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)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | August 31 |
|
|
Date of reporting period: | February 28, 2007 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Intermediate Bond
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Notes to Shareholders | An explanation of the changes to the fund. | |
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Notes to Shareholders:
As discussed in prior shareholder reports, the fund changed its investment approach in the way it invests in the investment-grade debt market, seeking exposure to various types of securities by investing in central funds as well as investing directly in individual investment-grade securities. Central funds are Fidelity mutual funds used by this fund and other Fidelity funds as an investment vehicle to gain pooled exposure to a particular core market sector, such as corporate bonds or mortgage-backed securities. Instead of multiple funds each investing in investment-grade debt securities individually, they can now take advantage of consolidating investments in a single, larger pool of investment-grade debt by investing directly in central funds. Shares of the central funds are offered only to other Fidelity mutual funds and accounts; investors cannot directly invest in them.
It's important to point out that investing in central funds does not impact the fund's investment objective or risk profile, only the mechanics of how we manage its investment portfolio. The portfolio managers continue to be responsible for choosing appropriate investments for their funds, whether they elect to purchase shares of a central fund or individual securities. Fidelity does not charge any additional management fees for central funds.
Investing in central funds does change the way this report presents the fund's holdings. The Investments section continues to list direct investments of the fund, including each central fund. However, many of the individual investment-grade debt securities previously held by the fund were transferred to the central funds, so they are no longer directly held and thus not listed. Information on the underlying holdings of the fixed-income central funds is available at advisor.fidelity.com, and the financial statements are available upon request.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,030.60 | $ 3.78** |
HypotheticalA | $ 1,000.00 | $ 1,021.08 | $ 3.76** |
Class T | |||
Actual | $ 1,000.00 | $ 1,030.20 | $ 4.18 |
HypotheticalA | $ 1,000.00 | $ 1,020.68 | $ 4.16 |
Class B | |||
Actual | $ 1,000.00 | $ 1,026.60 | $ 7.69 |
HypotheticalA | $ 1,000.00 | $ 1,017.21 | $ 7.65 |
Class C | |||
Actual | $ 1,000.00 | $ 1,026.30 | $ 8.09 |
HypotheticalA | $ 1,000.00 | $ 1,016.81 | $ 8.05 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,031.50 | $ 2.82 |
HypotheticalA | $ 1,000.00 | $ 1,022.02 | $ 2.81 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .75%** |
Class T | .83% |
Class B | 1.53% |
Class C | 1.61% |
Institutional Class | .56% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the period, the annualized expense ratio would have been .85% and the expenses paid in the actual and hypothetical examples above would have been $4.28 and $4.26, respectively.
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the fund and its pro-rata share of its investments of each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2007 | As of August 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 18.9% | ![]() | AAA 13.9% | ||||
![]() | AA 7.0% | ![]() | AA 4.7% | ||||
![]() | A 9.4% | ![]() | A 10.3% | ||||
![]() | BBB 19.9% | ![]() | BBB 22.2% | ||||
![]() | BB and Below 3.5% | ![]() | BB and Below 3.1% | ||||
![]() | Not Rated 1.0% | ![]() | Not Rated 1.2% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's ® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ® ratings. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 4.2 | 4.2 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 3.5 | 3.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007* | As of August 31, 2006** | ||||||
![]() | Corporate Bonds 29.4% | ![]() | Corporate Bonds 30.2% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 15.7% | ![]() | CMOs and Other Mortgage Related Securities 13.4% | ||||
![]() | Other Investments 0.8% | ![]() | Other Investments 0.5% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 9.6% | ** Foreign investments | 9.6% | ||||
* Futures and Swaps | 16.6% | ** Futures and Swaps | 19.3% |
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 1.6% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 0.1% | ||||
Media - 0.1% | ||||
Univision Communications, Inc. 3.875% 10/15/08 | $ 1,680,000 | $ 1,623,300 | ||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Gazstream SA 5.625% 7/22/13 (c) | 2,425,935 | 2,419,870 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 1,180,000 | 1,194,750 | ||
3,614,620 | ||||
FINANCIALS - 0.3% | ||||
Insurance - 0.2% | ||||
Pennsylvania Mutual Life Insurance Co. 6.65% 6/15/34 (c) | 3,000,000 | 3,264,363 | ||
Real Estate Management & Development - 0.1% | ||||
Realogy Corp. 6.5% 10/15/16 (c) | 1,770,000 | 1,852,217 | ||
TOTAL FINANCIALS | 5,116,580 | |||
INDUSTRIALS - 0.4% | ||||
Aerospace & Defense - 0.1% | ||||
Bombardier, Inc. 6.3% 5/1/14 (c) | 1,575,000 | 1,508,063 | ||
Airlines - 0.3% | ||||
American Airlines, Inc. pass thru trust certificates 7.324% 4/15/11 | 500,000 | 507,500 | ||
United Airlines pass thru trust certificates: | ||||
7.032% 4/1/12 | 1,040,410 | 1,056,016 | ||
7.186% 10/1/12 | 2,581,582 | 2,625,159 | ||
4,188,675 | ||||
TOTAL INDUSTRIALS | 5,696,738 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Diversified Telecommunication Services - 0.1% | ||||
British Telecommunications PLC 8.875% 12/15/30 | 775,000 | 1,089,522 | ||
UTILITIES - 0.5% | ||||
Electric Utilities - 0.3% | ||||
Commonwealth Edison Co. 5.4% 12/15/11 | 842,000 | 842,837 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,950,000 | 4,099,705 | ||
4,942,542 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - 0.1% | ||||
TXU Corp. 5.55% 11/15/14 | $ 1,645,000 | $ 1,501,227 | ||
Multi-Utilities - 0.1% | ||||
TECO Energy, Inc. 7% 5/1/12 | 1,500,000 | 1,575,000 | ||
TOTAL UTILITIES | 8,018,769 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $24,759,132) | 25,159,529 | |||
U.S. Government and Government Agency Obligations - 21.8% | ||||
U.S. Government Agency Obligations - 5.3% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 | 4,850,000 | 4,710,742 | ||
5% 2/16/12 | 18,000,000 | 18,133,578 | ||
Federal Home Loan Bank 5.375% 8/19/11 | 10,035,000 | 10,258,369 | ||
Freddie Mac: | ||||
5.25% 7/18/11 | 24,105,000 | 24,510,808 | ||
5.25% 11/5/12 | 1,405,000 | 1,400,845 | ||
5.75% 1/15/12 | 24,318,000 | 25,280,044 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 84,294,386 | |||
U.S. Treasury Inflation Protected Obligations - 6.1% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 29,824,480 | 28,696,724 | ||
2% 1/15/14 | 41,717,838 | 41,241,839 | ||
2% 7/15/14 | 27,833,520 | 27,516,005 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 97,454,568 | |||
U.S. Treasury Obligations - 10.4% | ||||
U.S. Treasury Notes: | ||||
4.75% 1/31/12 (d) | 31,859,000 | 32,186,150 | ||
4.75% 5/15/14 (b) | 132,695,000 | 134,415,915 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 166,602,065 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT (Cost $350,664,106) | 348,351,019 | |||
U.S. Government Agency - Mortgage Securities - 9.2% | ||||
Principal Amount | Value | |||
Fannie Mae - 6.0% | ||||
3.735% 10/1/33 (h) | $ 183,321 | $ 180,812 | ||
3.75% 9/1/33 (h) | 767,929 | 757,877 | ||
3.75% 1/1/34 (h) | 167,739 | 165,237 | ||
3.759% 10/1/33 (h) | 168,863 | 166,678 | ||
3.787% 6/1/34 (h) | 792,826 | 777,858 | ||
3.824% 4/1/33 (h) | 505,920 | 504,506 | ||
3.85% 10/1/33 (h) | 4,270,020 | 4,225,851 | ||
3.943% 5/1/33 (h) | 55,389 | 54,829 | ||
3.986% 2/1/35 (h) | 143,011 | 142,275 | ||
3.998% 10/1/18 (h) | 118,919 | 117,758 | ||
4% 8/1/18 | 3,041,384 | 2,881,168 | ||
4.014% 1/1/35 (h) | 78,971 | 79,391 | ||
4.05% 2/1/35 (h) | 132,581 | 132,146 | ||
4.065% 4/1/33 (h) | 52,662 | 52,492 | ||
4.07% 2/1/35 (h) | 85,017 | 85,245 | ||
4.076% 2/1/35 (h) | 241,684 | 240,283 | ||
4.079% 2/1/35 (h) | 80,829 | 80,471 | ||
4.102% 1/1/35 (h) | 267,721 | 266,914 | ||
4.116% 2/1/35 (h) | 321,087 | 320,394 | ||
4.126% 2/1/35 (h) | 236,309 | 237,449 | ||
4.137% 1/1/35 (h) | 480,762 | 479,151 | ||
4.175% 1/1/35 (h) | 363,950 | 357,908 | ||
4.25% 2/1/35 (h) | 182,190 | 179,379 | ||
4.258% 1/1/34 (h) | 477,087 | 473,047 | ||
4.279% 3/1/35 (h) | 159,100 | 158,868 | ||
4.281% 10/1/33 (h) | 73,026 | 72,534 | ||
4.283% 8/1/33 (h) | 313,596 | 312,092 | ||
4.292% 3/1/33 (h) | 194,995 | 195,099 | ||
4.307% 3/1/33 (h) | 84,756 | 83,396 | ||
4.317% 6/1/33 (h) | 95,782 | 95,791 | ||
4.345% 5/1/35 (h) | 190,424 | 189,434 | ||
4.347% 1/1/35 (h) | 196,353 | 193,721 | ||
4.355% 4/1/35 (h) | 94,287 | 93,651 | ||
4.364% 2/1/34 (h) | 359,609 | 357,098 | ||
4.402% 2/1/35 (h) | 268,608 | 264,976 | ||
4.416% 5/1/35 (h) | 488,277 | 487,464 | ||
4.419% 12/1/33 (h) | 7,495,291 | 7,397,807 | ||
4.421% 5/1/35 (h) | 118,301 | 117,558 | ||
4.429% 3/1/35 (h) | 248,836 | 245,569 | ||
4.448% 8/1/34 (h) | 501,568 | 498,434 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
4.481% 2/1/35 (h) | $ 141,917 | $ 141,509 | ||
4.485% 3/1/35 (h) | 539,878 | 533,596 | ||
4.5% 8/1/33 to 3/1/35 | 1,485,294 | 1,403,495 | ||
4.507% 2/1/35 (h) | 956,113 | 957,263 | ||
4.508% 3/1/35 (h) | 538,698 | 532,682 | ||
4.515% 2/1/35 (h) | 2,628,164 | 2,615,625 | ||
4.515% 10/1/35 (h) | 88,418 | 88,055 | ||
4.526% 1/1/35 (h) | 206,927 | 206,484 | ||
4.531% 2/1/35 (h) | 98,169 | 98,560 | ||
4.536% 7/1/35 (h) | 580,723 | 578,596 | ||
4.568% 7/1/35 (h) | 676,963 | 675,616 | ||
4.575% 2/1/35 (h) | 480,385 | 475,847 | ||
4.578% 2/1/35 (h) | 1,709,548 | 1,693,184 | ||
4.594% 11/1/34 (h) | 490,860 | 487,031 | ||
4.6% 7/1/34 (h) | 6,100,373 | 6,104,772 | ||
4.648% 3/1/35 (h) | 1,180,469 | 1,180,424 | ||
4.662% 11/1/34 (h) | 588,315 | 584,815 | ||
4.687% 3/1/35 (h) | 70,913 | 70,922 | ||
4.715% 10/1/34 (h) | 608,418 | 605,364 | ||
4.727% 7/1/34 (h) | 467,449 | 465,764 | ||
4.743% 12/1/34 (h) | 410,977 | 408,684 | ||
4.746% 5/1/33 (h) | 8,992 | 9,040 | ||
4.782% 12/1/34 (h) | 158,266 | 157,419 | ||
4.804% 6/1/35 (h) | 778,110 | 777,223 | ||
4.809% 8/1/34 (h) | 155,716 | 156,340 | ||
4.81% 2/1/33 (h) | 238,404 | 239,445 | ||
4.813% 11/1/34 (h) | 485,887 | 483,836 | ||
4.847% 7/1/36 (h) | 1,071,375 | 1,069,732 | ||
4.859% 10/1/34 (h) | 1,920,226 | 1,915,084 | ||
4.896% 10/1/35 (h) | 360,874 | 361,124 | ||
4.95% 8/1/34 (h) | 1,642,569 | 1,641,874 | ||
4.988% 2/1/35 (h) | 56,058 | 55,935 | ||
5.064% 7/1/34 (h) | 74,369 | 74,365 | ||
5.07% 5/1/35 (h) | 983,495 | 985,549 | ||
5.071% 9/1/34 (h) | 1,427,988 | 1,429,203 | ||
5.088% 9/1/34 (h) | 158,530 | 158,690 | ||
5.135% 1/1/36 (h) | 1,400,994 | 1,403,862 | ||
5.158% 5/1/35 (h) | 1,737,286 | 1,738,135 | ||
5.168% 5/1/35 (h) | 635,375 | 635,396 | ||
5.172% 8/1/33 (h) | 229,872 | 230,724 | ||
5.176% 3/1/35 (h) | 84,915 | 84,960 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
5.178% 6/1/35 (h) | $ 714,221 | $ 715,938 | ||
5.2% 5/1/35 (h) | 1,824,324 | 1,826,634 | ||
5.218% 4/1/36 (h) | 2,467,619 | 2,477,354 | ||
5.266% 11/1/36 (h) | 652,651 | 655,710 | ||
5.285% 7/1/35 (h) | 86,860 | 87,142 | ||
5.327% 12/1/34 (h) | 247,996 | 249,014 | ||
5.401% 2/1/36 (h) | 250,259 | 251,423 | ||
5.492% 2/1/36 (h) | 3,000,366 | 3,022,701 | ||
5.5% 9/1/10 to 9/1/24 | 4,599,291 | 4,607,937 | ||
5.537% 11/1/36 (h) | 1,331,403 | 1,340,505 | ||
5.616% 1/1/36 (h) | 879,627 | 888,002 | ||
5.837% 3/1/36 (h) | 2,006,374 | 2,029,983 | ||
5.855% 1/1/36 (h) | 638,984 | 648,062 | ||
6% 5/1/16 to 4/1/17 | 962,922 | 979,268 | ||
6.5% 12/1/13 to 3/1/35 | 12,029,018 | 12,321,956 | ||
6.632% 9/1/36 (h) | 2,705,638 | 2,755,868 | ||
7% 2/1/09 to 6/1/33 | 2,390,503 | 2,475,458 | ||
7.5% 8/1/17 to 9/1/28 | 743,543 | 774,045 | ||
8.5% 6/1/11 to 9/1/25 | 125,544 | 134,329 | ||
9.5% 2/1/25 | 21,993 | 23,869 | ||
10.5% 8/1/20 | 20,710 | 23,769 | ||
11% 8/1/15 | 128,872 | 135,918 | ||
12.5% 12/1/13 to 4/1/15 | 13,255 | 15,372 | ||
TOTAL FANNIE MAE | 95,679,092 | |||
Freddie Mac - 0.7% | ||||
4.078% 1/1/35 (h) | 647,245 | 642,239 | ||
4.16% 1/1/34 (h) | 2,050,301 | 2,024,139 | ||
4.278% 3/1/35 (h) | 209,660 | 208,412 | ||
4.279% 5/1/35 (h) | 347,371 | 344,937 | ||
4.297% 12/1/34 (h) | 246,667 | 242,480 | ||
4.321% 2/1/35 (h) | 459,323 | 457,566 | ||
4.342% 3/1/35 (h) | 380,615 | 374,223 | ||
4.38% 2/1/35 (h) | 458,359 | 450,863 | ||
4.422% 6/1/35 (h) | 318,570 | 316,324 | ||
4.426% 2/1/34 (h) | 204,982 | 203,097 | ||
4.431% 3/1/35 (h) | 233,078 | 229,194 | ||
4.452% 3/1/35 (h) | 258,117 | 254,240 | ||
4.544% 2/1/35 (h) | 416,431 | 410,664 | ||
4.772% 3/1/33 (h) | 88,101 | 89,059 | ||
4.994% 4/1/35 (h) | 1,110,331 | 1,109,909 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Freddie Mac - continued | ||||
5.122% 4/1/35 (h) | $ 1,106,858 | $ 1,103,614 | ||
5.291% 6/1/35 (h) | 746,908 | 746,644 | ||
5.55% 1/1/36 (h) | 1,423,167 | 1,428,889 | ||
8.5% 9/1/24 to 8/1/27 | 91,509 | 99,169 | ||
10% 5/1/09 | 2,126 | 2,167 | ||
10.5% 5/1/21 | 20,077 | 20,873 | ||
11% 12/1/11 | 1,416 | 1,501 | ||
11.5% 10/1/15 | 6,421 | 7,275 | ||
11.75% 10/1/10 | 8,079 | 8,740 | ||
TOTAL FREDDIE MAC | 10,776,218 | |||
Government National Mortgage Association - 2.5% | ||||
4.25% 7/20/34 (h) | 610,411 | 604,962 | ||
6.5% 3/1/37 (d) | 38,000,000 | 38,987,924 | ||
7% 7/15/28 to 11/15/28 | 598,841 | 624,798 | ||
7.5% 2/15/28 to 10/15/28 | 11,060 | 11,600 | ||
8% 6/15/07 to 10/15/24 | 9,859 | 10,341 | ||
8.5% 4/15/17 to 10/15/21 | 107,958 | 117,310 | ||
11% 7/20/19 to 8/20/19 | 7,496 | 8,706 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 40,365,641 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $146,767,496) | 146,820,951 | |||
Asset-Backed Securities - 2.8% | ||||
ACE Securities Corp. Series 2004-HE1: | ||||
Class M1, 5.82% 2/25/34 (h) | 497,420 | 498,339 | ||
Class M2, 6.42% 2/25/34 (h) | 600,000 | 604,742 | ||
Advanta Business Card Master Trust Series 2007-D1 Class D, 6.72% 1/22/13 (c)(h) | 1,420,000 | 1,420,000 | ||
Aircraft Lease Securitization Ltd. Series 2005-1 Class C1, 9.07% 9/9/30 (c)(h) | 375,593 | 381,227 | ||
American Express Credit Account Master Trust | 1,430,000 | 1,435,167 | ||
AmeriCredit Automobile Receivables Trust Series 2006-1 Class E1, 6.62% 5/6/13 (c) | 1,335,000 | 1,327,284 | ||
Bank One Issuance Trust: | ||||
Series 2002-B1 Class B1, 5.7% 12/15/09 (h) | 1,290,000 | 1,290,465 | ||
Series 2002-C1 Class C1, 6.28% 12/15/09 (h) | 1,840,000 | 1,841,690 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Asset Backed Securities, Inc. | ||||
Class M1, 5.82% 2/25/35 (h) | $ 1,555,000 | $ 1,562,295 | ||
Class M2, 6.07% 2/25/35 (h) | 570,000 | 574,563 | ||
Capital Auto Receivables Asset Trust Series 2006-SN1A: | ||||
Class B, 5.5% 4/20/10 (c) | 245,000 | 246,158 | ||
Class C, 5.77% 5/20/10 (c) | 235,000 | 237,294 | ||
Class D, 6.15% 4/20/11 (c) | 400,000 | 405,869 | ||
Capital One Master Trust Series 2001-1 Class B, 5.83% 12/15/10 (h) | 2,130,000 | 2,136,261 | ||
Carrington Mortgage Loan Trust Series 2006-NC3 | 215,000 | 185,303 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 5.82% 5/25/34 (h) | 1,770,000 | 1,775,624 | ||
Series 2004-3 Class M1, 5.82% 6/25/34 (h) | 350,000 | 351,404 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (c) | 715,000 | 732,754 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 5.87% 3/25/34 (h) | 100,000 | 100,096 | ||
Class M4, 6.22% 3/25/34 (h) | 75,000 | 75,152 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (c) | 850,000 | 857,595 | ||
Series 2006-C Class D, 6.89% 5/15/13 (c) | 585,000 | 589,596 | ||
Fremont Home Loan Trust: | ||||
Series 2004-A Class M1, 5.87% 1/25/34 (h) | 1,100,000 | 1,100,550 | ||
Series 2005-A: | ||||
Class M2, 5.78% 1/25/35 (h) | 550,000 | 552,429 | ||
Class M3, 5.81% 1/25/35 (h) | 300,000 | 301,550 | ||
Class M4, 6% 1/25/35 (h) | 225,000 | 226,451 | ||
GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (c) | 1,030,000 | 1,022,965 | ||
GSAMP Trust Series 2004-FM2: | ||||
Class M1, 5.82% 1/25/34 (h) | 749,050 | 749,050 | ||
Class M2, 6.42% 1/25/34 (h) | 140,773 | 140,773 | ||
Class M3, 6.62% 1/25/34 (h) | 83,136 | 83,136 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 6.64% 8/25/33 (h) | 634,210 | 634,720 | ||
Series 2004-3 Class M2, 6.52% 8/25/34 (h) | 535,000 | 539,486 | ||
HSBC Home Equity Loan Trust Series 2005-2: | ||||
Class M1, 5.78% 1/20/35 (h) | 328,388 | 328,860 | ||
Class M2, 5.81% 1/20/35 (h) | 246,873 | 247,719 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-3 Class M1, 6.07% 7/25/33 (h) | 2,441,358 | 2,447,961 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Long Beach Mortgage Loan Trust: - continued | ||||
Series 2006-7 Class M11, 7.82% 8/25/36 (h) | $ 1,000,000 | $ 744,939 | ||
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 5.71% 10/15/10 (h) | 350,000 | 351,409 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.82% 7/25/34 (h) | 471,554 | 474,581 | ||
Class M2, 5.87% 7/25/34 (h) | 100,000 | 100,226 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 6.42% 12/27/32 (h) | 460,000 | 460,632 | ||
Series 2003-NC8 Class M1, 6.02% 9/25/33 (h) | 664,956 | 665,768 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 6.82% 1/25/32 (h) | 348,003 | 348,348 | ||
Series 2002-NC1 Class M1, 6.52% 2/25/32 (c)(h) | 706,794 | 707,287 | ||
Series 2002-NC3 Class M1, 6.4% 8/25/32 (h) | 375,000 | 375,262 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 5.77% 6/25/34 (h) | 350,000 | 351,616 | ||
Class M4, 6.295% 6/25/34 (h) | 585,000 | 588,251 | ||
Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12 | 1,045,000 | 1,031,817 | ||
Ownit Mortgage Loan Asset-Backed Certificates | 826,851 | 826,953 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.31% 6/15/33 (h) | 1,190,000 | 1,203,769 | ||
Structured Asset Securities Corp. Series 2006-BC1 | 700,000 | 431,900 | ||
Superior Wholesale Inventory Financing Trust VII | 2,320,000 | 2,320,000 | ||
Superior Wholesale Inventory Financing Trust XII | ||||
Class B, 5.8% 6/15/10 (h) | 1,425,000 | 1,427,148 | ||
Class C, 6.52% 6/15/10 (h) | 710,000 | 716,833 | ||
Wachovia Auto Loan Trust Series 2006-2A Class E, 7.05% 5/20/14 (c) | 955,000 | 965,972 | ||
WaMu Master Note Trust Series 2006-C2A Class C2, 5.82% 8/15/15 (c)(h) | 2,630,000 | 2,630,000 | ||
Washington Mutual Asset-Backed Certificates Series 2006-HE5 Class B1, 7.82% 10/25/36 (c)(h) | 825,000 | 722,620 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $44,536,643) | 44,449,859 | |||
Collateralized Mortgage Obligations - 3.6% | ||||
Principal Amount | Value | |||
Private Sponsor - 0.9% | ||||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 6.0303% 12/25/33 (h) | $ 168,563 | $ 170,089 | ||
Series 2004-B Class 1A1, 3.5013% 3/25/34 (h) | 357,268 | 358,686 | ||
Series 2004-C Class 1A1, 3.3242% 4/25/34 (h) | 887,458 | 906,624 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6A2, 5.6% 6/25/35 (h) | 171,317 | 171,602 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (h) | 75,856 | 75,875 | ||
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (h) | 224,571 | 224,918 | ||
Granite Master Issuer PLC floater Series 2006-1A | 1,200,000 | 1,200,000 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2005-B Class A2, 5.5988% 7/25/30 (h) | 608,175 | 609,086 | ||
Series 2003-E Class XA1, 1% 10/25/28 (h)(j) | 5,299,053 | 19,899 | ||
Opteum Mortgage Acceptance Corp. floater | 886,838 | 888,693 | ||
Residential Finance LP/Residential Finance Development Corp. floater: | ||||
Series 2003-B: | ||||
Class B4, 7.07% 7/10/35 (c)(h) | 1,680,638 | 1,705,848 | ||
Class B5, 7.67% 7/10/35 (c)(h) | 1,587,269 | 1,589,750 | ||
Class B6, 8.17% 7/10/35 (c)(h) | 746,950 | 764,130 | ||
Series 2003-CB1: | ||||
Class B3, 6.77% 6/10/35 (c)(h) | 783,319 | 795,069 | ||
Class B4, 6.97% 6/10/35 (c)(h) | 699,392 | 713,380 | ||
Class B5, 7.57% 6/10/35 (c)(h) | 475,587 | 485,098 | ||
Class B6, 8.07% 6/10/35 (c)(h) | 284,419 | 292,383 | ||
Series 2004-B: | ||||
Class B4, 6.42% 2/10/36 (c)(h) | 287,103 | 291,697 | ||
Class B5, 6.87% 2/10/36 (c)(h) | 287,103 | 290,692 | ||
Class B6, 7.32% 2/10/36 (c)(h) | 95,701 | 97,137 | ||
Series 2004-C: | ||||
Class B4, 6.27% 9/10/36 (c)(h) | 386,101 | 391,893 | ||
Class B5, 6.67% 9/10/36 (c)(h) | 482,627 | 487,453 | ||
Class B6, 7.07% 9/10/36 (c)(h) | 96,525 | 97,491 | ||
Residential Funding Securities Corp. Series 2003-RP2 Class A1, 4% 6/25/33 (c)(h) | 484,908 | 487,313 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Sequoia Mortgage Trust floater Series 2004-8 Class A2, 5.755% 9/20/34 (h) | $ 522,939 | $ 523,851 | ||
Structured Asset Securities Corp. floater | 650,000 | 552,003 | ||
TOTAL PRIVATE SPONSOR | 14,190,660 | |||
U.S. Government Agency - 2.7% | ||||
Fannie Mae planned amortization class Series 2003-39 Class PV, 5.5% 9/25/22 | 3,045,000 | 3,063,444 | ||
Fannie Mae Grantor Trust floater Series 2005-90 | 5,207,654 | 5,215,802 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 2003-84 Class GC, 4.5% 5/25/15 | 1,540,000 | 1,523,877 | ||
Series 2005-67 Class HD, 5.5% 12/25/30 | 2,835,000 | 2,861,918 | ||
Series 2006-4 Class PB, 6% 9/25/35 | 2,955,000 | 3,020,127 | ||
sequential payer: | ||||
Series 2002-56 Class MC, 5.5% 9/25/17 | 924,228 | 932,510 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 150,500 | 146,253 | ||
Series 2004-45 Class AV, 4.5% 10/25/22 | 1,355,000 | 1,340,885 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 658,902 | 646,373 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 1,374,472 | 1,347,300 | ||
Freddie Mac planned amortization class: | ||||
Series 2104 Class PG, 6% 12/15/28 | 1,442,730 | 1,480,649 | ||
Series 2356 Class GD, 6% 9/15/16 | 1,018,858 | 1,042,723 | ||
Series 3033 Class UD, 5.5% 10/15/30 | 1,075,000 | 1,086,192 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2363 Class PF, 6% 9/15/16 | 1,387,689 | 1,419,268 | ||
Series 2702 Class WB, 5% 4/15/17 | 2,480,000 | 2,486,131 | ||
Series 2952 Class EC, 5.5% 11/15/28 | 2,785,000 | 2,812,640 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 1,735,000 | 1,753,963 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 2,495,000 | 2,521,539 | ||
sequential payer: | ||||
Series 2777 Class AB, 4.5% 6/15/29 | 3,127,243 | 3,066,815 | ||
Series 2809 Class UA, 4% 12/15/14 | 787,344 | 773,937 | ||
Series 3117 Class PC, 5% 6/15/31 | 4,000,000 | 3,977,311 | ||
TOTAL U.S. GOVERNMENT AGENCY | 42,519,657 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $56,122,612) | 56,710,317 | |||
Commercial Mortgage Securities - 1.9% | ||||
Principal Amount | Value | |||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class H, 6.72% 11/15/15 (c)(h) | $ 265,000 | $ 264,999 | ||
Class J, 7.27% 11/15/15 (c)(h) | 275,000 | 274,892 | ||
Class K, 7.92% 11/15/15 (c)(h) | 245,000 | 244,754 | ||
Series 2005-ESHA: | ||||
Class E, 5.9% 7/14/20 (c)(h) | 725,000 | 725,771 | ||
Class F, 6.07% 7/14/20 (c)(h) | 435,000 | 435,462 | ||
Class G, 6.2% 7/14/20 (c)(h) | 215,000 | 215,228 | ||
Class H, 6.42% 7/14/20 (c)(h) | 290,000 | 290,307 | ||
Series 2005-MIB1: | ||||
Class C, 5.63% 3/15/22 (c)(h) | 335,000 | 335,245 | ||
Class D, 5.68% 3/15/22 (c)(h) | 340,000 | 340,253 | ||
Class F, 5.79% 3/15/22 (c)(h) | 330,000 | 330,255 | ||
Class G, 5.85% 3/15/22 (c)(h) | 215,000 | 215,166 | ||
Series 2006-ESH: | ||||
Class A, 6.18% 7/14/11 (c)(h) | 731,304 | 731,397 | ||
Class B, 6.28% 7/14/11 (c)(h) | 364,678 | 364,484 | ||
Class C, 6.43% 7/14/11 (c)(h) | 730,330 | 730,422 | ||
Class D, 7.061% 7/14/11 (c)(h) | 424,462 | 424,751 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 5.68% 4/25/34 (c)(h) | 1,036,656 | 1,038,600 | ||
Class B, 7.22% 4/25/34 (c)(h) | 109,122 | 109,906 | ||
Class M1, 5.88% 4/25/34 (c)(h) | 109,122 | 109,446 | ||
Class M2, 6.52% 4/25/34 (c)(h) | 54,561 | 55,038 | ||
Series 2004-2 Class A, 5.75% 8/25/34 (c)(h) | 1,034,552 | 1,038,108 | ||
Series 2004-3: | ||||
Class A1, 5.69% 1/25/35 (c)(h) | 1,161,909 | 1,164,995 | ||
Class A2, 5.74% 1/25/35 (c)(h) | 170,869 | 171,350 | ||
Class M1, 5.82% 1/25/35 (c)(h) | 205,043 | 205,780 | ||
Class M2, 6.32% 1/25/35 (c)(h) | 136,695 | 137,870 | ||
Series 2005-4A: | ||||
Class A2, 5.71% 1/25/36 (c)(h) | 1,735,379 | 1,741,345 | ||
Class B1, 6.72% 1/25/36 (c)(h) | 91,336 | 91,593 | ||
Class M1, 5.77% 1/25/36 (c)(h) | 548,015 | 550,583 | ||
Class M2, 5.79% 1/25/36 (c)(h) | 182,672 | 183,528 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater - continued | ||||
Series 2005-4A: | ||||
Class M3, 5.82% 1/25/36 (c)(h) | $ 274,007 | $ 275,420 | ||
Class M4, 5.93% 1/25/36 (c)(h) | 91,336 | 91,864 | ||
Class M5, 5.97% 1/25/36 (c)(h) | 91,336 | 91,864 | ||
Class M6, 6.02% 1/25/36 (c)(h) | 91,336 | 91,807 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T12 Class X2, 0.6532% | 6,003,816 | 99,995 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A3, 5.607% 10/15/48 | 3,000,000 | 3,061,992 | ||
COMM floater Series 2002-FL7 Class D, 5.89% 11/15/14 (c)(h) | 137,143 | 137,478 | ||
Commercial Mortgage pass thru certificates floater Series 2005-FL11: | ||||
Class B, 5.57% 11/15/17 (c)(h) | 569,670 | 569,813 | ||
Class E, 5.71% 11/15/17 (c)(h) | 255,770 | 255,907 | ||
Class F, 5.77% 11/15/17 (c)(h) | 232,518 | 232,636 | ||
DL J Commercial Mortgage Corp. sequential pay | 4,020,000 | 4,100,518 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential payer Series 2002-35 Class C, 5.8867% 10/16/23 (h) | 244,146 | 247,857 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay Series 2003-59 Class D, 3.654% 10/16/27 | 3,060,000 | 2,896,693 | ||
sequential payer Series 2003-47 Class C, 4.227% 10/16/27 | 2,856,041 | 2,792,047 | ||
GMAC Commercial Mortgage Securities, Inc. | 12,147,495 | 262,596 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA: | ||||
Class J, 7.37% 12/16/14 (c)(h) | 1,480,000 | 1,479,918 | ||
Class K1, 7.87% 12/16/14 (c)(h) | 770,000 | 769,807 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $30,153,946) | 29,979,740 | |||
Fixed-Income Funds - 61.2% | ||||
Shares | Value | |||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (i) | 1,211,460 | $ 120,806,755 | ||
Fidelity 2-5 Year Duration Securitized Bond Central Fund (i) | 1,569,334 | 157,419,893 | ||
Fidelity Corporate Bond 1-10 Year Central Fund (i) | 4,248,746 | 430,100,507 | ||
Fidelity Corporate Bond 1-5 Year Central Fund (i) | 300,000 | 30,234,000 | ||
Fidelity Specialized High Income Central Fund (i) | 150,068 | 15,294,931 | ||
Fidelity Ultra-Short Central Fund (i) | 2,249,749 | 223,467,558 | ||
TOTAL FIXED-INCOME FUNDS (Cost $974,385,462) | 977,323,644 | |||
Cash Equivalents - 10.7% | ||||
Maturity | ||||
Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07: | ||||
(Collateralized by U.S. Government Obligations) # | $ 32,674,842 | 32,670,000 | ||
(Collateralized by U.S. Government Obligations) # (a) | 138,137,487 | 138,117,000 | ||
TOTAL CASH EQUIVALENTS (Cost $170,787,000) | 170,787,000 | |||
TOTAL INVESTMENT PORTFOLIO - 112.8% (Cost $1,798,176,397) | 1,799,582,059 | |||
NET OTHER ASSETS - (12.8)% | (203,959,825) | |||
NET ASSETS - 100% | $ 1,595,622,234 |
Swap Agreements | |||||
Expiration Date | Notional | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the proportional notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 8.45% 9/25/34 | Oct. 2034 | $ 400,000 | (22,690) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.85% 8/25/34 | Sept. 2034 | $ 409,000 | $ (11,984) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 8.85% 7/25/34 | August 2034 | 409,000 | (12,665) | ||
Recieve monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 409,000 | (15,002) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 | Dec. 2034 | 625,000 | (47,707) | ||
Receive monthly notional amount multiplied by .52% and pay Bank of America upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34 | Oct. 2034 | 1,900,000 | (32,247) | ||
Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35 | Feb. 2035 | 600,000 | (15,582) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | August 2034 | $ 409,000 | $ (2,572) | ||
Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35 | June 2035 | 600,000 | (14,887) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | 409,000 | (5,582) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | Oct. 2034 | 409,000 | (4,599) | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 370,000 | (14,876) | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 409,000 | (15,892) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 2% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.14% 8/25/36 | Sept. 2036 | $ 1,000,000 | $ (213,363) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 41,954 | (319) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 | March 2034 | 115,173 | (2,750) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 | Feb. 2034 | 64,084 | (823) | ||
Receive monthly notional amount multiplied by 2.7% and pay Merrill Lynch, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.4606% 5/25/35 | June 2035 | 2,410,000 | (258,328) | ||
Receive monthly notional amount multiplied by 3% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 | August 2035 | 700,000 | (30,076) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 409,000 | (2,506) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 5.55% and pay Deutsche Bank upon default event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-FRE1 Class M10, 7.74% 7/25/36 | August 2036 | $ 700,000 | $ (32,380) | ||
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon default event of Ramp Ser 2006-RS5 Trust, par value of the notional amount of Ramp Ser 2006-RS5 Trust 7.17% 9/25/36 | Oct. 2036 | 700,000 | (77,560) | ||
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4 Index, par value of the proportional notional amount (f) | June 2010 | 10,000,000 | 62,891 | ||
Receive quarterly a fixed rate of .45% multiplied by the notional amount and pay to Goldman Sachs, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (g) | Dec. 2010 | 15,000,000 | 127,937 | ||
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3 Index, par value of the proportional notional amount (e) | March 2010 | 6,373,600 | 71,596 | ||
TOTAL CREDIT DEFAULT SWAPS | 44,871,811 | (571,966) | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | 6,425,000 | (112,910) | ||
Receive semi-annually a fixed rate equal to 4.795% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Dec. 2011 | 15,000,000 | (134,588) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.022% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Nov. 2011 | $ 20,000,000 | $ 291,446 | ||
Receive semi-annually a fixed rate equal to 5.095% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | Feb. 2012 | 30,000,000 | 153,465 | ||
Receive semi-annually a fixed rate equal to 5.145% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 60,000,000 | 433,410 | ||
Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Sept. 2011 | 15,000,000 | 317,428 | ||
Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | 15,000,000 | 400,938 | ||
TOTAL INTEREST RATE SWAPS | 161,425,000 | 1,349,189 | |||
$ 206,296,811 | $ 777,223 |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security 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 $50,535,708 or 3.2% of net assets. |
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(f) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(g) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at advisor.fidelity.com. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(j) 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 held as of the end of the period. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$32,670,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 1,356,859 |
BNP Paribas Securities Corp. | 1,334,244 |
Banc of America Securities LLC | 3,022,637 |
Bank of America, NA | 4,522,863 |
Barclays Capital, Inc. | 7,960,239 |
Bear Stearns & Co., Inc. | 904,572 |
Citigroup Global Markets, Inc. | 904,572 |
Countrywide Securities Corp. | 4,522,862 |
Goldman, Sachs & Co. | 452,286 |
Societe Generale, New York Branch | 1,356,859 |
UBS Securities LLC | 6,332,007 |
$ 32,670,000 | |
$138,117,000 due 3/01/07 at 5.34% | |
Banc of America Securities LLC | $ 138,117,000 |
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 1-3 Year Duration Securitized Bond Central Fund | $ 2,266,302 |
Fidelity 2-5 Year Duration Securitized Bond Central Fund | 2,519,374 |
Fidelity Corporate Bond 1-10 Year Central Fund | 7,312,713 |
Fidelity Corporate Bond 1-5 Year Central Fund | 497,609 |
Fidelity Specialized High Income Central Fund | 513,272 |
Fidelity Ultra-Short Central Fund | 6,424,881 |
Total | $ 19,534,151 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ - | $ 121,130,852* | $ - | $ 120,806,755 | 5.0% |
Fidelity 2-5 Year Duration Securitized Bond Central Fund | - | 156,875,539* | - | 157,419,893 | 4.7% |
Fidelity Corporate Bond 1-10 Year Central Fund | - | 424,874,550* | - | 430,100,507 | 6.2% |
Fidelity Corporate Bond 1-5 Year Central Fund | - | 30,000,000* | - | 30,234,000 | 2.3% |
Fidelity Specialized High Income Central Fund | 14,777,196 | - | - | 15,294,931 | 7.1% |
Fidelity Ultra-Short Central Fund | 218,844,967 | 54,998,510 | 50,005,018 | 223,467,558 | 1.6% |
Total | $ 233,622,163 | $ 787,879,451 | $ 50,005,018 | $ 977,323,644 |
* Includes the value of shares received through in-kind contributions. See Note 6 of the Notes to Financial Statements. |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $8,297,852 all of which will expire on August 31, 2014. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
February 28, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $134,415,915 and repurchase agreements of $170,787,000) - See accompanying schedule: Unaffiliated issuers (cost $823,790,935) | $ 822,258,415 | |
Fidelity Central Funds (cost $974,385,462) | 977,323,644 | |
Total Investments (cost $1,798,176,397) | $ 1,799,582,059 | |
Cash | 501 | |
Receivable for investments sold | 252,383 | |
Receivable for swap agreements | 20,422 | |
Receivable for fund shares sold | 4,586,215 | |
Interest receivable | 4,196,855 | |
Distributions receivable from Fidelity Central Funds | 4,109,661 | |
Swap agreements, at value | 777,223 | |
Prepaid expenses | 6,060 | |
Total assets | 1,813,531,379 | |
Liabilities | ||
Payable for investments purchased | $ 4,999,462 | |
Delayed delivery | 71,180,496 | |
Payable for fund shares redeemed | 2,314,103 | |
Distributions payable | 293,238 | |
Accrued management fee | 414,204 | |
Distribution fees payable | 218,995 | |
Other affiliated payables | 299,297 | |
Other payables and accrued expenses | 72,350 | |
Collateral on securities loaned, at value | 138,117,000 | |
Total liabilities | 217,909,145 | |
Net Assets | $ 1,595,622,234 | |
Net Assets consist of: | ||
Paid in capital | $ 1,603,192,769 | |
Undistributed net investment income | 2,436,483 | |
Accumulated undistributed net realized gain (loss) on investments | (12,278,858) | |
Net unrealized appreciation (depreciation) on investments | 2,271,840 | |
Net Assets | $ 1,595,622,234 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
February 28, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 10.88 | |
Maximum offering price per share (100/96.25 of $10.88) | $ 11.30 | |
Class T: | $ 10.89 | |
Maximum offering price per share (100/97.25 of $10.89) | $ 11.20 | |
Class B: | $ 10.87 | |
Class C: | $ 10.86 | |
Institutional Class: | $ 10.90 |
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
Financial Statements - continued
Statement of Operations
Six months ended February 28, 2007 (Unaudited) | ||
Investment Income | ||
Interest | $ 18,249,556 | |
Income from Fidelity Central Funds | 19,534,151 | |
Total income | 37,783,707 | |
Expenses | ||
Management fee | $ 2,435,660 | |
Transfer agent fees | 1,529,194 | |
Distribution fees | 1,365,014 | |
Accounting and security lending fees | 271,188 | |
Custodian fees and expenses | 27,156 | |
Independent trustees' compensation | 2,581 | |
Registration fees | 56,136 | |
Audit | 46,444 | |
Legal | 4,817 | |
Miscellaneous | 5,908 | |
Total expenses before reductions | 5,744,098 | |
Expense reductions | (30,920) | 5,713,178 |
Net investment income | 32,070,529 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,048,453) | |
Fidelity Central Funds | 231,138 | |
Swap agreements | (1,933,805) | |
Capital gain distributions from Fidelity Central Funds | 31,496 | |
Total net realized gain (loss) | (4,719,624) | |
Change in net unrealized appreciation (depreciation) on: Investment securities: | ||
Unaffiliated issuers | 11,349,659 | |
Fidelity Central Funds | 5,654,888 | |
Swap agreements | 2,074,823 | |
Total change in net unrealized appreciation (depreciation) | 19,079,370 | |
Net gain (loss) | 14,359,746 | |
Net increase (decrease) in net assets resulting from operations | $ 46,430,275 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended | Ten months ended | Year ended | |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 32,070,529 | $ 52,322,457 | $ 48,634,982 |
Net realized gain (loss) | (4,719,624) | (10,023,592) | 7,895,285 |
Change in net unrealized appreciation (depreciation) | 19,079,370 | 4,063,334 | (50,939,491) |
Net increase (decrease) in net assets resulting from operations | 46,430,275 | 46,362,199 | 5,590,776 |
Distributions to shareholders from net investment income | (31,973,801) | (51,890,296) | (46,348,627) |
Distributions to shareholders from net realized gain | - | (6,729,699) | (17,912,078) |
Total distributions | (31,973,801) | (58,619,995) | (64,260,705) |
Share transactions - net increase (decrease) | 95,639,165 | 43,358,947 | 165,772,627 |
Total increase (decrease) in net assets | 110,095,639 | 31,101,151 | 107,102,698 |
Net Assets | |||
Beginning of period | 1,485,526,595 | 1,454,425,444 | 1,347,322,746 |
End of period (including undistributed net investment income of $2,436,483, $2,339,755 and $5,771,423, respectively) | $ 1,595,622,234 | $ 1,485,526,595 | $ 1,454,425,444 |
* The fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 | $ 11.06 | $ 11.01 | $ 10.30 |
Income from Investment Operations | |||||||
Net investment income E | .228 | .385 | .397 | .385 | .420 | .521 K | .619 |
Net realized and unrealized gain (loss) | .099 | (.043) | (.338) | .120 | .254 | .055 K | .713 |
Total from investment operations | .327 | .342 | .059 | .505 | .674 | .576 | 1.332 |
Distributions from net investment income | (.227) | (.382) | (.379) | (.385) | (.414) | (.526) | (.622) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.227) | (.432) | (.529) | (.485) | (.414) | (.526) | (.622) |
Net asset value, end of period | $ 10.88 | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 | $ 11.06 | $ 11.01 |
Total Return B, C, D | 3.06% | 3.23% | .54% | 4.58% | 6.16% | 5.44% | 13.28% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | .75% A | .75% A | .81% | .84% | .81% | .83% | .83% |
Expenses net of fee waivers, if any | .75% A | .75% A | .81% | .84% | .81% | .83% | .83% |
Expenses net of all reductions | .74% A | .74% A | .80% | .84% | .81% | .82% | .82% |
Net investment income | 4.24% A | 4.30% A | 3.60% | 3.42% | 3.72% | 4.82% K | 5.82% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 242,941 | $ 229,490 | $ 219,441 | $ 186,748 | $ 166,701 | $ 133,236 | $ 92,027 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 | $ 11.06 | $ 11.02 | $ 10.31 |
Income from Investment Operations | |||||||
Net investment income E | .223 | .377 | .386 | .374 | .408 | .508 K | .603 |
Net realized and unrealized gain (loss) | .100 | (.043) | (.338) | .130 | .253 | .044 K | .713 |
Total from investment operations | .323 | .334 | .048 | .504 | .661 | .552 | 1.316 |
Distributions from net investment income | (.223) | (.374) | (.368) | (.374) | (.401) | (.512) | (.606) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.223) | (.424) | (.518) | (.474) | (.401) | (.512) | (.606) |
Net asset value, end of period | $ 10.89 | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 | $ 11.06 | $ 11.02 |
Total Return B, C, D | 3.02% | 3.15% | .43% | 4.56% | 6.03% | 5.21% | 13.11% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | .83% A | .84% A | .91% | .95% | .93% | .95% | .97% |
Expenses net of fee waivers, if any | .83% A | .84% A | .91% | .95% | .93% | .95% | .97% |
Expenses net of all reductions | .83% A | .83% A | .91% | .95% | .93% | .95% | .97% |
Net investment income | 4.16% A | 4.21% A | 3.49% | 3.32% | 3.60% | 4.70% K | 5.67% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 539,156 | $ 563,677 | $ 622,245 | $ 680,947 | $ 711,263 | $ 684,618 | $ 546,276 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 | $ 11.05 | $ 11.01 | $ 10.30 |
Income from Investment Operations | |||||||
Net investment income E | .186 | .316 | .310 | .295 | .331 | .436 K | .534 |
Net realized and unrealized gain (loss) | .099 | (.043) | (.338) | .120 | .253 | .044 K | .713 |
Total from investment operations | .285 | .273 | (.028) | .415 | .584 | .480 | 1.247 |
Distributions from net investment income | (.185) | (.313) | (.292) | (.295) | (.324) | (.440) | (.537) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.185) | (.363) | (.442) | (.395) | (.324) | (.440) | (.537) |
Net asset value, end of period | $ 10.87 | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 | $ 11.05 | $ 11.01 |
Total Return B, C, D | 2.66% | 2.57% | (.25)% | 3.75% | 5.32% | 4.52% | 12.40% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.53% A | 1.52% A | 1.61% | 1.66% | 1.60% | 1.61% | 1.62% |
Expenses net of fee waivers, if any | 1.53% A | 1.52% A | 1.60% | 1.65% | 1.60% | 1.61% | 1.62% |
Expenses net of all reductions | 1.53% A | 1.52% A | 1.60% | 1.65% | 1.60% | 1.61% | 1.62% |
Net investment income | 3.45% A | 3.52% A | 2.80% | 2.62% | 2.92% | 4.03% K | 5.02% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 33,912 | $ 46,344 | $ 73,017 | $ 118,751 | $ 154,697 | $ 178,062 | $ 113,424 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 | $ 11.04 | $ 11.00 | $ 10.29 |
Income from Investment Operations | |||||||
Net investment income E | .181 | .308 | .301 | .289 | .322 | .428 K | .525 |
Net realized and unrealized gain (loss) | .100 | (.042) | (.337) | .120 | .254 | .044 K | .716 |
Total from investment operations | .281 | .266 | (.036) | .409 | .576 | .472 | 1.241 |
Distributions from net investment income | (.181) | (.306) | (.284) | (.289) | (.316) | (.432) | (.531) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.181) | (.356) | (.434) | (.389) | (.316) | (.432) | (.531) |
Net asset value, end of period | $ 10.86 | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 | $ 11.04 | $ 11.00 |
Total Return B, C, D | 2.63% | 2.51% | (.33)% | 3.70% | 5.26% | 4.45% | 12.34% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.61% A | 1.60% A | 1.67% | 1.70% | 1.67% | 1.68% | 1.69% |
Expenses net of fee waivers, if any | 1.61% A | 1.60% A | 1.67% | 1.70% | 1.67% | 1.68% | 1.69% |
Expenses net of all reductions | 1.60% A | 1.60% A | 1.67% | 1.70% | 1.67% | 1.68% | 1.69% |
Net investment income | 3.39% A | 3.45% A | 2.73% | 2.57% | 2.86% | 3.96% K | 4.96% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 62,115 | $ 63,946 | $ 74,522 | $ 91,149 | $ 113,849 | $ 98,158 | $ 63,538 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Year ended | ||||||
(Unaudited) | 2006 G | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 | $ 11.08 | $ 11.03 | $ 10.32 |
Income from Investment Operations | |||||||
Net investment income D | .237 | .401 | .417 | .400 | .437 | .539 J | .638 |
Net realized and unrealized gain (loss) | .100 | (.043) | (.339) | .122 | .254 | .053 J | .711 |
Total from investment operations | .337 | .358 | .078 | .522 | .691 | .592 | 1.349 |
Distributions from net investment income | (.237) | (.398) | (.398) | (.402) | (.431) | (.542) | (.639) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.237) | (.448) | (.548) | (.502) | (.431) | (.542) | (.639) |
Net asset value, end of period | $ 10.90 | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 | $ 11.08 | $ 11.03 |
Total Return B, C | 3.15% | 3.37% | .71% | 4.72% | 6.30% | 5.59% | 13.45% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .56% A | .57% A | .63% | .70% | .66% | .67% | .66% |
Expenses net of fee waivers, if any | .56% A | .57% A | .63% | .70% | .66% | .67% | .66% |
Expenses net of all reductions | .56% A | .57% A | .63% | .70% | .66% | .67% | .66% |
Net investment income | 4.42% A | 4.48% A | 3.77% | 3.57% | 3.87% | 4.97% J | 5.98% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 717,498 | $ 582,070 | $ 465,201 | $ 269,727 | $ 155,302 | $ 114,546 | $ 91,168 |
Portfolio turnover rate F | 97% A, I | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Portfolio turnover rate excludes securities received or delivered in-kind. J Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. K For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007 (Unaudited)
1. Organization.
Fidelity Advisor Intermediate Bond 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 B, Class C and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or for the Fixed-Income Central Funds, at advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity 2-5 Year Duration Securitized Bond Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond 1-5 Year Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond 1-10 Year Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company, Inc (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
Fidelity Ultra-Short Central Fund | FIMM | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
Semiannual Report
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 9,434,653 | |
Unrealized depreciation | (7,854,249) | |
Net unrealized appreciation (depreciation) | $ 1,580,404 | |
Cost for federal income tax purposes | $ 1,798,001,655 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
Semiannual Report
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Operating Policies - continued
Swap Agreements - continued
recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities
Semiannual Report
4. Operating Policies - continued
Mortgage Dollar Rolls - continued
purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $197,524,141 and $98,533,945, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | -% | .15% | $ 176,261 | $ 6,338 |
Class T | -% | .25% | 689,982 | 6,787 |
Class B | .65% | .25% | 181,326 | 131,387 |
Class C | .75% | .25% | 317,445 | 26,413 |
$ 1,365,014 | $ 170,925 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC receives a front-end sales charge of up to 3.75% for selling Class A shares, and 2.75% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
On January 18, 2007, the Board of Trustees approved a change in Class A's front-end sales charge. Effective April 1, 2007, FDC will receive a front-end sales charge of up to 2.75% for selling Class A shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 21,248 |
Class T | 6,953 |
Class B* | 19,436 |
Class C* | 1,937 |
$ 49,574 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales
are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. 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, the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 262,647 | .23 |
Class T | 553,349 | .20 |
Class B | 50,252 | .25 |
Class C | 70,038 | .22 |
Institutional Class | 592,908 | .19 |
$ 1,529,194 |
* Annualized
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Exchange-In-Kind. During the period, the Fund exchanged securities for shares of four newly created Fidelity Fixed-Income Central Funds, all of which are affiliated investment companies managed by FIMM, an affiliate of FMR. The Fund delivered securities to each Fixed-Income Central Fund in exchange for shares of each respective Fixed-Income Central Fund, as presented in the accompanying table. Each exchange is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its shareholders.
Fidelity Fixed-Income | Value of Securities | Unrealized | Shares of Fixed-Income |
1-3 Year Duration Securitized Bond Central Fund | $ 72,681,098 | $ (1,084,210) | 726,811 |
2-5 Year Duration Securitized Bond Central Fund | 135,346,599 | (892,353) | 1,353,466 |
Corporate Bond 1-5 Year Central Fund | 30,000,000 | - | 300,000 |
Corporate Bond 1-10 Year Central Fund | 424,874,550 | (879,534) | 4,248,746 |
Total | $ 662,902,247 | $ (2,856,097) | 6,629,023 |
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,896 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Security Lending - continued
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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $68,128.
9. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $5,361. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 8,975 | |
Class T | 10,626 | |
Class C | 2,130 | |
Institutional Class | 2,750 | |
$ 24,481 |
10. 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.
Semiannual Report
10. Other - continued
During the period, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and is in the process of determining appropriate remediation to affected shareholder accounts.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Ten months ended | Year ended | |
From net investment income | |||
Class A | $ 4,933,711 | $ 8,237,954 | $ 6,750,916 |
Class T | 11,355,311 | 20,024,907 | 21,938,255 |
Class B | 689,463 | 1,706,342 | 2,468,615 |
Class C | 1,066,742 | 1,937,516 | 2,155,983 |
Institutional Class | 13,928,574 | 19,983,577 | 13,034,858 |
Total | $ 31,973,801 | $ 51,890,296 | $ 46,348,627 |
From net realized gain | |||
Class A | $ - | $ 1,020,134 | $ 2,485,599 |
Class T | - | 2,809,300 | 8,985,225 |
Class B | - | 314,308 | 1,506,398 |
Class C | - | 331,629 | 1,194,745 |
Institutional Class | - | 2,254,328 | 3,740,111 |
Total | $ - | $ 6,729,699 | $ 17,912,078 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended | Ten months ended | Year ended | |
Class A | |||
Shares sold | 4,657,314 | 8,278,094 | 8,880,810 |
Reinvestment of distributions | 385,470 | 742,446 | 712,081 |
Shares redeemed | (4,004,732) | (7,918,238) | (5,873,872) |
Net increase (decrease) | 1,038,052 | 1,102,302 | 3,719,019 |
Class T | |||
Shares sold | 5,960,127 | 13,931,574 | 17,421,833 |
Reinvestment of distributions | 987,758 | 2,015,582 | 2,664,683 |
Shares redeemed | (9,687,801) | (20,897,941) | (22,891,513) |
Net increase (decrease) | (2,739,916) | (4,950,785) | (2,804,997) |
Class B | |||
Shares sold | 238,749 | 671,993 | 796,684 |
Reinvestment of distributions | 54,226 | 158,557 | 293,999 |
Shares redeemed | (1,476,795) | (3,250,226) | (4,848,523) |
Net increase (decrease) | (1,183,820) | (2,419,676) | (3,757,840) |
Class C | |||
Shares sold | 661,846 | 883,428 | 1,502,035 |
Reinvestment of distributions | 82,603 | 176,528 | 254,887 |
Shares redeemed | (968,114) | (1,984,475) | (2,940,524) |
Net increase (decrease) | (223,665) | (924,519) | (1,183,602) |
Institutional Class | |||
Shares sold | 12,821,374 | 18,293,682 | 21,107,727 |
Reinvestment of distributions | 1,252,833 | 2,006,280 | 1,430,815 |
Shares redeemed | (2,158,898) | (9,124,283) | (3,567,194) |
Net increase (decrease) | 11,915,309 | 11,175,679 | 18,971,348 |
Semiannual Report
12. Share Transactions - continued
Dollars | |||
Six months ended | Ten months ended | Year ended | |
Class A | |||
Shares sold | $ 50,406,988 | $ 88,900,621 | $ 98,032,653 |
Reinvestment of distributions | 4,178,203 | 7,978,925 | 7,878,261 |
Shares redeemed | (43,326,378) | (85,054,294) | (64,959,678) |
Net increase (decrease) | $ 11,258,813 | $ 11,825,252 | $ 40,951,236 |
Class T | |||
Shares sold | $ 64,528,901 | $ 149,419,842 | $ 192,781,788 |
Reinvestment of distributions | 10,711,429 | 21,688,566 | 29,505,458 |
Shares redeemed | (104,940,694) | (224,614,505) | (253,165,506) |
Net increase (decrease) | $ (29,700,364) | $ (53,506,097) | $ (30,878,260) |
Class B | |||
Shares sold | $ 2,578,014 | $ 7,195,245 | $ 8,809,947 |
Reinvestment of distributions | 587,302 | 1,704,584 | 3,254,211 |
Shares redeemed | (15,959,454) | (34,885,370) | (53,542,026) |
Net increase (decrease) | $ (12,794,138) | $ (25,985,541) | $ (41,477,868) |
Class C | |||
Shares sold | $ 7,150,381 | $ 9,467,312 | $ 16,597,884 |
Reinvestment of distributions | 893,824 | 1,895,452 | 2,818,224 |
Shares redeemed | (10,457,286) | (21,287,935) | (32,438,326) |
Net increase (decrease) | $ (2,413,081) | $ (9,925,171) | $ (13,022,218) |
Institutional Class | |||
Shares sold | $ 139,078,384 | $ 197,223,981 | $ 233,901,844 |
Reinvestment of distributions | 13,607,193 | 21,595,701 | 15,843,665 |
Shares redeemed | (23,397,642) | (97,869,178) | (39,545,772) |
Net increase (decrease) | $ 129,287,935 | $ 120,950,504 | $ 210,199,737 |
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Money
Management, Inc.
Fidelity Investments Japan Limited
Fidelity International
Investment Advisors
Fidelity International Investment
Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
LTB-USAN-0407
1.784888.104
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Intermediate Bond
Fund - Institutional Class
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Notes to Shareholders | An explanation of the changes to the fund. | |
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Notes to Shareholders:
As discussed in prior shareholder reports, the fund changed its investment approach in the way it invests in the investment-grade debt market, seeking exposure to various types of securities by investing in central funds as well as investing directly in individual investment-grade securities. Central funds are Fidelity mutual funds used by this fund and other Fidelity funds as an investment vehicle to gain pooled exposure to a particular core market sector, such as corporate bonds or mortgage-backed securities. Instead of multiple funds each investing in investment-grade debt securities individually, they can now take advantage of consolidating investments in a single, larger pool of investment-grade debt by investing directly in central funds. Shares of the central funds are offered only to other Fidelity mutual funds and accounts; investors cannot directly invest in them.
It's important to point out that investing in central funds does not impact the fund's investment objective or risk profile, only the mechanics of how we manage its investment portfolio. The portfolio managers continue to be responsible for choosing appropriate investments for their funds, whether they elect to purchase shares of a central fund or individual securities. Fidelity does not charge any additional management fees for central funds.
Investing in central funds does change the way this report presents the fund's holdings. The Investments section continues to list direct investments of the fund, including each central fund. However, many of the individual investment-grade debt securities previously held by the fund were transferred to the central funds, so they are no longer directly held and thus not listed. Information on the underlying holdings of the fixed-income central funds is available at advisor.fidelity.com, and the financial statements are available upon request.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,030.60 | $ 3.78** |
HypotheticalA | $ 1,000.00 | $ 1,021.08 | $ 3.76** |
Class T | |||
Actual | $ 1,000.00 | $ 1,030.20 | $ 4.18 |
HypotheticalA | $ 1,000.00 | $ 1,020.68 | $ 4.16 |
Class B | |||
Actual | $ 1,000.00 | $ 1,026.60 | $ 7.69 |
HypotheticalA | $ 1,000.00 | $ 1,017.21 | $ 7.65 |
Class C | |||
Actual | $ 1,000.00 | $ 1,026.30 | $ 8.09 |
HypotheticalA | $ 1,000.00 | $ 1,016.81 | $ 8.05 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,031.50 | $ 2.82 |
HypotheticalA | $ 1,000.00 | $ 1,022.02 | $ 2.81 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .75%** |
Class T | .83% |
Class B | 1.53% |
Class C | 1.61% |
Institutional Class | .56% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the period, the annualized expense ratio would have been .85% and the expenses paid in the actual and hypothetical examples above would have been $4.28 and $4.26, respectively.
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the fund and its pro-rata share of its investments of each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2007 | As of August 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 18.9% | ![]() | AAA 13.9% | ||||
![]() | AA 7.0% | ![]() | AA 4.7% | ||||
![]() | A 9.4% | ![]() | A 10.3% | ||||
![]() | BBB 19.9% | ![]() | BBB 22.2% | ||||
![]() | BB and Below 3.5% | ![]() | BB and Below 3.1% | ||||
![]() | Not Rated 1.0% | ![]() | Not Rated 1.2% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's ® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P ® ratings. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 4.2 | 4.2 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 3.5 | 3.4 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007* | As of August 31, 2006** | ||||||
![]() | Corporate Bonds 29.4% | ![]() | Corporate Bonds 30.2% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 15.7% | ![]() | CMOs and Other Mortgage Related Securities 13.4% | ||||
![]() | Other Investments 0.8% | ![]() | Other Investments 0.5% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 9.6% | ** Foreign investments | 9.6% | ||||
* Futures and Swaps | 16.6% | ** Futures and Swaps | 19.3% |
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007 (Unaudited)
Showing Percentage of Net Assets
Nonconvertible Bonds - 1.6% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 0.1% | ||||
Media - 0.1% | ||||
Univision Communications, Inc. 3.875% 10/15/08 | $ 1,680,000 | $ 1,623,300 | ||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Gazstream SA 5.625% 7/22/13 (c) | 2,425,935 | 2,419,870 | ||
Transcontinental Gas Pipe Line Corp. 6.4% 4/15/16 | 1,180,000 | 1,194,750 | ||
3,614,620 | ||||
FINANCIALS - 0.3% | ||||
Insurance - 0.2% | ||||
Pennsylvania Mutual Life Insurance Co. 6.65% 6/15/34 (c) | 3,000,000 | 3,264,363 | ||
Real Estate Management & Development - 0.1% | ||||
Realogy Corp. 6.5% 10/15/16 (c) | 1,770,000 | 1,852,217 | ||
TOTAL FINANCIALS | 5,116,580 | |||
INDUSTRIALS - 0.4% | ||||
Aerospace & Defense - 0.1% | ||||
Bombardier, Inc. 6.3% 5/1/14 (c) | 1,575,000 | 1,508,063 | ||
Airlines - 0.3% | ||||
American Airlines, Inc. pass thru trust certificates 7.324% 4/15/11 | 500,000 | 507,500 | ||
United Airlines pass thru trust certificates: | ||||
7.032% 4/1/12 | 1,040,410 | 1,056,016 | ||
7.186% 10/1/12 | 2,581,582 | 2,625,159 | ||
4,188,675 | ||||
TOTAL INDUSTRIALS | 5,696,738 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Diversified Telecommunication Services - 0.1% | ||||
British Telecommunications PLC 8.875% 12/15/30 | 775,000 | 1,089,522 | ||
UTILITIES - 0.5% | ||||
Electric Utilities - 0.3% | ||||
Commonwealth Edison Co. 5.4% 12/15/11 | 842,000 | 842,837 | ||
Nevada Power Co. 6.5% 5/15/18 | 3,950,000 | 4,099,705 | ||
4,942,542 | ||||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Independent Power Producers & Energy Traders - 0.1% | ||||
TXU Corp. 5.55% 11/15/14 | $ 1,645,000 | $ 1,501,227 | ||
Multi-Utilities - 0.1% | ||||
TECO Energy, Inc. 7% 5/1/12 | 1,500,000 | 1,575,000 | ||
TOTAL UTILITIES | 8,018,769 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $24,759,132) | 25,159,529 | |||
U.S. Government and Government Agency Obligations - 21.8% | ||||
U.S. Government Agency Obligations - 5.3% | ||||
Fannie Mae: | ||||
4.375% 7/17/13 | 4,850,000 | 4,710,742 | ||
5% 2/16/12 | 18,000,000 | 18,133,578 | ||
Federal Home Loan Bank 5.375% 8/19/11 | 10,035,000 | 10,258,369 | ||
Freddie Mac: | ||||
5.25% 7/18/11 | 24,105,000 | 24,510,808 | ||
5.25% 11/5/12 | 1,405,000 | 1,400,845 | ||
5.75% 1/15/12 | 24,318,000 | 25,280,044 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 84,294,386 | |||
U.S. Treasury Inflation Protected Obligations - 6.1% | ||||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 29,824,480 | 28,696,724 | ||
2% 1/15/14 | 41,717,838 | 41,241,839 | ||
2% 7/15/14 | 27,833,520 | 27,516,005 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 97,454,568 | |||
U.S. Treasury Obligations - 10.4% | ||||
U.S. Treasury Notes: | ||||
4.75% 1/31/12 (d) | 31,859,000 | 32,186,150 | ||
4.75% 5/15/14 (b) | 132,695,000 | 134,415,915 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 166,602,065 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT (Cost $350,664,106) | 348,351,019 | |||
U.S. Government Agency - Mortgage Securities - 9.2% | ||||
Principal Amount | Value | |||
Fannie Mae - 6.0% | ||||
3.735% 10/1/33 (h) | $ 183,321 | $ 180,812 | ||
3.75% 9/1/33 (h) | 767,929 | 757,877 | ||
3.75% 1/1/34 (h) | 167,739 | 165,237 | ||
3.759% 10/1/33 (h) | 168,863 | 166,678 | ||
3.787% 6/1/34 (h) | 792,826 | 777,858 | ||
3.824% 4/1/33 (h) | 505,920 | 504,506 | ||
3.85% 10/1/33 (h) | 4,270,020 | 4,225,851 | ||
3.943% 5/1/33 (h) | 55,389 | 54,829 | ||
3.986% 2/1/35 (h) | 143,011 | 142,275 | ||
3.998% 10/1/18 (h) | 118,919 | 117,758 | ||
4% 8/1/18 | 3,041,384 | 2,881,168 | ||
4.014% 1/1/35 (h) | 78,971 | 79,391 | ||
4.05% 2/1/35 (h) | 132,581 | 132,146 | ||
4.065% 4/1/33 (h) | 52,662 | 52,492 | ||
4.07% 2/1/35 (h) | 85,017 | 85,245 | ||
4.076% 2/1/35 (h) | 241,684 | 240,283 | ||
4.079% 2/1/35 (h) | 80,829 | 80,471 | ||
4.102% 1/1/35 (h) | 267,721 | 266,914 | ||
4.116% 2/1/35 (h) | 321,087 | 320,394 | ||
4.126% 2/1/35 (h) | 236,309 | 237,449 | ||
4.137% 1/1/35 (h) | 480,762 | 479,151 | ||
4.175% 1/1/35 (h) | 363,950 | 357,908 | ||
4.25% 2/1/35 (h) | 182,190 | 179,379 | ||
4.258% 1/1/34 (h) | 477,087 | 473,047 | ||
4.279% 3/1/35 (h) | 159,100 | 158,868 | ||
4.281% 10/1/33 (h) | 73,026 | 72,534 | ||
4.283% 8/1/33 (h) | 313,596 | 312,092 | ||
4.292% 3/1/33 (h) | 194,995 | 195,099 | ||
4.307% 3/1/33 (h) | 84,756 | 83,396 | ||
4.317% 6/1/33 (h) | 95,782 | 95,791 | ||
4.345% 5/1/35 (h) | 190,424 | 189,434 | ||
4.347% 1/1/35 (h) | 196,353 | 193,721 | ||
4.355% 4/1/35 (h) | 94,287 | 93,651 | ||
4.364% 2/1/34 (h) | 359,609 | 357,098 | ||
4.402% 2/1/35 (h) | 268,608 | 264,976 | ||
4.416% 5/1/35 (h) | 488,277 | 487,464 | ||
4.419% 12/1/33 (h) | 7,495,291 | 7,397,807 | ||
4.421% 5/1/35 (h) | 118,301 | 117,558 | ||
4.429% 3/1/35 (h) | 248,836 | 245,569 | ||
4.448% 8/1/34 (h) | 501,568 | 498,434 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
4.481% 2/1/35 (h) | $ 141,917 | $ 141,509 | ||
4.485% 3/1/35 (h) | 539,878 | 533,596 | ||
4.5% 8/1/33 to 3/1/35 | 1,485,294 | 1,403,495 | ||
4.507% 2/1/35 (h) | 956,113 | 957,263 | ||
4.508% 3/1/35 (h) | 538,698 | 532,682 | ||
4.515% 2/1/35 (h) | 2,628,164 | 2,615,625 | ||
4.515% 10/1/35 (h) | 88,418 | 88,055 | ||
4.526% 1/1/35 (h) | 206,927 | 206,484 | ||
4.531% 2/1/35 (h) | 98,169 | 98,560 | ||
4.536% 7/1/35 (h) | 580,723 | 578,596 | ||
4.568% 7/1/35 (h) | 676,963 | 675,616 | ||
4.575% 2/1/35 (h) | 480,385 | 475,847 | ||
4.578% 2/1/35 (h) | 1,709,548 | 1,693,184 | ||
4.594% 11/1/34 (h) | 490,860 | 487,031 | ||
4.6% 7/1/34 (h) | 6,100,373 | 6,104,772 | ||
4.648% 3/1/35 (h) | 1,180,469 | 1,180,424 | ||
4.662% 11/1/34 (h) | 588,315 | 584,815 | ||
4.687% 3/1/35 (h) | 70,913 | 70,922 | ||
4.715% 10/1/34 (h) | 608,418 | 605,364 | ||
4.727% 7/1/34 (h) | 467,449 | 465,764 | ||
4.743% 12/1/34 (h) | 410,977 | 408,684 | ||
4.746% 5/1/33 (h) | 8,992 | 9,040 | ||
4.782% 12/1/34 (h) | 158,266 | 157,419 | ||
4.804% 6/1/35 (h) | 778,110 | 777,223 | ||
4.809% 8/1/34 (h) | 155,716 | 156,340 | ||
4.81% 2/1/33 (h) | 238,404 | 239,445 | ||
4.813% 11/1/34 (h) | 485,887 | 483,836 | ||
4.847% 7/1/36 (h) | 1,071,375 | 1,069,732 | ||
4.859% 10/1/34 (h) | 1,920,226 | 1,915,084 | ||
4.896% 10/1/35 (h) | 360,874 | 361,124 | ||
4.95% 8/1/34 (h) | 1,642,569 | 1,641,874 | ||
4.988% 2/1/35 (h) | 56,058 | 55,935 | ||
5.064% 7/1/34 (h) | 74,369 | 74,365 | ||
5.07% 5/1/35 (h) | 983,495 | 985,549 | ||
5.071% 9/1/34 (h) | 1,427,988 | 1,429,203 | ||
5.088% 9/1/34 (h) | 158,530 | 158,690 | ||
5.135% 1/1/36 (h) | 1,400,994 | 1,403,862 | ||
5.158% 5/1/35 (h) | 1,737,286 | 1,738,135 | ||
5.168% 5/1/35 (h) | 635,375 | 635,396 | ||
5.172% 8/1/33 (h) | 229,872 | 230,724 | ||
5.176% 3/1/35 (h) | 84,915 | 84,960 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
5.178% 6/1/35 (h) | $ 714,221 | $ 715,938 | ||
5.2% 5/1/35 (h) | 1,824,324 | 1,826,634 | ||
5.218% 4/1/36 (h) | 2,467,619 | 2,477,354 | ||
5.266% 11/1/36 (h) | 652,651 | 655,710 | ||
5.285% 7/1/35 (h) | 86,860 | 87,142 | ||
5.327% 12/1/34 (h) | 247,996 | 249,014 | ||
5.401% 2/1/36 (h) | 250,259 | 251,423 | ||
5.492% 2/1/36 (h) | 3,000,366 | 3,022,701 | ||
5.5% 9/1/10 to 9/1/24 | 4,599,291 | 4,607,937 | ||
5.537% 11/1/36 (h) | 1,331,403 | 1,340,505 | ||
5.616% 1/1/36 (h) | 879,627 | 888,002 | ||
5.837% 3/1/36 (h) | 2,006,374 | 2,029,983 | ||
5.855% 1/1/36 (h) | 638,984 | 648,062 | ||
6% 5/1/16 to 4/1/17 | 962,922 | 979,268 | ||
6.5% 12/1/13 to 3/1/35 | 12,029,018 | 12,321,956 | ||
6.632% 9/1/36 (h) | 2,705,638 | 2,755,868 | ||
7% 2/1/09 to 6/1/33 | 2,390,503 | 2,475,458 | ||
7.5% 8/1/17 to 9/1/28 | 743,543 | 774,045 | ||
8.5% 6/1/11 to 9/1/25 | 125,544 | 134,329 | ||
9.5% 2/1/25 | 21,993 | 23,869 | ||
10.5% 8/1/20 | 20,710 | 23,769 | ||
11% 8/1/15 | 128,872 | 135,918 | ||
12.5% 12/1/13 to 4/1/15 | 13,255 | 15,372 | ||
TOTAL FANNIE MAE | 95,679,092 | |||
Freddie Mac - 0.7% | ||||
4.078% 1/1/35 (h) | 647,245 | 642,239 | ||
4.16% 1/1/34 (h) | 2,050,301 | 2,024,139 | ||
4.278% 3/1/35 (h) | 209,660 | 208,412 | ||
4.279% 5/1/35 (h) | 347,371 | 344,937 | ||
4.297% 12/1/34 (h) | 246,667 | 242,480 | ||
4.321% 2/1/35 (h) | 459,323 | 457,566 | ||
4.342% 3/1/35 (h) | 380,615 | 374,223 | ||
4.38% 2/1/35 (h) | 458,359 | 450,863 | ||
4.422% 6/1/35 (h) | 318,570 | 316,324 | ||
4.426% 2/1/34 (h) | 204,982 | 203,097 | ||
4.431% 3/1/35 (h) | 233,078 | 229,194 | ||
4.452% 3/1/35 (h) | 258,117 | 254,240 | ||
4.544% 2/1/35 (h) | 416,431 | 410,664 | ||
4.772% 3/1/33 (h) | 88,101 | 89,059 | ||
4.994% 4/1/35 (h) | 1,110,331 | 1,109,909 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Freddie Mac - continued | ||||
5.122% 4/1/35 (h) | $ 1,106,858 | $ 1,103,614 | ||
5.291% 6/1/35 (h) | 746,908 | 746,644 | ||
5.55% 1/1/36 (h) | 1,423,167 | 1,428,889 | ||
8.5% 9/1/24 to 8/1/27 | 91,509 | 99,169 | ||
10% 5/1/09 | 2,126 | 2,167 | ||
10.5% 5/1/21 | 20,077 | 20,873 | ||
11% 12/1/11 | 1,416 | 1,501 | ||
11.5% 10/1/15 | 6,421 | 7,275 | ||
11.75% 10/1/10 | 8,079 | 8,740 | ||
TOTAL FREDDIE MAC | 10,776,218 | |||
Government National Mortgage Association - 2.5% | ||||
4.25% 7/20/34 (h) | 610,411 | 604,962 | ||
6.5% 3/1/37 (d) | 38,000,000 | 38,987,924 | ||
7% 7/15/28 to 11/15/28 | 598,841 | 624,798 | ||
7.5% 2/15/28 to 10/15/28 | 11,060 | 11,600 | ||
8% 6/15/07 to 10/15/24 | 9,859 | 10,341 | ||
8.5% 4/15/17 to 10/15/21 | 107,958 | 117,310 | ||
11% 7/20/19 to 8/20/19 | 7,496 | 8,706 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 40,365,641 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $146,767,496) | 146,820,951 | |||
Asset-Backed Securities - 2.8% | ||||
ACE Securities Corp. Series 2004-HE1: | ||||
Class M1, 5.82% 2/25/34 (h) | 497,420 | 498,339 | ||
Class M2, 6.42% 2/25/34 (h) | 600,000 | 604,742 | ||
Advanta Business Card Master Trust Series 2007-D1 Class D, 6.72% 1/22/13 (c)(h) | 1,420,000 | 1,420,000 | ||
Aircraft Lease Securitization Ltd. Series 2005-1 Class C1, 9.07% 9/9/30 (c)(h) | 375,593 | 381,227 | ||
American Express Credit Account Master Trust | 1,430,000 | 1,435,167 | ||
AmeriCredit Automobile Receivables Trust Series 2006-1 Class E1, 6.62% 5/6/13 (c) | 1,335,000 | 1,327,284 | ||
Bank One Issuance Trust: | ||||
Series 2002-B1 Class B1, 5.7% 12/15/09 (h) | 1,290,000 | 1,290,465 | ||
Series 2002-C1 Class C1, 6.28% 12/15/09 (h) | 1,840,000 | 1,841,690 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Asset Backed Securities, Inc. | ||||
Class M1, 5.82% 2/25/35 (h) | $ 1,555,000 | $ 1,562,295 | ||
Class M2, 6.07% 2/25/35 (h) | 570,000 | 574,563 | ||
Capital Auto Receivables Asset Trust Series 2006-SN1A: | ||||
Class B, 5.5% 4/20/10 (c) | 245,000 | 246,158 | ||
Class C, 5.77% 5/20/10 (c) | 235,000 | 237,294 | ||
Class D, 6.15% 4/20/11 (c) | 400,000 | 405,869 | ||
Capital One Master Trust Series 2001-1 Class B, 5.83% 12/15/10 (h) | 2,130,000 | 2,136,261 | ||
Carrington Mortgage Loan Trust Series 2006-NC3 | 215,000 | 185,303 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2004-2 Class M1, 5.82% 5/25/34 (h) | 1,770,000 | 1,775,624 | ||
Series 2004-3 Class M1, 5.82% 6/25/34 (h) | 350,000 | 351,404 | ||
DB Master Finance LLC Series 2006-1 Class M1, 8.285% 6/20/31 (c) | 715,000 | 732,754 | ||
First Franklin Mortgage Loan Trust Series 2004-FF2: | ||||
Class M3, 5.87% 3/25/34 (h) | 100,000 | 100,096 | ||
Class M4, 6.22% 3/25/34 (h) | 75,000 | 75,152 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2006-B Class D, 7.26% 2/15/13 (c) | 850,000 | 857,595 | ||
Series 2006-C Class D, 6.89% 5/15/13 (c) | 585,000 | 589,596 | ||
Fremont Home Loan Trust: | ||||
Series 2004-A Class M1, 5.87% 1/25/34 (h) | 1,100,000 | 1,100,550 | ||
Series 2005-A: | ||||
Class M2, 5.78% 1/25/35 (h) | 550,000 | 552,429 | ||
Class M3, 5.81% 1/25/35 (h) | 300,000 | 301,550 | ||
Class M4, 6% 1/25/35 (h) | 225,000 | 226,451 | ||
GS Auto Loan Trust Series 2006-1 Class D, 6.25% 1/15/14 (c) | 1,030,000 | 1,022,965 | ||
GSAMP Trust Series 2004-FM2: | ||||
Class M1, 5.82% 1/25/34 (h) | 749,050 | 749,050 | ||
Class M2, 6.42% 1/25/34 (h) | 140,773 | 140,773 | ||
Class M3, 6.62% 1/25/34 (h) | 83,136 | 83,136 | ||
Home Equity Asset Trust: | ||||
Series 2003-2 Class M1, 6.64% 8/25/33 (h) | 634,210 | 634,720 | ||
Series 2004-3 Class M2, 6.52% 8/25/34 (h) | 535,000 | 539,486 | ||
HSBC Home Equity Loan Trust Series 2005-2: | ||||
Class M1, 5.78% 1/20/35 (h) | 328,388 | 328,860 | ||
Class M2, 5.81% 1/20/35 (h) | 246,873 | 247,719 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-3 Class M1, 6.07% 7/25/33 (h) | 2,441,358 | 2,447,961 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Long Beach Mortgage Loan Trust: - continued | ||||
Series 2006-7 Class M11, 7.82% 8/25/36 (h) | $ 1,000,000 | $ 744,939 | ||
MBNA Credit Card Master Note Trust Series 2003-B2 Class B2, 5.71% 10/15/10 (h) | 350,000 | 351,409 | ||
Meritage Mortgage Loan Trust Series 2004-1: | ||||
Class M1, 5.82% 7/25/34 (h) | 471,554 | 474,581 | ||
Class M2, 5.87% 7/25/34 (h) | 100,000 | 100,226 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2002-HE3 Class M1, 6.42% 12/27/32 (h) | 460,000 | 460,632 | ||
Series 2003-NC8 Class M1, 6.02% 9/25/33 (h) | 664,956 | 665,768 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC4 Class M1, 6.82% 1/25/32 (h) | 348,003 | 348,348 | ||
Series 2002-NC1 Class M1, 6.52% 2/25/32 (c)(h) | 706,794 | 707,287 | ||
Series 2002-NC3 Class M1, 6.4% 8/25/32 (h) | 375,000 | 375,262 | ||
NovaStar Home Equity Loan Series 2004-1: | ||||
Class M1, 5.77% 6/25/34 (h) | 350,000 | 351,616 | ||
Class M4, 6.295% 6/25/34 (h) | 585,000 | 588,251 | ||
Onyx Acceptance Owner Trust Series 2005-B Class A4, 4.34% 5/15/12 | 1,045,000 | 1,031,817 | ||
Ownit Mortgage Loan Asset-Backed Certificates | 826,851 | 826,953 | ||
SLM Private Credit Student Loan Trust Series 2004-A Class C, 6.31% 6/15/33 (h) | 1,190,000 | 1,203,769 | ||
Structured Asset Securities Corp. Series 2006-BC1 | 700,000 | 431,900 | ||
Superior Wholesale Inventory Financing Trust VII | 2,320,000 | 2,320,000 | ||
Superior Wholesale Inventory Financing Trust XII | ||||
Class B, 5.8% 6/15/10 (h) | 1,425,000 | 1,427,148 | ||
Class C, 6.52% 6/15/10 (h) | 710,000 | 716,833 | ||
Wachovia Auto Loan Trust Series 2006-2A Class E, 7.05% 5/20/14 (c) | 955,000 | 965,972 | ||
WaMu Master Note Trust Series 2006-C2A Class C2, 5.82% 8/15/15 (c)(h) | 2,630,000 | 2,630,000 | ||
Washington Mutual Asset-Backed Certificates Series 2006-HE5 Class B1, 7.82% 10/25/36 (c)(h) | 825,000 | 722,620 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $44,536,643) | 44,449,859 | |||
Collateralized Mortgage Obligations - 3.6% | ||||
Principal Amount | Value | |||
Private Sponsor - 0.9% | ||||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2003-K Class 1A1, 6.0303% 12/25/33 (h) | $ 168,563 | $ 170,089 | ||
Series 2004-B Class 1A1, 3.5013% 3/25/34 (h) | 357,268 | 358,686 | ||
Series 2004-C Class 1A1, 3.3242% 4/25/34 (h) | 887,458 | 906,624 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2005-2 Class 6A2, 5.6% 6/25/35 (h) | 171,317 | 171,602 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR3 Class 6A2, 5.69% 4/25/34 (h) | 75,856 | 75,875 | ||
Series 2004-AR6 Class 9A2, 5.69% 10/25/34 (h) | 224,571 | 224,918 | ||
Granite Master Issuer PLC floater Series 2006-1A | 1,200,000 | 1,200,000 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater Series 2005-B Class A2, 5.5988% 7/25/30 (h) | 608,175 | 609,086 | ||
Series 2003-E Class XA1, 1% 10/25/28 (h)(j) | 5,299,053 | 19,899 | ||
Opteum Mortgage Acceptance Corp. floater | 886,838 | 888,693 | ||
Residential Finance LP/Residential Finance Development Corp. floater: | ||||
Series 2003-B: | ||||
Class B4, 7.07% 7/10/35 (c)(h) | 1,680,638 | 1,705,848 | ||
Class B5, 7.67% 7/10/35 (c)(h) | 1,587,269 | 1,589,750 | ||
Class B6, 8.17% 7/10/35 (c)(h) | 746,950 | 764,130 | ||
Series 2003-CB1: | ||||
Class B3, 6.77% 6/10/35 (c)(h) | 783,319 | 795,069 | ||
Class B4, 6.97% 6/10/35 (c)(h) | 699,392 | 713,380 | ||
Class B5, 7.57% 6/10/35 (c)(h) | 475,587 | 485,098 | ||
Class B6, 8.07% 6/10/35 (c)(h) | 284,419 | 292,383 | ||
Series 2004-B: | ||||
Class B4, 6.42% 2/10/36 (c)(h) | 287,103 | 291,697 | ||
Class B5, 6.87% 2/10/36 (c)(h) | 287,103 | 290,692 | ||
Class B6, 7.32% 2/10/36 (c)(h) | 95,701 | 97,137 | ||
Series 2004-C: | ||||
Class B4, 6.27% 9/10/36 (c)(h) | 386,101 | 391,893 | ||
Class B5, 6.67% 9/10/36 (c)(h) | 482,627 | 487,453 | ||
Class B6, 7.07% 9/10/36 (c)(h) | 96,525 | 97,491 | ||
Residential Funding Securities Corp. Series 2003-RP2 Class A1, 4% 6/25/33 (c)(h) | 484,908 | 487,313 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Sequoia Mortgage Trust floater Series 2004-8 Class A2, 5.755% 9/20/34 (h) | $ 522,939 | $ 523,851 | ||
Structured Asset Securities Corp. floater | 650,000 | 552,003 | ||
TOTAL PRIVATE SPONSOR | 14,190,660 | |||
U.S. Government Agency - 2.7% | ||||
Fannie Mae planned amortization class Series 2003-39 Class PV, 5.5% 9/25/22 | 3,045,000 | 3,063,444 | ||
Fannie Mae Grantor Trust floater Series 2005-90 | 5,207,654 | 5,215,802 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 2003-84 Class GC, 4.5% 5/25/15 | 1,540,000 | 1,523,877 | ||
Series 2005-67 Class HD, 5.5% 12/25/30 | 2,835,000 | 2,861,918 | ||
Series 2006-4 Class PB, 6% 9/25/35 | 2,955,000 | 3,020,127 | ||
sequential payer: | ||||
Series 2002-56 Class MC, 5.5% 9/25/17 | 924,228 | 932,510 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 150,500 | 146,253 | ||
Series 2004-45 Class AV, 4.5% 10/25/22 | 1,355,000 | 1,340,885 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 658,902 | 646,373 | ||
Series 2004-91 Class AH, 4.5% 5/25/29 | 1,374,472 | 1,347,300 | ||
Freddie Mac planned amortization class: | ||||
Series 2104 Class PG, 6% 12/15/28 | 1,442,730 | 1,480,649 | ||
Series 2356 Class GD, 6% 9/15/16 | 1,018,858 | 1,042,723 | ||
Series 3033 Class UD, 5.5% 10/15/30 | 1,075,000 | 1,086,192 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2363 Class PF, 6% 9/15/16 | 1,387,689 | 1,419,268 | ||
Series 2702 Class WB, 5% 4/15/17 | 2,480,000 | 2,486,131 | ||
Series 2952 Class EC, 5.5% 11/15/28 | 2,785,000 | 2,812,640 | ||
Series 3018 Class UD, 5.5% 9/15/30 | 1,735,000 | 1,753,963 | ||
Series 3049 Class DB, 5.5% 6/15/31 | 2,495,000 | 2,521,539 | ||
sequential payer: | ||||
Series 2777 Class AB, 4.5% 6/15/29 | 3,127,243 | 3,066,815 | ||
Series 2809 Class UA, 4% 12/15/14 | 787,344 | 773,937 | ||
Series 3117 Class PC, 5% 6/15/31 | 4,000,000 | 3,977,311 | ||
TOTAL U.S. GOVERNMENT AGENCY | 42,519,657 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $56,122,612) | 56,710,317 | |||
Commercial Mortgage Securities - 1.9% | ||||
Principal Amount | Value | |||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class H, 6.72% 11/15/15 (c)(h) | $ 265,000 | $ 264,999 | ||
Class J, 7.27% 11/15/15 (c)(h) | 275,000 | 274,892 | ||
Class K, 7.92% 11/15/15 (c)(h) | 245,000 | 244,754 | ||
Series 2005-ESHA: | ||||
Class E, 5.9% 7/14/20 (c)(h) | 725,000 | 725,771 | ||
Class F, 6.07% 7/14/20 (c)(h) | 435,000 | 435,462 | ||
Class G, 6.2% 7/14/20 (c)(h) | 215,000 | 215,228 | ||
Class H, 6.42% 7/14/20 (c)(h) | 290,000 | 290,307 | ||
Series 2005-MIB1: | ||||
Class C, 5.63% 3/15/22 (c)(h) | 335,000 | 335,245 | ||
Class D, 5.68% 3/15/22 (c)(h) | 340,000 | 340,253 | ||
Class F, 5.79% 3/15/22 (c)(h) | 330,000 | 330,255 | ||
Class G, 5.85% 3/15/22 (c)(h) | 215,000 | 215,166 | ||
Series 2006-ESH: | ||||
Class A, 6.18% 7/14/11 (c)(h) | 731,304 | 731,397 | ||
Class B, 6.28% 7/14/11 (c)(h) | 364,678 | 364,484 | ||
Class C, 6.43% 7/14/11 (c)(h) | 730,330 | 730,422 | ||
Class D, 7.061% 7/14/11 (c)(h) | 424,462 | 424,751 | ||
Bayview Commercial Asset Trust floater: | ||||
Series 2004-1: | ||||
Class A, 5.68% 4/25/34 (c)(h) | 1,036,656 | 1,038,600 | ||
Class B, 7.22% 4/25/34 (c)(h) | 109,122 | 109,906 | ||
Class M1, 5.88% 4/25/34 (c)(h) | 109,122 | 109,446 | ||
Class M2, 6.52% 4/25/34 (c)(h) | 54,561 | 55,038 | ||
Series 2004-2 Class A, 5.75% 8/25/34 (c)(h) | 1,034,552 | 1,038,108 | ||
Series 2004-3: | ||||
Class A1, 5.69% 1/25/35 (c)(h) | 1,161,909 | 1,164,995 | ||
Class A2, 5.74% 1/25/35 (c)(h) | 170,869 | 171,350 | ||
Class M1, 5.82% 1/25/35 (c)(h) | 205,043 | 205,780 | ||
Class M2, 6.32% 1/25/35 (c)(h) | 136,695 | 137,870 | ||
Series 2005-4A: | ||||
Class A2, 5.71% 1/25/36 (c)(h) | 1,735,379 | 1,741,345 | ||
Class B1, 6.72% 1/25/36 (c)(h) | 91,336 | 91,593 | ||
Class M1, 5.77% 1/25/36 (c)(h) | 548,015 | 550,583 | ||
Class M2, 5.79% 1/25/36 (c)(h) | 182,672 | 183,528 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust floater - continued | ||||
Series 2005-4A: | ||||
Class M3, 5.82% 1/25/36 (c)(h) | $ 274,007 | $ 275,420 | ||
Class M4, 5.93% 1/25/36 (c)(h) | 91,336 | 91,864 | ||
Class M5, 5.97% 1/25/36 (c)(h) | 91,336 | 91,864 | ||
Class M6, 6.02% 1/25/36 (c)(h) | 91,336 | 91,807 | ||
Bear Stearns Commercial Mortgage Securities, Inc. Series 2003-T12 Class X2, 0.6532% | 6,003,816 | 99,995 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust sequential payer Series 2006-CD3 Class A3, 5.607% 10/15/48 | 3,000,000 | 3,061,992 | ||
COMM floater Series 2002-FL7 Class D, 5.89% 11/15/14 (c)(h) | 137,143 | 137,478 | ||
Commercial Mortgage pass thru certificates floater Series 2005-FL11: | ||||
Class B, 5.57% 11/15/17 (c)(h) | 569,670 | 569,813 | ||
Class E, 5.71% 11/15/17 (c)(h) | 255,770 | 255,907 | ||
Class F, 5.77% 11/15/17 (c)(h) | 232,518 | 232,636 | ||
DL J Commercial Mortgage Corp. sequential pay | 4,020,000 | 4,100,518 | ||
Ginnie Mae guaranteed Multi-family pass thru securities sequential payer Series 2002-35 Class C, 5.8867% 10/16/23 (h) | 244,146 | 247,857 | ||
Ginnie Mae guaranteed REMIC pass thru securities: | ||||
sequential pay Series 2003-59 Class D, 3.654% 10/16/27 | 3,060,000 | 2,896,693 | ||
sequential payer Series 2003-47 Class C, 4.227% 10/16/27 | 2,856,041 | 2,792,047 | ||
GMAC Commercial Mortgage Securities, Inc. | 12,147,495 | 262,596 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA: | ||||
Class J, 7.37% 12/16/14 (c)(h) | 1,480,000 | 1,479,918 | ||
Class K1, 7.87% 12/16/14 (c)(h) | 770,000 | 769,807 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $30,153,946) | 29,979,740 | |||
Fixed-Income Funds - 61.2% | ||||
Shares | Value | |||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (i) | 1,211,460 | $ 120,806,755 | ||
Fidelity 2-5 Year Duration Securitized Bond Central Fund (i) | 1,569,334 | 157,419,893 | ||
Fidelity Corporate Bond 1-10 Year Central Fund (i) | 4,248,746 | 430,100,507 | ||
Fidelity Corporate Bond 1-5 Year Central Fund (i) | 300,000 | 30,234,000 | ||
Fidelity Specialized High Income Central Fund (i) | 150,068 | 15,294,931 | ||
Fidelity Ultra-Short Central Fund (i) | 2,249,749 | 223,467,558 | ||
TOTAL FIXED-INCOME FUNDS (Cost $974,385,462) | 977,323,644 | |||
Cash Equivalents - 10.7% | ||||
Maturity | ||||
Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07: | ||||
(Collateralized by U.S. Government Obligations) # | $ 32,674,842 | 32,670,000 | ||
(Collateralized by U.S. Government Obligations) # (a) | 138,137,487 | 138,117,000 | ||
TOTAL CASH EQUIVALENTS (Cost $170,787,000) | 170,787,000 | |||
TOTAL INVESTMENT PORTFOLIO - 112.8% (Cost $1,798,176,397) | 1,799,582,059 | |||
NET OTHER ASSETS - (12.8)% | (203,959,825) | |||
NET ASSETS - 100% | $ 1,595,622,234 |
Swap Agreements | |||||
Expiration Date | Notional | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the proportional notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 8.45% 9/25/34 | Oct. 2034 | $ 400,000 | (22,690) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.85% 8/25/34 | Sept. 2034 | $ 409,000 | $ (11,984) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 8.85% 7/25/34 | August 2034 | 409,000 | (12,665) | ||
Recieve monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 409,000 | (15,002) | ||
Receive monthly notional amount multiplied by 2.5% and pay Credit Suisse First Boston upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 8.03% 11/25/34 | Dec. 2034 | 625,000 | (47,707) | ||
Receive monthly notional amount multiplied by .52% and pay Bank of America upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R8 Class M6, 6.835% 9/25/34 | Oct. 2034 | 1,900,000 | (32,247) | ||
Receive monthly notional amount multiplied by .8% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WCH1 Class M6, 6.365% 1/25/35 | Feb. 2035 | 600,000 | (15,582) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | August 2034 | $ 409,000 | $ (2,572) | ||
Receive monthly notional amount multiplied by .85% and pay Deutsche Bank upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M6, 6.105% 5/25/35 | June 2035 | 600,000 | (14,887) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | 409,000 | (5,582) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. | Oct. 2034 | 409,000 | (4,599) | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 370,000 | (14,876) | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 409,000 | (15,892) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 2% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.14% 8/25/36 | Sept. 2036 | $ 1,000,000 | $ (213,363) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 41,954 | (319) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 | March 2034 | 115,173 | (2,750) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 | Feb. 2034 | 64,084 | (823) | ||
Receive monthly notional amount multiplied by 2.7% and pay Merrill Lynch, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M9, 6.4606% 5/25/35 | June 2035 | 2,410,000 | (258,328) | ||
Receive monthly notional amount multiplied by 3% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2005-R4 Class M9, 7.07% 7/25/35 | August 2035 | 700,000 | (30,076) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 409,000 | (2,506) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 5.55% and pay Deutsche Bank upon default event of Carrington Mortgage Loan Trust, par value of the notional amount of Carrington Mortgage Loan Trust Series 2006-FRE1 Class M10, 7.74% 7/25/36 | August 2036 | $ 700,000 | $ (32,380) | ||
Receive monthly notional amount multiplied by 6.25% and pay Deutsche Bank upon default event of Ramp Ser 2006-RS5 Trust, par value of the notional amount of Ramp Ser 2006-RS5 Trust 7.17% 9/25/36 | Oct. 2036 | 700,000 | (77,560) | ||
Receive quarterly a fixed rate of .4% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 4 Index, par value of the proportional notional amount (f) | June 2010 | 10,000,000 | 62,891 | ||
Receive quarterly a fixed rate of .45% multiplied by the notional amount and pay to Goldman Sachs, upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 5 Index, par value of the proportional notional amount (g) | Dec. 2010 | 15,000,000 | 127,937 | ||
Receive quarterly a fixed rate of .5% multiplied by the notional amount and pay to Merrill Lynch, Inc., upon each default event of one of the issues of Dow Jones CDX N.A. Investment Grade 3 Index, par value of the proportional notional amount (e) | March 2010 | 6,373,600 | 71,596 | ||
TOTAL CREDIT DEFAULT SWAPS | 44,871,811 | (571,966) | |||
Interest Rate Swaps | |||||
Receive quarterly a fixed rate equal to 4.3875% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2010 | 6,425,000 | (112,910) | ||
Receive semi-annually a fixed rate equal to 4.795% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Dec. 2011 | 15,000,000 | (134,588) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional | Value | |||
Interest Rate Swaps - continued | |||||
Receive semi-annually a fixed rate equal to 5.022% and pay quarterly a floating rate based on 3-month LIBOR with Lehman Brothers, Inc. | Nov. 2011 | $ 20,000,000 | $ 291,446 | ||
Receive semi-annually a fixed rate equal to 5.095% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | Feb. 2012 | 30,000,000 | 153,465 | ||
Receive semi-annually a fixed rate equal to 5.145% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | Feb. 2012 | 60,000,000 | 433,410 | ||
Receive semi-annually a fixed rate equal to 5.186% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Sept. 2011 | 15,000,000 | 317,428 | ||
Receive semi-annually a fixed rate equal to 5.3315% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | April 2011 | 15,000,000 | 400,938 | ||
TOTAL INTEREST RATE SWAPS | 161,425,000 | 1,349,189 | |||
$ 206,296,811 | $ 777,223 |
Legend |
(a) Includes investment made with cash collateral received from securities on loan. |
(b) Security or a portion of the security is on loan at period end. |
(c) Security 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 $50,535,708 or 3.2% of net assets. |
(d) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(e) Dow Jones CDX N.A. Investment Grade 3 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(f) Dow Jones CDX N.A. Investment Grade 4 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(g) Dow Jones CDX N.A. Investment Grade 5 is a tradable index of credit default swaps on investment grade debt of U.S. companies. |
(h) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(i) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at advisor.fidelity.com. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(j) 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 held as of the end of the period. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$32,670,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 1,356,859 |
BNP Paribas Securities Corp. | 1,334,244 |
Banc of America Securities LLC | 3,022,637 |
Bank of America, NA | 4,522,863 |
Barclays Capital, Inc. | 7,960,239 |
Bear Stearns & Co., Inc. | 904,572 |
Citigroup Global Markets, Inc. | 904,572 |
Countrywide Securities Corp. | 4,522,862 |
Goldman, Sachs & Co. | 452,286 |
Societe Generale, New York Branch | 1,356,859 |
UBS Securities LLC | 6,332,007 |
$ 32,670,000 | |
$138,117,000 due 3/01/07 at 5.34% | |
Banc of America Securities LLC | $ 138,117,000 |
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 1-3 Year Duration Securitized Bond Central Fund | $ 2,266,302 |
Fidelity 2-5 Year Duration Securitized Bond Central Fund | 2,519,374 |
Fidelity Corporate Bond 1-10 Year Central Fund | 7,312,713 |
Fidelity Corporate Bond 1-5 Year Central Fund | 497,609 |
Fidelity Specialized High Income Central Fund | 513,272 |
Fidelity Ultra-Short Central Fund | 6,424,881 |
Total | $ 19,534,151 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales | Value, end of period | % ownership, end of period |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ - | $ 121,130,852* | $ - | $ 120,806,755 | 5.0% |
Fidelity 2-5 Year Duration Securitized Bond Central Fund | - | 156,875,539* | - | 157,419,893 | 4.7% |
Fidelity Corporate Bond 1-10 Year Central Fund | - | 424,874,550* | - | 430,100,507 | 6.2% |
Fidelity Corporate Bond 1-5 Year Central Fund | - | 30,000,000* | - | 30,234,000 | 2.3% |
Fidelity Specialized High Income Central Fund | 14,777,196 | - | - | 15,294,931 | 7.1% |
Fidelity Ultra-Short Central Fund | 218,844,967 | 54,998,510 | 50,005,018 | 223,467,558 | 1.6% |
Total | $ 233,622,163 | $ 787,879,451 | $ 50,005,018 | $ 977,323,644 |
* Includes the value of shares received through in-kind contributions. See Note 6 of the Notes to Financial Statements. |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $8,297,852 all of which will expire on August 31, 2014. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
February 28, 2007 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $134,415,915 and repurchase agreements of $170,787,000) - See accompanying schedule: Unaffiliated issuers (cost $823,790,935) | $ 822,258,415 | |
Fidelity Central Funds (cost $974,385,462) | 977,323,644 | |
Total Investments (cost $1,798,176,397) | $ 1,799,582,059 | |
Cash | 501 | |
Receivable for investments sold | 252,383 | |
Receivable for swap agreements | 20,422 | |
Receivable for fund shares sold | 4,586,215 | |
Interest receivable | 4,196,855 | |
Distributions receivable from Fidelity Central Funds | 4,109,661 | |
Swap agreements, at value | 777,223 | |
Prepaid expenses | 6,060 | |
Total assets | 1,813,531,379 | |
Liabilities | ||
Payable for investments purchased | $ 4,999,462 | |
Delayed delivery | 71,180,496 | |
Payable for fund shares redeemed | 2,314,103 | |
Distributions payable | 293,238 | |
Accrued management fee | 414,204 | |
Distribution fees payable | 218,995 | |
Other affiliated payables | 299,297 | |
Other payables and accrued expenses | 72,350 | |
Collateral on securities loaned, at value | 138,117,000 | |
Total liabilities | 217,909,145 | |
Net Assets | $ 1,595,622,234 | |
Net Assets consist of: | ||
Paid in capital | $ 1,603,192,769 | |
Undistributed net investment income | 2,436,483 | |
Accumulated undistributed net realized gain (loss) on investments | (12,278,858) | |
Net unrealized appreciation (depreciation) on investments | 2,271,840 | |
Net Assets | $ 1,595,622,234 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
February 28, 2007 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 10.88 | |
Maximum offering price per share (100/96.25 of $10.88) | $ 11.30 | |
Class T: | $ 10.89 | |
Maximum offering price per share (100/97.25 of $10.89) | $ 11.20 | |
Class B: | $ 10.87 | |
Class C: | $ 10.86 | |
Institutional Class: | $ 10.90 |
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
Financial Statements - continued
Statement of Operations
Six months ended February 28, 2007 (Unaudited) | ||
Investment Income | ||
Interest | $ 18,249,556 | |
Income from Fidelity Central Funds | 19,534,151 | |
Total income | 37,783,707 | |
Expenses | ||
Management fee | $ 2,435,660 | |
Transfer agent fees | 1,529,194 | |
Distribution fees | 1,365,014 | |
Accounting and security lending fees | 271,188 | |
Custodian fees and expenses | 27,156 | |
Independent trustees' compensation | 2,581 | |
Registration fees | 56,136 | |
Audit | 46,444 | |
Legal | 4,817 | |
Miscellaneous | 5,908 | |
Total expenses before reductions | 5,744,098 | |
Expense reductions | (30,920) | 5,713,178 |
Net investment income | 32,070,529 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (3,048,453) | |
Fidelity Central Funds | 231,138 | |
Swap agreements | (1,933,805) | |
Capital gain distributions from Fidelity Central Funds | 31,496 | |
Total net realized gain (loss) | (4,719,624) | |
Change in net unrealized appreciation (depreciation) on: Investment securities: | ||
Unaffiliated issuers | 11,349,659 | |
Fidelity Central Funds | 5,654,888 | |
Swap agreements | 2,074,823 | |
Total change in net unrealized appreciation (depreciation) | 19,079,370 | |
Net gain (loss) | 14,359,746 | |
Net increase (decrease) in net assets resulting from operations | $ 46,430,275 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended | Ten months ended | Year ended | |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 32,070,529 | $ 52,322,457 | $ 48,634,982 |
Net realized gain (loss) | (4,719,624) | (10,023,592) | 7,895,285 |
Change in net unrealized appreciation (depreciation) | 19,079,370 | 4,063,334 | (50,939,491) |
Net increase (decrease) in net assets resulting from operations | 46,430,275 | 46,362,199 | 5,590,776 |
Distributions to shareholders from net investment income | (31,973,801) | (51,890,296) | (46,348,627) |
Distributions to shareholders from net realized gain | - | (6,729,699) | (17,912,078) |
Total distributions | (31,973,801) | (58,619,995) | (64,260,705) |
Share transactions - net increase (decrease) | 95,639,165 | 43,358,947 | 165,772,627 |
Total increase (decrease) in net assets | 110,095,639 | 31,101,151 | 107,102,698 |
Net Assets | |||
Beginning of period | 1,485,526,595 | 1,454,425,444 | 1,347,322,746 |
End of period (including undistributed net investment income of $2,436,483, $2,339,755 and $5,771,423, respectively) | $ 1,595,622,234 | $ 1,485,526,595 | $ 1,454,425,444 |
* The fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 | $ 11.06 | $ 11.01 | $ 10.30 |
Income from Investment Operations | |||||||
Net investment income E | .228 | .385 | .397 | .385 | .420 | .521 K | .619 |
Net realized and unrealized gain (loss) | .099 | (.043) | (.338) | .120 | .254 | .055 K | .713 |
Total from investment operations | .327 | .342 | .059 | .505 | .674 | .576 | 1.332 |
Distributions from net investment income | (.227) | (.382) | (.379) | (.385) | (.414) | (.526) | (.622) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.227) | (.432) | (.529) | (.485) | (.414) | (.526) | (.622) |
Net asset value, end of period | $ 10.88 | $ 10.78 | $ 10.87 | $ 11.34 | $ 11.32 | $ 11.06 | $ 11.01 |
Total Return B, C, D | 3.06% | 3.23% | .54% | 4.58% | 6.16% | 5.44% | 13.28% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | .75% A | .75% A | .81% | .84% | .81% | .83% | .83% |
Expenses net of fee waivers, if any | .75% A | .75% A | .81% | .84% | .81% | .83% | .83% |
Expenses net of all reductions | .74% A | .74% A | .80% | .84% | .81% | .82% | .82% |
Net investment income | 4.24% A | 4.30% A | 3.60% | 3.42% | 3.72% | 4.82% K | 5.82% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 242,941 | $ 229,490 | $ 219,441 | $ 186,748 | $ 166,701 | $ 133,236 | $ 92,027 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 | $ 11.06 | $ 11.02 | $ 10.31 |
Income from Investment Operations | |||||||
Net investment income E | .223 | .377 | .386 | .374 | .408 | .508 K | .603 |
Net realized and unrealized gain (loss) | .100 | (.043) | (.338) | .130 | .253 | .044 K | .713 |
Total from investment operations | .323 | .334 | .048 | .504 | .661 | .552 | 1.316 |
Distributions from net investment income | (.223) | (.374) | (.368) | (.374) | (.401) | (.512) | (.606) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.223) | (.424) | (.518) | (.474) | (.401) | (.512) | (.606) |
Net asset value, end of period | $ 10.89 | $ 10.79 | $ 10.88 | $ 11.35 | $ 11.32 | $ 11.06 | $ 11.02 |
Total Return B, C, D | 3.02% | 3.15% | .43% | 4.56% | 6.03% | 5.21% | 13.11% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | .83% A | .84% A | .91% | .95% | .93% | .95% | .97% |
Expenses net of fee waivers, if any | .83% A | .84% A | .91% | .95% | .93% | .95% | .97% |
Expenses net of all reductions | .83% A | .83% A | .91% | .95% | .93% | .95% | .97% |
Net investment income | 4.16% A | 4.21% A | 3.49% | 3.32% | 3.60% | 4.70% K | 5.67% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 539,156 | $ 563,677 | $ 622,245 | $ 680,947 | $ 711,263 | $ 684,618 | $ 546,276 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the sales charges. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 | $ 11.05 | $ 11.01 | $ 10.30 |
Income from Investment Operations | |||||||
Net investment income E | .186 | .316 | .310 | .295 | .331 | .436 K | .534 |
Net realized and unrealized gain (loss) | .099 | (.043) | (.338) | .120 | .253 | .044 K | .713 |
Total from investment operations | .285 | .273 | (.028) | .415 | .584 | .480 | 1.247 |
Distributions from net investment income | (.185) | (.313) | (.292) | (.295) | (.324) | (.440) | (.537) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.185) | (.363) | (.442) | (.395) | (.324) | (.440) | (.537) |
Net asset value, end of period | $ 10.87 | $ 10.77 | $ 10.86 | $ 11.33 | $ 11.31 | $ 11.05 | $ 11.01 |
Total Return B, C, D | 2.66% | 2.57% | (.25)% | 3.75% | 5.32% | 4.52% | 12.40% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.53% A | 1.52% A | 1.61% | 1.66% | 1.60% | 1.61% | 1.62% |
Expenses net of fee waivers, if any | 1.53% A | 1.52% A | 1.60% | 1.65% | 1.60% | 1.61% | 1.62% |
Expenses net of all reductions | 1.53% A | 1.52% A | 1.60% | 1.65% | 1.60% | 1.61% | 1.62% |
Net investment income | 3.45% A | 3.52% A | 2.80% | 2.62% | 2.92% | 4.03% K | 5.02% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 33,912 | $ 46,344 | $ 73,017 | $ 118,751 | $ 154,697 | $ 178,062 | $ 113,424 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Year ended | ||||||
(Unaudited) | 2006 H | 2005 L | 2004 L | 2003 L | 2002 L | 2001 L | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 | $ 11.04 | $ 11.00 | $ 10.29 |
Income from Investment Operations | |||||||
Net investment income E | .181 | .308 | .301 | .289 | .322 | .428 K | .525 |
Net realized and unrealized gain (loss) | .100 | (.042) | (.337) | .120 | .254 | .044 K | .716 |
Total from investment operations | .281 | .266 | (.036) | .409 | .576 | .472 | 1.241 |
Distributions from net investment income | (.181) | (.306) | (.284) | (.289) | (.316) | (.432) | (.531) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.181) | (.356) | (.434) | (.389) | (.316) | (.432) | (.531) |
Net asset value, end of period | $ 10.86 | $ 10.76 | $ 10.85 | $ 11.32 | $ 11.30 | $ 11.04 | $ 11.00 |
Total Return B, C, D | 2.63% | 2.51% | (.33)% | 3.70% | 5.26% | 4.45% | 12.34% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.61% A | 1.60% A | 1.67% | 1.70% | 1.67% | 1.68% | 1.69% |
Expenses net of fee waivers, if any | 1.61% A | 1.60% A | 1.67% | 1.70% | 1.67% | 1.68% | 1.69% |
Expenses net of all reductions | 1.60% A | 1.60% A | 1.67% | 1.70% | 1.67% | 1.68% | 1.69% |
Net investment income | 3.39% A | 3.45% A | 2.73% | 2.57% | 2.86% | 3.96% K | 4.96% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 62,115 | $ 63,946 | $ 74,522 | $ 91,149 | $ 113,849 | $ 98,158 | $ 63,538 |
Portfolio turnover rate G | 97% A, J | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. L For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Year ended | ||||||
(Unaudited) | 2006 G | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 | $ 11.08 | $ 11.03 | $ 10.32 |
Income from Investment Operations | |||||||
Net investment income D | .237 | .401 | .417 | .400 | .437 | .539 J | .638 |
Net realized and unrealized gain (loss) | .100 | (.043) | (.339) | .122 | .254 | .053 J | .711 |
Total from investment operations | .337 | .358 | .078 | .522 | .691 | .592 | 1.349 |
Distributions from net investment income | (.237) | (.398) | (.398) | (.402) | (.431) | (.542) | (.639) |
Distributions from net realized gain | - | (.050) | (.150) | (.100) | - | - | - |
Total distributions | (.237) | (.448) | (.548) | (.502) | (.431) | (.542) | (.639) |
Net asset value, end of period | $ 10.90 | $ 10.80 | $ 10.89 | $ 11.36 | $ 11.34 | $ 11.08 | $ 11.03 |
Total Return B, C | 3.15% | 3.37% | .71% | 4.72% | 6.30% | 5.59% | 13.45% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .56% A | .57% A | .63% | .70% | .66% | .67% | .66% |
Expenses net of fee waivers, if any | .56% A | .57% A | .63% | .70% | .66% | .67% | .66% |
Expenses net of all reductions | .56% A | .57% A | .63% | .70% | .66% | .67% | .66% |
Net investment income | 4.42% A | 4.48% A | 3.77% | 3.57% | 3.87% | 4.97% J | 5.98% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 717,498 | $ 582,070 | $ 465,201 | $ 269,727 | $ 155,302 | $ 114,546 | $ 91,168 |
Portfolio turnover rate F | 97% A, I | 43% A | 73% | 96% | 108% | 121% | 112% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Portfolio turnover rate excludes securities received or delivered in-kind. J Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. K For the period ended October 31.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007 (Unaudited)
1. Organization.
Fidelity Advisor Intermediate Bond 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 B, Class C and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or for the Fixed-Income Central Funds, at advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity 2-5 Year Duration Securitized Bond Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond 1-5 Year Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond 1-10 Year Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Specialized High Income Central Fund | Fidelity Management & Research Company, Inc (FMRC) | Seeks a high level of current income by normally investing in income-producing debt securities, with an emphasis on lower-quality debt securities. | Delayed Delivery & When Issued Securities Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
Fidelity Ultra-Short Central Fund | FIMM | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
Semiannual Report
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond is recorded as interest income, even though principal is not received until maturity.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, prior period premium and discount on debt securities, market discount, partnerships (including allocations from Fidelity Central Funds, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 9,434,653 | |
Unrealized depreciation | (7,854,249) | |
Net unrealized appreciation (depreciation) | $ 1,580,404 | |
Cost for federal income tax purposes | $ 1,798,001,655 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
Semiannual Report
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Operating Policies - continued
Swap Agreements - continued
recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities
Semiannual Report
4. Operating Policies - continued
Mortgage Dollar Rolls - continued
purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $197,524,141 and $98,533,945, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | -% | .15% | $ 176,261 | $ 6,338 |
Class T | -% | .25% | 689,982 | 6,787 |
Class B | .65% | .25% | 181,326 | 131,387 |
Class C | .75% | .25% | 317,445 | 26,413 |
$ 1,365,014 | $ 170,925 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC receives a front-end sales charge of up to 3.75% for selling Class A shares, and 2.75% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
On January 18, 2007, the Board of Trustees approved a change in Class A's front-end sales charge. Effective April 1, 2007, FDC will receive a front-end sales charge of up to 2.75% for selling Class A shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 21,248 |
Class T | 6,953 |
Class B* | 19,436 |
Class C* | 1,937 |
$ 49,574 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales
are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. 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, the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 262,647 | .23 |
Class T | 553,349 | .20 |
Class B | 50,252 | .25 |
Class C | 70,038 | .22 |
Institutional Class | 592,908 | .19 |
$ 1,529,194 |
* Annualized
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Exchange-In-Kind. During the period, the Fund exchanged securities for shares of four newly created Fidelity Fixed-Income Central Funds, all of which are affiliated investment companies managed by FIMM, an affiliate of FMR. The Fund delivered securities to each Fixed-Income Central Fund in exchange for shares of each respective Fixed-Income Central Fund, as presented in the accompanying table. Each exchange is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its shareholders.
Fidelity Fixed-Income | Value of Securities | Unrealized | Shares of Fixed-Income |
1-3 Year Duration Securitized Bond Central Fund | $ 72,681,098 | $ (1,084,210) | 726,811 |
2-5 Year Duration Securitized Bond Central Fund | 135,346,599 | (892,353) | 1,353,466 |
Corporate Bond 1-5 Year Central Fund | 30,000,000 | - | 300,000 |
Corporate Bond 1-10 Year Central Fund | 424,874,550 | (879,534) | 4,248,746 |
Total | $ 662,902,247 | $ (2,856,097) | 6,629,023 |
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,896 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
8. Security Lending - continued
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, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Net income from lending portfolio securities during the period amounted to $68,128.
9. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $5,361. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 8,975 | |
Class T | 10,626 | |
Class C | 2,130 | |
Institutional Class | 2,750 | |
$ 24,481 |
10. 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.
Semiannual Report
10. Other - continued
During the period, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and is in the process of determining appropriate remediation to affected shareholder accounts.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Ten months ended | Year ended | |
From net investment income | |||
Class A | $ 4,933,711 | $ 8,237,954 | $ 6,750,916 |
Class T | 11,355,311 | 20,024,907 | 21,938,255 |
Class B | 689,463 | 1,706,342 | 2,468,615 |
Class C | 1,066,742 | 1,937,516 | 2,155,983 |
Institutional Class | 13,928,574 | 19,983,577 | 13,034,858 |
Total | $ 31,973,801 | $ 51,890,296 | $ 46,348,627 |
From net realized gain | |||
Class A | $ - | $ 1,020,134 | $ 2,485,599 |
Class T | - | 2,809,300 | 8,985,225 |
Class B | - | 314,308 | 1,506,398 |
Class C | - | 331,629 | 1,194,745 |
Institutional Class | - | 2,254,328 | 3,740,111 |
Total | $ - | $ 6,729,699 | $ 17,912,078 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended | Ten months ended | Year ended | |
Class A | |||
Shares sold | 4,657,314 | 8,278,094 | 8,880,810 |
Reinvestment of distributions | 385,470 | 742,446 | 712,081 |
Shares redeemed | (4,004,732) | (7,918,238) | (5,873,872) |
Net increase (decrease) | 1,038,052 | 1,102,302 | 3,719,019 |
Class T | |||
Shares sold | 5,960,127 | 13,931,574 | 17,421,833 |
Reinvestment of distributions | 987,758 | 2,015,582 | 2,664,683 |
Shares redeemed | (9,687,801) | (20,897,941) | (22,891,513) |
Net increase (decrease) | (2,739,916) | (4,950,785) | (2,804,997) |
Class B | |||
Shares sold | 238,749 | 671,993 | 796,684 |
Reinvestment of distributions | 54,226 | 158,557 | 293,999 |
Shares redeemed | (1,476,795) | (3,250,226) | (4,848,523) |
Net increase (decrease) | (1,183,820) | (2,419,676) | (3,757,840) |
Class C | |||
Shares sold | 661,846 | 883,428 | 1,502,035 |
Reinvestment of distributions | 82,603 | 176,528 | 254,887 |
Shares redeemed | (968,114) | (1,984,475) | (2,940,524) |
Net increase (decrease) | (223,665) | (924,519) | (1,183,602) |
Institutional Class | |||
Shares sold | 12,821,374 | 18,293,682 | 21,107,727 |
Reinvestment of distributions | 1,252,833 | 2,006,280 | 1,430,815 |
Shares redeemed | (2,158,898) | (9,124,283) | (3,567,194) |
Net increase (decrease) | 11,915,309 | 11,175,679 | 18,971,348 |
Semiannual Report
12. Share Transactions - continued
Dollars | |||
Six months ended | Ten months ended | Year ended | |
Class A | |||
Shares sold | $ 50,406,988 | $ 88,900,621 | $ 98,032,653 |
Reinvestment of distributions | 4,178,203 | 7,978,925 | 7,878,261 |
Shares redeemed | (43,326,378) | (85,054,294) | (64,959,678) |
Net increase (decrease) | $ 11,258,813 | $ 11,825,252 | $ 40,951,236 |
Class T | |||
Shares sold | $ 64,528,901 | $ 149,419,842 | $ 192,781,788 |
Reinvestment of distributions | 10,711,429 | 21,688,566 | 29,505,458 |
Shares redeemed | (104,940,694) | (224,614,505) | (253,165,506) |
Net increase (decrease) | $ (29,700,364) | $ (53,506,097) | $ (30,878,260) |
Class B | |||
Shares sold | $ 2,578,014 | $ 7,195,245 | $ 8,809,947 |
Reinvestment of distributions | 587,302 | 1,704,584 | 3,254,211 |
Shares redeemed | (15,959,454) | (34,885,370) | (53,542,026) |
Net increase (decrease) | $ (12,794,138) | $ (25,985,541) | $ (41,477,868) |
Class C | |||
Shares sold | $ 7,150,381 | $ 9,467,312 | $ 16,597,884 |
Reinvestment of distributions | 893,824 | 1,895,452 | 2,818,224 |
Shares redeemed | (10,457,286) | (21,287,935) | (32,438,326) |
Net increase (decrease) | $ (2,413,081) | $ (9,925,171) | $ (13,022,218) |
Institutional Class | |||
Shares sold | $ 139,078,384 | $ 197,223,981 | $ 233,901,844 |
Reinvestment of distributions | 13,607,193 | 21,595,701 | 15,843,665 |
Shares redeemed | (23,397,642) | (97,869,178) | (39,545,772) |
Net increase (decrease) | $ 129,287,935 | $ 120,950,504 | $ 210,199,737 |
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Money
Management, Inc.
Fidelity Investments Japan Limited
Fidelity International
Investment Advisors
Fidelity International Investment
Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
LTBI-USAN-0407
1.784889.104
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Mortgage Securities
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
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 www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,029.30 | $ 3.72** |
Hypothetical A | $ 1,000.00 | $ 1,021.12 | $ 3.71** |
Class T | |||
Actual | $ 1,000.00 | $ 1,028.80 | $ 4.12 |
Hypothetical A | $ 1,000.00 | $ 1,020.73 | $ 4.11 |
Class B | |||
Actual | $ 1,000.00 | $ 1,025.40 | $ 7.53 |
Hypothetical A | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class C | |||
Actual | $ 1,000.00 | $ 1,025.00 | $ 7.93 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Fidelity Mortgage Securities Fund | |||
Actual | $ 1,000.00 | $ 1,030.70 | $ 2.27 |
Hypothetical A | $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,030.40 | $ 2.67 |
Hypothetical A | $ 1,000.00 | $ 1,022.17 | $ 2.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .74%** |
Class T | .82% |
Class B | 1.50% |
Class C | 1.58% |
Fidelity Mortgage Securities Fund | .45% |
Institutional Class | .53% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the period, the annualized expense ratio would have been .84% and the expenses paid in the actual and hypothetical examples above would have been $4.23 and $4.21, respectively.
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investment in each Fidelity Central Fund. |
Coupon Distribution as of February 28, 2007 | ||
% of fund's investments | % of fund's investments | |
Less than 4% | 1.9 | 1.9 |
4 - 4.99% | 7.4 | 9.2 |
5 - 5.99% | 61.0 | 60.0 |
6 - 6.99% | 25.1 | 18.4 |
7% and over | 4.4 | 3.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 4.7 | 4.4 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 2.9 | 3.7 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007 * | As of August 31, 2006 ** | ||||||
![]() | Mortgage | ![]() | Mortgage | ||||
![]() | Corporate Bonds 3.4% | ![]() | Corporate Bonds 1.7% | ||||
![]() | CMOs and | ![]() | CMOs and | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 5.1% | ** Foreign investments | 4.1% | ||||
* Futures and Swaps | 10.9% | ** Futures and Swaps | 4.2% |
(dagger)Short-term Investments and Net Other Assets are not included in the pie chart.
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 86.1% | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - 52.2% | ||||
3.759% 10/1/33 (e) | $ 253 | $ 250 | ||
3.787% 6/1/34 (e) | 1,243 | 1,220 | ||
3.803% 6/1/33 (e) | 198 | 197 | ||
3.876% 6/1/33 (e) | 946 | 941 | ||
3.907% 5/1/33 (e) | 1,338 | 1,334 | ||
3.943% 5/1/33 (e) | 89 | 88 | ||
3.986% 2/1/35 (e) | 207 | 206 | ||
3.998% 10/1/18 (e) | 190 | 188 | ||
4% 6/1/18 to 5/1/19 (c) | 18,102 | 17,151 | ||
4.014% 1/1/35 (e) | 111 | 111 | ||
4.05% 2/1/35 (e) | 192 | 191 | ||
4.065% 4/1/33 (e) | 86 | 85 | ||
4.07% 2/1/35 (e) | 142 | 142 | ||
4.076% 2/1/35 (e) | 370 | 367 | ||
4.079% 2/1/35 (e) | 135 | 134 | ||
4.102% 1/1/35 (e) | 403 | 402 | ||
4.116% 2/1/35 (e) | 467 | 466 | ||
4.126% 2/1/35 (e) | 375 | 377 | ||
4.137% 1/1/35 (e) | 723 | 720 | ||
4.175% 1/1/35 (e) | 564 | 555 | ||
4.25% 2/1/35 (e) | 273 | 269 | ||
4.266% 2/1/34 (e) | 259 | 257 | ||
4.279% 3/1/35 (e) | 239 | 238 | ||
4.283% 8/1/33 (e) | 494 | 492 | ||
4.291% 12/1/33 (e) | 257 | 255 | ||
4.307% 3/1/33 (e) | 133 | 131 | ||
4.345% 5/1/35 (e) | 299 | 297 | ||
4.347% 1/1/35 (e) | 295 | 291 | ||
4.355% 4/1/35 (e) | 135 | 134 | ||
4.364% 2/1/34 (e) | 556 | 552 | ||
4.402% 2/1/35 (e) | 412 | 406 | ||
4.416% 5/1/35 (e) | 753 | 752 | ||
4.421% 5/1/35 (e) | 237 | 235 | ||
4.429% 3/1/35 (e) | 383 | 378 | ||
4.448% 8/1/34 (e) | 774 | 769 | ||
4.475% 7/1/34 (e) | 4,317 | 4,264 | ||
4.481% 2/1/35 (e) | 225 | 224 | ||
4.5% 4/1/18 to 1/1/37 (c) | 34,482 | 32,849 | ||
4.5% 3/1/37 (b) | 27,000 | 25,452 | ||
4.5% 3/13/37 (b) | 12,000 | 11,312 | ||
4.5% 3/13/37 (b) | 13,100 | 12,349 | ||
4.5% 3/13/37 (b) | 8,000 | 7,541 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.507% 2/1/35 (e) | $ 1,474 | $ 1,476 | ||
4.524% 1/1/20 (e) | 1,574 | 1,558 | ||
4.526% 1/1/35 (e) | 318 | 318 | ||
4.531% 2/1/35 (e) | 153 | 153 | ||
4.536% 7/1/35 (e) | 905 | 902 | ||
4.594% 4/1/33 (e) | 1,099 | 1,099 | ||
4.727% 7/1/34 (e) | 727 | 725 | ||
4.782% 12/1/34 (e) | 251 | 249 | ||
4.786% 12/1/35 (e) | 1,339 | 1,337 | ||
4.899% 4/1/33 (e) | 2,534 | 2,529 | ||
4.927% 7/1/35 (e) | 60 | 60 | ||
5% 9/1/16 to 12/1/34 (c) | 53,137 | 52,032 | ||
5% 3/1/37 (b) | 17,279 | 16,752 | ||
5% 3/13/37 (b) | 30,000 | 29,086 | ||
5% 3/13/37 (b) | 14,000 | 13,573 | ||
5.07% 5/1/35 (e) | 1,511 | 1,514 | ||
5.11% 7/1/34 (e) | 645 | 646 | ||
5.142% 3/1/34 (e) | 4,551 | 4,563 | ||
5.167% 3/1/36 (e) | 3,794 | 3,803 | ||
5.178% 6/1/35 (e) | 1,093 | 1,096 | ||
5.18% 1/1/37 (e) | 1,660 | 1,663 | ||
5.225% 11/1/32 (e) | 736 | 738 | ||
5.233% 7/1/35 (e) | 939 | 924 | ||
5.266% 11/1/36 (e) | 798 | 801 | ||
5.269% 9/1/35 (e) | 270 | 271 | ||
5.271% 8/1/34 (e) | 2,269 | 2,263 | ||
5.316% 3/1/36 (e) | 10,498 | 10,545 | ||
5.352% 1/1/32 (e) | 291 | 293 | ||
5.403% 12/1/36 (e) | 1,215 | 1,221 | ||
5.408% 7/1/35 (e) | 844 | 847 | ||
5.5% 1/1/09 to 12/1/35 (c) | 198,943 | 198,192 | ||
5.5% 3/1/37 (b) | 10,555 | 10,464 | ||
5.5% 3/1/37 (b) | 5,000 | 4,957 | ||
5.5% 3/1/37 (b) | 1,651 | 1,636 | ||
5.5% 3/1/37 (b) | 20,000 | 19,828 | ||
5.5% 3/1/37 (b) | 8,400 | 8,328 | ||
5.5% 3/1/37 (b)(c) | 74,299 | 73,659 | ||
5.5% 3/1/37 (b)(c) | 7,000 | 6,940 | ||
5.5% 3/13/37 (b)(c) | 27,000 | 26,768 | ||
5.579% 6/1/32 (e) | 481 | 485 | ||
5.681% 10/1/36 (e) | 795 | 803 | ||
5.797% 11/1/36 (e) | 1,103 | 1,115 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.844% 4/1/36 (e) | $ 465 | $ 471 | ||
5.855% 1/1/36 (e) | 789 | 801 | ||
5.902% 3/1/36 (e) | 2,210 | 2,235 | ||
5.91% 3/1/36 (e) | 7,731 | 7,853 | ||
5.919% 3/1/36 (e) | 2,392 | 2,425 | ||
5.95% 12/1/36 (e) | 4,495 | 4,566 | ||
5.989% 9/1/36 (e) | 1,322 | 1,345 | ||
6% 4/1/08 to 6/1/35 | 165,486 | 167,597 | ||
6% 3/1/37 (b) | 2,687 | 2,709 | ||
6.022% 9/1/36 (e) | 864 | 877 | ||
6.036% 9/1/36 (e) | 1,491 | 1,504 | ||
6.325% 10/1/36 (e) | 12,217 | 12,480 | ||
6.343% 5/1/36 (e) | 1,572 | 1,604 | ||
6.357% 8/1/36 (e) | 1,920 | 1,964 | ||
6.359% 8/1/46 (e) | 393 | 402 | ||
6.456% 6/1/36 (e) | 2,404 | 2,449 | ||
6.5% 5/1/12 to 2/1/37 | 75,990 | 77,821 | ||
6.5% 3/1/37 (b)(c) | 5,035 | 5,132 | ||
6.565% 12/1/36 (e) | 306 | 312 | ||
6.614% 12/1/36 (e) | 465 | 476 | ||
7% 12/1/15 to 1/1/37 (c) | 13,068 | 13,500 | ||
7% 3/13/37 (b) | 1,845 | 1,895 | ||
7.5% 8/1/22 to 2/1/37 (b) | 11,084 | 11,472 | ||
8% 7/1/08 to 12/1/29 | 1 | 1 | ||
8.5% 1/1/16 to 7/1/31 | 331 | 357 | ||
9% 6/1/09 to 10/1/30 | 670 | 729 | ||
9.5% 11/1/09 to 8/1/22 | 137 | 150 | ||
11% 8/1/10 | 55 | 58 | ||
12.25% 5/1/15 | 25 | 28 | ||
12.5% 8/1/15 to 3/1/16 | 31 | 36 | ||
12.75% 2/1/15 | 5 | 5 | ||
13.5% 9/1/14 | 4 | 5 | ||
954,043 | ||||
Freddie Mac - 31.9% | ||||
2.905% 5/1/34 (e) | 51 | 51 | ||
3.76% 10/1/33 (e) | 3,173 | 3,122 | ||
3.915% 6/1/34 (e) | 463 | 454 | ||
4% 4/1/19 (d) | 5,040 | 4,778 | ||
4.078% 1/1/35 (e) | 307 | 305 | ||
4.278% 3/1/35 (e) | 321 | 320 | ||
4.279% 5/1/35 (e) | 550 | 546 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
4.297% 12/1/34 (e) | $ 388 | $ 381 | ||
4.321% 2/1/35 (e) | 696 | 693 | ||
4.422% 6/1/35 (e) | 510 | 506 | ||
4.426% 2/1/34 (e) | 312 | 309 | ||
4.431% 3/1/35 (e) | 369 | 363 | ||
4.452% 3/1/35 (e) | 396 | 390 | ||
4.5% 9/1/18 to 8/1/33 | 9,356 | 8,971 | ||
4.544% 2/1/35 (e) | 644 | 635 | ||
4.994% 4/1/35 (e) | 1,733 | 1,733 | ||
5% 6/1/18 to 9/1/35 | 49,922 | 48,495 | ||
5% 3/1/37 (b) | 30,785 | 29,846 | ||
5% 3/13/37 (b)(c) | 30,000 | 29,085 | ||
5.021% 4/1/35 (e) | 141 | 140 | ||
5.287% 11/1/35 (e) | 1,484 | 1,486 | ||
5.5% 6/1/09 to 9/1/35 | 43,845 | 43,689 | ||
5.5% 3/1/37 (b) | 15,160 | 15,032 | ||
5.5% 3/1/37 (b) | 17,170 | 17,025 | ||
5.5% 3/1/37 (b) | 74,000 | 73,377 | ||
5.5% 3/1/37 (b) | 95,830 | 95,024 | ||
5.5% 3/1/37 (b)(c) | 34,535 | 34,244 | ||
5.5% 3/13/37 (b) | 1,000 | 992 | ||
5.911% 11/1/31 (e) | 189 | 190 | ||
6% 5/1/16 to 9/1/36 | 17,087 | 17,348 | ||
6% 3/1/37 (b) | 10,400 | 10,490 | ||
6% 3/1/37 (b) | 20,500 | 20,678 | ||
6% 3/1/37 (b)(c) | 22,800 | 22,998 | ||
6.197% 10/1/36 (e) | 176 | 179 | ||
6.293% 3/1/36 (e) | 4,329 | 4,406 | ||
6.393% 12/1/36 (e) | 1,940 | 1,973 | ||
6.5% 4/1/11 to 2/1/36 (b) | 30,172 | 30,892 | ||
6.517% 10/1/36 (e) | 5,680 | 5,752 | ||
6.6% 10/1/36 (e) | 5,660 | 5,724 | ||
6.617% 10/1/36 (e) | 7,029 | 7,146 | ||
6.624% 12/1/36 (e) | 5,323 | 5,426 | ||
6.641% 7/1/36 (e) | 3,981 | 4,060 | ||
6.778% 9/1/36 (e) | 10,831 | 11,069 | ||
7% 6/1/21 to 2/1/37 (b) | 6,028 | 6,199 | ||
7.5% 2/1/08 to 2/1/37 (b) | 15,638 | 16,201 | ||
8% 10/1/07 to 4/1/21 | 58 | 60 | ||
8.5% 7/1/09 to 9/1/20 | 69 | 73 | ||
9% 10/1/08 to 5/1/21 | 379 | 407 | ||
10% 1/1/09 to 5/1/19 | 84 | 90 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
10.5% 8/1/10 to 2/1/16 | $ 9 | $ 10 | ||
12.5% 5/1/12 to 12/1/14 | 68 | 75 | ||
13% 12/1/13 to 6/1/15 | 112 | 127 | ||
583,565 | ||||
Government National Mortgage Association - 2.0% | ||||
3.75% 1/20/34 (e) | 1,351 | 1,346 | ||
6.5% 5/15/28 to 7/15/36 | 12,889 | 13,242 | ||
7% 2/15/24 to 1/15/37 (b) | 18,227 | 18,881 | ||
7.5% 6/15/07 to 4/15/32 | 1,684 | 1,771 | ||
8% 4/15/07 to 12/15/25 | 666 | 707 | ||
8.5% 8/15/16 to 10/15/28 | 1,009 | 1,093 | ||
9% 11/20/17 | 2 | 2 | ||
10.5% 12/20/15 to 2/20/18 | 74 | 83 | ||
13% 10/15/13 | 7 | 8 | ||
13.5% 7/15/11 | 4 | 5 | ||
37,138 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,576,926) | 1,574,746 | |||
Asset-Backed Securities - 2.9% | ||||
Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.44% 2/28/41 (e) | 865 | 865 | ||
Bear Stearns Asset Backed Securities, Inc. Series 2005-AQ2 Class M7, 6.97% 9/25/35 (e) | 1,965 | 1,967 | ||
Countrywide Home Loans, Inc. Series 2005-14 Class M4, 6.05% 4/25/36 (e) | 3,950 | 3,969 | ||
Ford Credit Auto Owner Trust Series 2006-C Class D, 6.89% 5/15/13 (a) | 715 | 721 | ||
Fremont Home Loan Trust Series 2006-E Class M1, 5.58% 1/25/37 (e) | 5,000 | 4,993 | ||
GSAMP Trust Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e) | 2,266 | 2,265 | ||
Holmes Master Issuer PLC Series 2006-1A: | ||||
Class 1C, 5.6% 7/15/40 (a)(e) | 940 | 940 | ||
Class 2C, 5.75% 7/15/40 (a)(e) | 490 | 490 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a) | 10,815 | 9,299 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-3 Class M1, 6.07% 7/25/33 (e) | 3,741 | 3,752 | ||
Series 2006-9 Class M10, 7.82% 11/25/36 (e) | 2,721 | 2,382 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
National Collegiate Student Loan Trust Series 2006-4 Class AI0, 6.35% 2/27/12 (g) | $ 4,205 | $ 1,139 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(e) | 5,000 | 4,963 | ||
Ocala Funding LLC Series 2006-1A Class A, 6.72% 3/20/11 (a)(e) | 2,100 | 2,100 | ||
Ownit Mortgage Loan Trust Series 2006-7 Class M1, 5.57% 10/25/37 (e) | 710 | 709 | ||
Pinnacle Capital Asset Trust Series 2006-A: | ||||
Class B, 5.51% 9/25/09 (a) | 985 | 986 | ||
Class C, 5.77% 5/25/10 (a) | 915 | 916 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 649 | 637 | ||
SG Mortgage Securities Trust Series 2006-OPT2 Class M1, 5.56% 10/25/36 (e) | 1,255 | 1,253 | ||
WaMu Asset-Backed Certificates Series 2006-HE5: | ||||
Class B1, 7.82% 10/25/36 (a)(e) | 1,005 | 880 | ||
Class M9, 7.82% 10/25/36 (e) | 1,515 | 1,481 | ||
WaMu Asset Holdings Corp. Series 2006-5 Class N1, 5.926% 7/25/46 (a) | 2,019 | 2,009 | ||
WaMu Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) | 1,663 | 1,654 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 1,958 | 1,947 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $52,082) | 52,317 | |||
Collateralized Mortgage Obligations - 16.3% | ||||
Private Sponsor - 6.3% | ||||
American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (e) | 6,360 | 6,243 | ||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class 1C, 5.61% 2/17/52 (a)(e) | 745 | 745 | ||
Class 3C, 5.75% 2/17/52 (a)(e) | 455 | 455 | ||
Series 2006-2A: | ||||
Class 1C, 5.6% 2/17/52 (a)(e) | 705 | 705 | ||
Class 2C, 5.74% 2/17/52 (a)(e) | 2,250 | 2,250 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2004-J Class 2A1, 4.7806% 11/25/34 (e) | 1,195 | 1,185 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2005-J Class 2A5, 5.0926% 11/25/35 (e) | $ 3,435 | $ 3,427 | ||
Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17 | 953 | 948 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 5.72% 3/25/35 (e) | 313 | 313 | ||
Credit Suisse First Boston Mortgage Acceptance Corp. sequential pay Series 2003-1 Class 3A8, 6% 1/25/33 | 1,511 | 1,508 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.7196% 1/28/32 (a)(e) | 322 | 284 | ||
Fosse Master Issuer PLC floater Series 2006-1A Class C2, 5.84% 10/18/54 (a)(e) | 770 | 770 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 5.83% 11/20/56 (a)(e) | 3,825 | 3,825 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.83% 10/11/41 (a)(e) | 2,520 | 2,520 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-2 Class C1, 5.83% 12/20/54 (e) | 155 | 155 | ||
Series 2006-4 Class C1, 5.75% 12/20/54 (e) | 1,465 | 1,465 | ||
Series 2007-1: | ||||
Class 1C1, 5.6387% 12/20/54 (e) | 940 | 941 | ||
Class 2C1, 5.7687% 12/20/54 (e) | 500 | 501 | ||
GSAMP Trust Series 2007-AR2 Class 2A1, 4.8583% 4/25/35 (e) | 1,227 | 1,220 | ||
Holmes Financing No. 6 PLC floater Series 2006 Class 4C, 6.91% 7/15/40 (e) | 765 | 773 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (e) | 1,010 | 1,016 | ||
Class A3, 5.447% 6/12/47 (e) | 13,695 | 13,847 | ||
JP Morgan Mortgage Trust Series 2007-A1: | ||||
Class 3A2, 5.012% 7/25/35 (e) | 4,957 | 4,931 | ||
Class 7A3, 5.302% 7/25/35 (e) | 6,920 | 6,934 | ||
Master Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18 | 3,937 | 4,010 | ||
Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 5.82% 6/15/22 (a)(e) | 18,000 | 18,114 | ||
Permanent Master Issuer PLC floater Series 2006-1: | ||||
Class 1C, 5.56% 7/17/42 (e) | 1,500 | 1,500 | ||
Class 2C, 5.76% 7/17/42 (e) | 5,515 | 5,515 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | $ 974 | $ 989 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 218 | 222 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 854 | 824 | ||
Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 7.82% 12/25/36 (e) | 795 | 675 | ||
WaMu Mortgage pass thru certificates sequential payer Series 2002-S6 Class A25, 6% 10/25/32 | 630 | 628 | ||
WaMu Mortgage Securities Corp. Series 2004-RA3 Class 2A, 6.4219% 8/25/38 (e) | 15,192 | 15,370 | ||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR8: | ||||
Class 2A6, 5.24% 4/25/36 (e) | 4,865 | 4,844 | ||
Class 3A1, 5.2379% 4/25/36 (e) | 4,746 | 4,722 | ||
TOTAL PRIVATE SPONSOR | 114,374 | |||
U.S. Government Agency - 10.0% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1994-23 Class PX, 6% 8/25/23 | 3,059 | 3,107 | ||
Series 1999-1 Class PJ, 6.5% 2/25/29 | 9,669 | 10,041 | ||
Series 1999-15 Class PC, 6% 9/25/18 | 2,179 | 2,186 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 1,145 | 1,138 | ||
Series 1993-165 Class SH, 4.6848% 9/25/23 (e) | 217 | 215 | ||
Series 2003-22 6% 4/25/33 (g) | 5,478 | 1,125 | ||
Series 2003-26 Class KI, 5% 12/25/15 (g) | 3,331 | 249 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (e)(g) | 2,604 | 379 | ||
Series 2006-48 Class LF, 0% 8/25/34 (e) | 663 | 647 | ||
6% 4/25/29 | 7,060 | 7,246 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 1999-51 Class LK, 6.5% 8/25/29 | 10,000 | 10,296 | ||
Series 2001-63 Class TC, 6% 12/25/31 | 4,065 | 4,171 | ||
Series 2002-11 Class QB, 5.5% 3/25/15 | 215 | 214 | ||
Series 2002-49 Class KG, 5.5% 8/25/17 | 4,020 | 4,085 | ||
Series 2005-14 Class ME, 5% 10/25/33 | 1,785 | 1,735 | ||
Series 2005-39 Class TE, 5% 5/25/35 | 1,120 | 1,063 | ||
Series 2006-54 Class PC, 6% 1/25/36 | 6,880 | 7,079 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae guaranteed REMIC pass thru certificates: - continued | ||||
sequential payer: | ||||
Series 2002-34 Class Z, 6% 4/25/32 | $ 6,964 | $ 7,096 | ||
Series 2002-9 Class C, 6.5% 6/25/30 | 293 | 293 | ||
Series 2003-80 Class CG, 6% 4/25/30 | 895 | 911 | ||
Series 2004-65 Class EY, 5.5% 8/25/24 | 7,265 | 7,186 | ||
Series 2005-41 Class LA, 5.5% 5/25/35 | 3,397 | 3,430 | ||
Series 2005-55 Class LY, 5.5% 7/25/25 | 6,595 | 6,517 | ||
Series 2002-50 Class LE, 7% 12/25/29 | 57 | 57 | ||
Series 2003-42 Class HS, 1.78% 12/25/17 (e)(g) | 10,252 | 545 | ||
Series 2003-48 Class HI, 5% 11/25/17 (g) | 3,735 | 453 | ||
Series 2003-89 Class DW, 5% 3/25/29 | 8,760 | 8,692 | ||
Series 2006-4 Class IT, 6% 10/25/35 (g) | 646 | 77 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 4,780 | 4,910 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 3,140 | 3,220 | ||
Series 2001-74 Class QE, 6% 12/25/31 | 2,425 | 2,481 | ||
Series 2001-63 Class PG, 6% 12/25/31 | 2,475 | 2,531 | ||
Freddie Mac: | ||||
planned amortization class: | ||||
Series 2095 Class PE, 6% 11/15/28 | 6,325 | 6,485 | ||
Series 2104 Class PG, 6% 12/15/28 | 1,978 | 2,030 | ||
Series 2512 Class PG, 5.5% 10/15/22 | 5,100 | 5,064 | ||
Series 3036 Class ND, 5% 5/15/34 | 6,910 | 6,724 | ||
Series 70 Class C, 9% 9/15/20 | 157 | 157 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 943 | 971 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 1,570 | 1,623 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater Series 2958 Class TF, 0% 4/15/35 (e) | 630 | 598 | ||
planned amortization class: | ||||
Series 2121 Class MG, 6% 2/15/29 | 2,591 | 2,659 | ||
Series 2137 Class PG, 6% 3/15/29 | 2,584 | 2,653 | ||
Series 2154 Class PT, 6% 5/15/29 | 3,370 | 3,467 | ||
Series 2435 Class VG, 6% 2/15/13 | 929 | 947 | ||
Series 2568 Class KG, 5.5% 2/15/23 | 8,820 | 8,836 | ||
Series 2802 Class OB, 6% 5/15/34 | 3,375 | 3,477 | ||
Series 2810 Class PD, 6% 6/15/33 | 2,540 | 2,603 | ||
Series 3077 Class TO, 4/15/35 (h) | 4,913 | 3,614 | ||
Series 3140 Class XO, 3/15/36 (h) | 2,505 | 1,894 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | $ 2,988 | $ 3,067 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 1,009 | 1,055 | ||
Series 2281 Class ZB, 6% 3/15/30 | 1,256 | 1,284 | ||
Series 2388 Class ZA, 6% 12/15/31 | 5,620 | 5,720 | ||
Series 2502 Class ZC, 6% 9/15/32 | 1,504 | 1,535 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,520 | 2,305 | ||
Series 3097 Class IA, 5.5% 3/15/33 (g) | 4,786 | 835 | ||
Series 1658 Class GZ, 7% 1/15/24 | 3,010 | 3,144 | ||
Series 2587 Class IM, 6.5% 3/15/33 (g) | 1,895 | 426 | ||
Series 2902 Class LZ, 5.5% 9/15/31 | 7,360 | 7,341 | ||
TOTAL U.S. GOVERNMENT AGENCY | 183,889 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $294,916) | 298,263 | |||
Commercial Mortgage Securities - 5.0% | ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A-6, 7.404% 2/14/43 (e) | 8,300 | 9,109 | ||
Class PS1, 1.6789% 2/14/43 (e)(g) | 33,568 | 1,093 | ||
Banc of America Commercial Mortgage Trust Series 2006-6 Class XP, 0.4314% 10/10/45 (e)(g) | 49,455 | 1,131 | ||
Banc of America Commercial Mortgage, Inc. Series 2003-2: | ||||
Class HSA, 4.954% 3/11/41 (a) | 740 | 729 | ||
Class HSB, 4.954% 3/11/41 (a) | 895 | 881 | ||
Class HSC, 4.954% 3/11/41 (a) | 895 | 875 | ||
Class HSD, 4.954% 3/11/41 (a) | 895 | 874 | ||
Class HSE, 4.954% 3/11/41 (a) | 2,290 | 2,165 | ||
Banc of America Large Loan Trust floater Series 2006-BIX1: | ||||
Class JCP, 5.82% 10/15/19 (a)(e) | 236 | 236 | ||
Class KCP, 5.87% 10/15/19 (a)(e) | 384 | 384 | ||
Class LCP, 5.97% 10/15/19 (a)(e) | 1,418 | 1,418 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2006-3A: | ||||
Class B1, 6.12% 10/25/36 (a)(e) | $ 319 | $ 314 | ||
Class B2, 6.67% 10/25/36 (a)(e) | 208 | 209 | ||
Class B3, 7.92% 10/25/36 (a)(e) | 373 | 368 | ||
Class M4, 5.75% 10/25/36 (a)(e) | 319 | 320 | ||
Class M5, 5.8% 10/25/36 (a)(e) | 407 | 407 | ||
Class M6, 5.88% 10/25/36 (a)(e) | 789 | 790 | ||
Series 2006-4A: | ||||
Class B1, 6.02% 12/25/36 (a)(e) | 128 | 128 | ||
Class B2, 6.57% 12/25/36 (a)(e) | 123 | 121 | ||
Class B3, 7.77% 12/25/36 (a)(e) | 226 | 226 | ||
Series 2007-1: | ||||
Class B1, 5.99% 3/25/37 (a)(e) | 184 | 184 | ||
Class B2, 6.47% 3/25/37 (a)(e) | 134 | 134 | ||
Class B3, 8.67% 3/25/37 (a)(e) | 383 | 383 | ||
Class M1, 5.59% 3/25/37 (a)(e) | 154 | 154 | ||
Class M2, 5.61% 3/25/37 (a)(e) | 119 | 119 | ||
Class M3, 5.64% 3/27/37 (a)(e) | 105 | 105 | ||
Class M4, 5.69% 3/25/37 (a)(e) | 80 | 80 | ||
Class M5, 5.74% 3/25/37 (a)(e) | 129 | 129 | ||
Class M6, 5.82% 3/25/37 (a)(e) | 184 | 184 | ||
Bear Stearns Commerical Mortgage Securities Trust Series 2006-PW14 Class X2, 0.656% 12/1/38 (a)(e)(g) | 120,185 | 4,107 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.8294% 5/15/35 (a)(e)(g) | 30,767 | 1,597 | ||
Chase Commercial Mortgage Securities Corp. Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,110 | 1,179 | ||
Class F, 7.734% 1/15/32 | 600 | 637 | ||
Citigroup Commercial Mortgage Trust Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (a) | 6,660 | 6,664 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4531% 10/15/48 (e)(g) | 92,870 | 2,260 | ||
Commercial Mortgage pass-thru certificates Series 2006-FL12: | ||||
Class CN1, 5.82% 12/15/20 (a)(e) | 878 | 878 | ||
Class CN2, 5.87% 12/15/20 (a)(e) | 472 | 472 | ||
Class CN3, 5.97% 12/15/20 (a)(e) | 457 | 457 | ||
Communication Mortgage Trust Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 2,139 | 2,138 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Communication Mortgage Trust Series 2006-C8: - continued | ||||
Class XP, 0.505% 12/10/46 (e)(g) | $ 115,888 | $ 3,001 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6729% 12/15/39 (e)(g) | 71,210 | 2,550 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2006-TF2A: | ||||
Class A2, 6.82% 7/15/19 (a)(e) | 1,970 | 1,965 | ||
Class SHDC, 6.32% 7/15/19 (a)(e) | 940 | 940 | ||
Series 2006-TFL2 Class SHDD, 6.67% 7/15/19 (a)(e) | 530 | 530 | ||
GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7661% 5/10/43 (e)(g) | 51,652 | 1,235 | ||
Greenwich Capital Commercial Funding Corp. Series 2007-GG9 Class A1, 5.233% 3/10/39 | 1,215 | 1,215 | ||
GS Mortgage Securities Corp. II Series 1998-GLII Class E, 6.9707% 4/13/31 (e) | 390 | 397 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA Class B, 7.3% 8/3/15 (a) | 785 | 822 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2006-CB14 Class A3B, 5.4864% 12/12/44 (e) | 2,640 | 2,687 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 1,121 | 1,129 | ||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 1,139 | 1,144 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (e) | 830 | 836 | ||
Series 2006-C6 Class XCP, 0.6468% 9/15/39 (e)(g) | 39,305 | 1,306 | ||
Series 2007-C1 Class XCP, 0.4571% 2/15/40 (e)(g) | 15,300 | 393 | ||
Merrill Lynch Mortgage Trust Series 2006-C1 Class A3, 5.6599% 5/12/39 (e) | 3,675 | 3,772 | ||
Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-2 Class A3, 5.8768% 6/12/46 (e) | 3,321 | 3,452 | ||
ML-CFC Commercial Mortgage Series 2006-4 Class XP, 0.683% 12/12/49 (e)(g) | 146,825 | 5,177 | ||
Morgan Stanley Capital I Trust: | ||||
floater Series 2007-XLFA: | ||||
Class MHRO, 6.01% 10/15/20 (a)(e) | 790 | 790 | ||
Class MJPM, 6.32% 10/15/20 (a)(e) | 460 | 460 | ||
Class MSTR, 6.02% 10/15/20 (a)(e) | 390 | 390 | ||
Class NHRO, 6.21% 10/15/20 (a)(e) | 1,220 | 1,220 | ||
Class NSTR, 6.17% 10/15/20 (a)(e) | 360 | 360 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 (e) | 1,340 | 1,346 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2007-T25 Class A2, 5.507% 11/12/49 | $ 6,475 | $ 6,576 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 4,276 | 4,341 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $91,523) | 91,673 |
Fixed-Income Funds - 24.6% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (f) | 4,538,839 | 450,843 | |
Cash Equivalents - 1.3% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at: | |||
5.29%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Treasury Obligations) # | $ 2,224 | 2,224 | |
5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) # | 22,478 | 22,475 | |
TOTAL CASH EQUIVALENTS (Cost $24,699) | 24,699 | ||
TOTAL INVESTMENT PORTFOLIO - 136.2% (Cost $2,491,194) | 2,492,541 | ||
NET OTHER ASSETS - (36.2)% | (662,601) | ||
NET ASSETS - 100% | $ 1,829,940 |
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors, Inc. Series 2006-HE5 Class B3, 7.32% 8/25/37 | Sept. 2037 | $ 7,500 | $ (1,143) | ||
Receive monthly notional amount multiplied by 2.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 8.52% 9/25/34 | Oct. 2034 | 1,400 | (62) | ||
Receive monthly notional amount multiplied by 1.35% and pay Deutsche Bank upon default event of Asset Backed Sec. Corp. Home Equity Loan Trust, par value of the notional amount of Asset Backed Sec. Corp. Home Equity Loan Trust Series 2006-HE5 Class M8, 6.32% 7/25/36 | August 2036 | 5,000 | (518) | ||
Receive monthly notional amount multiplied by 1.45% and pay UBS upon default event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36 | August 2036 | 2,400 | (378) | ||
Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon default event of JP Morgan Mortgage Acquisition Corp., par value of the notional amount of JP Morgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36 | Sept. 2036 | 1,400 | (160) | ||
Receive monthly notional amount multiplied by 2.8% and pay Merrill Lynch, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.7768% 11/25/34 | Dec. 2034 | 1,200 | (76) | ||
Receive monthly notional amount multiplied by 2.87% and pay Bank of America upon default event of Morgan Stanley ABS Capital Inc. Trust, par value of the notional amount of Morgan Stanley ABS Capital Inc. Trust Series 2006-HE3 Class B3, 7.22% 4/25/36 | May 2036 | 2,400 | (515) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.05% and pay JPMorgan Chase, Inc. upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.13% 8/25/36 | Sept. 2036 | $ 1,400 | $ (266) | ||
Receive monthly notional amount multiplied by 3.12% and pay Bank of America upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2006-B Class M9, 7.23% 8/25/36 | Sept. 2036 | 1,400 | (265) | ||
Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36 | August 2036 | 7,500 | (1,029) | ||
Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.22% 7/25/36 | August 2036 | 7,500 | (1,176) | ||
Receive monthly notional amount multiplied by 3.75% and pay Deutsche Bank upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2005-3 Class M9, 7.32% 2/25/36 | March 2036 | 2,000 | (183) | ||
Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-8 Class M9, 7.12% 9/25/36 | Oct. 2036 | 7,500 | (1,212) | ||
TOTAL CREDIT DEFAULT SWAPS | 48,600 | (6,983) | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 4.931% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc. | Dec. 2016 | $ 10,000 | $ (136) | ||
Receive semi-annually a fixed rate equal to 4.933% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2012 | 15,000 | (30) | ||
Receive semi-annually a fixed rate equal to 5% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Nov. 2009 | 23,000 | 294 | ||
Receive semi-annually a fixed rate equal to 5.008% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | March 2012 | 15,000 | 19 | ||
Receive semi-annually a fixed rate equal to 5.2115% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Oct. 2008 | 10,000 | 149 | ||
TOTAL INTEREST RATE SWAPS | 73,000 | 296 | |||
Total Return Swaps | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 30 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | 15,000 | 0 | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | 15,000 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 7 basis points with Lehman Brothers, Inc. | June 2007 | 20,000 | 246 | ||
TOTAL TOTAL RETURN SWAPS | 50,000 | 246 | |||
$ 171,600 | $ (6,441) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $95,307,000 or 5.2% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $6,256,000. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(g) 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 held as of the end of the period. |
(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,224,000 due 3/01/07 at 5.29% | |
Barclays Capital, Inc. | $ 896 |
Credit Suisse Securities (USA) LLC | 1,328 |
$ 2,224 | |
$22,475,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 933 |
BNP Paribas Securities Corp. | 918 |
Banc of America Securities LLC | 2,079 |
Bank of America, NA | 3,111 |
Barclays Capital, Inc. | 5,479 |
Bear Stearns & Co., Inc. | 622 |
Citigroup Global Markets, Inc. | 622 |
Countrywide Securities Corp. | 3,111 |
Goldman, Sachs & Co. | 311 |
Societe Generale, New York Branch | 933 |
UBS Securities LLC | 4,356 |
$ 22,475 |
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 Ultra-Short Central Fund | $ 14,200 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of period |
Fidelity Ultra-Short Central Fund | $ 422,645 | $ 169,990 | $ 140,990 | $ 450,843 | 3.3% |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $20,777,000 of which $2,470,000 and $18,307,000 will expire on August 31, 2013 and 2014, respectively. |
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) | February 28, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $24,699) - See accompanying schedule: Unaffiliated issuers (cost $2,040,146) | $ 2,041,698 | |
Fidelity Central Funds (cost $451,048) | 450,843 | |
Total Investments (cost $2,491,194) | $ 2,492,541 | |
Commitment to sell securities on a delayed delivery basis | (247,172) | |
Receivable for securities sold on a delayed delivery basis | 246,304 | (868) |
Cash | 537 | |
Receivable for investments sold | 34,083 | |
Delayed delivery | 49,658 | |
Receivable for swap agreements | 128 | |
Receivable for fund shares sold | 2,317 | |
Interest receivable | 7,701 | |
Distributions receivable from Fidelity Central Funds | 2,062 | |
Total assets | 2,588,159 | |
Liabilities | ||
Payable for investments purchased | $ 118,112 | |
Delayed delivery | 630,537 | |
Payable for fund shares redeemed | 1,740 | |
Distributions payable | 579 | |
Swap agreements, at value | 6,441 | |
Accrued management fee | 483 | |
Distribution fees payable | 97 | |
Other affiliated payables | 230 | |
Total liabilities | 758,219 | |
Net Assets | $ 1,829,940 | |
Net Assets consist of: | ||
Paid in capital | $ 1,855,827 | |
Distributions in excess of net investment income | (2,782) | |
Accumulated undistributed net realized gain (loss) on investments | (17,143) | |
Net unrealized appreciation (depreciation) on investments | (5,962) | |
Net Assets | $ 1,829,940 |
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) | February 28, 2007 (Unaudited) | |
Calculation of Maximum Offering Price Class A: | $ 11.03 | |
Maximum offering price per share (100/95.25 of $11.03) | $ 11.58 | |
Class T: | $ 11.05 | |
Maximum offering price per share (100/96.50 of $11.05) | $ 11.45 | |
Class B: | $ 11.03 | |
Class C: | $ 11.02 | |
Fidelity Mortgage Securities Fund: | $ 11.05 | |
Institutional Class: | $ 11.03 |
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 February 28, 2007 (Unaudited) | |
Investment Income | ||
Interest | $ 36,320 | |
Income from Fidelity Central Funds | 14,200 | |
Total income | 50,520 | |
Expenses | ||
Management fee | $ 2,955 | |
Transfer agent fees | 1,087 | |
Distribution fees | 610 | |
Fund wide operations fee | 288 | |
Independent trustees' compensation | 3 | |
Miscellaneous | 3 | |
Total expenses before reductions | 4,946 | |
Expense reductions | (7) | 4,939 |
Net investment income | 45,581 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,524) | |
Fidelity Central Funds | 617 | |
Swap agreements | 151 | |
Capital gain distributions from Fidelity Central Funds | 78 | |
Total net realized gain (loss) | (1,678) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 19,556 | |
Swap agreements | (7,136) | |
Delayed delivery commitments | (751) | |
Total change in net unrealized appreciation (depreciation) | 11,669 | |
Net gain (loss) | 9,991 | |
Net increase (decrease) in net assets resulting from operations | $ 55,572 |
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 February 28, 2007 (Unaudited) | Ten months ended* | Year ended |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 45,581 | $ 76,477 | $ 80,564 |
Net realized gain (loss) | (1,678) | (19,322) | 1,596 |
Change in net unrealized appreciation (depreciation) | 11,669 | 15,324 | (52,287) |
Net increase (decrease) in net assets resulting | 55,572 | 72,479 | 29,873 |
Distributions to shareholders from net investment income | (45,363) | (76,044) | (83,034) |
Distributions to shareholders from net realized gain | - | - | (10,450) |
Total distributions | (45,363) | (76,044) | (93,484) |
Share transactions - net increase (decrease) | (54,309) | (263,875) | 288,375 |
Total increase (decrease) in net assets | (44,100) | (267,440) | 224,764 |
Net Assets | |||
Beginning of period | 1,874,040 | 2,141,480 | 1,916,716 |
End of period (including distributions in excess of net investment income of $2,782, $3,000 and $2,371, respectively) | $ 1,829,940 | $ 1,874,040 | $ 2,141,480 |
* The fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 H | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 | $ 11.12 | $ 10.53 |
Income from Investment Operations | |||||||
Net investment income E | .218 | .336 | .323 | .278 | .197 | .421 J | .551 |
Net realized and unrealized gain (loss) | .059 | (.022) | (.257) | .172 | .112 | .171 J | .611 |
Total from investment operations | .277 | .314 | .066 | .450 | .309 | .592 | 1.162 |
Distributions from net investment income | (.217) | (.334) | (.336) | (.280) | (.189) | (.452) | (.572) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.217) | (.334) | (.396) | (.430) | (.269) | (.452) | (.572) |
Net asset value, end of period | $ 11.03 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 | $ 11.12 |
Total Return B, C, D | 2.54% | 2.91% | .58% | 4.08% | 2.78% | 5.48% | 11.32% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.58% | 1.60% |
Expenses net of fee waivers, if any | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.58% | 1.60% |
Expenses net of all reductions | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.57% | 1.60% |
Net investment income | 3.98% A | 3.68% A | 2.89% | 2.48% | 1.75% | 3.82% J | 5.11% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 66 | $ 74 | $ 101 | $ 134 | $ 182 | $ 176 | $ 57 |
Portfolio turnover rate G | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. K For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Fidelity Mortgage Securities Fund
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 | $ 11.14 | $ 10.54 |
Income from Investment Operations | |||||||
Net investment income D | .276 | .432 | .438 | .390 | .306 | .526 I | .654 |
Net realized and unrealized gain (loss) | .059 | (.023) | (.257) | .183 | .102 | .170 I | .619 |
Total from investment operations | .335 | .409 | .181 | .573 | .408 | .696 | 1.273 |
Distributions from net investment income | (.275) | (.429) | (.451) | (.393) | (.298) | (.556) | (.673) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.275) | (.429) | (.511) | (.543) | (.378) | (.556) | (.673) |
Net asset value, end of period | $ 11.05 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 | $ 11.14 |
Total Return B, C | 3.07% | 3.80% | 1.61% | 5.21% | 3.68% | 6.47% | 12.44% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Expenses net of fee waivers, if any | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Expenses net of all reductions | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Net investment income | 5.04% A | 4.73% A | 3.91% | 3.48% | 2.72% | 4.76% I | 6.04% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 1,591 | $ 1,612 | $ 1,807 | $ 1,525 | $ 1,302 | $ 1,208 | $ 430 |
Portfolio turnover rate F | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. J For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 | $ 11.11 | $ 10.52 |
Income from Investment Operations | |||||||
Net investment income D | .271 | .424 | .432 | .387 | .302 | .513 I | .644 |
Net realized and unrealized gain (loss) | .059 | (.011) | (.266) | .182 | .112 | .171 I | .610 |
Total from investment operations | .330 | .413 | .166 | .569 | .414 | .684 | 1.254 |
Distributions from net investment income | (.270) | (.423) | (.446) | (.389) | (.294) | (.544) | (.664) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.270) | (.423) | (.506) | (.539) | (.374) | (.544) | (.664) |
Net asset value, end of period | $ 11.03 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 | $ 11.11 |
Total Return B, C | 3.04% | 3.85% | 1.48% | 5.19% | 3.75% | 6.36% | 12.27% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .53% A | .52% A | .60% | .66% | .63% | .75% | .76% |
Expenses net of fee waivers, if any | .53% A | .52% A | .60% | .66% | .63% | .75% | .75% |
Expenses net of all reductions | .53% A | .52% A | .60% | .66% | .63% | .75% | .75% |
Net investment income | 4.96% A | 4.66% A | 3.87% | 3.45% | 2.69% | 4.65% I | 5.95% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 12 | $ 14 | $ 16 | $ 13 | $ 16 | $ 12 | $ 7 |
Portfolio turnover rate F | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. J For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Mortgage Securities 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 B, Class C, Fidelity Mortgage Securities Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or, for the Fixed-Income Central Funds, at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 12,304 | |
Unrealized depreciation | (11,358) | |
Net unrealized appreciation (depreciation) | $ 946 | |
Cost for federal income tax purposes | $ 2,491,595 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
New Accounting Pronouncements - continued
2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the
Semiannual Report
4. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies - continued
Swap Agreements - continued
guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
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 $467,402 and $286,584, respectively.
Semiannual Report
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | .00% | .15% | $ 40 | $ 1 |
Class T | .00% | .25% | 107 | 1 |
Class B | .65% | .25% | 313 | 227 |
Class C | .75% | .25% | 150 | 19 |
$ 610 | $ 248 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
On January 18, 2007, the Board of Trustees approved a change in Class A and Class T's front-end sales charge. Effective April 1, 2007, FDC will receive a front-end sales charge of up to 4.00% for selling Class A and Class T shares.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 4 |
Class T | 3 |
Class B* | 89 |
Class C* | 1 |
$ 97 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales
are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Fidelity Mortgage Securities Fund. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Fidelity Mortgage Securities Fund shares. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FSC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. FIIOC and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 63 | .24 |
Class T | 93 | .22 |
Class B | 87 | .25 |
Class C | 34 | .23 |
Fidelity Mortgage Securities Fund | 800 | .10 |
Institutional Class | 10 | .18 |
$ 1,087 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Fundwide Operations Fee - continued
for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $2 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $3. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 1 | |
Fidelity Mortgage Securities Fund | 3 | |
$ 4 |
9. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
9. Other - continued
During the period, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC is in the process of determining appropriate remediation to affected shareholder accounts.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
From net investment income | |||
Class A | $ 1,241 | $ 1,927 | $ 2,029 |
Class T | 1,980 | 3,883 | 4,745 |
Class B | 1,373 | 2,632 | 3,543 |
Class C | 579 | 1,063 | 1,456 |
Fidelity Mortgage Securities Fund | 39,901 | 65,925 | 70,651 |
Institutional Class | 289 | 614 | 610 |
Total | $ 45,363 | $ 76,044 | $ 83,034 |
From net realized gain | |||
Class A | $ - | $ - | $ 287 |
Class T | - | - | 691 |
Class B | - | - | 700 |
Class C | - | - | 301 |
Fidelity Mortgage Securities Fund | - | - | 8,396 |
Institutional Class | - | - | 75 |
Total | $ - | $ - | $ 10,450 |
Semiannual Report
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | 713 | 1,839 | 1,644 |
Reinvestment of distributions | 97 | 152 | 179 |
Shares redeemed | (1,075) | (1,692) | (2,106) |
Net increase (decrease) | (265) | 299 | (283) |
Class T | |||
Shares sold | 634 | 1,518 | 3,841 |
Reinvestment of distributions | 169 | 334 | 458 |
Shares redeemed | (1,381) | (5,186) | (4,417) |
Net increase (decrease) | (578) | (3,334) | (118) |
Class B | |||
Shares sold | 80 | 180 | 374 |
Reinvestment of distributions | 102 | 194 | 308 |
Shares redeemed | (1,022) | (2,788) | (3,340) |
Net increase (decrease) | (840) | (2,414) | (2,658) |
Class C | |||
Shares sold | 138 | 272 | 501 |
Reinvestment of distributions | 41 | 76 | 124 |
Shares redeemed | (485) | (1,211) | (2,018) |
Net increase (decrease) | (306) | (863) | (1,393) |
Fidelity Mortgage Securities Fund | |||
Shares sold | 14,135 | 19,669 | 60,281 |
Reinvestment of distributions | 3,353 | 5,589 | 6,543 |
Shares redeemed | (20,184) | (42,873) | (37,075) |
Net increase (decrease) | (2,696) | (17,615) | 29,749 |
Institutional Class | |||
Shares sold | 224 | 703 | 733 |
Reinvestment of distributions | 19 | 43 | 44 |
Shares redeemed | (476) | (935) | (476) |
Net increase (decrease) | (233) | (189) | 301 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Share Transactions - continued
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | $ 7,856 | $ 20,110 | $ 18,382 |
Reinvestment of distributions | 1,066 | 1,656 | 2,002 |
Shares redeemed | (11,856) | (18,454) | (23,537) |
Net increase (decrease) | $ (2,934) | $ 3,312 | $ (3,153) |
Class T | |||
Shares sold | $ 7,000 | $ 16,612 | $ 43,073 |
Reinvestment of distributions | 1,871 | 3,658 | 5,128 |
Shares redeemed | (15,245) | (56,617) | (49,428) |
Net increase (decrease) | $ (6,374) | $ (36,347) | $ (1,227) |
Class B | |||
Shares sold | $ 891 | $ 1,960 | $ 4,184 |
Reinvestment of distributions | 1,121 | 2,120 | 3,440 |
Shares redeemed | (11,258) | (30,466) | (37,334) |
Net increase (decrease) | $ (9,246) | $ (26,386) | $ (29,710) |
Class C | |||
Shares sold | $ 1,514 | $ 2,962 | $ 5,615 |
Reinvestment of distributions | 455 | 831 | 1,386 |
Shares redeemed | (5,338) | (13,216) | (22,545) |
Net increase (decrease) | $ (3,369) | $ (9,423) | $ (15,544) |
Fidelity Mortgage Securities Fund | |||
Shares sold | $ 156,124 | $ 215,483 | $ 676,321 |
Reinvestment of distributions | 37,070 | 61,180 | 73,241 |
Shares redeemed | (223,023) | (469,651) | (414,945) |
Net increase (decrease) | $ (29,829) | $ (192,988) | $ 334,617 |
Institutional Class | |||
Shares sold | $ 2,473 | $ 7,639 | $ 8,212 |
Reinvestment of distributions | 210 | 474 | 496 |
Shares redeemed | (5,241) | (10,156) | (5,316) |
Net increase (decrease) | $ (2,558) | $ (2,043) | $ 3,392 |
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money Management, Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management & Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
AMOR-USAN-0407
1.784898.104
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Mortgage Securities
Fund - Institutional Class
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
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 www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,029.30 | $ 3.72** |
Hypothetical A | $ 1,000.00 | $ 1,021.12 | $ 3.71** |
Class T | |||
Actual | $ 1,000.00 | $ 1,028.80 | $ 4.12 |
Hypothetical A | $ 1,000.00 | $ 1,020.73 | $ 4.11 |
Class B | |||
Actual | $ 1,000.00 | $ 1,025.40 | $ 7.53 |
Hypothetical A | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class C | |||
Actual | $ 1,000.00 | $ 1,025.00 | $ 7.93 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Fidelity Mortgage Securities Fund | |||
Actual | $ 1,000.00 | $ 1,030.70 | $ 2.27 |
Hypothetical A | $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,030.40 | $ 2.67 |
Hypothetical A | $ 1,000.00 | $ 1,022.17 | $ 2.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .74%** |
Class T | .82% |
Class B | 1.50% |
Class C | 1.58% |
Fidelity Mortgage Securities Fund | .45% |
Institutional Class | .53% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the period, the annualized expense ratio would have been .84% and the expenses paid in the actual and hypothetical examples above would have been $4.23 and $4.21, respectively.
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investment in each Fidelity Central Fund. |
Coupon Distribution as of February 28, 2007 | ||
% of fund's investments | % of fund's investments | |
Less than 4% | 1.9 | 1.9 |
4 - 4.99% | 7.4 | 9.2 |
5 - 5.99% | 61.0 | 60.0 |
6 - 6.99% | 25.1 | 18.4 |
7% and over | 4.4 | 3.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 4.7 | 4.4 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 2.9 | 3.7 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007 * | As of August 31, 2006 ** | ||||||
![]() | Mortgage | ![]() | Mortgage | ||||
![]() | Corporate Bonds 3.4% | ![]() | Corporate Bonds 1.7% | ||||
![]() | CMOs and | ![]() | CMOs and | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 5.1% | ** Foreign investments | 4.1% | ||||
* Futures and Swaps | 10.9% | ** Futures and Swaps | 4.2% |
(dagger)Short-term Investments and Net Other Assets are not included in the pie chart.
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 86.1% | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - 52.2% | ||||
3.759% 10/1/33 (e) | $ 253 | $ 250 | ||
3.787% 6/1/34 (e) | 1,243 | 1,220 | ||
3.803% 6/1/33 (e) | 198 | 197 | ||
3.876% 6/1/33 (e) | 946 | 941 | ||
3.907% 5/1/33 (e) | 1,338 | 1,334 | ||
3.943% 5/1/33 (e) | 89 | 88 | ||
3.986% 2/1/35 (e) | 207 | 206 | ||
3.998% 10/1/18 (e) | 190 | 188 | ||
4% 6/1/18 to 5/1/19 (c) | 18,102 | 17,151 | ||
4.014% 1/1/35 (e) | 111 | 111 | ||
4.05% 2/1/35 (e) | 192 | 191 | ||
4.065% 4/1/33 (e) | 86 | 85 | ||
4.07% 2/1/35 (e) | 142 | 142 | ||
4.076% 2/1/35 (e) | 370 | 367 | ||
4.079% 2/1/35 (e) | 135 | 134 | ||
4.102% 1/1/35 (e) | 403 | 402 | ||
4.116% 2/1/35 (e) | 467 | 466 | ||
4.126% 2/1/35 (e) | 375 | 377 | ||
4.137% 1/1/35 (e) | 723 | 720 | ||
4.175% 1/1/35 (e) | 564 | 555 | ||
4.25% 2/1/35 (e) | 273 | 269 | ||
4.266% 2/1/34 (e) | 259 | 257 | ||
4.279% 3/1/35 (e) | 239 | 238 | ||
4.283% 8/1/33 (e) | 494 | 492 | ||
4.291% 12/1/33 (e) | 257 | 255 | ||
4.307% 3/1/33 (e) | 133 | 131 | ||
4.345% 5/1/35 (e) | 299 | 297 | ||
4.347% 1/1/35 (e) | 295 | 291 | ||
4.355% 4/1/35 (e) | 135 | 134 | ||
4.364% 2/1/34 (e) | 556 | 552 | ||
4.402% 2/1/35 (e) | 412 | 406 | ||
4.416% 5/1/35 (e) | 753 | 752 | ||
4.421% 5/1/35 (e) | 237 | 235 | ||
4.429% 3/1/35 (e) | 383 | 378 | ||
4.448% 8/1/34 (e) | 774 | 769 | ||
4.475% 7/1/34 (e) | 4,317 | 4,264 | ||
4.481% 2/1/35 (e) | 225 | 224 | ||
4.5% 4/1/18 to 1/1/37 (c) | 34,482 | 32,849 | ||
4.5% 3/1/37 (b) | 27,000 | 25,452 | ||
4.5% 3/13/37 (b) | 12,000 | 11,312 | ||
4.5% 3/13/37 (b) | 13,100 | 12,349 | ||
4.5% 3/13/37 (b) | 8,000 | 7,541 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.507% 2/1/35 (e) | $ 1,474 | $ 1,476 | ||
4.524% 1/1/20 (e) | 1,574 | 1,558 | ||
4.526% 1/1/35 (e) | 318 | 318 | ||
4.531% 2/1/35 (e) | 153 | 153 | ||
4.536% 7/1/35 (e) | 905 | 902 | ||
4.594% 4/1/33 (e) | 1,099 | 1,099 | ||
4.727% 7/1/34 (e) | 727 | 725 | ||
4.782% 12/1/34 (e) | 251 | 249 | ||
4.786% 12/1/35 (e) | 1,339 | 1,337 | ||
4.899% 4/1/33 (e) | 2,534 | 2,529 | ||
4.927% 7/1/35 (e) | 60 | 60 | ||
5% 9/1/16 to 12/1/34 (c) | 53,137 | 52,032 | ||
5% 3/1/37 (b) | 17,279 | 16,752 | ||
5% 3/13/37 (b) | 30,000 | 29,086 | ||
5% 3/13/37 (b) | 14,000 | 13,573 | ||
5.07% 5/1/35 (e) | 1,511 | 1,514 | ||
5.11% 7/1/34 (e) | 645 | 646 | ||
5.142% 3/1/34 (e) | 4,551 | 4,563 | ||
5.167% 3/1/36 (e) | 3,794 | 3,803 | ||
5.178% 6/1/35 (e) | 1,093 | 1,096 | ||
5.18% 1/1/37 (e) | 1,660 | 1,663 | ||
5.225% 11/1/32 (e) | 736 | 738 | ||
5.233% 7/1/35 (e) | 939 | 924 | ||
5.266% 11/1/36 (e) | 798 | 801 | ||
5.269% 9/1/35 (e) | 270 | 271 | ||
5.271% 8/1/34 (e) | 2,269 | 2,263 | ||
5.316% 3/1/36 (e) | 10,498 | 10,545 | ||
5.352% 1/1/32 (e) | 291 | 293 | ||
5.403% 12/1/36 (e) | 1,215 | 1,221 | ||
5.408% 7/1/35 (e) | 844 | 847 | ||
5.5% 1/1/09 to 12/1/35 (c) | 198,943 | 198,192 | ||
5.5% 3/1/37 (b) | 10,555 | 10,464 | ||
5.5% 3/1/37 (b) | 5,000 | 4,957 | ||
5.5% 3/1/37 (b) | 1,651 | 1,636 | ||
5.5% 3/1/37 (b) | 20,000 | 19,828 | ||
5.5% 3/1/37 (b) | 8,400 | 8,328 | ||
5.5% 3/1/37 (b)(c) | 74,299 | 73,659 | ||
5.5% 3/1/37 (b)(c) | 7,000 | 6,940 | ||
5.5% 3/13/37 (b)(c) | 27,000 | 26,768 | ||
5.579% 6/1/32 (e) | 481 | 485 | ||
5.681% 10/1/36 (e) | 795 | 803 | ||
5.797% 11/1/36 (e) | 1,103 | 1,115 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.844% 4/1/36 (e) | $ 465 | $ 471 | ||
5.855% 1/1/36 (e) | 789 | 801 | ||
5.902% 3/1/36 (e) | 2,210 | 2,235 | ||
5.91% 3/1/36 (e) | 7,731 | 7,853 | ||
5.919% 3/1/36 (e) | 2,392 | 2,425 | ||
5.95% 12/1/36 (e) | 4,495 | 4,566 | ||
5.989% 9/1/36 (e) | 1,322 | 1,345 | ||
6% 4/1/08 to 6/1/35 | 165,486 | 167,597 | ||
6% 3/1/37 (b) | 2,687 | 2,709 | ||
6.022% 9/1/36 (e) | 864 | 877 | ||
6.036% 9/1/36 (e) | 1,491 | 1,504 | ||
6.325% 10/1/36 (e) | 12,217 | 12,480 | ||
6.343% 5/1/36 (e) | 1,572 | 1,604 | ||
6.357% 8/1/36 (e) | 1,920 | 1,964 | ||
6.359% 8/1/46 (e) | 393 | 402 | ||
6.456% 6/1/36 (e) | 2,404 | 2,449 | ||
6.5% 5/1/12 to 2/1/37 | 75,990 | 77,821 | ||
6.5% 3/1/37 (b)(c) | 5,035 | 5,132 | ||
6.565% 12/1/36 (e) | 306 | 312 | ||
6.614% 12/1/36 (e) | 465 | 476 | ||
7% 12/1/15 to 1/1/37 (c) | 13,068 | 13,500 | ||
7% 3/13/37 (b) | 1,845 | 1,895 | ||
7.5% 8/1/22 to 2/1/37 (b) | 11,084 | 11,472 | ||
8% 7/1/08 to 12/1/29 | 1 | 1 | ||
8.5% 1/1/16 to 7/1/31 | 331 | 357 | ||
9% 6/1/09 to 10/1/30 | 670 | 729 | ||
9.5% 11/1/09 to 8/1/22 | 137 | 150 | ||
11% 8/1/10 | 55 | 58 | ||
12.25% 5/1/15 | 25 | 28 | ||
12.5% 8/1/15 to 3/1/16 | 31 | 36 | ||
12.75% 2/1/15 | 5 | 5 | ||
13.5% 9/1/14 | 4 | 5 | ||
954,043 | ||||
Freddie Mac - 31.9% | ||||
2.905% 5/1/34 (e) | 51 | 51 | ||
3.76% 10/1/33 (e) | 3,173 | 3,122 | ||
3.915% 6/1/34 (e) | 463 | 454 | ||
4% 4/1/19 (d) | 5,040 | 4,778 | ||
4.078% 1/1/35 (e) | 307 | 305 | ||
4.278% 3/1/35 (e) | 321 | 320 | ||
4.279% 5/1/35 (e) | 550 | 546 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
4.297% 12/1/34 (e) | $ 388 | $ 381 | ||
4.321% 2/1/35 (e) | 696 | 693 | ||
4.422% 6/1/35 (e) | 510 | 506 | ||
4.426% 2/1/34 (e) | 312 | 309 | ||
4.431% 3/1/35 (e) | 369 | 363 | ||
4.452% 3/1/35 (e) | 396 | 390 | ||
4.5% 9/1/18 to 8/1/33 | 9,356 | 8,971 | ||
4.544% 2/1/35 (e) | 644 | 635 | ||
4.994% 4/1/35 (e) | 1,733 | 1,733 | ||
5% 6/1/18 to 9/1/35 | 49,922 | 48,495 | ||
5% 3/1/37 (b) | 30,785 | 29,846 | ||
5% 3/13/37 (b)(c) | 30,000 | 29,085 | ||
5.021% 4/1/35 (e) | 141 | 140 | ||
5.287% 11/1/35 (e) | 1,484 | 1,486 | ||
5.5% 6/1/09 to 9/1/35 | 43,845 | 43,689 | ||
5.5% 3/1/37 (b) | 15,160 | 15,032 | ||
5.5% 3/1/37 (b) | 17,170 | 17,025 | ||
5.5% 3/1/37 (b) | 74,000 | 73,377 | ||
5.5% 3/1/37 (b) | 95,830 | 95,024 | ||
5.5% 3/1/37 (b)(c) | 34,535 | 34,244 | ||
5.5% 3/13/37 (b) | 1,000 | 992 | ||
5.911% 11/1/31 (e) | 189 | 190 | ||
6% 5/1/16 to 9/1/36 | 17,087 | 17,348 | ||
6% 3/1/37 (b) | 10,400 | 10,490 | ||
6% 3/1/37 (b) | 20,500 | 20,678 | ||
6% 3/1/37 (b)(c) | 22,800 | 22,998 | ||
6.197% 10/1/36 (e) | 176 | 179 | ||
6.293% 3/1/36 (e) | 4,329 | 4,406 | ||
6.393% 12/1/36 (e) | 1,940 | 1,973 | ||
6.5% 4/1/11 to 2/1/36 (b) | 30,172 | 30,892 | ||
6.517% 10/1/36 (e) | 5,680 | 5,752 | ||
6.6% 10/1/36 (e) | 5,660 | 5,724 | ||
6.617% 10/1/36 (e) | 7,029 | 7,146 | ||
6.624% 12/1/36 (e) | 5,323 | 5,426 | ||
6.641% 7/1/36 (e) | 3,981 | 4,060 | ||
6.778% 9/1/36 (e) | 10,831 | 11,069 | ||
7% 6/1/21 to 2/1/37 (b) | 6,028 | 6,199 | ||
7.5% 2/1/08 to 2/1/37 (b) | 15,638 | 16,201 | ||
8% 10/1/07 to 4/1/21 | 58 | 60 | ||
8.5% 7/1/09 to 9/1/20 | 69 | 73 | ||
9% 10/1/08 to 5/1/21 | 379 | 407 | ||
10% 1/1/09 to 5/1/19 | 84 | 90 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
10.5% 8/1/10 to 2/1/16 | $ 9 | $ 10 | ||
12.5% 5/1/12 to 12/1/14 | 68 | 75 | ||
13% 12/1/13 to 6/1/15 | 112 | 127 | ||
583,565 | ||||
Government National Mortgage Association - 2.0% | ||||
3.75% 1/20/34 (e) | 1,351 | 1,346 | ||
6.5% 5/15/28 to 7/15/36 | 12,889 | 13,242 | ||
7% 2/15/24 to 1/15/37 (b) | 18,227 | 18,881 | ||
7.5% 6/15/07 to 4/15/32 | 1,684 | 1,771 | ||
8% 4/15/07 to 12/15/25 | 666 | 707 | ||
8.5% 8/15/16 to 10/15/28 | 1,009 | 1,093 | ||
9% 11/20/17 | 2 | 2 | ||
10.5% 12/20/15 to 2/20/18 | 74 | 83 | ||
13% 10/15/13 | 7 | 8 | ||
13.5% 7/15/11 | 4 | 5 | ||
37,138 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,576,926) | 1,574,746 | |||
Asset-Backed Securities - 2.9% | ||||
Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.44% 2/28/41 (e) | 865 | 865 | ||
Bear Stearns Asset Backed Securities, Inc. Series 2005-AQ2 Class M7, 6.97% 9/25/35 (e) | 1,965 | 1,967 | ||
Countrywide Home Loans, Inc. Series 2005-14 Class M4, 6.05% 4/25/36 (e) | 3,950 | 3,969 | ||
Ford Credit Auto Owner Trust Series 2006-C Class D, 6.89% 5/15/13 (a) | 715 | 721 | ||
Fremont Home Loan Trust Series 2006-E Class M1, 5.58% 1/25/37 (e) | 5,000 | 4,993 | ||
GSAMP Trust Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e) | 2,266 | 2,265 | ||
Holmes Master Issuer PLC Series 2006-1A: | ||||
Class 1C, 5.6% 7/15/40 (a)(e) | 940 | 940 | ||
Class 2C, 5.75% 7/15/40 (a)(e) | 490 | 490 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a) | 10,815 | 9,299 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-3 Class M1, 6.07% 7/25/33 (e) | 3,741 | 3,752 | ||
Series 2006-9 Class M10, 7.82% 11/25/36 (e) | 2,721 | 2,382 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
National Collegiate Student Loan Trust Series 2006-4 Class AI0, 6.35% 2/27/12 (g) | $ 4,205 | $ 1,139 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(e) | 5,000 | 4,963 | ||
Ocala Funding LLC Series 2006-1A Class A, 6.72% 3/20/11 (a)(e) | 2,100 | 2,100 | ||
Ownit Mortgage Loan Trust Series 2006-7 Class M1, 5.57% 10/25/37 (e) | 710 | 709 | ||
Pinnacle Capital Asset Trust Series 2006-A: | ||||
Class B, 5.51% 9/25/09 (a) | 985 | 986 | ||
Class C, 5.77% 5/25/10 (a) | 915 | 916 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 649 | 637 | ||
SG Mortgage Securities Trust Series 2006-OPT2 Class M1, 5.56% 10/25/36 (e) | 1,255 | 1,253 | ||
WaMu Asset-Backed Certificates Series 2006-HE5: | ||||
Class B1, 7.82% 10/25/36 (a)(e) | 1,005 | 880 | ||
Class M9, 7.82% 10/25/36 (e) | 1,515 | 1,481 | ||
WaMu Asset Holdings Corp. Series 2006-5 Class N1, 5.926% 7/25/46 (a) | 2,019 | 2,009 | ||
WaMu Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) | 1,663 | 1,654 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 1,958 | 1,947 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $52,082) | 52,317 | |||
Collateralized Mortgage Obligations - 16.3% | ||||
Private Sponsor - 6.3% | ||||
American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (e) | 6,360 | 6,243 | ||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class 1C, 5.61% 2/17/52 (a)(e) | 745 | 745 | ||
Class 3C, 5.75% 2/17/52 (a)(e) | 455 | 455 | ||
Series 2006-2A: | ||||
Class 1C, 5.6% 2/17/52 (a)(e) | 705 | 705 | ||
Class 2C, 5.74% 2/17/52 (a)(e) | 2,250 | 2,250 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2004-J Class 2A1, 4.7806% 11/25/34 (e) | 1,195 | 1,185 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2005-J Class 2A5, 5.0926% 11/25/35 (e) | $ 3,435 | $ 3,427 | ||
Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17 | 953 | 948 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 5.72% 3/25/35 (e) | 313 | 313 | ||
Credit Suisse First Boston Mortgage Acceptance Corp. sequential pay Series 2003-1 Class 3A8, 6% 1/25/33 | 1,511 | 1,508 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.7196% 1/28/32 (a)(e) | 322 | 284 | ||
Fosse Master Issuer PLC floater Series 2006-1A Class C2, 5.84% 10/18/54 (a)(e) | 770 | 770 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 5.83% 11/20/56 (a)(e) | 3,825 | 3,825 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.83% 10/11/41 (a)(e) | 2,520 | 2,520 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-2 Class C1, 5.83% 12/20/54 (e) | 155 | 155 | ||
Series 2006-4 Class C1, 5.75% 12/20/54 (e) | 1,465 | 1,465 | ||
Series 2007-1: | ||||
Class 1C1, 5.6387% 12/20/54 (e) | 940 | 941 | ||
Class 2C1, 5.7687% 12/20/54 (e) | 500 | 501 | ||
GSAMP Trust Series 2007-AR2 Class 2A1, 4.8583% 4/25/35 (e) | 1,227 | 1,220 | ||
Holmes Financing No. 6 PLC floater Series 2006 Class 4C, 6.91% 7/15/40 (e) | 765 | 773 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (e) | 1,010 | 1,016 | ||
Class A3, 5.447% 6/12/47 (e) | 13,695 | 13,847 | ||
JP Morgan Mortgage Trust Series 2007-A1: | ||||
Class 3A2, 5.012% 7/25/35 (e) | 4,957 | 4,931 | ||
Class 7A3, 5.302% 7/25/35 (e) | 6,920 | 6,934 | ||
Master Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18 | 3,937 | 4,010 | ||
Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 5.82% 6/15/22 (a)(e) | 18,000 | 18,114 | ||
Permanent Master Issuer PLC floater Series 2006-1: | ||||
Class 1C, 5.56% 7/17/42 (e) | 1,500 | 1,500 | ||
Class 2C, 5.76% 7/17/42 (e) | 5,515 | 5,515 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | $ 974 | $ 989 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 218 | 222 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 854 | 824 | ||
Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 7.82% 12/25/36 (e) | 795 | 675 | ||
WaMu Mortgage pass thru certificates sequential payer Series 2002-S6 Class A25, 6% 10/25/32 | 630 | 628 | ||
WaMu Mortgage Securities Corp. Series 2004-RA3 Class 2A, 6.4219% 8/25/38 (e) | 15,192 | 15,370 | ||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR8: | ||||
Class 2A6, 5.24% 4/25/36 (e) | 4,865 | 4,844 | ||
Class 3A1, 5.2379% 4/25/36 (e) | 4,746 | 4,722 | ||
TOTAL PRIVATE SPONSOR | 114,374 | |||
U.S. Government Agency - 10.0% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1994-23 Class PX, 6% 8/25/23 | 3,059 | 3,107 | ||
Series 1999-1 Class PJ, 6.5% 2/25/29 | 9,669 | 10,041 | ||
Series 1999-15 Class PC, 6% 9/25/18 | 2,179 | 2,186 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 1,145 | 1,138 | ||
Series 1993-165 Class SH, 4.6848% 9/25/23 (e) | 217 | 215 | ||
Series 2003-22 6% 4/25/33 (g) | 5,478 | 1,125 | ||
Series 2003-26 Class KI, 5% 12/25/15 (g) | 3,331 | 249 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (e)(g) | 2,604 | 379 | ||
Series 2006-48 Class LF, 0% 8/25/34 (e) | 663 | 647 | ||
6% 4/25/29 | 7,060 | 7,246 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 1999-51 Class LK, 6.5% 8/25/29 | 10,000 | 10,296 | ||
Series 2001-63 Class TC, 6% 12/25/31 | 4,065 | 4,171 | ||
Series 2002-11 Class QB, 5.5% 3/25/15 | 215 | 214 | ||
Series 2002-49 Class KG, 5.5% 8/25/17 | 4,020 | 4,085 | ||
Series 2005-14 Class ME, 5% 10/25/33 | 1,785 | 1,735 | ||
Series 2005-39 Class TE, 5% 5/25/35 | 1,120 | 1,063 | ||
Series 2006-54 Class PC, 6% 1/25/36 | 6,880 | 7,079 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae guaranteed REMIC pass thru certificates: - continued | ||||
sequential payer: | ||||
Series 2002-34 Class Z, 6% 4/25/32 | $ 6,964 | $ 7,096 | ||
Series 2002-9 Class C, 6.5% 6/25/30 | 293 | 293 | ||
Series 2003-80 Class CG, 6% 4/25/30 | 895 | 911 | ||
Series 2004-65 Class EY, 5.5% 8/25/24 | 7,265 | 7,186 | ||
Series 2005-41 Class LA, 5.5% 5/25/35 | 3,397 | 3,430 | ||
Series 2005-55 Class LY, 5.5% 7/25/25 | 6,595 | 6,517 | ||
Series 2002-50 Class LE, 7% 12/25/29 | 57 | 57 | ||
Series 2003-42 Class HS, 1.78% 12/25/17 (e)(g) | 10,252 | 545 | ||
Series 2003-48 Class HI, 5% 11/25/17 (g) | 3,735 | 453 | ||
Series 2003-89 Class DW, 5% 3/25/29 | 8,760 | 8,692 | ||
Series 2006-4 Class IT, 6% 10/25/35 (g) | 646 | 77 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 4,780 | 4,910 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 3,140 | 3,220 | ||
Series 2001-74 Class QE, 6% 12/25/31 | 2,425 | 2,481 | ||
Series 2001-63 Class PG, 6% 12/25/31 | 2,475 | 2,531 | ||
Freddie Mac: | ||||
planned amortization class: | ||||
Series 2095 Class PE, 6% 11/15/28 | 6,325 | 6,485 | ||
Series 2104 Class PG, 6% 12/15/28 | 1,978 | 2,030 | ||
Series 2512 Class PG, 5.5% 10/15/22 | 5,100 | 5,064 | ||
Series 3036 Class ND, 5% 5/15/34 | 6,910 | 6,724 | ||
Series 70 Class C, 9% 9/15/20 | 157 | 157 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 943 | 971 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 1,570 | 1,623 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater Series 2958 Class TF, 0% 4/15/35 (e) | 630 | 598 | ||
planned amortization class: | ||||
Series 2121 Class MG, 6% 2/15/29 | 2,591 | 2,659 | ||
Series 2137 Class PG, 6% 3/15/29 | 2,584 | 2,653 | ||
Series 2154 Class PT, 6% 5/15/29 | 3,370 | 3,467 | ||
Series 2435 Class VG, 6% 2/15/13 | 929 | 947 | ||
Series 2568 Class KG, 5.5% 2/15/23 | 8,820 | 8,836 | ||
Series 2802 Class OB, 6% 5/15/34 | 3,375 | 3,477 | ||
Series 2810 Class PD, 6% 6/15/33 | 2,540 | 2,603 | ||
Series 3077 Class TO, 4/15/35 (h) | 4,913 | 3,614 | ||
Series 3140 Class XO, 3/15/36 (h) | 2,505 | 1,894 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | $ 2,988 | $ 3,067 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 1,009 | 1,055 | ||
Series 2281 Class ZB, 6% 3/15/30 | 1,256 | 1,284 | ||
Series 2388 Class ZA, 6% 12/15/31 | 5,620 | 5,720 | ||
Series 2502 Class ZC, 6% 9/15/32 | 1,504 | 1,535 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,520 | 2,305 | ||
Series 3097 Class IA, 5.5% 3/15/33 (g) | 4,786 | 835 | ||
Series 1658 Class GZ, 7% 1/15/24 | 3,010 | 3,144 | ||
Series 2587 Class IM, 6.5% 3/15/33 (g) | 1,895 | 426 | ||
Series 2902 Class LZ, 5.5% 9/15/31 | 7,360 | 7,341 | ||
TOTAL U.S. GOVERNMENT AGENCY | 183,889 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $294,916) | 298,263 | |||
Commercial Mortgage Securities - 5.0% | ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A-6, 7.404% 2/14/43 (e) | 8,300 | 9,109 | ||
Class PS1, 1.6789% 2/14/43 (e)(g) | 33,568 | 1,093 | ||
Banc of America Commercial Mortgage Trust Series 2006-6 Class XP, 0.4314% 10/10/45 (e)(g) | 49,455 | 1,131 | ||
Banc of America Commercial Mortgage, Inc. Series 2003-2: | ||||
Class HSA, 4.954% 3/11/41 (a) | 740 | 729 | ||
Class HSB, 4.954% 3/11/41 (a) | 895 | 881 | ||
Class HSC, 4.954% 3/11/41 (a) | 895 | 875 | ||
Class HSD, 4.954% 3/11/41 (a) | 895 | 874 | ||
Class HSE, 4.954% 3/11/41 (a) | 2,290 | 2,165 | ||
Banc of America Large Loan Trust floater Series 2006-BIX1: | ||||
Class JCP, 5.82% 10/15/19 (a)(e) | 236 | 236 | ||
Class KCP, 5.87% 10/15/19 (a)(e) | 384 | 384 | ||
Class LCP, 5.97% 10/15/19 (a)(e) | 1,418 | 1,418 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2006-3A: | ||||
Class B1, 6.12% 10/25/36 (a)(e) | $ 319 | $ 314 | ||
Class B2, 6.67% 10/25/36 (a)(e) | 208 | 209 | ||
Class B3, 7.92% 10/25/36 (a)(e) | 373 | 368 | ||
Class M4, 5.75% 10/25/36 (a)(e) | 319 | 320 | ||
Class M5, 5.8% 10/25/36 (a)(e) | 407 | 407 | ||
Class M6, 5.88% 10/25/36 (a)(e) | 789 | 790 | ||
Series 2006-4A: | ||||
Class B1, 6.02% 12/25/36 (a)(e) | 128 | 128 | ||
Class B2, 6.57% 12/25/36 (a)(e) | 123 | 121 | ||
Class B3, 7.77% 12/25/36 (a)(e) | 226 | 226 | ||
Series 2007-1: | ||||
Class B1, 5.99% 3/25/37 (a)(e) | 184 | 184 | ||
Class B2, 6.47% 3/25/37 (a)(e) | 134 | 134 | ||
Class B3, 8.67% 3/25/37 (a)(e) | 383 | 383 | ||
Class M1, 5.59% 3/25/37 (a)(e) | 154 | 154 | ||
Class M2, 5.61% 3/25/37 (a)(e) | 119 | 119 | ||
Class M3, 5.64% 3/27/37 (a)(e) | 105 | 105 | ||
Class M4, 5.69% 3/25/37 (a)(e) | 80 | 80 | ||
Class M5, 5.74% 3/25/37 (a)(e) | 129 | 129 | ||
Class M6, 5.82% 3/25/37 (a)(e) | 184 | 184 | ||
Bear Stearns Commerical Mortgage Securities Trust Series 2006-PW14 Class X2, 0.656% 12/1/38 (a)(e)(g) | 120,185 | 4,107 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.8294% 5/15/35 (a)(e)(g) | 30,767 | 1,597 | ||
Chase Commercial Mortgage Securities Corp. Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,110 | 1,179 | ||
Class F, 7.734% 1/15/32 | 600 | 637 | ||
Citigroup Commercial Mortgage Trust Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (a) | 6,660 | 6,664 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4531% 10/15/48 (e)(g) | 92,870 | 2,260 | ||
Commercial Mortgage pass-thru certificates Series 2006-FL12: | ||||
Class CN1, 5.82% 12/15/20 (a)(e) | 878 | 878 | ||
Class CN2, 5.87% 12/15/20 (a)(e) | 472 | 472 | ||
Class CN3, 5.97% 12/15/20 (a)(e) | 457 | 457 | ||
Communication Mortgage Trust Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 2,139 | 2,138 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Communication Mortgage Trust Series 2006-C8: - continued | ||||
Class XP, 0.505% 12/10/46 (e)(g) | $ 115,888 | $ 3,001 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6729% 12/15/39 (e)(g) | 71,210 | 2,550 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2006-TF2A: | ||||
Class A2, 6.82% 7/15/19 (a)(e) | 1,970 | 1,965 | ||
Class SHDC, 6.32% 7/15/19 (a)(e) | 940 | 940 | ||
Series 2006-TFL2 Class SHDD, 6.67% 7/15/19 (a)(e) | 530 | 530 | ||
GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7661% 5/10/43 (e)(g) | 51,652 | 1,235 | ||
Greenwich Capital Commercial Funding Corp. Series 2007-GG9 Class A1, 5.233% 3/10/39 | 1,215 | 1,215 | ||
GS Mortgage Securities Corp. II Series 1998-GLII Class E, 6.9707% 4/13/31 (e) | 390 | 397 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA Class B, 7.3% 8/3/15 (a) | 785 | 822 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2006-CB14 Class A3B, 5.4864% 12/12/44 (e) | 2,640 | 2,687 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 1,121 | 1,129 | ||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 1,139 | 1,144 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (e) | 830 | 836 | ||
Series 2006-C6 Class XCP, 0.6468% 9/15/39 (e)(g) | 39,305 | 1,306 | ||
Series 2007-C1 Class XCP, 0.4571% 2/15/40 (e)(g) | 15,300 | 393 | ||
Merrill Lynch Mortgage Trust Series 2006-C1 Class A3, 5.6599% 5/12/39 (e) | 3,675 | 3,772 | ||
Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-2 Class A3, 5.8768% 6/12/46 (e) | 3,321 | 3,452 | ||
ML-CFC Commercial Mortgage Series 2006-4 Class XP, 0.683% 12/12/49 (e)(g) | 146,825 | 5,177 | ||
Morgan Stanley Capital I Trust: | ||||
floater Series 2007-XLFA: | ||||
Class MHRO, 6.01% 10/15/20 (a)(e) | 790 | 790 | ||
Class MJPM, 6.32% 10/15/20 (a)(e) | 460 | 460 | ||
Class MSTR, 6.02% 10/15/20 (a)(e) | 390 | 390 | ||
Class NHRO, 6.21% 10/15/20 (a)(e) | 1,220 | 1,220 | ||
Class NSTR, 6.17% 10/15/20 (a)(e) | 360 | 360 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 (e) | 1,340 | 1,346 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2007-T25 Class A2, 5.507% 11/12/49 | $ 6,475 | $ 6,576 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 4,276 | 4,341 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $91,523) | 91,673 |
Fixed-Income Funds - 24.6% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (f) | 4,538,839 | 450,843 | |
Cash Equivalents - 1.3% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at: | |||
5.29%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Treasury Obligations) # | $ 2,224 | 2,224 | |
5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) # | 22,478 | 22,475 | |
TOTAL CASH EQUIVALENTS (Cost $24,699) | 24,699 | ||
TOTAL INVESTMENT PORTFOLIO - 136.2% (Cost $2,491,194) | 2,492,541 | ||
NET OTHER ASSETS - (36.2)% | (662,601) | ||
NET ASSETS - 100% | $ 1,829,940 |
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors, Inc. Series 2006-HE5 Class B3, 7.32% 8/25/37 | Sept. 2037 | $ 7,500 | $ (1,143) | ||
Receive monthly notional amount multiplied by 2.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 8.52% 9/25/34 | Oct. 2034 | 1,400 | (62) | ||
Receive monthly notional amount multiplied by 1.35% and pay Deutsche Bank upon default event of Asset Backed Sec. Corp. Home Equity Loan Trust, par value of the notional amount of Asset Backed Sec. Corp. Home Equity Loan Trust Series 2006-HE5 Class M8, 6.32% 7/25/36 | August 2036 | 5,000 | (518) | ||
Receive monthly notional amount multiplied by 1.45% and pay UBS upon default event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36 | August 2036 | 2,400 | (378) | ||
Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon default event of JP Morgan Mortgage Acquisition Corp., par value of the notional amount of JP Morgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36 | Sept. 2036 | 1,400 | (160) | ||
Receive monthly notional amount multiplied by 2.8% and pay Merrill Lynch, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.7768% 11/25/34 | Dec. 2034 | 1,200 | (76) | ||
Receive monthly notional amount multiplied by 2.87% and pay Bank of America upon default event of Morgan Stanley ABS Capital Inc. Trust, par value of the notional amount of Morgan Stanley ABS Capital Inc. Trust Series 2006-HE3 Class B3, 7.22% 4/25/36 | May 2036 | 2,400 | (515) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.05% and pay JPMorgan Chase, Inc. upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.13% 8/25/36 | Sept. 2036 | $ 1,400 | $ (266) | ||
Receive monthly notional amount multiplied by 3.12% and pay Bank of America upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2006-B Class M9, 7.23% 8/25/36 | Sept. 2036 | 1,400 | (265) | ||
Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36 | August 2036 | 7,500 | (1,029) | ||
Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.22% 7/25/36 | August 2036 | 7,500 | (1,176) | ||
Receive monthly notional amount multiplied by 3.75% and pay Deutsche Bank upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2005-3 Class M9, 7.32% 2/25/36 | March 2036 | 2,000 | (183) | ||
Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-8 Class M9, 7.12% 9/25/36 | Oct. 2036 | 7,500 | (1,212) | ||
TOTAL CREDIT DEFAULT SWAPS | 48,600 | (6,983) | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 4.931% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc. | Dec. 2016 | $ 10,000 | $ (136) | ||
Receive semi-annually a fixed rate equal to 4.933% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2012 | 15,000 | (30) | ||
Receive semi-annually a fixed rate equal to 5% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Nov. 2009 | 23,000 | 294 | ||
Receive semi-annually a fixed rate equal to 5.008% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | March 2012 | 15,000 | 19 | ||
Receive semi-annually a fixed rate equal to 5.2115% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Oct. 2008 | 10,000 | 149 | ||
TOTAL INTEREST RATE SWAPS | 73,000 | 296 | |||
Total Return Swaps | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 30 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | 15,000 | 0 | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | 15,000 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 7 basis points with Lehman Brothers, Inc. | June 2007 | 20,000 | 246 | ||
TOTAL TOTAL RETURN SWAPS | 50,000 | 246 | |||
$ 171,600 | $ (6,441) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $95,307,000 or 5.2% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $6,256,000. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(g) 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 held as of the end of the period. |
(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,224,000 due 3/01/07 at 5.29% | |
Barclays Capital, Inc. | $ 896 |
Credit Suisse Securities (USA) LLC | 1,328 |
$ 2,224 | |
$22,475,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 933 |
BNP Paribas Securities Corp. | 918 |
Banc of America Securities LLC | 2,079 |
Bank of America, NA | 3,111 |
Barclays Capital, Inc. | 5,479 |
Bear Stearns & Co., Inc. | 622 |
Citigroup Global Markets, Inc. | 622 |
Countrywide Securities Corp. | 3,111 |
Goldman, Sachs & Co. | 311 |
Societe Generale, New York Branch | 933 |
UBS Securities LLC | 4,356 |
$ 22,475 |
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 Ultra-Short Central Fund | $ 14,200 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of period |
Fidelity Ultra-Short Central Fund | $ 422,645 | $ 169,990 | $ 140,990 | $ 450,843 | 3.3% |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $20,777,000 of which $2,470,000 and $18,307,000 will expire on August 31, 2013 and 2014, respectively. |
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) | February 28, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $24,699) - See accompanying schedule: Unaffiliated issuers (cost $2,040,146) | $ 2,041,698 | |
Fidelity Central Funds (cost $451,048) | 450,843 | |
Total Investments (cost $2,491,194) | $ 2,492,541 | |
Commitment to sell securities on a delayed delivery basis | (247,172) | |
Receivable for securities sold on a delayed delivery basis | 246,304 | (868) |
Cash | 537 | |
Receivable for investments sold | 34,083 | |
Delayed delivery | 49,658 | |
Receivable for swap agreements | 128 | |
Receivable for fund shares sold | 2,317 | |
Interest receivable | 7,701 | |
Distributions receivable from Fidelity Central Funds | 2,062 | |
Total assets | 2,588,159 | |
Liabilities | ||
Payable for investments purchased | $ 118,112 | |
Delayed delivery | 630,537 | |
Payable for fund shares redeemed | 1,740 | |
Distributions payable | 579 | |
Swap agreements, at value | 6,441 | |
Accrued management fee | 483 | |
Distribution fees payable | 97 | |
Other affiliated payables | 230 | |
Total liabilities | 758,219 | |
Net Assets | $ 1,829,940 | |
Net Assets consist of: | ||
Paid in capital | $ 1,855,827 | |
Distributions in excess of net investment income | (2,782) | |
Accumulated undistributed net realized gain (loss) on investments | (17,143) | |
Net unrealized appreciation (depreciation) on investments | (5,962) | |
Net Assets | $ 1,829,940 |
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) | February 28, 2007 (Unaudited) | |
Calculation of Maximum Offering Price Class A: | $ 11.03 | |
Maximum offering price per share (100/95.25 of $11.03) | $ 11.58 | |
Class T: | $ 11.05 | |
Maximum offering price per share (100/96.50 of $11.05) | $ 11.45 | |
Class B: | $ 11.03 | |
Class C: | $ 11.02 | |
Fidelity Mortgage Securities Fund: | $ 11.05 | |
Institutional Class: | $ 11.03 |
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 February 28, 2007 (Unaudited) | |
Investment Income | ||
Interest | $ 36,320 | |
Income from Fidelity Central Funds | 14,200 | |
Total income | 50,520 | |
Expenses | ||
Management fee | $ 2,955 | |
Transfer agent fees | 1,087 | |
Distribution fees | 610 | |
Fund wide operations fee | 288 | |
Independent trustees' compensation | 3 | |
Miscellaneous | 3 | |
Total expenses before reductions | 4,946 | |
Expense reductions | (7) | 4,939 |
Net investment income | 45,581 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,524) | |
Fidelity Central Funds | 617 | |
Swap agreements | 151 | |
Capital gain distributions from Fidelity Central Funds | 78 | |
Total net realized gain (loss) | (1,678) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 19,556 | |
Swap agreements | (7,136) | |
Delayed delivery commitments | (751) | |
Total change in net unrealized appreciation (depreciation) | 11,669 | |
Net gain (loss) | 9,991 | |
Net increase (decrease) in net assets resulting from operations | $ 55,572 |
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 February 28, 2007 (Unaudited) | Ten months ended* | Year ended |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 45,581 | $ 76,477 | $ 80,564 |
Net realized gain (loss) | (1,678) | (19,322) | 1,596 |
Change in net unrealized appreciation (depreciation) | 11,669 | 15,324 | (52,287) |
Net increase (decrease) in net assets resulting | 55,572 | 72,479 | 29,873 |
Distributions to shareholders from net investment income | (45,363) | (76,044) | (83,034) |
Distributions to shareholders from net realized gain | - | - | (10,450) |
Total distributions | (45,363) | (76,044) | (93,484) |
Share transactions - net increase (decrease) | (54,309) | (263,875) | 288,375 |
Total increase (decrease) in net assets | (44,100) | (267,440) | 224,764 |
Net Assets | |||
Beginning of period | 1,874,040 | 2,141,480 | 1,916,716 |
End of period (including distributions in excess of net investment income of $2,782, $3,000 and $2,371, respectively) | $ 1,829,940 | $ 1,874,040 | $ 2,141,480 |
* The fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 H | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 | $ 11.12 | $ 10.53 |
Income from Investment Operations | |||||||
Net investment income E | .218 | .336 | .323 | .278 | .197 | .421 J | .551 |
Net realized and unrealized gain (loss) | .059 | (.022) | (.257) | .172 | .112 | .171 J | .611 |
Total from investment operations | .277 | .314 | .066 | .450 | .309 | .592 | 1.162 |
Distributions from net investment income | (.217) | (.334) | (.336) | (.280) | (.189) | (.452) | (.572) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.217) | (.334) | (.396) | (.430) | (.269) | (.452) | (.572) |
Net asset value, end of period | $ 11.03 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 | $ 11.12 |
Total Return B, C, D | 2.54% | 2.91% | .58% | 4.08% | 2.78% | 5.48% | 11.32% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.58% | 1.60% |
Expenses net of fee waivers, if any | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.58% | 1.60% |
Expenses net of all reductions | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.57% | 1.60% |
Net investment income | 3.98% A | 3.68% A | 2.89% | 2.48% | 1.75% | 3.82% J | 5.11% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 66 | $ 74 | $ 101 | $ 134 | $ 182 | $ 176 | $ 57 |
Portfolio turnover rate G | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. K For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Fidelity Mortgage Securities Fund
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 | $ 11.14 | $ 10.54 |
Income from Investment Operations | |||||||
Net investment income D | .276 | .432 | .438 | .390 | .306 | .526 I | .654 |
Net realized and unrealized gain (loss) | .059 | (.023) | (.257) | .183 | .102 | .170 I | .619 |
Total from investment operations | .335 | .409 | .181 | .573 | .408 | .696 | 1.273 |
Distributions from net investment income | (.275) | (.429) | (.451) | (.393) | (.298) | (.556) | (.673) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.275) | (.429) | (.511) | (.543) | (.378) | (.556) | (.673) |
Net asset value, end of period | $ 11.05 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 | $ 11.14 |
Total Return B, C | 3.07% | 3.80% | 1.61% | 5.21% | 3.68% | 6.47% | 12.44% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Expenses net of fee waivers, if any | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Expenses net of all reductions | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Net investment income | 5.04% A | 4.73% A | 3.91% | 3.48% | 2.72% | 4.76% I | 6.04% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 1,591 | $ 1,612 | $ 1,807 | $ 1,525 | $ 1,302 | $ 1,208 | $ 430 |
Portfolio turnover rate F | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. J For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 | $ 11.11 | $ 10.52 |
Income from Investment Operations | |||||||
Net investment income D | .271 | .424 | .432 | .387 | .302 | .513 I | .644 |
Net realized and unrealized gain (loss) | .059 | (.011) | (.266) | .182 | .112 | .171 I | .610 |
Total from investment operations | .330 | .413 | .166 | .569 | .414 | .684 | 1.254 |
Distributions from net investment income | (.270) | (.423) | (.446) | (.389) | (.294) | (.544) | (.664) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.270) | (.423) | (.506) | (.539) | (.374) | (.544) | (.664) |
Net asset value, end of period | $ 11.03 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 | $ 11.11 |
Total Return B, C | 3.04% | 3.85% | 1.48% | 5.19% | 3.75% | 6.36% | 12.27% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .53% A | .52% A | .60% | .66% | .63% | .75% | .76% |
Expenses net of fee waivers, if any | .53% A | .52% A | .60% | .66% | .63% | .75% | .75% |
Expenses net of all reductions | .53% A | .52% A | .60% | .66% | .63% | .75% | .75% |
Net investment income | 4.96% A | 4.66% A | 3.87% | 3.45% | 2.69% | 4.65% I | 5.95% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 12 | $ 14 | $ 16 | $ 13 | $ 16 | $ 12 | $ 7 |
Portfolio turnover rate F | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. J For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Mortgage Securities 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 B, Class C, Fidelity Mortgage Securities Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or, for the Fixed-Income Central Funds, at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 12,304 | |
Unrealized depreciation | (11,358) | |
Net unrealized appreciation (depreciation) | $ 946 | |
Cost for federal income tax purposes | $ 2,491,595 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
New Accounting Pronouncements - continued
2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the
Semiannual Report
4. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies - continued
Swap Agreements - continued
guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
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 $467,402 and $286,584, respectively.
Semiannual Report
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | .00% | .15% | $ 40 | $ 1 |
Class T | .00% | .25% | 107 | 1 |
Class B | .65% | .25% | 313 | 227 |
Class C | .75% | .25% | 150 | 19 |
$ 610 | $ 248 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
On January 18, 2007, the Board of Trustees approved a change in Class A and Class T's front-end sales charge. Effective April 1, 2007, FDC will receive a front-end sales charge of up to 4.00% for selling Class A and Class T shares.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 4 |
Class T | 3 |
Class B* | 89 |
Class C* | 1 |
$ 97 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Fidelity Mortgage Securities Fund. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Fidelity Mortgage Securities Fund shares. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FSC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. FIIOC and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 63 | .24 |
Class T | 93 | .22 |
Class B | 87 | .25 |
Class C | 34 | .23 |
Fidelity Mortgage Securities Fund | 800 | .10 |
Institutional Class | 10 | .18 |
$ 1,087 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Fundwide Operations Fee - continued
for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $2 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $3. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 1 | |
Fidelity Mortgage Securities Fund | 3 | |
$ 4 |
9. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
9. Other - continued
During the period, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC is in the process of determining appropriate remediation to affected shareholder accounts.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
From net investment income | |||
Class A | $ 1,241 | $ 1,927 | $ 2,029 |
Class T | 1,980 | 3,883 | 4,745 |
Class B | 1,373 | 2,632 | 3,543 |
Class C | 579 | 1,063 | 1,456 |
Fidelity Mortgage Securities Fund | 39,901 | 65,925 | 70,651 |
Institutional Class | 289 | 614 | 610 |
Total | $ 45,363 | $ 76,044 | $ 83,034 |
From net realized gain | |||
Class A | $ - | $ - | $ 287 |
Class T | - | - | 691 |
Class B | - | - | 700 |
Class C | - | - | 301 |
Fidelity Mortgage Securities Fund | - | - | 8,396 |
Institutional Class | - | - | 75 |
Total | $ - | $ - | $ 10,450 |
Semiannual Report
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | 713 | 1,839 | 1,644 |
Reinvestment of distributions | 97 | 152 | 179 |
Shares redeemed | (1,075) | (1,692) | (2,106) |
Net increase (decrease) | (265) | 299 | (283) |
Class T | |||
Shares sold | 634 | 1,518 | 3,841 |
Reinvestment of distributions | 169 | 334 | 458 |
Shares redeemed | (1,381) | (5,186) | (4,417) |
Net increase (decrease) | (578) | (3,334) | (118) |
Class B | |||
Shares sold | 80 | 180 | 374 |
Reinvestment of distributions | 102 | 194 | 308 |
Shares redeemed | (1,022) | (2,788) | (3,340) |
Net increase (decrease) | (840) | (2,414) | (2,658) |
Class C | |||
Shares sold | 138 | 272 | 501 |
Reinvestment of distributions | 41 | 76 | 124 |
Shares redeemed | (485) | (1,211) | (2,018) |
Net increase (decrease) | (306) | (863) | (1,393) |
Fidelity Mortgage Securities Fund | |||
Shares sold | 14,135 | 19,669 | 60,281 |
Reinvestment of distributions | 3,353 | 5,589 | 6,543 |
Shares redeemed | (20,184) | (42,873) | (37,075) |
Net increase (decrease) | (2,696) | (17,615) | 29,749 |
Institutional Class | |||
Shares sold | 224 | 703 | 733 |
Reinvestment of distributions | 19 | 43 | 44 |
Shares redeemed | (476) | (935) | (476) |
Net increase (decrease) | (233) | (189) | 301 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Share Transactions - continued
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | $ 7,856 | $ 20,110 | $ 18,382 |
Reinvestment of distributions | 1,066 | 1,656 | 2,002 |
Shares redeemed | (11,856) | (18,454) | (23,537) |
Net increase (decrease) | $ (2,934) | $ 3,312 | $ (3,153) |
Class T | |||
Shares sold | $ 7,000 | $ 16,612 | $ 43,073 |
Reinvestment of distributions | 1,871 | 3,658 | 5,128 |
Shares redeemed | (15,245) | (56,617) | (49,428) |
Net increase (decrease) | $ (6,374) | $ (36,347) | $ (1,227) |
Class B | |||
Shares sold | $ 891 | $ 1,960 | $ 4,184 |
Reinvestment of distributions | 1,121 | 2,120 | 3,440 |
Shares redeemed | (11,258) | (30,466) | (37,334) |
Net increase (decrease) | $ (9,246) | $ (26,386) | $ (29,710) |
Class C | |||
Shares sold | $ 1,514 | $ 2,962 | $ 5,615 |
Reinvestment of distributions | 455 | 831 | 1,386 |
Shares redeemed | (5,338) | (13,216) | (22,545) |
Net increase (decrease) | $ (3,369) | $ (9,423) | $ (15,544) |
Fidelity Mortgage Securities Fund | |||
Shares sold | $ 156,124 | $ 215,483 | $ 676,321 |
Reinvestment of distributions | 37,070 | 61,180 | 73,241 |
Shares redeemed | (223,023) | (469,651) | (414,945) |
Net increase (decrease) | $ (29,829) | $ (192,988) | $ 334,617 |
Institutional Class | |||
Shares sold | $ 2,473 | $ 7,639 | $ 8,212 |
Reinvestment of distributions | 210 | 474 | 496 |
Shares redeemed | (5,241) | (10,156) | (5,316) |
Net increase (decrease) | $ (2,558) | $ (2,043) | $ 3,392 |
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money Management, Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management & Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
AMORI-USAN-0407
1.784899.104
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity
Mortgage Securities
Fund
(A Class of Fidelity® Advisor Mortgage
Securities Fund)
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
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 www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-800-544-8544 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com/holdings.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,029.30 | $ 3.72** |
Hypothetical A | $ 1,000.00 | $ 1,021.12 | $ 3.71** |
Class T | |||
Actual | $ 1,000.00 | $ 1,028.80 | $ 4.12 |
Hypothetical A | $ 1,000.00 | $ 1,020.73 | $ 4.11 |
Class B | |||
Actual | $ 1,000.00 | $ 1,025.40 | $ 7.53 |
Hypothetical A | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class C | |||
Actual | $ 1,000.00 | $ 1,025.00 | $ 7.93 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Fidelity Mortgage Securities Fund | |||
Actual | $ 1,000.00 | $ 1,030.70 | $ 2.27 |
Hypothetical A | $ 1,000.00 | $ 1,022.56 | $ 2.26 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,030.40 | $ 2.67 |
Hypothetical A | $ 1,000.00 | $ 1,022.17 | $ 2.66 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .74%** |
Class T | .82% |
Class B | 1.50% |
Class C | 1.58% |
Fidelity Mortgage Securities Fund | .45% |
Institutional Class | .53% |
** If fees and changes to voluntary expense limitations, effective April 1, 2007 had been in effect during the period, the annualized expense ratio would have been .84% and the expenses paid in the actual and hypothetical examples above would have been $4.23 and $4.21, respectively.
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investment in each Fidelity Central Fund. |
Coupon Distribution as of February 28, 2007 | ||
% of fund's investments | % of fund's investments | |
Less than 4% | 1.9 | 1.9 |
4 - 4.99% | 7.4 | 9.2 |
5 - 5.99% | 61.0 | 60.0 |
6 - 6.99% | 25.1 | 18.4 |
7% and over | 4.4 | 3.1 |
Coupon distribution shows the range of stated interest rates on the fund's investments, excluding short-term investments. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 4.7 | 4.4 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 2.9 | 3.7 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007 * | As of August 31, 2006 ** | ||||||
![]() | Mortgage | ![]() | Mortgage | ||||
![]() | Corporate Bonds 3.4% | ![]() | Corporate Bonds 1.7% | ||||
![]() | CMOs and | ![]() | CMOs and | ||||
![]() | U.S. Government | ![]() | U.S. Government | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 5.1% | ** Foreign investments | 4.1% | ||||
* Futures and Swaps | 10.9% | ** Futures and Swaps | 4.2% |
(dagger)Short-term Investments and Net Other Assets are not included in the pie chart.
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007 (Unaudited)
Showing Percentage of Net Assets
U.S. Government Agency - Mortgage Securities - 86.1% | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - 52.2% | ||||
3.759% 10/1/33 (e) | $ 253 | $ 250 | ||
3.787% 6/1/34 (e) | 1,243 | 1,220 | ||
3.803% 6/1/33 (e) | 198 | 197 | ||
3.876% 6/1/33 (e) | 946 | 941 | ||
3.907% 5/1/33 (e) | 1,338 | 1,334 | ||
3.943% 5/1/33 (e) | 89 | 88 | ||
3.986% 2/1/35 (e) | 207 | 206 | ||
3.998% 10/1/18 (e) | 190 | 188 | ||
4% 6/1/18 to 5/1/19 (c) | 18,102 | 17,151 | ||
4.014% 1/1/35 (e) | 111 | 111 | ||
4.05% 2/1/35 (e) | 192 | 191 | ||
4.065% 4/1/33 (e) | 86 | 85 | ||
4.07% 2/1/35 (e) | 142 | 142 | ||
4.076% 2/1/35 (e) | 370 | 367 | ||
4.079% 2/1/35 (e) | 135 | 134 | ||
4.102% 1/1/35 (e) | 403 | 402 | ||
4.116% 2/1/35 (e) | 467 | 466 | ||
4.126% 2/1/35 (e) | 375 | 377 | ||
4.137% 1/1/35 (e) | 723 | 720 | ||
4.175% 1/1/35 (e) | 564 | 555 | ||
4.25% 2/1/35 (e) | 273 | 269 | ||
4.266% 2/1/34 (e) | 259 | 257 | ||
4.279% 3/1/35 (e) | 239 | 238 | ||
4.283% 8/1/33 (e) | 494 | 492 | ||
4.291% 12/1/33 (e) | 257 | 255 | ||
4.307% 3/1/33 (e) | 133 | 131 | ||
4.345% 5/1/35 (e) | 299 | 297 | ||
4.347% 1/1/35 (e) | 295 | 291 | ||
4.355% 4/1/35 (e) | 135 | 134 | ||
4.364% 2/1/34 (e) | 556 | 552 | ||
4.402% 2/1/35 (e) | 412 | 406 | ||
4.416% 5/1/35 (e) | 753 | 752 | ||
4.421% 5/1/35 (e) | 237 | 235 | ||
4.429% 3/1/35 (e) | 383 | 378 | ||
4.448% 8/1/34 (e) | 774 | 769 | ||
4.475% 7/1/34 (e) | 4,317 | 4,264 | ||
4.481% 2/1/35 (e) | 225 | 224 | ||
4.5% 4/1/18 to 1/1/37 (c) | 34,482 | 32,849 | ||
4.5% 3/1/37 (b) | 27,000 | 25,452 | ||
4.5% 3/13/37 (b) | 12,000 | 11,312 | ||
4.5% 3/13/37 (b) | 13,100 | 12,349 | ||
4.5% 3/13/37 (b) | 8,000 | 7,541 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
4.507% 2/1/35 (e) | $ 1,474 | $ 1,476 | ||
4.524% 1/1/20 (e) | 1,574 | 1,558 | ||
4.526% 1/1/35 (e) | 318 | 318 | ||
4.531% 2/1/35 (e) | 153 | 153 | ||
4.536% 7/1/35 (e) | 905 | 902 | ||
4.594% 4/1/33 (e) | 1,099 | 1,099 | ||
4.727% 7/1/34 (e) | 727 | 725 | ||
4.782% 12/1/34 (e) | 251 | 249 | ||
4.786% 12/1/35 (e) | 1,339 | 1,337 | ||
4.899% 4/1/33 (e) | 2,534 | 2,529 | ||
4.927% 7/1/35 (e) | 60 | 60 | ||
5% 9/1/16 to 12/1/34 (c) | 53,137 | 52,032 | ||
5% 3/1/37 (b) | 17,279 | 16,752 | ||
5% 3/13/37 (b) | 30,000 | 29,086 | ||
5% 3/13/37 (b) | 14,000 | 13,573 | ||
5.07% 5/1/35 (e) | 1,511 | 1,514 | ||
5.11% 7/1/34 (e) | 645 | 646 | ||
5.142% 3/1/34 (e) | 4,551 | 4,563 | ||
5.167% 3/1/36 (e) | 3,794 | 3,803 | ||
5.178% 6/1/35 (e) | 1,093 | 1,096 | ||
5.18% 1/1/37 (e) | 1,660 | 1,663 | ||
5.225% 11/1/32 (e) | 736 | 738 | ||
5.233% 7/1/35 (e) | 939 | 924 | ||
5.266% 11/1/36 (e) | 798 | 801 | ||
5.269% 9/1/35 (e) | 270 | 271 | ||
5.271% 8/1/34 (e) | 2,269 | 2,263 | ||
5.316% 3/1/36 (e) | 10,498 | 10,545 | ||
5.352% 1/1/32 (e) | 291 | 293 | ||
5.403% 12/1/36 (e) | 1,215 | 1,221 | ||
5.408% 7/1/35 (e) | 844 | 847 | ||
5.5% 1/1/09 to 12/1/35 (c) | 198,943 | 198,192 | ||
5.5% 3/1/37 (b) | 10,555 | 10,464 | ||
5.5% 3/1/37 (b) | 5,000 | 4,957 | ||
5.5% 3/1/37 (b) | 1,651 | 1,636 | ||
5.5% 3/1/37 (b) | 20,000 | 19,828 | ||
5.5% 3/1/37 (b) | 8,400 | 8,328 | ||
5.5% 3/1/37 (b)(c) | 74,299 | 73,659 | ||
5.5% 3/1/37 (b)(c) | 7,000 | 6,940 | ||
5.5% 3/13/37 (b)(c) | 27,000 | 26,768 | ||
5.579% 6/1/32 (e) | 481 | 485 | ||
5.681% 10/1/36 (e) | 795 | 803 | ||
5.797% 11/1/36 (e) | 1,103 | 1,115 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Fannie Mae - continued | ||||
5.844% 4/1/36 (e) | $ 465 | $ 471 | ||
5.855% 1/1/36 (e) | 789 | 801 | ||
5.902% 3/1/36 (e) | 2,210 | 2,235 | ||
5.91% 3/1/36 (e) | 7,731 | 7,853 | ||
5.919% 3/1/36 (e) | 2,392 | 2,425 | ||
5.95% 12/1/36 (e) | 4,495 | 4,566 | ||
5.989% 9/1/36 (e) | 1,322 | 1,345 | ||
6% 4/1/08 to 6/1/35 | 165,486 | 167,597 | ||
6% 3/1/37 (b) | 2,687 | 2,709 | ||
6.022% 9/1/36 (e) | 864 | 877 | ||
6.036% 9/1/36 (e) | 1,491 | 1,504 | ||
6.325% 10/1/36 (e) | 12,217 | 12,480 | ||
6.343% 5/1/36 (e) | 1,572 | 1,604 | ||
6.357% 8/1/36 (e) | 1,920 | 1,964 | ||
6.359% 8/1/46 (e) | 393 | 402 | ||
6.456% 6/1/36 (e) | 2,404 | 2,449 | ||
6.5% 5/1/12 to 2/1/37 | 75,990 | 77,821 | ||
6.5% 3/1/37 (b)(c) | 5,035 | 5,132 | ||
6.565% 12/1/36 (e) | 306 | 312 | ||
6.614% 12/1/36 (e) | 465 | 476 | ||
7% 12/1/15 to 1/1/37 (c) | 13,068 | 13,500 | ||
7% 3/13/37 (b) | 1,845 | 1,895 | ||
7.5% 8/1/22 to 2/1/37 (b) | 11,084 | 11,472 | ||
8% 7/1/08 to 12/1/29 | 1 | 1 | ||
8.5% 1/1/16 to 7/1/31 | 331 | 357 | ||
9% 6/1/09 to 10/1/30 | 670 | 729 | ||
9.5% 11/1/09 to 8/1/22 | 137 | 150 | ||
11% 8/1/10 | 55 | 58 | ||
12.25% 5/1/15 | 25 | 28 | ||
12.5% 8/1/15 to 3/1/16 | 31 | 36 | ||
12.75% 2/1/15 | 5 | 5 | ||
13.5% 9/1/14 | 4 | 5 | ||
954,043 | ||||
Freddie Mac - 31.9% | ||||
2.905% 5/1/34 (e) | 51 | 51 | ||
3.76% 10/1/33 (e) | 3,173 | 3,122 | ||
3.915% 6/1/34 (e) | 463 | 454 | ||
4% 4/1/19 (d) | 5,040 | 4,778 | ||
4.078% 1/1/35 (e) | 307 | 305 | ||
4.278% 3/1/35 (e) | 321 | 320 | ||
4.279% 5/1/35 (e) | 550 | 546 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
4.297% 12/1/34 (e) | $ 388 | $ 381 | ||
4.321% 2/1/35 (e) | 696 | 693 | ||
4.422% 6/1/35 (e) | 510 | 506 | ||
4.426% 2/1/34 (e) | 312 | 309 | ||
4.431% 3/1/35 (e) | 369 | 363 | ||
4.452% 3/1/35 (e) | 396 | 390 | ||
4.5% 9/1/18 to 8/1/33 | 9,356 | 8,971 | ||
4.544% 2/1/35 (e) | 644 | 635 | ||
4.994% 4/1/35 (e) | 1,733 | 1,733 | ||
5% 6/1/18 to 9/1/35 | 49,922 | 48,495 | ||
5% 3/1/37 (b) | 30,785 | 29,846 | ||
5% 3/13/37 (b)(c) | 30,000 | 29,085 | ||
5.021% 4/1/35 (e) | 141 | 140 | ||
5.287% 11/1/35 (e) | 1,484 | 1,486 | ||
5.5% 6/1/09 to 9/1/35 | 43,845 | 43,689 | ||
5.5% 3/1/37 (b) | 15,160 | 15,032 | ||
5.5% 3/1/37 (b) | 17,170 | 17,025 | ||
5.5% 3/1/37 (b) | 74,000 | 73,377 | ||
5.5% 3/1/37 (b) | 95,830 | 95,024 | ||
5.5% 3/1/37 (b)(c) | 34,535 | 34,244 | ||
5.5% 3/13/37 (b) | 1,000 | 992 | ||
5.911% 11/1/31 (e) | 189 | 190 | ||
6% 5/1/16 to 9/1/36 | 17,087 | 17,348 | ||
6% 3/1/37 (b) | 10,400 | 10,490 | ||
6% 3/1/37 (b) | 20,500 | 20,678 | ||
6% 3/1/37 (b)(c) | 22,800 | 22,998 | ||
6.197% 10/1/36 (e) | 176 | 179 | ||
6.293% 3/1/36 (e) | 4,329 | 4,406 | ||
6.393% 12/1/36 (e) | 1,940 | 1,973 | ||
6.5% 4/1/11 to 2/1/36 (b) | 30,172 | 30,892 | ||
6.517% 10/1/36 (e) | 5,680 | 5,752 | ||
6.6% 10/1/36 (e) | 5,660 | 5,724 | ||
6.617% 10/1/36 (e) | 7,029 | 7,146 | ||
6.624% 12/1/36 (e) | 5,323 | 5,426 | ||
6.641% 7/1/36 (e) | 3,981 | 4,060 | ||
6.778% 9/1/36 (e) | 10,831 | 11,069 | ||
7% 6/1/21 to 2/1/37 (b) | 6,028 | 6,199 | ||
7.5% 2/1/08 to 2/1/37 (b) | 15,638 | 16,201 | ||
8% 10/1/07 to 4/1/21 | 58 | 60 | ||
8.5% 7/1/09 to 9/1/20 | 69 | 73 | ||
9% 10/1/08 to 5/1/21 | 379 | 407 | ||
10% 1/1/09 to 5/1/19 | 84 | 90 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Freddie Mac - continued | ||||
10.5% 8/1/10 to 2/1/16 | $ 9 | $ 10 | ||
12.5% 5/1/12 to 12/1/14 | 68 | 75 | ||
13% 12/1/13 to 6/1/15 | 112 | 127 | ||
583,565 | ||||
Government National Mortgage Association - 2.0% | ||||
3.75% 1/20/34 (e) | 1,351 | 1,346 | ||
6.5% 5/15/28 to 7/15/36 | 12,889 | 13,242 | ||
7% 2/15/24 to 1/15/37 (b) | 18,227 | 18,881 | ||
7.5% 6/15/07 to 4/15/32 | 1,684 | 1,771 | ||
8% 4/15/07 to 12/15/25 | 666 | 707 | ||
8.5% 8/15/16 to 10/15/28 | 1,009 | 1,093 | ||
9% 11/20/17 | 2 | 2 | ||
10.5% 12/20/15 to 2/20/18 | 74 | 83 | ||
13% 10/15/13 | 7 | 8 | ||
13.5% 7/15/11 | 4 | 5 | ||
37,138 | ||||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $1,576,926) | 1,574,746 | |||
Asset-Backed Securities - 2.9% | ||||
Bayview Financial Securities Co. LLC Series 2006-A Class 2A1, 5.44% 2/28/41 (e) | 865 | 865 | ||
Bear Stearns Asset Backed Securities, Inc. Series 2005-AQ2 Class M7, 6.97% 9/25/35 (e) | 1,965 | 1,967 | ||
Countrywide Home Loans, Inc. Series 2005-14 Class M4, 6.05% 4/25/36 (e) | 3,950 | 3,969 | ||
Ford Credit Auto Owner Trust Series 2006-C Class D, 6.89% 5/15/13 (a) | 715 | 721 | ||
Fremont Home Loan Trust Series 2006-E Class M1, 5.58% 1/25/37 (e) | 5,000 | 4,993 | ||
GSAMP Trust Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e) | 2,266 | 2,265 | ||
Holmes Master Issuer PLC Series 2006-1A: | ||||
Class 1C, 5.6% 7/15/40 (a)(e) | 940 | 940 | ||
Class 2C, 5.75% 7/15/40 (a)(e) | 490 | 490 | ||
Leafs CMBS I Ltd. Series 2002-1A Class D, 4.13% 11/20/37 (a) | 10,815 | 9,299 | ||
Long Beach Mortgage Loan Trust: | ||||
Series 2003-3 Class M1, 6.07% 7/25/33 (e) | 3,741 | 3,752 | ||
Series 2006-9 Class M10, 7.82% 11/25/36 (e) | 2,721 | 2,382 | ||
Asset-Backed Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
National Collegiate Student Loan Trust Series 2006-4 Class AI0, 6.35% 2/27/12 (g) | $ 4,205 | $ 1,139 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(e) | 5,000 | 4,963 | ||
Ocala Funding LLC Series 2006-1A Class A, 6.72% 3/20/11 (a)(e) | 2,100 | 2,100 | ||
Ownit Mortgage Loan Trust Series 2006-7 Class M1, 5.57% 10/25/37 (e) | 710 | 709 | ||
Pinnacle Capital Asset Trust Series 2006-A: | ||||
Class B, 5.51% 9/25/09 (a) | 985 | 986 | ||
Class C, 5.77% 5/25/10 (a) | 915 | 916 | ||
Residential Asset Mortgage Products, Inc. Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 649 | 637 | ||
SG Mortgage Securities Trust Series 2006-OPT2 Class M1, 5.56% 10/25/36 (e) | 1,255 | 1,253 | ||
WaMu Asset-Backed Certificates Series 2006-HE5: | ||||
Class B1, 7.82% 10/25/36 (a)(e) | 1,005 | 880 | ||
Class M9, 7.82% 10/25/36 (e) | 1,515 | 1,481 | ||
WaMu Asset Holdings Corp. Series 2006-5 Class N1, 5.926% 7/25/46 (a) | 2,019 | 2,009 | ||
WaMu Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) | 1,663 | 1,654 | ||
WaMu Asset Holdings Corp. Series 2006-8 Class N1, 6.048% 10/25/46 (a) | 1,958 | 1,947 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $52,082) | 52,317 | |||
Collateralized Mortgage Obligations - 16.3% | ||||
Private Sponsor - 6.3% | ||||
American Home Mortgage Investment Trust floater Series 2004-2 Class 4A5, 4.55% 2/25/44 (e) | 6,360 | 6,243 | ||
Arkle Master Issuer PLC floater: | ||||
Series 2006-1A: | ||||
Class 1C, 5.61% 2/17/52 (a)(e) | 745 | 745 | ||
Class 3C, 5.75% 2/17/52 (a)(e) | 455 | 455 | ||
Series 2006-2A: | ||||
Class 1C, 5.6% 2/17/52 (a)(e) | 705 | 705 | ||
Class 2C, 5.74% 2/17/52 (a)(e) | 2,250 | 2,250 | ||
Banc of America Mortgage Securities, Inc.: | ||||
Series 2004-J Class 2A1, 4.7806% 11/25/34 (e) | 1,195 | 1,185 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Private Sponsor - continued | ||||
Banc of America Mortgage Securities, Inc.: - continued | ||||
Series 2005-J Class 2A5, 5.0926% 11/25/35 (e) | $ 3,435 | $ 3,427 | ||
Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17 | 953 | 948 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater Series 2004-4 Class 5A2, 5.72% 3/25/35 (e) | 313 | 313 | ||
Credit Suisse First Boston Mortgage Acceptance Corp. sequential pay Series 2003-1 Class 3A8, 6% 1/25/33 | 1,511 | 1,508 | ||
Credit Suisse First Boston Mortgage Securities Corp. Series 2002-15R Class A1, 3.7196% 1/28/32 (a)(e) | 322 | 284 | ||
Fosse Master Issuer PLC floater Series 2006-1A Class C2, 5.84% 10/18/54 (a)(e) | 770 | 770 | ||
Gracechurch Mortgage Financing PLC floater Series 2006-1 Class D2, 5.83% 11/20/56 (a)(e) | 3,825 | 3,825 | ||
Gracechurch Mortgage Funding PLC floater Series 1A Class DB, 5.83% 10/11/41 (a)(e) | 2,520 | 2,520 | ||
Granite Master Issuer PLC floater: | ||||
Series 2006-2 Class C1, 5.83% 12/20/54 (e) | 155 | 155 | ||
Series 2006-4 Class C1, 5.75% 12/20/54 (e) | 1,465 | 1,465 | ||
Series 2007-1: | ||||
Class 1C1, 5.6387% 12/20/54 (e) | 940 | 941 | ||
Class 2C1, 5.7687% 12/20/54 (e) | 500 | 501 | ||
GSAMP Trust Series 2007-AR2 Class 2A1, 4.8583% 4/25/35 (e) | 1,227 | 1,220 | ||
Holmes Financing No. 6 PLC floater Series 2006 Class 4C, 6.91% 7/15/40 (e) | 765 | 773 | ||
JP Morgan Chase Commercial Mortgage Securities Trust Series 2007-CB18: | ||||
Class A1, 5.32% 6/12/47 (e) | 1,010 | 1,016 | ||
Class A3, 5.447% 6/12/47 (e) | 13,695 | 13,847 | ||
JP Morgan Mortgage Trust Series 2007-A1: | ||||
Class 3A2, 5.012% 7/25/35 (e) | 4,957 | 4,931 | ||
Class 7A3, 5.302% 7/25/35 (e) | 6,920 | 6,934 | ||
Master Alternative Loan Trust Series 2003-2 Class 4A1, 6.5% 4/25/18 | 3,937 | 4,010 | ||
Merrill Lynch Floating Trust floater Series 2006-1 Class TM, 5.82% 6/15/22 (a)(e) | 18,000 | 18,114 | ||
Permanent Master Issuer PLC floater Series 2006-1: | ||||
Class 1C, 5.56% 7/17/42 (e) | 1,500 | 1,500 | ||
Class 2C, 5.76% 7/17/42 (e) | 5,515 | 5,515 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Private Sponsor - continued | ||||
Residential Asset Mortgage Products, Inc. sequential payer: | ||||
Series 2003-SL1 Class A31, 7.125% 4/25/31 | $ 974 | $ 989 | ||
Series 2004-SL2 Class A1, 6.5% 10/25/16 | 218 | 222 | ||
Salomon Brothers Mortgage Securities VII, Inc. | 854 | 824 | ||
Structured Asset Securities Corp. floater Series 2006-BC5 Class B, 7.82% 12/25/36 (e) | 795 | 675 | ||
WaMu Mortgage pass thru certificates sequential payer Series 2002-S6 Class A25, 6% 10/25/32 | 630 | 628 | ||
WaMu Mortgage Securities Corp. Series 2004-RA3 Class 2A, 6.4219% 8/25/38 (e) | 15,192 | 15,370 | ||
Wells Fargo Mortgage Backed Securities Trust Series 2006-AR8: | ||||
Class 2A6, 5.24% 4/25/36 (e) | 4,865 | 4,844 | ||
Class 3A1, 5.2379% 4/25/36 (e) | 4,746 | 4,722 | ||
TOTAL PRIVATE SPONSOR | 114,374 | |||
U.S. Government Agency - 10.0% | ||||
Fannie Mae: | ||||
planned amortization class: | ||||
Series 1994-23 Class PX, 6% 8/25/23 | 3,059 | 3,107 | ||
Series 1999-1 Class PJ, 6.5% 2/25/29 | 9,669 | 10,041 | ||
Series 1999-15 Class PC, 6% 9/25/18 | 2,179 | 2,186 | ||
Series 2006-105 Class MD, 5.5% 6/25/35 | 1,145 | 1,138 | ||
Series 1993-165 Class SH, 4.6848% 9/25/23 (e) | 217 | 215 | ||
Series 2003-22 6% 4/25/33 (g) | 5,478 | 1,125 | ||
Series 2003-26 Class KI, 5% 12/25/15 (g) | 3,331 | 249 | ||
Series 2003-39 Class IA, 5.5% 10/25/22 (e)(g) | 2,604 | 379 | ||
Series 2006-48 Class LF, 0% 8/25/34 (e) | 663 | 647 | ||
6% 4/25/29 | 7,060 | 7,246 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 1999-51 Class LK, 6.5% 8/25/29 | 10,000 | 10,296 | ||
Series 2001-63 Class TC, 6% 12/25/31 | 4,065 | 4,171 | ||
Series 2002-11 Class QB, 5.5% 3/25/15 | 215 | 214 | ||
Series 2002-49 Class KG, 5.5% 8/25/17 | 4,020 | 4,085 | ||
Series 2005-14 Class ME, 5% 10/25/33 | 1,785 | 1,735 | ||
Series 2005-39 Class TE, 5% 5/25/35 | 1,120 | 1,063 | ||
Series 2006-54 Class PC, 6% 1/25/36 | 6,880 | 7,079 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Fannie Mae guaranteed REMIC pass thru certificates: - continued | ||||
sequential payer: | ||||
Series 2002-34 Class Z, 6% 4/25/32 | $ 6,964 | $ 7,096 | ||
Series 2002-9 Class C, 6.5% 6/25/30 | 293 | 293 | ||
Series 2003-80 Class CG, 6% 4/25/30 | 895 | 911 | ||
Series 2004-65 Class EY, 5.5% 8/25/24 | 7,265 | 7,186 | ||
Series 2005-41 Class LA, 5.5% 5/25/35 | 3,397 | 3,430 | ||
Series 2005-55 Class LY, 5.5% 7/25/25 | 6,595 | 6,517 | ||
Series 2002-50 Class LE, 7% 12/25/29 | 57 | 57 | ||
Series 2003-42 Class HS, 1.78% 12/25/17 (e)(g) | 10,252 | 545 | ||
Series 2003-48 Class HI, 5% 11/25/17 (g) | 3,735 | 453 | ||
Series 2003-89 Class DW, 5% 3/25/29 | 8,760 | 8,692 | ||
Series 2006-4 Class IT, 6% 10/25/35 (g) | 646 | 77 | ||
Series 1999-32 Class PL, 6% 7/25/29 | 4,780 | 4,910 | ||
Series 1999-33 Class PK, 6% 7/25/29 | 3,140 | 3,220 | ||
Series 2001-74 Class QE, 6% 12/25/31 | 2,425 | 2,481 | ||
Series 2001-63 Class PG, 6% 12/25/31 | 2,475 | 2,531 | ||
Freddie Mac: | ||||
planned amortization class: | ||||
Series 2095 Class PE, 6% 11/15/28 | 6,325 | 6,485 | ||
Series 2104 Class PG, 6% 12/15/28 | 1,978 | 2,030 | ||
Series 2512 Class PG, 5.5% 10/15/22 | 5,100 | 5,064 | ||
Series 3036 Class ND, 5% 5/15/34 | 6,910 | 6,724 | ||
Series 70 Class C, 9% 9/15/20 | 157 | 157 | ||
sequential payer Series 2114 Class ZM, 6% 1/15/29 | 943 | 971 | ||
Freddie Mac Manufactured Housing participation certificates guaranteed planned amortization class Series 2043 Class CJ, 6.5% 4/15/28 | 1,570 | 1,623 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater Series 2958 Class TF, 0% 4/15/35 (e) | 630 | 598 | ||
planned amortization class: | ||||
Series 2121 Class MG, 6% 2/15/29 | 2,591 | 2,659 | ||
Series 2137 Class PG, 6% 3/15/29 | 2,584 | 2,653 | ||
Series 2154 Class PT, 6% 5/15/29 | 3,370 | 3,467 | ||
Series 2435 Class VG, 6% 2/15/13 | 929 | 947 | ||
Series 2568 Class KG, 5.5% 2/15/23 | 8,820 | 8,836 | ||
Series 2802 Class OB, 6% 5/15/34 | 3,375 | 3,477 | ||
Series 2810 Class PD, 6% 6/15/33 | 2,540 | 2,603 | ||
Series 3077 Class TO, 4/15/35 (h) | 4,913 | 3,614 | ||
Series 3140 Class XO, 3/15/36 (h) | 2,505 | 1,894 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s) | Value (000s) | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2135 Class JE, 6% 3/15/29 | $ 2,988 | $ 3,067 | ||
Series 2274 Class ZM, 6.5% 1/15/31 | 1,009 | 1,055 | ||
Series 2281 Class ZB, 6% 3/15/30 | 1,256 | 1,284 | ||
Series 2388 Class ZA, 6% 12/15/31 | 5,620 | 5,720 | ||
Series 2502 Class ZC, 6% 9/15/32 | 1,504 | 1,535 | ||
Series 2750 Class ZT, 5% 2/15/34 | 2,520 | 2,305 | ||
Series 3097 Class IA, 5.5% 3/15/33 (g) | 4,786 | 835 | ||
Series 1658 Class GZ, 7% 1/15/24 | 3,010 | 3,144 | ||
Series 2587 Class IM, 6.5% 3/15/33 (g) | 1,895 | 426 | ||
Series 2902 Class LZ, 5.5% 9/15/31 | 7,360 | 7,341 | ||
TOTAL U.S. GOVERNMENT AGENCY | 183,889 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $294,916) | 298,263 | |||
Commercial Mortgage Securities - 5.0% | ||||
Asset Securitization Corp. Series 1997-D5: | ||||
Class A-6, 7.404% 2/14/43 (e) | 8,300 | 9,109 | ||
Class PS1, 1.6789% 2/14/43 (e)(g) | 33,568 | 1,093 | ||
Banc of America Commercial Mortgage Trust Series 2006-6 Class XP, 0.4314% 10/10/45 (e)(g) | 49,455 | 1,131 | ||
Banc of America Commercial Mortgage, Inc. Series 2003-2: | ||||
Class HSA, 4.954% 3/11/41 (a) | 740 | 729 | ||
Class HSB, 4.954% 3/11/41 (a) | 895 | 881 | ||
Class HSC, 4.954% 3/11/41 (a) | 895 | 875 | ||
Class HSD, 4.954% 3/11/41 (a) | 895 | 874 | ||
Class HSE, 4.954% 3/11/41 (a) | 2,290 | 2,165 | ||
Banc of America Large Loan Trust floater Series 2006-BIX1: | ||||
Class JCP, 5.82% 10/15/19 (a)(e) | 236 | 236 | ||
Class KCP, 5.87% 10/15/19 (a)(e) | 384 | 384 | ||
Class LCP, 5.97% 10/15/19 (a)(e) | 1,418 | 1,418 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2006-3A: | ||||
Class B1, 6.12% 10/25/36 (a)(e) | $ 319 | $ 314 | ||
Class B2, 6.67% 10/25/36 (a)(e) | 208 | 209 | ||
Class B3, 7.92% 10/25/36 (a)(e) | 373 | 368 | ||
Class M4, 5.75% 10/25/36 (a)(e) | 319 | 320 | ||
Class M5, 5.8% 10/25/36 (a)(e) | 407 | 407 | ||
Class M6, 5.88% 10/25/36 (a)(e) | 789 | 790 | ||
Series 2006-4A: | ||||
Class B1, 6.02% 12/25/36 (a)(e) | 128 | 128 | ||
Class B2, 6.57% 12/25/36 (a)(e) | 123 | 121 | ||
Class B3, 7.77% 12/25/36 (a)(e) | 226 | 226 | ||
Series 2007-1: | ||||
Class B1, 5.99% 3/25/37 (a)(e) | 184 | 184 | ||
Class B2, 6.47% 3/25/37 (a)(e) | 134 | 134 | ||
Class B3, 8.67% 3/25/37 (a)(e) | 383 | 383 | ||
Class M1, 5.59% 3/25/37 (a)(e) | 154 | 154 | ||
Class M2, 5.61% 3/25/37 (a)(e) | 119 | 119 | ||
Class M3, 5.64% 3/27/37 (a)(e) | 105 | 105 | ||
Class M4, 5.69% 3/25/37 (a)(e) | 80 | 80 | ||
Class M5, 5.74% 3/25/37 (a)(e) | 129 | 129 | ||
Class M6, 5.82% 3/25/37 (a)(e) | 184 | 184 | ||
Bear Stearns Commerical Mortgage Securities Trust Series 2006-PW14 Class X2, 0.656% 12/1/38 (a)(e)(g) | 120,185 | 4,107 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.8294% 5/15/35 (a)(e)(g) | 30,767 | 1,597 | ||
Chase Commercial Mortgage Securities Corp. Series 1999-2: | ||||
Class E, 7.734% 1/15/32 | 1,110 | 1,179 | ||
Class F, 7.734% 1/15/32 | 600 | 637 | ||
Citigroup Commercial Mortgage Trust Series 2006-C5 Class AMP2, 5.5005% 10/15/49 (a) | 6,660 | 6,664 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4531% 10/15/48 (e)(g) | 92,870 | 2,260 | ||
Commercial Mortgage pass-thru certificates Series 2006-FL12: | ||||
Class CN1, 5.82% 12/15/20 (a)(e) | 878 | 878 | ||
Class CN2, 5.87% 12/15/20 (a)(e) | 472 | 472 | ||
Class CN3, 5.97% 12/15/20 (a)(e) | 457 | 457 | ||
Communication Mortgage Trust Series 2006-C8: | ||||
Class A1, 5.11% 12/10/46 | 2,139 | 2,138 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Communication Mortgage Trust Series 2006-C8: - continued | ||||
Class XP, 0.505% 12/10/46 (e)(g) | $ 115,888 | $ 3,001 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6729% 12/15/39 (e)(g) | 71,210 | 2,550 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2006-TF2A: | ||||
Class A2, 6.82% 7/15/19 (a)(e) | 1,970 | 1,965 | ||
Class SHDC, 6.32% 7/15/19 (a)(e) | 940 | 940 | ||
Series 2006-TFL2 Class SHDD, 6.67% 7/15/19 (a)(e) | 530 | 530 | ||
GMAC Commercial Mortgage Securities, Inc. Series 2005-C1 Class X2, 0.7661% 5/10/43 (e)(g) | 51,652 | 1,235 | ||
Greenwich Capital Commercial Funding Corp. Series 2007-GG9 Class A1, 5.233% 3/10/39 | 1,215 | 1,215 | ||
GS Mortgage Securities Corp. II Series 1998-GLII Class E, 6.9707% 4/13/31 (e) | 390 | 397 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA Class B, 7.3% 8/3/15 (a) | 785 | 822 | ||
JPMorgan Chase Commercial Mortgage Securities Corp. sequential payer Series 2006-CB14 Class A3B, 5.4864% 12/12/44 (e) | 2,640 | 2,687 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2006-C3 Class A1, 5.478% 3/15/39 | 1,121 | 1,129 | ||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 1,139 | 1,144 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (e) | 830 | 836 | ||
Series 2006-C6 Class XCP, 0.6468% 9/15/39 (e)(g) | 39,305 | 1,306 | ||
Series 2007-C1 Class XCP, 0.4571% 2/15/40 (e)(g) | 15,300 | 393 | ||
Merrill Lynch Mortgage Trust Series 2006-C1 Class A3, 5.6599% 5/12/39 (e) | 3,675 | 3,772 | ||
Merrill Lynch/Countrywide Commercial Mortgage Trust Series 2006-2 Class A3, 5.8768% 6/12/46 (e) | 3,321 | 3,452 | ||
ML-CFC Commercial Mortgage Series 2006-4 Class XP, 0.683% 12/12/49 (e)(g) | 146,825 | 5,177 | ||
Morgan Stanley Capital I Trust: | ||||
floater Series 2007-XLFA: | ||||
Class MHRO, 6.01% 10/15/20 (a)(e) | 790 | 790 | ||
Class MJPM, 6.32% 10/15/20 (a)(e) | 460 | 460 | ||
Class MSTR, 6.02% 10/15/20 (a)(e) | 390 | 390 | ||
Class NHRO, 6.21% 10/15/20 (a)(e) | 1,220 | 1,220 | ||
Class NSTR, 6.17% 10/15/20 (a)(e) | 360 | 360 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 (e) | 1,340 | 1,346 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount (000s) | Value (000s) | |||
Morgan Stanley Capital I Trust: - continued | ||||
Series 2007-T25 Class A2, 5.507% 11/12/49 | $ 6,475 | $ 6,576 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA Class E3, 7.253% 3/15/13 (a) | 4,276 | 4,341 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $91,523) | 91,673 |
Fixed-Income Funds - 24.6% | |||
Shares | |||
Fidelity Ultra-Short Central Fund (f) | 4,538,839 | 450,843 | |
Cash Equivalents - 1.3% | |||
Maturity Amount (000s) | |||
Investments in repurchase agreements in a joint trading account at: | |||
5.29%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Treasury Obligations) # | $ 2,224 | 2,224 | |
5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) # | 22,478 | 22,475 | |
TOTAL CASH EQUIVALENTS (Cost $24,699) | 24,699 | ||
TOTAL INVESTMENT PORTFOLIO - 136.2% (Cost $2,491,194) | 2,492,541 | ||
NET OTHER ASSETS - (36.2)% | (662,601) | ||
NET ASSETS - 100% | $ 1,829,940 |
Swap Agreements | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors, Inc. Series 2006-HE5 Class B3, 7.32% 8/25/37 | Sept. 2037 | $ 7,500 | $ (1,143) | ||
Receive monthly notional amount multiplied by 2.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 8.52% 9/25/34 | Oct. 2034 | 1,400 | (62) | ||
Receive monthly notional amount multiplied by 1.35% and pay Deutsche Bank upon default event of Asset Backed Sec. Corp. Home Equity Loan Trust, par value of the notional amount of Asset Backed Sec. Corp. Home Equity Loan Trust Series 2006-HE5 Class M8, 6.32% 7/25/36 | August 2036 | 5,000 | (518) | ||
Receive monthly notional amount multiplied by 1.45% and pay UBS upon default event of ACE Securities Corp., par value of the notional amount of ACE Securities Corp. Series 2006-NC2 Class M9, 7.03% 7/25/36 | August 2036 | 2,400 | (378) | ||
Receive monthly notional amount multiplied by 2.37% and pay Bank of America upon default event of JP Morgan Mortgage Acquisition Corp., par value of the notional amount of JP Morgan Mortgage Acquisition Corp. Series 2006-CW2 Class MV9, 7.1244% 8/25/36 | Sept. 2036 | 1,400 | (160) | ||
Receive monthly notional amount multiplied by 2.8% and pay Merrill Lynch, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11 Class M9, 6.7768% 11/25/34 | Dec. 2034 | 1,200 | (76) | ||
Receive monthly notional amount multiplied by 2.87% and pay Bank of America upon default event of Morgan Stanley ABS Capital Inc. Trust, par value of the notional amount of Morgan Stanley ABS Capital Inc. Trust Series 2006-HE3 Class B3, 7.22% 4/25/36 | May 2036 | 2,400 | (515) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.05% and pay JPMorgan Chase, Inc. upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-7 Class M9, 7.13% 8/25/36 | Sept. 2036 | $ 1,400 | $ (266) | ||
Receive monthly notional amount multiplied by 3.12% and pay Bank of America upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2006-B Class M9, 7.23% 8/25/36 | Sept. 2036 | 1,400 | (265) | ||
Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36 | August 2036 | 7,500 | (1,029) | ||
Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.22% 7/25/36 | August 2036 | 7,500 | (1,176) | ||
Receive monthly notional amount multiplied by 3.75% and pay Deutsche Bank upon default event of Fieldstone Mortgage Investment Corp., par value of the notional amount of Fieldstone Mortgage Investment Corp. Series 2005-3 Class M9, 7.32% 2/25/36 | March 2036 | 2,000 | (183) | ||
Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-8 Class M9, 7.12% 9/25/36 | Oct. 2036 | 7,500 | (1,212) | ||
TOTAL CREDIT DEFAULT SWAPS | 48,600 | (6,983) | |||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount (000s) | Value (000s) | |||
Interest Rate Swaps | |||||
Receive semi-annually a fixed rate equal to 4.931% and pay quarterly a floating rate based on 3-month LIBOR with Morgan Stanley, Inc. | Dec. 2016 | $ 10,000 | $ (136) | ||
Receive semi-annually a fixed rate equal to 4.933% and pay quarterly a floating rate based on 3-month LIBOR with Credit Suisse First Boston | March 2012 | 15,000 | (30) | ||
Receive semi-annually a fixed rate equal to 5% and pay quarterly a floating rate based on 3-month LIBOR with Deutsche Bank | Nov. 2009 | 23,000 | 294 | ||
Receive semi-annually a fixed rate equal to 5.008% and pay quarterly a floating rate based on 3-month LIBOR with Bank of America | March 2012 | 15,000 | 19 | ||
Receive semi-annually a fixed rate equal to 5.2115% and pay quarterly a floating rate based on 3-month LIBOR with JPMorgan Chase, Inc. | Oct. 2008 | 10,000 | 149 | ||
TOTAL INTEREST RATE SWAPS | 73,000 | 296 | |||
Total Return Swaps | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 30 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | 15,000 | 0 | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor plus 25 basis points and pay monthly notional amount multiplied by the nominal spread depreciation of the Lehman Brothers CMBS AAA 8.5+ Index adjusted by a modified duration factor with Lehman Brothers, Inc. | March 2008 | 15,000 | 0 | ||
Receive monthly a return equal to Lehman Brothers CMBS U.S. Aggregate Index and pay monthly a floating rate based on 1-month LIBOR minus 7 basis points with Lehman Brothers, Inc. | June 2007 | 20,000 | 246 | ||
TOTAL TOTAL RETURN SWAPS | 50,000 | 246 | |||
$ 171,600 | $ (6,441) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $95,307,000 or 5.2% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) A portion of the security is subject to a forward commitment to sell. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $6,256,000. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(g) 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 held as of the end of the period. |
(h) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$2,224,000 due 3/01/07 at 5.29% | |
Barclays Capital, Inc. | $ 896 |
Credit Suisse Securities (USA) LLC | 1,328 |
$ 2,224 | |
$22,475,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 933 |
BNP Paribas Securities Corp. | 918 |
Banc of America Securities LLC | 2,079 |
Bank of America, NA | 3,111 |
Barclays Capital, Inc. | 5,479 |
Bear Stearns & Co., Inc. | 622 |
Citigroup Global Markets, Inc. | 622 |
Countrywide Securities Corp. | 3,111 |
Goldman, Sachs & Co. | 311 |
Societe Generale, New York Branch | 933 |
UBS Securities LLC | 4,356 |
$ 22,475 |
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 Ultra-Short Central Fund | $ 14,200 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, | % ownership, end of period |
Fidelity Ultra-Short Central Fund | $ 422,645 | $ 169,990 | $ 140,990 | $ 450,843 | 3.3% |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $20,777,000 of which $2,470,000 and $18,307,000 will expire on August 31, 2013 and 2014, respectively. |
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) | February 28, 2007 (Unaudited) | |
Assets | ||
Investment in securities, at value (including repurchase agreements of $24,699) - See accompanying schedule: Unaffiliated issuers (cost $2,040,146) | $ 2,041,698 | |
Fidelity Central Funds (cost $451,048) | 450,843 | |
Total Investments (cost $2,491,194) | $ 2,492,541 | |
Commitment to sell securities on a delayed delivery basis | (247,172) | |
Receivable for securities sold on a delayed delivery basis | 246,304 | (868) |
Cash | 537 | |
Receivable for investments sold | 34,083 | |
Delayed delivery | 49,658 | |
Receivable for swap agreements | 128 | |
Receivable for fund shares sold | 2,317 | |
Interest receivable | 7,701 | |
Distributions receivable from Fidelity Central Funds | 2,062 | |
Total assets | 2,588,159 | |
Liabilities | ||
Payable for investments purchased | $ 118,112 | |
Delayed delivery | 630,537 | |
Payable for fund shares redeemed | 1,740 | |
Distributions payable | 579 | |
Swap agreements, at value | 6,441 | |
Accrued management fee | 483 | |
Distribution fees payable | 97 | |
Other affiliated payables | 230 | |
Total liabilities | 758,219 | |
Net Assets | $ 1,829,940 | |
Net Assets consist of: | ||
Paid in capital | $ 1,855,827 | |
Distributions in excess of net investment income | (2,782) | |
Accumulated undistributed net realized gain (loss) on investments | (17,143) | |
Net unrealized appreciation (depreciation) on investments | (5,962) | |
Net Assets | $ 1,829,940 |
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) | February 28, 2007 (Unaudited) | |
Calculation of Maximum Offering Price Class A: | $ 11.03 | |
Maximum offering price per share (100/95.25 of $11.03) | $ 11.58 | |
Class T: | $ 11.05 | |
Maximum offering price per share (100/96.50 of $11.05) | $ 11.45 | |
Class B: | $ 11.03 | |
Class C: | $ 11.02 | |
Fidelity Mortgage Securities Fund: | $ 11.05 | |
Institutional Class: | $ 11.03 |
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 February 28, 2007 (Unaudited) | |
Investment Income | ||
Interest | $ 36,320 | |
Income from Fidelity Central Funds | 14,200 | |
Total income | 50,520 | |
Expenses | ||
Management fee | $ 2,955 | |
Transfer agent fees | 1,087 | |
Distribution fees | 610 | |
Fund wide operations fee | 288 | |
Independent trustees' compensation | 3 | |
Miscellaneous | 3 | |
Total expenses before reductions | 4,946 | |
Expense reductions | (7) | 4,939 |
Net investment income | 45,581 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (2,524) | |
Fidelity Central Funds | 617 | |
Swap agreements | 151 | |
Capital gain distributions from Fidelity Central Funds | 78 | |
Total net realized gain (loss) | (1,678) | |
Change in net unrealized appreciation (depreciation) on: Investment securities | 19,556 | |
Swap agreements | (7,136) | |
Delayed delivery commitments | (751) | |
Total change in net unrealized appreciation (depreciation) | 11,669 | |
Net gain (loss) | 9,991 | |
Net increase (decrease) in net assets resulting from operations | $ 55,572 |
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 February 28, 2007 (Unaudited) | Ten months ended* | Year ended |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 45,581 | $ 76,477 | $ 80,564 |
Net realized gain (loss) | (1,678) | (19,322) | 1,596 |
Change in net unrealized appreciation (depreciation) | 11,669 | 15,324 | (52,287) |
Net increase (decrease) in net assets resulting | 55,572 | 72,479 | 29,873 |
Distributions to shareholders from net investment income | (45,363) | (76,044) | (83,034) |
Distributions to shareholders from net realized gain | - | - | (10,450) |
Total distributions | (45,363) | (76,044) | (93,484) |
Share transactions - net increase (decrease) | (54,309) | (263,875) | 288,375 |
Total increase (decrease) in net assets | (44,100) | (267,440) | 224,764 |
Net Assets | |||
Beginning of period | 1,874,040 | 2,141,480 | 1,916,716 |
End of period (including distributions in excess of net investment income of $2,782, $3,000 and $2,371, respectively) | $ 1,829,940 | $ 1,874,040 | $ 2,141,480 |
* The fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 H | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 | $ 11.12 | $ 10.53 |
Income from Investment Operations | |||||||
Net investment income E | .218 | .336 | .323 | .278 | .197 | .421 J | .551 |
Net realized and unrealized gain (loss) | .059 | (.022) | (.257) | .172 | .112 | .171 J | .611 |
Total from investment operations | .277 | .314 | .066 | .450 | .309 | .592 | 1.162 |
Distributions from net investment income | (.217) | (.334) | (.336) | (.280) | (.189) | (.452) | (.572) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.217) | (.334) | (.396) | (.430) | (.269) | (.452) | (.572) |
Net asset value, end of period | $ 11.03 | $ 10.97 | $ 10.99 | $ 11.32 | $ 11.30 | $ 11.26 | $ 11.12 |
Total Return B, C, D | 2.54% | 2.91% | .58% | 4.08% | 2.78% | 5.48% | 11.32% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.58% | 1.60% |
Expenses net of fee waivers, if any | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.58% | 1.60% |
Expenses net of all reductions | 1.50% A | 1.50% A | 1.58% | 1.63% | 1.57% | 1.57% | 1.60% |
Net investment income | 3.98% A | 3.68% A | 2.89% | 2.48% | 1.75% | 3.82% J | 5.11% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 66 | $ 74 | $ 101 | $ 134 | $ 182 | $ 176 | $ 57 |
Portfolio turnover rate G | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. K For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Fidelity Mortgage Securities Fund
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 | $ 11.14 | $ 10.54 |
Income from Investment Operations | |||||||
Net investment income D | .276 | .432 | .438 | .390 | .306 | .526 I | .654 |
Net realized and unrealized gain (loss) | .059 | (.023) | (.257) | .183 | .102 | .170 I | .619 |
Total from investment operations | .335 | .409 | .181 | .573 | .408 | .696 | 1.273 |
Distributions from net investment income | (.275) | (.429) | (.451) | (.393) | (.298) | (.556) | (.673) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.275) | (.429) | (.511) | (.543) | (.378) | (.556) | (.673) |
Net asset value, end of period | $ 11.05 | $ 10.99 | $ 11.01 | $ 11.34 | $ 11.31 | $ 11.28 | $ 11.14 |
Total Return B, C | 3.07% | 3.80% | 1.61% | 5.21% | 3.68% | 6.47% | 12.44% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Expenses net of fee waivers, if any | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Expenses net of all reductions | .45% A | .45% A | .55% | .62% | .60% | .63% | .66% |
Net investment income | 5.04% A | 4.73% A | 3.91% | 3.48% | 2.72% | 4.76% I | 6.04% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 1,591 | $ 1,612 | $ 1,807 | $ 1,525 | $ 1,302 | $ 1,208 | $ 430 |
Portfolio turnover rate F | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. J For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended February 28, 2007 | Year ended August 31, | ||||||
(Unaudited) | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 | $ 11.11 | $ 10.52 |
Income from Investment Operations | |||||||
Net investment income D | .271 | .424 | .432 | .387 | .302 | .513 I | .644 |
Net realized and unrealized gain (loss) | .059 | (.011) | (.266) | .182 | .112 | .171 I | .610 |
Total from investment operations | .330 | .413 | .166 | .569 | .414 | .684 | 1.254 |
Distributions from net investment income | (.270) | (.423) | (.446) | (.389) | (.294) | (.544) | (.664) |
Distributions from net realized gain | - | - | (.060) | (.150) | (.080) | - | - |
Total distributions | (.270) | (.423) | (.506) | (.539) | (.374) | (.544) | (.664) |
Net asset value, end of period | $ 11.03 | $ 10.97 | $ 10.98 | $ 11.32 | $ 11.29 | $ 11.25 | $ 11.11 |
Total Return B, C | 3.04% | 3.85% | 1.48% | 5.19% | 3.75% | 6.36% | 12.27% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .53% A | .52% A | .60% | .66% | .63% | .75% | .76% |
Expenses net of fee waivers, if any | .53% A | .52% A | .60% | .66% | .63% | .75% | .75% |
Expenses net of all reductions | .53% A | .52% A | .60% | .66% | .63% | .75% | .75% |
Net investment income | 4.96% A | 4.66% A | 3.87% | 3.45% | 2.69% | 4.65% I | 5.95% |
Supplemental Data | |||||||
Net assets, end of period (in millions) | $ 12 | $ 14 | $ 16 | $ 13 | $ 16 | $ 12 | $ 7 |
Portfolio turnover rate F | 438% A | 232% A | 183% | 204% | 356% | 231% | 194% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. J For the period ended October 31. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007 (Unaudited)
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Mortgage Securities 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 B, Class C, Fidelity Mortgage Securities Fund, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or, for the Fixed-Income Central Funds, at fidelity.com and/or advisor.fidelity.com, as applicable. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Ultra-Short Central Fund | Fidelity Investments Money Management, Inc. (FIMM) | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotes are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices. When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 12,304 | |
Unrealized depreciation | (11,358) | |
Net unrealized appreciation (depreciation) | $ 946 | |
Cost for federal income tax purposes | $ 2,491,595 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15,
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
New Accounting Pronouncements - continued
2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the
Semiannual Report
4. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities - continued
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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies - continued
Swap Agreements - continued
guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
Mortgage Dollar Rolls. To earn additional income, the Fund may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
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 $467,402 and $286,584, respectively.
Semiannual Report
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | .00% | .15% | $ 40 | $ 1 |
Class T | .00% | .25% | 107 | 1 |
Class B | .65% | .25% | 313 | 227 |
Class C | .75% | .25% | 150 | 19 |
$ 610 | $ 248 |
On January 18, 2007, the Board of Trustees approved an increase in Class A's Service fee from .15% to .25%, effective April 1, 2007.
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% to .50% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
On January 18, 2007, the Board of Trustees approved a change in Class A and Class T's front-end sales charge. Effective April 1, 2007, FDC will receive a front-end sales charge of up to 4.00% for selling Class A and Class T shares.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Fees and Other Transactions with Affiliates - continued
Sales Load - continued
For the period, sales charge amounts retained by FDC were as follows:
Retained | |
Class A | $ 4 |
Class T | 3 |
Class B* | 89 |
Class C* | 1 |
$ 97 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales
are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund, except for Fidelity Mortgage Securities Fund. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, is the transfer agent for Fidelity Mortgage Securities Fund shares. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FSC receives an asset-based fee of .10% of Fidelity Mortgage Securities Fund's average net assets. FIIOC and FSC pay for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period, the total transfer agent fees paid by each class to FIIOC or FSC, were as follows:
Amount | % of | |
Class A | $ 63 | .24 |
Class T | 93 | .22 |
Class B | 87 | .25 |
Class C | 34 | .23 |
Fidelity Mortgage Securities Fund | 800 | .10 |
Institutional Class | 10 | .18 |
$ 1,087 |
* Annualized
Fundwide Operations Fee. Pursuant to the Fundwide Operations and Expense Agreement (FWOE), FMR has agreed to provide for fund level expenses (which do not include transfer agent, Rule 12b-1 fees, compensation of the independent trustees, interest (including commitment fees), taxes or extraordinary expenses, if any) in return
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Fundwide Operations Fee - continued
for a FWOE fee equal to .35% less the total amount of the management fee. The FWOE paid by the Fund is reduced by an amount equal to the fees and expenses paid to the independent trustees. For the period, the FWOE fee was equivalent to an annualized rate of .03% of average net assets.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $2 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Expense Reductions.
Through arrangements with the Fund's custodian and each class' transfer agent, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's management fee by $3. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 1 | |
Fidelity Mortgage Securities Fund | 3 | |
$ 4 |
9. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
9. Other - continued
During the period, a transfer agent of the Fund, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and records of the Fund. FIIOC is in the process of determining appropriate remediation to affected shareholder accounts.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
From net investment income | |||
Class A | $ 1,241 | $ 1,927 | $ 2,029 |
Class T | 1,980 | 3,883 | 4,745 |
Class B | 1,373 | 2,632 | 3,543 |
Class C | 579 | 1,063 | 1,456 |
Fidelity Mortgage Securities Fund | 39,901 | 65,925 | 70,651 |
Institutional Class | 289 | 614 | 610 |
Total | $ 45,363 | $ 76,044 | $ 83,034 |
From net realized gain | |||
Class A | $ - | $ - | $ 287 |
Class T | - | - | 691 |
Class B | - | - | 700 |
Class C | - | - | 301 |
Fidelity Mortgage Securities Fund | - | - | 8,396 |
Institutional Class | - | - | 75 |
Total | $ - | $ - | $ 10,450 |
Semiannual Report
11. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | 713 | 1,839 | 1,644 |
Reinvestment of distributions | 97 | 152 | 179 |
Shares redeemed | (1,075) | (1,692) | (2,106) |
Net increase (decrease) | (265) | 299 | (283) |
Class T | |||
Shares sold | 634 | 1,518 | 3,841 |
Reinvestment of distributions | 169 | 334 | 458 |
Shares redeemed | (1,381) | (5,186) | (4,417) |
Net increase (decrease) | (578) | (3,334) | (118) |
Class B | |||
Shares sold | 80 | 180 | 374 |
Reinvestment of distributions | 102 | 194 | 308 |
Shares redeemed | (1,022) | (2,788) | (3,340) |
Net increase (decrease) | (840) | (2,414) | (2,658) |
Class C | |||
Shares sold | 138 | 272 | 501 |
Reinvestment of distributions | 41 | 76 | 124 |
Shares redeemed | (485) | (1,211) | (2,018) |
Net increase (decrease) | (306) | (863) | (1,393) |
Fidelity Mortgage Securities Fund | |||
Shares sold | 14,135 | 19,669 | 60,281 |
Reinvestment of distributions | 3,353 | 5,589 | 6,543 |
Shares redeemed | (20,184) | (42,873) | (37,075) |
Net increase (decrease) | (2,696) | (17,615) | 29,749 |
Institutional Class | |||
Shares sold | 224 | 703 | 733 |
Reinvestment of distributions | 19 | 43 | 44 |
Shares redeemed | (476) | (935) | (476) |
Net increase (decrease) | (233) | (189) | 301 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
11. Share Transactions - continued
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | $ 7,856 | $ 20,110 | $ 18,382 |
Reinvestment of distributions | 1,066 | 1,656 | 2,002 |
Shares redeemed | (11,856) | (18,454) | (23,537) |
Net increase (decrease) | $ (2,934) | $ 3,312 | $ (3,153) |
Class T | |||
Shares sold | $ 7,000 | $ 16,612 | $ 43,073 |
Reinvestment of distributions | 1,871 | 3,658 | 5,128 |
Shares redeemed | (15,245) | (56,617) | (49,428) |
Net increase (decrease) | $ (6,374) | $ (36,347) | $ (1,227) |
Class B | |||
Shares sold | $ 891 | $ 1,960 | $ 4,184 |
Reinvestment of distributions | 1,121 | 2,120 | 3,440 |
Shares redeemed | (11,258) | (30,466) | (37,334) |
Net increase (decrease) | $ (9,246) | $ (26,386) | $ (29,710) |
Class C | |||
Shares sold | $ 1,514 | $ 2,962 | $ 5,615 |
Reinvestment of distributions | 455 | 831 | 1,386 |
Shares redeemed | (5,338) | (13,216) | (22,545) |
Net increase (decrease) | $ (3,369) | $ (9,423) | $ (15,544) |
Fidelity Mortgage Securities Fund | |||
Shares sold | $ 156,124 | $ 215,483 | $ 676,321 |
Reinvestment of distributions | 37,070 | 61,180 | 73,241 |
Shares redeemed | (223,023) | (469,651) | (414,945) |
Net increase (decrease) | $ (29,829) | $ (192,988) | $ 334,617 |
Institutional Class | |||
Shares sold | $ 2,473 | $ 7,639 | $ 8,212 |
Reinvestment of distributions | 210 | 474 | 496 |
Shares redeemed | (5,241) | (10,156) | (5,316) |
Net increase (decrease) | $ (2,558) | $ (2,043) | $ 3,392 |
Semiannual Report
Managing Your Investments
Fidelity offers several ways to conveniently manage your personal investments via your telephone or PC. You can access your account information, conduct trades and research your investments 24 hours a day.
By Phone
Fidelity Automated Service Telephone provides a single toll-free number to access account balances, positions, quotes and trading. It's easy to navigate the service, and on your first call, the system will help you create a personal identification number (PIN) for security.
(phone_graphic)
Fidelity Automated
Service Telephone (FAST®)
1-800-544-5555
Press
1 For mutual fund and brokerage trading.
2 For quotes.*
3 For account balances and holdings.
4 To review orders and mutual
fund activity.
5 To change your PIN.
*0 To speak to a Fidelity representative.
By PC
Fidelity's web site on the Internet provides a wide range of information, including daily financial news, fund performance, interactive planning tools and news about Fidelity products and services.
(computer_graphic)
Fidelity's Web Site
www.fidelity.com
* When you call the quotes line, please remember that a fund's yield and return will vary and, except for money market funds, share price will also vary. This means that you may have a gain or loss when you sell your shares. There is no assurance that money market funds will be able to maintain a stable $1 share price; an investment in a money market fund is not insured or guaranteed by the U.S. government. Total returns are historical and include changes in share price, reinvestment of dividends and capital gains, and the effects of any sales charges.
Semiannual Report
To Visit Fidelity
For directions and hours,
please call 1-800-544-9797.
Arizona
7001 West Ray Road
Chandler, AZ
15445 N. Scottsdale Road
Scottsdale, AZ
California
815 East Birch Street
Brea, CA
1411 Chapin Avenue
Burlingame, CA
851 East Hamilton Avenue
Campbell, CA
19200 Von Karman Avenue
Irvine, CA
601 Larkspur Landing Circle
Larkspur, CA
10100 Santa Monica Blvd.
Los Angeles, CA
27101 Puerta Real
Mission Viejo, CA
73-575 El Paseo
Palm Desert, CA
251 University Avenue
Palo Alto, CA
123 South Lake Avenue
Pasadena, CA
16995 Bernardo Ctr. Drive
Rancho Bernardo, CA
1220 Roseville Parkway
Roseville, CA
1740 Arden Way
Sacramento, CA
7676 Hazard Center Drive
San Diego, CA
11943 El Camino Real
San Diego, CA
8 Montgomery Street
San Francisco, CA
3793 State Street
Santa Barbara, CA
1200 Wilshire Boulevard
Santa Monica, CA
21701 Hawthorne Boulevard
Torrance, CA
2001 North Main Street
Walnut Creek, CA
6300 Canoga Avenue
Woodland Hills, CA
Colorado
1625 Broadway
Denver, CO
9185 Westview Road
Lone Tree, CO
Connecticut
48 West Putnam Avenue
Greenwich, CT
265 Church Street
New Haven, CT
300 Atlantic Street
Stamford, CT
29 South Main Street
West Hartford, CT
Delaware
400 Delaware Avenue
Wilmington, DE
Florida
4400 N. Federal Highway
Boca Raton, FL
121 Alhambra Plaza
Coral Gables, FL
2948 N. Federal Highway
Ft. Lauderdale, FL
4671 Town Center Parkway
Jacksonville, FL
1907 West State Road 434
Longwood, FL
8880 Tamiami Trail, North
Naples, FL
3501 PGA Boulevard
Palm Beach Gardens, FL
3550 Tamiami Trail, South
Sarasota, FL
1502 N. Westshore Blvd.
Tampa, FL
2465 State Road 7
Wellington, FL
Georgia
3445 Peachtree Road, N.E.
Atlanta, GA
1000 Abernathy Road
Atlanta, GA
Illinois
One North LaSalle Street
Chicago, IL
875 North Michigan Ave.
Chicago, IL
1415 West 22nd Street
Oak Brook, IL
1572 East Golf Road
Schaumburg, IL
3232 Lake Avenue
Wilmette, IL
Indiana
4729 East 82nd Street
Indianapolis, IN
Kansas
5400 College Boulevard
Overland Park, KS
Maine
Three Canal Plaza
Portland, ME
Maryland
7315 Wisconsin Avenue
Bethesda, MD
One W. Pennsylvania Ave.
Towson, MD
Massachusetts
801 Boylston Street
Boston, MA
155 Congress Street
Boston, MA
300 Granite Street
Braintree, MA
44 Mall Road
Burlington, MA
238 Main Street
Cambridge, MA
405 Cochituate Road
Framingham, MA
416 Belmont Street
Worcester, MA
Semiannual Report
Michigan
500 E. Eisenhower Pkwy.
Ann Arbor, MI
280 Old N. Woodward Ave.
Birmingham, MI
43420 Grand River Avenue
Novi, MI
29155 Northwestern Hwy.
Southfield, MI
Minnesota
7600 France Avenue South
Edina, MN
Missouri
1524 South Lindbergh Blvd.
St. Louis, MO
Nevada
2225 Village Walk Drive
Henderson, NV
New Jersey
150 Essex Street
Millburn, NJ
56 South Street
Morristown, NJ
396 Route 17, North
Paramus, NJ
3518 Route 1 North
Princeton, NJ
530 Broad Street
Shrewsbury, NJ
New York
1055 Franklin Avenue
Garden City, NY
37 West Jericho Turnpike
Huntington Station, NY
1271 Avenue of the Americas
New York, NY
980 Madison Avenue
New York, NY
61 Broadway
New York, NY
350 Park Avenue
New York, NY
200 Fifth Avenue
New York, NY
733 Third Avenue
New York, NY
11 Penn Plaza
New York, NY
2070 Broadway
New York, NY
1075 Northern Blvd.
Roslyn, NY
799 Central Park Avenue
Scarsdale, NY
North Carolina
4611 Sharon Road
Charlotte, NC
7011 Fayetteville Road
Durham, NC
Ohio
3805 Edwards Road
Cincinnati, OH
1324 Polaris Parkway
Columbus, OH
28699 Chagrin Boulevard
Woodmere Village, OH
Oregon
7493 SW Bridgeport Road
Tigard, OR
Pennsylvania
600 West DeKalb Pike
King of Prussia, PA
1735 Market Street
Philadelphia, PA
12001 Perry Highway
Wexford, PA
Rhode Island
47 Providence Place
Providence, RI
Tennessee
6150 Poplar Avenue
Memphis, TN
Texas
10000 Research Boulevard
Austin, TX
4001 Northwest Parkway
Dallas, TX
12532 Memorial Drive
Houston, TX
2701 Drexel Drive
Houston, TX
6560 Fannin Street
Houston, TX
6500 N. MacArthur Blvd.
Irving, TX
6005 West Park Boulevard
Plano, TX
14100 San Pedro
San Antonio, TX
1576 East Southlake Blvd.
Southlake, TX
19740 IH 45 North
Spring, TX
Utah
279 West South Temple
Salt Lake City, UT
Virginia
1861 International Drive
McLean, VA
Washington
411 108th Avenue, N.E.
Bellevue, WA
1518 6th Avenue
Seattle, WA
Washington, DC
1900 K Street, N.W.
Washington, DC
Wisconsin
595 North Barker Road
Brookfield, WI
Fidelity Brokerage Services, Inc., 100 Summer St., Boston, MA 02110 Member NYSE/SIPC
Semiannual Report
To Write Fidelity
We'll give your correspondence immediate attention and send you written confirmation upon completion of your request.
(letter_graphic)
Making Changes
To Your Account
(such as changing name, address, bank, etc.)
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0002
(letter_graphic)
For Non-Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
(letter_graphic)
For Retirement
Accounts
Buying shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0003
Selling shares
Fidelity Investments
P.O. Box 770001
Cincinnati, OH 45277-0035
Overnight Express
Fidelity Investments
Attn: Distribution Services
100 Crosby Parkway - KC1H
Covington, KY 41015
General Correspondence
Fidelity Investments
P.O. Box 500
Merrimack, NH 03054-0500
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Investments Money Management, Inc.
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agent
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
The Fidelity Telephone Connection
Mutual Fund 24-Hour Service
Exchanges/Redemptions
and Account Assistance 1-800-544-6666
Product Information 1-800-544-6666
Retirement Accounts 1-800-544-4774
(8 a.m. - 9 p.m.)
TDD Service 1-800-544-0118
for the deaf and hearing impaired
(9 a.m. - 9 p.m. Eastern time)
Fidelity Automated Service
Telephone (FAST®) (automated graphic) 1-800-544-5555
(automated graphic) Automated line for quickest service
MOR-USAN-0407
1.784900.104
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Short Fixed-Income
Fund - Class A, Class T, Class B and Class C
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Notes to Shareholders | An explanation of the changes to the fund. | |
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm | ||
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Notes to Shareholders:
As discussed in prior shareholder reports, the fund changed its investment approach in the way it invests in the investment-grade debt market, seeking exposure to various types of securities by investing in central funds as well as investing directly in individual investment-grade securities. Central funds are Fidelity mutual funds used by this fund and other Fidelity funds as an investment vehicle to gain pooled exposure to a particular core market sector, such as corporate bonds or mortgage-backed securities. Instead of multiple funds each investing in investment-grade debt securities individually, they can now take advantage of consolidating investments in a single, larger pool of investment-grade debt by investing directly in central funds. Shares of the central funds are offered only to other Fidelity mutual funds and accounts; investors cannot directly invest in them.
It's important to point out that investing in central funds does not impact the fund's investment objective or risk profile, only the mechanics of how we manage its investment portfolio. The portfolio managers continue to be responsible for choosing appropriate investments for their funds, whether they elect to purchase shares of a central fund or individual securities. Fidelity does not charge any additional management fees for central funds.
Investing in central funds does change the way this report presents the fund's holdings. The Investments section continues to list direct investments of the fund, including each central fund. However, many of the individual investment-grade debt securities previously held by the fund were transferred to the central funds, so they are no longer directly held and thus not listed. Information on the underlying holdings of the fixed-income central funds is available at advisor.fidelity.com, and the financial statements are available upon request.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,024.80 | $ 3.92 |
Hypothetical A | $ 1,000.00 | $ 1,020.93 | $ 3.91 |
Class T | |||
Actual | $ 1,000.00 | $ 1,024.90 | $ 3.77 |
Hypothetical A | $ 1,000.00 | $ 1,021.08 | $ 3.76 |
Class B | |||
Actual | $ 1,000.00 | $ 1,020.90 | $ 7.77 |
Hypothetical A | $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,020.70 | $ 7.92 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,025.90 | $ 2.81 |
Hypothetical A | $ 1,000.00 | $ 1,022.02 | $ 2.81 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .78% |
Class T | .75% |
Class B | 1.55% |
Class C | 1.58% |
Institutional Class | .56% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2007 | As of August 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 25.4% | ![]() | AAA 23.0% | ||||
![]() | AA 6.2% | ![]() | AA 5.2% | ||||
![]() | A 9.8% | ![]() | A 11.3% | ||||
![]() | BBB 22.4% | ![]() | BBB 21.0% | ||||
![]() | BB and Below 1.3% | ![]() | BB and Below 0.9% | ||||
![]() | Not Rated 1.6% | ![]() | Not Rated 1.7% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 2.7 | 2.5 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 1.7 | 1.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007 * | As of August 31, 2006 ** | ||||||
![]() | Corporate Bonds 26.6% | ![]() | Corporate Bonds 23.7% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 16.7% | ![]() | CMOs and Other Mortgage Related Securities 16.6% | ||||
![]() | Other Investments 0.1% | ![]() | Other Investments 0.4% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 8.2% | ** Foreign investments | 8.1% | ||||
* Futures and Swaps | 15.6% | ** Futures and Swaps | 15.5% |
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007
Showing Percentage of Net Assets
Nonconvertible Bonds - 23.7% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 2.9% | ||||
Auto Components - 0.7% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 8/10/09 | $ 3,300,000 | $ 3,333,818 | ||
5.75% 9/8/11 | 2,700,000 | 2,737,355 | ||
5.79% 3/13/09 (e) | 2,650,000 | 2,658,832 | ||
8,730,005 | ||||
Household Durables - 0.4% | ||||
Whirlpool Corp. 6.125% 6/15/11 | 4,500,000 | 4,610,619 | ||
Media - 1.8% | ||||
AOL Time Warner, Inc. 6.75% 4/15/11 | 3,000,000 | 3,164,925 | ||
Continental Cablevision, Inc. 9% 9/1/08 | 5,265,000 | 5,544,656 | ||
Cox Communications, Inc.: | ||||
3.875% 10/1/08 | 3,655,000 | 3,582,766 | ||
6.4% 8/1/08 | 795,000 | 803,913 | ||
Hearst-Argyle Television, Inc. 7% 11/15/07 | 1,500,000 | 1,507,449 | ||
Liberty Media Corp. 7.75% 7/15/09 | 2,350,000 | 2,460,318 | ||
Time Warner Entertainment Co. LP 7.25% 9/1/08 | 3,145,000 | 3,219,065 | ||
Univision Communications, Inc.: | ||||
3.5% 10/15/07 | 535,000 | 524,969 | ||
3.875% 10/15/08 | 2,600,000 | 2,512,250 | ||
Viacom, Inc. 5.75% 4/30/11 | 860,000 | 874,061 | ||
24,194,372 | ||||
TOTAL CONSUMER DISCRETIONARY | 37,534,996 | |||
CONSUMER STAPLES - 0.4% | ||||
Food Products - 0.2% | ||||
H.J. Heinz Co. 6.428% 12/1/08 (a)(e) | 1,515,000 | 1,541,922 | ||
Kraft Foods, Inc. 4% 10/1/08 | 1,630,000 | 1,601,304 | ||
3,143,226 | ||||
Tobacco - 0.2% | ||||
Altria Group, Inc. 5.625% 11/4/08 | 2,000,000 | 2,010,990 | ||
TOTAL CONSUMER STAPLES | 5,154,216 | |||
ENERGY - 2.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 1,335,000 | 1,330,669 | ||
Oil, Gas & Consumable Fuels - 2.3% | ||||
Anadarko Petroleum Corp. 3.25% 5/1/08 | 3,900,000 | 3,811,774 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | $ 1,865,000 | $ 1,839,757 | ||
Delek & Avner Yam Tethys Ltd. 5.326% 8/1/13 (a) | 1,840,656 | 1,814,611 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 2,045,000 | 2,011,767 | ||
7.5% 10/1/09 | 3,375,000 | 3,553,284 | ||
Enterprise Products Operating LP: | ||||
4% 10/15/07 | 2,775,000 | 2,752,237 | ||
4.625% 10/15/09 | 3,070,000 | 3,029,878 | ||
Kinder Morgan Energy Partners LP: | ||||
5.35% 8/15/07 | 1,400,000 | 1,398,838 | ||
6.3% 2/1/09 | 1,640,000 | 1,671,413 | ||
Pemex Project Funding Master Trust: | ||||
6.125% 8/15/08 | 4,535,000 | 4,562,210 | ||
9.125% 10/13/10 | 2,250,000 | 2,508,750 | ||
Petroleum Export Ltd.: | ||||
4.623% 6/15/10 (a) | 1,178,333 | 1,164,688 | ||
4.633% 6/15/10 (a) | 707,778 | 699,582 | ||
30,818,789 | ||||
TOTAL ENERGY | 32,149,458 | |||
FINANCIALS - 7.8% | ||||
Capital Markets - 0.6% | ||||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (e) | 2,750,000 | 2,701,207 | ||
4.25% 9/4/12 (e) | 1,285,000 | 1,279,800 | ||
Janus Capital Group, Inc. 5.875% 9/15/11 | 955,000 | 968,193 | ||
Lehman Brothers Holdings E-Capital Trust I 6.14% 8/19/65 (e) | 1,375,000 | 1,394,086 | ||
Lehman Brothers Holdings, Inc. 4.25% 1/27/10 | 195,000 | 191,008 | ||
Merrill Lynch & Co., Inc. 3.7% 4/21/08 | 1,400,000 | 1,377,992 | ||
7,912,286 | ||||
Commercial Banks - 0.9% | ||||
Bank One Corp. 6% 8/1/08 | 975,000 | 986,375 | ||
Corporacion Andina de Fomento yankee 7.25% 3/1/07 | 965,000 | 965,000 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 2,700,000 | 2,632,673 | ||
4.75% 7/20/09 | 1,500,000 | 1,491,816 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
National Australia Bank Ltd. 8.6% 5/19/10 | $ 1,260,000 | $ 1,390,545 | ||
Wells Fargo & Co. 3.98% 10/29/10 | 4,520,000 | 4,359,395 | ||
11,825,804 | ||||
Consumer Finance - 1.1% | ||||
American General Finance Corp. 4.5% 11/15/07 | 1,115,000 | 1,110,198 | ||
Household Finance Corp.: | ||||
4.125% 12/15/08 | 705,000 | 694,608 | ||
4.75% 5/15/09 | 1,563,000 | 1,555,670 | ||
6.4% 6/17/08 | 2,780,000 | 2,823,182 | ||
HSBC Finance Corp. 4.125% 3/11/08 | 3,435,000 | 3,397,600 | ||
MBNA Capital I 8.278% 12/1/26 | 1,200,000 | 1,249,668 | ||
Nelnet, Inc. 7.4% 9/29/36 (e) | 3,710,000 | 3,851,370 | ||
14,682,296 | ||||
Diversified Financial Services - 0.6% | ||||
Bank of America Corp. 7.4% 1/15/11 | 275,000 | 297,673 | ||
Iberbond 2004 PLC 4.826% 12/24/17 (h) | 2,799,796 | 2,718,995 | ||
ICB OJSC 6.2% 9/29/15 (Issued by Or-ICB for ICB OJSC) (e) | 370,000 | 370,914 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (a)(e) | 1,755,000 | 1,780,737 | ||
J.P. Morgan & Co., Inc. 6.25% 1/15/09 | 1,075,000 | 1,095,811 | ||
Prime Property Funding II 6.25% 5/15/07 (a) | 1,000,000 | 1,001,575 | ||
7,265,705 | ||||
Insurance - 0.7% | ||||
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 2,070,000 | 2,149,271 | ||
The Chubb Corp. 4.934% 11/16/07 | 4,000,000 | 3,991,512 | ||
The St. Paul Travelers Companies, Inc.: | ||||
5.01% 8/16/07 | 1,905,000 | 1,900,655 | ||
5.75% 3/15/07 | 1,070,000 | 1,070,167 | ||
Travelers Property Casualty Corp. 3.75% 3/15/08 | 530,000 | 520,702 | ||
9,632,307 | ||||
Real Estate Investment Trusts - 2.8% | ||||
Arden Realty LP 8.5% 11/15/10 | 2,050,000 | 2,283,876 | ||
AvalonBay Communities, Inc. 5% 8/1/07 | 915,000 | 913,416 | ||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | 3,095,000 | 3,030,924 | ||
5.625% 12/15/10 | 1,845,000 | 1,870,417 | ||
BRE Properties, Inc. 7.2% 6/15/07 | 2,025,000 | 2,034,351 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 1,385,000 | 1,356,344 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Camden Property Trust: - continued | ||||
5.875% 6/1/07 | $ 580,000 | $ 580,495 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 1,330,000 | 1,311,050 | ||
7% 7/14/07 | 1,260,000 | 1,266,810 | ||
Developers Diversified Realty Corp.: | ||||
3.875% 1/30/09 | 2,885,000 | 2,809,401 | ||
5% 5/3/10 | 1,310,000 | 1,301,142 | ||
7% 3/19/07 | 2,095,000 | 2,096,299 | ||
Duke Realty LP: | ||||
5.25% 1/15/10 | 615,000 | 615,352 | ||
5.625% 8/15/11 | 915,000 | 931,770 | ||
iStar Financial, Inc. 5.7% 9/15/09 (a)(e) | 3,120,000 | 3,123,214 | ||
JDN Realty Corp. 6.95% 8/1/07 | 855,000 | 856,908 | ||
Mack-Cali Realty LP 7.25% 3/15/09 | 520,000 | 539,302 | ||
ProLogis Trust 7.1% 4/15/08 | 1,715,000 | 1,738,828 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 1,130,000 | 1,112,372 | ||
4.875% 8/15/10 | 3,260,000 | 3,235,586 | ||
5.6% 9/1/11 | 1,775,000 | 1,808,771 | ||
Tanger Properties LP 9.125% 2/15/08 | 2,295,000 | 2,388,223 | ||
37,204,851 | ||||
Real Estate Management & Development - 0.2% | ||||
Chelsea GCA Realty Partnership LP 7.25% 10/21/07 | 1,465,000 | 1,475,966 | ||
Realogy Corp. 6.15% 10/15/11 (a) | 980,000 | 1,014,026 | ||
2,489,992 | ||||
Thrifts & Mortgage Finance - 0.9% | ||||
Countrywide Home Loans, Inc. 5.625% 5/15/07 | 745,000 | 745,212 | ||
Independence Community Bank Corp. 3.5% 6/20/13 (e) | 860,000 | 840,932 | ||
Residential Capital Corp.: | ||||
6.4603% 4/17/09 (e) | 1,270,000 | 1,274,561 | ||
6.7388% 6/29/07 (e) | 3,960,000 | 3,969,425 | ||
7.19% 4/17/09 (a)(e) | 2,265,000 | 2,250,844 | ||
Washington Mutual, Inc. 4.375% 1/15/08 | 2,700,000 | 2,678,441 | ||
11,759,415 | ||||
TOTAL FINANCIALS | 102,772,656 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
HEALTH CARE - 0.2% | ||||
Health Care Providers & Services - 0.2% | ||||
UnitedHealth Group, Inc.: | ||||
3.75% 2/10/09 | $ 2,230,000 | $ 2,179,181 | ||
4.125% 8/15/09 | 675,000 | 660,454 | ||
2,839,635 | ||||
INDUSTRIALS - 2.1% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (a) | 2,600,000 | 2,563,457 | ||
Air Freight & Logistics - 0.3% | ||||
FedEx Corp. 5.5% 8/15/09 | 3,900,000 | 3,929,749 | ||
Airlines - 1.1% | ||||
America West Airlines pass thru certificates 7.33% 7/2/08 | 1,600,479 | 1,620,485 | ||
American Airlines, Inc. pass thru trust certificates: | ||||
6.855% 10/15/10 | 417,875 | 422,054 | ||
6.978% 10/1/12 | 82,482 | 83,926 | ||
7.024% 4/15/11 | 2,000,000 | 2,074,000 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.32% 11/1/08 | 4,015,000 | 4,025,038 | ||
7.056% 3/15/11 | 355,000 | 364,763 | ||
United Airlines pass thru trust certificates: | ||||
6.071% 9/1/14 | 1,122,046 | 1,130,462 | ||
6.201% 3/1/10 | 909,690 | 918,787 | ||
6.602% 9/1/13 | 2,186,631 | 2,208,498 | ||
7.186% 10/1/12 | 1,675,865 | 1,704,154 | ||
14,552,167 | ||||
Commercial Services & Supplies - 0.3% | ||||
R.R. Donnelley & Sons Co.: | ||||
3.75% 4/1/09 | 1,265,000 | 1,228,288 | ||
5.625% 1/15/12 | 3,030,000 | 3,074,023 | ||
4,302,311 | ||||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (a) | 2,880,000 | 2,921,890 | ||
TOTAL INDUSTRIALS | 28,269,574 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.5% | ||||
Motorola, Inc. 4.608% 11/16/07 | $ 6,000,000 | $ 5,975,190 | ||
MATERIALS - 0.2% | ||||
Containers & Packaging - 0.1% | ||||
Sealed Air Corp. 6.95% 5/15/09 (a) | 855,000 | 880,650 | ||
Paper & Forest Products - 0.1% | ||||
International Paper Co. 4.25% 1/15/09 | 1,465,000 | 1,439,300 | ||
TOTAL MATERIALS | 2,319,950 | |||
TELECOMMUNICATION SERVICES - 4.0% | ||||
Diversified Telecommunication Services - 3.4% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | 1,765,000 | 1,789,032 | ||
AT&T Corp. 6% 3/15/09 | 3,720,000 | 3,781,938 | ||
BellSouth Corp. 4.2% 9/15/09 | 1,775,000 | 1,739,014 | ||
Deutsche Telekom International Finance BV 5.375% 3/23/11 | 4,000,000 | 4,028,916 | ||
Sprint Capital Corp. 7.625% 1/30/11 | 4,000,000 | 4,314,376 | ||
Telecom Italia Capital SA: | ||||
4% 11/15/08 | 3,690,000 | 3,614,514 | ||
4% 1/15/10 | 3,450,000 | 3,329,533 | ||
Telefonica Emisiones SAU 5.984% 6/20/11 | 5,000,000 | 5,138,155 | ||
Telefonos de Mexico SA de CV: | ||||
4.5% 11/19/08 | 3,260,000 | 3,214,957 | ||
4.75% 1/27/10 | 3,355,000 | 3,313,968 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 4,220,000 | 4,239,492 | ||
Verizon Global Funding Corp.: | ||||
6.125% 6/15/07 | 2,140,000 | 2,145,399 | ||
7.25% 12/1/10 | 4,205,000 | 4,502,272 | ||
45,151,566 | ||||
Wireless Telecommunication Services - 0.6% | ||||
America Movil SA de CV 4.125% 3/1/09 | 3,925,000 | 3,843,038 | ||
Vodafone Group PLC 5.5% 6/15/11 | 4,000,000 | 4,043,012 | ||
7,886,050 | ||||
TOTAL TELECOMMUNICATION SERVICES | 53,037,616 | |||
UTILITIES - 3.2% | ||||
Electric Utilities - 1.4% | ||||
American Electric Power Co., Inc. 4.709% 8/16/07 | 3,685,000 | 3,675,972 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Commonwealth Edison Co. 5.4% 12/15/11 | $ 992,000 | $ 992,986 | ||
Entergy Corp. 7.75% 12/15/09 (a) | 2,500,000 | 2,625,000 | ||
Exelon Corp. 4.45% 6/15/10 | 3,750,000 | 3,652,331 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 1,125,000 | 1,082,466 | ||
5.5% 8/15/07 | 3,995,000 | 3,997,597 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 2,181,000 | 2,332,259 | ||
TXU Energy Co. LLC 6.125% 3/15/08 | 935,000 | 940,891 | ||
19,299,502 | ||||
Gas Utilities - 0.1% | ||||
NiSource Finance Corp. 7.875% 11/15/10 | 780,000 | 848,433 | ||
Independent Power Producers & Energy Traders - 0.6% | ||||
Constellation Energy Group, Inc.: | ||||
6.125% 9/1/09 | 3,035,000 | 3,105,127 | ||
6.35% 4/1/07 | 3,025,000 | 3,027,344 | ||
TXU Corp. 4.8% 11/15/09 | 1,500,000 | 1,470,000 | ||
7,602,471 | ||||
Multi-Utilities - 1.1% | ||||
Dominion Resources, Inc.: | ||||
4.125% 2/15/08 | 2,610,000 | 2,583,595 | ||
6.3% 9/30/66 (e) | 885,000 | 901,642 | ||
DTE Energy Co. 5.63% 8/16/07 | 2,965,000 | 2,969,068 | ||
MidAmerican Energy Holdings, Co. 4.625% 10/1/07 | 705,000 | 702,584 | ||
PSEG Funding Trust I 5.381% 11/16/07 | 3,575,000 | 3,574,621 | ||
Sempra Energy: | ||||
4.621% 5/17/07 | 2,495,000 | 2,491,420 | ||
4.75% 5/15/09 | 1,055,000 | 1,046,187 | ||
14,269,117 | ||||
TOTAL UTILITIES | 42,019,523 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $311,744,416) | 312,072,814 | |||
U.S. Government and Government Agency Obligations - 15.5% | ||||
U.S. Government Agency Obligations - 6.8% | ||||
Fannie Mae: | ||||
3.25% 8/15/08 | 6,089,000 | 5,953,903 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency Obligations - continued | ||||
Fannie Mae: - continued | ||||
3.25% 2/15/09 | $ 13,000,000 | $ 12,616,474 | ||
Freddie Mac: | ||||
2.7% 3/16/07 | 14,000,000 | 13,984,600 | ||
3.875% 6/15/08 | 29,673,000 | 29,290,011 | ||
5.125% 4/18/11 | 27,000,000 | 27,310,905 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 89,155,893 | |||
U.S. Treasury Inflation Protected Obligations - 0.9% | ||||
U.S. Treasury Inflation-Indexed Notes 3.875% 1/15/09 (c) | 11,688,990 | 12,088,229 | ||
U.S. Treasury Obligations - 7.8% | ||||
U.S. Treasury Bonds 12% 8/15/13 (d) | 10,526,000 | 11,599,157 | ||
U.S. Treasury Notes: | ||||
3.375% 2/15/08 | 24,700,000 | 24,345,901 | ||
4.875% 10/31/08 | 12,165,000 | 12,197,310 | ||
4.875% 1/31/09 (b) | 54,735,000 | 54,954,453 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 103,096,821 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $204,779,152) | 204,340,943 | |||
U.S. Government Agency - Mortgage Securities - 10.9% | ||||
Fannie Mae - 8.5% | ||||
3.735% 10/1/33 (e) | 160,406 | 158,211 | ||
3.75% 1/1/34 (e) | 143,777 | 141,632 | ||
3.759% 10/1/33 (e) | 154,791 | 152,788 | ||
3.787% 6/1/34 (e) | 756,789 | 742,501 | ||
3.803% 6/1/33 (e) | 127,961 | 127,454 | ||
3.813% 10/1/33 (e) | 1,821,255 | 1,799,680 | ||
3.824% 4/1/33 (e) | 445,210 | 443,965 | ||
3.85% 10/1/33 (e) | 3,824,138 | 3,784,581 | ||
3.876% 6/1/33 (e) | 615,196 | 612,155 | ||
3.917% 6/1/34 (e) | 1,091,020 | 1,073,264 | ||
3.943% 5/1/33 (e) | 55,389 | 54,829 | ||
3.986% 2/1/35 (e) | 127,121 | 126,467 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
3.998% 10/1/18 (e) | $ 110,991 | $ 109,907 | ||
4.014% 1/1/35 (e) | 63,177 | 63,513 | ||
4.05% 2/1/35 (e) | 132,581 | 132,146 | ||
4.065% 4/1/33 (e) | 52,662 | 52,492 | ||
4.07% 2/1/35 (e) | 85,017 | 85,245 | ||
4.076% 2/1/35 (e) | 227,468 | 226,148 | ||
4.079% 2/1/35 (e) | 80,829 | 80,471 | ||
4.102% 1/1/35 (e) | 254,468 | 253,701 | ||
4.116% 2/1/35 (e) | 306,492 | 305,830 | ||
4.126% 2/1/35 (e) | 222,408 | 223,481 | ||
4.132% 7/1/34 (e) | 721,408 | 711,657 | ||
4.137% 1/1/35 (e) | 457,453 | 455,920 | ||
4.175% 1/1/35 (e) | 345,753 | 340,012 | ||
4.25% 1/1/34 (e) | 225,711 | 223,753 | ||
4.25% 2/1/34 (e) | 187,539 | 185,871 | ||
4.25% 2/1/35 (e) | 163,971 | 161,442 | ||
4.279% 3/1/35 (e) | 143,190 | 142,981 | ||
4.281% 10/1/33 (e) | 65,723 | 65,281 | ||
4.283% 8/1/33 (e) | 297,916 | 296,487 | ||
4.292% 3/1/33 (e) | 173,645 | 173,738 | ||
4.297% 1/1/34 (e) | 196,222 | 194,667 | ||
4.3% 11/1/34 (e) | 1,193,718 | 1,179,488 | ||
4.303% 1/1/34 (e) | 1,063,673 | 1,054,962 | ||
4.307% 3/1/33 (e) | 84,756 | 83,396 | ||
4.309% 3/1/35 (e) | 338,175 | 336,995 | ||
4.317% 6/1/33 (e) | 87,800 | 87,808 | ||
4.345% 5/1/35 (e) | 177,200 | 176,279 | ||
4.347% 1/1/35 (e) | 176,718 | 174,349 | ||
4.355% 4/1/35 (e) | 80,818 | 80,272 | ||
4.364% 2/1/34 (e) | 340,928 | 338,547 | ||
4.397% 10/1/34 (e) | 819,458 | 811,138 | ||
4.398% 10/1/34 (e) | 1,538,351 | 1,538,929 | ||
4.402% 2/1/35 (e) | 250,701 | 247,311 | ||
4.416% 5/1/35 (e) | 440,137 | 439,404 | ||
4.421% 5/1/35 (e) | 118,301 | 117,558 | ||
4.429% 3/1/35 (e) | 229,694 | 226,679 | ||
4.448% 8/1/34 (e) | 472,907 | 469,952 | ||
4.481% 2/1/35 (e) | 130,090 | 129,717 | ||
4.507% 2/1/35 (e) | 902,995 | 904,081 | ||
4.512% 7/1/35 (e) | 394,363 | 392,861 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
4.515% 10/1/35 (e) | $ 88,418 | $ 88,055 | ||
4.526% 1/1/35 (e) | 191,010 | 190,601 | ||
4.527% 8/1/35 (e) | 365,483 | 364,018 | ||
4.531% 2/1/35 (e) | 87,261 | 87,609 | ||
4.536% 7/1/35 (e) | 529,483 | 527,544 | ||
4.546% 6/1/35 (e) | 486,371 | 483,235 | ||
4.578% 2/1/35 (e) | 674,300 | 667,845 | ||
4.587% 2/1/35 (e) | 659,284 | 655,534 | ||
4.648% 3/1/35 (e) | 1,118,475 | 1,118,432 | ||
4.687% 3/1/35 (e) | 62,570 | 62,579 | ||
4.699% 6/1/35 (e) | 1,222,982 | 1,220,413 | ||
4.715% 10/1/34 (e) | 535,408 | 532,721 | ||
4.727% 7/1/34 (e) | 454,465 | 452,826 | ||
4.746% 5/1/33 (e) | 8,992 | 9,040 | ||
4.782% 12/1/34 (e) | 145,077 | 144,301 | ||
4.809% 8/1/34 (e) | 136,778 | 137,325 | ||
4.81% 2/1/33 (e) | 220,065 | 221,026 | ||
4.813% 11/1/34 (e) | 437,298 | 435,453 | ||
4.821% 10/1/35 (e) | 610,650 | 610,626 | ||
4.838% 10/1/35 (e) | 400,842 | 399,162 | ||
4.847% 1/1/35 (e) | 2,838,908 | 2,828,455 | ||
4.865% 7/1/34 (e) | 654,829 | 653,514 | ||
4.896% 10/1/35 (e) | 322,887 | 323,111 | ||
4.931% 2/1/35 (e) | 1,531,062 | 1,526,972 | ||
4.95% 8/1/34 (e) | 1,429,280 | 1,428,676 | ||
4.976% 4/1/35 (e) | 418,504 | 419,308 | ||
4.985% 11/1/35 (e) | 9,025,526 | 9,001,328 | ||
4.988% 2/1/35 (e) | 49,651 | 49,542 | ||
5% 3/1/18 to 6/1/18 | 2,886,718 | 2,851,666 | ||
5% 9/1/34 (e) | 2,030,050 | 2,030,249 | ||
5.064% 7/1/34 (e) | 66,286 | 66,282 | ||
5.07% 1/1/34 (e) | 133,014 | 133,470 | ||
5.07% 5/1/35 (e) | 883,720 | 885,566 | ||
5.088% 9/1/34 (e) | 158,530 | 158,690 | ||
5.097% 5/1/35 (e) | 435,496 | 436,815 | ||
5.135% 1/1/36 (e) | 1,273,631 | 1,276,238 | ||
5.155% 9/1/35 (e) | 3,953,052 | 3,957,416 | ||
5.163% 9/1/35 (e) | 2,520,761 | 2,524,121 | ||
5.168% 5/1/35 (e) | 571,838 | 571,857 | ||
5.172% 8/1/33 (e) | 206,173 | 206,938 | ||
5.176% 3/1/35 (e) | 84,915 | 84,960 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
5.178% 6/1/35 (e) | $ 641,342 | $ 642,883 | ||
5.266% 11/1/36 (e) | 555,962 | 558,568 | ||
5.285% 7/1/35 (e) | 76,331 | 76,579 | ||
5.322% 2/1/36 (e) | 1,699,395 | 1,704,486 | ||
5.327% 12/1/34 (e) | 223,196 | 224,112 | ||
5.401% 2/1/36 (e) | 211,758 | 212,743 | ||
5.407% 11/1/35 (e) | 733,771 | 737,429 | ||
5.5% 7/1/13 to 9/1/24 | 12,995,059 | 13,032,396 | ||
5.502% 5/1/36 (e) | 918,938 | 925,373 | ||
5.537% 11/1/36 (e) | 1,144,540 | 1,152,364 | ||
5.827% 1/1/36 (e) | 1,166,259 | 1,177,491 | ||
5.837% 3/1/36 (e) | 1,722,644 | 1,742,915 | ||
5.947% 4/1/36 (e) | 989,807 | 1,004,563 | ||
6% 4/1/24 | 4,302,377 | 4,350,619 | ||
6.076% 4/1/36 (e) | 288,041 | 292,916 | ||
6.19% 4/1/36 (e) | 658,825 | 670,105 | ||
6.5% 2/1/08 to 3/1/35 | 9,336,446 | 9,564,839 | ||
6.632% 9/1/36 (e) | 2,338,772 | 2,382,191 | ||
6.742% 9/1/36 (e) | 8,663,896 | 8,821,588 | ||
7% 3/1/08 to 6/1/32 | 940,828 | 965,469 | ||
7.5% 5/1/12 to 10/1/14 | 68,244 | 71,323 | ||
11.5% 11/1/15 | 45,888 | 49,147 | ||
TOTAL FANNIE MAE | 112,675,614 | |||
Freddie Mac - 2.2% | ||||
4.078% 1/1/35 (e) | 615,312 | 610,553 | ||
4.278% 3/1/35 (e) | 195,682 | 194,518 | ||
4.279% 5/1/35 (e) | 332,897 | 330,565 | ||
4.297% 12/1/34 (e) | 246,667 | 242,480 | ||
4.321% 2/1/35 (e) | 433,076 | 431,419 | ||
4.38% 2/1/35 (e) | 237,668 | 233,781 | ||
4.406% 8/1/35 (e) | 3,814,195 | 3,786,889 | ||
4.422% 6/1/35 (e) | 318,570 | 316,324 | ||
4.426% 2/1/34 (e) | 187,158 | 185,436 | ||
4.431% 3/1/35 (e) | 233,078 | 229,194 | ||
4.452% 3/1/35 (e) | 240,909 | 237,291 | ||
4.544% 2/1/35 (e) | 397,503 | 391,998 | ||
4.772% 3/1/33 (e) | 78,312 | 79,163 | ||
4.909% 11/1/35 (e) | 919,708 | 917,922 | ||
4.929% 9/1/35 (e) | 888,083 | 882,339 | ||
4.994% 4/1/35 (e) | 1,029,087 | 1,028,696 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Freddie Mac - continued | ||||
5.15% 8/1/36 (e) | $ 713,736 | $ 715,120 | ||
5.212% 1/1/36 (e) | 904,817 | 905,428 | ||
5.291% 6/1/35 (e) | 657,279 | 657,046 | ||
5.5% 7/1/23 to 4/1/24 | 3,901,993 | 3,886,883 | ||
5.569% 12/1/35 (e) | 1,421,900 | 1,432,683 | ||
5.899% 6/1/35 (e) | 415,098 | 419,057 | ||
6.773% 9/1/36 (e) | 1,757,695 | 1,797,920 | ||
6.778% 9/1/36 (e) | 8,077,488 | 8,254,975 | ||
8.5% 5/1/26 to 7/1/28 | 173,075 | 187,573 | ||
12% 11/1/19 | 12,970 | 14,501 | ||
TOTAL FREDDIE MAC | 28,369,754 | |||
Government National Mortgage Association - 0.2% | ||||
3.75% 1/20/34 (e) | 940,146 | 936,037 | ||
4.25% 7/20/34 (e) | 610,411 | 604,962 | ||
7% 1/15/25 to 6/15/32 | 840,778 | 875,837 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 2,416,836 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $143,621,133) | 143,462,204 | |||
Asset-Backed Securities - 19.4% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2003-3 Class A1, 4.46% 1/25/34 | 749,300 | 724,028 | ||
Series 2004-2 Class A2, 5.62% 7/25/34 (e) | 717,216 | 719,618 | ||
Series 2004-4 Class A2D, 5.67% 1/25/35 (e) | 244,993 | 245,819 | ||
ACE Securities Corp. Series 2003-HE1: | ||||
Class M1, 5.97% 11/25/33 (e) | 405,273 | 405,925 | ||
Class M2, 7.02% 11/25/33 (e) | 269,934 | 271,050 | ||
Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (a) | 2,000,000 | 1,974,249 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 5.82% 2/15/12 (a)(e) | 1,424,222 | 1,427,512 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2004-1: | ||||
Class B, 3.7% 1/6/09 | 43,785 | 43,749 | ||
Class C, 4.22% 7/6/09 | 155,000 | 154,084 | ||
Class D, 5.07% 7/6/10 | 1,105,000 | 1,100,771 | ||
Series 2004-CA Class A4, 3.61% 5/6/11 | 630,000 | 619,968 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
AmeriCredit Automobile Receivables Trust: - continued | ||||
Series 2005-1 Class D, 5.04% 5/6/11 | $ 2,500,000 | $ 2,490,642 | ||
Series 2005-CF Class A4, 4.63% 6/6/12 | 2,895,000 | 2,877,932 | ||
Series 2005-DA Class A4, 5.02% 11/6/12 | 4,150,000 | 4,154,104 | ||
Series 2006-1 Class D, 5.49% 4/6/12 | 1,115,000 | 1,119,565 | ||
Series 2006-RM Class A1, 5.37% 10/6/09 | 3,000,000 | 3,002,805 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2004-R10 Class M1, 6.02% 11/25/34 (e) | 1,370,000 | 1,375,733 | ||
Series 2004-R11 Class M1, 5.98% 11/25/34 (e) | 2,040,000 | 2,048,567 | ||
Series 2004-R9 Class M2, 5.97% 10/25/34 (e) | 1,515,000 | 1,523,498 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 5.65% 6/25/32 (e) | 138,189 | 138,592 | ||
ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (a) | 4,100,000 | 4,052,709 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 6.4442% 9/25/33 (e) | 3,100,000 | 3,132,584 | ||
Series 2003-W7: | ||||
Class A2, 5.71% 3/1/34 (e) | 76,477 | 76,702 | ||
Class M1, 6.01% 3/1/34 (e) | 2,500,000 | 2,513,300 | ||
Series 2003-W9 Class M1, 6.01% 3/25/34 (e) | 1,544,402 | 1,551,445 | ||
Series 2004-W5 Class M1, 5.92% 4/25/34 (e) | 830,000 | 831,510 | ||
Arran Funding Ltd. Series 2005-A Class C, 5.64% 12/15/10 (e) | 3,530,000 | 3,529,294 | ||
Asset Backed Funding Certificates Series 2004-HE1 Class M2, 6.47% 1/25/34 (e) | 485,000 | 490,653 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE3 Class M2, 6.44% 6/25/34 (e) | 700,000 | 704,903 | ||
Series 2004-HE6 Class A2, 5.68% 6/25/34 (e) | 906,785 | 909,166 | ||
Series 2005-HE2: | ||||
Class M1, 5.77% 3/25/35 (e) | 1,830,000 | 1,839,484 | ||
Class M2, 5.82% 3/25/35 (e) | 460,000 | 463,080 | ||
Series 2005-HE3 Class A4, 5.52% 4/25/35 (e) | 1,150,366 | 1,150,637 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 5.74% 5/28/44 (e) | 969,507 | 970,582 | ||
Bayview Financial Asset Trust Series 2003-F Class A, 6.07% 9/28/43 (e) | 827,671 | 827,934 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (e) | 588,889 | 589,249 | ||
Bear Stearns Asset Backed Securities, Inc.: | ||||
Series 2004-BO1: | ||||
Class M2, 6.07% 9/25/34 (e) | 794,000 | 797,671 | ||
Class M3, 6.37% 9/25/34 (e) | 540,000 | 547,840 | ||
Class M4, 6.52% 9/25/34 (e) | 460,000 | 458,192 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Asset Backed Securities, Inc.: - continued | ||||
Series 2004-HE8 Class M1, 5.97% 9/25/34 (e) | $ 1,800,000 | $ 1,802,898 | ||
BMW Vehicle Owner Trust Series 2005-A Class B, 4.42% 4/25/11 | 1,035,000 | 1,026,285 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 5.695% 6/15/10 (e) | 1,240,000 | 1,245,410 | ||
Series 2006-1 Class B, 5.26% 10/15/10 | 500,000 | 500,677 | ||
Series 2006-SN1A: | ||||
Class B, 5.5% 4/20/10 (a) | 215,000 | 216,016 | ||
Class C, 5.77% 5/20/10 (a) | 205,000 | 207,001 | ||
Class D, 6.15% 4/20/11 (a) | 345,000 | 350,062 | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS: | ||||
Class B, 4.32% 5/15/10 | 1,430,000 | 1,418,852 | ||
Class D, 4.8% 9/15/12 | 1,220,000 | 1,212,698 | ||
Series 2006-B Class A3A, 5.45% 2/15/11 | 2,500,000 | 2,509,713 | ||
Capital One Master Trust: | ||||
Series 2001-1 Class B, 5.83% 12/15/10 (e) | 1,700,000 | 1,704,997 | ||
Series 2001-6 Class C, 6.7% 6/15/11 (a) | 3,200,000 | 3,261,625 | ||
Capital One Prime Auto Receivable Trust Series 2005-1 Class B, 4.58% 8/15/12 | 1,850,000 | 1,828,998 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 5.77% 7/20/39 (a)(e) | 645,000 | 646,008 | ||
Class B, 6.07% 7/20/39 (a)(e) | 340,000 | 342,749 | ||
Class C, 6.42% 7/20/39 (a)(e) | 435,000 | 438,110 | ||
Carmax Auto Owner Trust: | ||||
Series 2006-1 Class C, 5.76% 11/15/12 | 6,935,000 | 7,004,164 | ||
Series 2006-2 Class C, 5.53% 3/15/13 | 1,070,000 | 1,081,158 | ||
Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 7.32% 8/25/36 (a)(e) | 185,000 | 159,447 | ||
Caterpillar Financial Asset Trust Series 2006-A Class A3, 5.57% 5/25/10 | 2,700,000 | 2,718,901 | ||
CDC Mortgage Capital Trust Series 2002-HE2 Class M1, 6.37% 1/25/33 (e) | 653,989 | 654,323 | ||
Chase Credit Card Master Trust Series 2003-6 Class B, 5.67% 2/15/11 (e) | 2,150,000 | 2,161,778 | ||
Chase Issuance Trust: | ||||
Series 2004-C3 Class C3, 5.79% 6/15/12 (e) | 3,305,000 | 3,321,313 | ||
Series 2006-C3 Class C3, 5.55% 6/15/11 (e) | 2,905,000 | 2,906,160 | ||
CIT Equipment Collateral Trust: | ||||
Series 2006-VT1: | ||||
Class A3, 5.13% 12/21/08 | 2,870,000 | 2,870,313 | ||
Class B, 5.23% 2/20/13 | 712,502 | 712,684 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
CIT Equipment Collateral Trust: - continued | ||||
Series 2006-VT1: | ||||
Class D, 5.48% 2/20/13 | $ 793,406 | $ 794,118 | ||
Series 2006-VT2 Class A3, 5.07% 2/20/10 | 3,340,000 | 3,341,562 | ||
Citibank Credit Card Issuance Trust Series 2003-C1 Class C1, 6.46% 4/7/10 (e) | 2,600,000 | 2,626,901 | ||
Citigroup Mortgage Loan Trust, Inc. Series 2003-HE4 Class A, 5.73% 12/25/33 (a)(e) | 968,587 | 970,101 | ||
CNH Equipment Trust Series 2005-B Class B, 4.57% 7/16/12 | 830,000 | 812,718 | ||
College Loan Corp. Trust I Series 2006-1 Class AIO, 10% 7/25/08 (g) | 5,690,000 | 788,376 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class M2, 7.3165% 9/25/32 (e) | 505,426 | 505,975 | ||
Series 2004-2: | ||||
Class 3A4, 5.57% 7/25/34 (e) | 111,698 | 111,834 | ||
Class M1, 5.82% 5/25/34 (e) | 1,075,000 | 1,078,415 | ||
Series 2004-3 Class 3A4, 5.57% 8/25/34 (e) | 424,807 | 425,605 | ||
Series 2004-4: | ||||
Class A, 5.69% 8/25/34 (e) | 88,620 | 88,742 | ||
Class M2, 5.85% 6/25/34 (e) | 920,000 | 923,326 | ||
CPS Auto Receivables Trust Series 2006-B Class A3, 5.73% 6/15/16 (a) | 1,244,997 | 1,255,891 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2004-FRE1 Class B1, 7.12% 4/25/34 (e) | 1,241,413 | 1,241,859 | ||
Series 2005-FIX1 Class A2, 4.31% 5/25/35 | 1,570,009 | 1,549,725 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A Class C, 5.074% 6/15/35 (a) | 974,000 | 969,345 | ||
Discover Card Master Trust I Series 2003-4 Class B1, 5.65% 5/16/11 (e) | 1,775,000 | 1,782,982 | ||
Diversified REIT Trust Series 2000-1A: | ||||
Class A2, 6.971% 3/8/10 (a) | 1,084,643 | 1,103,257 | ||
Class E, 6.971% 3/8/10 (a) | 865,000 | 897,220 | ||
Drive Auto Receivables Trust: | ||||
Series 2005-1 Class A3, 3.75% 4/15/09 (a) | 298,836 | 298,163 | ||
Series 2005-3 Class A3, 4.99% 10/15/10 (a) | 2,553,929 | 2,547,126 | ||
Series 2006-2 Class A3, 5.33% 4/15/14 (a) | 2,355,000 | 2,372,891 | ||
DriveTime Auto Owner Trust Series 2006-B Class A3, 5.23% 8/15/12 (a) | 1,625,000 | 1,627,641 | ||
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: | ||||
Class AB1, 5.9413% 5/28/35 (e) | 221,177 | 221,211 | ||
Class AB3, 6.0993% 5/28/35 (e) | 62,502 | 62,639 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Fieldstone Mortgage Investment Corp. Series 2006-2: | ||||
Class 2A2, 5.49% 7/25/36 (e) | $ 1,240,000 | $ 1,240,255 | ||
Class M1, 5.63% 7/25/36 (e) | 2,480,000 | 2,478,355 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) | 1,220,000 | 1,217,191 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2005-A: | ||||
Class A4, 3.72% 10/15/09 | 4,100,000 | 4,040,274 | ||
Class B, 3.88% 1/15/10 | 590,000 | 580,663 | ||
Series 2006-B Class C, 5.68% 6/15/12 | 2,040,000 | 2,062,686 | ||
Series 2006-C Class B, 5.3% 6/15/12 | 750,000 | 753,813 | ||
Franklin Auto Trust Series 2006-1 Class A3, 5.21% 1/20/11 | 1,600,000 | 1,599,024 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 5.77% 2/25/34 (e) | 93,578 | 93,602 | ||
Class M2, 5.82% 2/25/34 (e) | 150,000 | 150,124 | ||
Series 2004-C Class M1, 5.97% 8/25/34 (e) | 1,120,000 | 1,126,724 | ||
Series 2004-D: | ||||
Class M4, 6.27% 11/25/34 (e) | 295,000 | 296,651 | ||
Class M5, 6.32% 11/25/34 (e) | 245,000 | 246,336 | ||
Series 2005-A Class 2A2, 5.56% 2/25/35 (e) | 3,085 | 3,085 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (a) | 1,334,850 | 1,327,654 | ||
GE Business Loan Trust: | ||||
Series 2004-2 Class A, 0.8454% 12/15/08 (a)(g) | 59,141,652 | 657,064 | ||
Series 2005-2 Class IO, 0.5242% 9/15/17 (a)(g) | 111,204,734 | 987,643 | ||
Greenpoint Credit LLC Series 2001-1 Class 1A, 5.66% 4/20/32 (e) | 482,470 | 482,414 | ||
GSAMP Trust: | ||||
Series 2002-NC1 Class A2, 5.64% 7/25/32 (e) | 4,389 | 4,451 | ||
Series 2003-HE2 Class M1, 5.97% 8/25/33 (e) | 650,000 | 651,485 | ||
Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e) | 1,359,289 | 1,358,832 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 6.4% 5/25/30 (a)(e) | 2,506,416 | 2,506,416 | ||
Series 2006-3: | ||||
Class B, 5.72% 9/25/46 (a)(e) | 700,000 | 698,768 | ||
Class C, 5.87% 9/25/46 (a)(e) | 1,750,000 | 1,746,658 | ||
Harwood Street Funding I LLC Series 2004-1A Class CTFS, 7.32% 9/20/09 (a)(e) | 4,400,000 | 4,405,137 | ||
Home Equity Asset Trust: | ||||
Series 2002-2 Class A4, 5.67% 6/25/32 (e) | 5,664 | 5,756 | ||
Series 2003-3 Class A4, 5.78% 2/25/33 (e) | 493 | 493 | ||
Series 2003-5 Class A2, 5.67% 12/25/33 (e) | 39,981 | 40,027 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Home Equity Asset Trust: - continued | ||||
Series 2003-7 Class A2, 5.7% 3/25/34 (e) | $ 4,243 | $ 4,249 | ||
Series 2003-8 Class M1, 6.04% 4/25/34 (e) | 624,684 | 626,658 | ||
Series 2004-1 Class M2, 6.52% 6/25/34 (e) | 655,000 | 660,239 | ||
Series 2004-3: | ||||
Class M1, 5.89% 8/25/34 (e) | 353,007 | 353,854 | ||
Class M2, 6.52% 8/25/34 (e) | 465,000 | 468,899 | ||
Series 2004-6 Class A2, 5.67% 12/25/34 (e) | 305,302 | 305,579 | ||
Household Automotive Trust Series 2004-1 Class A4, 3.93% 7/18/11 | 1,170,000 | 1,153,661 | ||
Household Private Label Credit Card Master Note Trust I Series 2002-2 Class B, 5.87% 1/18/11 (e) | 1,000,000 | 1,000,168 | ||
HSBC Automotive Trust: | ||||
Series 2006-1 Class A3, 5.43% 6/17/11 | 2,100,000 | 2,110,229 | ||
Series 2006-2 Class A4, 5.67% 6/17/13 | 3,500,000 | 3,557,482 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 5.78% 1/20/35 (e) | 298,111 | 298,540 | ||
Class M2, 5.81% 1/20/35 (e) | 223,583 | 224,350 | ||
Series 2005-3 Class A1, 5.58% 1/20/35 (e) | 1,847,864 | 1,849,531 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2005-A: | ||||
Class B, 4.2% 2/15/12 | 1,115,000 | 1,099,144 | ||
Class C, 4.22% 2/15/12 | 185,000 | 182,896 | ||
Series 2006-B Class C, 5.25% 5/15/13 | 620,000 | 622,139 | ||
John Deere Owner Trust Series 2006-A Class A3, 5.38% 7/15/10 | 3,260,000 | 3,271,973 | ||
JPMorgan Auto Receivables Trust Series 2006-A: | ||||
Class B, 5.36% 12/15/14 (a) | 490,000 | 490,774 | ||
Class C, 5.61% 12/15/14 (a) | 1,735,000 | 1,738,314 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 7.06% 4/6/46 (a)(e) | 981,212 | 980,856 | ||
Long Beach Auto Receivables Trust Series 2006-B Class A3, 5.17% 8/15/11 | 1,080,000 | 1,082,279 | ||
Marriott Vacation Club Owner Trust: | ||||
Series 2005-2 Class A, 5.25% 10/20/27 (a) | 932,846 | 930,259 | ||
Series 2006-1A: | ||||
Class B, 5.827% 4/20/28 (a) | 231,250 | 234,176 | ||
Class C, 6.125% 4/20/28 (a) | 231,250 | 234,521 | ||
MBNA Credit Card Master Note Trust Series 2002-B2 Class B2, 5.7% 10/15/09 (e) | 3,600,000 | 3,602,404 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
MBNA Master Credit Card Trust II: | ||||
Series 1998-E Class B, 5.69% 9/15/10 (e) | $ 1,500,000 | $ 1,504,588 | ||
Series 2000-L Class B, 5.82% 4/15/10 (e) | 650,000 | 651,605 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 5.82% 7/25/34 (e) | 400,821 | 403,394 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
Series 2003-OPT1 Class M1, 5.97% 7/25/34 (e) | 1,145,000 | 1,149,805 | ||
Series 2004-FM1 Class M2, 6.47% 1/25/35 (e) | 241,403 | 242,162 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2004-HE6 Class A2, 5.66% 8/25/34 (e) | 421,635 | 422,725 | ||
Series 2004-NC6 Class A2, 5.66% 7/25/34 (e) | 33,487 | 33,496 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC1 Class M2, 6.925% 10/25/31 (e) | 20,053 | 20,777 | ||
Series 2002-AM3 Class A3, 5.81% 2/25/33 (e) | 79,980 | 80,029 | ||
Series 2002-HE2 Class M1, 6.82% 8/25/32 (e) | 971,754 | 972,250 | ||
Series 2002-NC1 Class M1, 6.52% 2/25/32 (a)(e) | 616,912 | 617,343 | ||
Series 2003-NC1 Class M1, 6.895% 11/25/32 (e) | 500,739 | 501,242 | ||
National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (a)(e)(g) | 1,725,000 | 409,067 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (g) | 1,885,000 | 723,312 | ||
Series 2005-2 Class AIO, 7.73% 3/25/12 (g) | 1,265,000 | 273,531 | ||
Series 2005-3W Class AIO1, 4.8% 7/25/12 (g) | 4,090,000 | 608,510 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g) | 900,000 | 157,997 | ||
Series 2006-3 Class AIO, 7.1% 1/25/12 (g) | 4,020,000 | 1,166,644 | ||
Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14 | 1,165,000 | 1,148,652 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(e) | 1,000,000 | 992,500 | ||
Nissan Auto Lease Trust Series 2005-A Class A3, 4.7% 10/15/08 | 2,752,619 | 2,746,320 | ||
Nissan Auto Receivables Owner Trust Series 2005-A Class A4, 3.82% 7/15/10 | 1,210,000 | 1,191,493 | ||
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 4.74% 10/30/45 | 1,695,000 | 1,682,740 | ||
Onyx Acceptance Owner Trust Series 2005-A Class A3, 3.69% 5/15/09 | 392,961 | 391,188 | ||
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-4 Class A2A1, 5.44% 8/25/36 (e) | 1,135,573 | 1,135,706 | ||
Park Place Securities, Inc.: | ||||
Series 2004 WWF1 Class M4, 6.42% 1/25/35 (e) | 1,905,000 | 1,920,210 | ||
Series 2004-WCW1: | ||||
Class M1, 5.95% 9/25/34 (e) | 640,000 | 640,496 | ||
Class M2, 6% 9/25/34 (e) | 380,000 | 383,002 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Park Place Securities, Inc.: - continued | ||||
Series 2004-WCW1: | ||||
Class M3, 6.57% 9/25/34 (e) | $ 730,000 | $ 736,644 | ||
Class M4, 6.77% 9/25/34 (e) | 1,000,000 | 1,009,620 | ||
Series 2004-WCW2 Class A2, 5.7% 10/25/34 (e) | 95,277 | 95,307 | ||
Series 2004-WHQ2 Class A3E, 5.74% 2/25/35 (e) | 372,564 | 373,517 | ||
Pinnacle Capital Asset Trust Series 2006-A: | ||||
Class B, 5.51% 9/25/09 (a) | 680,000 | 680,533 | ||
Class C, 5.77% 5/25/10 (a) | 630,000 | 630,840 | ||
Residential Asset Mortgage Products, Inc.: | ||||
Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 320,777 | 314,716 | ||
Series 2004-RS10 Class MII2, 6.57% 10/25/34 (e) | 2,600,000 | 2,630,636 | ||
Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (e) | 532,695 | 532,793 | ||
Saxon Asset Securities Trust Series 2004-2 Class MV1, 5.9% 8/25/35 (e) | 980,000 | 980,913 | ||
Securitized Asset Backed Receivables LLC Trust Series 2004-NC1: | ||||
Class A2, 5.57% 2/25/34 (e) | 75,980 | 75,988 | ||
Class M1, 5.84% 2/25/34 (e) | 610,000 | 612,057 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A: | ||||
Class A1, 5.84% 5/20/18 (a) | 1,392,344 | 1,407,904 | ||
Class A2, 5.47% 5/20/18 (a)(e) | 3,928,160 | 3,928,144 | ||
SLM Private Credit Student Loan Trust: | ||||
Series 2004 B Class A2, 5.56% 6/15/21 (e) | 1,800,000 | 1,809,208 | ||
Series 2004-A: | ||||
Class B, 5.94% 6/15/33 (e) | 400,000 | 405,588 | ||
Class C, 6.31% 6/15/33 (e) | 1,020,000 | 1,031,802 | ||
Series 2004-B Class C, 6.23% 9/15/33 (e) | 1,900,000 | 1,911,742 | ||
SLMA Student Loan Trust Series 2005-7 Class A3, 4.41% 7/25/25 | 2,500,000 | 2,478,725 | ||
Structured Asset Securities Corp. Series 2005-5N Class 3A1A, 5.62% 11/25/35 (e) | 2,001,991 | 2,003,061 | ||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.77% 3/15/11 (a)(e) | 2,520,000 | 2,520,000 | ||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 6.52% 6/15/10 (e) | 1,405,000 | 1,418,522 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 5.75% 9/25/34 (e) | 83,246 | 83,607 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 3,625,000 | 3,598,133 | ||
Wachovia Auto Loan Owner Trust Series 2006-1 Class D, 5.42% 4/21/14 (a) | 3,615,000 | 3,631,445 | ||
Wachovia Auto Loan Trust Series 2006-2A: | ||||
Class A3, 5.23% 8/22/11 (a) | 3,960,000 | 3,972,644 | ||
Class D, 5.54% 12/20/12 (a) | 2,245,000 | 2,263,437 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
WFS Financial Owner Trust: | ||||
Series 2004-3: | ||||
Class A4, 3.93% 2/17/12 | $ 5,000,000 | $ 4,948,620 | ||
Class D, 4.07% 2/17/12 | 461,194 | 457,326 | ||
Series 2004-4 Class D, 3.58% 5/17/12 | 397,670 | 392,915 | ||
Series 2005-1 Class D, 4.09% 8/15/12 | 353,081 | 349,554 | ||
Series 2005-3 Class C, 4.54% 5/17/13 | 850,000 | 842,077 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 6.2769% 10/25/44 (a)(e) | 3,095,411 | 3,095,411 | ||
WM Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) | 1,160,724 | 1,154,340 | ||
World Omni Auto Receivables Trust Series 2005-A | 600,546 | 596,596 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $255,335,546) | 255,545,013 | |||
Collateralized Mortgage Obligations - 10.7% | ||||
Private Sponsor - 5.6% | ||||
Banc of America Mortgage Securities, Inc. Series 2004-J Class 2A1, 4.7806% 11/25/34 (e) | 845,575 | 838,859 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0963% 8/25/35 (e) | 2,526,075 | 2,543,371 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 5.6% 1/25/35 (e) | 562,284 | 563,368 | ||
Series 2005-2 Class 1A1, 5.57% 3/25/35 (e) | 1,087,514 | 1,089,233 | ||
Series 2005-5 Class 1A1, 5.54% 7/25/35 (e) | 914,836 | 914,461 | ||
Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17 | 523,250 | 520,274 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 5.72% 1/25/34 (e) | 245,998 | 246,439 | ||
Series 2004-2 Class 7A3, 5.72% 2/25/35 (e) | 572,260 | 574,182 | ||
Series 2004-4 Class 5A2, 5.72% 3/25/35 (e) | 209,869 | 210,099 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 5.69% 5/25/34 (e) | 91,056 | 91,164 | ||
Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (e) | 147,947 | 148,064 | ||
Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (e) | 182,630 | 182,895 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-2 Class C1, 5.86% 12/20/54 (e) | 1,800,000 | 1,802,813 | ||
Series 2005-4: | ||||
Class C1, 5.79% 12/20/54 (e) | 1,350,000 | 1,350,158 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: - continued | ||||
Series 2005-4: | ||||
Class M2, 5.64% 12/20/54 (e) | $ 1,300,000 | $ 1,301,011 | ||
Series 2006-1A Class C2, 5.96% 12/20/54 (a)(e) | 1,100,000 | 1,100,000 | ||
Series 2006-2 Class C1, 5.83% 12/20/54 (e) | 2,575,000 | 2,576,932 | ||
GSAMP Trust Series 2007-AR2 Class 2A1, 4.8583% 4/25/35 (e) | 869,817 | 864,437 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (e) | 824,727 | 827,975 | ||
Impac CMB Trust floater: | ||||
Series 2004-6 Class 1A2, 5.71% 10/25/34 (e) | 267,567 | 267,778 | ||
Series 2004-9: | ||||
Class M2, 5.97% 1/25/35 (e) | 276,215 | 276,471 | ||
Class M3, 6.02% 1/25/35 (e) | 204,756 | 205,218 | ||
Class M4, 6.37% 1/25/35 (e) | 104,440 | 104,521 | ||
Series 2005-1: | ||||
Class M1, 5.78% 4/25/35 (e) | 337,592 | 338,170 | ||
Class M2, 5.82% 4/25/35 (e) | 582,346 | 583,287 | ||
Class M3, 5.85% 4/25/35 (e) | 143,476 | 143,886 | ||
JP Morgan Mortgage Trust: | ||||
Series 2005-A8 Class 2A3, 4.9527% 11/25/35 (e) | 400,000 | 402,531 | ||
Series 2007-A1: | ||||
Class 3A2, 5.012% 7/25/35 (e) | 3,499,762 | 3,481,458 | ||
Class 7A3, 5.302% 7/25/35 (e) | 4,990,000 | 4,999,980 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(e) | 709,675 | 711,933 | ||
Lehman XS Trust floater Series 2006-GP1 Class A1, 5.41% 5/25/46 (e) | 2,514,380 | 2,513,136 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 228,377 | 228,020 | ||
MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 5.59% 3/25/35 (e) | 311,079 | 311,326 | ||
MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2335% 8/25/17 (e) | 939,157 | 956,406 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater: | ||||
Series 2003-A Class 2A1, 5.71% 3/25/28 (e) | 745,610 | 749,459 | ||
Series 2003-F Class A2, 5.76% 10/25/28 (e) | 854,602 | 855,990 | ||
Series 2004-B Class A2, 5.6388% 6/25/29 (e) | 1,234,566 | 1,235,631 | ||
Series 2004-C Class A2, 5.67% 7/25/29 (e) | 773,624 | 774,667 | ||
Series 2004-D Class A2, 5.78% 9/25/29 (e) | 753,738 | 754,706 | ||
Series 2003-E Class XA1, 1% 10/25/28 (e)(g) | 4,711,409 | 17,692 | ||
Series 2003-G Class XA1, 1% 1/25/29 (g) | 3,990,002 | 22,770 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors, Inc.: - continued | ||||
Series 2003-H Class XA1, 1% 1/25/29 (a)(g) | $ 3,173,554 | $ 21,101 | ||
MortgageIT Trust floater Series 2004-2: | ||||
Class A1, 5.69% 12/25/34 (e) | 777,121 | 777,860 | ||
Class A2, 5.77% 12/25/34 (e) | 1,050,552 | 1,057,633 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.61% 7/25/35 (e) | 1,873,601 | 1,877,521 | ||
Permanent Financing No. 4 PLC floater Series 2: | ||||
Class C, 6.0731% 6/10/42 (e) | 1,495,000 | 1,495,125 | ||
Class M, 5.6831% 6/10/42 (e) | 345,000 | 344,737 | ||
Permanent Financing No. 5 PLC floater: | ||||
Series 2 Class C, 6.0031% 6/10/42 (e) | 915,000 | 916,905 | ||
Series 3 Class C, 6.1531% 6/10/42 (e) | 1,935,000 | 1,953,695 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 619,405 | 629,196 | ||
Series 2005-AR5 Class 1A1, 4.8295% 9/19/35 (e) | 701,388 | 706,134 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (a) | 438,667 | 423,108 | ||
SBA CMBS Trust Series 2005-1A: | ||||
Class D, 6.219% 11/15/35 (a) | 1,370,000 | 1,393,553 | ||
Class E, 6.706% 11/15/35 (a) | 365,000 | 365,955 | ||
Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (a)(g) | 4,074,312 | 15,506 | ||
Sequoia Mortgage Trust: | ||||
floater: | ||||
Series 2003-5 Class A2, 5.715% 9/20/33 (e) | 278,140 | 278,263 | ||
Series 2004-2 Class A, 5.655% 3/20/34 (e) | 291,624 | 291,751 | ||
Series 2004-3 Class A, 5.67% 5/20/34 (e) | 629,958 | 630,261 | ||
Series 2004-4 Class A, 5.7288% 5/20/34 (e) | 599,224 | 599,591 | ||
Series 2004-5 Class A3, 5.665% 6/20/34 (e) | 618,589 | 618,912 | ||
Series 2004-6 Class A3A, 5.6675% 6/20/35 (e) | 470,020 | 470,978 | ||
Series 2004-7 Class A3A, 5.71% 8/20/34 (e) | 513,045 | 513,845 | ||
Series 2004-8 Class A2, 5.755% 9/20/34 (e) | 679,820 | 681,006 | ||
Series 2005-1 Class A2, 5.6406% 2/20/35 (e) | 613,948 | 615,895 | ||
Series 2003-8 Class X1, 0.8% 1/20/34 (e)(g) | 18,867,006 | 36,855 | ||
Series 2004-1 Class X1, 0.8% 2/20/34 (g) | 4,011,928 | 8,251 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 5.52% 6/25/35 (e) | 571,146 | 571,202 | ||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(e) | 231,412 | 231,576 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1886% 10/20/35 (e) | 320,000 | 321,757 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
WaMu Mortgage Securities Corp. sequential payer: | ||||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | $ 176,030 | $ 181,925 | ||
Series 2004-RA2 Class 2A, 7% 7/25/33 | 248,540 | 252,306 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-14 Class 1A1, 4.75% 12/25/18 | 1,476,725 | 1,436,808 | ||
Series 2004-M Class A3, 4.6699% 8/25/34 (e) | 1,156,052 | 1,150,417 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 4,499,975 | 4,439,483 | ||
Series 2005-AR4 Class 2A2, 4.524% 4/25/35 (e) | 7,589,039 | 7,487,656 | ||
Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (e) | 3,295,000 | 3,281,093 | ||
TOTAL PRIVATE SPONSOR | 73,758,631 | |||
U.S. Government Agency - 5.1% | ||||
Fannie Mae planned amortization class: | ||||
Series 1993-187 Class L, 6.5% 7/25/23 | 1,009,086 | 1,030,000 | ||
Series 1994-30 Class JA, 5% 7/25/23 | 370,015 | 369,099 | ||
Series 2006-64 Class PA, 5.5% 2/25/30 | 8,242,844 | 8,298,636 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 2006-49 Class CA, 6% 2/25/31 | 7,537,270 | 7,644,524 | ||
Series 2006-54 Class PE, 6% 2/25/33 | 2,304,779 | 2,352,477 | ||
sequential payer: | ||||
Series 2001-40 Class Z, 6% 8/25/31 | 1,328,593 | 1,355,517 | ||
Series 2003-23 Class AB, 4% 3/25/17 | 2,058,325 | 2,008,211 | ||
Series 2003-76 Class BA, 4.5% 3/25/18 | 3,606,185 | 3,537,869 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 150,500 | 146,253 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 593,011 | 581,736 | ||
Series 2004-31 Class IA, 4.5% 6/25/10 (g) | 95,618 | 140 | ||
Freddie Mac sequential payer Series 2114 Class ZM, 6% 1/15/29 | 602,007 | 619,764 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2489 Class PD, 6% 2/15/31 | 237,498 | 237,961 | ||
Series 2535 Class PC, 6% 9/15/32 | 1,975,000 | 2,015,387 | ||
Series 2625 Class QX, 2.25% 3/15/22 | 183,660 | 181,134 | ||
Series 2640 Class QG, 2% 4/15/22 | 230,859 | 227,044 | ||
Series 2660 Class ML, 3.5% 7/15/22 | 11,270,673 | 11,114,851 | ||
Series 2690 Class PD, 5% 2/15/27 | 2,980,000 | 2,971,314 | ||
Series 2755 Class LC, 4% 6/15/27 | 2,225,000 | 2,164,652 | ||
Series 2901 Class UM, 4.5% 1/15/30 | 4,965,933 | 4,886,681 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2523 Class JB, 5% 6/15/15 | $ 802,511 | $ 798,454 | ||
Series 2609 Class UJ, 6% 2/15/17 | 1,441,348 | 1,468,066 | ||
Series 2635 Class DG, 4.5% 1/15/18 | 4,040,320 | 3,977,827 | ||
Series 2780 Class A, 4% 12/15/14 | 3,688,269 | 3,599,652 | ||
Series 2786 Class GA, 4% 8/15/17 | 1,711,038 | 1,663,263 | ||
Series 2970 Class YA, 5% 9/15/18 | 1,512,895 | 1,508,073 | ||
Series R001 Class AE, 4.375% 4/15/15 | 2,118,807 | 2,075,010 | ||
Series 1803 Class A, 6% 12/15/08 | 297,759 | 298,320 | ||
Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 298,560 | 299,955 | ||
TOTAL U.S. GOVERNMENT AGENCY | 67,431,870 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $140,850,107) | 141,190,501 | |||
Commercial Mortgage Securities - 8.7% | ||||
280 Park Avenue Trust floater Series 2001-280 Class X1, 1.0022% 2/3/11 (a)(e)(g) | 15,017,559 | 510,115 | ||
Asset Securitization Corp.: | ||||
sequential payer Series 1995-MD4 Class A1, 7.1% 8/13/29 | 21,294 | 21,375 | ||
Series 1997-D5 Class PS1, 1.6789% 2/14/43 (e)(g) | 8,814,621 | 287,112 | ||
Banc of America Commercial Mortgage Trust: | ||||
Series 2006-5 Class A1, 5.185% 7/10/11 | 696,659 | 697,915 | ||
Series 2006-6 Class XP, 0.4314% 10/10/45 (e)(g) | 34,790,000 | 795,626 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer Series 2005-1 Class A2, 4.64% 11/10/42 | 2,930,000 | 2,910,293 | ||
Series 2002-2 Class XP, 1.7692% 7/11/43 (a)(e)(g) | 6,552,208 | 286,195 | ||
Series 2004-6 Class XP, 0.5477% 12/10/42 (e)(g) | 12,943,755 | 241,602 | ||
Series 2005-4 Class XP, 0.1978% 7/10/45 (e)(g) | 17,286,633 | 160,363 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class H, 6.72% 11/15/15 (a)(e) | 235,000 | 234,999 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Banc of America Large Loan, Inc.: - continued | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class J, 7.27% 11/15/15 (a)(e) | $ 245,000 | $ 244,904 | ||
Class K, 7.92% 11/15/15 (a)(e) | 220,000 | 219,779 | ||
Series 2006-LAQ: | ||||
Class H, 6% 2/9/21 (a)(e) | 650,000 | 650,705 | ||
Class J, 6.09% 2/9/21 (a)(e) | 470,000 | 470,509 | ||
Class K, 6.32% 2/9/21 (a)(e) | 1,305,000 | 1,306,407 | ||
Series 2006-ESH: | ||||
Class A, 6.18% 7/14/11 (a)(e) | 1,381,181 | 1,381,356 | ||
Class B, 6.28% 7/14/11 (a)(e) | 688,752 | 688,385 | ||
Class C, 6.43% 7/14/11 (a)(e) | 1,379,342 | 1,379,516 | ||
Class D, 7.061% 7/14/11 (a)(e) | 801,662 | 802,207 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class A, 5.9% 12/25/33 (a)(e) | 1,767,514 | 1,770,276 | ||
Series 2004-1: | ||||
Class A, 5.68% 4/25/34 (a)(e) | 872,973 | 874,610 | ||
Class B, 7.22% 4/25/34 (a)(e) | 109,122 | 109,906 | ||
Class M1, 5.88% 4/25/34 (a)(e) | 54,561 | 54,723 | ||
Class M2, 6.52% 4/25/34 (a)(e) | 54,561 | 55,038 | ||
Series 2004-2: | ||||
Class A, 5.75% 8/25/34 (a)(e) | 974,256 | 977,605 | ||
Class M1, 5.9% 8/25/34 (a)(e) | 314,174 | 315,646 | ||
Series 2004-3: | ||||
Class A1, 5.69% 1/25/35 (a)(e) | 1,093,561 | 1,096,466 | ||
Class A2, 5.74% 1/25/35 (a)(e) | 170,869 | 171,350 | ||
Series 2005-4A: | ||||
Class A2, 5.71% 1/25/36 (a)(e) | 1,461,372 | 1,466,396 | ||
Class B1, 6.72% 1/25/36 (a)(e) | 91,336 | 91,593 | ||
Class M1, 5.77% 1/25/36 (a)(e) | 456,679 | 458,819 | ||
Class M2, 5.79% 1/25/36 (a)(e) | 182,672 | 183,528 | ||
Class M3, 5.82% 1/25/36 (a)(e) | 182,672 | 183,613 | ||
Class M4, 5.93% 1/25/36 (a)(e) | 91,336 | 91,864 | ||
Class M5, 5.97% 1/25/36 (a)(e) | 91,336 | 91,864 | ||
Class M6, 6.02% 1/25/36 (a)(e) | 91,336 | 91,807 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (a)(g) | 9,550,305 | 486,643 | ||
Series 2006-2A Class IO, 0.8495% 7/25/36 (a)(g) | 17,029,058 | 1,387,868 | ||
Series 2007-1: | ||||
Class A2, 5.59% 3/25/37 (a)(e) | 532,458 | 532,458 | ||
Class B1, 5.99% 3/25/37 (a)(e) | 169,192 | 169,192 | ||
Class B2, 6.47% 3/25/37 (a)(e) | 124,406 | 124,406 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust: - continued | ||||
Series 2007-1: | ||||
Class B3, 8.67% 3/25/37 (a)(e) | $ 348,337 | $ 348,337 | ||
Class M1, 5.59% 3/25/37 (a)(e) | 144,311 | 144,311 | ||
Class M2, 5.61% 3/25/37 (a)(e) | 109,477 | 109,477 | ||
Class M3, 5.64% 3/27/37 (a)(e) | 94,549 | 94,549 | ||
Class M4, 5.69% 3/25/37 (a)(e) | 69,667 | 69,667 | ||
Class M5, 5.74% 3/25/37 (a)(e) | 119,430 | 119,430 | ||
Class M6, 5.82% 3/25/37 (a)(e) | 164,216 | 164,216 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
sequential payer Series 2004-ESA Class A3, 4.741% 5/14/16 (a) | 625,000 | 620,518 | ||
Series 2002-TOP8 Class X2, 2.0554% 8/15/38 (a)(e)(g) | 6,968,028 | 433,548 | ||
Series 2003-PWR2 Class X2, 0.53% 5/11/39 (a)(e)(g) | 18,830,339 | 344,595 | ||
Series 2004-PWR6 Class X2, 0.6424% 11/11/41 (a)(e)(g) | 7,562,712 | 208,204 | ||
Series 2005-PWR9 Class X2, 0.3898% 9/11/42 (a)(e)(g) | 49,152,296 | 891,475 | ||
Series 2006-PW13 Class A1, 5.294% 9/11/41 | 2,782,014 | 2,797,941 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.8294% 5/15/35 (a)(e)(g) | 42,098,029 | 2,185,810 | ||
Citigroup Commercial Mortgage Trust: | ||||
sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (a) | 985,000 | 965,260 | ||
Series 2004-C2 Class XP, 0.9464% 10/15/41 (a)(e)(g) | 9,228,024 | 314,910 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4531% 10/15/48 (e)(g) | 64,865,000 | 1,578,451 | ||
COMM: | ||||
floater Series 2002-FL7: | ||||
Class D, 5.89% 11/15/14 (a)(e) | 118,857 | 119,147 | ||
Class H, 7.57% 11/15/14 (a)(e) | 1,232,000 | 1,234,595 | ||
Series 2004-LBN2 Class X2, 0.9783% 3/10/39 (a)(e)(g) | 3,105,566 | 80,337 | ||
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class B, 6.2657% 9/15/30 (e) | 3,420,000 | 3,459,664 | ||
Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32 | 675,000 | 691,839 | ||
Commercial Mortgage pass thru certificates Series 2005-LP5 Class XP, 0.3889% 5/10/43 (e)(g) | 18,026,478 | 231,262 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6729% 12/15/39 (e)(g) | 49,120,000 | 1,758,747 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 1999-C1 Class A2, 7.29% 9/15/41 | $ 2,875,435 | $ 2,985,496 | ||
Series 2004-C1 Class A2, 3.516% 1/15/37 | 3,035,000 | 2,964,071 | ||
Series 2001-CK6 Class AX, 0.645% 9/15/18 (g) | 17,833,897 | 492,636 | ||
Series 2003-C3 Class ASP, 1.7654% 5/15/38 (a)(e)(g) | 22,519,015 | 887,675 | ||
Series 2004-C1 Class ASP, 0.8775% 1/15/37 (a)(e)(g) | 15,583,964 | 389,412 | ||
Series 2005-C1 Class ASP, 0.3925% 2/15/38 (a)(e)(g) | 19,352,736 | 269,069 | ||
Series 2005-C2 Class ASP, 0.5715% 4/15/37 (a)(e)(g) | 15,490,446 | 356,376 | ||
Deutsche Mortgage & Asset Receiving Corp. sequential payer Series 1998-C1 Class D, 7.231% 6/15/31 | 975,000 | 991,077 | ||
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 1,765,175 | 1,877,577 | ||
First Union-Lehman Brothers Commercial Mortgage Trust sequential payer Series 1997-C2 Class A3, 6.65% 11/18/29 | 1,241,218 | 1,244,174 | ||
GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 0.4401% 5/15/33 (a)(e)(g) | 10,768,837 | 341,270 | ||
GE Capital Mall Finance Corp. Series 1998-1A Class B2, 7.4977% 9/13/28 (a)(e) | 1,490,000 | 1,532,631 | ||
GE Commercial Mortgage Corp. sequential payer Series 2004-C3 Class A2, 4.433% 7/10/39 | 4,015,000 | 3,955,668 | ||
Global Signal Trust III Series 2006-1: | ||||
Class B, 5.588% 2/15/36 | 735,000 | 742,607 | ||
Class C, 5.707% 2/15/36 | 910,000 | 920,047 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
sequential payer: | ||||
Series 1997-C2 Class A3, 6.566% 4/15/29 | 76,940 | 77,193 | ||
Series 2003-C2 Class A1, 4.576% 5/10/40 | 4,953,872 | 4,890,297 | ||
Series 2006-C1 Class XP, 4.975% 11/10/45 | 1,495,057 | 1,490,119 | ||
Series 2004-C3 Class X2, 0.6945% 12/10/41 (e)(g) | 12,260,264 | 265,034 | ||
Series 2006-C1 Class XP, 0.1652% 11/10/45 (e)(g) | 23,161,271 | 201,051 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a) | 1,150,000 | 1,152,785 | ||
Series 2003-C2 Class XP, 1.0042% 1/5/36 (a)(e)(g) | 20,904,250 | 568,361 | ||
Series 2005-GG3 Class XP, 0.7928% 8/10/42 (a)(e)(g) | 55,282,712 | 1,461,642 | ||
GS Mortgage Securities Corp. II sequential payer Series 2003-C1 Class A2A, 3.59% 1/10/40 | 1,705,000 | 1,679,691 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Hilton Hotel Pool Trust: | ||||
sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (a) | $ 491,009 | $ 508,120 | ||
Series 2000-HLTA Class D, 7.555% 10/3/15 (a) | 1,275,000 | 1,353,861 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA: | ||||
Class A, 6.98% 8/3/15 (a) | 323,488 | 330,094 | ||
Class B, 7.3% 8/3/15 (a) | 505,000 | 528,771 | ||
Class D, 7.97% 8/3/15 (a) | 425,000 | 450,331 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 2001-C1 Class A2, 5.464% 10/12/35 | 1,536,671 | 1,537,493 | ||
Series 2006-LDP9 Class A1, 5.17% 5/15/47 (e) | 1,371,969 | 1,372,000 | ||
Series 2002-C3 Class X2, 1.166% 7/12/35 (a)(e)(g) | 5,544,885 | 147,052 | ||
Series 2003-CB7 Class X2, 0.7551% 1/12/38 (a)(e)(g) | 3,996,716 | 91,353 | ||
Series 2003-LN1 Class X2, 0.6605% 10/15/37 (a)(e)(g) | 24,240,862 | 465,061 | ||
Series 2004-C1 Class X2, 0.9921% 1/15/38 (a)(e)(g) | 3,685,663 | 113,117 | ||
Series 2004-CB8 Class X2, 1.1185% 1/12/39 (a)(e)(g) | 4,864,265 | 158,200 | ||
LB Commercial Conduit Mortgage Trust sequential payer: | ||||
Series 1998-C4 Class A1B, 6.21% 10/15/35 | 2,636,948 | 2,665,735 | ||
Series 1999-C1 Class A2, 6.78% 6/15/31 | 2,628,146 | 2,694,655 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2003-C3 Class A2, 3.086% 5/15/27 | 1,465,000 | 1,429,411 | ||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 820,787 | 823,987 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (e) | 590,000 | 594,554 | ||
Series 2002-C4 Class XCP, 1.3976% 10/15/35 (a)(e)(g) | 11,093,503 | 360,944 | ||
Series 2002-C7 Class XCP, 0.8928% 1/15/36 (a)(e)(g) | 8,437,751 | 204,155 | ||
Series 2003-C1 Class XCP, 1.3426% 12/15/36 (a)(e)(g) | 6,459,319 | 172,542 | ||
Series 2004-C2 Class XCP, 1.4108% 3/1/36 (a)(g) | 10,840,783 | 316,614 | ||
Series 2004-C6 Class XCP, 0.6873% 8/15/36 (a)(e)(g) | 15,007,405 | 306,610 | ||
Series 2005-C7 Class XCP, 0.2119% 11/15/40 (e)(g) | 79,374,060 | 762,324 | ||
Series 2006-C1 Class XCP, 0.352% 2/15/41 (e)(g) | 62,000,694 | 1,060,392 | ||
Series 2006-C6 Class XCP, 0.6468% 9/15/39 (e)(g) | 28,335,000 | 941,671 | ||
Series 2007-C1 Class XCP, 0.4571% 2/15/40 (e)(g) | 11,025,000 | 283,076 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
LB-UBS Westfield Trust Series 2001-WM Class X, 0.5408% 7/14/16 (a)(e)(g) | $ 12,157,490 | $ 269,117 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA: | ||||
Class J, 7.37% 12/16/14 (a)(e) | 1,420,000 | 1,419,921 | ||
Class K1, 7.87% 12/16/14 (a)(e) | 730,000 | 729,817 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2002-MW1 Class XP, 1.5149% 7/12/34 (a)(e)(g) | 4,750,221 | 153,277 | ||
Series 2005-GGP1 Class H, 4.374% 11/15/10 (a) | 1,240,000 | 1,228,079 | ||
Series 2005-MCP1 Class XP, 0.5737% 6/12/43 (e)(g) | 15,013,525 | 390,047 | ||
Series 2005-MKB2 Class XP, 0.2805% 9/12/42 (e)(g) | 7,455,572 | 83,486 | ||
Morgan Stanley Capital I Trust: | ||||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 735,811 | 747,360 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 (e) | 950,000 | 954,416 | ||
Morgan Stanley Capital I, Inc.: | ||||
sequential payer: | ||||
Series 1999-LIFE Class A1, 6.97% 4/15/33 | 252,571 | 255,749 | ||
Series 2003-IQ5: | ||||
Class A2, 4.09% 4/15/38 | 558,124 | 551,966 | ||
Class X2, 0.9235% 4/15/38 (a)(e)(g) | 7,944,238 | 224,881 | ||
Series 2003-IQ6 Class X2, 0.5914% 12/15/41 (a)(e)(g) | 14,519,522 | 329,833 | ||
Series 2005-HQ5 Class X2, 0.3499% 1/14/42 (e)(g) | 17,001,554 | 193,311 | ||
Series 2005-IQ9 Class X2, 1.0546% 7/15/56 (a)(e)(g) | 13,942,378 | 549,618 | ||
Series 2005-TOP17 Class X2, 0.6093% 12/13/41 (e)(g) | 10,636,920 | 283,831 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2003-HQ2 Class X2, 1.3949% 3/12/35 (a)(e)(g) | 11,724,908 | 496,138 | ||
Series 2003-TOP9 Class X2, 1.5084% 11/13/36 (a)(e)(g) | 6,932,706 | 315,204 | ||
Mortgage Capital Funding, Inc. sequential pay Series 1998-MC2 Class A2, 6.423% 6/18/30 | 945,607 | 952,283 | ||
NationsLink Funding Corp. Series 1999-1 Class C, 6.571% 1/20/31 | 1,080,000 | 1,101,928 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(e) | 932,280 | 934,028 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA: | ||||
Class C3, 6.522% 3/15/13 (a) | 572,633 | 579,057 | ||
Class E3, 7.253% 3/15/13 (a) | 842,203 | 855,089 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater Series 2005-WL6A: | ||||
Class A2, 5.57% 10/15/17 (a)(e) | $ 93,894 | $ 93,911 | ||
Class B, 5.62% 10/15/17 (a)(e) | 290,000 | 290,058 | ||
Class D, 5.75% 10/15/17 (a)(e) | 585,000 | 585,143 | ||
sequential payer Series 2003-C7 Class A1, 4.241% 10/15/35 (a) | 2,333,062 | 2,278,935 | ||
Series 2004-C14 Class PP, 5.3117% 8/15/41 (a)(e) | 1,562,613 | 1,509,822 | ||
Series 2005-C18 Class XP, 0.342% 4/15/42 (e)(g) | 22,305,147 | 330,275 | ||
Series 2006-C23 Class X, 0.0868% 1/15/45 (a)(e)(g) | 285,934,778 | 1,913,247 | ||
Series 2006-C24 Class XP, 0.1049% 3/15/45 (a)(e)(g) | 55,970,609 | 370,783 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $117,036,467) | 115,420,016 |
Fixed-Income Funds - 12.3% | |||
Shares | |||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (f) | 172,040 | 17,155,806 | |
Fidelity Corporate Bond 1-5 Year Central Fund (f) | 256,376 | 25,837,565 | |
Fidelity Ultra-Short Central Fund (f) | 1,203,864 | 119,579,811 | |
TOTAL FIXED-INCOME FUNDS (Cost $162,373,178) | 162,573,182 | ||
Preferred Securities - 0.1% | |||
Principal Amount | |||
FINANCIALS - 0.1% | |||
Commercial Banks - 0.1% | |||
National Westminster Bank PLC 7.75% (e) (Cost $1,508,132) | $ 1,430,000 | 1,486,916 | |
Cash Equivalents - 2.4% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) # | $ 31,374,649 | $ 31,370,000 | |
TOTAL INVESTMENT PORTFOLIO - 103.7% (Cost $1,368,618,131) | 1,367,461,589 | ||
NET OTHER ASSETS - (3.7)% | (48,587,163) | ||
NET ASSETS - 100% | $ 1,318,874,426 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
148 Eurodollar 90 Day Index Contracts | March 2007 | $ 146,025,125 | $ (250,340) | ||
148 Eurodollar 90 Day Index Contracts | June 2007 | 146,079,700 | (209,942) | ||
148 Eurodollar 90 Day Index Contracts | Sept. 2007 | 146,148,150 | (11,492) | ||
148 Eurodollar 90 Day Index Contracts | Dec. 2007 | 146,205,500 | 80,108 | ||
148 Eurodollar 90 Day Index Contracts | March 2008 | 146,242,500 | 133,083 | ||
148 Eurodollar 90 Day Index Contracts | June 2008 | 146,257,300 | (13,133) | ||
148 Eurodollar 90 Day Index Contracts | Sept. 2008 | 146,264,700 | 26,383 | ||
97 Eurodollar 90 Day Index Contracts | Dec. 2008 | 95,862,675 | 16,912 | ||
TOTAL EURODOLLAR CONTRACTS | (228,421) | ||||
Futures Contracts - continued | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Sold | |||||
Eurodollar Contracts | |||||
24 Eurodollar 90 Day Index Contracts | March 2009 | $ 23,717,700 | $ (7,121) | ||
15 Eurodollar 90 Day Index Contracts | June 2009 | 14,822,438 | (23,498) | ||
15 Eurodollar 90 Day Index Contracts | Sept. 2009 | 14,821,125 | (23,135) | ||
15 Eurodollar 90 Day Index Contracts | Dec. 2009 | 14,819,438 | (22,948) | ||
15 Eurodollar 90 Day Index Contracts | March 2010 | 14,818,313 | (22,373) | ||
14 Eurodollar 90 Day Index Contracts | June 2010 | 13,829,025 | (20,181) | ||
14 Eurodollar 90 Day Index Contracts | Sept. 2010 | 13,827,800 | (20,006) | ||
14 Eurodollar 90 Day Index Contracts | Dec. 2010 | 13,826,225 | (19,831) | ||
5 Eurodollar 90 Day Index Contracts | March 2011 | 4,937,750 | (7,020) | ||
TOTAL EURODOLLAR CONTRACTS | (166,113) | ||||
$ (394,534) | |||||
Swap Agreements | |||||
Notional Amount | Value | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 8.45% 9/25/34 | Oct. 2034 | $ 400,000 | $ (22,690) | ||
Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 7.2253% 11/25/34 | Dec. 2034 | 405,000 | (25,554) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.85% 8/25/34 | Sept. 2034 | 362,000 | (10,607) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 8.85% 7/25/34 | August 2034 | $ 362,000 | $ (11,210) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 362,000 | (13,278) | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 362,000 | (2,277) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | 362,000 | (4,941) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 362,000 | (4,071) | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 330,000 | (13,268) | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 362,000 | (14,066) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 1.9% and pay Morgan Stanley, Inc., upon default event of Morgan Stanley ABS Capital I, par value of the notional amount of Morgan Stanley ABS Capital I Series 2006-HE3 Class B3, 7.2225% 4/25/36 | May 2036 | $ 800,000 | $ (190,134) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 37,132 | (282) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 | March 2034 | 144,316 | (3,445) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 | Feb. 2034 | 80,170 | (1,029) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 | March 2035 | 900,000 | (66,188) | ||
Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors Trust, Inc. Series 2006 HE5 | Sept. 2037 | 2,500,000 | (380,858) | ||
Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36 | August 2036 | 2,500,000 | (342,900) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.25% 7/25/36 | August 2036 | $ 2,500,000 | $ (392,079) | ||
Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust 2006-8 Class M9, 7.17% 9/25/36 | Oct. 2036 | 2,500,000 | (404,147) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 362,000 | (2,218) | ||
Receive quarterly notional amount multiplied by .25% and pay Merrill Lynch, Inc. upon default event of Consolidated Natural Gas Co., par value of the notional amount of Consolidated Natural Gas Co. 6% 10/15/10 | July 2007 | 2,900,000 | 3,408 | ||
Receive quarterly notional amount multiplied by .25% and pay Merrill Lynch, Inc. upon default event of Consolidated Natural Gas Co., par value of the notional amount of Consolidated Natural Gas Co. 6% 10/15/10 | June 2007 | 1,000,000 | 1,197 | ||
Receive quarterly notional amount multiplied by .26% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess Corp. 6.65% 8/15/11 | March 2007 | 2,400,000 | 1,406 | ||
Receive quarterly notional amount multiplied by .28% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess Corp. 6.65% 8/15/11 | March 2007 | 3,000,000 | 1,760 | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | 1,000,000 | 6,704 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | $ 2,675,000 | $ 8,995 | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 2,600,000 | 23,475 | ||
Receive semi-annually notional amount multiplied by .42% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2007 | 2,700,000 | 4,290 | ||
TOTAL CREDIT DEFAULT SWAPS | 34,267,618 | (1,854,007) | |||
Total Return Swaps | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 8 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | May 2007 | 8,280,000 | (6,646) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 9 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | April 2007 | 6,500,000 | (5,167) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps - continued | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | June 2007 | $ 12,800,000 | $ (10,075) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | July 2007 | 3,900,000 | (2,487) | ||
Receive monthly a return equal to Lehman Brothers US ABS Floating Home Equity Index and pay monthly a floating rate based on the 1-month LIBOR plus 2 basis points with Lehman Brothers, Inc. | April 2007 | 6,500,000 | (1,117) | ||
TOTAL TOTAL RETURN SWAPS | 37,980,000 | (25,492) | |||
$ 72,247,618 | $ (1,879,499) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $153,061,985 or 11.6% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,272,445. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,487,637. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at advisor.fidelity.com. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements, which are not covered by the investing fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(g) 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 held as of the end of the period. |
(h) 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 $2,718,995 or 0.2% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Iberbond 2004 PLC 4.826% 12/24/17 | 11/30/05 | $ 2,715,886 |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$31,370,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 1,302,867 |
BNP Paribas Securities Corp. | 1,281,152 |
Banc of America Securities LLC | 2,902,361 |
Bank of America, NA | 4,342,889 |
Barclays Capital, Inc. | 7,643,485 |
Bear Stearns & Co., Inc. | 868,578 |
Citigroup Global Markets, Inc. | 868,578 |
Countrywide Securities Corp. | 4,342,889 |
Goldman, Sachs & Co. | 434,289 |
Societe Generale, New York Branch | 1,302,867 |
UBS Securities LLC | 6,080,045 |
$ 31,370,000 |
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 1-3 Year Duration Securitized Bond Central Fund | $ 335,939 |
Fidelity Corporate Bond 1-5 Year Central Fund | 425,250 |
Fidelity Ultra-Short Central Fund | 3,027,575 |
Total | $ 3,788,764 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ - | $ 17,207,335* | $ - | $ 17,155,806 | 0.7% |
Fidelity Corporate Bond 1-5 Year Central Fund | - | 25,637,592* | - | 25,837,565 | 2.0% |
Fidelity Ultra-Short Central Fund | 64,284,463 | 55,500,006 | - | 119,579,811 | 0.9% |
Total | $ 64,284,463 | $ 98,344,933 | $ - | $ 162,573,182 |
*Includes the value of shares received through in-kind contributions. See Note 6 of the Notes to Financial Statements. |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $16,557,932 of which $1,754,056, $3,743,962, $6,438,298 and $4,621,616 will expire on August 31, 2007, 2008, 2013 and 2014, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
February 28, 2007 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $31,370,000) - See accompanying schedule: Unaffiliated issuers (cost $1,206,244,953) | $ 1,204,888,407 | |
Fidelity Central Funds (cost $162,373,178) | 162,573,182 | |
Total Investments (cost $1,368,618,131) | $ 1,367,461,589 | |
Cash | 67,096 | |
Receivable for investments sold | 856,510 | |
Receivable for swap agreements | 45,608 | |
Receivable for fund shares sold | 3,717,695 | |
Interest receivable | 8,848,585 | |
Distributions receivable from Fidelity Central Funds | 691,832 | |
Prepaid expenses | 5,514 | |
Total assets | 1,381,694,429 | |
Liabilities | ||
Payable for investments purchased on a delayed delivery basis | $ 55,100,497 | |
Payable for fund shares redeemed | 4,205,254 | |
Distributions payable | 599,537 | |
Swap agreements, at value | 1,879,499 | |
Accrued management fee | 347,574 | |
Distribution fees payable | 245,578 | |
Payable for daily variation on futures contracts | 113,652 | |
Other affiliated payables | 277,860 | |
Other payables and accrued expenses | 50,552 | |
Total liabilities | 62,820,003 | |
Net Assets | $ 1,318,874,426 | |
Net Assets consist of: | ||
Paid in capital | $ 1,336,962,879 | |
Undistributed net investment income | 3,045,474 | |
Accumulated undistributed net realized gain (loss) on investments | (17,703,364) | |
Net unrealized appreciation (depreciation) on investments | (3,430,563) | |
Net Assets | $ 1,318,874,426 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
February 28, 2007 | ||
Calculation of Maximum Offering Price Class A: | $ 9.43 | |
Maximum offering price per share (100/98.50 of $9.43) | $ 9.57 | |
Class T: | $ 9.44 | |
Maximum offering price per share (100/98.50 of $9.44) | $ 9.58 | |
Class B: | $ 9.45 | |
Class C: | $ 9.44 | |
Institutional Class: | $ 9.44 |
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
Six months ended February 28, 2007 | ||
Investment Income | ||
Dividends | $ 134,425 | |
Interest | 29,134,352 | |
Income from Fidelity Central Funds | 3,788,764 | |
Total income | 33,057,541 | |
Expenses | ||
Management fee | $ 2,086,481 | |
Transfer agent fees | 1,443,323 | |
Distribution fees | 1,530,324 | |
Accounting and security lending fees | 235,316 | |
Custodian fees and expenses | 28,972 | |
Independent trustees' compensation | 2,213 | |
Registration fees | 54,664 | |
Audit | 42,985 | |
Legal | 6,478 | |
Miscellaneous | 4,951 | |
Total expenses before reductions | 5,435,707 | |
Expense reductions | (11,653) | 5,424,054 |
Net investment income | 27,633,487 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,264,805) | |
Futures contracts | (821,132) | |
Swap agreements | 211,427 | |
Capital gain distributions from Fidelity Central Funds | 16,854 | |
Total net realized gain (loss) | (1,857,656) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 7,337,799 | |
Fidelity Central Funds | (56,213) | |
Futures contracts | 495,193 | |
Swap agreements | (1,981,862) | |
Total change in net unrealized appreciation (depreciation) | 5,794,917 | |
Net gain (loss) | 3,937,261 | |
Net increase (decrease) in net assets resulting from operations | $ 31,570,748 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended February 28, | Year ended* | Year ended | |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 27,633,487 | $ 42,146,588 | $ 36,619,084 |
Net realized gain (loss) | (1,857,656) | (4,606,426) | (3,684,213) |
Change in net unrealized appreciation (depreciation) | 5,794,917 | 4,981,529 | (23,367,389) |
Net increase (decrease) in net assets resulting from operations | 31,570,748 | 42,521,691 | 9,567,482 |
Distributions to shareholders from net investment income | (26,249,650) | (42,502,712) | (36,325,031) |
Distributions to shareholders from net realized gain | - | - | (1,086,013) |
Total distributions | (26,249,650) | (42,502,712) | (37,411,044) |
Share transactions - net increase (decrease) | 9,466,010 | 4,457,199 | 27,080,998 |
Total increase (decrease) in net assets | 14,787,108 | 4,476,178 | (762,564) |
Net Assets | |||
Beginning of period | 1,304,087,318 | 1,299,611,140 | 1,300,373,704 |
End of period (including undistributed net investment income of $3,045,474, $1,661,637, and $3,415,768, respectively) | $ 1,318,874,426 | $ 1,304,087,318 | $ 1,299,611,140 |
* The Fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended February 28, | Year ended August 31, | ||||||
2007 | 2006 H | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 | $ 9.45 | $ 9.50 | $ 9.13 |
Income from Investment Operations | |||||||
Net investment income E | .164 | .244 | .206 | .129 | .182 | .304 L | .448 |
Net realized and unrealized gain (loss) | .034 | .002 | (.204) | .048 | .118 | (.037) L | .383 |
Total from investment operations | .198 | .246 | .002 | .177 | .300 | .267 | .831 |
Distributions from net investment income | (.158) | (.246) | (.204) | (.117) | (.200) | (.317) | (.461) |
Distributions from net realized gain | - | - | (.008) | - | - | - | - |
Total distributions | (.158) | (.246) | (.212) | (.117) | (.200) | (.317) | (.461) |
Net asset value, end of period | $ 9.44 | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 | $ 9.45 | $ 9.50 |
Total Return B, C, D | 2.07% | 2.65% | .02% | 1.86% | 3.19% | 2.90% | 9.30% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.58% A | 1.58% A | 1.64% | 1.65% | 1.64% | 1.64% | 1.68% |
Expenses net of fee waivers, if any | 1.58% A | 1.58% A | 1.64% | 1.65% | 1.64% | 1.64% | 1.68% |
Expenses net of all reductions | 1.58% A | 1.57% A | 1.64% | 1.65% | 1.64% | 1.63% | 1.68% |
Net investment income | 3.51% A | 3.12% A | 2.16% | 1.34% | 1.91% | 3.25% L | 4.80% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 137,986 | $ 156,364 | $ 194,992 | $ 273,166 | $ 359,779 | $ 283,046 | $ 99,486 |
Portfolio turnover rate G | 85% A, J | 55% A | 94% | 87% | 102% | 111% | 145% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K For the period ended October 31. L Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended February 28, | Year ended August 31, | ||||||
2007 | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 | $ 9.50 | $ 9.13 |
Income from Investment Operations | |||||||
Net investment income D | .211 | .321 | .301 | .225 | .278 | .397 K | .540 |
Net realized and unrealized gain (loss) | .026 | .003 | (.194) | .038 | .119 | (.043) K | .387 |
Total from investment operations | .237 | .324 | .107 | .263 | .397 | .363 | .927 |
Distributions from net investment income | (.197) | (.324) | (.299) | (.213) | (.297) | (.413) | (.557) |
Distributions from net realized gain | - | - | (.008) | - | - | - | - |
Total distributions | (.197) | (.324) | (.307) | (.213) | (.297) | (.413) | (.557) |
Net asset value, end of period | $ 9.44 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 | $ 9.50 |
Total Return B, C | 2.59% | 3.51% | 1.14% | 2.78% | 4.24% | 3.95% | 10.43% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .56% A | .57% A | .63% | .64% | .63% | .64% | .66% |
Expenses net of fee waivers, if any | .56% A | .57% A | .63% | .64% | .63% | .64% | .66% |
Expenses net of all reductions | .56% A | .57% A | .63% | .64% | .63% | .63% | .66% |
Net investment income | 4.53% A | 4.12% A | 3.18% | 2.35% | 2.92% | 4.25% K | 5.81% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 262,351 | $ 224,908 | $ 151,257 | $ 98,505 | $ 91,138 | $ 65,330 | $ 23,301 |
Portfolio turnover rate F | 85% A, I | 55% A | 94% | 87% | 102% | 111% | 145% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Portfolio turnover rate excludes securities received or delivered in-kind. J For the period ended October 31. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007
1. Organization.
Fidelity Advisor Short Fixed-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 B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or, for the Fixed-Income Central Funds, at advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their 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
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond 1-5 Year Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Ultra-Short Central Fund | FIMM | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted
Semiannual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Book-tax differences are primarily due to futures transactions, swap agreements, prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards, and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 5,997,014 | |
Unrealized depreciation | (5,938,669) | |
Net unrealized appreciation (depreciation) | $ 58,345 | |
Cost for federal income tax purposes | $ 1,367,716,571 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
Repurchase Agreements - continued
of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This
Semiannual Report
4. Operating Policies - continued
Futures Contracts - continued
amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
Swap Agreements - continued
securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $169,467,496 and $130,011,741, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 284,458 | $ 7,233 |
Class T | 0% | .15% | 385,809 | 3,336 |
Class B | .65% | .25% | 127,415 | 92,305 |
Class C | .75% | .25% | 732,642 | 87,870 |
$ 1,530,324 | $ 190,744 |
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, .75% to .50% 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 | $ 25,517 |
Class T | 20,519 |
Class B* | 18,862 |
Class C* | 6,963 |
$ 71,861 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales
are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. 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, the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 474,768 | .25 |
Class T | 567,235 | .22 |
Class B | 36,542 | .26 |
Class C | 144,217 | .20 |
Institutional Class | 220,561 | .18 |
$ 1,443,323 |
* Annualized
Semiannual Report
Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Exchange-In-Kind. During the period, the Fund exchanged securities for shares of two newly created Fidelity Fixed-Income Central Funds, all of which are affiliated investment companies managed by FIMM, an affiliate of FMR. The Fund delivered securities to each Fixed-Income Central Fund in exchange for shares of each respective Fixed-Income Central Fund, as presented in the accompanying table. Each exchange is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its shareholders.
Fidelity Fixed-Income Central Fund | Value of | Unrealized | Shares of |
1-3 Year Duration Securitized Bond Central Fund | $ 13,005,677 | $ - | 130,057 |
Corporate Bond 1-5 Year | 25,637,592 | 56,555 | 256,376 |
Total | $ 38,643,269 | $ 56,555 | 386,433 |
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,655 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
Semiannual Report
8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is 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 fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income Net income from lending portfolio securities during the period amounted to $4,682.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,709. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 1,995 | |
Institutional Class | 720 | |
$ 2,715 |
10. 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.
During the period, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and
Semiannual Report
Notes to Financial Statements - continued
10. Other - continued
records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and is in the process of determining appropriate remediation to affected shareholder accounts.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
From net investment income | |||
Class A | $ 7,709,765 | $ 12,371,759 | $ 10,743,507 |
Class T | 10,524,069 | 18,159,068 | 15,909,371 |
Class B | 467,166 | 922,482 | 982,753 |
Class C | 2,387,844 | 4,436,853 | 4,841,882 |
Institutional Class | 5,160,806 | 6,612,550 | 3,847,518 |
Total | $ 26,249,650 | $ 42,502,712 | $ 36,325,031 |
From net realized gain | |||
Class A | $ - | $ - | $ 299,982 |
Class T | - | - | 436,716 |
Class B | - | - | 43,394 |
Class C | - | - | 219,150 |
Institutional Class | - | - | 86,771 |
Total | $ - | $ - | $ 1,086,013 |
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | 7,121,804 | 13,781,754 | 15,866,789 |
Reinvestment of distributions | 725,421 | 1,164,878 | 1,023,632 |
Shares redeemed | (7,736,305) | (14,130,761) | (14,827,970) |
Net increase (decrease) | 110,920 | 815,871 | 2,062,451 |
Class T | |||
Shares sold | 9,901,451 | 18,789,041 | 25,539,658 |
Reinvestment of distributions | 991,316 | 1,720,934 | 1,515,180 |
Shares redeemed | (11,165,711) | (23,681,399) | (22,986,919) |
Net increase (decrease) | (272,944) | (3,171,424) | 4,067,919 |
Semiannual Report
12. Share Transactions - continued
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class B | |||
Shares sold | 318,388 | 711,278 | 991,898 |
Reinvestment of distributions | 42,830 | 83,920 | 89,903 |
Shares redeemed | (1,047,844) | (1,700,424) | (2,482,456) |
Net increase (decrease) | (686,626) | (905,226) | (1,400,655) |
Class C | |||
Shares sold | 821,071 | 3,061,743 | 3,789,292 |
Reinvestment of distributions | 160,536 | 299,595 | 341,788 |
Shares redeemed | (2,996,190) | (7,473,257) | (11,828,809) |
Net increase (decrease) | (2,014,583) | (4,111,919) | (7,697,729) |
Institutional Class | |||
Shares sold | 6,234,061 | 11,831,199 | 9,882,466 |
Reinvestment of distributions | 438,311 | 578,334 | 310,507 |
Shares redeemed | (2,801,357) | (4,575,139) | (4,357,149) |
Net increase (decrease) | 3,871,015 | 7,834,394 | 5,835,824 |
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | $ 67,047,527 | $ 129,044,621 | $ 150,493,785 |
Reinvestment of distributions | 6,833,573 | 10,907,076 | 9,698,542 |
Shares redeemed | (72,819,558) | (132,254,551) | (140,591,886) |
Net increase (decrease) | $ 1,061,542 | $ 7,697,146 | $ 19,600,441 |
Class T | |||
Shares sold | $ 93,277,442 | $ 176,100,769 | $ 242,408,838 |
Reinvestment of distributions | 9,346,411 | 16,127,835 | 14,364,388 |
Shares redeemed | (105,219,662) | (221,798,081) | (218,160,605) |
Net increase (decrease) | $ (2,595,809) | $ (29,569,477) | $ 38,612,621 |
Class B | |||
Shares sold | $ 3,002,223 | $ 6,669,015 | $ 9,428,825 |
Reinvestment of distributions | 404,241 | 787,418 | 853,530 |
Shares redeemed | (9,883,554) | (15,948,229) | (23,589,493) |
Net increase (decrease) | $ (6,477,090) | $ (8,491,796) | $ (13,307,138) |
Class C | |||
Shares sold | $ 7,744,436 | $ 28,665,169 | $ 35,934,636 |
Reinvestment of distributions | 1,513,855 | 2,808,534 | 3,242,233 |
Shares redeemed | (28,241,317) | (70,075,282) | (112,353,549) |
Net increase (decrease) | $ (18,983,026) | $ (38,601,579) | $ (73,176,680) |
Semiannual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Institutional Class | |||
Shares sold | $ 58,725,212 | $ 110,869,017 | $ 93,788,947 |
Reinvestment of distributions | 4,132,525 | 5,418,576 | 2,942,021 |
Shares redeemed | (26,397,344) | (42,864,688) | (41,379,214) |
Net increase (decrease) | $ 36,460,393 | $ 73,422,905 | $ 55,351,754 |
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Short Fixed-Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Short Fixed-Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments as of February 28, 2007, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended February 28, 2007, for the ten months ended August 31, 2006 and for the year ended October 31, 2005, and the financial highlights for the six months ended February 28, 2007, for the ten months ended August 31, 2006 and for each of the five years in the period ended October 31, 2005. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Short Fixed-Income Fund as of February 28, 2007, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
April 16, 2007
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity Investments Money
Management, Inc.
Fidelity International
Investment Advisors
Fidelity International
Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
SFI-USAN-0407
1.784905.104
(Fidelity Investment logo)(registered trademark)
(Fidelity Investment logo)(registered trademark)
Fidelity® Advisor
Short Fixed-Income
Fund - Institutional Class
Semiannual Report
February 28, 2007
(2_fidelity_logos) (Registered_Trademark)
Contents
Notes to Shareholders | An explanation of the changes to the fund. | |
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Notes to Shareholders:
As discussed in prior shareholder reports, the fund changed its investment approach in the way it invests in the investment-grade debt market, seeking exposure to various types of securities by investing in central funds as well as investing directly in individual investment-grade securities. Central funds are Fidelity mutual funds used by this fund and other Fidelity funds as an investment vehicle to gain pooled exposure to a particular core market sector, such as corporate bonds or mortgage-backed securities. Instead of multiple funds each investing in investment-grade debt securities individually, they can now take advantage of consolidating investments in a single, larger pool of investment-grade debt by investing directly in central funds. Shares of the central funds are offered only to other Fidelity mutual funds and accounts; investors cannot directly invest in them.
It's important to point out that investing in central funds does not impact the fund's investment objective or risk profile, only the mechanics of how we manage its investment portfolio. The portfolio managers continue to be responsible for choosing appropriate investments for their funds, whether they elect to purchase shares of a central fund or individual securities. Fidelity does not charge any additional management fees for central funds.
Investing in central funds does change the way this report presents the fund's holdings. The Investments section continues to list direct investments of the fund, including each central fund. However, many of the individual investment-grade debt securities previously held by the fund were transferred to the central funds, so they are no longer directly held and thus not listed. Information on the underlying holdings of the fixed-income central funds is available at advisor.fidelity.com, and the financial statements are available upon request.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
Substantial single-day losses are not uncommon in the equity markets, and when they occur - as in late February - investors can be better served in the long term by buying good stocks at lower prices than by moving their money to the sidelines. While financial markets are always unpredictable, there are a number of time-tested principles that can put the historical odds in your favor.
One of the basic tenets is to invest for the long term. Over time, riding out the markets' inevitable ups and downs has proven much more effective than selling into panic or chasing the hottest trend. Even missing only a few of the markets' best days can significantly diminish investor returns. Patience also affords the benefits of compounding - of earning interest on additional income or reinvested dividends and capital gains. There are tax advantages and cost benefits to consider as well. The more you sell, the more taxes you pay, and the more you trade, the higher the costs. While staying the course doesn't eliminate risk, it can considerably lessen the effect of short-term declines.
You can further manage your investing risk through diversification. And today, more than ever, geographic diversification should be taken into account. Studies indicate that asset allocation is the single most important determinant of a portfolio's long-term success. The right mix of stocks, bonds and cash - aligned to your particular risk tolerance and investment objective - is very important. Age-appropriate rebalancing is also an essential aspect of asset allocation. For younger investors, an emphasis on equities - which historically have been the best performing asset class over time - is encouraged. As investors near their specific goal, such as retirement or sending a child to college, consideration may be given to replacing volatile assets (e.g. common stocks) with more-stable fixed investments (bonds or savings plans).
A third investment principle - investing regularly - can help lower the average cost of your purchases. Investing a certain amount of money each month or quarter helps ensure you won't pay for all your shares at market highs. This strategy - known as dollar cost averaging - also reduces unconstructive "emotion" from investing, helping shareholders avoid selling weak performers just prior to an upswing, or chasing a hot performer just before a correction.
We invite you to contact us via the Internet, through our Investor Centers or over the phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
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 (September 1, 2006 to February 28, 2007).
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
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,024.80 | $ 3.92 |
Hypothetical A | $ 1,000.00 | $ 1,020.93 | $ 3.91 |
Class T | |||
Actual | $ 1,000.00 | $ 1,024.90 | $ 3.77 |
Hypothetical A | $ 1,000.00 | $ 1,021.08 | $ 3.76 |
Class B | |||
Actual | $ 1,000.00 | $ 1,020.90 | $ 7.77 |
Hypothetical A | $ 1,000.00 | $ 1,017.11 | $ 7.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,020.70 | $ 7.92 |
Hypothetical A | $ 1,000.00 | $ 1,016.96 | $ 7.90 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,025.90 | $ 2.81 |
Hypothetical A | $ 1,000.00 | $ 1,022.02 | $ 2.81 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annualized | |
Class A | .78% |
Class T | .75% |
Class B | 1.55% |
Class C | 1.58% |
Institutional Class | .56% |
Semiannual Report
Investment Changes
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each Fidelity Central Fund. |
Quality Diversification (% of fund's net assets) | |||||||
As of February 28, 2007 | As of August 31, 2006 | ||||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | AAA 25.4% | ![]() | AAA 23.0% | ||||
![]() | AA 6.2% | ![]() | AA 5.2% | ||||
![]() | A 9.8% | ![]() | A 11.3% | ||||
![]() | BBB 22.4% | ![]() | BBB 21.0% | ||||
![]() | BB and Below 1.3% | ![]() | BB and Below 0.9% | ||||
![]() | Not Rated 1.6% | ![]() | Not Rated 1.7% | ||||
![]() | Short-Term | ![]() | Short-Term |
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. Securities rated BB or below were rated investment grade at the time of acquisition. |
Average Years to Maturity as of February 28, 2007 | ||
6 months ago | ||
Years | 2.7 | 2.5 |
Average years to maturity is based on the average time remaining until principal payments are expected from each of the fund's bonds, weighted by dollar amount. |
Duration as of February 28, 2007 | ||
6 months ago | ||
Years | 1.7 | 1.6 |
Duration shows how much a bond fund's price fluctuates with changes in comparable interest rates. If rates rise 1%, for example, a fund with a five-year duration is likely to lose about 5% of its value. Other factors also can influence a bond fund's performance and share price. Accordingly, a bond fund's actual performance may differ from this example. |
Asset Allocation (% of fund's net assets) | |||||||
As of February 28, 2007 * | As of August 31, 2006 ** | ||||||
![]() | Corporate Bonds 26.6% | ![]() | Corporate Bonds 23.7% | ||||
![]() | U.S. Government and | ![]() | U.S. Government and | ||||
![]() | Asset-Backed | ![]() | Asset-Backed | ||||
![]() | CMOs and Other Mortgage Related Securities 16.7% | ![]() | CMOs and Other Mortgage Related Securities 16.6% | ||||
![]() | Other Investments 0.1% | ![]() | Other Investments 0.4% | ||||
![]() | Short-Term | ![]() | Short-Term | ||||
* Foreign investments | 8.2% | ** Foreign investments | 8.1% | ||||
* Futures and Swaps | 15.6% | ** Futures and Swaps | 15.5% |
For an unaudited list of holdings for each Fidelity Fixed-Income Central Fund, visit advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports. |
Semiannual Report
Investments February 28, 2007
Showing Percentage of Net Assets
Nonconvertible Bonds - 23.7% | ||||
Principal Amount | Value | |||
CONSUMER DISCRETIONARY - 2.9% | ||||
Auto Components - 0.7% | ||||
DaimlerChrysler NA Holding Corp.: | ||||
5.75% 8/10/09 | $ 3,300,000 | $ 3,333,818 | ||
5.75% 9/8/11 | 2,700,000 | 2,737,355 | ||
5.79% 3/13/09 (e) | 2,650,000 | 2,658,832 | ||
8,730,005 | ||||
Household Durables - 0.4% | ||||
Whirlpool Corp. 6.125% 6/15/11 | 4,500,000 | 4,610,619 | ||
Media - 1.8% | ||||
AOL Time Warner, Inc. 6.75% 4/15/11 | 3,000,000 | 3,164,925 | ||
Continental Cablevision, Inc. 9% 9/1/08 | 5,265,000 | 5,544,656 | ||
Cox Communications, Inc.: | ||||
3.875% 10/1/08 | 3,655,000 | 3,582,766 | ||
6.4% 8/1/08 | 795,000 | 803,913 | ||
Hearst-Argyle Television, Inc. 7% 11/15/07 | 1,500,000 | 1,507,449 | ||
Liberty Media Corp. 7.75% 7/15/09 | 2,350,000 | 2,460,318 | ||
Time Warner Entertainment Co. LP 7.25% 9/1/08 | 3,145,000 | 3,219,065 | ||
Univision Communications, Inc.: | ||||
3.5% 10/15/07 | 535,000 | 524,969 | ||
3.875% 10/15/08 | 2,600,000 | 2,512,250 | ||
Viacom, Inc. 5.75% 4/30/11 | 860,000 | 874,061 | ||
24,194,372 | ||||
TOTAL CONSUMER DISCRETIONARY | 37,534,996 | |||
CONSUMER STAPLES - 0.4% | ||||
Food Products - 0.2% | ||||
H.J. Heinz Co. 6.428% 12/1/08 (a)(e) | 1,515,000 | 1,541,922 | ||
Kraft Foods, Inc. 4% 10/1/08 | 1,630,000 | 1,601,304 | ||
3,143,226 | ||||
Tobacco - 0.2% | ||||
Altria Group, Inc. 5.625% 11/4/08 | 2,000,000 | 2,010,990 | ||
TOTAL CONSUMER STAPLES | 5,154,216 | |||
ENERGY - 2.4% | ||||
Energy Equipment & Services - 0.1% | ||||
Cooper Cameron Corp. 2.65% 4/15/07 | 1,335,000 | 1,330,669 | ||
Oil, Gas & Consumable Fuels - 2.3% | ||||
Anadarko Petroleum Corp. 3.25% 5/1/08 | 3,900,000 | 3,811,774 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Canadian Oil Sands Ltd. 4.8% 8/10/09 (a) | $ 1,865,000 | $ 1,839,757 | ||
Delek & Avner Yam Tethys Ltd. 5.326% 8/1/13 (a) | 1,840,656 | 1,814,611 | ||
Duke Capital LLC: | ||||
4.37% 3/1/09 | 2,045,000 | 2,011,767 | ||
7.5% 10/1/09 | 3,375,000 | 3,553,284 | ||
Enterprise Products Operating LP: | ||||
4% 10/15/07 | 2,775,000 | 2,752,237 | ||
4.625% 10/15/09 | 3,070,000 | 3,029,878 | ||
Kinder Morgan Energy Partners LP: | ||||
5.35% 8/15/07 | 1,400,000 | 1,398,838 | ||
6.3% 2/1/09 | 1,640,000 | 1,671,413 | ||
Pemex Project Funding Master Trust: | ||||
6.125% 8/15/08 | 4,535,000 | 4,562,210 | ||
9.125% 10/13/10 | 2,250,000 | 2,508,750 | ||
Petroleum Export Ltd.: | ||||
4.623% 6/15/10 (a) | 1,178,333 | 1,164,688 | ||
4.633% 6/15/10 (a) | 707,778 | 699,582 | ||
30,818,789 | ||||
TOTAL ENERGY | 32,149,458 | |||
FINANCIALS - 7.8% | ||||
Capital Markets - 0.6% | ||||
Bank of New York Co., Inc.: | ||||
3.4% 3/15/13 (e) | 2,750,000 | 2,701,207 | ||
4.25% 9/4/12 (e) | 1,285,000 | 1,279,800 | ||
Janus Capital Group, Inc. 5.875% 9/15/11 | 955,000 | 968,193 | ||
Lehman Brothers Holdings E-Capital Trust I 6.14% 8/19/65 (e) | 1,375,000 | 1,394,086 | ||
Lehman Brothers Holdings, Inc. 4.25% 1/27/10 | 195,000 | 191,008 | ||
Merrill Lynch & Co., Inc. 3.7% 4/21/08 | 1,400,000 | 1,377,992 | ||
7,912,286 | ||||
Commercial Banks - 0.9% | ||||
Bank One Corp. 6% 8/1/08 | 975,000 | 986,375 | ||
Corporacion Andina de Fomento yankee 7.25% 3/1/07 | 965,000 | 965,000 | ||
Korea Development Bank: | ||||
3.875% 3/2/09 | 2,700,000 | 2,632,673 | ||
4.75% 7/20/09 | 1,500,000 | 1,491,816 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
National Australia Bank Ltd. 8.6% 5/19/10 | $ 1,260,000 | $ 1,390,545 | ||
Wells Fargo & Co. 3.98% 10/29/10 | 4,520,000 | 4,359,395 | ||
11,825,804 | ||||
Consumer Finance - 1.1% | ||||
American General Finance Corp. 4.5% 11/15/07 | 1,115,000 | 1,110,198 | ||
Household Finance Corp.: | ||||
4.125% 12/15/08 | 705,000 | 694,608 | ||
4.75% 5/15/09 | 1,563,000 | 1,555,670 | ||
6.4% 6/17/08 | 2,780,000 | 2,823,182 | ||
HSBC Finance Corp. 4.125% 3/11/08 | 3,435,000 | 3,397,600 | ||
MBNA Capital I 8.278% 12/1/26 | 1,200,000 | 1,249,668 | ||
Nelnet, Inc. 7.4% 9/29/36 (e) | 3,710,000 | 3,851,370 | ||
14,682,296 | ||||
Diversified Financial Services - 0.6% | ||||
Bank of America Corp. 7.4% 1/15/11 | 275,000 | 297,673 | ||
Iberbond 2004 PLC 4.826% 12/24/17 (h) | 2,799,796 | 2,718,995 | ||
ICB OJSC 6.2% 9/29/15 (Issued by Or-ICB for ICB OJSC) (e) | 370,000 | 370,914 | ||
ILFC E-Capital Trust I 5.9% 12/21/65 (a)(e) | 1,755,000 | 1,780,737 | ||
J.P. Morgan & Co., Inc. 6.25% 1/15/09 | 1,075,000 | 1,095,811 | ||
Prime Property Funding II 6.25% 5/15/07 (a) | 1,000,000 | 1,001,575 | ||
7,265,705 | ||||
Insurance - 0.7% | ||||
Marsh & McLennan Companies, Inc. 7.125% 6/15/09 | 2,070,000 | 2,149,271 | ||
The Chubb Corp. 4.934% 11/16/07 | 4,000,000 | 3,991,512 | ||
The St. Paul Travelers Companies, Inc.: | ||||
5.01% 8/16/07 | 1,905,000 | 1,900,655 | ||
5.75% 3/15/07 | 1,070,000 | 1,070,167 | ||
Travelers Property Casualty Corp. 3.75% 3/15/08 | 530,000 | 520,702 | ||
9,632,307 | ||||
Real Estate Investment Trusts - 2.8% | ||||
Arden Realty LP 8.5% 11/15/10 | 2,050,000 | 2,283,876 | ||
AvalonBay Communities, Inc. 5% 8/1/07 | 915,000 | 913,416 | ||
Brandywine Operating Partnership LP: | ||||
4.5% 11/1/09 | 3,095,000 | 3,030,924 | ||
5.625% 12/15/10 | 1,845,000 | 1,870,417 | ||
BRE Properties, Inc. 7.2% 6/15/07 | 2,025,000 | 2,034,351 | ||
Camden Property Trust: | ||||
4.375% 1/15/10 | 1,385,000 | 1,356,344 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Camden Property Trust: - continued | ||||
5.875% 6/1/07 | $ 580,000 | $ 580,495 | ||
Colonial Properties Trust: | ||||
4.75% 2/1/10 | 1,330,000 | 1,311,050 | ||
7% 7/14/07 | 1,260,000 | 1,266,810 | ||
Developers Diversified Realty Corp.: | ||||
3.875% 1/30/09 | 2,885,000 | 2,809,401 | ||
5% 5/3/10 | 1,310,000 | 1,301,142 | ||
7% 3/19/07 | 2,095,000 | 2,096,299 | ||
Duke Realty LP: | ||||
5.25% 1/15/10 | 615,000 | 615,352 | ||
5.625% 8/15/11 | 915,000 | 931,770 | ||
iStar Financial, Inc. 5.7% 9/15/09 (a)(e) | 3,120,000 | 3,123,214 | ||
JDN Realty Corp. 6.95% 8/1/07 | 855,000 | 856,908 | ||
Mack-Cali Realty LP 7.25% 3/15/09 | 520,000 | 539,302 | ||
ProLogis Trust 7.1% 4/15/08 | 1,715,000 | 1,738,828 | ||
Simon Property Group LP: | ||||
4.6% 6/15/10 | 1,130,000 | 1,112,372 | ||
4.875% 8/15/10 | 3,260,000 | 3,235,586 | ||
5.6% 9/1/11 | 1,775,000 | 1,808,771 | ||
Tanger Properties LP 9.125% 2/15/08 | 2,295,000 | 2,388,223 | ||
37,204,851 | ||||
Real Estate Management & Development - 0.2% | ||||
Chelsea GCA Realty Partnership LP 7.25% 10/21/07 | 1,465,000 | 1,475,966 | ||
Realogy Corp. 6.15% 10/15/11 (a) | 980,000 | 1,014,026 | ||
2,489,992 | ||||
Thrifts & Mortgage Finance - 0.9% | ||||
Countrywide Home Loans, Inc. 5.625% 5/15/07 | 745,000 | 745,212 | ||
Independence Community Bank Corp. 3.5% 6/20/13 (e) | 860,000 | 840,932 | ||
Residential Capital Corp.: | ||||
6.4603% 4/17/09 (e) | 1,270,000 | 1,274,561 | ||
6.7388% 6/29/07 (e) | 3,960,000 | 3,969,425 | ||
7.19% 4/17/09 (a)(e) | 2,265,000 | 2,250,844 | ||
Washington Mutual, Inc. 4.375% 1/15/08 | 2,700,000 | 2,678,441 | ||
11,759,415 | ||||
TOTAL FINANCIALS | 102,772,656 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
HEALTH CARE - 0.2% | ||||
Health Care Providers & Services - 0.2% | ||||
UnitedHealth Group, Inc.: | ||||
3.75% 2/10/09 | $ 2,230,000 | $ 2,179,181 | ||
4.125% 8/15/09 | 675,000 | 660,454 | ||
2,839,635 | ||||
INDUSTRIALS - 2.1% | ||||
Aerospace & Defense - 0.2% | ||||
BAE Systems Holdings, Inc. 4.75% 8/15/10 (a) | 2,600,000 | 2,563,457 | ||
Air Freight & Logistics - 0.3% | ||||
FedEx Corp. 5.5% 8/15/09 | 3,900,000 | 3,929,749 | ||
Airlines - 1.1% | ||||
America West Airlines pass thru certificates 7.33% 7/2/08 | 1,600,479 | 1,620,485 | ||
American Airlines, Inc. pass thru trust certificates: | ||||
6.855% 10/15/10 | 417,875 | 422,054 | ||
6.978% 10/1/12 | 82,482 | 83,926 | ||
7.024% 4/15/11 | 2,000,000 | 2,074,000 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.32% 11/1/08 | 4,015,000 | 4,025,038 | ||
7.056% 3/15/11 | 355,000 | 364,763 | ||
United Airlines pass thru trust certificates: | ||||
6.071% 9/1/14 | 1,122,046 | 1,130,462 | ||
6.201% 3/1/10 | 909,690 | 918,787 | ||
6.602% 9/1/13 | 2,186,631 | 2,208,498 | ||
7.186% 10/1/12 | 1,675,865 | 1,704,154 | ||
14,552,167 | ||||
Commercial Services & Supplies - 0.3% | ||||
R.R. Donnelley & Sons Co.: | ||||
3.75% 4/1/09 | 1,265,000 | 1,228,288 | ||
5.625% 1/15/12 | 3,030,000 | 3,074,023 | ||
4,302,311 | ||||
Industrial Conglomerates - 0.2% | ||||
Hutchison Whampoa International 03/33 Ltd. 5.45% 11/24/10 (a) | 2,880,000 | 2,921,890 | ||
TOTAL INDUSTRIALS | 28,269,574 | |||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
INFORMATION TECHNOLOGY - 0.5% | ||||
Communications Equipment - 0.5% | ||||
Motorola, Inc. 4.608% 11/16/07 | $ 6,000,000 | $ 5,975,190 | ||
MATERIALS - 0.2% | ||||
Containers & Packaging - 0.1% | ||||
Sealed Air Corp. 6.95% 5/15/09 (a) | 855,000 | 880,650 | ||
Paper & Forest Products - 0.1% | ||||
International Paper Co. 4.25% 1/15/09 | 1,465,000 | 1,439,300 | ||
TOTAL MATERIALS | 2,319,950 | |||
TELECOMMUNICATION SERVICES - 4.0% | ||||
Diversified Telecommunication Services - 3.4% | ||||
Ameritech Capital Funding Corp. 6.25% 5/18/09 | 1,765,000 | 1,789,032 | ||
AT&T Corp. 6% 3/15/09 | 3,720,000 | 3,781,938 | ||
BellSouth Corp. 4.2% 9/15/09 | 1,775,000 | 1,739,014 | ||
Deutsche Telekom International Finance BV 5.375% 3/23/11 | 4,000,000 | 4,028,916 | ||
Sprint Capital Corp. 7.625% 1/30/11 | 4,000,000 | 4,314,376 | ||
Telecom Italia Capital SA: | ||||
4% 11/15/08 | 3,690,000 | 3,614,514 | ||
4% 1/15/10 | 3,450,000 | 3,329,533 | ||
Telefonica Emisiones SAU 5.984% 6/20/11 | 5,000,000 | 5,138,155 | ||
Telefonos de Mexico SA de CV: | ||||
4.5% 11/19/08 | 3,260,000 | 3,214,957 | ||
4.75% 1/27/10 | 3,355,000 | 3,313,968 | ||
TELUS Corp. yankee 7.5% 6/1/07 | 4,220,000 | 4,239,492 | ||
Verizon Global Funding Corp.: | ||||
6.125% 6/15/07 | 2,140,000 | 2,145,399 | ||
7.25% 12/1/10 | 4,205,000 | 4,502,272 | ||
45,151,566 | ||||
Wireless Telecommunication Services - 0.6% | ||||
America Movil SA de CV 4.125% 3/1/09 | 3,925,000 | 3,843,038 | ||
Vodafone Group PLC 5.5% 6/15/11 | 4,000,000 | 4,043,012 | ||
7,886,050 | ||||
TOTAL TELECOMMUNICATION SERVICES | 53,037,616 | |||
UTILITIES - 3.2% | ||||
Electric Utilities - 1.4% | ||||
American Electric Power Co., Inc. 4.709% 8/16/07 | 3,685,000 | 3,675,972 | ||
Nonconvertible Bonds - continued | ||||
Principal Amount | Value | |||
UTILITIES - continued | ||||
Electric Utilities - continued | ||||
Commonwealth Edison Co. 5.4% 12/15/11 | $ 992,000 | $ 992,986 | ||
Entergy Corp. 7.75% 12/15/09 (a) | 2,500,000 | 2,625,000 | ||
Exelon Corp. 4.45% 6/15/10 | 3,750,000 | 3,652,331 | ||
Pepco Holdings, Inc.: | ||||
4% 5/15/10 | 1,125,000 | 1,082,466 | ||
5.5% 8/15/07 | 3,995,000 | 3,997,597 | ||
Progress Energy, Inc. 7.1% 3/1/11 | 2,181,000 | 2,332,259 | ||
TXU Energy Co. LLC 6.125% 3/15/08 | 935,000 | 940,891 | ||
19,299,502 | ||||
Gas Utilities - 0.1% | ||||
NiSource Finance Corp. 7.875% 11/15/10 | 780,000 | 848,433 | ||
Independent Power Producers & Energy Traders - 0.6% | ||||
Constellation Energy Group, Inc.: | ||||
6.125% 9/1/09 | 3,035,000 | 3,105,127 | ||
6.35% 4/1/07 | 3,025,000 | 3,027,344 | ||
TXU Corp. 4.8% 11/15/09 | 1,500,000 | 1,470,000 | ||
7,602,471 | ||||
Multi-Utilities - 1.1% | ||||
Dominion Resources, Inc.: | ||||
4.125% 2/15/08 | 2,610,000 | 2,583,595 | ||
6.3% 9/30/66 (e) | 885,000 | 901,642 | ||
DTE Energy Co. 5.63% 8/16/07 | 2,965,000 | 2,969,068 | ||
MidAmerican Energy Holdings, Co. 4.625% 10/1/07 | 705,000 | 702,584 | ||
PSEG Funding Trust I 5.381% 11/16/07 | 3,575,000 | 3,574,621 | ||
Sempra Energy: | ||||
4.621% 5/17/07 | 2,495,000 | 2,491,420 | ||
4.75% 5/15/09 | 1,055,000 | 1,046,187 | ||
14,269,117 | ||||
TOTAL UTILITIES | 42,019,523 | |||
TOTAL NONCONVERTIBLE BONDS (Cost $311,744,416) | 312,072,814 | |||
U.S. Government and Government Agency Obligations - 15.5% | ||||
U.S. Government Agency Obligations - 6.8% | ||||
Fannie Mae: | ||||
3.25% 8/15/08 | 6,089,000 | 5,953,903 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency Obligations - continued | ||||
Fannie Mae: - continued | ||||
3.25% 2/15/09 | $ 13,000,000 | $ 12,616,474 | ||
Freddie Mac: | ||||
2.7% 3/16/07 | 14,000,000 | 13,984,600 | ||
3.875% 6/15/08 | 29,673,000 | 29,290,011 | ||
5.125% 4/18/11 | 27,000,000 | 27,310,905 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 89,155,893 | |||
U.S. Treasury Inflation Protected Obligations - 0.9% | ||||
U.S. Treasury Inflation-Indexed Notes 3.875% 1/15/09 (c) | 11,688,990 | 12,088,229 | ||
U.S. Treasury Obligations - 7.8% | ||||
U.S. Treasury Bonds 12% 8/15/13 (d) | 10,526,000 | 11,599,157 | ||
U.S. Treasury Notes: | ||||
3.375% 2/15/08 | 24,700,000 | 24,345,901 | ||
4.875% 10/31/08 | 12,165,000 | 12,197,310 | ||
4.875% 1/31/09 (b) | 54,735,000 | 54,954,453 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 103,096,821 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $204,779,152) | 204,340,943 | |||
U.S. Government Agency - Mortgage Securities - 10.9% | ||||
Fannie Mae - 8.5% | ||||
3.735% 10/1/33 (e) | 160,406 | 158,211 | ||
3.75% 1/1/34 (e) | 143,777 | 141,632 | ||
3.759% 10/1/33 (e) | 154,791 | 152,788 | ||
3.787% 6/1/34 (e) | 756,789 | 742,501 | ||
3.803% 6/1/33 (e) | 127,961 | 127,454 | ||
3.813% 10/1/33 (e) | 1,821,255 | 1,799,680 | ||
3.824% 4/1/33 (e) | 445,210 | 443,965 | ||
3.85% 10/1/33 (e) | 3,824,138 | 3,784,581 | ||
3.876% 6/1/33 (e) | 615,196 | 612,155 | ||
3.917% 6/1/34 (e) | 1,091,020 | 1,073,264 | ||
3.943% 5/1/33 (e) | 55,389 | 54,829 | ||
3.986% 2/1/35 (e) | 127,121 | 126,467 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
3.998% 10/1/18 (e) | $ 110,991 | $ 109,907 | ||
4.014% 1/1/35 (e) | 63,177 | 63,513 | ||
4.05% 2/1/35 (e) | 132,581 | 132,146 | ||
4.065% 4/1/33 (e) | 52,662 | 52,492 | ||
4.07% 2/1/35 (e) | 85,017 | 85,245 | ||
4.076% 2/1/35 (e) | 227,468 | 226,148 | ||
4.079% 2/1/35 (e) | 80,829 | 80,471 | ||
4.102% 1/1/35 (e) | 254,468 | 253,701 | ||
4.116% 2/1/35 (e) | 306,492 | 305,830 | ||
4.126% 2/1/35 (e) | 222,408 | 223,481 | ||
4.132% 7/1/34 (e) | 721,408 | 711,657 | ||
4.137% 1/1/35 (e) | 457,453 | 455,920 | ||
4.175% 1/1/35 (e) | 345,753 | 340,012 | ||
4.25% 1/1/34 (e) | 225,711 | 223,753 | ||
4.25% 2/1/34 (e) | 187,539 | 185,871 | ||
4.25% 2/1/35 (e) | 163,971 | 161,442 | ||
4.279% 3/1/35 (e) | 143,190 | 142,981 | ||
4.281% 10/1/33 (e) | 65,723 | 65,281 | ||
4.283% 8/1/33 (e) | 297,916 | 296,487 | ||
4.292% 3/1/33 (e) | 173,645 | 173,738 | ||
4.297% 1/1/34 (e) | 196,222 | 194,667 | ||
4.3% 11/1/34 (e) | 1,193,718 | 1,179,488 | ||
4.303% 1/1/34 (e) | 1,063,673 | 1,054,962 | ||
4.307% 3/1/33 (e) | 84,756 | 83,396 | ||
4.309% 3/1/35 (e) | 338,175 | 336,995 | ||
4.317% 6/1/33 (e) | 87,800 | 87,808 | ||
4.345% 5/1/35 (e) | 177,200 | 176,279 | ||
4.347% 1/1/35 (e) | 176,718 | 174,349 | ||
4.355% 4/1/35 (e) | 80,818 | 80,272 | ||
4.364% 2/1/34 (e) | 340,928 | 338,547 | ||
4.397% 10/1/34 (e) | 819,458 | 811,138 | ||
4.398% 10/1/34 (e) | 1,538,351 | 1,538,929 | ||
4.402% 2/1/35 (e) | 250,701 | 247,311 | ||
4.416% 5/1/35 (e) | 440,137 | 439,404 | ||
4.421% 5/1/35 (e) | 118,301 | 117,558 | ||
4.429% 3/1/35 (e) | 229,694 | 226,679 | ||
4.448% 8/1/34 (e) | 472,907 | 469,952 | ||
4.481% 2/1/35 (e) | 130,090 | 129,717 | ||
4.507% 2/1/35 (e) | 902,995 | 904,081 | ||
4.512% 7/1/35 (e) | 394,363 | 392,861 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
4.515% 10/1/35 (e) | $ 88,418 | $ 88,055 | ||
4.526% 1/1/35 (e) | 191,010 | 190,601 | ||
4.527% 8/1/35 (e) | 365,483 | 364,018 | ||
4.531% 2/1/35 (e) | 87,261 | 87,609 | ||
4.536% 7/1/35 (e) | 529,483 | 527,544 | ||
4.546% 6/1/35 (e) | 486,371 | 483,235 | ||
4.578% 2/1/35 (e) | 674,300 | 667,845 | ||
4.587% 2/1/35 (e) | 659,284 | 655,534 | ||
4.648% 3/1/35 (e) | 1,118,475 | 1,118,432 | ||
4.687% 3/1/35 (e) | 62,570 | 62,579 | ||
4.699% 6/1/35 (e) | 1,222,982 | 1,220,413 | ||
4.715% 10/1/34 (e) | 535,408 | 532,721 | ||
4.727% 7/1/34 (e) | 454,465 | 452,826 | ||
4.746% 5/1/33 (e) | 8,992 | 9,040 | ||
4.782% 12/1/34 (e) | 145,077 | 144,301 | ||
4.809% 8/1/34 (e) | 136,778 | 137,325 | ||
4.81% 2/1/33 (e) | 220,065 | 221,026 | ||
4.813% 11/1/34 (e) | 437,298 | 435,453 | ||
4.821% 10/1/35 (e) | 610,650 | 610,626 | ||
4.838% 10/1/35 (e) | 400,842 | 399,162 | ||
4.847% 1/1/35 (e) | 2,838,908 | 2,828,455 | ||
4.865% 7/1/34 (e) | 654,829 | 653,514 | ||
4.896% 10/1/35 (e) | 322,887 | 323,111 | ||
4.931% 2/1/35 (e) | 1,531,062 | 1,526,972 | ||
4.95% 8/1/34 (e) | 1,429,280 | 1,428,676 | ||
4.976% 4/1/35 (e) | 418,504 | 419,308 | ||
4.985% 11/1/35 (e) | 9,025,526 | 9,001,328 | ||
4.988% 2/1/35 (e) | 49,651 | 49,542 | ||
5% 3/1/18 to 6/1/18 | 2,886,718 | 2,851,666 | ||
5% 9/1/34 (e) | 2,030,050 | 2,030,249 | ||
5.064% 7/1/34 (e) | 66,286 | 66,282 | ||
5.07% 1/1/34 (e) | 133,014 | 133,470 | ||
5.07% 5/1/35 (e) | 883,720 | 885,566 | ||
5.088% 9/1/34 (e) | 158,530 | 158,690 | ||
5.097% 5/1/35 (e) | 435,496 | 436,815 | ||
5.135% 1/1/36 (e) | 1,273,631 | 1,276,238 | ||
5.155% 9/1/35 (e) | 3,953,052 | 3,957,416 | ||
5.163% 9/1/35 (e) | 2,520,761 | 2,524,121 | ||
5.168% 5/1/35 (e) | 571,838 | 571,857 | ||
5.172% 8/1/33 (e) | 206,173 | 206,938 | ||
5.176% 3/1/35 (e) | 84,915 | 84,960 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Fannie Mae - continued | ||||
5.178% 6/1/35 (e) | $ 641,342 | $ 642,883 | ||
5.266% 11/1/36 (e) | 555,962 | 558,568 | ||
5.285% 7/1/35 (e) | 76,331 | 76,579 | ||
5.322% 2/1/36 (e) | 1,699,395 | 1,704,486 | ||
5.327% 12/1/34 (e) | 223,196 | 224,112 | ||
5.401% 2/1/36 (e) | 211,758 | 212,743 | ||
5.407% 11/1/35 (e) | 733,771 | 737,429 | ||
5.5% 7/1/13 to 9/1/24 | 12,995,059 | 13,032,396 | ||
5.502% 5/1/36 (e) | 918,938 | 925,373 | ||
5.537% 11/1/36 (e) | 1,144,540 | 1,152,364 | ||
5.827% 1/1/36 (e) | 1,166,259 | 1,177,491 | ||
5.837% 3/1/36 (e) | 1,722,644 | 1,742,915 | ||
5.947% 4/1/36 (e) | 989,807 | 1,004,563 | ||
6% 4/1/24 | 4,302,377 | 4,350,619 | ||
6.076% 4/1/36 (e) | 288,041 | 292,916 | ||
6.19% 4/1/36 (e) | 658,825 | 670,105 | ||
6.5% 2/1/08 to 3/1/35 | 9,336,446 | 9,564,839 | ||
6.632% 9/1/36 (e) | 2,338,772 | 2,382,191 | ||
6.742% 9/1/36 (e) | 8,663,896 | 8,821,588 | ||
7% 3/1/08 to 6/1/32 | 940,828 | 965,469 | ||
7.5% 5/1/12 to 10/1/14 | 68,244 | 71,323 | ||
11.5% 11/1/15 | 45,888 | 49,147 | ||
TOTAL FANNIE MAE | 112,675,614 | |||
Freddie Mac - 2.2% | ||||
4.078% 1/1/35 (e) | 615,312 | 610,553 | ||
4.278% 3/1/35 (e) | 195,682 | 194,518 | ||
4.279% 5/1/35 (e) | 332,897 | 330,565 | ||
4.297% 12/1/34 (e) | 246,667 | 242,480 | ||
4.321% 2/1/35 (e) | 433,076 | 431,419 | ||
4.38% 2/1/35 (e) | 237,668 | 233,781 | ||
4.406% 8/1/35 (e) | 3,814,195 | 3,786,889 | ||
4.422% 6/1/35 (e) | 318,570 | 316,324 | ||
4.426% 2/1/34 (e) | 187,158 | 185,436 | ||
4.431% 3/1/35 (e) | 233,078 | 229,194 | ||
4.452% 3/1/35 (e) | 240,909 | 237,291 | ||
4.544% 2/1/35 (e) | 397,503 | 391,998 | ||
4.772% 3/1/33 (e) | 78,312 | 79,163 | ||
4.909% 11/1/35 (e) | 919,708 | 917,922 | ||
4.929% 9/1/35 (e) | 888,083 | 882,339 | ||
4.994% 4/1/35 (e) | 1,029,087 | 1,028,696 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Freddie Mac - continued | ||||
5.15% 8/1/36 (e) | $ 713,736 | $ 715,120 | ||
5.212% 1/1/36 (e) | 904,817 | 905,428 | ||
5.291% 6/1/35 (e) | 657,279 | 657,046 | ||
5.5% 7/1/23 to 4/1/24 | 3,901,993 | 3,886,883 | ||
5.569% 12/1/35 (e) | 1,421,900 | 1,432,683 | ||
5.899% 6/1/35 (e) | 415,098 | 419,057 | ||
6.773% 9/1/36 (e) | 1,757,695 | 1,797,920 | ||
6.778% 9/1/36 (e) | 8,077,488 | 8,254,975 | ||
8.5% 5/1/26 to 7/1/28 | 173,075 | 187,573 | ||
12% 11/1/19 | 12,970 | 14,501 | ||
TOTAL FREDDIE MAC | 28,369,754 | |||
Government National Mortgage Association - 0.2% | ||||
3.75% 1/20/34 (e) | 940,146 | 936,037 | ||
4.25% 7/20/34 (e) | 610,411 | 604,962 | ||
7% 1/15/25 to 6/15/32 | 840,778 | 875,837 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 2,416,836 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $143,621,133) | 143,462,204 | |||
Asset-Backed Securities - 19.4% | ||||
Accredited Mortgage Loan Trust: | ||||
Series 2003-3 Class A1, 4.46% 1/25/34 | 749,300 | 724,028 | ||
Series 2004-2 Class A2, 5.62% 7/25/34 (e) | 717,216 | 719,618 | ||
Series 2004-4 Class A2D, 5.67% 1/25/35 (e) | 244,993 | 245,819 | ||
ACE Securities Corp. Series 2003-HE1: | ||||
Class M1, 5.97% 11/25/33 (e) | 405,273 | 405,925 | ||
Class M2, 7.02% 11/25/33 (e) | 269,934 | 271,050 | ||
Aesop Funding II LLC Series 2005-1A Class A1, 3.95% 4/20/08 (a) | 2,000,000 | 1,974,249 | ||
American Express Credit Account Master Trust Series 2004-C Class C, 5.82% 2/15/12 (a)(e) | 1,424,222 | 1,427,512 | ||
AmeriCredit Automobile Receivables Trust: | ||||
Series 2004-1: | ||||
Class B, 3.7% 1/6/09 | 43,785 | 43,749 | ||
Class C, 4.22% 7/6/09 | 155,000 | 154,084 | ||
Class D, 5.07% 7/6/10 | 1,105,000 | 1,100,771 | ||
Series 2004-CA Class A4, 3.61% 5/6/11 | 630,000 | 619,968 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
AmeriCredit Automobile Receivables Trust: - continued | ||||
Series 2005-1 Class D, 5.04% 5/6/11 | $ 2,500,000 | $ 2,490,642 | ||
Series 2005-CF Class A4, 4.63% 6/6/12 | 2,895,000 | 2,877,932 | ||
Series 2005-DA Class A4, 5.02% 11/6/12 | 4,150,000 | 4,154,104 | ||
Series 2006-1 Class D, 5.49% 4/6/12 | 1,115,000 | 1,119,565 | ||
Series 2006-RM Class A1, 5.37% 10/6/09 | 3,000,000 | 3,002,805 | ||
Ameriquest Mortgage Securities, Inc.: | ||||
Series 2004-R10 Class M1, 6.02% 11/25/34 (e) | 1,370,000 | 1,375,733 | ||
Series 2004-R11 Class M1, 5.98% 11/25/34 (e) | 2,040,000 | 2,048,567 | ||
Series 2004-R9 Class M2, 5.97% 10/25/34 (e) | 1,515,000 | 1,523,498 | ||
Amortizing Residential Collateral Trust Series 2002-BC3 Class A, 5.65% 6/25/32 (e) | 138,189 | 138,592 | ||
ARG Funding Corp. Series 2005-1A Class A1, 4.02% 4/20/09 (a) | 4,100,000 | 4,052,709 | ||
Argent Securities, Inc.: | ||||
Series 2003-W3 Class M2, 6.4442% 9/25/33 (e) | 3,100,000 | 3,132,584 | ||
Series 2003-W7: | ||||
Class A2, 5.71% 3/1/34 (e) | 76,477 | 76,702 | ||
Class M1, 6.01% 3/1/34 (e) | 2,500,000 | 2,513,300 | ||
Series 2003-W9 Class M1, 6.01% 3/25/34 (e) | 1,544,402 | 1,551,445 | ||
Series 2004-W5 Class M1, 5.92% 4/25/34 (e) | 830,000 | 831,510 | ||
Arran Funding Ltd. Series 2005-A Class C, 5.64% 12/15/10 (e) | 3,530,000 | 3,529,294 | ||
Asset Backed Funding Certificates Series 2004-HE1 Class M2, 6.47% 1/25/34 (e) | 485,000 | 490,653 | ||
Asset Backed Securities Corp. Home Equity Loan Trust: | ||||
Series 2004-HE3 Class M2, 6.44% 6/25/34 (e) | 700,000 | 704,903 | ||
Series 2004-HE6 Class A2, 5.68% 6/25/34 (e) | 906,785 | 909,166 | ||
Series 2005-HE2: | ||||
Class M1, 5.77% 3/25/35 (e) | 1,830,000 | 1,839,484 | ||
Class M2, 5.82% 3/25/35 (e) | 460,000 | 463,080 | ||
Series 2005-HE3 Class A4, 5.52% 4/25/35 (e) | 1,150,366 | 1,150,637 | ||
Bayview Financial Acquisition Trust Series 2004-C Class A1, 5.74% 5/28/44 (e) | 969,507 | 970,582 | ||
Bayview Financial Asset Trust Series 2003-F Class A, 6.07% 9/28/43 (e) | 827,671 | 827,934 | ||
Bayview Financial Mortgage Loan Trust Series 2004-A Class A, 5.77% 2/28/44 (e) | 588,889 | 589,249 | ||
Bear Stearns Asset Backed Securities, Inc.: | ||||
Series 2004-BO1: | ||||
Class M2, 6.07% 9/25/34 (e) | 794,000 | 797,671 | ||
Class M3, 6.37% 9/25/34 (e) | 540,000 | 547,840 | ||
Class M4, 6.52% 9/25/34 (e) | 460,000 | 458,192 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Bear Stearns Asset Backed Securities, Inc.: - continued | ||||
Series 2004-HE8 Class M1, 5.97% 9/25/34 (e) | $ 1,800,000 | $ 1,802,898 | ||
BMW Vehicle Owner Trust Series 2005-A Class B, 4.42% 4/25/11 | 1,035,000 | 1,026,285 | ||
Capital Auto Receivables Asset Trust: | ||||
Series 2005-1 Class B, 5.695% 6/15/10 (e) | 1,240,000 | 1,245,410 | ||
Series 2006-1 Class B, 5.26% 10/15/10 | 500,000 | 500,677 | ||
Series 2006-SN1A: | ||||
Class B, 5.5% 4/20/10 (a) | 215,000 | 216,016 | ||
Class C, 5.77% 5/20/10 (a) | 205,000 | 207,001 | ||
Class D, 6.15% 4/20/11 (a) | 345,000 | 350,062 | ||
Capital One Auto Finance Trust: | ||||
Series 2005-BSS: | ||||
Class B, 4.32% 5/15/10 | 1,430,000 | 1,418,852 | ||
Class D, 4.8% 9/15/12 | 1,220,000 | 1,212,698 | ||
Series 2006-B Class A3A, 5.45% 2/15/11 | 2,500,000 | 2,509,713 | ||
Capital One Master Trust: | ||||
Series 2001-1 Class B, 5.83% 12/15/10 (e) | 1,700,000 | 1,704,997 | ||
Series 2001-6 Class C, 6.7% 6/15/11 (a) | 3,200,000 | 3,261,625 | ||
Capital One Prime Auto Receivable Trust Series 2005-1 Class B, 4.58% 8/15/12 | 1,850,000 | 1,828,998 | ||
Capital Trust Ltd. Series 2004-1: | ||||
Class A2, 5.77% 7/20/39 (a)(e) | 645,000 | 646,008 | ||
Class B, 6.07% 7/20/39 (a)(e) | 340,000 | 342,749 | ||
Class C, 6.42% 7/20/39 (a)(e) | 435,000 | 438,110 | ||
Carmax Auto Owner Trust: | ||||
Series 2006-1 Class C, 5.76% 11/15/12 | 6,935,000 | 7,004,164 | ||
Series 2006-2 Class C, 5.53% 3/15/13 | 1,070,000 | 1,081,158 | ||
Carrington Mortgage Loan Trust Series 2006-NC3 Class M10, 7.32% 8/25/36 (a)(e) | 185,000 | 159,447 | ||
Caterpillar Financial Asset Trust Series 2006-A Class A3, 5.57% 5/25/10 | 2,700,000 | 2,718,901 | ||
CDC Mortgage Capital Trust Series 2002-HE2 Class M1, 6.37% 1/25/33 (e) | 653,989 | 654,323 | ||
Chase Credit Card Master Trust Series 2003-6 Class B, 5.67% 2/15/11 (e) | 2,150,000 | 2,161,778 | ||
Chase Issuance Trust: | ||||
Series 2004-C3 Class C3, 5.79% 6/15/12 (e) | 3,305,000 | 3,321,313 | ||
Series 2006-C3 Class C3, 5.55% 6/15/11 (e) | 2,905,000 | 2,906,160 | ||
CIT Equipment Collateral Trust: | ||||
Series 2006-VT1: | ||||
Class A3, 5.13% 12/21/08 | 2,870,000 | 2,870,313 | ||
Class B, 5.23% 2/20/13 | 712,502 | 712,684 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
CIT Equipment Collateral Trust: - continued | ||||
Series 2006-VT1: | ||||
Class D, 5.48% 2/20/13 | $ 793,406 | $ 794,118 | ||
Series 2006-VT2 Class A3, 5.07% 2/20/10 | 3,340,000 | 3,341,562 | ||
Citibank Credit Card Issuance Trust Series 2003-C1 Class C1, 6.46% 4/7/10 (e) | 2,600,000 | 2,626,901 | ||
Citigroup Mortgage Loan Trust, Inc. Series 2003-HE4 Class A, 5.73% 12/25/33 (a)(e) | 968,587 | 970,101 | ||
CNH Equipment Trust Series 2005-B Class B, 4.57% 7/16/12 | 830,000 | 812,718 | ||
College Loan Corp. Trust I Series 2006-1 Class AIO, 10% 7/25/08 (g) | 5,690,000 | 788,376 | ||
Countrywide Home Loans, Inc.: | ||||
Series 2003-BC1 Class M2, 7.3165% 9/25/32 (e) | 505,426 | 505,975 | ||
Series 2004-2: | ||||
Class 3A4, 5.57% 7/25/34 (e) | 111,698 | 111,834 | ||
Class M1, 5.82% 5/25/34 (e) | 1,075,000 | 1,078,415 | ||
Series 2004-3 Class 3A4, 5.57% 8/25/34 (e) | 424,807 | 425,605 | ||
Series 2004-4: | ||||
Class A, 5.69% 8/25/34 (e) | 88,620 | 88,742 | ||
Class M2, 5.85% 6/25/34 (e) | 920,000 | 923,326 | ||
CPS Auto Receivables Trust Series 2006-B Class A3, 5.73% 6/15/16 (a) | 1,244,997 | 1,255,891 | ||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
Series 2004-FRE1 Class B1, 7.12% 4/25/34 (e) | 1,241,413 | 1,241,859 | ||
Series 2005-FIX1 Class A2, 4.31% 5/25/35 | 1,570,009 | 1,549,725 | ||
Crown Castle Towers LLC/Crown Atlantic Holdings Sub LLC/Crown Communication, Inc. Series 2005-1A Class C, 5.074% 6/15/35 (a) | 974,000 | 969,345 | ||
Discover Card Master Trust I Series 2003-4 Class B1, 5.65% 5/16/11 (e) | 1,775,000 | 1,782,982 | ||
Diversified REIT Trust Series 2000-1A: | ||||
Class A2, 6.971% 3/8/10 (a) | 1,084,643 | 1,103,257 | ||
Class E, 6.971% 3/8/10 (a) | 865,000 | 897,220 | ||
Drive Auto Receivables Trust: | ||||
Series 2005-1 Class A3, 3.75% 4/15/09 (a) | 298,836 | 298,163 | ||
Series 2005-3 Class A3, 4.99% 10/15/10 (a) | 2,553,929 | 2,547,126 | ||
Series 2006-2 Class A3, 5.33% 4/15/14 (a) | 2,355,000 | 2,372,891 | ||
DriveTime Auto Owner Trust Series 2006-B Class A3, 5.23% 8/15/12 (a) | 1,625,000 | 1,627,641 | ||
Fannie Mae guaranteed REMIC pass thru certificates Series 2004-T5: | ||||
Class AB1, 5.9413% 5/28/35 (e) | 221,177 | 221,211 | ||
Class AB3, 6.0993% 5/28/35 (e) | 62,502 | 62,639 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Fieldstone Mortgage Investment Corp. Series 2006-2: | ||||
Class 2A2, 5.49% 7/25/36 (e) | $ 1,240,000 | $ 1,240,255 | ||
Class M1, 5.63% 7/25/36 (e) | 2,480,000 | 2,478,355 | ||
First Investors Auto Owner Trust Series 2006-A Class A3, 4.93% 2/15/11 (a) | 1,220,000 | 1,217,191 | ||
Ford Credit Auto Owner Trust: | ||||
Series 2005-A: | ||||
Class A4, 3.72% 10/15/09 | 4,100,000 | 4,040,274 | ||
Class B, 3.88% 1/15/10 | 590,000 | 580,663 | ||
Series 2006-B Class C, 5.68% 6/15/12 | 2,040,000 | 2,062,686 | ||
Series 2006-C Class B, 5.3% 6/15/12 | 750,000 | 753,813 | ||
Franklin Auto Trust Series 2006-1 Class A3, 5.21% 1/20/11 | 1,600,000 | 1,599,024 | ||
Fremont Home Loan Trust: | ||||
Series 2004-1: | ||||
Class M1, 5.77% 2/25/34 (e) | 93,578 | 93,602 | ||
Class M2, 5.82% 2/25/34 (e) | 150,000 | 150,124 | ||
Series 2004-C Class M1, 5.97% 8/25/34 (e) | 1,120,000 | 1,126,724 | ||
Series 2004-D: | ||||
Class M4, 6.27% 11/25/34 (e) | 295,000 | 296,651 | ||
Class M5, 6.32% 11/25/34 (e) | 245,000 | 246,336 | ||
Series 2005-A Class 2A2, 5.56% 2/25/35 (e) | 3,085 | 3,085 | ||
GCO Slims Trust Series 2006-1A, 5.72% 3/1/22 (a) | 1,334,850 | 1,327,654 | ||
GE Business Loan Trust: | ||||
Series 2004-2 Class A, 0.8454% 12/15/08 (a)(g) | 59,141,652 | 657,064 | ||
Series 2005-2 Class IO, 0.5242% 9/15/17 (a)(g) | 111,204,734 | 987,643 | ||
Greenpoint Credit LLC Series 2001-1 Class 1A, 5.66% 4/20/32 (e) | 482,470 | 482,414 | ||
GSAMP Trust: | ||||
Series 2002-NC1 Class A2, 5.64% 7/25/32 (e) | 4,389 | 4,451 | ||
Series 2003-HE2 Class M1, 5.97% 8/25/33 (e) | 650,000 | 651,485 | ||
Series 2005-MTR1 Class A1, 5.46% 10/25/35 (e) | 1,359,289 | 1,358,832 | ||
Guggenheim Structured Real Estate Funding Ltd.: | ||||
Series 2005-1 Class C, 6.4% 5/25/30 (a)(e) | 2,506,416 | 2,506,416 | ||
Series 2006-3: | ||||
Class B, 5.72% 9/25/46 (a)(e) | 700,000 | 698,768 | ||
Class C, 5.87% 9/25/46 (a)(e) | 1,750,000 | 1,746,658 | ||
Harwood Street Funding I LLC Series 2004-1A Class CTFS, 7.32% 9/20/09 (a)(e) | 4,400,000 | 4,405,137 | ||
Home Equity Asset Trust: | ||||
Series 2002-2 Class A4, 5.67% 6/25/32 (e) | 5,664 | 5,756 | ||
Series 2003-3 Class A4, 5.78% 2/25/33 (e) | 493 | 493 | ||
Series 2003-5 Class A2, 5.67% 12/25/33 (e) | 39,981 | 40,027 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Home Equity Asset Trust: - continued | ||||
Series 2003-7 Class A2, 5.7% 3/25/34 (e) | $ 4,243 | $ 4,249 | ||
Series 2003-8 Class M1, 6.04% 4/25/34 (e) | 624,684 | 626,658 | ||
Series 2004-1 Class M2, 6.52% 6/25/34 (e) | 655,000 | 660,239 | ||
Series 2004-3: | ||||
Class M1, 5.89% 8/25/34 (e) | 353,007 | 353,854 | ||
Class M2, 6.52% 8/25/34 (e) | 465,000 | 468,899 | ||
Series 2004-6 Class A2, 5.67% 12/25/34 (e) | 305,302 | 305,579 | ||
Household Automotive Trust Series 2004-1 Class A4, 3.93% 7/18/11 | 1,170,000 | 1,153,661 | ||
Household Private Label Credit Card Master Note Trust I Series 2002-2 Class B, 5.87% 1/18/11 (e) | 1,000,000 | 1,000,168 | ||
HSBC Automotive Trust: | ||||
Series 2006-1 Class A3, 5.43% 6/17/11 | 2,100,000 | 2,110,229 | ||
Series 2006-2 Class A4, 5.67% 6/17/13 | 3,500,000 | 3,557,482 | ||
HSBC Home Equity Loan Trust: | ||||
Series 2005-2: | ||||
Class M1, 5.78% 1/20/35 (e) | 298,111 | 298,540 | ||
Class M2, 5.81% 1/20/35 (e) | 223,583 | 224,350 | ||
Series 2005-3 Class A1, 5.58% 1/20/35 (e) | 1,847,864 | 1,849,531 | ||
Hyundai Auto Receivables Trust: | ||||
Series 2005-A: | ||||
Class B, 4.2% 2/15/12 | 1,115,000 | 1,099,144 | ||
Class C, 4.22% 2/15/12 | 185,000 | 182,896 | ||
Series 2006-B Class C, 5.25% 5/15/13 | 620,000 | 622,139 | ||
John Deere Owner Trust Series 2006-A Class A3, 5.38% 7/15/10 | 3,260,000 | 3,271,973 | ||
JPMorgan Auto Receivables Trust Series 2006-A: | ||||
Class B, 5.36% 12/15/14 (a) | 490,000 | 490,774 | ||
Class C, 5.61% 12/15/14 (a) | 1,735,000 | 1,738,314 | ||
Lancer Funding Ltd. Series 2006-1A Class A3, 7.06% 4/6/46 (a)(e) | 981,212 | 980,856 | ||
Long Beach Auto Receivables Trust Series 2006-B Class A3, 5.17% 8/15/11 | 1,080,000 | 1,082,279 | ||
Marriott Vacation Club Owner Trust: | ||||
Series 2005-2 Class A, 5.25% 10/20/27 (a) | 932,846 | 930,259 | ||
Series 2006-1A: | ||||
Class B, 5.827% 4/20/28 (a) | 231,250 | 234,176 | ||
Class C, 6.125% 4/20/28 (a) | 231,250 | 234,521 | ||
MBNA Credit Card Master Note Trust Series 2002-B2 Class B2, 5.7% 10/15/09 (e) | 3,600,000 | 3,602,404 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
MBNA Master Credit Card Trust II: | ||||
Series 1998-E Class B, 5.69% 9/15/10 (e) | $ 1,500,000 | $ 1,504,588 | ||
Series 2000-L Class B, 5.82% 4/15/10 (e) | 650,000 | 651,605 | ||
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 5.82% 7/25/34 (e) | 400,821 | 403,394 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
Series 2003-OPT1 Class M1, 5.97% 7/25/34 (e) | 1,145,000 | 1,149,805 | ||
Series 2004-FM1 Class M2, 6.47% 1/25/35 (e) | 241,403 | 242,162 | ||
Morgan Stanley ABS Capital I, Inc.: | ||||
Series 2004-HE6 Class A2, 5.66% 8/25/34 (e) | 421,635 | 422,725 | ||
Series 2004-NC6 Class A2, 5.66% 7/25/34 (e) | 33,487 | 33,496 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2001-NC1 Class M2, 6.925% 10/25/31 (e) | 20,053 | 20,777 | ||
Series 2002-AM3 Class A3, 5.81% 2/25/33 (e) | 79,980 | 80,029 | ||
Series 2002-HE2 Class M1, 6.82% 8/25/32 (e) | 971,754 | 972,250 | ||
Series 2002-NC1 Class M1, 6.52% 2/25/32 (a)(e) | 616,912 | 617,343 | ||
Series 2003-NC1 Class M1, 6.895% 11/25/32 (e) | 500,739 | 501,242 | ||
National Collegiate Funding LLC Series 2004-GT1 Class IO1, 7.87% 6/25/10 (a)(e)(g) | 1,725,000 | 409,067 | ||
National Collegiate Student Loan Trust: | ||||
Series 2004-2 Class AIO, 9.75% 10/25/14 (g) | 1,885,000 | 723,312 | ||
Series 2005-2 Class AIO, 7.73% 3/25/12 (g) | 1,265,000 | 273,531 | ||
Series 2005-3W Class AIO1, 4.8% 7/25/12 (g) | 4,090,000 | 608,510 | ||
Series 2005-GT1 Class AIO, 6.75% 12/25/09 (g) | 900,000 | 157,997 | ||
Series 2006-3 Class AIO, 7.1% 1/25/12 (g) | 4,020,000 | 1,166,644 | ||
Navistar Financial Corp. Owner Trust Series 2005-A Class A4, 4.43% 1/15/14 | 1,165,000 | 1,148,652 | ||
Newcastle CDO VIII Series 2006-8A Class 4, 5.92% 11/1/52 (a)(e) | 1,000,000 | 992,500 | ||
Nissan Auto Lease Trust Series 2005-A Class A3, 4.7% 10/15/08 | 2,752,619 | 2,746,320 | ||
Nissan Auto Receivables Owner Trust Series 2005-A Class A4, 3.82% 7/15/10 | 1,210,000 | 1,191,493 | ||
Northstar Education Finance, Inc., Delaware Series 2005-1 Class A5, 4.74% 10/30/45 | 1,695,000 | 1,682,740 | ||
Onyx Acceptance Owner Trust Series 2005-A Class A3, 3.69% 5/15/09 | 392,961 | 391,188 | ||
Ownit Mortgage Loan Asset-Backed Certificates Series 2005-4 Class A2A1, 5.44% 8/25/36 (e) | 1,135,573 | 1,135,706 | ||
Park Place Securities, Inc.: | ||||
Series 2004 WWF1 Class M4, 6.42% 1/25/35 (e) | 1,905,000 | 1,920,210 | ||
Series 2004-WCW1: | ||||
Class M1, 5.95% 9/25/34 (e) | 640,000 | 640,496 | ||
Class M2, 6% 9/25/34 (e) | 380,000 | 383,002 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
Park Place Securities, Inc.: - continued | ||||
Series 2004-WCW1: | ||||
Class M3, 6.57% 9/25/34 (e) | $ 730,000 | $ 736,644 | ||
Class M4, 6.77% 9/25/34 (e) | 1,000,000 | 1,009,620 | ||
Series 2004-WCW2 Class A2, 5.7% 10/25/34 (e) | 95,277 | 95,307 | ||
Series 2004-WHQ2 Class A3E, 5.74% 2/25/35 (e) | 372,564 | 373,517 | ||
Pinnacle Capital Asset Trust Series 2006-A: | ||||
Class B, 5.51% 9/25/09 (a) | 680,000 | 680,533 | ||
Class C, 5.77% 5/25/10 (a) | 630,000 | 630,840 | ||
Residential Asset Mortgage Products, Inc.: | ||||
Series 2003-RZ2 Class A1, 3.6% 4/25/33 | 320,777 | 314,716 | ||
Series 2004-RS10 Class MII2, 6.57% 10/25/34 (e) | 2,600,000 | 2,630,636 | ||
Series 2005-SP2 Class 1A1, 5.47% 5/25/44 (e) | 532,695 | 532,793 | ||
Saxon Asset Securities Trust Series 2004-2 Class MV1, 5.9% 8/25/35 (e) | 980,000 | 980,913 | ||
Securitized Asset Backed Receivables LLC Trust Series 2004-NC1: | ||||
Class A2, 5.57% 2/25/34 (e) | 75,980 | 75,988 | ||
Class M1, 5.84% 2/25/34 (e) | 610,000 | 612,057 | ||
Sierra Timeshare Receivables Fund LLC Series 2006-1A: | ||||
Class A1, 5.84% 5/20/18 (a) | 1,392,344 | 1,407,904 | ||
Class A2, 5.47% 5/20/18 (a)(e) | 3,928,160 | 3,928,144 | ||
SLM Private Credit Student Loan Trust: | ||||
Series 2004 B Class A2, 5.56% 6/15/21 (e) | 1,800,000 | 1,809,208 | ||
Series 2004-A: | ||||
Class B, 5.94% 6/15/33 (e) | 400,000 | 405,588 | ||
Class C, 6.31% 6/15/33 (e) | 1,020,000 | 1,031,802 | ||
Series 2004-B Class C, 6.23% 9/15/33 (e) | 1,900,000 | 1,911,742 | ||
SLMA Student Loan Trust Series 2005-7 Class A3, 4.41% 7/25/25 | 2,500,000 | 2,478,725 | ||
Structured Asset Securities Corp. Series 2005-5N Class 3A1A, 5.62% 11/25/35 (e) | 2,001,991 | 2,003,061 | ||
Superior Wholesale Inventory Financing Trust VII Series 2003-A8 Class CTFS, 5.77% 3/15/11 (a)(e) | 2,520,000 | 2,520,000 | ||
Superior Wholesale Inventory Financing Trust XII Series 2005-A12 Class C, 6.52% 6/15/10 (e) | 1,405,000 | 1,418,522 | ||
Terwin Mortgage Trust Series 2003-4HE Class A1, 5.75% 9/25/34 (e) | 83,246 | 83,607 | ||
Volkswagen Auto Lease Trust Series 2005-A Class A4, 3.94% 10/20/10 | 3,625,000 | 3,598,133 | ||
Wachovia Auto Loan Owner Trust Series 2006-1 Class D, 5.42% 4/21/14 (a) | 3,615,000 | 3,631,445 | ||
Wachovia Auto Loan Trust Series 2006-2A: | ||||
Class A3, 5.23% 8/22/11 (a) | 3,960,000 | 3,972,644 | ||
Class D, 5.54% 12/20/12 (a) | 2,245,000 | 2,263,437 | ||
Asset-Backed Securities - continued | ||||
Principal Amount | Value | |||
WFS Financial Owner Trust: | ||||
Series 2004-3: | ||||
Class A4, 3.93% 2/17/12 | $ 5,000,000 | $ 4,948,620 | ||
Class D, 4.07% 2/17/12 | 461,194 | 457,326 | ||
Series 2004-4 Class D, 3.58% 5/17/12 | 397,670 | 392,915 | ||
Series 2005-1 Class D, 4.09% 8/15/12 | 353,081 | 349,554 | ||
Series 2005-3 Class C, 4.54% 5/17/13 | 850,000 | 842,077 | ||
Whinstone Capital Management Ltd. Series 1A Class B3, 6.2769% 10/25/44 (a)(e) | 3,095,411 | 3,095,411 | ||
WM Asset Holdings Corp. Series 2006-7 Class N1, 5.926% 10/25/46 (a) | 1,160,724 | 1,154,340 | ||
World Omni Auto Receivables Trust Series 2005-A | 600,546 | 596,596 | ||
TOTAL ASSET-BACKED SECURITIES (Cost $255,335,546) | 255,545,013 | |||
Collateralized Mortgage Obligations - 10.7% | ||||
Private Sponsor - 5.6% | ||||
Banc of America Mortgage Securities, Inc. Series 2004-J Class 2A1, 4.7806% 11/25/34 (e) | 845,575 | 838,859 | ||
Bear Stearns Adjustable Rate Mortgage Trust floater Series 2005-6 Class 1A1, 5.0963% 8/25/35 (e) | 2,526,075 | 2,543,371 | ||
Bear Stearns Alt-A Trust floater: | ||||
Series 2005-1 Class A1, 5.6% 1/25/35 (e) | 562,284 | 563,368 | ||
Series 2005-2 Class 1A1, 5.57% 3/25/35 (e) | 1,087,514 | 1,089,233 | ||
Series 2005-5 Class 1A1, 5.54% 7/25/35 (e) | 914,836 | 914,461 | ||
Countrywide Home Loans, Inc. sequential payer Series 2002-25 Class 2A1, 5.5% 11/27/17 | 523,250 | 520,274 | ||
Credit Suisse First Boston Adjustable Rate Mortgage Trust floater: | ||||
Series 2004-1 Class 9A2, 5.72% 1/25/34 (e) | 245,998 | 246,439 | ||
Series 2004-2 Class 7A3, 5.72% 2/25/35 (e) | 572,260 | 574,182 | ||
Series 2004-4 Class 5A2, 5.72% 3/25/35 (e) | 209,869 | 210,099 | ||
Credit Suisse First Boston Mortgage Securities Corp. floater: | ||||
Series 2004-AR4 Class 5A2, 5.69% 5/25/34 (e) | 91,056 | 91,164 | ||
Series 2004-AR5 Class 11A2, 5.69% 6/25/34 (e) | 147,947 | 148,064 | ||
Series 2004-AR8 Class 8A2, 5.7% 9/25/34 (e) | 182,630 | 182,895 | ||
Granite Master Issuer PLC floater: | ||||
Series 2005-2 Class C1, 5.86% 12/20/54 (e) | 1,800,000 | 1,802,813 | ||
Series 2005-4: | ||||
Class C1, 5.79% 12/20/54 (e) | 1,350,000 | 1,350,158 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Granite Master Issuer PLC floater: - continued | ||||
Series 2005-4: | ||||
Class M2, 5.64% 12/20/54 (e) | $ 1,300,000 | $ 1,301,011 | ||
Series 2006-1A Class C2, 5.96% 12/20/54 (a)(e) | 1,100,000 | 1,100,000 | ||
Series 2006-2 Class C1, 5.83% 12/20/54 (e) | 2,575,000 | 2,576,932 | ||
GSAMP Trust Series 2007-AR2 Class 2A1, 4.8583% 4/25/35 (e) | 869,817 | 864,437 | ||
Homestar Mortgage Acceptance Corp. floater Series 2004-5 Class A1, 5.77% 10/25/34 (e) | 824,727 | 827,975 | ||
Impac CMB Trust floater: | ||||
Series 2004-6 Class 1A2, 5.71% 10/25/34 (e) | 267,567 | 267,778 | ||
Series 2004-9: | ||||
Class M2, 5.97% 1/25/35 (e) | 276,215 | 276,471 | ||
Class M3, 6.02% 1/25/35 (e) | 204,756 | 205,218 | ||
Class M4, 6.37% 1/25/35 (e) | 104,440 | 104,521 | ||
Series 2005-1: | ||||
Class M1, 5.78% 4/25/35 (e) | 337,592 | 338,170 | ||
Class M2, 5.82% 4/25/35 (e) | 582,346 | 583,287 | ||
Class M3, 5.85% 4/25/35 (e) | 143,476 | 143,886 | ||
JP Morgan Mortgage Trust: | ||||
Series 2005-A8 Class 2A3, 4.9527% 11/25/35 (e) | 400,000 | 402,531 | ||
Series 2007-A1: | ||||
Class 3A2, 5.012% 7/25/35 (e) | 3,499,762 | 3,481,458 | ||
Class 7A3, 5.302% 7/25/35 (e) | 4,990,000 | 4,999,980 | ||
Lehman Structured Securities Corp. floater Series 2005-1 Class A2, 5.71% 9/26/45 (a)(e) | 709,675 | 711,933 | ||
Lehman XS Trust floater Series 2006-GP1 Class A1, 5.41% 5/25/46 (e) | 2,514,380 | 2,513,136 | ||
Master Alternative Loan Trust Series 2004-3 Class 3A1, 6% 4/25/34 | 228,377 | 228,020 | ||
MASTR Adjustable Rate Mortgages Trust floater Series 2005-1 Class 1A1, 5.59% 3/25/35 (e) | 311,079 | 311,326 | ||
MASTR Seasoned Securitization Trust Series 2004-1 Class 1A1, 6.2335% 8/25/17 (e) | 939,157 | 956,406 | ||
Merrill Lynch Mortgage Investors, Inc.: | ||||
floater: | ||||
Series 2003-A Class 2A1, 5.71% 3/25/28 (e) | 745,610 | 749,459 | ||
Series 2003-F Class A2, 5.76% 10/25/28 (e) | 854,602 | 855,990 | ||
Series 2004-B Class A2, 5.6388% 6/25/29 (e) | 1,234,566 | 1,235,631 | ||
Series 2004-C Class A2, 5.67% 7/25/29 (e) | 773,624 | 774,667 | ||
Series 2004-D Class A2, 5.78% 9/25/29 (e) | 753,738 | 754,706 | ||
Series 2003-E Class XA1, 1% 10/25/28 (e)(g) | 4,711,409 | 17,692 | ||
Series 2003-G Class XA1, 1% 1/25/29 (g) | 3,990,002 | 22,770 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
Merrill Lynch Mortgage Investors, Inc.: - continued | ||||
Series 2003-H Class XA1, 1% 1/25/29 (a)(g) | $ 3,173,554 | $ 21,101 | ||
MortgageIT Trust floater Series 2004-2: | ||||
Class A1, 5.69% 12/25/34 (e) | 777,121 | 777,860 | ||
Class A2, 5.77% 12/25/34 (e) | 1,050,552 | 1,057,633 | ||
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 5.61% 7/25/35 (e) | 1,873,601 | 1,877,521 | ||
Permanent Financing No. 4 PLC floater Series 2: | ||||
Class C, 6.0731% 6/10/42 (e) | 1,495,000 | 1,495,125 | ||
Class M, 5.6831% 6/10/42 (e) | 345,000 | 344,737 | ||
Permanent Financing No. 5 PLC floater: | ||||
Series 2 Class C, 6.0031% 6/10/42 (e) | 915,000 | 916,905 | ||
Series 3 Class C, 6.1531% 6/10/42 (e) | 1,935,000 | 1,953,695 | ||
Residential Asset Mortgage Products, Inc.: | ||||
sequential payer Series 2003-SL1 Class A31, 7.125% 4/25/31 | 619,405 | 629,196 | ||
Series 2005-AR5 Class 1A1, 4.8295% 9/19/35 (e) | 701,388 | 706,134 | ||
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-UP1 Class A, 3.45% 4/25/32 (a) | 438,667 | 423,108 | ||
SBA CMBS Trust Series 2005-1A: | ||||
Class D, 6.219% 11/15/35 (a) | 1,370,000 | 1,393,553 | ||
Class E, 6.706% 11/15/35 (a) | 365,000 | 365,955 | ||
Sequoia Mortgage Funding Trust Series 2003-A Class AX1, 0.8% 10/21/08 (a)(g) | 4,074,312 | 15,506 | ||
Sequoia Mortgage Trust: | ||||
floater: | ||||
Series 2003-5 Class A2, 5.715% 9/20/33 (e) | 278,140 | 278,263 | ||
Series 2004-2 Class A, 5.655% 3/20/34 (e) | 291,624 | 291,751 | ||
Series 2004-3 Class A, 5.67% 5/20/34 (e) | 629,958 | 630,261 | ||
Series 2004-4 Class A, 5.7288% 5/20/34 (e) | 599,224 | 599,591 | ||
Series 2004-5 Class A3, 5.665% 6/20/34 (e) | 618,589 | 618,912 | ||
Series 2004-6 Class A3A, 5.6675% 6/20/35 (e) | 470,020 | 470,978 | ||
Series 2004-7 Class A3A, 5.71% 8/20/34 (e) | 513,045 | 513,845 | ||
Series 2004-8 Class A2, 5.755% 9/20/34 (e) | 679,820 | 681,006 | ||
Series 2005-1 Class A2, 5.6406% 2/20/35 (e) | 613,948 | 615,895 | ||
Series 2003-8 Class X1, 0.8% 1/20/34 (e)(g) | 18,867,006 | 36,855 | ||
Series 2004-1 Class X1, 0.8% 2/20/34 (g) | 4,011,928 | 8,251 | ||
Structured Adjustable Rate Mortgage Loan Trust floater Series 2005-10 Class A1, 5.52% 6/25/35 (e) | 571,146 | 571,202 | ||
Structured Asset Securities Corp. floater Series 2004-NP1 Class A, 5.72% 9/25/33 (a)(e) | 231,412 | 231,576 | ||
Wachovia Mortgage Loan Trust LLC Series 2005-B Class 2A4, 5.1886% 10/20/35 (e) | 320,000 | 321,757 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
Private Sponsor - continued | ||||
WaMu Mortgage Securities Corp. sequential payer: | ||||
Series 2003-MS9 Class 2A1, 7.5% 12/25/33 | $ 176,030 | $ 181,925 | ||
Series 2004-RA2 Class 2A, 7% 7/25/33 | 248,540 | 252,306 | ||
Wells Fargo Mortgage Backed Securities Trust: | ||||
Series 2003-14 Class 1A1, 4.75% 12/25/18 | 1,476,725 | 1,436,808 | ||
Series 2004-M Class A3, 4.6699% 8/25/34 (e) | 1,156,052 | 1,150,417 | ||
Series 2005-AR2 Class 2A2, 4.57% 3/25/35 | 4,499,975 | 4,439,483 | ||
Series 2005-AR4 Class 2A2, 4.524% 4/25/35 (e) | 7,589,039 | 7,487,656 | ||
Series 2006-AR8 Class 2A6, 5.24% 4/25/36 (e) | 3,295,000 | 3,281,093 | ||
TOTAL PRIVATE SPONSOR | 73,758,631 | |||
U.S. Government Agency - 5.1% | ||||
Fannie Mae planned amortization class: | ||||
Series 1993-187 Class L, 6.5% 7/25/23 | 1,009,086 | 1,030,000 | ||
Series 1994-30 Class JA, 5% 7/25/23 | 370,015 | 369,099 | ||
Series 2006-64 Class PA, 5.5% 2/25/30 | 8,242,844 | 8,298,636 | ||
Fannie Mae guaranteed REMIC pass thru certificates: | ||||
planned amortization class: | ||||
Series 2006-49 Class CA, 6% 2/25/31 | 7,537,270 | 7,644,524 | ||
Series 2006-54 Class PE, 6% 2/25/33 | 2,304,779 | 2,352,477 | ||
sequential payer: | ||||
Series 2001-40 Class Z, 6% 8/25/31 | 1,328,593 | 1,355,517 | ||
Series 2003-23 Class AB, 4% 3/25/17 | 2,058,325 | 2,008,211 | ||
Series 2003-76 Class BA, 4.5% 3/25/18 | 3,606,185 | 3,537,869 | ||
Series 2004-3 Class BA, 4% 7/25/17 | 150,500 | 146,253 | ||
Series 2004-86 Class KC, 4.5% 5/25/19 | 593,011 | 581,736 | ||
Series 2004-31 Class IA, 4.5% 6/25/10 (g) | 95,618 | 140 | ||
Freddie Mac sequential payer Series 2114 Class ZM, 6% 1/15/29 | 602,007 | 619,764 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
planned amortization class: | ||||
Series 2489 Class PD, 6% 2/15/31 | 237,498 | 237,961 | ||
Series 2535 Class PC, 6% 9/15/32 | 1,975,000 | 2,015,387 | ||
Series 2625 Class QX, 2.25% 3/15/22 | 183,660 | 181,134 | ||
Series 2640 Class QG, 2% 4/15/22 | 230,859 | 227,044 | ||
Series 2660 Class ML, 3.5% 7/15/22 | 11,270,673 | 11,114,851 | ||
Series 2690 Class PD, 5% 2/15/27 | 2,980,000 | 2,971,314 | ||
Series 2755 Class LC, 4% 6/15/27 | 2,225,000 | 2,164,652 | ||
Series 2901 Class UM, 4.5% 1/15/30 | 4,965,933 | 4,886,681 | ||
Collateralized Mortgage Obligations - continued | ||||
Principal Amount | Value | |||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2523 Class JB, 5% 6/15/15 | $ 802,511 | $ 798,454 | ||
Series 2609 Class UJ, 6% 2/15/17 | 1,441,348 | 1,468,066 | ||
Series 2635 Class DG, 4.5% 1/15/18 | 4,040,320 | 3,977,827 | ||
Series 2780 Class A, 4% 12/15/14 | 3,688,269 | 3,599,652 | ||
Series 2786 Class GA, 4% 8/15/17 | 1,711,038 | 1,663,263 | ||
Series 2970 Class YA, 5% 9/15/18 | 1,512,895 | 1,508,073 | ||
Series R001 Class AE, 4.375% 4/15/15 | 2,118,807 | 2,075,010 | ||
Series 1803 Class A, 6% 12/15/08 | 297,759 | 298,320 | ||
Ginnie Mae guaranteed REMIC pass thru securities planned amortization class Series 2002-5 Class PD, 6.5% 5/16/31 | 298,560 | 299,955 | ||
TOTAL U.S. GOVERNMENT AGENCY | 67,431,870 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $140,850,107) | 141,190,501 | |||
Commercial Mortgage Securities - 8.7% | ||||
280 Park Avenue Trust floater Series 2001-280 Class X1, 1.0022% 2/3/11 (a)(e)(g) | 15,017,559 | 510,115 | ||
Asset Securitization Corp.: | ||||
sequential payer Series 1995-MD4 Class A1, 7.1% 8/13/29 | 21,294 | 21,375 | ||
Series 1997-D5 Class PS1, 1.6789% 2/14/43 (e)(g) | 8,814,621 | 287,112 | ||
Banc of America Commercial Mortgage Trust: | ||||
Series 2006-5 Class A1, 5.185% 7/10/11 | 696,659 | 697,915 | ||
Series 2006-6 Class XP, 0.4314% 10/10/45 (e)(g) | 34,790,000 | 795,626 | ||
Banc of America Commercial Mortgage, Inc.: | ||||
sequential payer Series 2005-1 Class A2, 4.64% 11/10/42 | 2,930,000 | 2,910,293 | ||
Series 2002-2 Class XP, 1.7692% 7/11/43 (a)(e)(g) | 6,552,208 | 286,195 | ||
Series 2004-6 Class XP, 0.5477% 12/10/42 (e)(g) | 12,943,755 | 241,602 | ||
Series 2005-4 Class XP, 0.1978% 7/10/45 (e)(g) | 17,286,633 | 160,363 | ||
Banc of America Large Loan, Inc.: | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class H, 6.72% 11/15/15 (a)(e) | 235,000 | 234,999 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Banc of America Large Loan, Inc.: - continued | ||||
floater: | ||||
Series 2003-BBA2: | ||||
Class J, 7.27% 11/15/15 (a)(e) | $ 245,000 | $ 244,904 | ||
Class K, 7.92% 11/15/15 (a)(e) | 220,000 | 219,779 | ||
Series 2006-LAQ: | ||||
Class H, 6% 2/9/21 (a)(e) | 650,000 | 650,705 | ||
Class J, 6.09% 2/9/21 (a)(e) | 470,000 | 470,509 | ||
Class K, 6.32% 2/9/21 (a)(e) | 1,305,000 | 1,306,407 | ||
Series 2006-ESH: | ||||
Class A, 6.18% 7/14/11 (a)(e) | 1,381,181 | 1,381,356 | ||
Class B, 6.28% 7/14/11 (a)(e) | 688,752 | 688,385 | ||
Class C, 6.43% 7/14/11 (a)(e) | 1,379,342 | 1,379,516 | ||
Class D, 7.061% 7/14/11 (a)(e) | 801,662 | 802,207 | ||
Bayview Commercial Asset Trust: | ||||
floater: | ||||
Series 2003-2 Class A, 5.9% 12/25/33 (a)(e) | 1,767,514 | 1,770,276 | ||
Series 2004-1: | ||||
Class A, 5.68% 4/25/34 (a)(e) | 872,973 | 874,610 | ||
Class B, 7.22% 4/25/34 (a)(e) | 109,122 | 109,906 | ||
Class M1, 5.88% 4/25/34 (a)(e) | 54,561 | 54,723 | ||
Class M2, 6.52% 4/25/34 (a)(e) | 54,561 | 55,038 | ||
Series 2004-2: | ||||
Class A, 5.75% 8/25/34 (a)(e) | 974,256 | 977,605 | ||
Class M1, 5.9% 8/25/34 (a)(e) | 314,174 | 315,646 | ||
Series 2004-3: | ||||
Class A1, 5.69% 1/25/35 (a)(e) | 1,093,561 | 1,096,466 | ||
Class A2, 5.74% 1/25/35 (a)(e) | 170,869 | 171,350 | ||
Series 2005-4A: | ||||
Class A2, 5.71% 1/25/36 (a)(e) | 1,461,372 | 1,466,396 | ||
Class B1, 6.72% 1/25/36 (a)(e) | 91,336 | 91,593 | ||
Class M1, 5.77% 1/25/36 (a)(e) | 456,679 | 458,819 | ||
Class M2, 5.79% 1/25/36 (a)(e) | 182,672 | 183,528 | ||
Class M3, 5.82% 1/25/36 (a)(e) | 182,672 | 183,613 | ||
Class M4, 5.93% 1/25/36 (a)(e) | 91,336 | 91,864 | ||
Class M5, 5.97% 1/25/36 (a)(e) | 91,336 | 91,864 | ||
Class M6, 6.02% 1/25/36 (a)(e) | 91,336 | 91,807 | ||
Series 2004-1 Class IO, 1.25% 4/25/34 (a)(g) | 9,550,305 | 486,643 | ||
Series 2006-2A Class IO, 0.8495% 7/25/36 (a)(g) | 17,029,058 | 1,387,868 | ||
Series 2007-1: | ||||
Class A2, 5.59% 3/25/37 (a)(e) | 532,458 | 532,458 | ||
Class B1, 5.99% 3/25/37 (a)(e) | 169,192 | 169,192 | ||
Class B2, 6.47% 3/25/37 (a)(e) | 124,406 | 124,406 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Bayview Commercial Asset Trust: - continued | ||||
Series 2007-1: | ||||
Class B3, 8.67% 3/25/37 (a)(e) | $ 348,337 | $ 348,337 | ||
Class M1, 5.59% 3/25/37 (a)(e) | 144,311 | 144,311 | ||
Class M2, 5.61% 3/25/37 (a)(e) | 109,477 | 109,477 | ||
Class M3, 5.64% 3/27/37 (a)(e) | 94,549 | 94,549 | ||
Class M4, 5.69% 3/25/37 (a)(e) | 69,667 | 69,667 | ||
Class M5, 5.74% 3/25/37 (a)(e) | 119,430 | 119,430 | ||
Class M6, 5.82% 3/25/37 (a)(e) | 164,216 | 164,216 | ||
Bear Stearns Commercial Mortgage Securities, Inc.: | ||||
sequential payer Series 2004-ESA Class A3, 4.741% 5/14/16 (a) | 625,000 | 620,518 | ||
Series 2002-TOP8 Class X2, 2.0554% 8/15/38 (a)(e)(g) | 6,968,028 | 433,548 | ||
Series 2003-PWR2 Class X2, 0.53% 5/11/39 (a)(e)(g) | 18,830,339 | 344,595 | ||
Series 2004-PWR6 Class X2, 0.6424% 11/11/41 (a)(e)(g) | 7,562,712 | 208,204 | ||
Series 2005-PWR9 Class X2, 0.3898% 9/11/42 (a)(e)(g) | 49,152,296 | 891,475 | ||
Series 2006-PW13 Class A1, 5.294% 9/11/41 | 2,782,014 | 2,797,941 | ||
CDC Commercial Mortgage Trust Series 2002-FX1 Class XCL, 0.8294% 5/15/35 (a)(e)(g) | 42,098,029 | 2,185,810 | ||
Citigroup Commercial Mortgage Trust: | ||||
sequential payer Series 2005-EMG Class A2, 4.2211% 9/20/51 (a) | 985,000 | 965,260 | ||
Series 2004-C2 Class XP, 0.9464% 10/15/41 (a)(e)(g) | 9,228,024 | 314,910 | ||
Citigroup/Deutsche Bank Commercial Mortgage Trust Series 2006-CD3 Class X3, 0.4531% 10/15/48 (e)(g) | 64,865,000 | 1,578,451 | ||
COMM: | ||||
floater Series 2002-FL7: | ||||
Class D, 5.89% 11/15/14 (a)(e) | 118,857 | 119,147 | ||
Class H, 7.57% 11/15/14 (a)(e) | 1,232,000 | 1,234,595 | ||
Series 2004-LBN2 Class X2, 0.9783% 3/10/39 (a)(e)(g) | 3,105,566 | 80,337 | ||
Commercial Mortgage Acceptance Corp. Series 1998-C2 Class B, 6.2657% 9/15/30 (e) | 3,420,000 | 3,459,664 | ||
Commercial Mortgage Asset Trust sequential payer Series 1999-C1 Class A3, 6.64% 1/17/32 | 675,000 | 691,839 | ||
Commercial Mortgage pass thru certificates Series 2005-LP5 Class XP, 0.3889% 5/10/43 (e)(g) | 18,026,478 | 231,262 | ||
Credit Suisse Commercial Mortgage Trust Series 2006-C5 Class ASP, 0.6729% 12/15/39 (e)(g) | 49,120,000 | 1,758,747 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Credit Suisse First Boston Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 1999-C1 Class A2, 7.29% 9/15/41 | $ 2,875,435 | $ 2,985,496 | ||
Series 2004-C1 Class A2, 3.516% 1/15/37 | 3,035,000 | 2,964,071 | ||
Series 2001-CK6 Class AX, 0.645% 9/15/18 (g) | 17,833,897 | 492,636 | ||
Series 2003-C3 Class ASP, 1.7654% 5/15/38 (a)(e)(g) | 22,519,015 | 887,675 | ||
Series 2004-C1 Class ASP, 0.8775% 1/15/37 (a)(e)(g) | 15,583,964 | 389,412 | ||
Series 2005-C1 Class ASP, 0.3925% 2/15/38 (a)(e)(g) | 19,352,736 | 269,069 | ||
Series 2005-C2 Class ASP, 0.5715% 4/15/37 (a)(e)(g) | 15,490,446 | 356,376 | ||
Deutsche Mortgage & Asset Receiving Corp. sequential payer Series 1998-C1 Class D, 7.231% 6/15/31 | 975,000 | 991,077 | ||
DLJ Commercial Mortgage Corp. sequential payer Series 2000-CF1 Class A1B, 7.62% 6/10/33 | 1,765,175 | 1,877,577 | ||
First Union-Lehman Brothers Commercial Mortgage Trust sequential payer Series 1997-C2 Class A3, 6.65% 11/18/29 | 1,241,218 | 1,244,174 | ||
GE Capital Commercial Mortgage Corp. Series 2001-1 Class X1, 0.4401% 5/15/33 (a)(e)(g) | 10,768,837 | 341,270 | ||
GE Capital Mall Finance Corp. Series 1998-1A Class B2, 7.4977% 9/13/28 (a)(e) | 1,490,000 | 1,532,631 | ||
GE Commercial Mortgage Corp. sequential payer Series 2004-C3 Class A2, 4.433% 7/10/39 | 4,015,000 | 3,955,668 | ||
Global Signal Trust III Series 2006-1: | ||||
Class B, 5.588% 2/15/36 | 735,000 | 742,607 | ||
Class C, 5.707% 2/15/36 | 910,000 | 920,047 | ||
GMAC Commercial Mortgage Securities, Inc.: | ||||
sequential payer: | ||||
Series 1997-C2 Class A3, 6.566% 4/15/29 | 76,940 | 77,193 | ||
Series 2003-C2 Class A1, 4.576% 5/10/40 | 4,953,872 | 4,890,297 | ||
Series 2006-C1 Class XP, 4.975% 11/10/45 | 1,495,057 | 1,490,119 | ||
Series 2004-C3 Class X2, 0.6945% 12/10/41 (e)(g) | 12,260,264 | 265,034 | ||
Series 2006-C1 Class XP, 0.1652% 11/10/45 (e)(g) | 23,161,271 | 201,051 | ||
Greenwich Capital Commercial Funding Corp.: | ||||
Series 2002-C1 Class SWDB, 5.857% 11/11/19 (a) | 1,150,000 | 1,152,785 | ||
Series 2003-C2 Class XP, 1.0042% 1/5/36 (a)(e)(g) | 20,904,250 | 568,361 | ||
Series 2005-GG3 Class XP, 0.7928% 8/10/42 (a)(e)(g) | 55,282,712 | 1,461,642 | ||
GS Mortgage Securities Corp. II sequential payer Series 2003-C1 Class A2A, 3.59% 1/10/40 | 1,705,000 | 1,679,691 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Hilton Hotel Pool Trust: | ||||
sequential payer Series 2000-HLTA Class A1, 7.055% 10/3/15 (a) | $ 491,009 | $ 508,120 | ||
Series 2000-HLTA Class D, 7.555% 10/3/15 (a) | 1,275,000 | 1,353,861 | ||
Host Marriott Pool Trust sequential payer Series 1999-HMTA: | ||||
Class A, 6.98% 8/3/15 (a) | 323,488 | 330,094 | ||
Class B, 7.3% 8/3/15 (a) | 505,000 | 528,771 | ||
Class D, 7.97% 8/3/15 (a) | 425,000 | 450,331 | ||
JPMorgan Chase Commercial Mortgage Securities Corp.: | ||||
sequential payer: | ||||
Series 2001-C1 Class A2, 5.464% 10/12/35 | 1,536,671 | 1,537,493 | ||
Series 2006-LDP9 Class A1, 5.17% 5/15/47 (e) | 1,371,969 | 1,372,000 | ||
Series 2002-C3 Class X2, 1.166% 7/12/35 (a)(e)(g) | 5,544,885 | 147,052 | ||
Series 2003-CB7 Class X2, 0.7551% 1/12/38 (a)(e)(g) | 3,996,716 | 91,353 | ||
Series 2003-LN1 Class X2, 0.6605% 10/15/37 (a)(e)(g) | 24,240,862 | 465,061 | ||
Series 2004-C1 Class X2, 0.9921% 1/15/38 (a)(e)(g) | 3,685,663 | 113,117 | ||
Series 2004-CB8 Class X2, 1.1185% 1/12/39 (a)(e)(g) | 4,864,265 | 158,200 | ||
LB Commercial Conduit Mortgage Trust sequential payer: | ||||
Series 1998-C4 Class A1B, 6.21% 10/15/35 | 2,636,948 | 2,665,735 | ||
Series 1999-C1 Class A2, 6.78% 6/15/31 | 2,628,146 | 2,694,655 | ||
LB-UBS Commercial Mortgage Trust: | ||||
sequential payer: | ||||
Series 2003-C3 Class A2, 3.086% 5/15/27 | 1,465,000 | 1,429,411 | ||
Series 2006-C6 Class A1, 5.23% 9/15/39 | 820,787 | 823,987 | ||
Series 2007-C1 Class A1, 5.391% 2/15/40 (e) | 590,000 | 594,554 | ||
Series 2002-C4 Class XCP, 1.3976% 10/15/35 (a)(e)(g) | 11,093,503 | 360,944 | ||
Series 2002-C7 Class XCP, 0.8928% 1/15/36 (a)(e)(g) | 8,437,751 | 204,155 | ||
Series 2003-C1 Class XCP, 1.3426% 12/15/36 (a)(e)(g) | 6,459,319 | 172,542 | ||
Series 2004-C2 Class XCP, 1.4108% 3/1/36 (a)(g) | 10,840,783 | 316,614 | ||
Series 2004-C6 Class XCP, 0.6873% 8/15/36 (a)(e)(g) | 15,007,405 | 306,610 | ||
Series 2005-C7 Class XCP, 0.2119% 11/15/40 (e)(g) | 79,374,060 | 762,324 | ||
Series 2006-C1 Class XCP, 0.352% 2/15/41 (e)(g) | 62,000,694 | 1,060,392 | ||
Series 2006-C6 Class XCP, 0.6468% 9/15/39 (e)(g) | 28,335,000 | 941,671 | ||
Series 2007-C1 Class XCP, 0.4571% 2/15/40 (e)(g) | 11,025,000 | 283,076 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
LB-UBS Westfield Trust Series 2001-WM Class X, 0.5408% 7/14/16 (a)(e)(g) | $ 12,157,490 | $ 269,117 | ||
Lehman Brothers Floating Rate Commercial Mortgage Trust floater Series 2003-LLFA: | ||||
Class J, 7.37% 12/16/14 (a)(e) | 1,420,000 | 1,419,921 | ||
Class K1, 7.87% 12/16/14 (a)(e) | 730,000 | 729,817 | ||
Merrill Lynch Mortgage Trust: | ||||
Series 2002-MW1 Class XP, 1.5149% 7/12/34 (a)(e)(g) | 4,750,221 | 153,277 | ||
Series 2005-GGP1 Class H, 4.374% 11/15/10 (a) | 1,240,000 | 1,228,079 | ||
Series 2005-MCP1 Class XP, 0.5737% 6/12/43 (e)(g) | 15,013,525 | 390,047 | ||
Series 2005-MKB2 Class XP, 0.2805% 9/12/42 (e)(g) | 7,455,572 | 83,486 | ||
Morgan Stanley Capital I Trust: | ||||
Series 2006-T23 Class A1, 5.682% 8/12/41 | 735,811 | 747,360 | ||
Series 2007-HQ11 Class A1, 5.246% 2/20/44 (e) | 950,000 | 954,416 | ||
Morgan Stanley Capital I, Inc.: | ||||
sequential payer: | ||||
Series 1999-LIFE Class A1, 6.97% 4/15/33 | 252,571 | 255,749 | ||
Series 2003-IQ5: | ||||
Class A2, 4.09% 4/15/38 | 558,124 | 551,966 | ||
Class X2, 0.9235% 4/15/38 (a)(e)(g) | 7,944,238 | 224,881 | ||
Series 2003-IQ6 Class X2, 0.5914% 12/15/41 (a)(e)(g) | 14,519,522 | 329,833 | ||
Series 2005-HQ5 Class X2, 0.3499% 1/14/42 (e)(g) | 17,001,554 | 193,311 | ||
Series 2005-IQ9 Class X2, 1.0546% 7/15/56 (a)(e)(g) | 13,942,378 | 549,618 | ||
Series 2005-TOP17 Class X2, 0.6093% 12/13/41 (e)(g) | 10,636,920 | 283,831 | ||
Morgan Stanley Dean Witter Capital I Trust: | ||||
Series 2003-HQ2 Class X2, 1.3949% 3/12/35 (a)(e)(g) | 11,724,908 | 496,138 | ||
Series 2003-TOP9 Class X2, 1.5084% 11/13/36 (a)(e)(g) | 6,932,706 | 315,204 | ||
Mortgage Capital Funding, Inc. sequential pay Series 1998-MC2 Class A2, 6.423% 6/18/30 | 945,607 | 952,283 | ||
NationsLink Funding Corp. Series 1999-1 Class C, 6.571% 1/20/31 | 1,080,000 | 1,101,928 | ||
STRIPS III Ltd./STRIPS III Corp. floater Series 2004-1A Class A, 5.8% 3/24/18 (a)(e) | 932,280 | 934,028 | ||
TrizecHahn Office Properties Trust Series 2001-TZHA: | ||||
Class C3, 6.522% 3/15/13 (a) | 572,633 | 579,057 | ||
Class E3, 7.253% 3/15/13 (a) | 842,203 | 855,089 | ||
Commercial Mortgage Securities - continued | ||||
Principal Amount | Value | |||
Wachovia Bank Commercial Mortgage Trust: | ||||
floater Series 2005-WL6A: | ||||
Class A2, 5.57% 10/15/17 (a)(e) | $ 93,894 | $ 93,911 | ||
Class B, 5.62% 10/15/17 (a)(e) | 290,000 | 290,058 | ||
Class D, 5.75% 10/15/17 (a)(e) | 585,000 | 585,143 | ||
sequential payer Series 2003-C7 Class A1, 4.241% 10/15/35 (a) | 2,333,062 | 2,278,935 | ||
Series 2004-C14 Class PP, 5.3117% 8/15/41 (a)(e) | 1,562,613 | 1,509,822 | ||
Series 2005-C18 Class XP, 0.342% 4/15/42 (e)(g) | 22,305,147 | 330,275 | ||
Series 2006-C23 Class X, 0.0868% 1/15/45 (a)(e)(g) | 285,934,778 | 1,913,247 | ||
Series 2006-C24 Class XP, 0.1049% 3/15/45 (a)(e)(g) | 55,970,609 | 370,783 | ||
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $117,036,467) | 115,420,016 |
Fixed-Income Funds - 12.3% | |||
Shares | |||
Fidelity 1-3 Year Duration Securitized Bond Central Fund (f) | 172,040 | 17,155,806 | |
Fidelity Corporate Bond 1-5 Year Central Fund (f) | 256,376 | 25,837,565 | |
Fidelity Ultra-Short Central Fund (f) | 1,203,864 | 119,579,811 | |
TOTAL FIXED-INCOME FUNDS (Cost $162,373,178) | 162,573,182 | ||
Preferred Securities - 0.1% | |||
Principal Amount | |||
FINANCIALS - 0.1% | |||
Commercial Banks - 0.1% | |||
National Westminster Bank PLC 7.75% (e) (Cost $1,508,132) | $ 1,430,000 | 1,486,916 | |
Cash Equivalents - 2.4% | |||
Maturity Amount | Value | ||
Investments in repurchase agreements in a joint trading account at 5.34%, dated 2/28/07 due 3/1/07 (Collateralized by U.S. Government Obligations) # | $ 31,374,649 | $ 31,370,000 | |
TOTAL INVESTMENT PORTFOLIO - 103.7% (Cost $1,368,618,131) | 1,367,461,589 | ||
NET OTHER ASSETS - (3.7)% | (48,587,163) | ||
NET ASSETS - 100% | $ 1,318,874,426 |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Purchased | |||||
Eurodollar Contracts | |||||
148 Eurodollar 90 Day Index Contracts | March 2007 | $ 146,025,125 | $ (250,340) | ||
148 Eurodollar 90 Day Index Contracts | June 2007 | 146,079,700 | (209,942) | ||
148 Eurodollar 90 Day Index Contracts | Sept. 2007 | 146,148,150 | (11,492) | ||
148 Eurodollar 90 Day Index Contracts | Dec. 2007 | 146,205,500 | 80,108 | ||
148 Eurodollar 90 Day Index Contracts | March 2008 | 146,242,500 | 133,083 | ||
148 Eurodollar 90 Day Index Contracts | June 2008 | 146,257,300 | (13,133) | ||
148 Eurodollar 90 Day Index Contracts | Sept. 2008 | 146,264,700 | 26,383 | ||
97 Eurodollar 90 Day Index Contracts | Dec. 2008 | 95,862,675 | 16,912 | ||
TOTAL EURODOLLAR CONTRACTS | (228,421) | ||||
Futures Contracts - continued | |||||
Expiration Date | Underlying Face Amount at Value | Unrealized Appreciation/ | |||
Sold | |||||
Eurodollar Contracts | |||||
24 Eurodollar 90 Day Index Contracts | March 2009 | $ 23,717,700 | $ (7,121) | ||
15 Eurodollar 90 Day Index Contracts | June 2009 | 14,822,438 | (23,498) | ||
15 Eurodollar 90 Day Index Contracts | Sept. 2009 | 14,821,125 | (23,135) | ||
15 Eurodollar 90 Day Index Contracts | Dec. 2009 | 14,819,438 | (22,948) | ||
15 Eurodollar 90 Day Index Contracts | March 2010 | 14,818,313 | (22,373) | ||
14 Eurodollar 90 Day Index Contracts | June 2010 | 13,829,025 | (20,181) | ||
14 Eurodollar 90 Day Index Contracts | Sept. 2010 | 13,827,800 | (20,006) | ||
14 Eurodollar 90 Day Index Contracts | Dec. 2010 | 13,826,225 | (19,831) | ||
5 Eurodollar 90 Day Index Contracts | March 2011 | 4,937,750 | (7,020) | ||
TOTAL EURODOLLAR CONTRACTS | (166,113) | ||||
$ (394,534) | |||||
Swap Agreements | |||||
Notional Amount | Value | ||||
Credit Default Swaps | |||||
Receive monthly notional amount multiplied by 3.05% and pay Merrill Lynch upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8, Class B3, 8.45% 9/25/34 | Oct. 2034 | $ 400,000 | $ (22,690) | ||
Receive monthly notional amount multiplied by 3.3% and pay Morgan Stanley, Inc. upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R11, Class M9, 7.2253% 11/25/34 | Dec. 2034 | 405,000 | (25,554) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE7 Class B3, 8.85% 8/25/34 | Sept. 2034 | 362,000 | (10,607) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC7, Class B3, 8.85% 7/25/34 | August 2034 | $ 362,000 | $ (11,210) | ||
Receive monthly notional amount multiplied by 3.35% and pay Morgan Stanley, Inc. upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-HE8 Class B3, 7.3913% 9/25/34 | Oct. 2034 | 362,000 | (13,278) | ||
Receive monthly notional amount multiplied by .82% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC6 Class M3, 5.6413% 7/25/34 | August 2034 | 362,000 | (2,277) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Ameriquest Mortgage Securities, Inc., par value of the notional amount of Ameriquest Mortgage Securities, Inc. Series 2004-R9 Class M5, 5.5913% 10/25/34 | Nov. 2034 | 362,000 | (4,941) | ||
Receive monthly notional amount multiplied by .85% and pay UBS upon default event of Morgan Stanley ABS Capital I, Inc., par value of the notional amount of Morgan Stanley ABS Capital I, Inc. Series 2004-NC8 Class M6, 5.4413% 9/25/34 | Oct. 2034 | 362,000 | (4,071) | ||
Receive monthly notional amount multiplied by 1.6% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 330,000 | (13,268) | ||
Receive monthly notional amount multiplied by 1.66% and pay Morgan Stanley, Inc. upon default event of Park Place Securities, Inc., par value of the notional amount of Park Place Securities, Inc. Series 2005-WHQ2 Class M7, 5.4413% 5/25/35 | June 2035 | 362,000 | (14,066) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 1.9% and pay Morgan Stanley, Inc., upon default event of Morgan Stanley ABS Capital I, par value of the notional amount of Morgan Stanley ABS Capital I Series 2006-HE3 Class B3, 7.2225% 4/25/36 | May 2036 | $ 800,000 | $ (190,134) | ||
Receive monthly notional amount multiplied by 2.54% and pay Merrill Lynch upon default event of Countrywide Home Loans, Inc., par value of the notional amount of Countrywide Home Loans, Inc. Series 2003-BC1 Class B1, 7.6913% 3/25/32 | April 2032 | 37,132 | (282) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-1 Class M9, 7.3913% 2/25/34 | March 2034 | 144,316 | (3,445) | ||
Receive monthly notional amount multiplied by 2.61% and pay Goldman Sachs upon default event of Fremont Home Loan Trust, par value of the notional amount of Fremont Home Loan Trust Series 2004-A Class B3, 7.0413% 1/25/34 | Feb. 2034 | 80,170 | (1,029) | ||
Receive monthly notional amount multiplied by 2.79% and pay Merrill Lynch, Inc. upon default event of New Century Home Equity Loan Trust, par value of the notional amount of New Century Home Equity Loan Trust Series 2004-4 Class M9, 7.0788% 2/25/35 | March 2035 | 900,000 | (66,188) | ||
Receive monthly notional amount multiplied by 3.5% and pay Goldman Sachs upon default event of Merrill Lynch Mortgage Investors, Inc., par value of the notional amount of Merrill Lynch Mortgage Investors Trust, Inc. Series 2006 HE5 | Sept. 2037 | 2,500,000 | (380,858) | ||
Receive monthly notional amount multiplied by 3.6% and pay Goldman Sachs upon default event of Nomura Home Equity Loan, Inc., par value of the notional amount of Nomura Home Equity Loan, Inc. Series 2006-HE3 Class M9, 7.17% 7/25/36 | August 2036 | 2,500,000 | (342,900) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive monthly notional amount multiplied by 3.7% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust Series 2006-6 Class M9, 7.25% 7/25/36 | August 2036 | $ 2,500,000 | $ (392,079) | ||
Receive monthly notional amount multiplied by 3.8% and pay Goldman Sachs upon default event of Long Beach Mortgage Loan Trust, par value of the notional amount of Long Beach Mortgage Loan Trust 2006-8 Class M9, 7.17% 9/25/36 | Oct. 2036 | 2,500,000 | (404,147) | ||
Receive monthly notional amount multiplied by 5% and pay Deutsche Bank upon default event of MASTR Asset Backed Securities Trust, par value of the notional amount of MASTR Asset Backed Securities Trust Series 2003-NC1 Class M6, 8.1913% 4/25/33 | May 2033 | 362,000 | (2,218) | ||
Receive quarterly notional amount multiplied by .25% and pay Merrill Lynch, Inc. upon default event of Consolidated Natural Gas Co., par value of the notional amount of Consolidated Natural Gas Co. 6% 10/15/10 | July 2007 | 2,900,000 | 3,408 | ||
Receive quarterly notional amount multiplied by .25% and pay Merrill Lynch, Inc. upon default event of Consolidated Natural Gas Co., par value of the notional amount of Consolidated Natural Gas Co. 6% 10/15/10 | June 2007 | 1,000,000 | 1,197 | ||
Receive quarterly notional amount multiplied by .26% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess Corp. 6.65% 8/15/11 | March 2007 | 2,400,000 | 1,406 | ||
Receive quarterly notional amount multiplied by .28% and pay Morgan Stanley, Inc. upon default event of Amerada Hess Corp., par value of the notional amount of Amerada Hess Corp. 6.65% 8/15/11 | March 2007 | 3,000,000 | 1,760 | ||
Receive quarterly notional amount multiplied by .41% and pay Merrill Lynch, Inc. upon default event of Talisman Energy, Inc., par value of the notional amount of Talisman Energy, Inc. 7.25% 10/15/27 | March 2009 | 1,000,000 | 6,704 | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Credit Default Swaps - continued | |||||
Receive quarterly notional amount multiplied by .48% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Sept. 2008 | $ 2,675,000 | $ 8,995 | ||
Receive quarterly notional amount multiplied by .78% and pay Goldman Sachs upon default event of TXU Energy Co. LLC, par value of the notional amount of TXU Energy Co. LLC 7% 3/15/13 | Dec. 2008 | 2,600,000 | 23,475 | ||
Receive semi-annually notional amount multiplied by .42% and pay Credit Suisse First Boston upon default event of Russian Federation, par value of the notional amount of Russian Federation 5% 3/31/30 | June 2007 | 2,700,000 | 4,290 | ||
TOTAL CREDIT DEFAULT SWAPS | 34,267,618 | (1,854,007) | |||
Total Return Swaps | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 8 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | May 2007 | 8,280,000 | (6,646) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 9 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | April 2007 | 6,500,000 | (5,167) | ||
Swap Agreements - continued | |||||
Expiration Date | Notional Amount | Value | |||
Total Return Swaps - continued | |||||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | June 2007 | $ 12,800,000 | $ (10,075) | ||
Receive monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor plus 10 basis points and pay monthly notional amount multiplied by the nominal spread appreciation of the Lehman Brothers CMBS U.S. Aggregate Index adjusted by a modified duration factor with Lehman Brothers, Inc. | July 2007 | 3,900,000 | (2,487) | ||
Receive monthly a return equal to Lehman Brothers US ABS Floating Home Equity Index and pay monthly a floating rate based on the 1-month LIBOR plus 2 basis points with Lehman Brothers, Inc. | April 2007 | 6,500,000 | (1,117) | ||
TOTAL TOTAL RETURN SWAPS | 37,980,000 | (25,492) | |||
$ 72,247,618 | $ (1,879,499) |
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $153,061,985 or 11.6% of net assets. |
(b) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(c) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $1,272,445. |
(d) Security or a portion of the security has been segregated as collateral for open swap agreements. At the period end, the value of securities pledged amounted to $1,487,637. |
(e) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(f) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited list of holdings for each Fidelity Central Fund, as of the Investing Fund's report date, is available upon request or at advisor.fidelity.com. The reports are located just after the Investing Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, each Fidelity Central Fund's financial statements, which are not covered by the investing fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request. |
(g) 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 held as of the end of the period. |
(h) 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 $2,718,995 or 0.2% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost |
Iberbond 2004 PLC 4.826% 12/24/17 | 11/30/05 | $ 2,715,886 |
# Additional Information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$31,370,000 due 3/01/07 at 5.34% | |
ABN AMRO Bank N.V., New York Branch | $ 1,302,867 |
BNP Paribas Securities Corp. | 1,281,152 |
Banc of America Securities LLC | 2,902,361 |
Bank of America, NA | 4,342,889 |
Barclays Capital, Inc. | 7,643,485 |
Bear Stearns & Co., Inc. | 868,578 |
Citigroup Global Markets, Inc. | 868,578 |
Countrywide Securities Corp. | 4,342,889 |
Goldman, Sachs & Co. | 434,289 |
Societe Generale, New York Branch | 1,302,867 |
UBS Securities LLC | 6,080,045 |
$ 31,370,000 |
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 1-3 Year Duration Securitized Bond Central Fund | $ 335,939 |
Fidelity Corporate Bond 1-5 Year Central Fund | 425,250 |
Fidelity Ultra-Short Central Fund | 3,027,575 |
Total | $ 3,788,764 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, beginning of period | Purchases | Sales Proceeds | Value, end of period | % ownership, end of period |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | $ - | $ 17,207,335* | $ - | $ 17,155,806 | 0.7% |
Fidelity Corporate Bond 1-5 Year Central Fund | - | 25,637,592* | - | 25,837,565 | 2.0% |
Fidelity Ultra-Short Central Fund | 64,284,463 | 55,500,006 | - | 119,579,811 | 0.9% |
Total | $ 64,284,463 | $ 98,344,933 | $ - | $ 162,573,182 |
*Includes the value of shares received through in-kind contributions. See Note 6 of the Notes to Financial Statements. |
Income Tax Information |
At August 31, 2006, the fund had a capital loss carryforward of approximately $16,557,932 of which $1,754,056, $3,743,962, $6,438,298 and $4,621,616 will expire on August 31, 2007, 2008, 2013 and 2014, respectively. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
February 28, 2007 | ||
Assets | ||
Investment in securities, at value (including repurchase agreements of $31,370,000) - See accompanying schedule: Unaffiliated issuers (cost $1,206,244,953) | $ 1,204,888,407 | |
Fidelity Central Funds (cost $162,373,178) | 162,573,182 | |
Total Investments (cost $1,368,618,131) | $ 1,367,461,589 | |
Cash | 67,096 | |
Receivable for investments sold | 856,510 | |
Receivable for swap agreements | 45,608 | |
Receivable for fund shares sold | 3,717,695 | |
Interest receivable | 8,848,585 | |
Distributions receivable from Fidelity Central Funds | 691,832 | |
Prepaid expenses | 5,514 | |
Total assets | 1,381,694,429 | |
Liabilities | ||
Payable for investments purchased on a delayed delivery basis | $ 55,100,497 | |
Payable for fund shares redeemed | 4,205,254 | |
Distributions payable | 599,537 | |
Swap agreements, at value | 1,879,499 | |
Accrued management fee | 347,574 | |
Distribution fees payable | 245,578 | |
Payable for daily variation on futures contracts | 113,652 | |
Other affiliated payables | 277,860 | |
Other payables and accrued expenses | 50,552 | |
Total liabilities | 62,820,003 | |
Net Assets | $ 1,318,874,426 | |
Net Assets consist of: | ||
Paid in capital | $ 1,336,962,879 | |
Undistributed net investment income | 3,045,474 | |
Accumulated undistributed net realized gain (loss) on investments | (17,703,364) | |
Net unrealized appreciation (depreciation) on investments | (3,430,563) | |
Net Assets | $ 1,318,874,426 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
February 28, 2007 | ||
Calculation of Maximum Offering Price Class A: | $ 9.43 | |
Maximum offering price per share (100/98.50 of $9.43) | $ 9.57 | |
Class T: | $ 9.44 | |
Maximum offering price per share (100/98.50 of $9.44) | $ 9.58 | |
Class B: | $ 9.45 | |
Class C: | $ 9.44 | |
Institutional Class: | $ 9.44 |
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
Six months ended February 28, 2007 | ||
Investment Income | ||
Dividends | $ 134,425 | |
Interest | 29,134,352 | |
Income from Fidelity Central Funds | 3,788,764 | |
Total income | 33,057,541 | |
Expenses | ||
Management fee | $ 2,086,481 | |
Transfer agent fees | 1,443,323 | |
Distribution fees | 1,530,324 | |
Accounting and security lending fees | 235,316 | |
Custodian fees and expenses | 28,972 | |
Independent trustees' compensation | 2,213 | |
Registration fees | 54,664 | |
Audit | 42,985 | |
Legal | 6,478 | |
Miscellaneous | 4,951 | |
Total expenses before reductions | 5,435,707 | |
Expense reductions | (11,653) | 5,424,054 |
Net investment income | 27,633,487 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: | ||
Unaffiliated issuers | (1,264,805) | |
Futures contracts | (821,132) | |
Swap agreements | 211,427 | |
Capital gain distributions from Fidelity Central Funds | 16,854 | |
Total net realized gain (loss) | (1,857,656) | |
Change in net unrealized appreciation (depreciation) on: | ||
Investment securities: | ||
Unaffiliated issuers | 7,337,799 | |
Fidelity Central Funds | (56,213) | |
Futures contracts | 495,193 | |
Swap agreements | (1,981,862) | |
Total change in net unrealized appreciation (depreciation) | 5,794,917 | |
Net gain (loss) | 3,937,261 | |
Net increase (decrease) in net assets resulting from operations | $ 31,570,748 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Six months ended February 28, | Year ended* | Year ended | |
Increase (Decrease) in Net Assets | |||
Operations | |||
Net investment income | $ 27,633,487 | $ 42,146,588 | $ 36,619,084 |
Net realized gain (loss) | (1,857,656) | (4,606,426) | (3,684,213) |
Change in net unrealized appreciation (depreciation) | 5,794,917 | 4,981,529 | (23,367,389) |
Net increase (decrease) in net assets resulting from operations | 31,570,748 | 42,521,691 | 9,567,482 |
Distributions to shareholders from net investment income | (26,249,650) | (42,502,712) | (36,325,031) |
Distributions to shareholders from net realized gain | - | - | (1,086,013) |
Total distributions | (26,249,650) | (42,502,712) | (37,411,044) |
Share transactions - net increase (decrease) | 9,466,010 | 4,457,199 | 27,080,998 |
Total increase (decrease) in net assets | 14,787,108 | 4,476,178 | (762,564) |
Net Assets | |||
Beginning of period | 1,304,087,318 | 1,299,611,140 | 1,300,373,704 |
End of period (including undistributed net investment income of $3,045,474, $1,661,637, and $3,415,768, respectively) | $ 1,318,874,426 | $ 1,304,087,318 | $ 1,299,611,140 |
* The Fund changed its fiscal year end from October 31 to August 31, effective August 31, 2006. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended February 28, | Year ended August 31, | ||||||
2007 | 2006 H | 2005 K | 2004 K | 2003 K | 2002 K | 2001 K | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 | $ 9.45 | $ 9.50 | $ 9.13 |
Income from Investment Operations | |||||||
Net investment income E | .164 | .244 | .206 | .129 | .182 | .304 L | .448 |
Net realized and unrealized gain (loss) | .034 | .002 | (.204) | .048 | .118 | (.037) L | .383 |
Total from investment operations | .198 | .246 | .002 | .177 | .300 | .267 | .831 |
Distributions from net investment income | (.158) | (.246) | (.204) | (.117) | (.200) | (.317) | (.461) |
Distributions from net realized gain | - | - | (.008) | - | - | - | - |
Total distributions | (.158) | (.246) | (.212) | (.117) | (.200) | (.317) | (.461) |
Net asset value, end of period | $ 9.44 | $ 9.40 | $ 9.40 | $ 9.61 | $ 9.55 | $ 9.45 | $ 9.50 |
Total Return B, C, D | 2.07% | 2.65% | .02% | 1.86% | 3.19% | 2.90% | 9.30% |
Ratios to Average Net Assets F, I | |||||||
Expenses before reductions | 1.58% A | 1.58% A | 1.64% | 1.65% | 1.64% | 1.64% | 1.68% |
Expenses net of fee waivers, if any | 1.58% A | 1.58% A | 1.64% | 1.65% | 1.64% | 1.64% | 1.68% |
Expenses net of all reductions | 1.58% A | 1.57% A | 1.64% | 1.65% | 1.64% | 1.63% | 1.68% |
Net investment income | 3.51% A | 3.12% A | 2.16% | 1.34% | 1.91% | 3.25% L | 4.80% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 137,986 | $ 156,364 | $ 194,992 | $ 273,166 | $ 359,779 | $ 283,046 | $ 99,486 |
Portfolio turnover rate G | 85% A, J | 55% A | 94% | 87% | 102% | 111% | 145% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Total returns do not include the effect of the contingent deferred sales charge. E Calculated based on average shares outstanding during the period. F Fees and expenses of the 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. G Amount does not include the portfolio activity of any underlying Fidelity Central Funds. H For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. I Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. J Portfolio turnover rate excludes securities received or delivered in-kind. K For the period ended October 31. L Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended February 28, | Year ended August 31, | ||||||
2007 | 2006 G | 2005 J | 2004 J | 2003 J | 2002 J | 2001 J | |
Selected Per-Share Data | |||||||
Net asset value, beginning of period | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 | $ 9.50 | $ 9.13 |
Income from Investment Operations | |||||||
Net investment income D | .211 | .321 | .301 | .225 | .278 | .397 K | .540 |
Net realized and unrealized gain (loss) | .026 | .003 | (.194) | .038 | .119 | (.043) K | .387 |
Total from investment operations | .237 | .324 | .107 | .263 | .397 | .363 | .927 |
Distributions from net investment income | (.197) | (.324) | (.299) | (.213) | (.297) | (.413) | (.557) |
Distributions from net realized gain | - | - | (.008) | - | - | - | - |
Total distributions | (.197) | (.324) | (.307) | (.213) | (.297) | (.413) | (.557) |
Net asset value, end of period | $ 9.44 | $ 9.40 | $ 9.40 | $ 9.60 | $ 9.55 | $ 9.45 | $ 9.50 |
Total Return B, C | 2.59% | 3.51% | 1.14% | 2.78% | 4.24% | 3.95% | 10.43% |
Ratios to Average Net Assets E, H | |||||||
Expenses before reductions | .56% A | .57% A | .63% | .64% | .63% | .64% | .66% |
Expenses net of fee waivers, if any | .56% A | .57% A | .63% | .64% | .63% | .64% | .66% |
Expenses net of all reductions | .56% A | .57% A | .63% | .64% | .63% | .63% | .66% |
Net investment income | 4.53% A | 4.12% A | 3.18% | 2.35% | 2.92% | 4.25% K | 5.81% |
Supplemental Data | |||||||
Net assets, end of period (000 omitted) | $ 262,351 | $ 224,908 | $ 151,257 | $ 98,505 | $ 91,138 | $ 65,330 | $ 23,301 |
Portfolio turnover rate F | 85% A, I | 55% A | 94% | 87% | 102% | 111% | 145% |
A Annualized B Total returns for periods of less than one year are not annualized. C Total returns would have been lower had certain expenses not been reduced during the periods shown. D Calculated based on average shares outstanding during the period. E Fees and expenses of the underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds. F Amount does not include the portfolio activity of any underlying Fidelity Central Funds. G For the ten month period ended August 31. The Fund changed its fiscal year from October 31 to August 31, effective August 31, 2006. H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class. I Portfolio turnover rate excludes securities received or delivered in-kind. J For the period ended October 31. K Effective November 1, 2001, the Fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended February 28, 2007
1. Organization.
Fidelity Advisor Short Fixed-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 B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of four years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the Fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class. The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements.
2. Investments in Fidelity Central Funds.
The Fund may invest in Fidelity Central Funds which are open-end investment companies available only to other investment companies and accounts managed by Fidelity Management & Research Company (FMR) and its affiliates. The Fund's Schedule of Investments lists each of the Fidelity Central Funds 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. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or, for the Fixed-Income Central Funds, at advisor.fidelity.com. The reports are located just after the Fund's financial statements and quarterly reports but are not part of the financial statements or quarterly reports. In addition, the financial statements of the Fidelity Central Funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the EDGAR Database on the SEC's web site, www.sec.gov, or upon request.
Based on their 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
Semiannual Report
2. Investments in Fidelity Central Funds - continued
Central Funds and thus a decline in the value of the Fund. The following summarizes the Fund's investment in each Fidelity Central Fund.
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity 1-3 Year Duration Securitized Bond Central Fund | Fidelity Investment Money Management, Inc. (FIMM) | Seeks a high level of income by normally investing in investment-grade securitized debt securities and repurchase agreements for those securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Corporate Bond 1-5 Year Central Fund | FIMM | Seeks a high level of income by normally investing in investment-grade corporate bonds and other corporate debt securities and repurchase agreements for those securities. | Repurchase Agreements Restricted Securities Swap Agreements |
Fidelity Ultra-Short Central Fund | FIMM | Seeks to obtain a high level of current income consistent with preservation of capital by investing in U.S. dollar denominated money market and investment-grade debt securities. | Delayed Delivery & When Issued Securities Futures Repurchase Agreements Restricted Securities Swap Agreements |
3. Significant Accounting Policies.
The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued and net asset value per share is calculated (NAV calculation) as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Wherever possible, the Fund uses independent pricing services approved by the Board of Trustees to value its investments. Debt securities, including restricted securities, for which quotations are readily available, are valued by independent pricing services or by dealers who make markets in such securities. Pricing services consider yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices.
When current market prices or quotations are not readily available or do not accurately reflect fair value, valuations may be determined in accordance with procedures adopted
Semiannual Report
Notes to Financial Statements - continued
3. Significant Accounting Policies - continued
Security Valuation - continued
by the Board of Trustees. The frequency of when fair value pricing is used is unpredictable. The value of securities used for NAV calculation under fair value pricing may differ from published prices for the same securities. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued at amortized cost, which approximates value.
Investment Transactions and Income. 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 for processing shareholder transactions includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date. Interest income and income and capital gain distributions from the Fidelity Central Funds are accrued as earned, with any distributions receivable as of period end included in Distributions receivable from Fidelity Central Funds on the Statement of Assets and Liabilities. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each Fund in the trust. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements.
Dividends are declared daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Book-tax differences are primarily due to futures transactions, swap agreements, prior period premium and discount on debt securities, market discount, deferred trustees compensation, financing transactions, capital loss carryforwards, and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 5,997,014 | |
Unrealized depreciation | (5,938,669) | |
Net unrealized appreciation (depreciation) | $ 58,345 | |
Cost for federal income tax purposes | $ 1,367,716,571 |
New Accounting Pronouncements. In July 2006, Financial Accounting Standards Board Interpretation No. 48, Accounting for Uncertainty in Income Taxes - an interpretation of FASB Statement 109 (FIN 48), was issued and is effective on the last business day of the semiannual reporting period for fiscal years beginning after December 15, 2006. FIN 48 sets forth a threshold for financial statement recognition, measurement and disclosure of a tax position taken or expected to be taken on a tax return. Management is currently evaluating the impact, if any, the adoption of FIN 48 will have on the Fund's net assets, results of operations and financial statement disclosures.
In addition, in September 2006, Statement of Financial Accounting Standards No. 157, Fair Value Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15, 2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands disclosures about fair value measurements. Management is currently evaluating the impact the adoption of SFAS 157 will have on the Fund's financial statement disclosures.
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the Fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The Fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Upon settlement date, collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
Repurchase Agreements - continued
of the counterparty. The Fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Delayed Delivery Transactions and When-Issued Securities. The Fund may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. 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.
Futures Contracts. The Fund may use futures contracts to manage its exposure to the bond market and to fluctuations in interest rates. Buying futures tends to increase a fund's exposure to the underlying instrument, while selling futures tends to decrease a fund's exposure to the underlying instrument or hedge other fund investments. Upon entering into a futures contract, a fund is required to deposit with a clearing broker, no later than the following business day, an amount ("initial margin") equal to a certain percentage of the face value of the contract. The initial margin may be in the form of cash or securities and is transferred to a segregated account on settlement date. Subsequent payments ("variation margin") are made or received by a fund depending on the daily fluctuations in the value of the futures contract and are accounted for as unrealized gains or losses. Realized gains (losses) are recorded upon the expiration or closing of the futures contract. Securities deposited to meet margin requirements are identified in the Schedule of Investments. Futures contracts involve, to varying degrees, risk of loss in excess of any futures variation margin reflected in the Statement of Assets and Liabilities. The underlying face amount at value of any open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This
Semiannual Report
4. Operating Policies - continued
Futures Contracts - continued
amount reflects each contract's exposure to the underlying instrument at period end. Losses may arise from changes in the value of the underlying instruments or if the counterparties do not perform under the contract's terms. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
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.
Swap Agreements. The Fund may invest in swaps for the purpose of managing its exposure to interest rate, credit or market risk.
Total return swaps are agreements to exchange the return generated by one instrument or index for the return generated by another instrument, for example, the agreement to pay interest in exchange for a market-linked return based on a notional amount. To the extent the total return of the index exceeds the offsetting interest obligation, a fund will receive a payment from the counterparty. To the extent it is less, a fund will make a payment to the counterparty. Periodic payments received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Credit default swaps involve the exchange of a fixed rate premium for protection against the loss in value of an underlying debt instrument in the event of a defined credit event (such as payment default or bankruptcy). Under the terms of the swap, one party acts as a "guarantor" receiving a periodic payment that is a fixed percentage applied to a notional principal amount. In return the party agrees to purchase the notional amount of the underlying instrument, at par, if a credit event occurs during the term of the swap. The Fund may enter into credit default swaps in which either it or its counterparty act as guarantors. By acting as the guarantor of a swap, a fund assumes the market and credit risk of the underlying instrument including liquidity and loss of value. Periodic payments and premiums received or made by the Fund are recorded in the accompanying Statement of Operations as realized gains or losses, respectively.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or
Semiannual Report
Notes to Financial Statements - continued
4. Operating Policies - continued
Swap Agreements - continued
securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts. Risks may exceed amounts recognized on the Statement of Assets and Liabilities. These risks include changes in the returns of the underlying instruments, failure of the counterparties to perform under the contracts' terms and the possible lack of liquidity with respect to the swap agreements. Details of swap agreements open at period end are included in the Fund's Schedule of Investments under the caption "Swap Agreements."
5. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities, U.S. government securities and in-kind transactions, aggregated $169,467,496 and $130,011,741, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .20% of the Fund's average net assets and a group fee rate that averaged ..12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .32% of the Fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 284,458 | $ 7,233 |
Class T | 0% | .15% | 385,809 | 3,336 |
Class B | .65% | .25% | 127,415 | 92,305 |
Class C | .75% | .25% | 732,642 | 87,870 |
$ 1,530,324 | $ 190,744 |
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Sales Load. FDC receives a front-end sales charge of up to 1.50% for selling Class A and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. FDC receives the proceeds of a contingent deferred sales charges levied on Class A, Class T, Class B and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 3% to 1% for Class B, 1% for Class C, .75% to .50% 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 | $ 25,517 |
Class T | 20,519 |
Class B* | 18,862 |
Class C* | 6,963 |
$ 71,861 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales
are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. 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, the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 474,768 | .25 |
Class T | 567,235 | .22 |
Class B | 36,542 | .26 |
Class C | 144,217 | .20 |
Institutional Class | 220,561 | .18 |
$ 1,443,323 |
* Annualized
Semiannual Report
Notes to Financial Statements - continued
6. Fees and Other Transactions with Affiliates - continued
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the Fund's accounting records. The accounting fee is based on the level of average net assets for the 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.
Exchange-In-Kind. During the period, the Fund exchanged securities for shares of two newly created Fidelity Fixed-Income Central Funds, all of which are affiliated investment companies managed by FIMM, an affiliate of FMR. The Fund delivered securities to each Fixed-Income Central Fund in exchange for shares of each respective Fixed-Income Central Fund, as presented in the accompanying table. Each exchange is considered a non-taxable exchange for federal income tax purposes, with no gain or loss recognized by the Fund or its shareholders.
Fidelity Fixed-Income Central Fund | Value of | Unrealized | Shares of |
1-3 Year Duration Securitized Bond Central Fund | $ 13,005,677 | $ - | 130,057 |
Corporate Bond 1-5 Year | 25,637,592 | 56,555 | 256,376 |
Total | $ 38,643,269 | $ 56,555 | 386,433 |
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro rata portion of the line of credit, which amounted to $1,655 and is reflected in Miscellaneous Expense on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is
Semiannual Report
8. Security Lending - continued
delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Any cash collateral received is 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 fees and expenses associated with the loan, plus any premium payments that may be received on the loan of certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income Net income from lending portfolio securities during the period amounted to $4,682.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $6,709. During the period, credits reduced each class' transfer agent expense as noted in the table below.
Transfer Agent | ||
Class A | $ 1,995 | |
Institutional Class | 720 | |
$ 2,715 |
10. 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.
During the period, the Fund's transfer agent, Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of Fidelity Management & Research Company, notified the Fund that the fund's books and records did not reflect a conversion of certain Class B to Class A shares upon their conversion date. Management has determined that this did not have a material impact to the Fund's reported net assets or results of operations in the accompanying financial statements. In March 2007, FIIOC converted the relevant Class B shares to Class A shares and recorded the conversion in the books and
Semiannual Report
Notes to Financial Statements - continued
10. Other - continued
records of the Fund. FIIOC has reimbursed the Fund for related audit and legal expenses and is in the process of determining appropriate remediation to affected shareholder accounts.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
From net investment income | |||
Class A | $ 7,709,765 | $ 12,371,759 | $ 10,743,507 |
Class T | 10,524,069 | 18,159,068 | 15,909,371 |
Class B | 467,166 | 922,482 | 982,753 |
Class C | 2,387,844 | 4,436,853 | 4,841,882 |
Institutional Class | 5,160,806 | 6,612,550 | 3,847,518 |
Total | $ 26,249,650 | $ 42,502,712 | $ 36,325,031 |
From net realized gain | |||
Class A | $ - | $ - | $ 299,982 |
Class T | - | - | 436,716 |
Class B | - | - | 43,394 |
Class C | - | - | 219,150 |
Institutional Class | - | - | 86,771 |
Total | $ - | $ - | $ 1,086,013 |
12. Share Transactions.
Transactions for each class of shares were as follows:
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | 7,121,804 | 13,781,754 | 15,866,789 |
Reinvestment of distributions | 725,421 | 1,164,878 | 1,023,632 |
Shares redeemed | (7,736,305) | (14,130,761) | (14,827,970) |
Net increase (decrease) | 110,920 | 815,871 | 2,062,451 |
Class T | |||
Shares sold | 9,901,451 | 18,789,041 | 25,539,658 |
Reinvestment of distributions | 991,316 | 1,720,934 | 1,515,180 |
Shares redeemed | (11,165,711) | (23,681,399) | (22,986,919) |
Net increase (decrease) | (272,944) | (3,171,424) | 4,067,919 |
Semiannual Report
12. Share Transactions - continued
Shares | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class B | |||
Shares sold | 318,388 | 711,278 | 991,898 |
Reinvestment of distributions | 42,830 | 83,920 | 89,903 |
Shares redeemed | (1,047,844) | (1,700,424) | (2,482,456) |
Net increase (decrease) | (686,626) | (905,226) | (1,400,655) |
Class C | |||
Shares sold | 821,071 | 3,061,743 | 3,789,292 |
Reinvestment of distributions | 160,536 | 299,595 | 341,788 |
Shares redeemed | (2,996,190) | (7,473,257) | (11,828,809) |
Net increase (decrease) | (2,014,583) | (4,111,919) | (7,697,729) |
Institutional Class | |||
Shares sold | 6,234,061 | 11,831,199 | 9,882,466 |
Reinvestment of distributions | 438,311 | 578,334 | 310,507 |
Shares redeemed | (2,801,357) | (4,575,139) | (4,357,149) |
Net increase (decrease) | 3,871,015 | 7,834,394 | 5,835,824 |
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Class A | |||
Shares sold | $ 67,047,527 | $ 129,044,621 | $ 150,493,785 |
Reinvestment of distributions | 6,833,573 | 10,907,076 | 9,698,542 |
Shares redeemed | (72,819,558) | (132,254,551) | (140,591,886) |
Net increase (decrease) | $ 1,061,542 | $ 7,697,146 | $ 19,600,441 |
Class T | |||
Shares sold | $ 93,277,442 | $ 176,100,769 | $ 242,408,838 |
Reinvestment of distributions | 9,346,411 | 16,127,835 | 14,364,388 |
Shares redeemed | (105,219,662) | (221,798,081) | (218,160,605) |
Net increase (decrease) | $ (2,595,809) | $ (29,569,477) | $ 38,612,621 |
Class B | |||
Shares sold | $ 3,002,223 | $ 6,669,015 | $ 9,428,825 |
Reinvestment of distributions | 404,241 | 787,418 | 853,530 |
Shares redeemed | (9,883,554) | (15,948,229) | (23,589,493) |
Net increase (decrease) | $ (6,477,090) | $ (8,491,796) | $ (13,307,138) |
Class C | |||
Shares sold | $ 7,744,436 | $ 28,665,169 | $ 35,934,636 |
Reinvestment of distributions | 1,513,855 | 2,808,534 | 3,242,233 |
Shares redeemed | (28,241,317) | (70,075,282) | (112,353,549) |
Net increase (decrease) | $ (18,983,026) | $ (38,601,579) | $ (73,176,680) |
Semiannual Report
Notes to Financial Statements - continued
12. Share Transactions - continued
Dollars | |||
Six months ended February 28, 2007 | Ten months ended August 31, 2006 | Year ended | |
Institutional Class | |||
Shares sold | $ 58,725,212 | $ 110,869,017 | $ 93,788,947 |
Reinvestment of distributions | 4,132,525 | 5,418,576 | 2,942,021 |
Shares redeemed | (26,397,344) | (42,864,688) | (41,379,214) |
Net increase (decrease) | $ 36,460,393 | $ 73,422,905 | $ 55,351,754 |
Semiannual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Short Fixed-Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Short Fixed-Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments as of February 28, 2007, and the related statement of operations for the six months then ended, the statements of changes in net assets for the six months ended February 28, 2007, for the ten months ended August 31, 2006 and for the year ended October 31, 2005, and the financial highlights for the six months ended February 28, 2007, for the ten months ended August 31, 2006 and for each of the five years in the period ended October 31, 2005. These financial statements and financial highlights are the responsibility of the Fund's management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Fund is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of February 28, 2007, by correspondence with the custodians and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Short Fixed-Income Fund as of February 28, 2007, the results of its operations, the changes in its net assets and the financial highlights for each of the periods indicated above, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
April 16, 2007
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
Fidelity Research & Analysis Company
(formerly Fidelity Management &
Research (Far East) Inc.)
Fidelity Investments Japan Limited
Fidelity Investments Money
Management, Inc.
Fidelity International Investment Advisors
Fidelity International Investment Advisors
(U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
SFII-USAN-0407
1.784906.104
(Fidelity Investment logo)(registered trademark)
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. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the 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/Kimberley Monasterio |
| Kimberley Monasterio |
| President and Treasurer |
|
|
Date: | April 19, 2007 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Kimberley Monasterio |
| Kimberley Monasterio |
| President and Treasurer |
|
|
Date: | April 19, 2007 |
By: | /s/Joseph B. Hollis |
| Joseph B. Hollis |
| Chief Financial Officer |
|
|
Date: | April 19, 2007 |