% 8/15/24 | 27,099 | 27,205 | ||
2.625% 4/30/16 | 3,137 | 3,197 | ||
2.75% 11/30/16 | 7,000 | 7,222 | ||
3% 9/30/16 | 8,408 | 8,677 | ||
3% 2/28/17 | 34,584 | 35,975 | ||
3.5% 2/15/18 | 18,226 | 19,449 | ||
4.5% 5/15/17 | 13,745 | 14,733 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,306,250 | |||
Other Government Related - 0.7% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5235% 12/7/20 (NCUA Guaranteed) (l) | 1,995 | 1,997 | ||
Series 2011-R1 Class 1A, 0.6305% 1/8/20 (NCUA Guaranteed) (l) | 4,382 | 4,403 | ||
Series 2011-R4 Class 1A, 0.5605% 3/6/20 (NCUA Guaranteed) (l) | 1,617 | 1,619 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Other Government Related - continued | ||||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
2.35% 6/12/17 (NCUA Guaranteed) | $ 31,000 | $ 31,915 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 27,025 | ||
TOTAL OTHER GOVERNMENT RELATED | 66,959 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,417,887) |
| |||
U.S. Government Agency - Mortgage Securities - 1.1% | ||||
| ||||
Fannie Mae - 0.2% | ||||
1.865% 10/1/35 (l) | 23 | 25 | ||
1.915% 11/1/33 (l) | 51 | 54 | ||
1.925% 9/1/33 (l) | 443 | 465 | ||
1.925% 11/1/35 (l) | 359 | 377 | ||
2.045% 1/1/35 (l) | 223 | 235 | ||
2.052% 6/1/36 (l) | 46 | 49 | ||
2.142% 9/1/36 (l) | 103 | 110 | ||
2.19% 3/1/37 (l) | 25 | 27 | ||
2.231% 3/1/33 (l) | 104 | 110 | ||
2.278% 6/1/47 (l) | 144 | 154 | ||
2.289% 11/1/36 (l) | 40 | 42 | ||
2.321% 7/1/35 (l) | 167 | 178 | ||
2.36% 2/1/37 (l) | 456 | 487 | ||
2.44% 5/1/36 (l) | 49 | 53 | ||
2.512% 4/1/36 (l) | 319 | 342 | ||
2.526% 2/1/36 (l) | 37 | 40 | ||
2.557% 6/1/42 (l) | 384 | 398 | ||
2.691% 2/1/42 (l) | 2,086 | 2,165 | ||
2.725% 8/1/35 (l) | 669 | 717 | ||
2.765% 1/1/42 (l) | 1,854 | 1,927 | ||
2.96% 11/1/40 (l) | 222 | 233 | ||
2.982% 9/1/41 (l) | 248 | 259 | ||
3.059% 10/1/41 (l) | 99 | 102 | ||
3.234% 7/1/41 (l) | 406 | 430 | ||
3.308% 10/1/41 (l) | 220 | 232 | ||
3.5% 1/1/26 to 9/1/26 | 95 | 100 | ||
3.554% 7/1/41 (l) | 434 | 460 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
5% 5/1/22 | $ 6 | $ 6 | ||
5.5% 10/1/20 to 1/1/29 | 3,805 | 4,155 | ||
6% 6/1/16 to 10/1/16 | 12 | 12 | ||
6.5% 6/1/16 to 8/1/36 | 4,950 | 5,748 | ||
7.5% 1/1/28 | 30 | 35 | ||
TOTAL FANNIE MAE | 19,727 | |||
Freddie Mac - 0.2% | ||||
1.82% 3/1/35 (l) | 114 | 118 | ||
1.825% 3/1/37 (l) | 18 | 18 | ||
1.852% 1/1/36 (l) | 93 | 98 | ||
2.022% 2/1/37 (l) | 53 | 56 | ||
2.05% 6/1/37 (l) | 30 | 32 | ||
2.06% 1/1/37 (l) | 274 | 291 | ||
2.095% 8/1/37 (l) | 77 | 82 | ||
2.1% 7/1/35 (l) | 156 | 167 | ||
2.121% 5/1/37 (l) | 77 | 83 | ||
2.23% 6/1/33 (l) | 254 | 271 | ||
2.333% 4/1/37 (l) | 92 | 99 | ||
2.346% 10/1/36 (l) | 341 | 361 | ||
2.351% 10/1/35 (l) | 136 | 144 | ||
2.385% 5/1/37 (l) | 914 | 976 | ||
2.385% 5/1/37 (l) | 465 | 499 | ||
2.403% 10/1/42 (l) | 2,269 | 2,395 | ||
2.415% 6/1/37 (l) | 273 | 293 | ||
2.436% 5/1/37 (l) | 71 | 76 | ||
2.448% 6/1/37 (l) | 57 | 61 | ||
2.49% 9/1/35 (l) | 63 | 68 | ||
2.506% 2/1/36 (l) | 6 | 6 | ||
2.545% 7/1/36 (l) | 90 | 96 | ||
2.595% 4/1/37 (l) | 9 | 9 | ||
2.673% 7/1/35 (l) | 236 | 253 | ||
3.072% 10/1/35 (l) | 48 | 51 | ||
3.081% 9/1/41 (l) | 2,344 | 2,446 | ||
3.217% 9/1/41 (l) | 244 | 256 | ||
3.242% 4/1/41 (l) | 264 | 277 | ||
3.292% 6/1/41 (l) | 302 | 320 | ||
3.47% 5/1/41 (l) | 276 | 291 | ||
3.624% 6/1/41 (l) | 427 | 454 | ||
3.705% 5/1/41 (l) | 374 | 398 | ||
6% 1/1/24 | 1,350 | 1,492 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
6.5% 10/1/15 to 3/1/22 | $ 532 | $ 579 | ||
8.5% 3/1/20 | 0* | 0* | ||
TOTAL FREDDIE MAC | 13,116 | |||
Ginnie Mae - 0.7% | ||||
4.3% 8/20/61 (q) | 3,395 | 3,589 | ||
4.53% 10/20/62 (q) | 3,579 | 3,899 | ||
4.55% 5/20/62 (q) | 20,205 | 21,837 | ||
4.626% 3/20/62 (q) | 4,308 | 4,646 | ||
4.649% 2/20/62 (q) | 2,374 | 2,559 | ||
4.65% 3/20/62 (q) | 3,943 | 4,257 | ||
4.682% 2/20/62 (q) | 2,925 | 3,152 | ||
4.684% 1/20/62 (q) | 13,765 | 14,815 | ||
5.47% 8/20/59 (q) | 1,297 | 1,346 | ||
5.5% 11/15/35 | 1,923 | 2,184 | ||
5.612% 4/20/58 (q) | 994 | 1,013 | ||
6% 6/15/36 | 3,933 | 4,533 | ||
7% 9/15/25 to 8/15/31 | 24 | 28 | ||
7.5% 2/15/22 to 8/15/28 | 45 | 53 | ||
8% 12/15/26 | 0* | 0* | ||
TOTAL GINNIE MAE | 67,911 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $98,263) |
| |||
Collateralized Mortgage Obligations - 2.5% | ||||
| ||||
U.S. Government Agency - 2.5% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.687% 9/25/23 (l) | 424 | 426 | ||
Series 2010-15 Class FJ, 1.117% 6/25/36 (l) | 4,604 | 4,693 | ||
Series 2010-86 Class FE, 0.637% 8/25/25 (l) | 517 | 521 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 10 | 10 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 462 | 514 | ||
Series 2005-19 Class PA, 5.5% 7/25/34 | 1,578 | 1,715 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 1,565 | 1,627 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 38 | 38 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
planned amortization class: | ||||
Series 2005-64 Class PX, 5.5% 6/25/35 | $ 1,541 | $ 1,693 | ||
Series 2005-68 Class CZ, 5.5% 8/25/35 | 3,818 | 4,288 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,548 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 41 | 43 | ||
Series 2003-117 Class MD, 5% 12/25/23 | 1,011 | 1,118 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 4,264 | 4,740 | ||
Series 2005-117 Class JN, 4.5% 1/25/36 | 808 | 882 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 1,570 | 1,745 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 1,363 | 1,512 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 2,187 | 2,430 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (n) | 288 | 25 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (n) | 439 | 37 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (n) | 2,707 | 402 | ||
Series 2010-39 Class FG, 1.107% 3/25/36 (l) | 2,852 | 2,927 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (n) | 942 | 72 | ||
Series 2011-67 Class AI, 4% 7/25/26 (n) | 787 | 91 | ||
Series 2012-27 Class EZ, 4.25% 3/25/42 | 3,569 | 3,848 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2630 Class FL, 0.6855% 6/15/18 (l) | 12 | 12 | ||
Series 2711 Class FC, 1.0855% 2/15/33 (l) | 1,725 | 1,756 | ||
floater planned amortization class Series 2770 Class FH, 0.5855% 3/15/34 (l) | 1,841 | 1,856 | ||
planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 60 | 66 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 31 | 32 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 15 | 16 | ||
Series 2425 Class JH, 6% 3/15/17 | 50 | 52 | ||
Series 2672 Class MG, 5% 9/15/23 | 3,295 | 3,578 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 158 | 178 | ||
Series 3415 Class PC, 5% 12/15/37 | 762 | 822 | ||
Series 3763 Class QA, 4% 4/15/34 | 1,660 | 1,725 | ||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 3,047 | 3,142 | ||
sequential payer: | ||||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 7,088 | 8,006 | ||
Series 2303 Class ZV, 6% 4/15/31 | 142 | 157 | ||
Series 2877 Class ZD, 5% 10/15/34 | 5,026 | 5,584 | ||
Series 3745 Class KV, 4.5% 12/15/26 | 3,363 | 3,727 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
Series 3843 Class PZ, 5% 4/15/41 | $ 1,035 | $ 1,206 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-59 Class FC, 0.684% 7/20/37 (l) | 937 | 944 | ||
Series 2008-2 Class FD, 0.664% 1/20/38 (l) | 236 | 238 | ||
Series 2008-73 Class FA, 1.044% 8/20/38 (l) | 1,417 | 1,445 | ||
Series 2008-83 Class FB, 1.084% 9/20/38 (l) | 1,417 | 1,446 | ||
Series 2009-108 Class CF, 0.7834% 11/16/39 (l) | 1,147 | 1,159 | ||
Series 2009-116 Class KF, 0.7134% 12/16/39 (l) | 905 | 914 | ||
Series 2010-9 Class FA, 0.7034% 1/16/40 (l) | 1,473 | 1,486 | ||
Series 2010-H17 Class FA, 0.5115% 7/20/60 (l)(q) | 4,935 | 4,912 | ||
Series 2010-H18 Class AF, 0.4776% 9/20/60 (l)(q) | 5,761 | 5,738 | ||
Series 2010-H19 Class FG, 0.4776% 8/20/60 (l)(q) | 6,812 | 6,785 | ||
Series 2010-H27 Series FA, 0.5576% 12/20/60 (l)(q) | 2,174 | 2,174 | ||
Series 2011-H05 Class FA, 0.6776% 12/20/60 (l)(q) | 3,730 | 3,743 | ||
Series 2011-H07 Class FA, 0.6823% 2/20/61 (l)(q) | 6,913 | 6,936 | ||
Series 2011-H12 Class FA, 0.6723% 2/20/61 (l)(q) | 8,579 | 8,605 | ||
Series 2011-H13 Class FA, 0.6776% 4/20/61 (l)(q) | 3,322 | 3,333 | ||
Series 2011-H14: | ||||
Class FB, 0.6776% 5/20/61 (l)(q) | 3,864 | 3,880 | ||
Class FC, 0.6776% 5/20/61 (l)(q) | 3,550 | 3,563 | ||
Series 2011-H17 Class FA, 0.7076% 6/20/61 (l)(q) | 4,792 | 4,812 | ||
Series 2011-H21 Class FA, 0.7776% 10/20/61 (l)(q) | 5,144 | 5,181 | ||
Series 2012-H01 Class FA, 0.8776% 11/20/61 (l)(q) | 4,387 | 4,437 | ||
Series 2012-H03 Class FA, 0.8776% 1/20/62 (l)(q) | 2,752 | 2,784 | ||
Series 2012-H06 Class FA, 0.8076% 1/20/62 (l)(q) | 4,268 | 4,305 | ||
Series 2012-H07 Class FA, 0.8076% 3/20/62 (l)(q) | 2,573 | 2,601 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2013-H19: | ||||
Class FC, 0.7776% 8/20/63 (l)(q) | $ 567 | $ 572 | ||
Class FD, 0.7776% 8/20/63 (l)(q) | 1,550 | 1,562 | ||
Series 2015-H13 Class FL, 0.461% 5/20/63 (l)(q) | 21,486 | 21,486 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 173 | 176 | ||
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (n) | 1,754 | 305 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,385 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (q) | 11,012 | 11,901 | ||
Series 2010-H17 Class XP, 5.3001% 7/20/60 (l)(q) | 14,982 | 16,142 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (l)(q) | 11,393 | 12,290 | ||
Series 2012-64 Class KB, 5.2466% 5/20/41 (l) | 856 | 970 | ||
Series 2013-124: | ||||
Class ES, 8.4213% 4/20/39 (l)(o) | 4,219 | 4,863 | ||
Class ST, 8.5547% 8/20/39 (l)(o) | 7,926 | 9,091 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $234,407) |
| |||
Commercial Mortgage Securities - 1.5% | ||||
| ||||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.534% 4/25/19 (l) | 1,179 | 1,174 | ||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 2,480 | 2,712 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 14,020 | 15,333 | ||
Series K009 Class A2, 3.808% 8/25/20 | 20,970 | 22,615 | ||
Series K034 Class A1, 2.669% 2/25/23 | 9,115 | 9,361 | ||
Series K717 Class A2, 2.991% 9/25/21 | 4,224 | 4,387 | ||
Series K039 Class A2, 3.303% 7/25/24 | 16,000 | 16,548 | ||
Series K042 Class A2, 2.67% 12/25/24 | 13,200 | 12,930 | ||
Series K501 Class A2, 1.655% 11/25/16 | 5,440 | 5,485 | ||
Series K714 Class A2, 3.034% 10/25/20 | 14,000 | 14,634 | ||
Series K716 Class A2, 3.13% 6/25/21 | 10,900 | 11,420 | ||
Commercial Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac Multi-family Structured Pass-thru Certificates: | ||||
sequential payer Series K718 Class A2, 2.791% 1/25/22 | $ 12,190 | $ 12,484 | ||
Series K044 Class A2, 2.811% 1/25/25 | 12,200 | 12,096 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $141,354) |
| |||
Foreign Government and Government Agency Obligations - 16.5% | ||||
| ||||
Arab Republic 5.875% 6/11/25 (g) | 1,325 | 1,294 | ||
Arab Republic of Egypt 6.875% 4/30/40 (g) | 650 | 635 | ||
Argentine Republic: | ||||
7% 10/3/15 | 11,985 | 11,931 | ||
7% 4/17/17 | 50,170 | 48,225 | ||
Australian Commonwealth: | ||||
2.75% 6/21/35 (Reg. S) | AUD | 4,000 | 2,712 | |
3.25% 4/21/25 (Reg. S) | AUD | 73,925 | 58,154 | |
Azerbaijan Republic 4.75% 3/18/24 (g) | 1,390 | 1,416 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (p) | 500,000 | 0 | ||
value recovery B rights 1/2/21 (p) | 750,000 | 0 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 18,150 | 17,941 | ||
8.95% 1/26/18 | 15,805 | 15,082 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 9,430 | 9,006 | ||
7.125% 1/20/37 | 10,285 | 11,622 | ||
8.25% 1/20/34 | 9,960 | 12,375 | ||
10% 1/1/17 | BRL | 11,360 | 3,471 | |
Buenos Aires Province: | ||||
9.375% 9/14/18 (g) | 1,930 | 1,896 | ||
9.95% 6/9/21 | 3,160 | 3,089 | ||
10.875% 1/26/21 (Reg. S) | 11,261 | 11,317 | ||
Buoni del Tesoro Poliennali: | ||||
1.05% 12/1/19 | EUR | 27,150 | 30,251 | |
2.5% 12/1/24 | EUR | 16,250 | 18,475 | |
4.5% 3/1/24 | EUR | 12,500 | 16,437 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Canadian Government: | ||||
1.5% 2/1/17 | CAD | 20,200 | $ 16,431 | |
1.5% 3/1/20 | CAD | 30,650 | 25,305 | |
2.25% 6/1/25 | CAD | 25,950 | 21,846 | |
3.5% 12/1/45 | CAD | 14,200 | 14,321 | |
Central Bank of Nigeria warrants 11/15/20 (a)(p) | 6,250 | 762 | ||
City of Buenos Aires: | ||||
8.95% 2/19/21 (g) | 6,510 | 6,640 | ||
9.95% 3/1/17 (g) | 2,620 | 2,712 | ||
Colombian Republic: | ||||
4.375% 3/21/23 | COP | 7,084,000 | 2,457 | |
5% 6/15/45 | 1,425 | 1,318 | ||
5.625% 2/26/44 | 1,425 | 1,443 | ||
6.125% 1/18/41 | 2,390 | 2,587 | ||
7.375% 9/18/37 | 2,450 | 3,020 | ||
10.375% 1/28/33 | 7,000 | 10,521 | ||
Congo Republic 4% 6/30/29 | 13,932 | 12,371 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (g) | 2,240 | 2,068 | ||
5.625% 4/30/43 (g) | 640 | 528 | ||
7% 4/4/44 (g) | 4,285 | 4,146 | ||
7.158% 3/12/45 (g) | 300 | 293 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (g) | 1,350 | 1,388 | ||
6% 1/26/24 (g) | 1,300 | 1,374 | ||
6.375% 3/24/21 (g) | 2,545 | 2,745 | ||
6.625% 7/14/20 (g) | 1,805 | 1,974 | ||
6.75% 11/5/19 (g) | 1,910 | 2,102 | ||
Danish Kingdom 1.75% 11/15/25 | DKK | 72,000 | 11,541 | |
Democratic Socialist Republic of Sri Lanka: | ||||
6% 1/14/19 (g) | 1,895 | 1,935 | ||
6.25% 10/4/20 (g) | 3,455 | 3,537 | ||
6.25% 7/27/21 (g) | 1,190 | 1,206 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (l) | 7,803 | 7,573 | ||
5.5% 1/27/25 (g) | 2,360 | 2,366 | ||
5.875% 4/18/24 (g) | 910 | 944 | ||
6.85% 1/27/45 (g) | 4,605 | 4,697 | ||
7.45% 4/30/44 (g) | 5,725 | 6,255 | ||
7.5% 5/6/21 (g) | 3,640 | 4,086 | ||
El Salvador Republic: | ||||
7.625% 2/1/41 (g) | 1,545 | 1,530 | ||
7.65% 6/15/35 (Reg. S) | 1,910 | 1,920 | ||
8.25% 4/10/32 (Reg. S) | 595 | 650 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
French Government OAT: | ||||
1.75% 5/25/23 | EUR | 4,100 | $ 4,886 | |
3.25% 5/25/45 | EUR | 5,250 | 7,200 | |
Georgia Republic 6.875% 4/12/21 (g) | 1,400 | 1,512 | ||
German Federal Republic: | ||||
0% 4/17/20 | EUR | 135,850 | 150,881 | |
0.5% 2/15/25 | EUR | 36,600 | 39,778 | |
2.5% 8/15/46 | EUR | 13,325 | 18,193 | |
Hong Kong Government SAR 1.32% 12/23/19 | HKD | 21,000 | 2,740 | |
Hungarian Republic: | ||||
5.375% 3/25/24 | 2,242 | 2,430 | ||
5.75% 11/22/23 | 3,656 | 4,049 | ||
7.625% 3/29/41 | 3,675 | 4,870 | ||
Indonesian Republic: | ||||
3.375% 4/15/23 (g) | 2,040 | 1,923 | ||
4.875% 5/5/21 (g) | 615 | 653 | ||
5.25% 1/17/42 (g) | 1,985 | 1,908 | ||
5.375% 10/17/23 | 1,850 | 1,991 | ||
5.875% 3/13/20 (g) | 1,245 | 1,385 | ||
6.625% 2/17/37 (g) | 4,000 | 4,520 | ||
6.75% 1/15/44 (g) | 1,725 | 2,001 | ||
7.75% 1/17/38 (g) | 7,525 | 9,585 | ||
7.875% 4/15/19 | IDR | 26,025,000 | 1,935 | |
8.5% 10/12/35 (Reg. S) | 6,195 | 8,363 | ||
Irish Republic 2% 2/18/45 (Reg.S) | EUR | 7,850 | 7,644 | |
Islamic Republic of Pakistan: | ||||
7.125% 3/31/16 (g) | 9,605 | 9,857 | ||
7.25% 4/15/19 (g) | 7,240 | 7,588 | ||
8.25% 4/15/24 (g) | 1,500 | 1,631 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 28,730 | 34,704 | ||
5.5% 12/4/23 | 12,385 | 15,009 | ||
Italian Republic 4.75% 9/1/44 | EUR | 5,700 | 8,000 | |
Ivory Coast 5.75% 12/31/32 | 7,875 | 7,384 | ||
Japan Government: | ||||
0.1% 10/15/15 | JPY | 2,297,000 | 18,774 | |
0.1% 2/15/16 | JPY | 2,600,000 | 21,257 | |
0.1% 3/15/16 | JPY | 2,500,000 | 20,441 | |
0.1% 8/15/16 | JPY | 4,890,000 | 40,001 | |
0.5% 12/20/15 | JPY | 1,375,000 | 11,261 | |
0.9% 6/20/22 | JPY | 5,202,800 | 44,529 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Japan Government: - continued | ||||
1.5% 12/20/44 | JPY | 2,215,000 | $ 18,300 | |
1.9% 9/20/30 | JPY | 7,735,000 | 72,761 | |
Jordanian Kingdom: | ||||
2.503% 10/30/20 | 25,601 | 26,407 | ||
3% 6/30/25 | 8,712 | 8,703 | ||
Kingdom of Norway 3.75% 5/25/21 | NOK | 36,000 | 5,200 | |
Lebanese Republic: | ||||
4% 12/31/17 | 7,768 | 7,709 | ||
5.45% 11/28/19 | 1,910 | 1,922 | ||
Moroccan Kingdom: | ||||
4.25% 12/11/22 (g) | 2,660 | 2,713 | ||
5.5% 12/11/42 (g) | 960 | 972 | ||
New Zealand Government 6% 5/15/21 | NZD | 8,000 | 6,254 | |
Panamanian Republic: | ||||
6.7% 1/26/36 | 1,175 | 1,451 | ||
8.875% 9/30/27 | 1,875 | 2,653 | ||
9.375% 4/1/29 | 1,570 | 2,324 | ||
Peruvian Republic: | ||||
4% 3/7/27 (f) | 5,671 | 5,671 | ||
8.75% 11/21/33 | 1,055 | 1,593 | ||
Philippine Republic: | ||||
7.75% 1/14/31 | 2,290 | 3,303 | ||
9.5% 2/2/30 | 2,980 | 4,824 | ||
10.625% 3/16/25 | 1,695 | 2,706 | ||
Plurinational State of Bolivia 5.95% 8/22/23 (g) | 2,560 | 2,714 | ||
Provincia de Cordoba 12.375% 8/17/17 (g) | 6,605 | 6,737 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,400 | 1,398 | ||
Republic of Armenia: | ||||
6% 9/30/20 (g) | 5,271 | 5,149 | ||
7.15% 3/26/25 (g) | 3,080 | 3,049 | ||
Republic of Iceland 5.875% 5/11/22 (g) | 2,950 | 3,331 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 11,420 | 9,234 | ||
Republic of Nigeria 5.125% 7/12/18 (g) | 2,475 | 2,484 | ||
Republic of Serbia: | ||||
5.25% 11/21/17 (g) | 1,375 | 1,421 | ||
5.875% 12/3/18 (g) | 3,975 | 4,179 | ||
6.75% 11/1/24 (g) | 8,150 | 8,284 | ||
7.25% 9/28/21 (g) | 2,500 | 2,800 | ||
Republic of Singapore 3.25% 9/1/20 | SGD | 25,500 | 20,050 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Romanian Republic: | ||||
4.375% 8/22/23 (g) | $ 2,300 | $ 2,357 | ||
6.125% 1/22/44 (g) | 3,886 | 4,360 | ||
Russian Federation: | ||||
4.875% 9/16/23 (g) | 3,720 | 3,679 | ||
5% 4/29/20 (g) | 2,125 | 2,181 | ||
5.625% 4/4/42 (g) | 3,000 | 2,820 | ||
5.875% 9/16/43 (g) | 6,400 | 6,165 | ||
7.5% 3/31/30 (Reg. S) | 4,134 | 4,843 | ||
12.75% 6/24/28 (Reg. S) | 19,505 | 30,542 | ||
South African Republic 5.875% 9/16/25 | 1,355 | 1,501 | ||
Spanish Kingdom: | ||||
1.4% 1/31/20 | EUR | 7,000 | 7,901 | |
2.15% 10/31/25(Reg. S) (g) | EUR | 2,500 | 2,735 | |
2.75% 10/31/24 (Reg. S) | EUR | 13,450 | 15,591 | |
5.15% 10/31/44 | EUR | 2,700 | 4,020 | |
Sweden Kingdom 3.5% 6/1/22 | SEK | 135,350 | 19,471 | |
Switzerland Confederation: | ||||
1.5% 7/24/25 | CHF | 12,300 | 14,896 | |
4.25% 6/5/17 | CHF | 12,350 | 14,546 | |
Turkish Republic: | ||||
4.875% 4/16/43 | 2,135 | 1,943 | ||
5.125% 3/25/22 | 1,195 | 1,252 | ||
5.625% 3/30/21 | 4,015 | 4,328 | ||
6.25% 9/26/22 | 2,890 | 3,215 | ||
6.75% 4/3/18 | 5,480 | 6,043 | ||
6.75% 5/30/40 | 3,520 | 4,048 | ||
6.875% 3/17/36 | 3,790 | 4,396 | ||
7% 3/11/19 | 3,695 | 4,153 | ||
7.25% 3/5/38 | 2,605 | 3,154 | ||
7.375% 2/5/25 | 3,835 | 4,602 | ||
7.5% 11/7/19 | 6,405 | 7,385 | ||
8% 2/14/34 | 2,075 | 2,676 | ||
11.875% 1/15/30 | 3,915 | 6,584 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g) | 2,640 | 1,287 | ||
Ukraine Government: | ||||
7.8% 11/28/22 (g) | 4,680 | 2,410 | ||
7.95% 2/23/21 (g) | 1,065 | 554 | ||
9.25% 7/24/17 (g) | 5,325 | 2,561 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
2% 7/22/20 (Reg. S) | GBP | 2,950 | $ 4,745 | |
2% 9/7/25(Reg. S) | GBP | 6,450 | 10,003 | |
3.5% 7/22/68 | GBP | 7,805 | 15,371 | |
United Mexican States: | ||||
4.6% 1/23/46 | 2,320 | 2,146 | ||
4.75% 3/8/44 | 3,876 | 3,682 | ||
5.55% 1/21/45 | 2,180 | 2,319 | ||
6.05% 1/11/40 | 4,180 | 4,744 | ||
6.5% 6/10/21 | MXN | 30,745 | 2,037 | |
6.75% 9/27/34 | 2,645 | 3,319 | ||
7.5% 4/8/33 | 1,450 | 1,950 | ||
8.3% 8/15/31 | 830 | 1,222 | ||
United Republic of Tanzania 6.3971% 3/9/20 (l) | 625 | 632 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 4,790 | 6,431 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (p) | 97,601 | 976 | ||
5.75% 2/26/16 (Reg S.) | 27,560 | 22,771 | ||
9% 5/7/23 (Reg. S) | 1,600 | 620 | ||
9.25% 9/15/27 | 4,275 | 1,806 | ||
9.25% 5/7/28 (Reg. S) | 2,705 | 1,035 | ||
11.75% 10/21/26 (Reg. S) | 5,785 | 2,488 | ||
11.95% 8/5/31 (Reg. S) | 12,535 | 5,359 | ||
12.75% 8/23/22 | 4,210 | 1,947 | ||
Vietnamese Socialist Republic: | ||||
1.2139% 3/12/16 (l) | 1,124 | 1,108 | ||
4% 3/12/28 (f) | 13,842 | 13,496 | ||
4.8% 11/19/24 (g) | 590 | 590 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,552,806) |
| |||
Supranational Obligations - 0.0% | ||||
| ||||
European Bank for Reconstruction & Development 6% 3/3/16 | INR | 95,000 |
|
Common Stocks - 5.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 1.6% | |||
Auto Components - 0.2% | |||
Delphi Automotive PLC | 73,500 | $ 6,254 | |
Exide Technologies (a) | 3,795 | 0 | |
Exide Technologies (a) | 12,651 | 0 | |
Remy International, Inc. | 122,400 | 2,706 | |
Tenneco, Inc. (a) | 117,300 | 6,738 | |
| 15,698 | ||
Automobiles - 0.1% | |||
General Motors Co. | 4,305 | 143 | |
General Motors Co.: | |||
warrants 7/10/16 (a) | 144,757 | 3,441 | |
warrants 7/10/19 (a) | 144,757 | 2,323 | |
| 5,907 | ||
Diversified Consumer Services - 0.0% | |||
Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(t) | 32,078 | 477 | |
Hotels, Restaurants & Leisure - 0.4% | |||
Chipotle Mexican Grill, Inc. (a) | 6,500 | 3,932 | |
Extended Stay America, Inc. unit | 534,200 | 10,027 | |
Fiesta Restaurant Group, Inc. (a) | 97,500 | 4,875 | |
Station Holdco LLC (a)(r)(t) | 4,989,172 | 16,265 | |
Station Holdco LLC (a)(s)(t) | 37,963 | 124 | |
Station Holdco LLC: | |||
unit (a)(s)(t) | 57,186 | 31 | |
warrants 6/15/18 (a)(r)(t) | 198,954 | 107 | |
| 35,361 | ||
Household Durables - 0.5% | |||
Harman International Industries, Inc. | 84,800 | 10,086 | |
Lennar Corp. Class A | 210,400 | 10,739 | |
Standard Pacific Corp. (a) | 777,500 | 6,928 | |
Taylor Morrison Home Corp. (a) | 323,500 | 6,586 | |
Whirlpool Corp. | 53,400 | 9,241 | |
| 43,580 | ||
Media - 0.3% | |||
AMC Networks, Inc. Class A (a) | 133,400 | 10,919 | |
Naspers Ltd. Class N | 73,600 | 11,464 | |
Sinclair Broadcast Group, Inc. Class A | 387,900 | 10,826 | |
| 33,209 | ||
Specialty Retail - 0.1% | |||
Office Depot, Inc. (a) | 1,210,500 | 10,483 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Deckers Outdoor Corp. (a) | 67,000 | $ 4,822 | |
Michael Kors Holdings Ltd. (a) | 9,100 | 383 | |
| 5,205 | ||
TOTAL CONSUMER DISCRETIONARY | 149,920 | ||
CONSUMER STAPLES - 0.1% | |||
Food Products - 0.1% | |||
Reddy Ice Holdings, Inc. (a) | 142,776 | 128 | |
The Hain Celestial Group, Inc. (a) | 191,200 | 12,592 | |
| 12,720 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.1% | |||
Hornbeck Offshore Services, Inc. (a) | 108,700 | 2,232 | |
Ocean Rig UDW, Inc. (United States) | 304,100 | 1,560 | |
| 3,792 | ||
Oil, Gas & Consumable Fuels - 0.0% | |||
Crestwood Midstream Partners LP | 220,000 | 2,464 | |
TOTAL ENERGY | 6,256 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Motors Liquidation Co. GUC Trust (a) | 36,934 | 711 | |
Penson Worldwide, Inc. Class A (a) | 3,883,237 | 0 | |
| 711 | ||
Consumer Finance - 0.1% | |||
Springleaf Holdings, Inc. (a) | 148,500 | 6,818 | |
TOTAL FINANCIALS | 7,529 | ||
HEALTH CARE - 1.0% | |||
Biotechnology - 0.4% | |||
Biogen, Inc. (a) | 37,700 | 15,229 | |
Celgene Corp. (a) | 97,100 | 11,238 | |
Gilead Sciences, Inc. | 121,400 | 14,214 | |
| 40,681 | ||
Health Care Providers & Services - 0.3% | |||
Community Health Systems, Inc. (a) | 121,600 | 7,657 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
HCA Holdings, Inc. (a) | 149,300 | $ 13,544 | |
Rotech Healthcare, Inc. (a) | 68,276 | 2,653 | |
| 23,854 | ||
Pharmaceuticals - 0.3% | |||
Allergan PLC (a) | 58,800 | 17,843 | |
Valeant Pharmaceuticals International (Canada) (a) | 65,500 | 14,530 | |
| 32,373 | ||
TOTAL HEALTH CARE | 96,908 | ||
INDUSTRIALS - 0.6% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp.: | |||
warrants 3/15/17 (a) | 1,430 | 0 | |
warrants 8/17/24 | 800 | 0 | |
Airlines - 0.2% | |||
Air Canada (a) | 806,200 | 8,527 | |
American Airlines Group, Inc. | 224,600 | 8,969 | |
| 17,496 | ||
Building Products - 0.0% | |||
Nortek, Inc. (a) | 7,154 | 595 | |
Commercial Services & Supplies - 0.0% | |||
WP Rocket Holdings, Inc. (a)(t) | 9,383,257 | 1,126 | |
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (a) | 12,063 | 2 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
| 2 | ||
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp. Class A | 123,200 | 4,176 | |
HD Supply Holdings, Inc. (a) | 281,900 | 9,917 | |
Penhall Acquisition Co.: | |||
Class A (a) | 6,088 | 494 | |
Class B (a) | 2,029 | 165 | |
United Rentals, Inc. (a) | 156,200 | 13,686 | |
| 28,438 | ||
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding BV (a)(g) | 406,682 | 5,853 | |
TOTAL INDUSTRIALS | 53,510 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - 1.4% | |||
Electronic Equipment & Components - 0.2% | |||
CDW Corp. | 455,500 | $ 15,615 | |
Internet Software & Services - 0.4% | |||
Alibaba Group Holding Ltd. sponsored ADR | 245,200 | 20,173 | |
Baidu.com, Inc. sponsored ADR (a) | 27,100 | 5,395 | |
Facebook, Inc. Class A (a) | 78,700 | 6,750 | |
Google, Inc. Class A (a) | 9,300 | 5,022 | |
| 37,340 | ||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Avago Technologies Ltd. | 46,000 | 6,115 | |
Cypress Semiconductor Corp. | 5,171 | 61 | |
Freescale Semiconductor, Inc. (a) | 419,200 | 16,755 | |
MagnaChip Semiconductor Corp. (a) | 49,030 | 379 | |
NXP Semiconductors NV (a) | 52,100 | 5,116 | |
Qorvo, Inc. (a) | 255,027 | 20,471 | |
Skyworks Solutions, Inc. | 210,900 | 21,955 | |
| 70,852 | ||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc. | 81,200 | 10,185 | |
TOTAL INFORMATION TECHNOLOGY | 133,992 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
LyondellBasell Industries NV Class A | 122,400 | 12,671 | |
Containers & Packaging - 0.2% | |||
Rock-Tenn Co. Class A | 210,588 | 12,677 | |
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(t) | 38,307 | 411 | |
Mirabela Nickel Ltd. (a) | 2,473,165 | 219 | |
| 630 | ||
TOTAL MATERIALS | 25,978 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Wireless Telecommunication Services - 0.2% | |||
NII Holdings, Inc. | 243,770 | 3,951 | |
T-Mobile U.S., Inc. (a) | 272,900 | 10,580 | |
| 14,531 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | $ 241 | |
TOTAL COMMON STOCKS (Cost $464,484) |
| ||
Preferred Stocks - 0.3% | |||
|
|
|
|
Convertible Preferred Stocks - 0.1% | |||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind (a) | 57,438 | 467 | |
HEALTH CARE - 0.1% | |||
Pharmaceuticals - 0.1% | |||
Allergan PLC 5.50% | 8,700 | 9,070 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 9,537 | ||
Nonconvertible Preferred Stocks - 0.2% | |||
FINANCIALS - 0.2% | |||
Capital Markets - 0.1% | |||
Goldman Sachs Group, Inc. Series K, 6.375% | 218,984 | 5,687 | |
Consumer Finance - 0.1% | |||
Ally Financial, Inc. 7.00% (g) | 12,855 | 12,990 | |
TOTAL FINANCIALS | 18,677 | ||
INDUSTRIALS - 0.0% | |||
Commercial Services & Supplies - 0.0% | |||
WP Rocket Holdings, Inc.: | |||
15.00% (a) | 1,550,603 | 1,551 | |
Class C 19.50% (t) | 391,660 | 392 | |
| 1,943 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 20,620 | ||
TOTAL PREFERRED STOCKS (Cost $20,917) |
|
Bank Loan Obligations - 1.9% | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.0% | ||||
Chassix, Inc. term loan 10% 12/12/15 (l) | $ 2,543 | $ 2,581 | ||
Hotels, Restaurants & Leisure - 0.2% | ||||
Centaur Acquisition LLC Tranche 2LN, term loan 8.75% 2/20/20 (l) | 1,575 | 1,575 | ||
Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (l) | 8,157 | 8,158 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (l) | 2,598 | 2,576 | ||
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (l) | 396 | 396 | ||
| 12,705 | |||
Media - 0.0% | ||||
Livent, Inc.: | ||||
Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 8 | 6 | |
Tranche B, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 5 | 4 | |
| 10 | |||
TOTAL CONSUMER DISCRETIONARY | 15,296 | |||
CONSUMER STAPLES - 0.1% | ||||
Food & Staples Retailing - 0.0% | ||||
Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (l) | 2,865 | 2,865 | ||
Personal Products - 0.1% | ||||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (l) | 7,409 | 7,409 | ||
TOTAL CONSUMER STAPLES | 10,274 | |||
ENERGY - 0.2% | ||||
Energy Equipment & Services - 0.0% | ||||
Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (l) | 200 | 174 | ||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (l) | 3,174 | 3,170 | ||
Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (l) | 16,650 | 12,737 | ||
Samson Investment Co. Tranche B 2LN, term loan 5% 9/25/18 (l) | 1,015 | 409 | ||
Bank Loan Obligations - continued | ||||
| Principal | Value (000s) | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sheridan Investment Partners I term loan 4.25% 12/16/20 (l) | $ 1,436 | $ 1,249 | ||
Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (l) | 74 | 65 | ||
TPF II Power, LLC Tranche B, term loan 5.5082% 10/2/21 (l) | 1,756 | 1,769 | ||
| 19,399 | |||
TOTAL ENERGY | 19,573 | |||
FINANCIALS - 0.0% | ||||
Real Estate Management & Development - 0.0% | ||||
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (l) | 261 | 258 | ||
HEALTH CARE - 0.1% | ||||
Health Care Providers & Services - 0.0% | ||||
Rural/Metro Corp.: | ||||
Tranche 2LN, term loan 14.5% 1/31/16 | 43 | 41 | ||
Tranche B, term loan 19.5% 1/31/16 | 142 | 133 | ||
| 174 | |||
Life Sciences Tools & Services - 0.1% | ||||
Jaguar Holding Co. II Tranche B, term loan 4% 12/5/18 (l) | 12,389 | 12,373 | ||
TOTAL HEALTH CARE | 12,547 | |||
INDUSTRIALS - 0.0% | ||||
Commercial Services & Supplies - 0.0% | ||||
GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (l) | 1,756 | 1,747 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Electronic Equipment & Components - 0.0% | ||||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (l) | 2,313 | 2,282 | ||
Software - 0.1% | ||||
Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (l) | 6,935 | 7,152 | ||
Bank Loan Obligations - continued | ||||
| Principal | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
Software - continued | ||||
Transfirst, Inc. Tranche 2LN, term loan 9% 11/12/22 (l) | $ 450 | $ 451 | ||
TransFirst, Inc. Tranche B 1LN, term loan 4.75% 11/12/21 (l) | 408 | 407 | ||
| 8,010 | |||
TOTAL INFORMATION TECHNOLOGY | 10,292 | |||
MATERIALS - 0.1% | ||||
Containers & Packaging - 0.1% | ||||
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (l) | 3,937 | 3,922 | ||
Metals & Mining - 0.0% | ||||
Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (l) | 2,109 | 1,909 | ||
TOTAL MATERIALS | 5,831 | |||
TELECOMMUNICATION SERVICES - 0.2% | ||||
Diversified Telecommunication Services - 0.1% | ||||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (l) | 7,067 | 7,120 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (l) | 4,304 | 4,250 | ||
| 11,370 | |||
Wireless Telecommunication Services - 0.1% | ||||
Digicel International Finance Ltd.: | ||||
Tranche D 1LN, term loan 3.8125% 3/31/17 (l) | 2,256 | 2,121 | ||
Tranche D-2, term loan 3.7754% 3/31/19 (l) | 1,129 | 1,061 | ||
| 3,182 | |||
TOTAL TELECOMMUNICATION SERVICES | 14,552 | |||
UTILITIES - 0.9% | ||||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (l) | 1,767 | 1,753 | ||
Bank Loan Obligations - continued | ||||
| Principal | Value (000s) | ||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - 0.9% | ||||
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (l) | $ 80,131 | $ 80,097 | ||
TOTAL UTILITIES | 81,850 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $175,920) |
| |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (l) | 3,489 | 3,420 | ||
Goldman Sachs 1.25% 12/14/19 (l) | 3,197 | 3,134 | ||
Mizuho 1.25% 12/14/19 (l) | 2,285 | 2,239 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $8,251) |
|
Fixed-Income Funds - 6.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (m) | 5,338,240 |
|
Preferred Securities - 3.1% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Media - 0.2% | ||||
Globo Comunicacao e Participacoes SA 6.25% (f)(g)(h) | $ 10,476 | 10,592 | ||
NBCUniversal Enterprise, Inc. 5.25% (g)(h) | 7,335 | 7,815 | ||
| 18,407 | |||
CONSUMER STAPLES - 0.1% | ||||
Food Products - 0.1% | ||||
Cosan Overseas Ltd. 8.25% (h) | 5,650 | 5,694 | ||
FINANCIALS - 2.7% | ||||
Banks - 2.2% | ||||
Banco Do Brasil SA 9% (g)(h)(l) | 2,470 | 2,236 | ||
Preferred Securities - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Bank of America Corp.: | ||||
5.125% (h)(l) | $ 10,690 | $ 10,494 | ||
5.2% (h)(l) | 23,520 | 22,591 | ||
6.25% (h)(l) | 7,170 | 7,282 | ||
8% (h)(l) | 3,065 | 3,337 | ||
8.125% (h)(l) | 2,245 | 2,406 | ||
Barclays Bank PLC 7.625% 11/21/22 | 17,490 | 20,066 | ||
Citigroup, Inc.: | ||||
5.8% (h)(l) | 8,960 | 9,049 | ||
5.9% (h)(l) | 13,975 | 14,075 | ||
5.95% (h)(l) | 25,260 | 25,512 | ||
6.3% (h)(l) | 2,145 | 2,111 | ||
JPMorgan Chase & Co.: | ||||
5% (h)(l) | 12,930 | 12,978 | ||
5.3% (h)(l) | 6,510 | 6,528 | ||
6% (h)(l) | 23,845 | 24,259 | ||
6.125% (h)(l) | 5,990 | 6,077 | ||
6.75% (h)(l) | 3,295 | 3,613 | ||
Wells Fargo & Co.: | ||||
5.875% (h)(l) | 8,875 | 9,109 | ||
5.9% (h)(l) | 20,195 | 20,323 | ||
7.98% (h)(l) | 2,035 | 2,253 | ||
| 204,299 | |||
Capital Markets - 0.3% | ||||
Bank of Scotland 7.281% (h)(l) | GBP | 2,450 | 4,548 | |
Goldman Sachs Group, Inc. 5.7% (h)(l) | 12,639 | 12,786 | ||
Morgan Stanley 5.55% (h)(l) | 6,545 | 6,601 | ||
| 23,935 | |||
Consumer Finance - 0.2% | ||||
American Express Co.: | ||||
4.9% (h)(l) | 8,750 | 8,618 | ||
5.2% (h)(l) | 7,825 | 7,819 | ||
| 16,437 | |||
Diversified Financial Services - 0.0% | ||||
Magnesita Finance Ltd.: | ||||
8.625% (g)(h) | 2,595 | 2,155 | ||
8.625% (Reg. S) (h) | 380 | 316 | ||
| 2,471 | |||
Preferred Securities - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - continued | ||||
Insurance - 0.0% | ||||
Elm BV (SWISS REIN CO) 2.6% (Reg. S) (h)(l) | EUR | 4,200 | $ 4,316 | |
TOTAL FINANCIALS | 251,458 | |||
INDUSTRIALS - 0.1% | ||||
Construction & Engineering - 0.1% | ||||
Odebrecht Finance Ltd.: | ||||
7.5% (g)(h) | 14,320 | 11,362 | ||
7.5% (Reg. S) (h) | 250 | 198 | ||
| 11,560 | |||
MATERIALS - 0.0% | ||||
Metals & Mining - 0.0% | ||||
CSN Islands XII Corp. 7% (Reg. S) (h) | 6,625 | 4,449 | ||
TOTAL PREFERRED SECURITIES (Cost $295,343) |
|
Money Market Funds - 2.2% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.15% (b) | 208,021,395 |
| |
TOTAL INVESTMENT PORTFOLIO - 99.1% (Cost $9,134,633) | 9,244,336 | ||
NET OTHER ASSETS (LIABILITIES) - 0.9% | 85,010 | ||
NET ASSETS - 100% | $ 9,329,346 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized | |||
Purchased | |||||
Treasury Contracts | |||||
278 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Sept. 2015 | $ 35,076 | $ (257) | ||
280 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Sept. 2015 | 61,303 | 60 | ||
259 CBOT 5-Year U.S. Treasury Note Contracts (United States) | Sept. 2015 | 30,888 | 2 | ||
319 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Sept. 2015 | 49,146 | (1,625) | ||
TOTAL TREASURY CONTRACTS | $ 176,413 | $ (1,820) |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration | Notional | Payment | Payment | Value | Upfront | Unrealized |
LCH | Sep. 2017 | $ 7,300 | 3-month LIBOR | 1.5% | $ (18) | $ 0 | $ (18) |
LCH | Sep. 2020 | 4,200 | 3-month LIBOR | 2.25% | (33) | 0 | (33) |
LCH | Sep. 2025 | 3,200 | 3-month LIBOR | 2.75% | (35) | 0 | (35) |
LCH | Sep. 2045 | 8,600 | 3-month LIBOR | 3% | (49) | 0 | (49) |
TOTAL INTEREST RATE SWAPS | $ (135) | $ 0 | $ (135) |
|
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
AUD | - | Australian dollar |
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
CHF | - | Swiss franc |
COP | - | Colombian peso |
DKK | - | Danish krone |
EUR | - | European Monetary Unit |
GBP | - | British pound |
HKD | - | Hong Kong dollar |
IDR | - | Indonesian rupiah |
INR | - | Indian rupee |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
NOK | - | Norwegian krone |
NZD | - | New Zealand dollar |
RUB | - | Russian ruble |
SEK | - | Swedish krona |
SGD | - | Singapore dollar |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security 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 $1,912,298,000 or 20.5% of net assets. |
(h) Security is perpetual in nature with no stated maturity date. |
(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 $2,157,000. |
(k) 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 $1,623,000. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) 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 advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(n) 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. |
(o) 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. |
(p) Quantity represents share amount. |
(q) 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. |
(r) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund. |
(s) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership. |
(t) 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 $18,933,000 or 0.2% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
Houghton Mifflin Harcourt Co. warrants 6/22/19 | 6/22/12 | $ 62 |
Station Holdco LLC | 6/17/11 - 4/1/13 | $ 5,173 |
Station Holdco LLC unit | 3/12/13 - 4/1/13 | $ 4 |
Station Holdco LLC warrants 6/15/18 | 4/29/08 - 11/25/08 | $ 15,269 |
WP Rocket Holdings, Inc. | 6/24/11 - 2/2/15 | $ 4,887 |
WP Rocket Holdings, Inc. Class C 19.50% | 2/2/15 | $ 392 |
* Amount represents less than $1,000. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 181 |
Fidelity Floating Rate Central Fund | 12,108 |
Total | $ 12,289 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 366,013 | $ 192,938 | $ - | $ 561,796 | 33.2% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables 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 | $ 149,920 | $ 132,916 | $ 477 | $ 16,527 |
Consumer Staples | 13,187 | 12,592 | 128 | 467 |
Energy | 6,256 | 6,256 | - | - |
Financials | 26,206 | 13,216 | 12,990 | - |
Health Care | 105,978 | 103,325 | - | 2,653 |
Industrials | 55,453 | 45,870 | - | 9,583 |
Information Technology | 133,992 | 133,992 | - | - |
Materials | 25,978 | 25,567 | - | 411 |
Telecommunication Services | 14,531 | 10,580 | - | 3,951 |
Utilities | 241 | 241 | - | - |
Corporate Bonds | 4,016,974 | - | 4,016,941 | 33 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $ 1,436,680 | $ - | $ 1,436,680 | $ - |
U.S. Government Agency - Mortgage Securities | 100,754 | - | 100,754 | - |
Collateralized Mortgage Obligations | 237,024 | - | 237,024 | - |
Commercial Mortgage Securities | 141,179 | - | 141,179 | - |
Foreign Government and Government Agency Obligations | 1,536,096 | - | 1,528,341 | 7,755 |
Supranational Obligations | 1,489 | - | 1,489 | - |
Bank Loan Obligations | 172,220 | - | 170,717 | 1,503 |
Sovereign Loan Participations | 8,793 | - | - | 8,793 |
Fixed-Income Funds | 561,796 | 561,796 | - | - |
Preferred Securities | 291,568 | - | 291,568 | - |
Money Market Funds | 208,021 | 208,021 | - | - |
Total Investments in Securities: | $ 9,244,336 | $ 1,254,372 | $ 7,938,288 | $ 51,676 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 62 | $ 62 | $ - | $ - |
Liabilities | ||||
Futures Contracts | $ (1,882) | $ (1,882) | $ - | $ - |
Swaps | (135) | - | (135) | - |
Total Liabilities | $ (2,017) | $ (1,882) | $ (135) | $ - |
Total Derivative Instruments: | $ (1,955) | $ (1,820) | $ (135) | $ - |
Valuation Inputs at Reporting Date: |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
(Amounts in thousands) |
|
Investments in Securities: | |
Beginning Balance | $ 95,054 |
Net Realized Gain (Loss) on Investment Securities | (3,838) |
Net Unrealized Gain (Loss) on Investment Securities | 5,602 |
Cost of Purchases | 7,340 |
Proceeds of Sales | (4,586) |
Amortization/Accretion | 144 |
Transfers into Level 3 | - |
Transfers out of Level 3 | (48,040) |
Ending Balance | $ 51,676 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2015 | $ 1,880 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ 62 | $ (1,882) |
Swaps (b) | - | (135) |
Total Value of Derivatives | $ 62 | $ (2,017) |
(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. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 64.9% |
Canada | 2.6% |
Japan | 2.6% |
Netherlands | 2.6% |
Germany | 2.4% |
Luxembourg | 2.3% |
United Kingdom | 2.2% |
Ireland | 1.6% |
Argentina | 1.4% |
Bermuda | 1.3% |
Mexico | 1.1% |
Italy | 1.0% |
France | 1.0% |
Others (Individually Less Than 1%) | 13.0% |
| 100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2015 (Unaudited) | |
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $8,377,631) | $ 8,474,519 |
|
Fidelity Central Funds (cost $757,002) | 769,817 |
|
Total Investments (cost $9,134,633) |
| $ 9,244,336 |
Receivable for investments sold | 84,844 | |
Receivable for fund shares sold | 8,638 | |
Dividends receivable | 225 | |
Interest receivable | 92,361 | |
Distributions receivable from Fidelity Central Funds | 2,360 | |
Receivable for daily variation margin for derivative instruments | 14 | |
Other receivables | 17 | |
Total assets | 9,432,795 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 66,974 |
|
Delayed delivery | 10,060 | |
Payable for fund shares redeemed | 16,426 | |
Distributions payable | 1,662 | |
Accrued management fee | 4,382 | |
Distribution and service plan fees payable | 2,421 | |
Other affiliated payables | 1,394 | |
Other payables and accrued expenses | 130 | |
Total liabilities | 103,449 | |
|
|
|
Net Assets | $ 9,329,346 | |
Net Assets consist of: |
| |
Paid in capital | $ 9,277,978 | |
Undistributed net investment income | 21,183 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (77,540) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 107,725 | |
Net Assets | $ 9,329,346 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2015 (Unaudited) | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($3,710,166 ÷ 312,046 shares) | $ 11.89 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.89) | $ 12.39 | |
Class T: | ||
Net Asset Value and redemption price per share ($1,129,972 ÷ 95,089 shares) | $ 11.88 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.88) | $ 12.38 | |
Class B: | ||
Net Asset Value and offering price per share ($82,595 ÷ 6,923 shares)A | $ 11.93 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($1,597,338 ÷ 134,697 shares)A | $ 11.86 | |
|
|
|
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($2,809,275 ÷ 233,122 shares) | $ 12.05 |
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.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended June 30, 2015 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 11,685 |
Interest |
| 189,141 |
Income from Fidelity Central Funds |
| 12,289 |
Total income |
| 213,115 |
|
|
|
Expenses | ||
Management fee | $ 26,486 | |
Transfer agent fees | 7,549 | |
Distribution and service plan fees | 14,788 | |
Accounting and security lending fees | 775 | |
Custodian fees and expenses | 135 | |
Independent trustees' compensation | 19 | |
Registration fees | 159 | |
Audit | 63 | |
Legal | 196 | |
Miscellaneous | 44 | |
Total expenses before reductions | 50,214 | |
Expense reductions | (9) | 50,205 |
Net investment income (loss) | 162,910 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (54,601) | |
Foreign currency transactions | (637) | |
Futures contracts | 2,473 | |
Swaps | 383 |
|
Total net realized gain (loss) |
| (52,382) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 23,382 | |
Assets and liabilities in foreign currencies | 393 | |
Futures contracts | (4,238) | |
Swaps | (234) | |
Total change in net unrealized appreciation (depreciation) |
| 19,303 |
Net gain (loss) | (33,079) | |
Net increase (decrease) in net assets resulting from operations | $ 129,831 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 162,910 | $ 315,429 |
Net realized gain (loss) | (52,382) | 153,839 |
Change in net unrealized appreciation (depreciation) | 19,303 | (151,707) |
Net increase (decrease) in net assets resulting from operations | 129,831 | 317,561 |
Distributions to shareholders from net investment income | (151,610) | (312,786) |
Distributions to shareholders from net realized gain | (5,484) | (146,168) |
Total distributions | (157,094) | (458,954) |
Share transactions - net increase (decrease) | (61,760) | 6,261 |
Total increase (decrease) in net assets | (89,023) | (135,132) |
|
|
|
Net Assets | ||
Beginning of period | 9,418,369 | 9,553,501 |
End of period (including undistributed net investment income of $21,183 and undistributed net investment income of $9,883, respectively) | $ 9,329,346 | $ 9,418,369 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.92 | $ 12.10 | $ 12.69 | $ 12.07 | $ 12.38 | $ 12.13 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .211 | .422 | .449 | .479 | .536 | .622 |
Net realized and unrealized gain (loss) | (.037) | .005 | (.441) | .776 | .009 | .500 |
Total from investment operations | .174 | .427 | .008 | 1.255 | .545 | 1.122 |
Distributions from net investment income | (.197) | (.419) | (.431) | (.442) | (.572) | (.582) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.204) | (.607) | (.598) | (.635) | (.855) | (.872) |
Net asset value, end of period | $ 11.89 | $ 11.92 | $ 12.10 | $ 12.69 | $ 12.07 | $ 12.38 |
Total ReturnB, C, D | 1.45% | 3.52% | .08% | 10.57% | 4.47% | 9.48% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00%A | .99% | .98% | .98% | .99% | .99% |
Expenses net of fee waivers, if any | 1.00%A | .99% | .98% | .98% | .99% | .99% |
Expenses net of all reductions | 1.00%A | .99% | .98% | .98% | .99% | .99% |
Net investment income (loss) | 3.54%A | 3.42% | 3.61% | 3.83% | 4.29% | 5.00% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,710 | $ 3,794 | $ 4,205 | $ 5,582 | $ 4,746 | $ 4,169 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.92 | $ 12.10 | $ 12.68 | $ 12.07 | $ 12.38 | $ 12.12 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .211 | .422 | .449 | .479 | .536 | .621 |
Net realized and unrealized gain (loss) | (.047) | .006 | (.431) | .766 | .009 | .511 |
Total from investment operations | .164 | .428 | .018 | 1.245 | .545 | 1.132 |
Distributions from net investment income | (.197) | (.420) | (.431) | (.442) | (.572) | (.582) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.204) | (.608) | (.598) | (.635) | (.855) | (.872) |
Net asset value, end of period | $ 11.88 | $ 11.92 | $ 12.10 | $ 12.68 | $ 12.07 | $ 12.38 |
Total ReturnB, C, D | 1.37% | 3.52% | .17% | 10.49% | 4.48% | 9.57% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00%A | .99% | .98% | .98% | .98% | .99% |
Expenses net of fee waivers, if any | 1.00%A | .99% | .98% | .98% | .98% | .99% |
Expenses net of all reductions | 1.00%A | .99% | .98% | .98% | .98% | .99% |
Net investment income (loss) | 3.55%A | 3.42% | 3.61% | 3.83% | 4.29% | 5.00% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,130 | $ 1,179 | $ 1,265 | $ 1,554 | $ 1,471 | $ 1,571 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.96 | $ 12.14 | $ 12.72 | $ 12.11 | $ 12.42 | $ 12.16 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .171 | .338 | .362 | .391 | .449 | .535 |
Net realized and unrealized gain (loss) | (.038) | .004 | (.432) | .765 | .007 | .509 |
Total from investment operations | .133 | .342 | (.070) | 1.156 | .456 | 1.044 |
Distributions from net investment income | (.156) | (.334) | (.343) | (.353) | (.483) | (.494) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.163) | (.522) | (.510) | (.546) | (.766) | (.784) |
Net asset value, end of period | $ 11.93 | $ 11.96 | $ 12.14 | $ 12.72 | $ 12.11 | $ 12.42 |
Total ReturnB, C, D | 1.11% | 2.80% | (.54)% | 9.67% | 3.72% | 8.77% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.69%A | 1.68% | 1.69% | 1.69% | 1.69% | 1.70% |
Expenses net of fee waivers, if any | 1.69%A | 1.68% | 1.69% | 1.69% | 1.69% | 1.70% |
Expenses net of all reductions | 1.69%A | 1.68% | 1.69% | 1.69% | 1.69% | 1.70% |
Net investment income (loss) | 2.85%A | 2.73% | 2.90% | 3.12% | 3.59% | 4.30% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 83 | $ 100 | $ 137 | $ 204 | $ 244 | $ 307 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.89 | $ 12.07 | $ 12.66 | $ 12.05 | $ 12.36 | $ 12.10 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .166 | .329 | .355 | .384 | .441 | .528 |
Net realized and unrealized gain (loss) | (.037) | .007 | (.440) | .767 | .010 | .512 |
Total from investment operations | .129 | .336 | (.085) | 1.151 | .451 | 1.040 |
Distributions from net investment income | (.152) | (.328) | (.338) | (.348) | (.478) | (.490) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.159) | (.516) | (.505) | (.541) | (.761) | (.780) |
Net asset value, end of period | $ 11.86 | $ 11.89 | $ 12.07 | $ 12.66 | $ 12.05 | $ 12.36 |
Total ReturnB, C, D | 1.07% | 2.76% | (.66)% | 9.68% | 3.71% | 8.77% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75%A | 1.73% | 1.73% | 1.73% | 1.74% | 1.74% |
Expenses net of fee waivers, if any | 1.75%A | 1.73% | 1.73% | 1.73% | 1.74% | 1.74% |
Expenses net of all reductions | 1.75%A | 1.73% | 1.73% | 1.73% | 1.74% | 1.74% |
Net investment income (loss) | 2.79%A | 2.67% | 2.86% | 3.08% | 3.54% | 4.26% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,597 | $ 1,664 | $ 1,767 | $ 2,238 | $ 1,824 | $ 1,609 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.09 | $ 12.26 | $ 12.84 | $ 12.21 | $ 12.52 | $ 12.25 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .228 | .455 | .484 | .514 | .570 | .657 |
Net realized and unrealized gain (loss) | (.048) | .012 | (.437) | .779 | .003 | .514 |
Total from investment operations | .180 | .467 | .047 | 1.293 | .573 | 1.171 |
Distributions from net investment income | (.213) | (.449) | (.460) | (.470) | (.600) | (.611) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.220) | (.637) | (.627) | (.663) | (.883) | (.901) |
Net asset value, end of period | $ 12.05 | $ 12.09 | $ 12.26 | $ 12.84 | $ 12.21 | $ 12.52 |
Total ReturnB, C | 1.48% | 3.80% | .39% | 10.78% | 4.66% | 9.80% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .77%A | .76% | .75% | .75% | .76% | .76% |
Expenses net of fee waivers, if any | .77%A | .76% | .75% | .75% | .76% | .76% |
Expenses net of all reductions | .77%A | .76% | .75% | .75% | .76% | .76% |
Net investment income (loss) | 3.77%A | 3.65% | 3.84% | 4.07% | 4.52% | 5.23% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,809 | $ 2,682 | $ 2,179 | $ 2,759 | $ 1,812 | $ 1,481 |
Portfolio turnover rate F | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2015 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (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 and Institutional Class shares, each of which along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
During the period, the Board of Trustees approved a change in the name of Institutional Class to Class I effective July 1, 2015.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity | Investment | Investment | Investment | Expense |
Fidelity Floating Rate Central Fund | FMR Co., Inc. | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Restricted Securities �� | Less than .01% |
* 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.
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2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The 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
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(Amounts in thousands except percentages)
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Investment Valuation - continued
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs),
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Investment Valuation - continued
futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy. Equity securities, including restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2015, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior
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(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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.
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Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. The Fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
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, foreign currency transactions, defaulted bonds, market discount, contingent interest, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 406,611 |
Gross unrealized depreciation | (276,776) |
Net unrealized appreciation (depreciation) on securities | $ 129,835 |
|
|
Tax cost | $ 9,114,501 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
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, or may be made directly to a borrower. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
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Risk Exposures and the Use of Derivative Instruments - continued
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral 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.
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ 2,473 | $ (4,238) |
Purchased Options | (768) | 768 |
Swaps | 383 | (234) |
Totals (a) | $ 2,088 | $ (3,704) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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
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Futures Contracts - continued
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 fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a
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Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
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.
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 $4,471,617 and $4,042,786, 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 .45% 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
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Management Fee - continued
advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .56% 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 | Service | Total Fees | Retained |
Class A | -% | .25% | $ 4,730 | $ 86 |
Class T | -% | .25% | 1,453 | 27 |
Class B | .65% | .25% | 413 | 300 |
Class C | .75% | .25% | 8,192 | 861 |
|
|
| $ 14,788 | $ 1,274 |
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, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 121 |
Class T | 25 |
Class B* | 36 |
Class C* | 51 |
| $ 233 |
* 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.
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(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 2,914 | .16 |
Class T | 877 | .15 |
Class B | 86 | .19 |
Class C | 1,218 | .15 |
Institutional Class | 2,454 | .18 |
| $ 7,549 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1 for the period.
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 $8 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
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8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $1.
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 $9 for the period.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 61,974 | $ 137,510 |
Class T | 19,063 | 41,939 |
Class B | 1,193 | 3,240 |
Class C | 20,744 | 45,973 |
Institutional Class | 48,636 | 84,124 |
Total | $ 151,610 | $ 312,786 |
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(Amounts in thousands except percentages)
10. Distributions to Shareholders - continued
Six months ended | Year ended | |
From net realized gain |
|
|
Class A | $ 2,214 | $ 59,022 |
Class T | 683 | 18,268 |
Class B | 56 | 1,556 |
Class C | 968 | 25,946 |
Institutional Class | 1,563 | 41,376 |
Total | $ 5,484 | $ 146,168 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 27,799 | 62,939 | $ 333,815 | $ 776,718 |
Reinvestment of distributions | 5,117 | 15,104 | 61,541 | 184,389 |
Shares redeemed | (39,051) | (107,328) | (468,972) | (1,322,245) |
Net increase (decrease) | (6,135) | (29,285) | $ (73,616) | $ (361,138) |
Class T |
|
|
|
|
Shares sold | 5,408 | 13,996 | $ 64,939 | $ 172,575 |
Reinvestment of distributions | 1,573 | 4,668 | 18,910 | 56,953 |
Shares redeemed | (10,787) | (24,319) | (129,551) | (299,446) |
Net increase (decrease) | (3,806) | (5,655) | $ (45,702) | $ (69,918) |
Class B |
|
|
|
|
Shares sold | 65 | 215 | $ 657 | $ 2,679 |
Reinvestment of distributions | 90 | 334 | 1,081 | 4,082 |
Shares redeemed | (1,604) | (3,487) | (19,196) | (43,142) |
Net increase (decrease) | (1,449) | (2,938) | $ (17,458) | $ (36,381) |
Class C |
|
|
|
|
Shares sold | 8,851 | 18,934 | $ 105,681 | $ 233,057 |
Reinvestment of distributions | 1,565 | 4,992 | 18,775 | 60,641 |
Shares redeemed | (15,626) | (30,358) | (186,739) | (372,456) |
Net increase (decrease) | (5,210) | (6,432) | $ (62,283) | $ (78,758) |
Institutional Class |
|
|
|
|
Shares sold | 38,378 | 94,676 | $ 467,094 | $ 1,183,458 |
Reinvestment of distributions | 3,700 | 8,622 | 45,091 | 106,429 |
Shares redeemed | (30,835) | (59,177) | (374,886) | (737,431) |
Net increase (decrease) | 11,243 | 44,121 | $ 137,299 | $ 552,456 |
Semiannual Report
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.
13. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
14. Litigation.
The Fund, and other entities managed by Fidelity or its affiliates, were named as defendants in a lawsuit brought by creditors of a subsidiary of Energy Future Holdings Corp. ("EFH"), which is currently in bankruptcy and was formerly known as TXU. The lawsuit, which is captioned as In Re: ENERGY FUTURE HOLDINGS CORP. et al. U.S. Bankruptcy Court, D. Del. Case No. 14-10979 (CSS); AVENUE CAPITAL MANAGEMENT II, LP, et al. v. FIDELITY INVESTMENTS, et al. Adversary No. 14-50797 (CSS), was filed in the United States Bankruptcy Court for the District of Delaware on October 6, 2014. The plaintiffs sought to enforce an alleged agreement under which the Fund and other defendants would sell certain EFH notes to the plaintiffs at a specified price. Plaintiffs sought a declaration that an alleged right to call the securities was properly exercised and an order that the Fund and other defendants transfer the notes to the plaintiffs at the specified price. The Fund and the other defendants disputed the plaintiffs' claims and filed a motion to dismiss contending, among other things, that the right to call the notes never came into existence and was part of a proposed settlement agreement that was never completed or approved by the bankruptcy court. On January 20, 2015, the court granted the defendants' motion and dismissed the complaint with prejudice. The plaintiffs filed a notice of appeal on February 3, 2015. If the lawsuit were to be decided in a manner adverse to the Fund, the Fund could experience a loss up to $31,803 as of period end. The Fund will also incur legal costs in defending the case.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
14. Litigation - continued
The Fund, and other entities managed by FMR or its affiliates, became aware in March 2015 that they were named as defendants in a lawsuit originally filed in the United States Bankruptcy Court for the Southern District of New York in 2009. The lawsuit was brought by creditors of Motors Liquidation Company (f/k/a General Motors), which went through Chapter 11 bankruptcy proceedings in 2009, and is captioned Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary No. 09-00504 (REG). The plaintiffs are seeking an order that the Fund and other defendants return proceeds received in 2009 in full payment of the principal and interest on General Motors secured debt. The plaintiffs contend that the Fund and the other defendants were not secured creditors at the time of the 2009 payments and, thus, were not entitled to payment in full. In January 2015, the Court of Appeals ruled that JPMorgan, as administrative agent for all of the debtholders, released the security interest on collateral securing the debt prior to the 2009 payments. The Bankruptcy Court will now determine next steps. At this time, Management cannot determine the amount of loss that may be realized, but expects the amount to be less than the $24,325 received in 2009. The Fund was not previously aware that it had been named as a defendant in this case because, in 2009, the Bankruptcy Court allowed the plaintiffs to refrain from serving any of the defendants other than JPMorgan with notice of the filing of the lawsuit. The Fund will explore all available options for minimizing any loss to the Fund. The Fund will also incur legal costs in defending the case.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
FMR Investment Management
(U.K.) Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
State Street Bank and Trust Company
Quincy, MA
(Fidelity Investment logo)(registered trademark)
SII-USAN-0815 1.787776.112
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
June 30, 2015
(Fidelity Cover Art)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2015 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2015 to June 30, 2015).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,014.50 | $ 4.99 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | 1.00% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,013.70 | $ 4.99 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class B | 1.69% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,011.10 | $ 8.43 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.41 | $ 8.45 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,010.70 | $ 8.72 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Institutional Class | .77% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,014.80 | $ 3.85 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.98 | $ 3.86 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in each Class' annualized expense ratio.
In addition to the expenses noted above, the Fund also indirectly bears its proportional share of the expenses of the underlying Fidelity Central Funds. Annualized expenses of the underlying non-money market Fidelity Central Funds as of their most recent fiscal half year were less than .01%.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds.
Top Five Holdings as of June 30, 2015 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 14.4 | 18.4 |
Japan Government | 2.6 | 2.1 |
German Federal Republic | 2.2 | 0.1 |
Ginnie Mae guaranteed REMIC pass-thru certificates | 1.9 | 1.7 |
Freddie Mac | 1.7 | 1.6 |
| 22.8 | |
Top Five Market Sectors as of June 30, 2015 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 11.2 | 10.4 |
Financials | 11.0 | 10.0 |
Energy | 7.6 | 6.2 |
Telecommunication Services | 5.4 | 5.5 |
Industrials | 4.9 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2015 | As of December 31, 2014 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA,AA,A 10.2% |
| ![]() | AAA,AA,A 9.9% |
| ||
![]() | BBB 8.6% |
| ![]() | BBB 10.1% |
| ||
![]() | BB 20.7% |
| ![]() | BB 17.6% |
| ||
![]() | B 19.2% |
| ![]() | B 17.2% |
| ||
![]() | CCC,CC,C 6.4% |
| ![]() | CCC,CC,C 6.5% |
| ||
![]() | D 0.0%* |
| ![]() | D 0.0% |
| ||
![]() | Not Rated 5.3% |
| ![]() | Not Rated 4.2% |
| ||
![]() | Equities 5.7% |
| ![]() | Equities 5.3% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes NCUA Guaranteed Notes. |
* Amount represents less than 0.1%. |
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 June 30, 2015* | As of December 31, 2014** | ||||||
![]() | Preferred Securities 3.1% |
| ![]() | Preferred Securities 2.5% |
| ||
![]() | Corporate Bonds 43.2% |
| ![]() | Corporate Bonds 39.0% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Foreign Government |
| ![]() | Foreign Government |
| ||
![]() | Bank Loan |
| ![]() | Bank Loan |
| ||
![]() | Stocks 5.7% |
| ![]() | Stocks 5.3% |
| ||
![]() | Other Investments 0.1% |
| ![]() | Other Investments 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 35.1% |
| ** Foreign investments | 33.9% |
| ||
* Futures and Swaps | 1.6% |
| ** Futures and Swaps | 1.8% |
|
† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.
Semiannual Report
Investments June 30, 2015 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 43.1% | ||||
| Principal | Value (000s) | ||
Convertible Bonds - 0.0% | ||||
CONSUMER DISCRETIONARY - 0.0% | ||||
Auto Components - 0.0% | ||||
Exide Technologies 7% 4/30/25 pay-in-kind | $ 870 | $ 600 | ||
Nonconvertible Bonds - 43.1% | ||||
CONSUMER DISCRETIONARY - 7.5% | ||||
Auto Components - 0.6% | ||||
Affinia Group, Inc. 7.75% 5/1/21 | 1,015 | 1,061 | ||
Chassix Holdings, Inc. 10% 12/15/18 pay-in-kind (c)(g)(l) | 2,134 | 192 | ||
Chassix, Inc. 9.25% 8/1/18 (c)(g) | 7,635 | 6,872 | ||
Dana Holding Corp.: | ||||
5.375% 9/15/21 | 3,475 | 3,562 | ||
6% 9/15/23 | 3,475 | 3,625 | ||
6.75% 2/15/21 | 1,400 | 1,467 | ||
Delphi Automotive PLC 1.5% 3/10/25 | EUR | 2,600 | 2,645 | |
Delphi Corp. 5% 2/15/23 | 9,005 | 9,590 | ||
Exide Technologies 11% 4/30/20 | 835 | 704 | ||
International Automotive Components Group SA 9.125% 6/1/18 (g) | 5,245 | 5,350 | ||
Lear Corp. 4.75% 1/15/23 | 6,305 | 6,210 | ||
Schaeffler Holding Finance BV: | ||||
6.25% 11/15/19 pay-in-kind (g)(l) | 2,965 | 3,124 | ||
6.75% 11/15/22 pay-in-kind (g)(l) | 3,940 | 4,255 | ||
Tenneco, Inc. 6.875% 12/15/20 | 6,205 | 6,453 | ||
| 55,110 | |||
Automobiles - 0.1% | ||||
Chrysler Group LLC/CG Co-Issuer, Inc. 8.25% 6/15/21 | 7,620 | 8,306 | ||
General Motors Financial Co., Inc. 4.25% 5/15/23 | 2,145 | 2,168 | ||
| 10,474 | |||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (g) | 1,500 | 1,526 | ||
LKQ Corp. 4.75% 5/15/23 | 1,090 | 1,040 | ||
| 2,566 | |||
Diversified Consumer Services - 0.2% | ||||
Laureate Education, Inc. 10% 9/1/19 (g)(l) | 23,025 | 21,471 | ||
Hotels, Restaurants & Leisure - 1.1% | ||||
24 Hour Holdings III LLC 8% 6/1/22 (g) | 1,760 | 1,412 | ||
Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (g) | BRL | 19,840 | 5,943 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. 9.375% 5/1/22 (g) | $ 26,325 | $ 19,744 | ||
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,566 | ||
FelCor Lodging LP: | ||||
5.625% 3/1/23 | 4,185 | 4,300 | ||
6% 6/1/25 (g) | 8,495 | 8,622 | ||
GLP Capital LP/GLP Financing II, Inc.: | ||||
4.375% 11/1/18 | 1,850 | 1,899 | ||
4.875% 11/1/20 | 4,845 | 4,930 | ||
5.375% 11/1/23 | 3,845 | 3,951 | ||
Graton Economic Development Authority 9.625% 9/1/19 (g) | 10,505 | 11,329 | ||
Landry's Acquisition Co. 9.375% 5/1/20 (g) | 905 | 971 | ||
LTF Merger Sub, Inc. 8.5% 6/15/23 (g) | 4,280 | 4,130 | ||
MCE Finance Ltd. 5% 2/15/21 (g) | 5,750 | 5,463 | ||
Mohegan Tribal Gaming Authority 11% 9/15/18 pay-in-kind (g)(l) | 2,333 | 2,336 | ||
MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind | 3,256 | 3,463 | ||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (g) | 1,135 | 1,135 | ||
Playa Resorts Holding BV 8% 8/15/20 (g) | 4,750 | 4,916 | ||
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/21 | 4,360 | 4,360 | ||
Scientific Games Corp. 10% 12/1/22 | 4,455 | 4,266 | ||
Six Flags Entertainment Corp. 5.25% 1/15/21 (g) | 7,515 | 7,684 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 3/31/15 (c)(g) | 390 | 0 | ||
| 102,420 | |||
Household Durables - 1.1% | ||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (g) | 3,165 | 3,118 | ||
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (g) | 2,595 | 2,583 | ||
D.R. Horton, Inc.: | ||||
4.375% 9/15/22 | 5,495 | 5,330 | ||
4.75% 2/15/23 | 3,865 | 3,855 | ||
5.75% 8/15/23 | 2,155 | 2,279 | ||
Lennar Corp. 4.5% 11/15/19 | 3,345 | 3,387 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | $ 24,830 | $ 25,451 | ||
6.875% 2/15/21 | 6,200 | 6,464 | ||
8.25% 2/15/21 (l) | 6,920 | 7,180 | ||
9.875% 8/15/19 | 1,223 | 1,284 | ||
Springs Industries, Inc. 6.25% 6/1/21 | 1,475 | 1,442 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 2,255 | 2,571 | ||
8.375% 1/15/21 | 4,340 | 5,034 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.875% 4/15/23 (g) | 3,265 | 3,224 | ||
Tempur Sealy International, Inc. 6.875% 12/15/20 | 2,010 | 2,131 | ||
Toll Brothers Finance Corp.: | ||||
4.375% 4/15/23 | 10,429 | 10,220 | ||
5.625% 1/15/24 | 1,240 | 1,305 | ||
5.875% 2/15/22 | 5,640 | 6,049 | ||
TRI Pointe Homes, Inc.: | ||||
4.375% 6/15/19 | 2,545 | 2,494 | ||
5.875% 6/15/24 | 6,140 | 6,017 | ||
William Lyon Homes, Inc. 8.5% 11/15/20 | 2,235 | 2,414 | ||
| 103,832 | |||
Internet & Catalog Retail - 0.2% | ||||
Netflix, Inc. 5.375% 2/1/21 (g) | 4,010 | 4,160 | ||
Priceline Group, Inc. 1.8% 3/3/27 | EUR | 6,900 | 6,767 | |
Zayo Group LLC/Zayo Capital, Inc. 6% 4/1/23 (g) | 4,435 | 4,380 | ||
| 15,307 | |||
Media - 3.7% | ||||
Altice SA: | ||||
5.375% 7/15/23 (g) | 7,415 | 7,230 | ||
7.75% 5/15/22 (g) | 24,970 | 24,158 | ||
AMC Entertainment, Inc. 5.75% 6/15/25 (g) | 6,450 | 6,321 | ||
AMC Networks, Inc. 4.75% 12/15/22 | 3,080 | 3,080 | ||
British Sky Broadcasting Group PLC 1.5% 9/15/21 (Reg. S) | EUR | 7,650 | 8,493 | |
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: | ||||
5.25% 2/15/22 | 980 | 992 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
CBS Outdoor Americas Capital LLC/CBS Outdoor Americas Capital Corp.: - continued | ||||
5.625% 2/15/24 | $ 1,060 | $ 1,084 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 6,770 | 6,601 | ||
5.125% 5/1/23 (g) | 5,425 | 5,276 | ||
5.25% 3/15/21 | 4,975 | 4,963 | ||
5.25% 9/30/22 | 7,240 | 7,131 | ||
5.375% 5/1/25 (g) | 5,425 | 5,283 | ||
5.75% 9/1/23 | 670 | 671 | ||
5.75% 1/15/24 | 4,245 | 4,266 | ||
6.5% 4/30/21 | 10,200 | 10,672 | ||
6.625% 1/31/22 | 8,220 | 8,569 | ||
Cinemark U.S.A., Inc.: | ||||
4.875% 6/1/23 | 4,875 | 4,686 | ||
5.125% 12/15/22 | 1,470 | 1,457 | ||
Clear Channel Communications, Inc. 14% 2/1/21 pay-in-kind (l) | 4,900 | 3,438 | ||
Comcast Corp. 5.5% 11/23/29 | GBP | 3,800 | 7,188 | |
DISH DBS Corp.: | ||||
5% 3/15/23 | 3,985 | 3,686 | ||
5.125% 5/1/20 | 485 | 490 | ||
5.875% 7/15/22 | 15,180 | 14,876 | ||
DreamWorks Animation SKG, Inc. 6.875% 8/15/20 (g) | 2,245 | 2,223 | ||
Gannett Co., Inc.: | ||||
4.875% 9/15/21 (g) | 3,210 | 3,186 | ||
5.5% 9/15/24 (g) | 3,210 | 3,178 | ||
Globo Comunicacao e Participacoes SA 4.875% 4/11/22 (g) | 1,875 | 1,931 | ||
Liberty Media Corp.: | ||||
8.25% 2/1/30 | 4,120 | 4,326 | ||
8.5% 7/15/29 | 8,920 | 9,634 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (l) | 14,840 | 16,324 | ||
MDC Partners, Inc. 6.75% 4/1/20 (g) | 5,465 | 5,445 | ||
MHGE Parent LLC / MHGE Parent Finance, Inc. 8.5% 8/1/19 pay-in-kind (g)(l) | 8,960 | 9,027 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Myriad International Holding BV 6% 7/18/20 (g) | $ 1,725 | $ 1,870 | ||
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (g) | 2,335 | 2,288 | ||
Numericable Group SA: | ||||
4.875% 5/15/19 (g) | 6,705 | 6,638 | ||
6% 5/15/22 (g) | 35,620 | 35,108 | ||
6.25% 5/15/24 (g) | 27,408 | 26,963 | ||
Quebecor Media, Inc. 5.75% 1/15/23 | 7,660 | 7,641 | ||
RCN Telecom Services LLC/RCN Capital Corp. 8.5% 8/15/20 (g) | 2,660 | 2,786 | ||
Regal Entertainment Group 5.75% 6/15/23 | 9,410 | 9,457 | ||
Sinclair Television Group, Inc. 5.375% 4/1/21 | 4,940 | 4,977 | ||
Sirius XM Radio, Inc.: | ||||
4.25% 5/15/20 (g) | 5,800 | 5,771 | ||
4.625% 5/15/23 (g) | 2,450 | 2,300 | ||
5.25% 8/15/22 (g) | 6,945 | 7,258 | ||
5.375% 4/15/25 (g) | 4,685 | 4,521 | ||
Starz LLC/Starz Finance Corp. 5% 9/15/19 | 4,305 | 4,359 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 6,690 | 6,907 | ||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (g) | 5,540 | 5,647 | ||
VTR Finance BV 6.875% 1/15/24 (g) | 4,800 | 4,905 | ||
Wave Holdco LLC/Wave Holdco Corp. 8.25% 7/15/19 pay-in-kind (g)(l) | 955 | 972 | ||
WMG Acquisition Corp.: | ||||
5.625% 4/15/22 (g) | 955 | 960 | ||
6.75% 4/15/22 (g) | 3,825 | 3,653 | ||
| 340,866 | |||
Specialty Retail - 0.4% | ||||
CST Brands, Inc. 5% 5/1/23 | 1,320 | 1,313 | ||
HT Intermediate Holdings Corp. 12% 5/15/19 pay-in-kind (g)(l) | 2,275 | 2,309 | ||
Jaguar Land Rover PLC 4.25% 11/15/19 (g) | 4,485 | 4,541 | ||
L Brands, Inc. 5.625% 10/15/23 | 4,625 | 4,856 | ||
L Brands, Inc. 5.625% 2/15/22 | 6,880 | 7,241 | ||
Sally Holdings LLC 6.875% 11/15/19 | 3,305 | 3,454 | ||
Sonic Automotive, Inc. 5% 5/15/23 | 800 | 782 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Tenedora Nemak SA de CV 5.5% 2/28/23 (g) | $ 6,460 | $ 6,622 | ||
The Men's Wearhouse, Inc. 7% 7/1/22 | 1,580 | 1,691 | ||
| 32,809 | |||
Textiles, Apparel & Luxury Goods - 0.1% | ||||
Polymer Group, Inc.: | ||||
6.875% 6/1/19 (g) | 1,720 | 1,582 | ||
7.75% 2/1/19 | 855 | 881 | ||
PVH Corp. 4.5% 12/15/22 | 10,925 | 10,816 | ||
| 13,279 | |||
TOTAL CONSUMER DISCRETIONARY | 698,134 | |||
CONSUMER STAPLES - 2.0% | ||||
Beverages - 0.1% | ||||
Constellation Brands, Inc.: | ||||
3.875% 11/15/19 | 3,190 | 3,238 | ||
4.75% 11/15/24 | 4,475 | 4,486 | ||
JB y Co. SA de CV 3.75% 5/13/25 (g) | 1,875 | 1,819 | ||
| 9,543 | |||
Food & Staples Retailing - 0.6% | ||||
BI-LO LLC/BI-LO Finance Corp.: | ||||
8.625% 9/15/18 pay-in-kind (g)(l) | 4,670 | 4,320 | ||
9.25% 2/15/19 (g) | 5,285 | 5,338 | ||
ESAL GmbH 6.25% 2/5/23 (g) | 13,590 | 13,386 | ||
Hearthside Group Holdings LLC/Hearthside Finance, Inc. 6.5% 5/1/22 (g) | 1,265 | 1,208 | ||
Minerva Luxembourg SA 7.75% 1/31/23 (Reg. S) | 3,450 | 3,476 | ||
Rite Aid Corp.: | ||||
6.125% 4/1/23 (g) | 8,710 | 8,971 | ||
6.75% 6/15/21 | 12,320 | 12,936 | ||
9.25% 3/15/20 | 3,570 | 3,869 | ||
Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (g) | 1,465 | 1,575 | ||
Tops Holding LLC / Tops Markets II Corp. 8% 6/15/22 (g) | 4,305 | 4,310 | ||
| 59,389 | |||
Food Products - 1.0% | ||||
B&G Foods, Inc. 4.625% 6/1/21 | 5,220 | 5,142 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
Barry Callebaut Services NV 5.5% 6/15/23 (g) | $ 5,915 | $ 6,299 | ||
FAGE Dairy Industry SA/FAGE U.S.A. Dairy Industry, Inc. 9.875% 2/1/20 (g) | 5,550 | 5,786 | ||
Gruma S.A.B. de CV 4.875% 12/1/24 (g) | 2,200 | 2,291 | ||
H.J. Heinz Co.: | ||||
4.125% 7/1/27 (Reg. S) | GBP | 4,900 | 7,682 | |
4.25% 10/15/20 | 9,880 | 10,090 | ||
JBS Investments GmbH 7.25% 4/3/24 (g) | 14,755 | 15,179 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.: | ||||
5.75% 6/15/25 (g) | 7,650 | 7,562 | ||
5.875% 7/15/24 (g) | 2,350 | 2,365 | ||
7.25% 6/1/21 (g) | 2,960 | 3,119 | ||
8.25% 2/1/20 (g) | 3,315 | 3,514 | ||
Mondelez International, Inc. 1.625% 3/8/27 | EUR | 4,200 | 4,214 | |
Pilgrim's Pride Corp. 5.75% 3/15/25 (g) | 6,540 | 6,605 | ||
Post Holdings, Inc.: | ||||
6% 12/15/22 (g) | 2,340 | 2,252 | ||
7.375% 2/15/22 | 2,500 | 2,544 | ||
Sigma Alimentos SA de CV 6.875% 12/16/19 (g) | 1,940 | 2,236 | ||
TreeHouse Foods, Inc. 4.875% 3/15/22 | 1,660 | 1,672 | ||
| 88,552 | |||
Household Products - 0.1% | ||||
Edgewell Personal Care Co. 5.5% 6/15/25 (g) | 2,800 | 2,765 | ||
Spectrum Brands Holdings, Inc.: | ||||
5.75% 7/15/25 (g) | 4,470 | 4,537 | ||
6.375% 11/15/20 | 1,415 | 1,496 | ||
6.625% 11/15/22 | 1,675 | 1,784 | ||
| 10,582 | |||
Personal Products - 0.2% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,264 | ||
First Quality Finance Co., Inc. 4.625% 5/15/21 (g) | 1,235 | 1,155 | ||
Prestige Brands, Inc. 8.125% 2/1/20 | 770 | 822 | ||
Revlon Consumer Products Corp. 5.75% 2/15/21 | 18,693 | 18,319 | ||
| 21,560 | |||
TOTAL CONSUMER STAPLES | 189,626 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - 6.8% | ||||
Energy Equipment & Services - 0.6% | ||||
Basic Energy Services, Inc. 7.75% 10/15/22 | $ 3,640 | $ 2,876 | ||
Compressco Partners LP/Compressco Finance, Inc. 7.25% 8/15/22 (g) | 3,100 | 2,961 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (g) | 1,955 | 1,716 | ||
Exterran Partners LP/EXLP Finance Corp. 6% 10/1/22 | 3,200 | 3,040 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,755 | 3,004 | ||
Forum Energy Technologies, Inc. 6.25% 10/1/21 | 5,850 | 5,792 | ||
Gulfmark Offshore, Inc. 6.375% 3/15/22 | 145 | 108 | ||
Hornbeck Offshore Services, Inc.: | ||||
5% 3/1/21 | 444 | 382 | ||
5.875% 4/1/20 | 3,990 | 3,671 | ||
Kinder Morgan, Inc. 2.25% 3/16/27 | EUR | 4,050 | 4,198 | |
Offshore Group Investment Ltd.: | ||||
7.125% 4/1/23 | 5,725 | 3,492 | ||
7.5% 11/1/19 | 2,265 | 1,393 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (g) | 9,695 | 8,338 | ||
Precision Drilling Corp.: | ||||
5.25% 11/15/24 | 4,310 | 3,750 | ||
6.5% 12/15/21 | 940 | 912 | ||
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S) | 1,425 | 1,357 | ||
Summit Midstream Holdings LLC 7.5% 7/1/21 | 2,035 | 2,137 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (g) | 1,615 | 1,615 | ||
Unit Corp. 6.625% 5/15/21 | 875 | 849 | ||
| 51,591 | |||
Oil, Gas & Consumable Fuels - 6.2% | ||||
Access Midstream Partners LP/ACMP Finance Corp.: | ||||
4.875% 5/15/23 | 7,005 | 6,910 | ||
4.875% 3/15/24 | 2,630 | 2,584 | ||
Afren PLC: | ||||
6.625% 12/9/20 (c)(g) | 6,575 | 2,893 | ||
10.25% 4/8/19 (Reg. S) (c) | 6,260 | 2,754 | ||
American Energy-Permian Basin LLC/ AEPB Finance Corp.: | ||||
7.125% 11/1/20 (g) | 6,920 | 4,706 | ||
7.375% 11/1/21 (g) | 1,820 | 1,236 | ||
Antero Resources Corp. 5.625% 6/1/23 (g) | 3,980 | 3,846 | ||
Carrizo Oil & Gas, Inc.: | ||||
6.25% 4/15/23 | 2,860 | 2,867 | ||
7.5% 9/15/20 | 8,045 | 8,467 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Chaparral Energy, Inc. 9.875% 10/1/20 | $ 1,845 | $ 1,504 | ||
Citgo Holding, Inc. 10.75% 2/15/20 (g) | 6,595 | 6,743 | ||
Citgo Petroleum Corp. 6.25% 8/15/22 (g) | 6,280 | 6,170 | ||
Concho Resources, Inc.: | ||||
5.5% 4/1/23 | 13,120 | 13,120 | ||
6.5% 1/15/22 | 6,135 | 6,396 | ||
CONSOL Energy, Inc.: | ||||
5.875% 4/15/22 | 2,170 | 1,845 | ||
8% 4/1/23 (g) | 10,870 | 10,313 | ||
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.: | ||||
6% 12/15/20 | 6,670 | 6,903 | ||
6.125% 3/1/22 | 7,890 | 8,048 | ||
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 | 9,690 | 9,690 | ||
DTEK Finance PLC 7.875% 4/4/18 (Reg. S) | 200 | 90 | ||
Eagle Rock Energy Partners LP/Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 4,997 | ||
EDC Finance Ltd. 4.875% 4/17/20 (g) | 7,590 | 6,630 | ||
Endeavor Energy Resources LP/EER Finance, Inc.: | ||||
7% 8/15/21 (g) | 4,355 | 4,333 | ||
8.125% 9/15/23 (g) | 3,960 | 4,084 | ||
Energy Transfer Equity LP 5.5% 6/1/27 | 6,395 | 6,379 | ||
Energy XXI Gulf Coast, Inc. 11% 3/15/20 (g) | 5,565 | 4,869 | ||
EP Energy LLC/Everest Acquisition Finance, Inc. 6.375% 6/15/23 (g) | 5,175 | 5,188 | ||
EV Energy Partners LP/EV Energy Finance Corp. 8% 4/15/19 | 3,705 | 3,446 | ||
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20 | 1,765 | 1,886 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 | 2,400 | 2,370 | ||
Georgian Oil & Gas Corp. 6.875% 5/16/17 (g) | 3,780 | 3,808 | ||
Global Partners LP/GLP Finance Corp.: | ||||
6.25% 7/15/22 | 1,030 | 989 | ||
7% 6/15/23 (g) | 4,305 | 4,230 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 | 3,485 | 1,499 | ||
Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (g) | 3,765 | 4,066 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Hilcorp Energy I LP/Hilcorp Finance Co.: | ||||
5% 12/1/24 (g) | $ 4,000 | $ 3,751 | ||
5.75% 10/1/25 (g) | 4,310 | 4,138 | ||
7.625% 4/15/21 (g) | 4,325 | 4,498 | ||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | 4,875 | 4,863 | ||
Indo Energy Finance BV 7% 5/7/18 (g) | 1,175 | 969 | ||
Jupiter Resources, Inc. 8.5% 10/1/22 (g) | 6,720 | 5,628 | ||
KazMunaiGaz Finance Sub BV 6% 11/7/44 (g) | 2,275 | 1,951 | ||
KazMunaiGaz National Co. 5.75% 4/30/43 (g) | 3,705 | 3,092 | ||
Kinder Morgan, Inc. 5.625% 11/15/23 (g) | 3,115 | 3,314 | ||
Kosmos Energy Ltd. 7.875% 8/1/21 (g) | 2,195 | 2,118 | ||
Laredo Petroleum, Inc. 7.375% 5/1/22 (Reg. S) | 5,910 | 6,220 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp.: | ||||
4.875% 12/1/24 | 6,560 | 6,412 | ||
5.5% 2/15/23 | 3,215 | 3,299 | ||
Newfield Exploration Co.: | ||||
5.375% 1/1/26 | 5,450 | 5,396 | ||
5.625% 7/1/24 | 5,200 | 5,252 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 | 2,245 | 2,312 | ||
Nostrum Oil & Gas Finance BV 6.375% 2/14/19 (g) | 5,360 | 5,025 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g) | 15,449 | 12,668 | ||
Pan American Energy LLC 7.875% 5/7/21 (g) | 1,985 | 2,032 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 | 9,325 | 9,861 | ||
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 (g) | 3,235 | 3,251 | ||
Peabody Energy Corp. 10% 3/15/22 (g) | 4,360 | 2,703 | ||
Pemex Project Funding Master Trust: | ||||
6.625% 6/15/35 | 7,740 | 8,262 | ||
8.625% 12/1/23 (l) | 500 | 615 | ||
PetroBakken Energy Ltd. 8.625% 2/1/20 (g) | 9,160 | 5,885 | ||
Petrobras Global Finance BV: | ||||
1.896% 5/20/16 (l) | 4,310 | 4,246 | ||
2% 5/20/16 | 1,450 | 1,433 | ||
2.4153% 1/15/19 (l) | 5,765 | 5,330 | ||
3% 1/15/19 | 2,340 | 2,163 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Petrobras Global Finance BV: - continued | ||||
3.25% 3/17/17 | $ 2,240 | $ 2,209 | ||
6.25% 3/17/24 | 3,950 | 3,814 | ||
6.85% 6/5/15 | 4,250 | 3,487 | ||
7.25% 3/17/44 | 2,190 | 2,033 | ||
Petrobras International Finance Co. Ltd.: | ||||
3.875% 1/27/16 | 1,880 | 1,888 | ||
5.75% 1/20/20 | 2,150 | 2,130 | ||
6.875% 1/20/40 | 6,640 | 5,915 | ||
Petroleos de Venezuela SA: | ||||
5.375% 4/12/27 | 6,810 | 2,332 | ||
5.5% 4/12/37 | 2,200 | 755 | ||
8.5% 11/2/17 (g) | 46,685 | 32,096 | ||
9.75% 5/17/35 (g) | 10,275 | 4,156 | ||
12.75% 2/17/22 (g) | 8,985 | 4,434 | ||
Petroleos Mexicanos: | ||||
3.5% 1/30/23 | 4,305 | 4,084 | ||
4.875% 1/24/22 | 3,930 | 4,087 | ||
4.875% 1/18/24 | 3,685 | 3,777 | ||
5.5% 1/21/21 | 2,545 | 2,760 | ||
5.5% 6/27/44 | 4,490 | 4,131 | ||
5.5% 6/27/44 (g) | 3,250 | 2,990 | ||
5.625% 1/23/46 (g) | 2,160 | 2,017 | ||
6.375% 1/23/45 | 5,900 | 6,055 | ||
6.5% 6/2/41 | 7,295 | 7,587 | ||
6.625% (g)(h) | 19,963 | 19,888 | ||
Petronas Capital Ltd. 3.5% 3/18/25 (g) | 2,020 | 1,998 | ||
PT Pertamina Persero: | ||||
4.875% 5/3/22 (g) | 1,990 | 2,007 | ||
5.25% 5/23/21 (g) | 2,185 | 2,264 | ||
6% 5/3/42 (g) | 1,320 | 1,225 | ||
6.5% 5/27/41 (g) | 6,280 | 6,225 | ||
QEP Resources, Inc. 5.25% 5/1/23 | 5,955 | 5,702 | ||
Range Resources Corp. 5% 3/15/23 | 9,130 | 8,947 | ||
Rice Energy, Inc.: | ||||
6.25% 5/1/22 | 7,770 | 7,712 | ||
7.25% 5/1/23 (g) | 1,695 | 1,737 | ||
Rosetta Resources, Inc.: | ||||
5.625% 5/1/21 | 4,560 | 4,845 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Rosetta Resources, Inc.: - continued | ||||
5.875% 6/1/22 | $ 4,750 | $ 5,071 | ||
RSP Permian, Inc. 6.625% 10/1/22 (g) | 1,785 | 1,825 | ||
Sabine Pass Liquefaction LLC 5.625% 3/1/25 (g) | 8,895 | 8,806 | ||
SemGroup Corp. 7.5% 6/15/21 | 4,100 | 4,285 | ||
Sibur Securities Ltd. 3.914% 1/31/18 (g) | 5,840 | 5,479 | ||
SM Energy Co. 5.625% 6/1/25 | 2,100 | 2,079 | ||
Southern Star Central Corp. 5.125% 7/15/22 (g) | 2,570 | 2,609 | ||
Sunoco LP / Sunoco Finance Corp. 6.375% 4/1/23 (g) | 3,040 | 3,162 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 4,111 | ||
Teine Energy Ltd. 6.875% 9/30/22 (g) | 4,615 | 4,453 | ||
Tennessee Gas Pipeline Co. 7.625% 4/1/37 | 1,035 | 1,219 | ||
Tesoro Corp. 5.375% 10/1/22 | 3,340 | 3,390 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp.: | ||||
5.5% 10/15/19 (g) | 2,540 | 2,635 | ||
5.875% 10/1/20 | 791 | 819 | ||
6.125% 10/15/21 | 2,735 | 2,851 | ||
6.25% 10/15/22 (g) | 2,715 | 2,810 | ||
Transportadora de Gas del Sur SA 9.625% 5/14/20 (g) | 10,149 | 10,250 | ||
W&T Offshore, Inc. 8.5% 6/15/19 | 4,890 | 3,392 | ||
Western Refining Logistics LP/WNRL Finance Co. 7.5% 2/15/23 (g) | 1,835 | 1,890 | ||
Western Refining, Inc. 6.25% 4/1/21 | 8,595 | 8,659 | ||
Whiting Petroleum Corp.: | ||||
5% 3/15/19 | 3,480 | 3,410 | ||
5.75% 3/15/21 | 3,480 | 3,424 | ||
WPX Energy, Inc. 6% 1/15/22 | 7,035 | 6,947 | ||
YPF SA: | ||||
8.5% 7/28/25 (g) | 4,275 | 4,232 | ||
8.75% 4/4/24 (g) | 8,815 | 8,947 | ||
8.875% 12/19/18 (g) | 6,430 | 6,832 | ||
Zhaikmunai International BV 7.125% 11/13/19 (g) | 6,980 | 6,605 | ||
| 578,025 | |||
TOTAL ENERGY | 629,616 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - 8.0% | ||||
Banks - 3.2% | ||||
ABN AMRO Bank NV: | ||||
2.875% 6/30/25 (Reg. S) | EUR | 500 | $ 561 | |
7.125% 7/6/22 | EUR | 5,250 | 7,468 | |
Banco Daycoval SA 5.75% 3/19/19 (g) | 345 | 358 | ||
Banco de Galicia y Buenos Aires SA 16% 1/1/19 (Reg. S) | 2,217 | 2,328 | ||
Banco Nacional de Desenvolvimento Economico e Social: | ||||
5.5% 7/12/20 (g) | 1,940 | 2,018 | ||
5.75% 9/26/23 (g) | 2,445 | 2,496 | ||
6.369% 6/16/18 (g) | 2,200 | 2,354 | ||
Bank of America Corp. 1.375% 9/10/21 (Reg. S) | EUR | 6,650 | 7,369 | |
Bank of Ireland 1.25% 4/9/20 | EUR | 16,800 | 18,161 | |
Banque Centrale de Tunisie 5.75% 1/30/25 (g) | 3,560 | 3,475 | ||
Barclays Bank PLC 6.625% 3/30/22 (Reg. S) | EUR | 3,800 | 5,245 | |
BBVA Bancomer SA 6.75% 9/30/22 (g) | 1,300 | 1,432 | ||
BBVA Colombia SA 4.875% 4/21/25 (g) | 1,295 | 1,267 | ||
BBVA Paraguay SA 9.75% 2/11/16 (g) | 4,580 | 4,744 | ||
CIT Group, Inc.: | ||||
5% 8/15/22 | 8,305 | 8,222 | ||
5.375% 5/15/20 | 10,385 | 10,826 | ||
5.5% 2/15/19 (g) | 10,070 | 10,498 | ||
Citigroup, Inc. 2.125% 9/10/26 (Reg. S) | EUR | 6,100 | 6,641 | |
Development Bank of Philippines 8.375% (h)(l) | 6,765 | 7,104 | ||
Export-Import Bank of Korea 6% 6/4/16 (Reg. S) | INR | 137,400 | 2,147 | |
Finansbank A/S: | ||||
5.5% 5/11/16 (Reg. S) | 4,575 | 4,638 | ||
6.25% 4/30/19 (g) | 3,645 | 3,675 | ||
Georgia Bank Joint Stock Co.: | ||||
7.75% 7/5/17 (g) | 7,045 | 7,278 | ||
7.75% 7/5/17 (Reg. S) | 1,100 | 1,136 | ||
GTB Finance BV: | ||||
6% 11/8/18 (g) | 7,230 | 6,858 | ||
7.5% 5/19/16 (g) | 4,675 | 4,733 | ||
HSBC Bank PLC 5% 3/20/23 (l) | GBP | 9,056 | 14,967 | |
HSBC Holdings PLC 3% 6/30/25 | EUR | 3,350 | 3,722 | |
HSBK BV 7.25% 5/3/17 (g) | 8,370 | 8,642 | ||
Industrial Senior Trust 5.5% 11/1/22 (g) | 575 | 556 | ||
ING Bank NV: | ||||
6.125% 5/29/23 (l) | EUR | 10,945 | 13,729 | |
6.875% 5/29/23 (l) | GBP | 6,500 | 11,349 | |
Intesa Sanpaolo SpA 1.125% 1/14/20 (Reg. S) | EUR | 7,300 | 7,940 | |
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Banks - continued | ||||
Itau Unibanco Holding SA: | ||||
2.85% 5/26/18 (g) | $ 2,150 | $ 2,133 | ||
5.125% 5/13/23 (Reg. S) | 3,660 | 3,572 | ||
6.2% 12/21/21 (Reg. S) | 3,275 | 3,461 | ||
KBC Groep NV 1.875% 3/11/27 (Reg. S) (l) | EUR | 9,700 | 10,219 | |
Lloyds Bank PLC 6.5% 3/24/20 | EUR | 4,950 | 6,589 | |
National Westminster Bank PLC 6.5% 9/7/21 | GBP | 4,430 | 7,782 | |
OJSC Russian Agricultural Bank: | ||||
6.299% 5/15/17 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g) | 2,985 | 3,007 | ||
7.75% 5/29/18 (Issued by RSHB Capital SA for OJSC Russian Agricultural Bank) (g) | 2,840 | 2,931 | ||
Rabobank Nederland 6.875% 3/19/20 (Reg. S) | EUR | 13,850 | 18,171 | |
Royal Bank of Scotland Group PLC 1.625% 6/25/19 (Reg. S) | EUR | 8,700 | 9,729 | |
RSHB Capital SA 5.298% 12/27/17 (g) | 3,840 | 3,752 | ||
SB Capital SA 5.5% 2/26/24 (g)(l) | 7,365 | 6,097 | ||
Turkiye Halk Bankasi A/S 4.75% 6/4/19 (g) | 1,400 | 1,410 | ||
Turkiye Vakiflar Bankasi TAO 6.875% 2/3/25 (g)(l) | 2,150 | 2,112 | ||
UniCredit SpA: | ||||
3.25% 1/14/21 (Reg. S) | EUR | 7,500 | 8,883 | |
6.95% 10/31/22 (Reg. S) | EUR | 1,150 | 1,481 | |
Zenith Bank PLC 6.25% 4/22/19 (g) | 8,770 | 8,408 | ||
| 293,674 | |||
Capital Markets - 0.3% | ||||
Argos Merger Sub, Inc. 7.125% 3/15/23 (g) | 6,585 | 6,898 | ||
Criteria Caixaholding SA 1.625% 4/21/22 | EUR | 13,100 | 13,817 | |
Morgan Stanley 5.375% 8/10/20 | EUR | 7,200 | 9,661 | |
| 30,376 | |||
Consumer Finance - 2.3% | ||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust: | ||||
4.25% 7/1/20 | 4,275 | 4,278 | ||
4.5% 5/15/21 (g) | 8,055 | 8,095 | ||
4.625% 7/1/22 | 4,275 | 4,286 | ||
Ally Financial, Inc.: | ||||
4.125% 2/13/22 | 8,795 | 8,443 | ||
4.625% 3/30/25 | 1,500 | 1,429 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
Ally Financial, Inc.: - continued | ||||
5.125% 9/30/24 | $ 16,971 | $ 17,013 | ||
Credito Real S.A.B. de CV 7.5% 3/13/19 (g) | 2,775 | 2,914 | ||
FCA Capital Ireland PLC 1.375% 4/17/20 (Reg. S) | EUR | 12,200 | 13,176 | |
Ford Credit Europe PLC 1.134% 2/10/22 (Reg. S) | EUR | 7,000 | 7,460 | |
General Motors Acceptance Corp. 8% 11/1/31 | 9,006 | 11,483 | ||
GMAC LLC 8% 11/1/31 | 72,978 | 87,391 | ||
Navient Corp.: | ||||
5% 10/26/20 | 3,110 | 3,048 | ||
5.875% 10/25/24 | 6,710 | 6,307 | ||
SLM Corp.: | ||||
5.5% 1/25/23 | 22,735 | 21,598 | ||
7.25% 1/25/22 | 12,720 | 13,420 | ||
8% 3/25/20 | 7,185 | 8,011 | ||
| 218,352 | |||
Diversified Financial Services - 1.0% | ||||
Cimpor Financial Operations BV 5.75% 7/17/24 (g) | 2,880 | 2,333 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
4.875% 3/15/19 | 7,260 | 7,314 | ||
5.875% 2/1/22 | 18,530 | 18,877 | ||
6% 8/1/20 | 25,690 | 26,525 | ||
Malaysia Sovereign Sukuk Bhd 3.043% 4/22/25 (g) | 3,130 | 3,112 | ||
MSCI, Inc. 5.25% 11/15/24 (g) | 2,735 | 2,769 | ||
Nationwide Building Society 4.125% 3/20/23 (Reg. S) (l) | EUR | 13,250 | 15,663 | |
TMK Capital SA: | ||||
6.75% 4/3/20 (Reg. S) | 2,730 | 2,361 | ||
7.75% 1/27/18 | 4,795 | 4,672 | ||
Unite (USAF) II PLC 3.374% 6/30/28 | GBP | 4,450 | 7,059 | |
Wendel SA 2.75% 10/2/24 (Reg. S) | EUR | 3,900 | 4,405 | |
| 95,090 | |||
Insurance - 0.2% | ||||
Hockey Merger Sub 2, Inc. 7.875% 10/1/21 (g) | 9,770 | 9,965 | ||
Society of Lloyd's 4.75% 10/30/24 | GBP | 2,700 | 4,264 | |
| 14,229 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - 0.5% | ||||
Communications Sales & Leasing, Inc.: | ||||
6% 4/15/23 (g) | $ 1,895 | $ 1,853 | ||
8.25% 10/15/23 (g) | 4,260 | 4,185 | ||
Crown Castle International Corp. 5.25% 1/15/23 | 8,270 | 8,330 | ||
CTR Partnership LP/CareTrust Capital Corp. 5.875% 6/1/21 | 700 | 712 | ||
Iron Mountain, Inc. 5.75% 8/15/24 | 3,800 | 3,802 | ||
MPT Operating Partnership LP/MPT Finance Corp. 6.375% 2/15/22 | 4,335 | 4,622 | ||
Omega Healthcare Investors, Inc. 5.875% 3/15/24 | 13,845 | 14,728 | ||
Prologis LP 3% 6/2/26 | EUR | 6,700 | 7,752 | |
Scentre Management Ltd./ RE1 Ltd. 2.25% 7/16/24 (Reg. S) | EUR | 2,118 | 2,411 | |
The GEO Group, Inc. 5.125% 4/1/23 | 1,910 | 1,905 | ||
| 50,300 | |||
Real Estate Management & Development - 0.5% | ||||
CBRE Group, Inc.: | ||||
5% 3/15/23 | 9,605 | 9,701 | ||
5.25% 3/15/25 | 5,100 | 5,279 | ||
Deutsche Annington Finance BV 2.125% 7/9/22 (Reg. S) | EUR | 2,924 | 3,306 | |
Grand City Properties SA 1.5% 4/17/25 (Reg. S) | EUR | 5,000 | 4,963 | |
Howard Hughes Corp. 6.875% 10/1/21 (g) | 10,865 | 11,517 | ||
Inversiones y Representaciones SA: | ||||
8.5% 2/2/17 (Reg. S) | 285 | 284 | ||
11.5% 7/20/20 (Reg. S) | 15 | 17 | ||
Realogy Corp. 9% 1/15/20 (g) | 3,740 | 4,030 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc. 5.25% 4/15/21 (g) | 7,370 | 7,259 | ||
| 46,356 | |||
TOTAL FINANCIALS | 748,377 | |||
HEALTH CARE - 2.6% | ||||
Health Care Equipment & Supplies - 0.1% | ||||
Alere, Inc. 6.375% 7/1/23 (g) | 1,935 | 1,969 | ||
Hologic, Inc. 5.25% 7/15/22 (g)(i) | 4,650 | 4,749 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Equipment & Supplies - continued | ||||
Mallinckrodt International Finance SA/Mallinckrodt CB LLC: | ||||
4.875% 4/15/20 (g) | $ 2,040 | $ 2,076 | ||
5.5% 4/15/25 (g) | 1,700 | 1,649 | ||
| 10,443 | |||
Health Care Providers & Services - 1.5% | ||||
AmSurg Corp. 5.625% 7/15/22 | 4,130 | 4,166 | ||
HCA Holdings, Inc.: | ||||
4.75% 5/1/23 | 6,115 | 6,191 | ||
5.25% 4/15/25 | 13,180 | 13,707 | ||
5.375% 2/1/25 | 8,650 | 8,791 | ||
5.875% 3/15/22 | 19,190 | 20,869 | ||
5.875% 5/1/23 | 7,155 | 7,602 | ||
6.5% 2/15/20 | 9,920 | 11,086 | ||
7.5% 2/15/22 | 12,110 | 13,911 | ||
HealthSouth Corp. 5.75% 11/1/24 | 6,425 | 6,562 | ||
InVentiv Health, Inc. 11% 8/15/18 (g)(l) | 905 | 873 | ||
Kindred Escrow Corp. II: | ||||
8% 1/15/20 (g) | 4,440 | 4,751 | ||
8.75% 1/15/23 (g) | 3,330 | 3,617 | ||
MPH Acquisition Holdings LLC 6.625% 4/1/22 (g) | 2,060 | 2,104 | ||
Quintiles Transnational Corp. 4.875% 5/15/23 (g) | 3,340 | 3,357 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 3,075 | 3,160 | ||
5.5% 2/1/21 | 2,250 | 2,329 | ||
Tenet Healthcare Corp.: | ||||
6.75% 6/15/23 (g) | 7,335 | 7,482 | ||
6.875% 11/15/31 | 11,540 | 10,675 | ||
Truven Health Analytics, Inc. 10.625% 6/1/20 | 4,285 | 4,489 | ||
| 135,722 | |||
Life Sciences Tools & Services - 0.1% | ||||
Jaguar Holding Co. I 9.375% 10/15/17 pay-in-kind (g)(l) | 4,255 | 4,345 | ||
Thermo Fisher Scientific, Inc. 2% 4/15/25 | EUR | 8,100 | 8,721 | |
| 13,066 | |||
Pharmaceuticals - 0.9% | ||||
Concordia Healthcare Corp. 7% 4/15/23 (g) | 2,090 | 2,090 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Endo Finance LLC/Endo Ltd./Endo Finco, Inc.: | ||||
6% 7/15/23 (g)(i) | $ 5,410 | $ 5,532 | ||
6% 2/1/25 (g) | 6,115 | 6,214 | ||
JLL/Delta Dutch Pledgeco BV 8.75% 5/1/20 pay-in-kind (g)(l) | 2,295 | 2,329 | ||
Pinnacle Merger Sub, Inc. 9.5% 10/1/23 (g) | 5,922 | 6,618 | ||
Valeant Pharmaceuticals International: | ||||
5.625% 12/1/21 (g) | 1,615 | 1,651 | ||
6.75% 8/15/21 (g) | 4,210 | 4,389 | ||
7.5% 7/15/21 (g) | 4,070 | 4,380 | ||
Valeant Pharmaceuticals International, Inc.: | ||||
5.375% 3/15/20 (g) | 7,635 | 7,883 | ||
5.875% 5/15/23 (g) | 20,705 | 21,223 | ||
6.125% 4/15/25 (g) | 14,710 | 15,133 | ||
VPI Escrow Corp. 6.375% 10/15/20 (g) | 9,225 | 9,715 | ||
| 87,157 | |||
TOTAL HEALTH CARE | 246,388 | |||
INDUSTRIALS - 3.7% | ||||
Aerospace & Defense - 0.3% | ||||
Alion Science & Technology Corp. 15.25% 2/18/20 pay-in-kind | 842 | 789 | ||
Bombardier, Inc. 6.125% 1/15/23 (g) | 2,240 | 1,988 | ||
GenCorp, Inc. 7.125% 3/15/21 | 1,340 | 1,427 | ||
Huntington Ingalls Industries, Inc. 5% 12/15/21 (g) | 2,700 | 2,747 | ||
KLX, Inc. 5.875% 12/1/22 (g) | 11,260 | 11,371 | ||
Triumph Group, Inc. 4.875% 4/1/21 | 4,990 | 4,890 | ||
| 23,212 | |||
Air Freight & Logistics - 0.1% | ||||
XPO Logistics, Inc. 7.875% 9/1/19 (g) | 5,235 | 5,594 | ||
Airlines - 0.6% | ||||
Air Canada: | ||||
5.375% 11/15/22 (g) | 1,526 | 1,587 | ||
7.75% 4/15/21 (g) | 3,800 | 4,057 | ||
Allegiant Travel Co. 5.5% 7/15/19 | 1,270 | 1,280 | ||
Aviation Capital Group Corp. 4.625% 1/31/18 (g) | 3,555 | 3,680 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 6.903% 4/19/22 | $ 731 | $ 773 | ||
6.125% 4/29/18 | 1,720 | 1,793 | ||
7.25% 11/10/19 | 3,788 | 4,356 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 7,770 | 8,916 | ||
8.021% 8/10/22 | 2,618 | 3,004 | ||
Hawaiian Airlines pass-thru certificates Series 2013-1 Class B, 4.95% 1/15/22 | 2,372 | 2,300 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 1,737 | 1,959 | ||
8.028% 11/1/17 | 462 | 514 | ||
U.S. Airways Group, Inc. 6.125% 6/1/18 | 7,310 | 7,588 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2011-1 Class A, 7.125% 4/22/25 | 4,060 | 4,709 | ||
Series 2012-2 Class B, 6.75% 12/3/22 | 1,683 | 1,826 | ||
Series 2013-1 Class B, 5.375% 5/15/23 | 2,234 | 2,289 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 4,039 | 4,392 | ||
United Continental Holdings, Inc. 6.375% 6/1/18 | 960 | 1,001 | ||
| 56,024 | |||
Building Products - 0.0% | ||||
Shea Homes Ltd. Partnershp/Corp.: | ||||
5.875% 4/1/23 (g) | 1,380 | 1,397 | ||
6.125% 4/1/25 (g) | 1,380 | 1,390 | ||
| 2,787 | |||
Commercial Services & Supplies - 0.6% | ||||
ADT Corp. 6.25% 10/15/21 | 13,075 | 13,729 | ||
APX Group, Inc.: | ||||
6.375% 12/1/19 | 3,875 | 3,759 | ||
8.75% 12/1/20 | 5,230 | 4,707 | ||
Bakercorp International, Inc. 8.25% 6/1/19 | 830 | 710 | ||
Cenveo Corp. 6% 8/1/19 (g) | 2,480 | 2,331 | ||
Clean Harbors, Inc.: | ||||
5.125% 6/1/21 | 3,050 | 3,020 | ||
5.25% 8/1/20 | 3,395 | 3,446 | ||
Covanta Holding Corp.: | ||||
5.875% 3/1/24 | 3,120 | 3,104 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
Covanta Holding Corp.: - continued | ||||
7.25% 12/1/20 | $ 4,940 | $ 5,187 | ||
Garda World Security Corp. 7.25% 11/15/21 (g) | 1,825 | 1,752 | ||
R.R. Donnelley & Sons Co.: | ||||
6% 4/1/24 | 1,925 | 1,935 | ||
7% 2/15/22 | 3,500 | 3,763 | ||
7.875% 3/15/21 | 4,975 | 5,616 | ||
TMS International Corp. 7.625% 10/15/21 (g) | 970 | 946 | ||
| 54,005 | |||
Construction & Engineering - 0.1% | ||||
AECOM Technology Corp.: | ||||
5.75% 10/15/22 (g) | 2,165 | 2,192 | ||
5.875% 10/15/24 (g) | 1,855 | 1,881 | ||
Cementos Progreso Trust 7.125% 11/6/23 (g) | 1,870 | 1,991 | ||
MasTec, Inc. 4.875% 3/15/23 | 5,255 | 4,795 | ||
Odebrecht Finance Ltd. 4.375% 4/25/25 (g) | 2,170 | 1,659 | ||
| 12,518 | |||
Electrical Equipment - 0.1% | ||||
Sensata Technologies BV: | ||||
4.875% 10/15/23 (g) | 2,505 | 2,474 | ||
5% 10/1/25 (g) | 4,355 | 4,241 | ||
| 6,715 | |||
Industrial Conglomerates - 0.0% | ||||
Alfa SA de CV 5.25% 3/25/24 (g) | 1,490 | 1,527 | ||
Machinery - 0.1% | ||||
Schaeffler Finance BV 4.75% 5/15/21 (g) | 4,880 | 4,904 | ||
Terex Corp. 6% 5/15/21 | 4,755 | 4,779 | ||
| 9,683 | |||
Marine - 0.1% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance U.S., Inc. 8.125% 11/15/21 (g) | 5,205 | 5,127 | ||
Navios Maritime Holdings, Inc. 7.375% 1/15/22 (g) | 1,529 | 1,324 | ||
Navios South American Logistics, Inc./Navios Logistics Finance U.S., Inc. 7.25% 5/1/22 (g) | 4,035 | 3,864 | ||
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 | 3,130 | 2,754 | ||
| 13,069 | |||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Professional Services - 0.0% | ||||
Pontis III Ltd. 0% (e)(g)(h) | $ 2,805 | $ 2,791 | ||
Road & Rail - 0.1% | ||||
JSC Georgian Railway 7.75% 7/11/22 (g) | 1,800 | 1,952 | ||
Lima Metro Line 2 Finance Ltd. 5.875% 7/5/34 (g) | 1,870 | 1,910 | ||
| 3,862 | |||
Trading Companies & Distributors - 1.4% | ||||
Aircastle Ltd.: | ||||
4.625% 12/15/18 | 3,405 | 3,507 | ||
5.5% 2/15/22 | 4,250 | 4,338 | ||
6.25% 12/1/19 | 5,850 | 6,340 | ||
7.625% 4/15/20 | 3,750 | 4,242 | ||
Ashtead Capital, Inc. 5.625% 10/1/24 (g) | 4,250 | 4,261 | ||
International Lease Finance Corp.: | ||||
4.625% 4/15/21 | 6,645 | 6,711 | ||
5.875% 4/1/19 | 13,663 | 14,567 | ||
5.875% 8/15/22 | 15,215 | 16,432 | ||
6.25% 5/15/19 | 19,100 | 20,652 | ||
8.25% 12/15/20 | 21,490 | 25,519 | ||
8.625% 1/15/22 | 21,585 | 26,334 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (g) | 1,505 | 1,520 | ||
| 134,423 | |||
Transportation Infrastructure - 0.2% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g) | 6,026 | 6,448 | ||
Heathrow Funding Ltd. 6.25% 9/10/18 | GBP | 7,100 | 12,453 | |
| 18,901 | |||
TOTAL INDUSTRIALS | 345,111 | |||
INFORMATION TECHNOLOGY - 2.2% | ||||
Communications Equipment - 0.5% | ||||
Alcatel-Lucent U.S.A., Inc.: | ||||
6.75% 11/15/20 (g) | 7,530 | 7,963 | ||
8.875% 1/1/20 (g) | 2,695 | 2,931 | ||
Banglalink Digital Communications Ltd. 8.625% 5/6/19 (g) | 6,705 | 6,772 | ||
Brocade Communications Systems, Inc. 4.625% 1/15/23 | 3,330 | 3,222 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 17,025 | $ 17,578 | ||
6.5% 1/15/28 | 6,255 | 6,443 | ||
| 44,909 | |||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
4.625% 2/15/20 | 4,785 | 4,893 | ||
5% 2/15/23 | 2,495 | 2,544 | ||
| 7,437 | |||
Internet Software & Services - 0.2% | ||||
CyrusOne LP/CyrusOne Finance Corp. 6.375% 11/15/22 | 3,595 | 3,721 | ||
j2 Global, Inc. 8% 8/1/20 | 3,460 | 3,737 | ||
VeriSign, Inc.: | ||||
4.625% 5/1/23 | 4,375 | 4,205 | ||
5.25% 4/1/25 (g) | 4,270 | 4,259 | ||
| 15,922 | |||
IT Services - 0.4% | ||||
Audatex North America, Inc.: | ||||
6% 6/15/21 (g) | 9,200 | 9,453 | ||
6.125% 11/1/23 (g) | 1,345 | 1,382 | ||
CDW LLC/CDW Finance Corp. 5% 9/1/23 | 4,285 | 4,210 | ||
Ceridian HCM Holding, Inc. 11% 3/15/21 (g) | 2,360 | 2,496 | ||
First Data Corp.: | ||||
11.25% 1/15/21 | 2,564 | 2,846 | ||
11.75% 8/15/21 | 9,380 | 10,553 | ||
Global Cash Access, Inc. 10% 1/15/22 (g) | 2,900 | 2,748 | ||
| 33,688 | |||
Semiconductors & Semiconductor Equipment - 0.5% | ||||
Advanced Micro Devices, Inc. 7% 7/1/24 | 4,430 | 3,743 | ||
Entegris, Inc. 6% 4/1/22 (g) | 1,275 | 1,310 | ||
Infineon Technologies AG 1.5% 3/10/22 (Reg. S) | EUR | 1,950 | 2,129 | |
Micron Technology, Inc.: | ||||
5.25% 8/1/23 (g) | 1,740 | 1,668 | ||
5.25% 1/15/24 (g) | 3,250 | 3,069 | ||
5.5% 2/1/25 (g) | 12,245 | 11,474 | ||
5.625% 1/15/26 (g) | 3,250 | 3,002 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
Micron Technology, Inc.: - continued | ||||
5.875% 2/15/22 | $ 2,615 | $ 2,661 | ||
NXP BV/NXP Funding LLC: | ||||
5.75% 2/15/21 (g) | 5,005 | 5,205 | ||
5.75% 3/15/23 (g) | 12,445 | 12,943 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (g) | 2,200 | 2,208 | ||
| 49,412 | |||
Software - 0.4% | ||||
Activision Blizzard, Inc.: | ||||
5.625% 9/15/21 (g) | 18,545 | 19,426 | ||
6.125% 9/15/23 (g) | 4,825 | 5,175 | ||
Blue Coat Systems, Inc. 8.375% 6/1/23 (g) | 3,790 | 3,856 | ||
Infor Software Parent LLC/Infor Software Parent, Inc. 7.125% 5/1/21 pay-in-kind (g)(l) | 1,885 | 1,890 | ||
Italics Merger Sub, Inc. 7.125% 7/15/23 (g) | 2,150 | 2,123 | ||
Nuance Communications, Inc. 5.375% 8/15/20 (g) | 2,445 | 2,457 | ||
Sophia Holding Finance LP/Sophia Holding Finance, Inc. 9.625% 12/1/18 pay-in-kind (g)(l) | 3,425 | 3,468 | ||
SS&C Technologies Holdings, Inc. 5.875% 7/15/23 (g) | 3,370 | 3,404 | ||
| 41,799 | |||
Technology Hardware, Storage & Peripherals - 0.1% | ||||
Project Homestake Merger Corp. 8.875% 3/1/23 (g) | 2,375 | 2,304 | ||
Seagate HDD Cayman 4.75% 1/1/25 (g) | 4,335 | 4,308 | ||
| 6,612 | |||
TOTAL INFORMATION TECHNOLOGY | 199,779 | |||
MATERIALS - 3.7% | ||||
Chemicals - 1.3% | ||||
Albemarle Corp. U.S. 1.875% 12/8/21 (Reg. S) | EUR | 8,900 | 9,783 | |
Chemtura Corp. 5.75% 7/15/21 | 2,355 | 2,390 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 | 5,865 | 5,381 | ||
LSB Industries, Inc. 7.75% 8/1/19 | 1,680 | 1,781 | ||
Momentive Performance Materials, Inc.: | ||||
3.88% 10/24/21 | 44,218 | 39,686 | ||
4.69% 4/24/22 | 14,170 | 11,761 | ||
10% 10/15/20 (c) | 14,170 | 0 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 (c) | $ 44,218 | $ 0 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (g) | 2,020 | 2,065 | ||
OCP SA 5.625% 4/25/24 (g) | 1,270 | 1,326 | ||
Platform Specialty Products Corp. 6.5% 2/1/22 (g) | 3,325 | 3,433 | ||
PolyOne Corp.: | ||||
5.25% 3/15/23 | 3,085 | 3,054 | ||
7.375% 9/15/20 | 1,845 | 1,928 | ||
Rain CII Carbon LLC/CII Carbon Corp.: | ||||
8% 12/1/18 (g) | 3,435 | 3,349 | ||
8.25% 1/15/21 (g) | 1,730 | 1,682 | ||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (g) | 2,120 | 2,088 | ||
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp.: | ||||
7.375% 2/1/20 (g) | 2,350 | 2,374 | ||
7.375% 2/1/20 (g) | 1,680 | 1,697 | ||
The Chemours Company LLC: | ||||
6.625% 5/15/23 (g) | 650 | 630 | ||
7% 5/15/25 (g) | 3,465 | 3,361 | ||
TPC Group, Inc. 8.75% 12/15/20 (g) | 7,335 | 6,785 | ||
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (g) | 2,450 | 2,625 | ||
W.R. Grace & Co. - Conn: | ||||
5.125% 10/1/21 (g) | 13,010 | 13,108 | ||
5.625% 10/1/24 (g) | 2,840 | 2,876 | ||
| 123,163 | |||
Construction Materials - 0.1% | ||||
CEMEX Finance LLC: | ||||
6% 4/1/24 (g) | 1,500 | 1,485 | ||
9.375% 10/12/22 (g) | 2,370 | 2,640 | ||
Prince Mineral Holding Corp. 11.5% 12/15/19 (g) | 1,685 | 1,550 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g) | 3,215 | 3,127 | ||
Union Andina de Cementos SAA 5.875% 10/30/21 (g) | 2,055 | 2,078 | ||
| 10,880 | |||
Containers & Packaging - 0.8% | ||||
Ardagh Finance Holdings SA 8.625% 6/15/19 pay-in-kind (g)(l) | 12,304 | 12,691 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
6% 6/30/21 (g) | $ 9,740 | $ 9,716 | ||
6.25% 1/31/19 (g) | 2,410 | 2,452 | ||
6.75% 1/31/21 (g) | 4,915 | 5,026 | ||
7% 11/15/20 (g) | 530 | 541 | ||
Beverage Packaging Holdings II SA (Luxembourg): | ||||
5.625% 12/15/16 (g) | 5,435 | 5,425 | ||
6% 6/15/17 (g) | 2,720 | 2,720 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (g) | 2,060 | 1,833 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 11,295 | 12,679 | ||
7.5% 12/15/96 | 3,685 | 3,547 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 1,555 | 1,571 | ||
Sealed Air Corp. 5.25% 4/1/23 (g) | 2,540 | 2,556 | ||
Silgan Holdings, Inc. 5% 4/1/20 | 9,600 | 9,864 | ||
| 70,621 | |||
Metals & Mining - 1.4% | ||||
Aleris International, Inc. 6% 6/1/20 (g) | 33 | 33 | ||
Alrosa Finance SA 7.75% 11/3/20 (g) | 2,285 | 2,388 | ||
Cliffs Natural Resources, Inc.: | ||||
7.75% 3/31/20 (g) | 7,943 | 5,084 | ||
8.25% 3/31/20 (g) | 3,265 | 3,085 | ||
Compania Minera Ares SAC 7.75% 1/23/21 (g) | 2,880 | 2,956 | ||
CSN Resources SA 6.5% 7/21/20 (g) | 1,600 | 1,360 | ||
Edgen Murray Corp. 8.75% 11/1/20 (g) | 3,848 | 4,156 | ||
Essar Steel Algoma, Inc. 9.5% 11/15/19 (g) | 3,790 | 3,212 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (g) | 5,345 | 4,835 | ||
9.5% 4/24/18 (Reg. S) | 9,565 | 9,849 | ||
Evraz, Inc. NA Canada 7.5% 11/15/19 (g) | 5,600 | 5,516 | ||
Ferrexpo Finance PLC 10.375% 4/7/19 (g) | 6,330 | 5,286 | ||
First Quantum Minerals Ltd.: | ||||
6.75% 2/15/20 (g) | 3,138 | 3,036 | ||
7% 2/15/21 (g) | 3,533 | 3,378 | ||
7.25% 5/15/22 (g) | 3,980 | 3,806 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Gold Fields Orogen Holding BVI Ltd.: | ||||
4.875% 10/7/20 (g) | $ 6,140 | $ 5,618 | ||
4.875% 10/7/20 (Reg. S) | 400 | 366 | ||
GTL Trade Finance, Inc. 5.893% 4/29/24 (g) | 3,450 | 3,365 | ||
Metalloinvest Finance Ltd. 5.625% 4/17/20 (g) | 1,880 | 1,720 | ||
Metinvest BV: | ||||
8.75% 2/14/18 (Reg. S) | 955 | 535 | ||
10.5% 11/28/17 (g) | 10,548 | 6,065 | ||
10.5% 11/28/17 (Reg. S) | 187 | 108 | ||
Mirabela Nickel Ltd. 1% 9/10/44 (g) | 14 | 0 | ||
Murray Energy Corp. 11.25% 4/15/21 (g) | 8,770 | 7,367 | ||
New Gold, Inc. 7% 4/15/20 (g) | 1,480 | 1,532 | ||
Nord Gold NV 6.375% 5/7/18 (g) | 5,685 | 5,628 | ||
Polyus Gold International Ltd.: | ||||
5.625% 4/29/20 (g) | 10,085 | 9,480 | ||
5.625% 4/29/20 (Reg. S) | 500 | 470 | ||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: | ||||
9% 10/15/17 | 7,005 | 7,058 | ||
11.25% 10/15/18 | 7,091 | 7,162 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 220 | 227 | ||
7.5% 7/27/35 | 3,875 | 4,340 | ||
Steel Dynamics, Inc.: | ||||
5.125% 10/1/21 | 1,280 | 1,283 | ||
5.25% 4/15/23 | 1,805 | 1,791 | ||
5.5% 10/1/24 | 3,200 | 3,200 | ||
Vale Overseas Ltd. 6.875% 11/21/36 | 2,160 | 2,088 | ||
Vedanta Resources PLC 6.75% 6/7/16 (g) | 3,410 | 3,491 | ||
Walter Energy, Inc. 9.5% 10/15/19 (g) | 2,645 | 1,428 | ||
| 132,302 | |||
Paper & Forest Products - 0.1% | ||||
Boise Cascade Co. 6.375% 11/1/20 | 1,410 | 1,486 | ||
Mercer International, Inc.: | ||||
7% 12/1/19 | 3,105 | 3,245 | ||
7.75% 12/1/22 | 5,580 | 5,999 | ||
NewPage Corp.: | ||||
0% 5/1/12 (c)(l) | 1,770 | 0 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Paper & Forest Products - continued | ||||
NewPage Corp.: - continued | ||||
11.375% 12/31/14 (c) | $ 4,404 | $ 0 | ||
Sino-Forest Corp. 6.25% 10/21/17 (c)(g) | 5,480 | 0 | ||
| 10,730 | |||
TOTAL MATERIALS | 347,696 | |||
TELECOMMUNICATION SERVICES - 4.6% | ||||
Diversified Telecommunication Services - 1.5% | ||||
Altice Financing SA: | ||||
6.5% 1/15/22 (g) | 10,799 | 10,799 | ||
6.625% 2/15/23 (g) | 8,265 | 8,205 | ||
7.875% 12/15/19 (g) | 4,820 | 5,073 | ||
Altice Finco SA: | ||||
8.125% 1/15/24 (g) | 8,730 | 8,817 | ||
9.875% 12/15/20 (g) | 5,655 | 6,221 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 4,528 | ||
9% 8/15/31 | 3,655 | 3,326 | ||
Consolidated Communications, Inc. 10.875% 6/1/20 | 2,395 | 2,742 | ||
Eileme 2 AB 11.625% 1/31/20 (g) | 9,395 | 10,428 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (g) | 4,990 | 5,190 | ||
Frontier Communications Corp. 8.5% 4/15/20 | 12,120 | 12,671 | ||
GCI, Inc. 6.875% 4/15/25 | 4,240 | 4,282 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (g) | 3,445 | 3,566 | ||
Level 3 Communications, Inc. 5.75% 12/1/22 | 4,685 | 4,650 | ||
Level 3 Financing, Inc.: | ||||
5.125% 5/1/23 (g) | 4,340 | 4,232 | ||
5.375% 5/1/25 (g) | 4,340 | 4,183 | ||
Lynx I Corp. 5.375% 4/15/21 (g) | 2,898 | 2,985 | ||
Lynx II Corp. 6.375% 4/15/23 (g) | 1,820 | 1,881 | ||
Qtel International Finance Ltd. 5% 10/19/25 (g) | 2,155 | 2,320 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 15,690 | 13,493 | ||
8.75% 3/15/32 | 7,721 | 7,509 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g) | 1,880 | 1,946 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
U.S. West Communications: | ||||
6.875% 9/15/33 | $ 2,535 | $ 2,507 | ||
7.25% 9/15/25 | 535 | 611 | ||
7.25% 10/15/35 | 1,455 | 1,491 | ||
UPCB Finance IV Ltd. 5.375% 1/15/25 (g) | 4,635 | 4,424 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 5,445 | 5,118 | ||
| 143,198 | |||
Wireless Telecommunication Services - 3.1% | ||||
America Movil S.A.B. de CV 6.45% 12/5/22 | MXN | 79,000 | 4,815 | |
Comcel Trust 6.875% 2/6/24 (g) | 1,875 | 1,973 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (g) | 27,845 | 26,846 | ||
6.75% 3/1/23 (g) | 1,880 | 1,843 | ||
7% 2/15/20 (g) | 2,330 | 2,412 | ||
7.125% 4/1/22 (g) | 30,060 | 28,548 | ||
8.25% 9/30/20 (g) | 32,570 | 32,651 | ||
Intelsat Jackson Holdings SA: | ||||
6.625% 12/15/22 (Reg. S) | 12,000 | 10,920 | ||
7.5% 4/1/21 | 5,185 | 5,127 | ||
Millicom International Cellular SA: | ||||
4.75% 5/22/20 (g) | 4,710 | 4,529 | ||
6% 3/15/25 (g) | 3,755 | 3,624 | ||
6.625% 10/15/21 (g) | 1,475 | 1,516 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (g) | 9,215 | 9,933 | ||
Sprint Corp. 7.125% 6/15/24 | 1,565 | 1,452 | ||
T-Mobile U.S.A., Inc.: | ||||
6% 3/1/23 | 7,490 | 7,668 | ||
6.125% 1/15/22 | 7,790 | 8,043 | ||
6.25% 4/1/21 | 15,470 | 15,857 | ||
6.375% 3/1/25 | 33,465 | 34,218 | ||
6.5% 1/15/24 | 20,640 | 21,311 | ||
6.625% 4/1/23 | 20,286 | 21,072 | ||
6.633% 4/28/21 | 7,440 | 7,719 | ||
6.731% 4/28/22 | 4,835 | 5,040 | ||
6.836% 4/28/23 | 5,580 | 5,866 | ||
TBG Global Pte. Ltd. 4.625% 4/3/18 (Reg. S) | 1,630 | 1,622 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Vimpel Communications 9.125% 4/30/18 (Reg. S) (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) | $ 2,150 | $ 2,301 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (g) | 13,615 | 13,666 | ||
VimpelCom Holdings BV: | ||||
9% 2/13/18 (g) | RUB | 60,220 | 1,000 | |
9% 2/13/18 (Reg S.) | RUB | 96,940 | 1,610 | |
| 283,182 | |||
TOTAL TELECOMMUNICATION SERVICES | 426,380 | |||
UTILITIES - 2.0% | ||||
Electric Utilities - 0.8% | ||||
E.ON International Finance BV 5.875% 10/30/37 | GBP | 5,000 | 9,306 | |
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
11% 10/1/21 (c) | 24,490 | 27,551 | ||
11.75% 3/1/22 (c)(g) | 22,732 | 25,886 | ||
Lamar Funding Ltd. 3.958% 5/7/25 (g) | 1,875 | 1,823 | ||
Mirant Americas Generation LLC 9.125% 5/1/31 | 4,075 | 3,790 | ||
RJS Power Holdings LLC 5.125% 7/15/19 (g) | 4,245 | 4,160 | ||
| 72,516 | |||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 2,095 | 2,158 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 7,463 | ||
8% 3/1/32 | 3,400 | 4,036 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,545 | ||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21 | 2,721 | 2,905 | ||
| 19,107 | |||
Independent Power and Renewable Electricity Producers - 1.0% | ||||
Calpine Corp. 7.875% 1/15/23 (g) | 4,840 | 5,227 | ||
Energy Future Holdings Corp.: | ||||
10.875% 11/1/17 (c) | 10,985 | 13,017 | ||
Corporate Bonds - continued | ||||
| Principal | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - continued | ||||
Energy Future Holdings Corp.: - continued | ||||
11.25% 11/1/17 pay-in-kind (c)(l) | $ 8,822 | $ 10,454 | ||
Listrindo Capital BV 6.95% 2/21/19 (Reg. S) | 1,815 | 1,897 | ||
PPL Energy Supply LLC 6.5% 6/1/25 (g) | 3,425 | 3,425 | ||
TerraForm Power Operating LLC 5.875% 2/1/23 (g) | 2,680 | 2,720 | ||
The AES Corp.: | ||||
4.875% 5/15/23 | 5,485 | 5,156 | ||
5.5% 3/15/24 | 2,635 | 2,536 | ||
TXU Corp.: | ||||
5.55% 11/15/14 (c) | 1,864 | 1,967 | ||
6.5% 11/15/24 (c) | 15,240 | 16,002 | ||
6.55% 11/15/34 (c) | 29,755 | 31,243 | ||
| 93,644 | |||
TOTAL UTILITIES | 185,267 | |||
TOTAL NONCONVERTIBLE BONDS | 4,016,374 | |||
TOTAL CORPORATE BONDS (Cost $3,966,522) |
| |||
U.S. Government and Government Agency Obligations - 15.4% | ||||
| ||||
U.S. Government Agency Obligations - 0.3% | ||||
Federal Home Loan Bank 1% 6/21/17 | 8,670 | 8,714 | ||
Tennessee Valley Authority: | ||||
1.75% 10/15/18 | 15,059 | 15,181 | ||
5.25% 9/15/39 | 1,138 | 1,380 | ||
5.375% 4/1/56 | 3,247 | 3,908 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 29,183 | |||
U.S. Treasury Inflation-Protected Obligations - 0.4% | ||||
U.S. Treasury Inflation-Indexed Bonds: | ||||
0.75% 2/15/45 | 23,521 | 21,324 | ||
1.375% 2/15/44 | 12,234 | 12,964 | ||
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS | 34,288 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - 14.0% | ||||
U.S. Treasury Bonds: | ||||
3% 5/15/45 | $ 14,332 | $ 13,978 | ||
3.375% 5/15/44 | 5,044 | 5,273 | ||
3.625% 2/15/44 | 75,957 | 83,137 | ||
4.25% 5/15/39 | 17,000 | 20,433 | ||
5.25% 2/15/29 | 18,341 | 23,888 | ||
5.375% 2/15/31 (k) | 16,479 | 22,108 | ||
6.125% 8/15/29 (j) | 9,280 | 13,107 | ||
7.5% 11/15/16 | 2,850 | 3,125 | ||
7.5% 11/15/24 | 5,690 | 8,210 | ||
7.875% 2/15/21 | 6,800 | 9,021 | ||
8.125% 5/15/21 | 9,286 | 12,526 | ||
U.S. Treasury Notes: | ||||
0.25% 7/15/15 | 22,225 | 22,227 | ||
0.25% 5/15/16 | 10,407 | 10,402 | ||
0.375% 1/15/16 | 35,003 | 35,041 | ||
0.375% 10/31/16 | 25,000 | 24,973 | ||
0.5% 2/28/17 | 3,924 | 3,920 | ||
0.5% 7/31/17 | 16,952 | 16,888 | ||
0.625% 12/31/16 | 65,882 | 65,995 | ||
0.75% 4/15/18 | 12,453 | 12,380 | ||
0.875% 1/31/17 | 1,865 | 1,875 | ||
0.875% 5/15/17 | 8,337 | 8,373 | ||
0.875% 8/15/17 | 28,906 | 29,008 | ||
0.875% 10/15/17 | 8,270 | 8,285 | ||
0.875% 1/31/18 | 8,149 | 8,148 | ||
0.875% 7/31/19 | 34,096 | 33,366 | ||
1% 9/30/16 | 56,457 | 56,863 | ||
1% 10/31/16 | 35,137 | 35,387 | ||
1% 5/15/18 | 10,000 | 10,005 | ||
1% 5/31/18 | 23,293 | 23,286 | ||
1.125% 6/15/18 | 5,000 | 5,016 | ||
1.375% 7/31/18 | 4,355 | 4,396 | ||
1.375% 9/30/18 | 11,963 | 12,054 | ||
1.375% 2/28/19 | 41,776 | 41,897 | ||
1.375% 3/31/20 | 4,936 | 4,884 | ||
1.375% 4/30/20 | 42,203 | 41,705 | ||
1.5% 12/31/18 | 5,624 | 5,676 | ||
1.5% 1/31/19 | 38,339 | 38,663 | ||
1.5% 5/31/20 | 17,150 | 17,039 | ||
1.5% 1/31/22 | 25,140 | 24,311 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
1.625% 4/30/19 | $ 50,979 | $ 51,517 | ||
1.625% 6/30/19 | 39,152 | 39,495 | ||
1.625% 12/31/19 | 10,776 | 10,811 | ||
1.75% 9/30/19 | 39,910 | 40,356 | ||
1.75% 3/31/22 | 3,760 | 3,688 | ||
1.875% 8/31/17 | 7,700 | 7,892 | ||
1.875% 9/30/17 | 5,400 | 5,534 | ||
1.875% 10/31/17 | 13,764 | 14,106 | ||
2% 5/31/21 | 24,000 | 24,135 | ||
2% 2/15/25 | 5,586 | 5,419 | ||
2.125% 6/30/21 | 11,000 | 11,126 | ||
2.125% 6/30/22 | 23,000 | 23,074 | ||
2.25% 3/31/21 | 51,137 | 52,204 | ||
2.25% 4/30/21 | 45,402 | 46,321 | ||
2.25% 11/15/24 | 6,266 | 6,217 | ||
2.375% 7/31/17 | 21,976 | 22,735 | ||
2.375% 6/30/18 | 7,978 | 8,293 | ||
2.375% 8/15/24 | 27,099 | 27,205 | ||
2.625% 4/30/16 | 3,137 | 3,197 | ||
2.75% 11/30/16 | 7,000 | 7,222 | ||
3% 9/30/16 | 8,408 | 8,677 | ||
3% 2/28/17 | 34,584 | 35,975 | ||
3.5% 2/15/18 | 18,226 | 19,449 | ||
4.5% 5/15/17 | 13,745 | 14,733 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,306,250 | |||
Other Government Related - 0.7% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5235% 12/7/20 (NCUA Guaranteed) (l) | 1,995 | 1,997 | ||
Series 2011-R1 Class 1A, 0.6305% 1/8/20 (NCUA Guaranteed) (l) | 4,382 | 4,403 | ||
Series 2011-R4 Class 1A, 0.5605% 3/6/20 (NCUA Guaranteed) (l) | 1,617 | 1,619 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Other Government Related - continued | ||||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
2.35% 6/12/17 (NCUA Guaranteed) | $ 31,000 | $ 31,915 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 27,025 | ||
TOTAL OTHER GOVERNMENT RELATED | 66,959 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,417,887) |
| |||
U.S. Government Agency - Mortgage Securities - 1.1% | ||||
| ||||
Fannie Mae - 0.2% | ||||
1.865% 10/1/35 (l) | 23 | 25 | ||
1.915% 11/1/33 (l) | 51 | 54 | ||
1.925% 9/1/33 (l) | 443 | 465 | ||
1.925% 11/1/35 (l) | 359 | 377 | ||
2.045% 1/1/35 (l) | 223 | 235 | ||
2.052% 6/1/36 (l) | 46 | 49 | ||
2.142% 9/1/36 (l) | 103 | 110 | ||
2.19% 3/1/37 (l) | 25 | 27 | ||
2.231% 3/1/33 (l) | 104 | 110 | ||
2.278% 6/1/47 (l) | 144 | 154 | ||
2.289% 11/1/36 (l) | 40 | 42 | ||
2.321% 7/1/35 (l) | 167 | 178 | ||
2.36% 2/1/37 (l) | 456 | 487 | ||
2.44% 5/1/36 (l) | 49 | 53 | ||
2.512% 4/1/36 (l) | 319 | 342 | ||
2.526% 2/1/36 (l) | 37 | 40 | ||
2.557% 6/1/42 (l) | 384 | 398 | ||
2.691% 2/1/42 (l) | 2,086 | 2,165 | ||
2.725% 8/1/35 (l) | 669 | 717 | ||
2.765% 1/1/42 (l) | 1,854 | 1,927 | ||
2.96% 11/1/40 (l) | 222 | 233 | ||
2.982% 9/1/41 (l) | 248 | 259 | ||
3.059% 10/1/41 (l) | 99 | 102 | ||
3.234% 7/1/41 (l) | 406 | 430 | ||
3.308% 10/1/41 (l) | 220 | 232 | ||
3.5% 1/1/26 to 9/1/26 | 95 | 100 | ||
3.554% 7/1/41 (l) | 434 | 460 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Fannie Mae - continued | ||||
5% 5/1/22 | $ 6 | $ 6 | ||
5.5% 10/1/20 to 1/1/29 | 3,805 | 4,155 | ||
6% 6/1/16 to 10/1/16 | 12 | 12 | ||
6.5% 6/1/16 to 8/1/36 | 4,950 | 5,748 | ||
7.5% 1/1/28 | 30 | 35 | ||
TOTAL FANNIE MAE | 19,727 | |||
Freddie Mac - 0.2% | ||||
1.82% 3/1/35 (l) | 114 | 118 | ||
1.825% 3/1/37 (l) | 18 | 18 | ||
1.852% 1/1/36 (l) | 93 | 98 | ||
2.022% 2/1/37 (l) | 53 | 56 | ||
2.05% 6/1/37 (l) | 30 | 32 | ||
2.06% 1/1/37 (l) | 274 | 291 | ||
2.095% 8/1/37 (l) | 77 | 82 | ||
2.1% 7/1/35 (l) | 156 | 167 | ||
2.121% 5/1/37 (l) | 77 | 83 | ||
2.23% 6/1/33 (l) | 254 | 271 | ||
2.333% 4/1/37 (l) | 92 | 99 | ||
2.346% 10/1/36 (l) | 341 | 361 | ||
2.351% 10/1/35 (l) | 136 | 144 | ||
2.385% 5/1/37 (l) | 914 | 976 | ||
2.385% 5/1/37 (l) | 465 | 499 | ||
2.403% 10/1/42 (l) | 2,269 | 2,395 | ||
2.415% 6/1/37 (l) | 273 | 293 | ||
2.436% 5/1/37 (l) | 71 | 76 | ||
2.448% 6/1/37 (l) | 57 | 61 | ||
2.49% 9/1/35 (l) | 63 | 68 | ||
2.506% 2/1/36 (l) | 6 | 6 | ||
2.545% 7/1/36 (l) | 90 | 96 | ||
2.595% 4/1/37 (l) | 9 | 9 | ||
2.673% 7/1/35 (l) | 236 | 253 | ||
3.072% 10/1/35 (l) | 48 | 51 | ||
3.081% 9/1/41 (l) | 2,344 | 2,446 | ||
3.217% 9/1/41 (l) | 244 | 256 | ||
3.242% 4/1/41 (l) | 264 | 277 | ||
3.292% 6/1/41 (l) | 302 | 320 | ||
3.47% 5/1/41 (l) | 276 | 291 | ||
3.624% 6/1/41 (l) | 427 | 454 | ||
3.705% 5/1/41 (l) | 374 | 398 | ||
6% 1/1/24 | 1,350 | 1,492 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac - continued | ||||
6.5% 10/1/15 to 3/1/22 | $ 532 | $ 579 | ||
8.5% 3/1/20 | 0* | 0* | ||
TOTAL FREDDIE MAC | 13,116 | |||
Ginnie Mae - 0.7% | ||||
4.3% 8/20/61 (q) | 3,395 | 3,589 | ||
4.53% 10/20/62 (q) | 3,579 | 3,899 | ||
4.55% 5/20/62 (q) | 20,205 | 21,837 | ||
4.626% 3/20/62 (q) | 4,308 | 4,646 | ||
4.649% 2/20/62 (q) | 2,374 | 2,559 | ||
4.65% 3/20/62 (q) | 3,943 | 4,257 | ||
4.682% 2/20/62 (q) | 2,925 | 3,152 | ||
4.684% 1/20/62 (q) | 13,765 | 14,815 | ||
5.47% 8/20/59 (q) | 1,297 | 1,346 | ||
5.5% 11/15/35 | 1,923 | 2,184 | ||
5.612% 4/20/58 (q) | 994 | 1,013 | ||
6% 6/15/36 | 3,933 | 4,533 | ||
7% 9/15/25 to 8/15/31 | 24 | 28 | ||
7.5% 2/15/22 to 8/15/28 | 45 | 53 | ||
8% 12/15/26 | 0* | 0* | ||
TOTAL GINNIE MAE | 67,911 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $98,263) |
| |||
Collateralized Mortgage Obligations - 2.5% | ||||
| ||||
U.S. Government Agency - 2.5% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.687% 9/25/23 (l) | 424 | 426 | ||
Series 2010-15 Class FJ, 1.117% 6/25/36 (l) | 4,604 | 4,693 | ||
Series 2010-86 Class FE, 0.637% 8/25/25 (l) | 517 | 521 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 10 | 10 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 462 | 514 | ||
Series 2005-19 Class PA, 5.5% 7/25/34 | 1,578 | 1,715 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 1,565 | 1,627 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 38 | 38 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
planned amortization class: | ||||
Series 2005-64 Class PX, 5.5% 6/25/35 | $ 1,541 | $ 1,693 | ||
Series 2005-68 Class CZ, 5.5% 8/25/35 | 3,818 | 4,288 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,548 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 41 | 43 | ||
Series 2003-117 Class MD, 5% 12/25/23 | 1,011 | 1,118 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 4,264 | 4,740 | ||
Series 2005-117 Class JN, 4.5% 1/25/36 | 808 | 882 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 1,570 | 1,745 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 1,363 | 1,512 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 2,187 | 2,430 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (n) | 288 | 25 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (n) | 439 | 37 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (n) | 2,707 | 402 | ||
Series 2010-39 Class FG, 1.107% 3/25/36 (l) | 2,852 | 2,927 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (n) | 942 | 72 | ||
Series 2011-67 Class AI, 4% 7/25/26 (n) | 787 | 91 | ||
Series 2012-27 Class EZ, 4.25% 3/25/42 | 3,569 | 3,848 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2630 Class FL, 0.6855% 6/15/18 (l) | 12 | 12 | ||
Series 2711 Class FC, 1.0855% 2/15/33 (l) | 1,725 | 1,756 | ||
floater planned amortization class Series 2770 Class FH, 0.5855% 3/15/34 (l) | 1,841 | 1,856 | ||
planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 60 | 66 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 31 | 32 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 15 | 16 | ||
Series 2425 Class JH, 6% 3/15/17 | 50 | 52 | ||
Series 2672 Class MG, 5% 9/15/23 | 3,295 | 3,578 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 158 | 178 | ||
Series 3415 Class PC, 5% 12/15/37 | 762 | 822 | ||
Series 3763 Class QA, 4% 4/15/34 | 1,660 | 1,725 | ||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 3,047 | 3,142 | ||
sequential payer: | ||||
Series 2004-2802 Class ZG, 5.5% 5/15/34 | 7,088 | 8,006 | ||
Series 2303 Class ZV, 6% 4/15/31 | 142 | 157 | ||
Series 2877 Class ZD, 5% 10/15/34 | 5,026 | 5,584 | ||
Series 3745 Class KV, 4.5% 12/15/26 | 3,363 | 3,727 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
Series 3843 Class PZ, 5% 4/15/41 | $ 1,035 | $ 1,206 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-59 Class FC, 0.684% 7/20/37 (l) | 937 | 944 | ||
Series 2008-2 Class FD, 0.664% 1/20/38 (l) | 236 | 238 | ||
Series 2008-73 Class FA, 1.044% 8/20/38 (l) | 1,417 | 1,445 | ||
Series 2008-83 Class FB, 1.084% 9/20/38 (l) | 1,417 | 1,446 | ||
Series 2009-108 Class CF, 0.7834% 11/16/39 (l) | 1,147 | 1,159 | ||
Series 2009-116 Class KF, 0.7134% 12/16/39 (l) | 905 | 914 | ||
Series 2010-9 Class FA, 0.7034% 1/16/40 (l) | 1,473 | 1,486 | ||
Series 2010-H17 Class FA, 0.5115% 7/20/60 (l)(q) | 4,935 | 4,912 | ||
Series 2010-H18 Class AF, 0.4776% 9/20/60 (l)(q) | 5,761 | 5,738 | ||
Series 2010-H19 Class FG, 0.4776% 8/20/60 (l)(q) | 6,812 | 6,785 | ||
Series 2010-H27 Series FA, 0.5576% 12/20/60 (l)(q) | 2,174 | 2,174 | ||
Series 2011-H05 Class FA, 0.6776% 12/20/60 (l)(q) | 3,730 | 3,743 | ||
Series 2011-H07 Class FA, 0.6823% 2/20/61 (l)(q) | 6,913 | 6,936 | ||
Series 2011-H12 Class FA, 0.6723% 2/20/61 (l)(q) | 8,579 | 8,605 | ||
Series 2011-H13 Class FA, 0.6776% 4/20/61 (l)(q) | 3,322 | 3,333 | ||
Series 2011-H14: | ||||
Class FB, 0.6776% 5/20/61 (l)(q) | 3,864 | 3,880 | ||
Class FC, 0.6776% 5/20/61 (l)(q) | 3,550 | 3,563 | ||
Series 2011-H17 Class FA, 0.7076% 6/20/61 (l)(q) | 4,792 | 4,812 | ||
Series 2011-H21 Class FA, 0.7776% 10/20/61 (l)(q) | 5,144 | 5,181 | ||
Series 2012-H01 Class FA, 0.8776% 11/20/61 (l)(q) | 4,387 | 4,437 | ||
Series 2012-H03 Class FA, 0.8776% 1/20/62 (l)(q) | 2,752 | 2,784 | ||
Series 2012-H06 Class FA, 0.8076% 1/20/62 (l)(q) | 4,268 | 4,305 | ||
Series 2012-H07 Class FA, 0.8076% 3/20/62 (l)(q) | 2,573 | 2,601 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2013-H19: | ||||
Class FC, 0.7776% 8/20/63 (l)(q) | $ 567 | $ 572 | ||
Class FD, 0.7776% 8/20/63 (l)(q) | 1,550 | 1,562 | ||
Series 2015-H13 Class FL, 0.461% 5/20/63 (l)(q) | 21,486 | 21,486 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 173 | 176 | ||
planned amortization class Series 2011-136 Class WI, 4.5% 5/20/40 (n) | 1,754 | 305 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,385 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (q) | 11,012 | 11,901 | ||
Series 2010-H17 Class XP, 5.3001% 7/20/60 (l)(q) | 14,982 | 16,142 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (l)(q) | 11,393 | 12,290 | ||
Series 2012-64 Class KB, 5.2466% 5/20/41 (l) | 856 | 970 | ||
Series 2013-124: | ||||
Class ES, 8.4213% 4/20/39 (l)(o) | 4,219 | 4,863 | ||
Class ST, 8.5547% 8/20/39 (l)(o) | 7,926 | 9,091 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $234,407) |
| |||
Commercial Mortgage Securities - 1.5% | ||||
| ||||
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.534% 4/25/19 (l) | 1,179 | 1,174 | ||
pass-thru certificates sequential payer Series K011 Class A2, 4.084% 11/25/20 | 2,480 | 2,712 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 14,020 | 15,333 | ||
Series K009 Class A2, 3.808% 8/25/20 | 20,970 | 22,615 | ||
Series K034 Class A1, 2.669% 2/25/23 | 9,115 | 9,361 | ||
Series K717 Class A2, 2.991% 9/25/21 | 4,224 | 4,387 | ||
Series K039 Class A2, 3.303% 7/25/24 | 16,000 | 16,548 | ||
Series K042 Class A2, 2.67% 12/25/24 | 13,200 | 12,930 | ||
Series K501 Class A2, 1.655% 11/25/16 | 5,440 | 5,485 | ||
Series K714 Class A2, 3.034% 10/25/20 | 14,000 | 14,634 | ||
Series K716 Class A2, 3.13% 6/25/21 | 10,900 | 11,420 | ||
Commercial Mortgage Securities - continued | ||||
| Principal | Value (000s) | ||
Freddie Mac Multi-family Structured Pass-thru Certificates: | ||||
sequential payer Series K718 Class A2, 2.791% 1/25/22 | $ 12,190 | $ 12,484 | ||
Series K044 Class A2, 2.811% 1/25/25 | 12,200 | 12,096 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $141,354) |
| |||
Foreign Government and Government Agency Obligations - 16.5% | ||||
| ||||
Arab Republic 5.875% 6/11/25 (g) | 1,325 | 1,294 | ||
Arab Republic of Egypt 6.875% 4/30/40 (g) | 650 | 635 | ||
Argentine Republic: | ||||
7% 10/3/15 | 11,985 | 11,931 | ||
7% 4/17/17 | 50,170 | 48,225 | ||
Australian Commonwealth: | ||||
2.75% 6/21/35 (Reg. S) | AUD | 4,000 | 2,712 | |
3.25% 4/21/25 (Reg. S) | AUD | 73,925 | 58,154 | |
Azerbaijan Republic 4.75% 3/18/24 (g) | 1,390 | 1,416 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (p) | 500,000 | 0 | ||
value recovery B rights 1/2/21 (p) | 750,000 | 0 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 18,150 | 17,941 | ||
8.95% 1/26/18 | 15,805 | 15,082 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 9,430 | 9,006 | ||
7.125% 1/20/37 | 10,285 | 11,622 | ||
8.25% 1/20/34 | 9,960 | 12,375 | ||
10% 1/1/17 | BRL | 11,360 | 3,471 | |
Buenos Aires Province: | ||||
9.375% 9/14/18 (g) | 1,930 | 1,896 | ||
9.95% 6/9/21 | 3,160 | 3,089 | ||
10.875% 1/26/21 (Reg. S) | 11,261 | 11,317 | ||
Buoni del Tesoro Poliennali: | ||||
1.05% 12/1/19 | EUR | 27,150 | 30,251 | |
2.5% 12/1/24 | EUR | 16,250 | 18,475 | |
4.5% 3/1/24 | EUR | 12,500 | 16,437 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Canadian Government: | ||||
1.5% 2/1/17 | CAD | 20,200 | $ 16,431 | |
1.5% 3/1/20 | CAD | 30,650 | 25,305 | |
2.25% 6/1/25 | CAD | 25,950 | 21,846 | |
3.5% 12/1/45 | CAD | 14,200 | 14,321 | |
Central Bank of Nigeria warrants 11/15/20 (a)(p) | 6,250 | 762 | ||
City of Buenos Aires: | ||||
8.95% 2/19/21 (g) | 6,510 | 6,640 | ||
9.95% 3/1/17 (g) | 2,620 | 2,712 | ||
Colombian Republic: | ||||
4.375% 3/21/23 | COP | 7,084,000 | 2,457 | |
5% 6/15/45 | 1,425 | 1,318 | ||
5.625% 2/26/44 | 1,425 | 1,443 | ||
6.125% 1/18/41 | 2,390 | 2,587 | ||
7.375% 9/18/37 | 2,450 | 3,020 | ||
10.375% 1/28/33 | 7,000 | 10,521 | ||
Congo Republic 4% 6/30/29 | 13,932 | 12,371 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (g) | 2,240 | 2,068 | ||
5.625% 4/30/43 (g) | 640 | 528 | ||
7% 4/4/44 (g) | 4,285 | 4,146 | ||
7.158% 3/12/45 (g) | 300 | 293 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (g) | 1,350 | 1,388 | ||
6% 1/26/24 (g) | 1,300 | 1,374 | ||
6.375% 3/24/21 (g) | 2,545 | 2,745 | ||
6.625% 7/14/20 (g) | 1,805 | 1,974 | ||
6.75% 11/5/19 (g) | 1,910 | 2,102 | ||
Danish Kingdom 1.75% 11/15/25 | DKK | 72,000 | 11,541 | |
Democratic Socialist Republic of Sri Lanka: | ||||
6% 1/14/19 (g) | 1,895 | 1,935 | ||
6.25% 10/4/20 (g) | 3,455 | 3,537 | ||
6.25% 7/27/21 (g) | 1,190 | 1,206 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (l) | 7,803 | 7,573 | ||
5.5% 1/27/25 (g) | 2,360 | 2,366 | ||
5.875% 4/18/24 (g) | 910 | 944 | ||
6.85% 1/27/45 (g) | 4,605 | 4,697 | ||
7.45% 4/30/44 (g) | 5,725 | 6,255 | ||
7.5% 5/6/21 (g) | 3,640 | 4,086 | ||
El Salvador Republic: | ||||
7.625% 2/1/41 (g) | 1,545 | 1,530 | ||
7.65% 6/15/35 (Reg. S) | 1,910 | 1,920 | ||
8.25% 4/10/32 (Reg. S) | 595 | 650 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
French Government OAT: | ||||
1.75% 5/25/23 | EUR | 4,100 | $ 4,886 | |
3.25% 5/25/45 | EUR | 5,250 | 7,200 | |
Georgia Republic 6.875% 4/12/21 (g) | 1,400 | 1,512 | ||
German Federal Republic: | ||||
0% 4/17/20 | EUR | 135,850 | 150,881 | |
0.5% 2/15/25 | EUR | 36,600 | 39,778 | |
2.5% 8/15/46 | EUR | 13,325 | 18,193 | |
Hong Kong Government SAR 1.32% 12/23/19 | HKD | 21,000 | 2,740 | |
Hungarian Republic: | ||||
5.375% 3/25/24 | 2,242 | 2,430 | ||
5.75% 11/22/23 | 3,656 | 4,049 | ||
7.625% 3/29/41 | 3,675 | 4,870 | ||
Indonesian Republic: | ||||
3.375% 4/15/23 (g) | 2,040 | 1,923 | ||
4.875% 5/5/21 (g) | 615 | 653 | ||
5.25% 1/17/42 (g) | 1,985 | 1,908 | ||
5.375% 10/17/23 | 1,850 | 1,991 | ||
5.875% 3/13/20 (g) | 1,245 | 1,385 | ||
6.625% 2/17/37 (g) | 4,000 | 4,520 | ||
6.75% 1/15/44 (g) | 1,725 | 2,001 | ||
7.75% 1/17/38 (g) | 7,525 | 9,585 | ||
7.875% 4/15/19 | IDR | 26,025,000 | 1,935 | |
8.5% 10/12/35 (Reg. S) | 6,195 | 8,363 | ||
Irish Republic 2% 2/18/45 (Reg.S) | EUR | 7,850 | 7,644 | |
Islamic Republic of Pakistan: | ||||
7.125% 3/31/16 (g) | 9,605 | 9,857 | ||
7.25% 4/15/19 (g) | 7,240 | 7,588 | ||
8.25% 4/15/24 (g) | 1,500 | 1,631 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 28,730 | 34,704 | ||
5.5% 12/4/23 | 12,385 | 15,009 | ||
Italian Republic 4.75% 9/1/44 | EUR | 5,700 | 8,000 | |
Ivory Coast 5.75% 12/31/32 | 7,875 | 7,384 | ||
Japan Government: | ||||
0.1% 10/15/15 | JPY | 2,297,000 | 18,774 | |
0.1% 2/15/16 | JPY | 2,600,000 | 21,257 | |
0.1% 3/15/16 | JPY | 2,500,000 | 20,441 | |
0.1% 8/15/16 | JPY | 4,890,000 | 40,001 | |
0.5% 12/20/15 | JPY | 1,375,000 | 11,261 | |
0.9% 6/20/22 | JPY | 5,202,800 | 44,529 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Japan Government: - continued | ||||
1.5% 12/20/44 | JPY | 2,215,000 | $ 18,300 | |
1.9% 9/20/30 | JPY | 7,735,000 | 72,761 | |
Jordanian Kingdom: | ||||
2.503% 10/30/20 | 25,601 | 26,407 | ||
3% 6/30/25 | 8,712 | 8,703 | ||
Kingdom of Norway 3.75% 5/25/21 | NOK | 36,000 | 5,200 | |
Lebanese Republic: | ||||
4% 12/31/17 | 7,768 | 7,709 | ||
5.45% 11/28/19 | 1,910 | 1,922 | ||
Moroccan Kingdom: | ||||
4.25% 12/11/22 (g) | 2,660 | 2,713 | ||
5.5% 12/11/42 (g) | 960 | 972 | ||
New Zealand Government 6% 5/15/21 | NZD | 8,000 | 6,254 | |
Panamanian Republic: | ||||
6.7% 1/26/36 | 1,175 | 1,451 | ||
8.875% 9/30/27 | 1,875 | 2,653 | ||
9.375% 4/1/29 | 1,570 | 2,324 | ||
Peruvian Republic: | ||||
4% 3/7/27 (f) | 5,671 | 5,671 | ||
8.75% 11/21/33 | 1,055 | 1,593 | ||
Philippine Republic: | ||||
7.75% 1/14/31 | 2,290 | 3,303 | ||
9.5% 2/2/30 | 2,980 | 4,824 | ||
10.625% 3/16/25 | 1,695 | 2,706 | ||
Plurinational State of Bolivia 5.95% 8/22/23 (g) | 2,560 | 2,714 | ||
Provincia de Cordoba 12.375% 8/17/17 (g) | 6,605 | 6,737 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 1,400 | 1,398 | ||
Republic of Armenia: | ||||
6% 9/30/20 (g) | 5,271 | 5,149 | ||
7.15% 3/26/25 (g) | 3,080 | 3,049 | ||
Republic of Iceland 5.875% 5/11/22 (g) | 2,950 | 3,331 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 11,420 | 9,234 | ||
Republic of Nigeria 5.125% 7/12/18 (g) | 2,475 | 2,484 | ||
Republic of Serbia: | ||||
5.25% 11/21/17 (g) | 1,375 | 1,421 | ||
5.875% 12/3/18 (g) | 3,975 | 4,179 | ||
6.75% 11/1/24 (g) | 8,150 | 8,284 | ||
7.25% 9/28/21 (g) | 2,500 | 2,800 | ||
Republic of Singapore 3.25% 9/1/20 | SGD | 25,500 | 20,050 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
Romanian Republic: | ||||
4.375% 8/22/23 (g) | $ 2,300 | $ 2,357 | ||
6.125% 1/22/44 (g) | 3,886 | 4,360 | ||
Russian Federation: | ||||
4.875% 9/16/23 (g) | 3,720 | 3,679 | ||
5% 4/29/20 (g) | 2,125 | 2,181 | ||
5.625% 4/4/42 (g) | 3,000 | 2,820 | ||
5.875% 9/16/43 (g) | 6,400 | 6,165 | ||
7.5% 3/31/30 (Reg. S) | 4,134 | 4,843 | ||
12.75% 6/24/28 (Reg. S) | 19,505 | 30,542 | ||
South African Republic 5.875% 9/16/25 | 1,355 | 1,501 | ||
Spanish Kingdom: | ||||
1.4% 1/31/20 | EUR | 7,000 | 7,901 | |
2.15% 10/31/25(Reg. S) (g) | EUR | 2,500 | 2,735 | |
2.75% 10/31/24 (Reg. S) | EUR | 13,450 | 15,591 | |
5.15% 10/31/44 | EUR | 2,700 | 4,020 | |
Sweden Kingdom 3.5% 6/1/22 | SEK | 135,350 | 19,471 | |
Switzerland Confederation: | ||||
1.5% 7/24/25 | CHF | 12,300 | 14,896 | |
4.25% 6/5/17 | CHF | 12,350 | 14,546 | |
Turkish Republic: | ||||
4.875% 4/16/43 | 2,135 | 1,943 | ||
5.125% 3/25/22 | 1,195 | 1,252 | ||
5.625% 3/30/21 | 4,015 | 4,328 | ||
6.25% 9/26/22 | 2,890 | 3,215 | ||
6.75% 4/3/18 | 5,480 | 6,043 | ||
6.75% 5/30/40 | 3,520 | 4,048 | ||
6.875% 3/17/36 | 3,790 | 4,396 | ||
7% 3/11/19 | 3,695 | 4,153 | ||
7.25% 3/5/38 | 2,605 | 3,154 | ||
7.375% 2/5/25 | 3,835 | 4,602 | ||
7.5% 11/7/19 | 6,405 | 7,385 | ||
8% 2/14/34 | 2,075 | 2,676 | ||
11.875% 1/15/30 | 3,915 | 6,584 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g) | 2,640 | 1,287 | ||
Ukraine Government: | ||||
7.8% 11/28/22 (g) | 4,680 | 2,410 | ||
7.95% 2/23/21 (g) | 1,065 | 554 | ||
9.25% 7/24/17 (g) | 5,325 | 2,561 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value (000s) | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
2% 7/22/20 (Reg. S) | GBP | 2,950 | $ 4,745 | |
2% 9/7/25(Reg. S) | GBP | 6,450 | 10,003 | |
3.5% 7/22/68 | GBP | 7,805 | 15,371 | |
United Mexican States: | ||||
4.6% 1/23/46 | 2,320 | 2,146 | ||
4.75% 3/8/44 | 3,876 | 3,682 | ||
5.55% 1/21/45 | 2,180 | 2,319 | ||
6.05% 1/11/40 | 4,180 | 4,744 | ||
6.5% 6/10/21 | MXN | 30,745 | 2,037 | |
6.75% 9/27/34 | 2,645 | 3,319 | ||
7.5% 4/8/33 | 1,450 | 1,950 | ||
8.3% 8/15/31 | 830 | 1,222 | ||
United Republic of Tanzania 6.3971% 3/9/20 (l) | 625 | 632 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 4,790 | 6,431 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (p) | 97,601 | 976 | ||
5.75% 2/26/16 (Reg S.) | 27,560 | 22,771 | ||
9% 5/7/23 (Reg. S) | 1,600 | 620 | ||
9.25% 9/15/27 | 4,275 | 1,806 | ||
9.25% 5/7/28 (Reg. S) | 2,705 | 1,035 | ||
11.75% 10/21/26 (Reg. S) | 5,785 | 2,488 | ||
11.95% 8/5/31 (Reg. S) | 12,535 | 5,359 | ||
12.75% 8/23/22 | 4,210 | 1,947 | ||
Vietnamese Socialist Republic: | ||||
1.2139% 3/12/16 (l) | 1,124 | 1,108 | ||
4% 3/12/28 (f) | 13,842 | 13,496 | ||
4.8% 11/19/24 (g) | 590 | 590 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,552,806) |
| |||
Supranational Obligations - 0.0% | ||||
| ||||
European Bank for Reconstruction & Development 6% 3/3/16 | INR | 95,000 |
|
Common Stocks - 5.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 1.6% | |||
Auto Components - 0.2% | |||
Delphi Automotive PLC | 73,500 | $ 6,254 | |
Exide Technologies (a) | 3,795 | 0 | |
Exide Technologies (a) | 12,651 | 0 | |
Remy International, Inc. | 122,400 | 2,706 | |
Tenneco, Inc. (a) | 117,300 | 6,738 | |
| 15,698 | ||
Automobiles - 0.1% | |||
General Motors Co. | 4,305 | 143 | |
General Motors Co.: | |||
warrants 7/10/16 (a) | 144,757 | 3,441 | |
warrants 7/10/19 (a) | 144,757 | 2,323 | |
| 5,907 | ||
Diversified Consumer Services - 0.0% | |||
Houghton Mifflin Harcourt Co. warrants 6/22/19 (a)(t) | 32,078 | 477 | |
Hotels, Restaurants & Leisure - 0.4% | |||
Chipotle Mexican Grill, Inc. (a) | 6,500 | 3,932 | |
Extended Stay America, Inc. unit | 534,200 | 10,027 | |
Fiesta Restaurant Group, Inc. (a) | 97,500 | 4,875 | |
Station Holdco LLC (a)(r)(t) | 4,989,172 | 16,265 | |
Station Holdco LLC (a)(s)(t) | 37,963 | 124 | |
Station Holdco LLC: | |||
unit (a)(s)(t) | 57,186 | 31 | |
warrants 6/15/18 (a)(r)(t) | 198,954 | 107 | |
| 35,361 | ||
Household Durables - 0.5% | |||
Harman International Industries, Inc. | 84,800 | 10,086 | |
Lennar Corp. Class A | 210,400 | 10,739 | |
Standard Pacific Corp. (a) | 777,500 | 6,928 | |
Taylor Morrison Home Corp. (a) | 323,500 | 6,586 | |
Whirlpool Corp. | 53,400 | 9,241 | |
| 43,580 | ||
Media - 0.3% | |||
AMC Networks, Inc. Class A (a) | 133,400 | 10,919 | |
Naspers Ltd. Class N | 73,600 | 11,464 | |
Sinclair Broadcast Group, Inc. Class A | 387,900 | 10,826 | |
| 33,209 | ||
Specialty Retail - 0.1% | |||
Office Depot, Inc. (a) | 1,210,500 | 10,483 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Textiles, Apparel & Luxury Goods - 0.0% | |||
Deckers Outdoor Corp. (a) | 67,000 | $ 4,822 | |
Michael Kors Holdings Ltd. (a) | 9,100 | 383 | |
| 5,205 | ||
TOTAL CONSUMER DISCRETIONARY | 149,920 | ||
CONSUMER STAPLES - 0.1% | |||
Food Products - 0.1% | |||
Reddy Ice Holdings, Inc. (a) | 142,776 | 128 | |
The Hain Celestial Group, Inc. (a) | 191,200 | 12,592 | |
| 12,720 | ||
ENERGY - 0.1% | |||
Energy Equipment & Services - 0.1% | |||
Hornbeck Offshore Services, Inc. (a) | 108,700 | 2,232 | |
Ocean Rig UDW, Inc. (United States) | 304,100 | 1,560 | |
| 3,792 | ||
Oil, Gas & Consumable Fuels - 0.0% | |||
Crestwood Midstream Partners LP | 220,000 | 2,464 | |
TOTAL ENERGY | 6,256 | ||
FINANCIALS - 0.1% | |||
Capital Markets - 0.0% | |||
Motors Liquidation Co. GUC Trust (a) | 36,934 | 711 | |
Penson Worldwide, Inc. Class A (a) | 3,883,237 | 0 | |
| 711 | ||
Consumer Finance - 0.1% | |||
Springleaf Holdings, Inc. (a) | 148,500 | 6,818 | |
TOTAL FINANCIALS | 7,529 | ||
HEALTH CARE - 1.0% | |||
Biotechnology - 0.4% | |||
Biogen, Inc. (a) | 37,700 | 15,229 | |
Celgene Corp. (a) | 97,100 | 11,238 | |
Gilead Sciences, Inc. | 121,400 | 14,214 | |
| 40,681 | ||
Health Care Providers & Services - 0.3% | |||
Community Health Systems, Inc. (a) | 121,600 | 7,657 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
HEALTH CARE - continued | |||
Health Care Providers & Services - continued | |||
HCA Holdings, Inc. (a) | 149,300 | $ 13,544 | |
Rotech Healthcare, Inc. (a) | 68,276 | 2,653 | |
| 23,854 | ||
Pharmaceuticals - 0.3% | |||
Allergan PLC (a) | 58,800 | 17,843 | |
Valeant Pharmaceuticals International (Canada) (a) | 65,500 | 14,530 | |
| 32,373 | ||
TOTAL HEALTH CARE | 96,908 | ||
INDUSTRIALS - 0.6% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp.: | |||
warrants 3/15/17 (a) | 1,430 | 0 | |
warrants 8/17/24 | 800 | 0 | |
Airlines - 0.2% | |||
Air Canada (a) | 806,200 | 8,527 | |
American Airlines Group, Inc. | 224,600 | 8,969 | |
| 17,496 | ||
Building Products - 0.0% | |||
Nortek, Inc. (a) | 7,154 | 595 | |
Commercial Services & Supplies - 0.0% | |||
WP Rocket Holdings, Inc. (a)(t) | 9,383,257 | 1,126 | |
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (a) | 12,063 | 2 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
| 2 | ||
Trading Companies & Distributors - 0.3% | |||
Air Lease Corp. Class A | 123,200 | 4,176 | |
HD Supply Holdings, Inc. (a) | 281,900 | 9,917 | |
Penhall Acquisition Co.: | |||
Class A (a) | 6,088 | 494 | |
Class B (a) | 2,029 | 165 | |
United Rentals, Inc. (a) | 156,200 | 13,686 | |
| 28,438 | ||
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding BV (a)(g) | 406,682 | 5,853 | |
TOTAL INDUSTRIALS | 53,510 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
INFORMATION TECHNOLOGY - 1.4% | |||
Electronic Equipment & Components - 0.2% | |||
CDW Corp. | 455,500 | $ 15,615 | |
Internet Software & Services - 0.4% | |||
Alibaba Group Holding Ltd. sponsored ADR | 245,200 | 20,173 | |
Baidu.com, Inc. sponsored ADR (a) | 27,100 | 5,395 | |
Facebook, Inc. Class A (a) | 78,700 | 6,750 | |
Google, Inc. Class A (a) | 9,300 | 5,022 | |
| 37,340 | ||
Semiconductors & Semiconductor Equipment - 0.7% | |||
Avago Technologies Ltd. | 46,000 | 6,115 | |
Cypress Semiconductor Corp. | 5,171 | 61 | |
Freescale Semiconductor, Inc. (a) | 419,200 | 16,755 | |
MagnaChip Semiconductor Corp. (a) | 49,030 | 379 | |
NXP Semiconductors NV (a) | 52,100 | 5,116 | |
Qorvo, Inc. (a) | 255,027 | 20,471 | |
Skyworks Solutions, Inc. | 210,900 | 21,955 | |
| 70,852 | ||
Technology Hardware, Storage & Peripherals - 0.1% | |||
Apple, Inc. | 81,200 | 10,185 | |
TOTAL INFORMATION TECHNOLOGY | 133,992 | ||
MATERIALS - 0.3% | |||
Chemicals - 0.1% | |||
LyondellBasell Industries NV Class A | 122,400 | 12,671 | |
Containers & Packaging - 0.2% | |||
Rock-Tenn Co. Class A | 210,588 | 12,677 | |
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(t) | 38,307 | 411 | |
Mirabela Nickel Ltd. (a) | 2,473,165 | 219 | |
| 630 | ||
TOTAL MATERIALS | 25,978 | ||
TELECOMMUNICATION SERVICES - 0.2% | |||
Wireless Telecommunication Services - 0.2% | |||
NII Holdings, Inc. | 243,770 | 3,951 | |
T-Mobile U.S., Inc. (a) | 272,900 | 10,580 | |
| 14,531 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | $ 241 | |
TOTAL COMMON STOCKS (Cost $464,484) |
| ||
Preferred Stocks - 0.3% | |||
|
|
|
|
Convertible Preferred Stocks - 0.1% | |||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind (a) | 57,438 | 467 | |
HEALTH CARE - 0.1% | |||
Pharmaceuticals - 0.1% | |||
Allergan PLC 5.50% | 8,700 | 9,070 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 9,537 | ||
Nonconvertible Preferred Stocks - 0.2% | |||
FINANCIALS - 0.2% | |||
Capital Markets - 0.1% | |||
Goldman Sachs Group, Inc. Series K, 6.375% | 218,984 | 5,687 | |
Consumer Finance - 0.1% | |||
Ally Financial, Inc. 7.00% (g) | 12,855 | 12,990 | |
TOTAL FINANCIALS | 18,677 | ||
INDUSTRIALS - 0.0% | |||
Commercial Services & Supplies - 0.0% | |||
WP Rocket Holdings, Inc.: | |||
15.00% (a) | 1,550,603 | 1,551 | |
Class C 19.50% (t) | 391,660 | 392 | |
| 1,943 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 20,620 | ||
TOTAL PREFERRED STOCKS (Cost $20,917) |
|
Bank Loan Obligations - 1.9% | ||||
| Principal | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.0% | ||||
Chassix, Inc. term loan 10% 12/12/15 (l) | $ 2,543 | $ 2,581 | ||
Hotels, Restaurants & Leisure - 0.2% | ||||
Centaur Acquisition LLC Tranche 2LN, term loan 8.75% 2/20/20 (l) | 1,575 | 1,575 | ||
Hilton Worldwide Finance, LLC Tranche B, term loan 3.5% 10/25/20 (l) | 8,157 | 8,158 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (l) | 2,598 | 2,576 | ||
TGI Friday's, Inc. Tranche B 1LN, term loan 5.25% 7/15/20 (l) | 396 | 396 | ||
| 12,705 | |||
Media - 0.0% | ||||
Livent, Inc.: | ||||
Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 8 | 6 | |
Tranche B, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 5 | 4 | |
| 10 | |||
TOTAL CONSUMER DISCRETIONARY | 15,296 | |||
CONSUMER STAPLES - 0.1% | ||||
Food & Staples Retailing - 0.0% | ||||
Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (l) | 2,865 | 2,865 | ||
Personal Products - 0.1% | ||||
Revlon Consumer Products Corp. term loan 4% 8/19/19 (l) | 7,409 | 7,409 | ||
TOTAL CONSUMER STAPLES | 10,274 | |||
ENERGY - 0.2% | ||||
Energy Equipment & Services - 0.0% | ||||
Sheridan Production Partners I Tranche A, term loan 4.25% 12/16/20 (l) | 200 | 174 | ||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Alon U.S.A. Partners LP term loan 9.25% 11/26/18 (l) | 3,174 | 3,170 | ||
Fieldwood Energy, LLC Tranche 2LN, term loan 8.375% 9/30/20 (l) | 16,650 | 12,737 | ||
Samson Investment Co. Tranche B 2LN, term loan 5% 9/25/18 (l) | 1,015 | 409 | ||
Bank Loan Obligations - continued | ||||
| Principal | Value (000s) | ||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Sheridan Investment Partners I term loan 4.25% 12/16/20 (l) | $ 1,436 | $ 1,249 | ||
Sheridan Production Partners I Tranche M, term loan 4.25% 12/16/20 (l) | 74 | 65 | ||
TPF II Power, LLC Tranche B, term loan 5.5082% 10/2/21 (l) | 1,756 | 1,769 | ||
| 19,399 | |||
TOTAL ENERGY | 19,573 | |||
FINANCIALS - 0.0% | ||||
Real Estate Management & Development - 0.0% | ||||
Realogy Corp. Credit-Linked Deposit 4.4463% 10/10/16 (l) | 261 | 258 | ||
HEALTH CARE - 0.1% | ||||
Health Care Providers & Services - 0.0% | ||||
Rural/Metro Corp.: | ||||
Tranche 2LN, term loan 14.5% 1/31/16 | 43 | 41 | ||
Tranche B, term loan 19.5% 1/31/16 | 142 | 133 | ||
| 174 | |||
Life Sciences Tools & Services - 0.1% | ||||
Jaguar Holding Co. II Tranche B, term loan 4% 12/5/18 (l) | 12,389 | 12,373 | ||
TOTAL HEALTH CARE | 12,547 | |||
INDUSTRIALS - 0.0% | ||||
Commercial Services & Supplies - 0.0% | ||||
GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (l) | 1,756 | 1,747 | ||
INFORMATION TECHNOLOGY - 0.1% | ||||
Electronic Equipment & Components - 0.0% | ||||
Infor U.S., Inc. Tranche B 5LN, term loan 3.75% 6/3/20 (l) | 2,313 | 2,282 | ||
Software - 0.1% | ||||
Kronos, Inc. Tranche 2LN, term loan 9.75% 4/30/20 (l) | 6,935 | 7,152 | ||
Bank Loan Obligations - continued | ||||
| Principal | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
Software - continued | ||||
Transfirst, Inc. Tranche 2LN, term loan 9% 11/12/22 (l) | $ 450 | $ 451 | ||
TransFirst, Inc. Tranche B 1LN, term loan 4.75% 11/12/21 (l) | 408 | 407 | ||
| 8,010 | |||
TOTAL INFORMATION TECHNOLOGY | 10,292 | |||
MATERIALS - 0.1% | ||||
Containers & Packaging - 0.1% | ||||
Berry Plastics Corp. Tranche E, term loan 3.75% 1/6/21 (l) | 3,937 | 3,922 | ||
Metals & Mining - 0.0% | ||||
Essar Steel Algoma, Inc. Tranche B, term loan 7.5% 8/16/19 (l) | 2,109 | 1,909 | ||
TOTAL MATERIALS | 5,831 | |||
TELECOMMUNICATION SERVICES - 0.2% | ||||
Diversified Telecommunication Services - 0.1% | ||||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (l) | 7,067 | 7,120 | ||
Integra Telecom Holdings, Inc. Tranche B 1LN, term loan 5.25% 8/14/20 (l) | 4,304 | 4,250 | ||
| 11,370 | |||
Wireless Telecommunication Services - 0.1% | ||||
Digicel International Finance Ltd.: | ||||
Tranche D 1LN, term loan 3.8125% 3/31/17 (l) | 2,256 | 2,121 | ||
Tranche D-2, term loan 3.7754% 3/31/19 (l) | 1,129 | 1,061 | ||
| 3,182 | |||
TOTAL TELECOMMUNICATION SERVICES | 14,552 | |||
UTILITIES - 0.9% | ||||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (l) | 1,767 | 1,753 | ||
Bank Loan Obligations - continued | ||||
| Principal | Value (000s) | ||
UTILITIES - continued | ||||
Independent Power and Renewable Electricity Producers - 0.9% | ||||
Energy Future Holdings Corp. Tranche 1LN, term loan 4.25% 6/19/16 (l) | $ 80,131 | $ 80,097 | ||
TOTAL UTILITIES | 81,850 | |||
TOTAL BANK LOAN OBLIGATIONS (Cost $175,920) |
| |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (l) | 3,489 | 3,420 | ||
Goldman Sachs 1.25% 12/14/19 (l) | 3,197 | 3,134 | ||
Mizuho 1.25% 12/14/19 (l) | 2,285 | 2,239 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $8,251) |
|
Fixed-Income Funds - 6.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (m) | 5,338,240 |
|
Preferred Securities - 3.1% | ||||
| Principal |
| ||
CONSUMER DISCRETIONARY - 0.2% | ||||
Media - 0.2% | ||||
Globo Comunicacao e Participacoes SA 6.25% (f)(g)(h) | $ 10,476 | 10,592 | ||
NBCUniversal Enterprise, Inc. 5.25% (g)(h) | 7,335 | 7,815 | ||
| 18,407 | |||
CONSUMER STAPLES - 0.1% | ||||
Food Products - 0.1% | ||||
Cosan Overseas Ltd. 8.25% (h) | 5,650 | 5,694 | ||
FINANCIALS - 2.7% | ||||
Banks - 2.2% | ||||
Banco Do Brasil SA 9% (g)(h)(l) | 2,470 | 2,236 | ||
Preferred Securities - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - continued | ||||
Banks - continued | ||||
Bank of America Corp.: | ||||
5.125% (h)(l) | $ 10,690 | $ 10,494 | ||
5.2% (h)(l) | 23,520 | 22,591 | ||
6.25% (h)(l) | 7,170 | 7,282 | ||
8% (h)(l) | 3,065 | 3,337 | ||
8.125% (h)(l) | 2,245 | 2,406 | ||
Barclays Bank PLC 7.625% 11/21/22 | 17,490 | 20,066 | ||
Citigroup, Inc.: | ||||
5.8% (h)(l) | 8,960 | 9,049 | ||
5.9% (h)(l) | 13,975 | 14,075 | ||
5.95% (h)(l) | 25,260 | 25,512 | ||
6.3% (h)(l) | 2,145 | 2,111 | ||
JPMorgan Chase & Co.: | ||||
5% (h)(l) | 12,930 | 12,978 | ||
5.3% (h)(l) | 6,510 | 6,528 | ||
6% (h)(l) | 23,845 | 24,259 | ||
6.125% (h)(l) | 5,990 | 6,077 | ||
6.75% (h)(l) | 3,295 | 3,613 | ||
Wells Fargo & Co.: | ||||
5.875% (h)(l) | 8,875 | 9,109 | ||
5.9% (h)(l) | 20,195 | 20,323 | ||
7.98% (h)(l) | 2,035 | 2,253 | ||
| 204,299 | |||
Capital Markets - 0.3% | ||||
Bank of Scotland 7.281% (h)(l) | GBP | 2,450 | 4,548 | |
Goldman Sachs Group, Inc. 5.7% (h)(l) | 12,639 | 12,786 | ||
Morgan Stanley 5.55% (h)(l) | 6,545 | 6,601 | ||
| 23,935 | |||
Consumer Finance - 0.2% | ||||
American Express Co.: | ||||
4.9% (h)(l) | 8,750 | 8,618 | ||
5.2% (h)(l) | 7,825 | 7,819 | ||
| 16,437 | |||
Diversified Financial Services - 0.0% | ||||
Magnesita Finance Ltd.: | ||||
8.625% (g)(h) | 2,595 | 2,155 | ||
8.625% (Reg. S) (h) | 380 | 316 | ||
| 2,471 | |||
Preferred Securities - continued | ||||
| Principal | Value (000s) | ||
FINANCIALS - continued | ||||
Insurance - 0.0% | ||||
Elm BV (SWISS REIN CO) 2.6% (Reg. S) (h)(l) | EUR | 4,200 | $ 4,316 | |
TOTAL FINANCIALS | 251,458 | |||
INDUSTRIALS - 0.1% | ||||
Construction & Engineering - 0.1% | ||||
Odebrecht Finance Ltd.: | ||||
7.5% (g)(h) | 14,320 | 11,362 | ||
7.5% (Reg. S) (h) | 250 | 198 | ||
| 11,560 | |||
MATERIALS - 0.0% | ||||
Metals & Mining - 0.0% | ||||
CSN Islands XII Corp. 7% (Reg. S) (h) | 6,625 | 4,449 | ||
TOTAL PREFERRED SECURITIES (Cost $295,343) |
|
Money Market Funds - 2.2% | |||
Shares |
| ||
Fidelity Cash Central Fund, 0.15% (b) | 208,021,395 |
| |
TOTAL INVESTMENT PORTFOLIO - 99.1% (Cost $9,134,633) | 9,244,336 | ||
NET OTHER ASSETS (LIABILITIES) - 0.9% | 85,010 | ||
NET ASSETS - 100% | $ 9,329,346 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized | |||
Purchased | |||||
Treasury Contracts | |||||
278 CBOT 10 Year U.S. Treasury Note Contracts (United States) | Sept. 2015 | $ 35,076 | $ (257) | ||
280 CBOT 2-Year U.S. Treasury Note Contracts (United States) | Sept. 2015 | 61,303 | 60 | ||
259 CBOT 5-Year U.S. Treasury Note Contracts (United States) | Sept. 2015 | 30,888 | 2 | ||
319 CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) | Sept. 2015 | 49,146 | (1,625) | ||
TOTAL TREASURY CONTRACTS | $ 176,413 | $ (1,820) |
|
The face value of futures purchased as a percentage of net assets is 1.9% |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration | Notional | Payment | Payment | Value | Upfront | Unrealized |
LCH | Sep. 2017 | $ 7,300 | 3-month LIBOR | 1.5% | $ (18) | $ 0 | $ (18) |
LCH | Sep. 2020 | 4,200 | 3-month LIBOR | 2.25% | (33) | 0 | (33) |
LCH | Sep. 2025 | 3,200 | 3-month LIBOR | 2.75% | (35) | 0 | (35) |
LCH | Sep. 2045 | 8,600 | 3-month LIBOR | 3% | (49) | 0 | (49) |
TOTAL INTEREST RATE SWAPS | $ (135) | $ 0 | $ (135) |
|
(1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps. |
|
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
AUD | - | Australian dollar |
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
CHF | - | Swiss franc |
COP | - | Colombian peso |
DKK | - | Danish krone |
EUR | - | European Monetary Unit |
GBP | - | British pound |
HKD | - | Hong Kong dollar |
IDR | - | Indonesian rupiah |
INR | - | Indian rupee |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
NOK | - | Norwegian krone |
NZD | - | New Zealand dollar |
RUB | - | Russian ruble |
SEK | - | Swedish krona |
SGD | - | Singapore dollar |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security 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 $1,912,298,000 or 20.5% of net assets. |
(h) Security is perpetual in nature with no stated maturity date. |
(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 $2,157,000. |
(k) 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 $1,623,000. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) 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 advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(n) 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. |
(o) 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. |
(p) Quantity represents share amount. |
(q) 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. |
(r) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is wholly-owned by the Fund. |
(s) Investment is owned by an entity that is treated as a U.S. Corporation for tax purposes in which the Fund holds a percentage ownership. |
(t) 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 $18,933,000 or 0.2% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
Houghton Mifflin Harcourt Co. warrants 6/22/19 | 6/22/12 | $ 62 |
Station Holdco LLC | 6/17/11 - 4/1/13 | $ 5,173 |
Station Holdco LLC unit | 3/12/13 - 4/1/13 | $ 4 |
Station Holdco LLC warrants 6/15/18 | 4/29/08 - 11/25/08 | $ 15,269 |
WP Rocket Holdings, Inc. | 6/24/11 - 2/2/15 | $ 4,887 |
WP Rocket Holdings, Inc. Class C 19.50% | 2/2/15 | $ 392 |
* Amount represents less than $1,000. |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 181 |
Fidelity Floating Rate Central Fund | 12,108 |
Total | $ 12,289 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 366,013 | $ 192,938 | $ - | $ 561,796 | 33.2% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2015, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables 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 | $ 149,920 | $ 132,916 | $ 477 | $ 16,527 |
Consumer Staples | 13,187 | 12,592 | 128 | 467 |
Energy | 6,256 | 6,256 | - | - |
Financials | 26,206 | 13,216 | 12,990 | - |
Health Care | 105,978 | 103,325 | - | 2,653 |
Industrials | 55,453 | 45,870 | - | 9,583 |
Information Technology | 133,992 | 133,992 | - | - |
Materials | 25,978 | 25,567 | - | 411 |
Telecommunication Services | 14,531 | 10,580 | - | 3,951 |
Utilities | 241 | 241 | - | - |
Corporate Bonds | 4,016,974 | - | 4,016,941 | 33 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
U.S. Government and Government Agency Obligations | $ 1,436,680 | $ - | $ 1,436,680 | $ - |
U.S. Government Agency - Mortgage Securities | 100,754 | - | 100,754 | - |
Collateralized Mortgage Obligations | 237,024 | - | 237,024 | - |
Commercial Mortgage Securities | 141,179 | - | 141,179 | - |
Foreign Government and Government Agency Obligations | 1,536,096 | - | 1,528,341 | 7,755 |
Supranational Obligations | 1,489 | - | 1,489 | - |
Bank Loan Obligations | 172,220 | - | 170,717 | 1,503 |
Sovereign Loan Participations | 8,793 | - | - | 8,793 |
Fixed-Income Funds | 561,796 | 561,796 | - | - |
Preferred Securities | 291,568 | - | 291,568 | - |
Money Market Funds | 208,021 | 208,021 | - | - |
Total Investments in Securities: | $ 9,244,336 | $ 1,254,372 | $ 7,938,288 | $ 51,676 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 62 | $ 62 | $ - | $ - |
Liabilities | ||||
Futures Contracts | $ (1,882) | $ (1,882) | $ - | $ - |
Swaps | (135) | - | (135) | - |
Total Liabilities | $ (2,017) | $ (1,882) | $ (135) | $ - |
Total Derivative Instruments: | $ (1,955) | $ (1,820) | $ (135) | $ - |
Valuation Inputs at Reporting Date: |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
(Amounts in thousands) |
|
Investments in Securities: | |
Beginning Balance | $ 95,054 |
Net Realized Gain (Loss) on Investment Securities | (3,838) |
Net Unrealized Gain (Loss) on Investment Securities | 5,602 |
Cost of Purchases | 7,340 |
Proceeds of Sales | (4,586) |
Amortization/Accretion | 144 |
Transfers into Level 3 | - |
Transfers out of Level 3 | (48,040) |
Ending Balance | $ 51,676 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2015 | $ 1,880 |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2015. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ 62 | $ (1,882) |
Swaps (b) | - | (135) |
Total Value of Derivatives | $ 62 | $ (2,017) |
(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. |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows (Unaudited): |
United States of America | 64.9% |
Canada | 2.6% |
Japan | 2.6% |
Netherlands | 2.6% |
Germany | 2.4% |
Luxembourg | 2.3% |
United Kingdom | 2.2% |
Ireland | 1.6% |
Argentina | 1.4% |
Bermuda | 1.3% |
Mexico | 1.1% |
Italy | 1.0% |
France | 1.0% |
Others (Individually Less Than 1%) | 13.0% |
| 100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2015 (Unaudited) | |
Assets | ||
Investment in securities, at value - See accompanying schedule: Unaffiliated issuers (cost $8,377,631) | $ 8,474,519 |
|
Fidelity Central Funds (cost $757,002) | 769,817 |
|
Total Investments (cost $9,134,633) |
| $ 9,244,336 |
Receivable for investments sold | 84,844 | |
Receivable for fund shares sold | 8,638 | |
Dividends receivable | 225 | |
Interest receivable | 92,361 | |
Distributions receivable from Fidelity Central Funds | 2,360 | |
Receivable for daily variation margin for derivative instruments | 14 | |
Other receivables | 17 | |
Total assets | 9,432,795 | |
|
|
|
Liabilities | ||
Payable for investments purchased |
| |
Regular delivery | $ 66,974 |
|
Delayed delivery | 10,060 | |
Payable for fund shares redeemed | 16,426 | |
Distributions payable | 1,662 | |
Accrued management fee | 4,382 | |
Distribution and service plan fees payable | 2,421 | |
Other affiliated payables | 1,394 | |
Other payables and accrued expenses | 130 | |
Total liabilities | 103,449 | |
|
|
|
Net Assets | $ 9,329,346 | |
Net Assets consist of: |
| |
Paid in capital | $ 9,277,978 | |
Undistributed net investment income | 21,183 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (77,540) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 107,725 | |
Net Assets | $ 9,329,346 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2015 (Unaudited) | |
Calculation of Maximum Offering Price | ||
Class A: | ||
Net Asset Value and redemption price per share ($3,710,166 ÷ 312,046 shares) | $ 11.89 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.89) | $ 12.39 | |
Class T: | ||
Net Asset Value and redemption price per share ($1,129,972 ÷ 95,089 shares) | $ 11.88 | |
|
|
|
Maximum offering price per share (100/96.00 of $11.88) | $ 12.38 | |
Class B: | ||
Net Asset Value and offering price per share ($82,595 ÷ 6,923 shares)A | $ 11.93 | |
|
|
|
Class C: | ||
Net Asset Value and offering price per share ($1,597,338 ÷ 134,697 shares)A | $ 11.86 | |
|
|
|
Institutional Class: | ||
Net Asset Value, offering price and redemption price per share ($2,809,275 ÷ 233,122 shares) | $ 12.05 |
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.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended June 30, 2015 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 11,685 |
Interest |
| 189,141 |
Income from Fidelity Central Funds |
| 12,289 |
Total income |
| 213,115 |
|
|
|
Expenses | ||
Management fee | $ 26,486 | |
Transfer agent fees | 7,549 | |
Distribution and service plan fees | 14,788 | |
Accounting and security lending fees | 775 | |
Custodian fees and expenses | 135 | |
Independent trustees' compensation | 19 | |
Registration fees | 159 | |
Audit | 63 | |
Legal | 196 | |
Miscellaneous | 44 | |
Total expenses before reductions | 50,214 | |
Expense reductions | (9) | 50,205 |
Net investment income (loss) | 162,910 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | (54,601) | |
Foreign currency transactions | (637) | |
Futures contracts | 2,473 | |
Swaps | 383 |
|
Total net realized gain (loss) |
| (52,382) |
Change in net unrealized appreciation (depreciation) on: Investment securities | 23,382 | |
Assets and liabilities in foreign currencies | 393 | |
Futures contracts | (4,238) | |
Swaps | (234) | |
Total change in net unrealized appreciation (depreciation) |
| 19,303 |
Net gain (loss) | (33,079) | |
Net increase (decrease) in net assets resulting from operations | $ 129,831 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 162,910 | $ 315,429 |
Net realized gain (loss) | (52,382) | 153,839 |
Change in net unrealized appreciation (depreciation) | 19,303 | (151,707) |
Net increase (decrease) in net assets resulting from operations | 129,831 | 317,561 |
Distributions to shareholders from net investment income | (151,610) | (312,786) |
Distributions to shareholders from net realized gain | (5,484) | (146,168) |
Total distributions | (157,094) | (458,954) |
Share transactions - net increase (decrease) | (61,760) | 6,261 |
Total increase (decrease) in net assets | (89,023) | (135,132) |
|
|
|
Net Assets | ||
Beginning of period | 9,418,369 | 9,553,501 |
End of period (including undistributed net investment income of $21,183 and undistributed net investment income of $9,883, respectively) | $ 9,329,346 | $ 9,418,369 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.92 | $ 12.10 | $ 12.69 | $ 12.07 | $ 12.38 | $ 12.13 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .211 | .422 | .449 | .479 | .536 | .622 |
Net realized and unrealized gain (loss) | (.037) | .005 | (.441) | .776 | .009 | .500 |
Total from investment operations | .174 | .427 | .008 | 1.255 | .545 | 1.122 |
Distributions from net investment income | (.197) | (.419) | (.431) | (.442) | (.572) | (.582) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.204) | (.607) | (.598) | (.635) | (.855) | (.872) |
Net asset value, end of period | $ 11.89 | $ 11.92 | $ 12.10 | $ 12.69 | $ 12.07 | $ 12.38 |
Total ReturnB, C, D | 1.45% | 3.52% | .08% | 10.57% | 4.47% | 9.48% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00%A | .99% | .98% | .98% | .99% | .99% |
Expenses net of fee waivers, if any | 1.00%A | .99% | .98% | .98% | .99% | .99% |
Expenses net of all reductions | 1.00%A | .99% | .98% | .98% | .99% | .99% |
Net investment income (loss) | 3.54%A | 3.42% | 3.61% | 3.83% | 4.29% | 5.00% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 3,710 | $ 3,794 | $ 4,205 | $ 5,582 | $ 4,746 | $ 4,169 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.92 | $ 12.10 | $ 12.68 | $ 12.07 | $ 12.38 | $ 12.12 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .211 | .422 | .449 | .479 | .536 | .621 |
Net realized and unrealized gain (loss) | (.047) | .006 | (.431) | .766 | .009 | .511 |
Total from investment operations | .164 | .428 | .018 | 1.245 | .545 | 1.132 |
Distributions from net investment income | (.197) | (.420) | (.431) | (.442) | (.572) | (.582) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.204) | (.608) | (.598) | (.635) | (.855) | (.872) |
Net asset value, end of period | $ 11.88 | $ 11.92 | $ 12.10 | $ 12.68 | $ 12.07 | $ 12.38 |
Total ReturnB, C, D | 1.37% | 3.52% | .17% | 10.49% | 4.48% | 9.57% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.00%A | .99% | .98% | .98% | .98% | .99% |
Expenses net of fee waivers, if any | 1.00%A | .99% | .98% | .98% | .98% | .99% |
Expenses net of all reductions | 1.00%A | .99% | .98% | .98% | .98% | .99% |
Net investment income (loss) | 3.55%A | 3.42% | 3.61% | 3.83% | 4.29% | 5.00% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,130 | $ 1,179 | $ 1,265 | $ 1,554 | $ 1,471 | $ 1,571 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.96 | $ 12.14 | $ 12.72 | $ 12.11 | $ 12.42 | $ 12.16 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .171 | .338 | .362 | .391 | .449 | .535 |
Net realized and unrealized gain (loss) | (.038) | .004 | (.432) | .765 | .007 | .509 |
Total from investment operations | .133 | .342 | (.070) | 1.156 | .456 | 1.044 |
Distributions from net investment income | (.156) | (.334) | (.343) | (.353) | (.483) | (.494) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.163) | (.522) | (.510) | (.546) | (.766) | (.784) |
Net asset value, end of period | $ 11.93 | $ 11.96 | $ 12.14 | $ 12.72 | $ 12.11 | $ 12.42 |
Total ReturnB, C, D | 1.11% | 2.80% | (.54)% | 9.67% | 3.72% | 8.77% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.69%A | 1.68% | 1.69% | 1.69% | 1.69% | 1.70% |
Expenses net of fee waivers, if any | 1.69%A | 1.68% | 1.69% | 1.69% | 1.69% | 1.70% |
Expenses net of all reductions | 1.69%A | 1.68% | 1.69% | 1.69% | 1.69% | 1.70% |
Net investment income (loss) | 2.85%A | 2.73% | 2.90% | 3.12% | 3.59% | 4.30% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 83 | $ 100 | $ 137 | $ 204 | $ 244 | $ 307 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 11.89 | $ 12.07 | $ 12.66 | $ 12.05 | $ 12.36 | $ 12.10 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .166 | .329 | .355 | .384 | .441 | .528 |
Net realized and unrealized gain (loss) | (.037) | .007 | (.440) | .767 | .010 | .512 |
Total from investment operations | .129 | .336 | (.085) | 1.151 | .451 | 1.040 |
Distributions from net investment income | (.152) | (.328) | (.338) | (.348) | (.478) | (.490) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.159) | (.516) | (.505) | (.541) | (.761) | (.780) |
Net asset value, end of period | $ 11.86 | $ 11.89 | $ 12.07 | $ 12.66 | $ 12.05 | $ 12.36 |
Total ReturnB, C, D | 1.07% | 2.76% | (.66)% | 9.68% | 3.71% | 8.77% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75%A | 1.73% | 1.73% | 1.73% | 1.74% | 1.74% |
Expenses net of fee waivers, if any | 1.75%A | 1.73% | 1.73% | 1.73% | 1.74% | 1.74% |
Expenses net of all reductions | 1.75%A | 1.73% | 1.73% | 1.73% | 1.74% | 1.74% |
Net investment income (loss) | 2.79%A | 2.67% | 2.86% | 3.08% | 3.54% | 4.26% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,597 | $ 1,664 | $ 1,767 | $ 2,238 | $ 1,824 | $ 1,609 |
Portfolio turnover rate G | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2014 | 2013 | 2012 | 2011 | 2010 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.09 | $ 12.26 | $ 12.84 | $ 12.21 | $ 12.52 | $ 12.25 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .228 | .455 | .484 | .514 | .570 | .657 |
Net realized and unrealized gain (loss) | (.048) | .012 | (.437) | .779 | .003 | .514 |
Total from investment operations | .180 | .467 | .047 | 1.293 | .573 | 1.171 |
Distributions from net investment income | (.213) | (.449) | (.460) | (.470) | (.600) | (.611) |
Distributions from net realized gain | (.007) | (.188) | (.167) | (.193) | (.283) | (.290) |
Total distributions | (.220) | (.637) | (.627) | (.663) | (.883) | (.901) |
Net asset value, end of period | $ 12.05 | $ 12.09 | $ 12.26 | $ 12.84 | $ 12.21 | $ 12.52 |
Total ReturnB, C | 1.48% | 3.80% | .39% | 10.78% | 4.66% | 9.80% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .77%A | .76% | .75% | .75% | .76% | .76% |
Expenses net of fee waivers, if any | .77%A | .76% | .75% | .75% | .76% | .76% |
Expenses net of all reductions | .77%A | .76% | .75% | .75% | .76% | .76% |
Net investment income (loss) | 3.77%A | 3.65% | 3.84% | 4.07% | 4.52% | 5.23% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,809 | $ 2,682 | $ 2,179 | $ 2,759 | $ 1,812 | $ 1,481 |
Portfolio turnover rate F | 111% A | 121% | 135% | 126% | 221% | 207% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. Based on their most recent shareholder report date, the expenses of any underlying non-money market Fidelity Central Funds ranged from less than .01%.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G 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.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2015 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (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 and Institutional Class shares, each of which along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
During the period, the Board of Trustees approved a change in the name of Institutional Class to Class I effective July 1, 2015.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by the investment adviser and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of the investment adviser. Annualized expenses of the Money Market Central Funds as of their most recent shareholder report date are less than .01%. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity | Investment | Investment | Investment | Expense |
Fidelity Floating Rate Central Fund | FMR Co., Inc. | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Restricted Securities
| Less than .01% |
* 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.
Semiannual Report
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank loan obligations, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker-supplied prices. 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs),
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy. Equity securities, including restricted securities, for which observable inputs are not available are valued using alternate valuation approaches, including the market approach and the income approach and are categorized as Level 3 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. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2015, as well as a roll forward of Level 3 investments, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
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.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for U.S. Federal income taxes is required. 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.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Capital accounts are not adjusted for temporary book-tax differences which will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, defaulted bonds, market discount, contingent interest, equity-debt classifications, partnerships (including allocations from Fidelity Central Funds), deferred trustees compensation, financing transactions and losses deferred due to wash sales and excise tax regulations.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 406,611 |
Gross unrealized depreciation | (276,776) |
Net unrealized appreciation (depreciation) on securities | $ 129,835 |
|
|
Tax cost | $ 9,114,501 |
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
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, or may be made directly to a borrower. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
Semiannual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
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 | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ 2,473 | $ (4,238) |
Purchased Options | (768) | 768 |
Swaps | 383 | (234) |
Totals (a) | $ 2,088 | $ (3,704) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments.
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
Semiannual Report
4. Derivative Instruments - continued
Futures Contracts - continued
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 fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation (depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
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.
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 $4,471,617 and $4,042,786, 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 .45% 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
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
advised by the investment adviser, including any mutual funds previously advised by the investment adviser that are currently advised by Fidelity SelectCo, LLC, an affiliate of the investment adviser. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the reporting period, the total annualized management fee rate was .56% 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 | Service | Total Fees | Retained |
Class A | -% | .25% | $ 4,730 | $ 86 |
Class T | -% | .25% | 1,453 | 27 |
Class B | .65% | .25% | 413 | 300 |
Class C | .75% | .25% | 8,192 | 861 |
|
|
| $ 14,788 | $ 1,274 |
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, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 121 |
Class T | 25 |
Class B* | 36 |
Class C* | 51 |
| $ 233 |
* 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of the investment adviser, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements.
For the period, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 2,914 | .16 |
Class T | 877 | .15 |
Class B | 86 | .19 |
Class C | 1,218 | .15 |
Institutional Class | 2,454 | .18 |
| $ 7,549 |
|
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of the investment adviser, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Brokerage Commissions. The Fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. Brokerage commissions are included in net realized gain (loss) and change in net unrealized appreciation (depreciation) in the Statement of Operations. The commissions paid to these affiliated firms were $1 for the period.
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 $8 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, the Fund did not borrow on this line of credit.
Semiannual Report
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. At period end, there were no security loans outstanding. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $1.
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 $9 for the period.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 61,974 | $ 137,510 |
Class T | 19,063 | 41,939 |
Class B | 1,193 | 3,240 |
Class C | 20,744 | 45,973 |
Institutional Class | 48,636 | 84,124 |
Total | $ 151,610 | $ 312,786 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
10. Distributions to Shareholders - continued
Six months ended | Year ended | |
From net realized gain |
|
|
Class A | $ 2,214 | $ 59,022 |
Class T | 683 | 18,268 |
Class B | 56 | 1,556 |
Class C | 968 | 25,946 |
Institutional Class | 1,563 | 41,376 |
Total | $ 5,484 | $ 146,168 |
11. Share Transactions.
Share transactions for each class were as follows and may contain automatic conversions between classes or exchanges between funds:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 27,799 | 62,939 | $ 333,815 | $ 776,718 |
Reinvestment of distributions | 5,117 | 15,104 | 61,541 | 184,389 |
Shares redeemed | (39,051) | (107,328) | (468,972) | (1,322,245) |
Net increase (decrease) | (6,135) | (29,285) | $ (73,616) | $ (361,138) |
Class T |
|
|
|
|
Shares sold | 5,408 | 13,996 | $ 64,939 | $ 172,575 |
Reinvestment of distributions | 1,573 | 4,668 | 18,910 | 56,953 |
Shares redeemed | (10,787) | (24,319) | (129,551) | (299,446) |
Net increase (decrease) | (3,806) | (5,655) | $ (45,702) | $ (69,918) |
Class B |
|
|
|
|
Shares sold | 65 | 215 | $ 657 | $ 2,679 |
Reinvestment of distributions | 90 | 334 | 1,081 | 4,082 |
Shares redeemed | (1,604) | (3,487) | (19,196) | (43,142) |
Net increase (decrease) | (1,449) | (2,938) | $ (17,458) | $ (36,381) |
Class C |
|
|
|
|
Shares sold | 8,851 | 18,934 | $ 105,681 | $ 233,057 |
Reinvestment of distributions | 1,565 | 4,992 | 18,775 | 60,641 |
Shares redeemed | (15,626) | (30,358) | (186,739) | (372,456) |
Net increase (decrease) | (5,210) | (6,432) | $ (62,283) | $ (78,758) |
Institutional Class |
|
|
|
|
Shares sold | 38,378 | 94,676 | $ 467,094 | $ 1,183,458 |
Reinvestment of distributions | 3,700 | 8,622 | 45,091 | 106,429 |
Shares redeemed | (30,835) | (59,177) | (374,886) | (737,431) |
Net increase (decrease) | 11,243 | 44,121 | $ 137,299 | $ 552,456 |
Semiannual Report
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.
13. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
14. Litigation.
The Fund, and other entities managed by Fidelity or its affiliates, were named as defendants in a lawsuit brought by creditors of a subsidiary of Energy Future Holdings Corp. ("EFH"), which is currently in bankruptcy and was formerly known as TXU. The lawsuit, which is captioned as In Re: ENERGY FUTURE HOLDINGS CORP. et al. U.S. Bankruptcy Court, D. Del. Case No. 14-10979 (CSS); AVENUE CAPITAL MANAGEMENT II, LP, et al. v. FIDELITY INVESTMENTS, et al. Adversary No. 14-50797 (CSS), was filed in the United States Bankruptcy Court for the District of Delaware on October 6, 2014. The plaintiffs sought to enforce an alleged agreement under which the Fund and other defendants would sell certain EFH notes to the plaintiffs at a specified price. Plaintiffs sought a declaration that an alleged right to call the securities was properly exercised and an order that the Fund and other defendants transfer the notes to the plaintiffs at the specified price. The Fund and the other defendants disputed the plaintiffs' claims and filed a motion to dismiss contending, among other things, that the right to call the notes never came into existence and was part of a proposed settlement agreement that was never completed or approved by the bankruptcy court. On January 20, 2015, the court granted the defendants' motion and dismissed the complaint with prejudice. The plaintiffs filed a notice of appeal on February 3, 2015. If the lawsuit were to be decided in a manner adverse to the Fund, the Fund could experience a loss up to $31,803 as of period end. The Fund will also incur legal costs in defending the case.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
14. Litigation - continued
The Fund, and other entities managed by FMR or its affiliates, became aware in March 2015 that they were named as defendants in a lawsuit originally filed in the United States Bankruptcy Court for the Southern District of New York in 2009. The lawsuit was brought by creditors of Motors Liquidation Company (f/k/a General Motors), which went through Chapter 11 bankruptcy proceedings in 2009, and is captioned Official Committee of Unsecured Creditors of Motors Liquidation Company v. JPMorgan Chase Bank, N.A., et al., Adversary No. 09-00504 (REG). The plaintiffs are seeking an order that the Fund and other defendants return proceeds received in 2009 in full payment of the principal and interest on General Motors secured debt. The plaintiffs contend that the Fund and the other defendants were not secured creditors at the time of the 2009 payments and, thus, were not entitled to payment in full. In January 2015, the Court of Appeals ruled that JPMorgan, as administrative agent for all of the debtholders, released the security interest on collateral securing the debt prior to the 2009 payments. The Bankruptcy Court will now determine next steps. At this time, Management cannot determine the amount of loss that may be realized, but expects the amount to be less than the $24,325 received in 2009. The Fund was not previously aware that it had been named as a defendant in this case because, in 2009, the Bankruptcy Court allowed the plaintiffs to refrain from serving any of the defendants other than JPMorgan with notice of the filing of the lawsuit. The Fund will explore all available options for minimizing any loss to the Fund. The Fund will also incur legal costs in defending the case.
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
FMR Investment Management
(U.K.) Limited
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Limited
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
State Street Bank and Trust Company
Quincy, MA
(Fidelity Investment logo)(registered trademark)
SI-USAN-0815 1.787775.112
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | August 27, 2015 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | August 27, 2015 |
By: | /s/Howard J. Galligan III |
| Howard J. Galligan III |
| Chief Financial Officer |
|
|
Date: | August 27, 2015 |