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)
Scott C. Goebel, 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: | December 31 |
|
|
Date of reporting period: | December 31, 2010 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Class A, Class T, Class B
and Class C
Annual Report
December 31, 2010
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Managers' review of fundperformance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
The investment environment in 2010 was volatile but generally supportive of most major asset classes. Equities experienced the biggest gains, rallying in the second half of the period on incremental economic growth, supportive monetary policies, strong corporate profits and very little inflation. Still, questions remained about the longer-term outlook, most notably persistently high unemployment. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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 can be tax advantages and cost benefits to consider as well. 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 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 "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 by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
(The chairman's signature appears here.)
Abigail P. Johnson
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' distributions from dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow. Returns reflect the conversion of Class B shares to Class A shares after a maximum of seven years.
Average Annual Total Returns
Periods ended December 31, 2010 | Past 1 | Past 5 | Past 10 |
Class A (incl. 4.00% sales charge) | 5.10% | 6.88% | 8.06% |
Class T (incl. 4.00% sales charge) | 5.19% | 6.88% | 8.02% |
Class B (incl. contingent deferred sales charge) A | 3.77% | 6.66% | 7.94% |
Class C (incl. contingent deferred sales charge) B | 7.77% | 6.92% | 7.64% |
A Class B shares' contingent deferred sales charges included in the past one year, past five years and past ten years total return figures are 5%, 2% and 0%, respectively.
B Class C shares' contingent deferred sales charge included in the past one year, past five years and past ten years total return figures are 1%, 0% and 0%, respectively.
Annual Report
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Strategic Income Fund - Class A on December 31, 2000, and the current 4.00% sales charge was paid. The chart shows how the value of your investment would have changed, and also shows how The BofA Merrill LynchSM US High Yield Constrained Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: Fixed-income markets achieved solid gains for the year ending December 31, 2010, despite bouts of volatility in the world's still-fragile credit markets due to concern about European debt woes. With ultra-low interest rates bolstering nearly all fixed-income securities for most of the year, asset classes with higher yields and more credit risk generally fared better than high-quality bonds backed by the federal government. Accordingly, The BofA Merrill LynchSM US High Yield Constrained Index gained 15.07%, while the Barclays Capital® U.S. Government Bond Index rose 5.52%. Foreign bonds showed mixed results during the period, with a sizable disparity between the gains of major developed markets and emerging-markets fixed-income securities. Concerns about sovereign debt hampered not only European equities, but also fixed-income securities in that region, and the Citigroup® Non-U.S. Group of 7 Index - which measures the performance of sovereign debt of the major global economies outside the U.S. - returned only 3.97% for the year. Conversely, the rising overall credit quality of emerging-markets debt issuers provided support for this asset class, helping the JPMorgan Emerging Markets Bond Index Global (EMBI Global) advance 12.04%. Returns across the nearly 40 individual country components of the EMBI Global index were predominantly positive for the period.
Comments from Joanna Bewick and Christopher Sharpe, Lead Co-Managers of Fidelity Advisor® Strategic Income Fund: During the year, the fund's Class A, Class T, Class B and Class C shares rose 9.48%, 9.57%, 8.77% and 8.77%, respectively (excluding sales charges), falling short of the 10.10% return of the Fidelity Strategic Income Composite Index. Asset allocation and security selection each provided a meaningful contribution to overall results. From a subportfolio standpoint, the high-yield debt sleeve produced the largest absolute return, but fell just short of its index, nicking overall results. Adverse security selection in publishing/printing and holding some uninvested cash played a big role in the sleeve's marginal underperformance. Elsewhere, the U.S. government bond sub posted a mid-single-digit return, benefiting mostly from superior security selection among Treasuries. The fund's emerging-markets debt category produced a double-digit gain and was the biggest contributor to relative performance. A significant overweighting in Argentina proved rewarding here, as did larger-than-benchmark positions in Ukraine and Venezuela. The developed-markets debt sleeve delivered the smallest absolute result, but still outpaced its benchmark due to successful yield-curve positioning and credit exposure. Unfortunately, currency fluctuations slightly dampened returns in this category. Lastly, excess return from the floating-rate central fund further aided performance.
Comments from Joanna Bewick and Christopher Sharpe, Lead Co-Managers of Fidelity Advisor® Strategic Income Fund: During the year, the fund's Institutional Class shares rose 9.80%, roughly in line with the 10.10% return of the Fidelity Strategic Income Composite Index. Asset allocation and security selection each provided a meaningful contribution to overall results. From a subportfolio standpoint, the high-yield debt sleeve produced the largest absolute return, but fell just short of its index, nicking overall results. Adverse security selection in publishing/printing and holding some uninvested cash played a big role in the sleeve's marginal underperformance. Elsewhere, the U.S. government bond sub posted a mid-single-digit return, benefiting mostly from superior security selection among Treasuries. The fund's emerging-markets debt category produced a double-digit gain and was the biggest contributor to relative performance. A significant overweighting in Argentina proved rewarding here, as did larger-than-benchmark positions in Ukraine and Venezuela. The developed-markets debt sleeve delivered the smallest absolute result, but still outpaced its benchmark due to successful yield-curve positioning and credit exposure. Unfortunately, currency fluctuations slightly dampened returns in this category. Lastly, excess return from the floating-rate central fund further aided performance.
Annual Report
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2010 to December 31, 2010).
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.
Annual Report
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,065.60 | $ 5.10 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.27 | $ 4.99 |
Class T | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,066.40 | $ 5.10 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.27 | $ 4.99 |
Class B | 1.68% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,062.50 | $ 8.73 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.74 | $ 8.54 |
Class C | 1.72% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,062.60 | $ 8.94 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.53 | $ 8.74 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,067.80 | $ 3.96 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Top Five Holdings as of December 31, 2010 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 17.0 | 17.8 |
German Federal Republic | 3.6 | 2.0 |
Japan Government | 2.4 | 2.4 |
Canadian Government | 2.3 | 2.2 |
UK Treasury GILT | 2.1 | 1.9 |
| 27.4 | |
Top Five Market Sectors as of December 31, 2010 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 8.9 | 8.3 |
Telecommunication Services | 8.0 | 7.7 |
Financials | 7.6 | 7.2 |
Energy | 6.0 | 5.5 |
Industrials | 4.7 | 4.0 |
Quality Diversification (% of fund's net assets) | |||||||
As of December 31, 2010 | As of June 30, 2010 | ||||||
U.S. Government |
| U.S. Government |
| ||||
AAA,AA,A 13.9% |
| AAA,AA,A 12.6% |
| ||||
BBB 4.0% |
| BBB 3.8% |
| ||||
BB 15.2% |
| BB 13.1% |
| ||||
B 25.2% |
| B 22.4% |
| ||||
CCC,CC,C 7.9% |
| CCC,CC,C 9.1% |
| ||||
Not Rated 2.6% |
| Not Rated 4.8% |
| ||||
Equities 1.5% |
| Equities 1.2% |
| ||||
Short-Term |
| Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes.
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of December 31, 2010 * | As of June 30, 2010 ** | ||||||
Preferred Securities 0.2% |
| Preferred Securities 0.6% |
| ||||
Corporate Bonds 38.1% |
| Corporate Bonds 34.5% |
| ||||
U.S. Government |
| U.S. Government |
| ||||
Foreign Government & Government Agency Obligations 22.7% |
| Foreign Government & Government Agency Obligations 22.0% |
| ||||
Floating Rate Loans 7.6% |
| Floating Rate Loans 8.3% |
| ||||
Stocks 1.5% |
| Stocks 1.2% |
| ||||
Other Investments 0.2% |
| Other Investments 0.4% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 34.1% |
| ** Foreign investments | 33.4% |
| ||
* Swaps | (0.3%) |
| ** Swaps | (0.1%) |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes.
An unaudited holdings list for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com. |
Annual Report
Investments December 31, 2010
Showing Percentage of Net Assets
Corporate Bonds - 37.9% | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Convertible Bonds - 1.6% | ||||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.2% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 (f) | $ 11,836 | $ 22,810 | ||
Hotels, Restaurants & Leisure - 0.1% | ||||
MGM Mirage, Inc. 4.25% 4/15/15 (f) | 4,610 | 5,019 | ||
TOTAL CONSUMER DISCRETIONARY | 27,829 | |||
ENERGY - 0.8% | ||||
Energy Equipment & Services - 0.1% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,543 | ||
Oil, Gas & Consumable Fuels - 0.7% | ||||
Alpha Natural Resources, Inc. 2.375% 4/15/15 | 16,660 | 22,146 | ||
Chesapeake Energy Corp. 2.5% 5/15/37 | 16,670 | 14,871 | ||
Massey Energy Co. 3.25% 8/1/15 | 30,040 | 29,379 | ||
| 66,396 | |||
TOTAL ENERGY | 68,939 | |||
HEALTH CARE - 0.2% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
Kinetic Concepts, Inc. 3.25% 4/15/15 (f) | 14,400 | 15,191 | ||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Wireless Telecommunication Services - 0.3% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 28,672 | ||
TOTAL CONVERTIBLE BONDS | 140,631 | |||
Nonconvertible Bonds - 36.3% | ||||
CONSUMER DISCRETIONARY - 5.6% | ||||
Auto Components - 0.5% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 2,950 | 2,994 | ||
9% 11/30/14 (f) | 2,190 | 2,234 | ||
10.75% 8/15/16 (f) | 1,813 | 2,012 | ||
Cooper-Standard Automotive, Inc. 8.5% 5/1/18 (f) | 1,775 | 1,870 | ||
Lear Corp.: | ||||
7.875% 3/15/18 | 1,380 | 1,470 | ||
8.125% 3/15/20 | 1,530 | 1,660 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
RSC Equipment Rental, Inc. 10% 7/15/17 (f) | $ 2,610 | $ 2,969 | ||
Stoneridge, Inc. 9.5% 10/15/17 (f) | 2,330 | 2,505 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 (f) | 6,205 | 6,267 | ||
7.75% 8/15/18 (f) | 1,545 | 1,634 | ||
8.125% 11/15/15 | 1,185 | 1,256 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 4,795 | 5,466 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (f) | 5,143 | 5,483 | ||
TRW Automotive, Inc.: | ||||
7% 3/15/14 (f) | 335 | 358 | ||
7.25% 3/15/17 (f) | 240 | 259 | ||
8.875% 12/1/17 (f) | 1,550 | 1,732 | ||
| 40,169 | |||
Automobiles - 0.1% | ||||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 10,670 | 3,628 | ||
7.125% 7/15/13 (c) | 1,605 | 542 | ||
7.2% 1/15/11 (c) | 4,015 | 1,285 | ||
7.4% 9/1/25 (c) | 500 | 168 | ||
7.7% 4/15/16 (c) | 7,804 | 2,575 | ||
8.25% 7/15/23 (c) | 4,845 | 1,684 | ||
8.375% 7/15/33 (c) | 7,015 | 2,508 | ||
| 12,390 | |||
Distributors - 0.1% | ||||
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 (f) | 4,470 | 4,358 | ||
Diversified Consumer Services - 0.0% | ||||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 668 | ||
Hotels, Restaurants & Leisure - 1.6% | ||||
Blue Acquisition Sub, Inc. 9.875% 10/15/18 (f) | 6,600 | 6,963 | ||
DineEquity, Inc. 9.5% 10/30/18 (f) | 2,410 | 2,549 | ||
Dunkin Finance Corp. 9.625% 12/1/18 (f) | 2,390 | 2,414 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,605 | ||
Harrah's Escrow Corp. 12.75% 4/15/18 (f) | 7,620 | 7,811 | ||
Harrah's Operating Co., Inc. 11.25% 6/1/17 | 5,650 | 6,356 | ||
Landry's Restaurants, Inc.: | ||||
11.625% 12/1/15 | 1,385 | 1,461 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Landry's Restaurants, Inc.: - continued | ||||
11.625% 12/1/15 (f) | $ 1,000 | $ 1,055 | ||
MCE Finance Ltd. 10.25% 5/15/18 | 7,675 | 8,769 | ||
MGM Mirage, Inc.: | ||||
5.875% 2/27/14 | 3,890 | 3,579 | ||
6.625% 7/15/15 | 8,014 | 7,253 | ||
6.75% 4/1/13 | 3,430 | 3,327 | ||
6.875% 4/1/16 | 4,440 | 3,974 | ||
7.5% 6/1/16 | 3,955 | 3,629 | ||
7.625% 1/15/17 | 5,785 | 5,293 | ||
9% 3/15/20 (f) | 3,485 | 3,834 | ||
10.375% 5/15/14 | 1,535 | 1,723 | ||
11.125% 11/15/17 | 17,530 | 20,072 | ||
MGM Resorts International 10% 11/1/16 (f) | 9,210 | 9,302 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,333 | 1,441 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (f) | 2,745 | 2,882 | ||
NCL Corp. Ltd. 9.5% 11/15/18 (f) | 1,450 | 1,504 | ||
Roadhouse Financing, Inc. 10.75% 10/15/17 (f) | 5,275 | 5,684 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | 1,540 | 1,078 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,512 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (c) | 9,620 | 1 | ||
6.5% 2/1/14 (c) | 11,643 | 29 | ||
6.625% 3/15/18 (c) | 11,970 | 30 | ||
6.875% 3/1/16 (c) | 12,803 | 32 | ||
7.75% 8/15/16 (c) | 14,415 | 1 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 3,328 | 3,295 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 | 3,030 | 3,219 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (c) | 575 | 271 | ||
12.75% 1/15/13 (c) | 1,070 | 1 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | 996 | 543 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 | 18,025 | 19,197 | ||
| 146,689 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.3% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | $ 3,020 | $ 3,413 | ||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,075 | ||
K. Hovnanian Enterprises, Inc. 10.625% 10/15/16 | 6,165 | 6,350 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 6,915 | 7,261 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA: | ||||
7.125% 4/15/19 (f) | 2,845 | 2,902 | ||
9% 4/15/19 (f) | 3,260 | 3,342 | ||
Sealy Mattress Co. 10.875% 4/15/16 (f) | 1,508 | 1,704 | ||
| 28,047 | |||
Leisure Equipment & Products - 0.1% | ||||
Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18 (f) | 7,710 | 8,250 | ||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,644 | ||
| 9,894 | |||
Media - 2.3% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 8,060 | 8,584 | ||
Bresnan Broadband Holdings LLC 8% 12/15/18 (f) | 2,255 | 2,317 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 6,485 | 6,842 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 6,489 | 7,738 | ||
Checkout Holding Corp. 0% 11/15/15 (f) | 3,310 | 2,031 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 2,600 | 2,002 | ||
5.5% 9/15/14 | 2,000 | 1,660 | ||
5.5% 12/15/16 | 1,890 | 1,229 | ||
6.25% 3/15/11 | 175 | 175 | ||
6.875% 6/15/18 | 1,275 | 794 | ||
10.75% 8/1/16 | 21,845 | 19,442 | ||
11% 8/1/16 pay-in-kind (j) | 4,736 | 4,120 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
Series A, 9.25% 12/15/17 | 1,490 | 1,620 | ||
Series B, 9.25% 12/15/17 | 13,145 | 14,394 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 33,535 | 34,541 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f) | 12,615 | 13,246 | ||
Gray Television, Inc. 10.5% 6/29/15 | 1,985 | 2,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Interpublic Group of Companies, Inc. 10% 7/15/17 | $ 2,530 | $ 2,941 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,372 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 | 845 | 932 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (f) | 850 | 731 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 | 2,830 | 3,219 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
7.75% 10/15/18 (f) | 7,365 | 7,604 | ||
11.5% 5/1/16 | 4,920 | 5,646 | ||
11.625% 2/1/14 | 2,535 | 2,909 | ||
Rainbow National Services LLC: | ||||
8.75% 9/1/12 (f) | 3,280 | 3,280 | ||
10.375% 9/1/14 (f) | 9,075 | 9,370 | ||
Sinclair Television Group, Inc. 8.375% 10/15/18 (f) | 3,550 | 3,657 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 635 | ||
The Reader's Digest Association, Inc. 9.5% 2/15/17 (f)(j) | 6,000 | 5,955 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (f) | 11,490 | 11,835 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 16,875 | 18,478 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 557 | ||
| 206,856 | |||
Multiline Retail - 0.1% | ||||
Sears Holdings Corp. 6.625% 10/15/18 (f) | 9,800 | 9,188 | ||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 (f) | 1,455 | 1,499 | ||
Claire's Stores, Inc.: | ||||
9.25% 6/1/15 | 1,235 | 1,192 | ||
10.375% 6/1/15 pay-in-kind (j) | 2,170 | 2,118 | ||
Michaels Stores, Inc. 7.75% 11/1/18 (f) | 14,235 | 14,164 | ||
Sonic Automotive, Inc. 9% 3/15/18 | 9,150 | 9,585 | ||
| 28,558 | |||
Textiles, Apparel & Luxury Goods - 0.2% | ||||
American Achievement Corp. 10.875% 4/15/16 (f) | 2,985 | 3,075 | ||
Hanesbrands, Inc. 6.375% 12/15/20 (f) | 7,350 | 6,964 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Textiles, Apparel & Luxury Goods - continued | ||||
Levi Strauss & Co.: | ||||
7.625% 5/15/20 | $ 9,350 | $ 9,631 | ||
8.875% 4/1/16 | 1,650 | 1,731 | ||
| 21,401 | |||
TOTAL CONSUMER DISCRETIONARY | 508,218 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev SA NV 4% 4/26/18 | EUR | 2,500 | 3,372 | |
Carlsberg Breweries A/S 3.375% 10/13/17 | EUR | 2,000 | 2,573 | |
Cerveceria Nacional Dominicana C por A: | ||||
8% 3/27/14 (Reg. S) | 780 | 803 | ||
16% 3/27/12 | 150 | 133 | ||
16% 3/27/12 (f) | 5,372 | 4,768 | ||
| 11,649 | |||
Food & Staples Retailing - 0.2% | ||||
Rite Aid Corp.: | ||||
8% 8/15/20 | 7,350 | 7,644 | ||
9.5% 6/15/17 | 1,085 | 914 | ||
9.75% 6/12/16 | 3,670 | 4,046 | ||
10.25% 10/15/19 | 1,835 | 1,904 | ||
Simmons Foods, Inc. 10.5% 11/1/17 (f) | 2,845 | 3,009 | ||
| 17,517 | |||
Food Products - 0.4% | ||||
Bumble Bee Acquisition Corp. 9% 12/15/17 (f) | 3,750 | 3,891 | ||
Darling International, Inc. 8.5% 12/15/18 (f) | 1,130 | 1,177 | ||
Dean Foods Co. 9.75% 12/15/18 (f) | 7,250 | 7,304 | ||
Harbinger Group, Inc. 10.625% 11/15/15 (f) | 2,645 | 2,638 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 (c) | 370 | 4 | ||
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 | 5,200 | 5,999 | ||
Michael Foods Group, Inc. 9.75% 7/15/18 (f) | 1,885 | 2,045 | ||
Pilgrims Pride Corp. 7.875% 12/15/18 (f) | 6,345 | 6,305 | ||
Smithfield Foods, Inc. 10% 7/15/14 (f) | 5,540 | 6,371 | ||
| 35,734 | |||
Personal Products - 0.1% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 475 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Personal Products - continued | ||||
NBTY, Inc. 9% 10/1/18 (f) | $ 5,005 | $ 5,305 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 | 3,875 | 4,117 | ||
| 9,897 | |||
TOTAL CONSUMER STAPLES | 74,797 | |||
ENERGY - 5.2% | ||||
Energy Equipment & Services - 0.2% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,619 | ||
Frac Tech Services LLLC/Frac Tech Finance, Inc. 7.125% 11/15/18 (f) | 2,210 | 2,243 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | 3,970 | 4,109 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,581 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,245 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (f) | 1,615 | 1,635 | ||
| 17,432 | |||
Oil, Gas & Consumable Fuels - 5.0% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 4,515 | 4,950 | ||
Arch Coal, Inc. 7.25% 10/1/20 | 1,670 | 1,741 | ||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 | 4,090 | 4,995 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 9,697 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 (f) | 32,370 | 30,671 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 3,047 | ||
10.25% 6/1/14 | 2,220 | 2,547 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 (f) | 2,340 | 2,410 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,498 | 4,577 | ||
9.875% 10/1/20 (f) | 1,845 | 1,946 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 13,550 | 13,516 | ||
6.875% 11/15/20 | 12,030 | 12,180 | ||
7.25% 12/15/18 | 1,970 | 2,024 | ||
9.5% 2/15/15 | 5,630 | 6,348 | ||
Concho Resources, Inc. 7% 1/15/21 | 2,855 | 2,926 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (f) | 4,560 | 4,583 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | $ 6,470 | $ 6,858 | ||
8.25% 4/1/20 (f) | 6,645 | 7,110 | ||
Continental Resources, Inc.: | ||||
7.125% 4/1/21 (f) | 2,540 | 2,642 | ||
8.25% 10/1/19 | 885 | 982 | ||
Crosstex Energy/Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,166 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,226 | ||
9.75% 3/1/16 | 1,660 | 1,849 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 7,335 | 7,555 | ||
9% 10/15/14 (f) | 8,730 | 9,276 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 3,235 | 3,340 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 10,567 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 (f) | 12,735 | 13,244 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 502 | ||
International Coal Group, Inc. 9.125% 4/1/18 | 3,690 | 4,004 | ||
InterNorth, Inc. 9.625% 3/16/06 (c) | 935 | 0 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (f) | 3,335 | 3,285 | ||
7% 5/5/20 (f) | 3,100 | 3,209 | ||
8.375% 7/2/13 (f) | 3,355 | 3,674 | ||
9.125% 7/2/18 (f) | 3,975 | 4,631 | ||
11.75% 1/23/15 (f) | 4,880 | 6,051 | ||
LINN Energy LLC: | ||||
7.75% 2/1/21 (f) | 17,760 | 18,204 | ||
8.625% 4/15/20 (f) | 14,060 | 15,150 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp. 6.75% 11/1/20 | 1,880 | 1,880 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 2,830 | 3,088 | ||
Nakilat, Inc. 6.267% 12/31/33 (Reg. S) | 1,728 | 1,797 | ||
Newfield Exploration Co. 6.875% 2/1/20 | 12,875 | 13,454 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 10.5% 12/1/17 (f) | 4,575 | 4,724 | ||
Pacific Rubiales Energy Corp. 8.75% 11/10/16 | 3,000 | 3,368 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 2,045 | 2,168 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 6,246 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Pemex Project Funding Master Trust 6.625% 6/15/35 | $ 4,245 | $ 4,266 | ||
Petrobras International Finance Co. Ltd.: | ||||
6.875% 1/20/40 | 3,175 | 3,302 | ||
8.375% 12/10/18 | 1,635 | 1,989 | ||
Petrohawk Energy Corp. 7.875% 6/1/15 | 22,900 | 23,845 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 6,550 | 4,061 | ||
5.25% 4/12/17 | 10,385 | 5,868 | ||
5.375% 4/12/27 | 41,035 | 19,389 | ||
5.5% 4/12/37 | 7,220 | 3,339 | ||
Petroleos de Venezuela SA 144: | ||||
8% 11/17/13 (f) | 2,530 | 2,078 | ||
8.5% 11/2/17 (f) | 9,790 | 6,584 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 | 3,200 | 3,248 | ||
6% 3/5/20 | 2,990 | 3,177 | ||
6.625% (f) | 8,755 | 8,711 | ||
8% 5/3/19 | 2,695 | 3,234 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 3,886 | 3,867 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,917 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 9,093 | ||
Plains Exploration & Production Co. 10% 3/1/16 | 10,150 | 11,267 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,852 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,493 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 | 3,565 | 3,850 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,576 | ||
Southwestern Energy Co. 7.5% 2/1/18 | 2,460 | 2,764 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 | 4,265 | 4,883 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 4,023 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 582 | ||
7.5% 4/1/17 | 7,600 | 8,737 | ||
7.625% 4/1/37 | 1,035 | 1,152 | ||
8.375% 6/15/32 | 1,155 | 1,359 | ||
TNK-BP Finance SA 7.5% 7/18/16 | 3,490 | 3,861 | ||
Venoco, Inc. 11.5% 10/1/17 | 5,185 | 5,535 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
W&T Offshore, Inc. 8.25% 6/15/14 (f) | $ 5,300 | $ 5,247 | ||
YPF SA 10% 11/2/28 | 4,285 | 4,928 | ||
| 459,485 | |||
TOTAL ENERGY | 476,917 | |||
FINANCIALS - 6.7% | ||||
Capital Markets - 0.2% | ||||
Bank Nederlandse Gemeenten NV 2.5% 11/15/17 | EUR | 5,000 | 6,415 | |
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | 5,755 | 6,079 | ||
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 1,130 | 1,813 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | 3,580 | 3,276 | ||
| 17,583 | |||
Commercial Banks - 2.3% | ||||
African Export-Import Bank 8.75% 11/13/14 | 4,020 | 4,502 | ||
Akbank T. A. S. 5.125% 7/22/15 (f) | 4,605 | 4,645 | ||
Ally Financial, Inc.: | ||||
7.5% 9/15/20 (f) | 19,185 | 20,144 | ||
8% 3/15/20 | 25,720 | 27,649 | ||
Banco Bilbao Vizcaya Argentaria SA 3.5% 7/26/13 | EUR | 2,300 | 3,033 | |
Banco Bradesco SA 5.9% 1/16/21 (f) | 2,270 | 2,273 | ||
Banco de Credito del Peru 5.375% 9/16/20 (f) | 2,055 | 2,017 | ||
Banco do Nordeste do Brasil SA 3.625% 11/9/15 (f) | 1,965 | 1,916 | ||
BanColombia SA 6.125% 7/26/20 | 2,000 | 2,040 | ||
Barclays Bank PLC 14.9359% 3/18/13 (f)(j) | 4,245 | 4,244 | ||
BNP Paribas Public Sector SCF 2.25% 10/22/15 | EUR | 5,200 | 6,748 | |
CIT Group, Inc.: | ||||
7% 5/1/13 | 1,854 | 1,888 | ||
7% 5/1/14 | 2,780 | 2,801 | ||
7% 5/1/15 | 2,780 | 2,787 | ||
7% 5/1/16 | 13,914 | 13,914 | ||
7% 5/1/17 | 29,888 | 29,850 | ||
Development Bank of Kazakhstan JSC 5.5% 12/20/15 (f) | 1,940 | 1,947 | ||
Development Bank of Philippines 8.375% (j) | 6,440 | 7,116 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 21,735 | 22,034 | ||
Export-Import Bank of India 0.6825% 6/7/12 (j) | JPY | 170,000 | 2,049 | |
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
HSBK (Europe) BV: | ||||
7.25% 5/3/17 (f) | $ 2,050 | $ 2,071 | ||
9.25% 10/16/13 (f) | 8,170 | 8,885 | ||
Intesa Sanpaolo SpA 3.75% 11/23/16 | EUR | 1,850 | 2,398 | |
Itau Unibanco Holding SA 5.75% 1/22/21 (f) | 2,055 | 2,050 | ||
Kazkommerts International BV 8.5% 4/16/13 (f) | 3,380 | 3,270 | ||
Nordea Bank Finland PLC 2.25% 11/16/15 | EUR | 5,250 | 6,853 | |
RSHB Capital SA 9% 6/11/14 (f) | 1,535 | 1,729 | ||
SNS Bank NV 3.5% 9/28/20 | EUR | 1,600 | 2,035 | |
The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 3,725 | 3,576 | ||
Trade & Development Bank of Mong LLC 8.5% 10/25/13 | 1,965 | 2,004 | ||
US Bank NA 4.375% 2/28/17 (j) | EUR | 1,600 | 2,094 | |
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 2,935 | 3,210 | ||
Wells Fargo & Co. 7.98% (j) | 2,035 | 2,152 | ||
| 205,924 | |||
Consumer Finance - 1.6% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (f) | 1,420 | 1,250 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 9,820 | 10,286 | ||
7.5% 8/1/12 | 9,230 | 9,807 | ||
12% 5/15/15 | 12,770 | 15,899 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 11,870 | 12,374 | ||
8% 11/1/31 | 7,330 | 7,841 | ||
GMAC LLC: | ||||
6% 4/1/11 | 1,435 | 1,437 | ||
6.75% 12/1/14 | 4,285 | 4,478 | ||
8% 11/1/31 | 81,013 | 86,279 | ||
| 149,651 | |||
Diversified Financial Services - 2.2% | ||||
Azovstal Capital BV 9.125% 2/28/11 | 1,705 | 1,709 | ||
Bank of America Corp.: | ||||
4% 3/28/18 (j) | EUR | 1,450 | 1,736 | |
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Bank of America Corp.: - continued | ||||
8% (j) | $ 5,365 | $ 5,365 | ||
8.125% (j) | 7,380 | 7,417 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 2,060 | 2,060 | ||
BG Energy Capital PLC 5.125% 12/1/25 | GBP | 2,950 | 4,578 | |
BP Capital Markets PLC 3.83% 10/6/17 | EUR | 5,500 | 7,354 | |
Broadgate PLC 1.5348% 10/5/25 (j) | GBP | 535 | 701 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
7.875% 4/30/18 | 2,920 | 3,015 | ||
8.125% 4/30/20 | 6,955 | 7,372 | ||
CDW LLC/CDW Finance Corp. 8% 12/15/18 (f) | 5,405 | 5,513 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 9,815 | 10,895 | ||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 231 | 404 | |
8.151% 12/31/30 | GBP | 475 | 900 | |
FireKeepers Development Authority 13.875% 5/1/15 (f) | 1,600 | 1,892 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 1,688 | 1,684 | ||
Greene King Finance PLC Series A1, 1.1294% 6/15/31 (j) | GBP | 1,000 | 1,217 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (f) | 4,195 | 4,321 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 17,475 | 17,562 | ||
7.75% 1/15/16 (f) | 4,570 | 4,593 | ||
8% 1/15/18 | 24,247 | 24,368 | ||
8% 1/15/18 (f) | 4,570 | 4,593 | ||
Imperial Tobacco Finance 7.75% 6/24/19 | GBP | 1,200 | 2,230 | |
International Lease Finance Corp. 5.625% 9/20/13 | 6,845 | 6,879 | ||
Landrys Holdings, Inc. 11.5% 6/1/14 (f) | 3,230 | 3,165 | ||
LBI Escrow Corp. 8% 11/1/17 (f) | 6,515 | 7,199 | ||
Myriad International Holding BV 6.375% 7/28/17 (f) | 3,345 | 3,529 | ||
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 1,704 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 (f) | 8,495 | 9,090 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 3,140 | 3,297 | ||
TMK Capital SA 10% 7/29/11 | 6,300 | 6,502 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 4,285 | 4,863 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
UPC Germany GmbH 8.125% 12/1/17 (f) | $ 7,210 | $ 7,607 | ||
Vnesheconombank Via VEB Finance Ltd. 6.8% 11/22/25 (f) | 2,365 | 2,347 | ||
WaMu Covered Bond Program 3.875% 9/27/11 | EUR | 1,090 | 1,476 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(j) | 15,245 | 16,650 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (f) | 3,525 | 3,525 | ||
| 199,312 | |||
Insurance - 0.1% | ||||
American International Group, Inc.: | ||||
5.45% 5/18/17 | 4,290 | 4,344 | ||
5.85% 1/16/18 | 1,505 | 1,552 | ||
CNO Financial Group, Inc. 9% 1/15/18 (f) | 2,935 | 3,008 | ||
USI Holdings Corp. 4.1606% 11/15/14 (f)(j) | 920 | 805 | ||
| 9,709 | |||
Real Estate Investment Trusts - 0.1% | ||||
Omega Healthcare Investors, Inc.: | ||||
6.75% 10/15/22 (f) | 8,390 | 8,264 | ||
7.5% 2/15/20 | 4,860 | 5,103 | ||
| 13,367 | |||
Real Estate Management & Development - 0.2% | ||||
CB Richard Ellis Services, Inc.: | ||||
6.625% 10/15/20 (f) | 5,565 | 5,509 | ||
11.625% 6/15/17 | 6,420 | 7,447 | ||
Realogy Corp.: | ||||
11.5% 4/15/17 (f) | 2,315 | 2,338 | ||
12% 4/15/17 (e)(f) | 2,748 | 2,803 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 | 845 | 908 | ||
Ventas Realty LP 6.5% 6/1/16 | 980 | 1,019 | ||
| 20,024 | |||
TOTAL FINANCIALS | 615,570 | |||
HEALTH CARE - 2.3% | ||||
Health Care Providers & Services - 1.7% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 | 7,720 | 8,396 | ||
Capella Healthcare, Inc. 9.25% 7/1/17 (f) | 3,465 | 3,682 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
CRC Health Group, Inc. 10.75% 2/1/16 | $ 1,880 | $ 1,885 | ||
DaVita, Inc.: | ||||
6.375% 11/1/18 | 4,475 | 4,386 | ||
6.625% 11/1/20 | 3,875 | 3,807 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 6,224 | ||
HCA Holdings, Inc. 7.75% 5/15/21 (f) | 30,445 | 30,445 | ||
HCA, Inc.: | ||||
5.75% 3/15/14 | 3,377 | 3,301 | ||
6.25% 2/15/13 | 1,755 | 1,790 | ||
6.375% 1/15/15 | 1,125 | 1,108 | ||
6.5% 2/15/16 | 4,220 | 4,115 | ||
6.75% 7/15/13 | 1,750 | 1,798 | ||
7.25% 9/15/20 | 23,835 | 24,610 | ||
9.125% 11/15/14 | 7,020 | 7,353 | ||
9.25% 11/15/16 | 17,055 | 18,249 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 7,913 | ||
InVentiv Health, Inc. 10% 8/15/18 (f) | 905 | 896 | ||
LifePoint Hospitals, Inc. 6.625% 10/1/20 (f) | 4,045 | 4,015 | ||
Quintiles Transnational Holdings, Inc. 9.5% 12/30/14 (f) | 4,910 | 5,033 | ||
ResCare, Inc. 10.75% 1/15/19 (f) | 2,735 | 2,800 | ||
Rhoen-Klinikum AG 3.875% 3/11/16 | EUR | 1,400 | 1,874 | |
Rotech Healthcare, Inc. 10.75% 10/15/15 (f) | 4,075 | 4,218 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 (f) | 1,200 | 1,236 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,752 | ||
UHS Escrow Corp. 7% 10/1/18 (f) | 1,020 | 1,048 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 920 | ||
| 154,854 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (f) | 10,355 | 10,459 | ||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,794 | ||
Pharmaceuticals - 0.5% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 | 5,775 | 5,833 | ||
Leiner Health Products, Inc. 11% 6/1/12 (c) | 1,885 | 94 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Mylan, Inc.: | ||||
6% 11/15/18 (f) | $ 10,955 | $ 10,723 | ||
7.625% 7/15/17 (f) | 3,900 | 4,124 | ||
7.875% 7/15/20 (f) | 7,040 | 7,568 | ||
Valeant Pharmaceuticals International 6.875% 12/1/18 (f) | 15,705 | 15,548 | ||
| 43,890 | |||
TOTAL HEALTH CARE | 210,997 | |||
INDUSTRIALS - 3.4% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 608 | ||
12% 11/1/14 pay-in-kind | 1,447 | 1,457 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 | 2,915 | 3,330 | ||
GeoEye, Inc. 9.625% 10/1/15 | 1,030 | 1,164 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,397 | ||
| 8,956 | |||
Air Freight & Logistics - 0.0% | ||||
Air Medical Group Holdings, Inc. 9.25% 11/1/18 (f) | 3,295 | 3,460 | ||
Airlines - 0.7% | ||||
Air Canada 9.25% 8/1/15 (f) | 7,170 | 7,529 | ||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 4,470 | 5,230 | ||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | 5,873 | 6,930 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 805 | 805 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 4,925 | 5,479 | ||
Delta Air Lines, Inc. 9.5% 9/15/14 (f) | 1,374 | 1,496 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 9,056 | 9,735 | ||
8.021% 8/10/22 | 4,222 | 4,391 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 0 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | 1,365 | 0 | ||
8.875% 6/1/06 (a) | 1,355 | 0 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | $ 2,184 | $ 2,293 | ||
8.028% 11/1/17 | 764 | 756 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 2,140 | 2,306 | ||
12% 11/1/13 (f) | 3,415 | 3,765 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 8,094 | 9,329 | ||
| 60,044 | |||
Building Products - 0.1% | ||||
Nortek, Inc. 11% 12/1/13 | 11,672 | 12,314 | ||
Commercial Services & Supplies - 1.0% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 595 | 669 | ||
American Reprographics Co. 10.5% 12/15/16 (f) | 4,570 | 4,776 | ||
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | 680 | 855 | ||
Casella Waste Systems, Inc. 11% 7/15/14 | 1,510 | 1,657 | ||
Cenveo Corp. 10.5% 8/15/16 (f) | 2,795 | 2,746 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,008 | ||
EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (f) | 3,525 | 3,846 | ||
Garda World Security Corp. 9.75% 3/15/17 (f) | 2,260 | 2,424 | ||
International Lease Finance Corp.: | ||||
6.75% 9/1/16 (f) | 4,580 | 4,798 | ||
7.125% 9/1/18 (f) | 9,160 | 9,618 | ||
8.25% 12/15/20 | 8,235 | 8,400 | ||
8.625% 9/15/15 (f) | 7,985 | 8,464 | ||
8.75% 3/15/17 (f) | 11,970 | 12,718 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,996 | ||
7.75% 1/15/15 | 2,645 | 2,652 | ||
The Geo Group, Inc. 7.75% 10/15/17 | 2,845 | 2,987 | ||
United Rentals North America, Inc. 8.375% 9/15/20 | 6,995 | 7,152 | ||
| 89,766 | |||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 1,830 | 1,940 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 7.125% 4/1/17 | $ 680 | $ 700 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 914 | ||
| 1,614 | |||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 11,050 | 11,879 | ||
13.5% 12/1/15 pay-in-kind (f) | 4,393 | 4,833 | ||
| 16,712 | |||
Machinery - 0.3% | ||||
Accuride Corp. 9.5% 8/1/18 (f) | 650 | 705 | ||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,374 | ||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,189 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 2,040 | ||
Navistar International Corp. 8.25% 11/1/21 | 9,025 | 9,747 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,829 | ||
| 21,884 | |||
Marine - 0.3% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 (f) | 2,585 | 2,617 | ||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 | 10,830 | 11,561 | ||
9.5% 12/15/14 | 5,215 | 5,424 | ||
SCF Capital Ltd. 5.375% 10/27/17 (f) | 1,885 | 1,845 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 2,060 | ||
| 23,507 | |||
Road & Rail - 0.4% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
8.25% 1/15/19 (f) | 10,035 | 10,110 | ||
9.625% 3/15/18 | 2,465 | 2,638 | ||
Georgian Railway Ltd. 9.875% 7/22/15 | 1,850 | 1,989 | ||
Kansas City Southern de Mexico, SA de CV: | ||||
6.625% 12/15/20 (f) | 2,020 | 2,020 | ||
7.375% 6/1/14 | 1,670 | 1,741 | ||
12.5% 4/1/16 | 7,075 | 8,667 | ||
Swift Services Holdings, Inc. 10% 11/15/18 (f) | 7,890 | 8,206 | ||
Western Express, Inc. 12.5% 4/15/15 (f) | 3,185 | 2,819 | ||
| 38,190 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.2% | ||||
Aircastle Ltd. 9.75% 8/1/18 | $ 9,000 | $ 9,878 | ||
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (j) | 10,578 | 11,107 | ||
| 20,985 | |||
Transportation Infrastructure - 0.1% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) | 2,140 | 2,236 | ||
Trico Shipping AS 11.875% 11/1/14 (c)(f) | 9,180 | 7,436 | ||
| 9,672 | |||
TOTAL INDUSTRIALS | 309,044 | |||
INFORMATION TECHNOLOGY - 1.3% | ||||
Communications Equipment - 0.4% | ||||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 | 1,135 | 1,180 | ||
6.875% 1/15/20 | 2,095 | 2,231 | ||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,487 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 15,840 | ||
6.5% 1/15/28 | 6,570 | 5,223 | ||
ViaSat, Inc. 8.875% 9/15/16 | 1,335 | 1,422 | ||
| 32,383 | |||
Computers & Peripherals - 0.1% | ||||
Seagate HDD Cayman 7.75% 12/15/18 (f) | 9,070 | 9,115 | ||
Electronic Equipment & Components - 0.1% | ||||
Atkore International, Inc. 9.875% 1/1/18 (f) | 2,155 | 2,236 | ||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 | 4,625 | 4,741 | ||
13.25% 11/1/15 | 3,266 | 2,792 | ||
| 9,769 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 8,548 | ||
IT Services - 0.3% | ||||
Ceridian Corp. 11.25% 11/15/15 | 4,145 | 4,041 | ||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 (f) | 2,935 | 3,089 | ||
7.875% 7/15/20 (f) | 3,910 | 4,145 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - continued | ||||
SunGard Data Systems, Inc. 7.375% 11/15/18 (f) | $ 4,435 | $ 4,391 | ||
Telcordia Technologies, Inc. 11% 5/1/18 (f) | 6,855 | 6,924 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 3,030 | 3,363 | ||
12.75% 10/15/14 (f) | 437 | 520 | ||
14.25% 9/15/15 (f) | 350 | 424 | ||
| 26,897 | |||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Advanced Micro Devices, Inc.: | ||||
7.75% 8/1/20 (f) | 1,640 | 1,702 | ||
8.125% 12/15/17 | 3,470 | 3,665 | ||
Amkor Technology, Inc. 7.375% 5/1/18 | 3,485 | 3,581 | ||
Freescale Semiconductor, Inc. 10.75% 8/1/20 (f) | 3,485 | 3,729 | ||
NXP BV/NXP Funding LLC 9.75% 8/1/18 (f) | 10,905 | 12,241 | ||
Spansion LLC 11.25% 1/15/16 (c)(f) | 4,255 | 1,159 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 4,000 | 4,470 | ||
| 30,547 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (f) | 870 | 600 | ||
TOTAL INFORMATION TECHNOLOGY | 117,859 | |||
MATERIALS - 2.7% | ||||
Chemicals - 0.7% | ||||
Air Liquide SA 2.908% 10/12/18 | EUR | 850 | 1,086 | |
Ashland, Inc. 9.125% 6/1/17 | 2,490 | 2,851 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 3,300 | 3,383 | ||
Ferro Corp. 7.875% 8/15/18 | 4,325 | 4,585 | ||
Georgia Gulf Corp. 9% 1/15/17 (f) | 10,825 | 11,637 | ||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 9% 11/15/20 (f) | 220 | 232 | ||
Ineos Finance PLC 9% 5/15/15 (f) | 2,655 | 2,821 | ||
MacDermid, Inc. 9.5% 4/15/17 (f) | 500 | 533 | ||
Momentive Performance Materials, Inc. 9% 1/15/21 (f) | 835 | 864 | ||
Nalco Co. 6.625% 1/15/19 (f) | 6,310 | 6,484 | ||
NOVA Chemicals Corp.: | ||||
3.5678% 11/15/13 (j) | 1,690 | 1,660 | ||
6.5% 1/15/12 | 5,775 | 5,963 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
OMNOVA Solutions, Inc. 7.875% 11/1/18 (f) | $ 1,105 | $ 1,113 | ||
OXEA Finance & Cy SCA 9.5% 7/15/17 (f) | 3,735 | 4,024 | ||
PolyOne Corp. 7.375% 9/15/20 | 1,845 | 1,905 | ||
Solutia, Inc.: | ||||
7.875% 3/15/20 | 2,180 | 2,344 | ||
8.75% 11/1/17 | 1,100 | 1,194 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,648 | ||
TPC Group LLC 8.25% 10/1/17 (f) | 2,195 | 2,294 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (c) | 3,430 | 5,377 | ||
| 61,998 | |||
Construction Materials - 0.0% | ||||
Headwaters, Inc. 11.375% 11/1/14 | 1,025 | 1,121 | ||
Roofing Supply Group LLC/Roofing Supply Finance, Inc. 8.625% 12/1/17 (f) | 1,220 | 1,266 | ||
| 2,387 | |||
Containers & Packaging - 0.5% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 638 | ||
Ardagh Packaging Finance PLC: | ||||
7.375% 10/15/17 (f) | 1,190 | 1,220 | ||
9.125% 10/15/20 (f) | 4,205 | 4,405 | ||
Berry Plastics Corp.: | ||||
8.25% 11/15/15 | 4,610 | 4,806 | ||
9.75% 1/15/21 (f) | 11,885 | 11,766 | ||
Berry Plastics Holding Corp. 4.1766% 9/15/14 (j) | 640 | 586 | ||
BWAY Parent Co., Inc. 10.875% 11/1/15 pay-in-kind (f)(j) | 3,680 | 3,680 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 9,722 | ||
7.5% 12/15/96 | 3,685 | 2,948 | ||
Jefferson Smurfit Corp. U.S. 8.25% 10/1/12 (c) | 1,170 | 0 | ||
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (c) | 5,845 | 0 | ||
| 39,771 | |||
Metals & Mining - 1.1% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (f) | 33 | 156 | ||
9% 12/15/14 pay-in-kind (c)(j) | 2,790 | 13 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Alrosa Finance SA 7.75% 11/3/20 (f) | $ 2,685 | $ 2,819 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 3,240 | 3,499 | ||
Edgen Murray Corp. 12.25% 1/15/15 | 8,545 | 7,477 | ||
Evraz Group SA: | ||||
8.25% 11/10/15 (f) | 1,970 | 2,098 | ||
8.875% 4/24/13 (f) | 6,450 | 6,950 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6.375% 2/1/16 (f) | 7,260 | 7,314 | ||
6.875% 2/1/18 (f) | 7,260 | 7,242 | ||
7% 11/1/15 (f) | 9,155 | 9,453 | ||
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/1/17 | 17,310 | 19,214 | ||
Gerdau Trade, Inc. 5.75% 1/30/21 (f) | 2,080 | 2,080 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (f) | 8,725 | 8,234 | ||
Metinvest BV 10.25% 5/20/15 (f) | 3,270 | 3,466 | ||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (f) | 3,435 | 3,572 | ||
RathGibson, Inc. 11.25% 2/15/14 (c) | 5,845 | 41 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 7,005 | 7,390 | ||
Southern Copper Corp. 6.75% 4/16/40 | 4,625 | 4,833 | ||
Steel Capital SA 6.7% 10/25/17 (f) | 2,100 | 2,069 | ||
Teck Resources Ltd. 10.25% 5/15/16 | 3,342 | 4,136 | ||
| 102,056 | |||
Paper & Forest Products - 0.4% | ||||
ABI Escrow Corp. 10.25% 10/15/18 (f) | 18,850 | 20,475 | ||
Clearwater Paper Corp. 7.125% 11/1/18 (f) | 1,225 | 1,262 | ||
Georgia-Pacific LLC 5.4% 11/1/20 (f) | 6,505 | 6,383 | ||
Glatfelter 7.125% 5/1/16 | 550 | 567 | ||
NewPage Corp.: | ||||
6.5369% 5/1/12 (j) | 1,770 | 1,020 | ||
11.375% 12/31/14 | 4,775 | 4,417 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,894 | ||
Stone Container Corp. 8.375% 7/1/12 (c) | 3,005 | 0 | ||
| 36,018 | |||
TOTAL MATERIALS | 242,230 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - 7.0% | ||||
Diversified Telecommunication Services - 4.6% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | $ 4,520 | $ 5,175 | ||
Citizens Communications Co.: | ||||
7.125% 3/15/19 | 2,730 | 2,805 | ||
7.875% 1/15/27 | 4,895 | 4,748 | ||
9% 8/15/31 | 3,655 | 3,756 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f) | 12,857 | 13,886 | ||
Frontier Communications Corp.: | ||||
8.25% 4/15/17 | 7,925 | 8,777 | ||
8.5% 4/15/20 | 16,285 | 17,832 | ||
8.75% 4/15/22 | 10,450 | 11,391 | ||
Global Crossing Ltd. 12% 9/15/15 | 10,305 | 11,619 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (f) | 2,010 | 2,216 | ||
Intelsat Bermuda Ltd.: | ||||
11.25% 2/4/17 | 31,406 | 34,154 | ||
12% 2/4/17 pay-in-kind (j) | 29,105 | 31,313 | ||
Intelsat Corp.: | ||||
9.25% 8/15/14 | 5,215 | 5,371 | ||
9.25% 6/15/16 | 8,820 | 9,526 | ||
Intelsat Ltd. 11.25% 6/15/16 | 27,785 | 29,869 | ||
Qwest Communications International, Inc.: | ||||
Series B 7.5% 2/15/14 | 1,655 | 1,676 | ||
7.125% 4/1/18 (f) | 6,665 | 6,882 | ||
7.5% 2/15/14 | 7,555 | 7,649 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 85,800 | 75,075 | ||
6.9% 5/1/19 | 15,450 | 15,257 | ||
8.75% 3/15/32 | 73,236 | 73,968 | ||
Telemar Norte Leste SA 5.5% 10/23/20 (f) | 1,970 | 1,911 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,491 | ||
7.25% 9/15/25 | 535 | 567 | ||
7.25% 10/15/35 | 1,455 | 1,470 | ||
7.5% 6/15/23 | 460 | 458 | ||
Wind Acquisition Finance SA: | ||||
7.25% 2/15/18 (f) | 4,780 | 4,816 | ||
11.75% 7/15/17 (f) | 34,975 | 39,085 | ||
| 423,743 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 2.4% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (f) | $ 4,260 | $ 4,601 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (f) | 2,390 | 2,462 | ||
8.875% 1/15/15 (f) | 23,300 | 23,622 | ||
9.125% 1/15/15 pay-in-kind (f)(j) | 14,920 | 15,126 | ||
10.5% 4/15/18 (f) | 30,980 | 34,078 | ||
12% 4/1/14 (f) | 9,725 | 11,378 | ||
Intelsat Jackson Holdings Ltd.: | ||||
8.5% 11/1/19 (f) | 4,220 | 4,537 | ||
9.5% 6/15/16 | 19,260 | 20,319 | ||
11.5% 6/15/16 | 8,740 | 9,417 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 | 12,125 | 12,458 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 3,306 | 3,480 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 4,255 | 4,808 | ||
NII Capital Corp. 10% 8/15/16 | 16,435 | 18,202 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 10,790 | 10,143 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 12,184 | 12,184 | ||
Sprint Nextel Corp. 6% 12/1/16 | 19,623 | 18,961 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) | 4,675 | 4,792 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 6,120 | 6,610 | ||
| 217,178 | |||
TOTAL TELECOMMUNICATION SERVICES | 640,921 | |||
UTILITIES - 1.3% | ||||
Electric Utilities - 0.4% | ||||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 2,355 | 2,744 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) | 1,285 | 1,391 | ||
Intergen NV 9% 6/30/17 (f) | 17,825 | 18,895 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 5,885 | 6,797 | ||
7.75% 1/20/20 (f) | 3,370 | 3,876 | ||
8% 8/7/19 (f) | 2,455 | 2,848 | ||
National Power Corp. 6.875% 11/2/16 (f) | 2,265 | 2,605 | ||
| 39,156 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | $ 1,685 | $ 1,752 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 7,079 | ||
8% 3/1/32 | 3,550 | 4,067 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 (f) | 2,435 | 2,429 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 4,645 | 4,668 | ||
| 19,995 | |||
Independent Power Producers & Energy Traders - 0.7% | ||||
Energy Future Holdings Corp.: | ||||
10% 1/15/20 (f) | 8,880 | 9,102 | ||
10.875% 11/1/17 | 15,253 | 10,677 | ||
12% 11/1/17 pay-in-kind (j) | 5,789 | 3,413 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc. 10% 12/1/20 | 29,263 | 29,995 | ||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (c) | 2,500 | 0 | ||
6.4% 7/15/06 (c) | 9,815 | 0 | ||
6.625% 11/15/05 (c) | 2,200 | 0 | ||
6.725% 11/17/08 (c)(j) | 684 | 0 | ||
6.75% 8/1/09 (c) | 550 | 0 | ||
6.875% 10/15/07 (c) | 1,330 | 0 | ||
6.95% 7/15/28 (c) | 1,204 | 0 | ||
7.125% 5/15/07 (c) | 235 | 0 | ||
7.375% 5/15/19 (c) | 1,400 | 0 | ||
7.875% 6/15/03 (c) | 235 | 0 | ||
9.125% 4/1/03 (c) | 50 | 0 | ||
9.875% 6/5/03 (c) | 4,720 | 0 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 2,795 | 3,284 | ||
7.39% 12/2/24 (f) | 2,880 | 3,391 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (f) | 937 | 997 | ||
| 60,859 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - 0.0% | ||||
Aquila, Inc. 11.875% 7/1/12 (j) | $ 1,615 | $ 1,832 | ||
Utilicorp United, Inc. 7.95% 2/1/11 (e) | 39 | 39 | ||
| 1,871 | |||
TOTAL UTILITIES | 121,881 | |||
TOTAL NONCONVERTIBLE BONDS | 3,318,434 | |||
TOTAL CORPORATE BONDS (Cost $3,236,803) | 3,459,065 | |||
U.S. Government and Government Agency Obligations - 21.4% | ||||
| ||||
U.S. Government Agency Obligations - 2.2% | ||||
Fannie Mae: | ||||
0.375% 12/28/12 | 9,070 | 9,012 | ||
0.75% 12/18/13 | 14,084 | 13,927 | ||
1% 9/23/13 | 4,595 | 4,588 | ||
1.125% 7/30/12 | 2,151 | 2,170 | ||
1.25% 8/20/13 | 5,560 | 5,596 | ||
Federal Home Loan Bank: | ||||
0.875% 8/22/12 | 4,890 | 4,914 | ||
0.875% 12/27/13 | 775 | 768 | ||
1.5% 1/16/13 | 15,290 | 15,533 | ||
1.875% 6/21/13 | 36,440 | 37,289 | ||
Freddie Mac: | ||||
0.375% 11/30/12 | 1,683 | 1,673 | ||
0.625% 12/28/12 | 81,380 | 81,232 | ||
4.125% 12/21/12 | 4,080 | 4,349 | ||
4.5% 1/15/14 | 2,625 | 2,886 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 11,210 | 12,868 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,670 | ||
5.685% 5/15/12 | 1,285 | 1,376 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Government Agency Obligations - continued | ||||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | $ 328 | $ 348 | ||
Tennessee Valley Authority 5.25% 9/15/39 | 5,600 | 5,920 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 206,119 | |||
U.S. Treasury Inflation Protected Obligations - 0.7% | ||||
U.S. Treasury Inflation-Indexed Notes 0.5% 4/15/15 | 66,909 | 68,471 | ||
U.S. Treasury Obligations - 16.3% | ||||
U.S. Treasury Bonds: | ||||
3.5% 2/15/39 | 62,582 | 53,928 | ||
3.875% 8/15/40 | 95,884 | 88,318 | ||
4.25% 11/15/40 | 5,000 | 4,919 | ||
5.25% 2/15/29 | 31,710 | 36,367 | ||
6.125% 8/15/29 | 9,487 | 12,000 | ||
6.25% 8/15/23 | 36,125 | 45,405 | ||
7.5% 11/15/16 | 2,850 | 3,663 | ||
7.5% 11/15/24 | 10,690 | 14,978 | ||
7.625% 2/15/25 | 11,000 | 15,599 | ||
7.875% 2/15/21 | 6,800 | 9,486 | ||
8% 11/15/21 | 11,000 | 15,558 | ||
8.125% 5/15/21 | 9,286 | 13,182 | ||
9.875% 11/15/15 | 11,595 | 15,903 | ||
U.S. Treasury Notes: | ||||
0.375% 9/30/12 | 61,808 | 61,661 | ||
0.75% 12/15/13 | 77,086 | 76,538 | ||
1.25% 8/31/15 | 15,400 | 14,978 | ||
1.25% 10/31/15 | 24,400 | 23,615 | ||
1.375% 2/15/13 | 30,123 | 30,577 | ||
1.375% 11/30/15 | 25,000 | 24,295 | ||
1.5% 12/31/13 | 4,313 | 4,375 | ||
1.75% 4/15/13 | 36,755 | 37,599 | ||
1.875% 4/30/14 | 28,912 | 29,569 | ||
1.875% 6/30/15 | 17,707 | 17,778 | ||
1.875% 8/31/17 | 7,700 | 7,350 | ||
1.875% 9/30/17 | 5,400 | 5,142 | ||
1.875% 10/31/17 | 41,900 | 39,831 | ||
2.125% 5/31/15 | 20,082 | 20,402 | ||
2.375% 8/31/14 | 13,000 | 13,467 | ||
2.375% 9/30/14 | 8,471 | 8,774 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.375% 10/31/14 | $ 49,620 | $ 51,361 | ||
2.375% 7/31/17 | 20,000 | 19,738 | ||
2.5% 3/31/15 | 58,749 | 60,810 | ||
2.5% 4/30/15 | 50,268 | 51,968 | ||
2.625% 7/31/14 | 66,965 | 70,036 | ||
2.625% 4/30/16 | 3,137 | 3,211 | ||
2.625% 8/15/20 | 18,750 | 17,776 | ||
2.625% 11/15/20 | 41,870 | 39,495 | ||
2.75% 11/30/16 | 10,000 | 10,207 | ||
2.75% 2/15/19 | 23,501 | 23,198 | ||
3% 9/30/16 | 37,355 | 38,741 | ||
3% 2/28/17 | 66,584 | 68,665 | ||
3.125% 8/31/13 | 11,100 | 11,776 | ||
3.125% 9/30/13 | 34,572 | 36,676 | ||
3.125% 10/31/16 | 41,816 | 43,619 | ||
3.125% 1/31/17 | 30,990 | 32,201 | ||
3.125% 5/15/19 | 52,907 | 53,465 | ||
3.375% 6/30/13 | 8,470 | 9,019 | ||
3.625% 8/15/19 | 5,731 | 5,987 | ||
3.75% 11/15/18 | 34,582 | 36,784 | ||
3.875% 5/15/18 | 2,550 | 2,744 | ||
4% 8/15/18 | 5,478 | 5,936 | ||
4.25% 11/15/17 | 28,890 | 31,849 | ||
4.5% 5/15/17 | 13,745 | 15,379 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,485,898 | |||
Other Government Related - 2.2% | ||||
Bank of America Corp.: | ||||
2.1% 4/30/12 (FDIC Guaranteed) (g) | 3,013 | 3,076 | ||
3.125% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
Citibank NA: | ||||
1.75% 12/28/12 (FDIC Guaranteed) (g) | 15,000 | 15,304 | ||
1.875% 5/7/12 (FDIC Guaranteed) (g) | 18,000 | 18,307 | ||
Citigroup Funding, Inc.: | ||||
1.875% 10/22/12 (FDIC Guaranteed) (g) | 29,000 | 29,581 | ||
1.875% 11/15/12 (FDIC Guaranteed) (g) | 6,937 | 7,077 | ||
2% 3/30/12 (FDIC Guaranteed) (g) | 10,000 | 10,163 | ||
2.125% 7/12/12 (FDIC Guaranteed) (g) | 2,505 | 2,562 | ||
General Electric Capital Corp.: | ||||
2% 9/28/12 (FDIC Guaranteed) (g) | 19,526 | 19,945 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Other Government Related - continued | ||||
General Electric Capital Corp.: - continued | ||||
2.125% 12/21/12 (FDIC Guaranteed) (g) | $ 15,000 | $ 15,412 | ||
2.625% 12/28/12 (FDIC Guaranteed) (g) | 5,402 | 5,603 | ||
3% 12/9/11 (FDIC Guaranteed) (g) | 3,120 | 3,195 | ||
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (g) | 21,000 | 21,372 | ||
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
JPMorgan Chase & Co.: | ||||
2.2% 6/15/12 (FDIC Guaranteed) (g) | 5,230 | 5,351 | ||
3.125% 12/1/11 (FDIC Guaranteed) (g) | 520 | 533 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (g) | 21,887 | 22,456 | ||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.6106% 12/7/20 (NCUA Guaranteed) (j) | 5,810 | 5,816 | ||
Series 2010-R3 Class 1A, 0.8253% 12/8/20 (NCUA Guaranteed) (j) | 11,600 | 11,586 | ||
TOTAL OTHER GOVERNMENT RELATED | 197,433 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,943,341) | 1,957,921 | |||
U.S. Government Agency - Mortgage Securities - 2.4% | ||||
| ||||
Fannie Mae - 1.4% | ||||
2.073% 11/1/35 (j) | 863 | 892 | ||
2.233% 9/1/33 (j) | 830 | 857 | ||
2.474% 10/1/35 (j) | 119 | 124 | ||
2.48% 11/1/33 (j) | 207 | 216 | ||
2.589% 6/1/36 (j) | 62 | 65 | ||
2.642% 7/1/35 (j) | 495 | 519 | ||
2.652% 3/1/33 (j) | 250 | 262 | ||
2.68% 1/1/35 (j) | 448 | 469 | ||
2.731% 5/1/35 (j) | 1,518 | 1,599 | ||
2.744% 9/1/34 (j) | 619 | 647 | ||
2.773% 11/1/36 (j) | 72 | 76 | ||
2.805% 7/1/35 (j) | 1,046 | 1,097 | ||
2.829% 9/1/36 (j) | 246 | 259 | ||
2.857% 9/1/35 (j) | 1,465 | 1,541 | ||
2.884% 11/1/36 (j) | 396 | 417 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Fannie Mae - continued | ||||
2.981% 7/1/35 (j) | $ 408 | $ 429 | ||
3.128% 10/1/37 (j) | 479 | 504 | ||
3.137% 8/1/35 (j) | 1,216 | 1,288 | ||
3.161% 4/1/36 (j) | 578 | 610 | ||
3.5% 1/1/26 (h) | 67,000 | 67,482 | ||
3.5% 1/1/26 (h) | 20,400 | 20,547 | ||
3.5% 11/1/40 (i) | 13,030 | 12,451 | ||
3.505% 2/1/37 (j) | 913 | 955 | ||
3.527% 6/1/47 (j) | 234 | 245 | ||
4% 9/1/13 to 12/1/40 (i) | 10,300 | 10,268 | ||
5% 2/1/16 to 5/1/22 | 95 | 100 | ||
5.046% 2/1/34 (j) | 649 | 676 | ||
5.5% 5/1/15 | 8 | 9 | ||
5.569% 2/1/36 (j) | 168 | 175 | ||
5.593% 4/1/36 (j) | 973 | 1,022 | ||
5.766% 5/1/36 (j) | 182 | 188 | ||
5.963% 3/1/37 (j) | 131 | 140 | ||
6% 6/1/16 to 10/1/16 | 180 | 195 | ||
6.5% 12/1/12 to 9/1/32 | 2,743 | 3,061 | ||
7.5% 1/1/28 | 78 | 88 | ||
TOTAL FANNIE MAE | 129,473 | |||
Freddie Mac - 0.2% | ||||
1.975% 3/1/37 (j) | 955 | 991 | ||
2.041% 3/1/35 (j) | 324 | 333 | ||
2.094% 5/1/37 (j) | 203 | 210 | ||
2.409% 6/1/33 (j) | 511 | 530 | ||
2.54% 6/1/37 (j) | 476 | 501 | ||
2.551% 5/1/37 (j) | 1,720 | 1,810 | ||
2.579% 5/1/37 (j) | 1,080 | 1,132 | ||
2.586% 12/1/33 (j) | 1,067 | 1,114 | ||
2.621% 10/1/35 (j) | 652 | 681 | ||
2.631% 7/1/35 (j) | 574 | 600 | ||
2.865% 9/1/35 (j) | 120 | 126 | ||
2.958% 1/1/35 (j) | 1,303 | 1,373 | ||
2.985% 4/1/37 (j) | 186 | 196 | ||
3.022% 7/1/35 (j) | 375 | 394 | ||
3.247% 12/1/36 (j) | 2,004 | 2,100 | ||
3.352% 10/1/35 (j) | 86 | 91 | ||
3.404% 3/1/37 (j) | 183 | 189 | ||
3.47% 10/1/36 (j) | 679 | 704 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Freddie Mac - continued | ||||
3.508% 5/1/37 (j) | $ 132 | $ 138 | ||
4.3% 1/1/36 (j) | 113 | 117 | ||
4.375% 4/1/35 (j) | 1,198 | 1,258 | ||
4.5% 8/1/33 | 465 | 480 | ||
4.956% 3/1/36 (j) | 1,696 | 1,774 | ||
5.121% 2/1/36 (j) | 33 | 35 | ||
5.138% 4/1/35 (j) | 57 | 60 | ||
5.237% 1/1/37 (j) | 545 | 569 | ||
5.527% 1/1/36 (j) | 398 | 412 | ||
6.01% 6/1/37 (j) | 57 | 60 | ||
6.077% 6/1/37 (j) | 112 | 118 | ||
6.141% 7/1/36 (j) | 213 | 223 | ||
6.28% 8/1/37 (j) | 336 | 357 | ||
6.431% 2/1/37 (j) | 116 | 121 | ||
6.5% 2/1/11 to 3/1/22 | 3,571 | 3,876 | ||
7.22% 4/1/37 (j) | 9 | 9 | ||
8.5% 3/1/20 | 5 | 5 | ||
TOTAL FREDDIE MAC | 22,687 | |||
Ginnie Mae - 0.8% | ||||
4% 9/15/25 | 1,059 | 1,108 | ||
5.492% 4/20/60 (m) | 8,999 | 9,797 | ||
5.5% 1/20/60 (m) | 11,066 | 12,062 | ||
5.5% 2/20/60 (m) | 19,267 | 20,899 | ||
5.5% 3/20/60 (m) | 10,181 | 11,086 | ||
5.691% 10/20/59 (m) | 13,366 | 14,643 | ||
7% 9/15/25 to 8/15/31 | 52 | 59 | ||
7.5% 2/15/22 to 8/15/28 | 99 | 112 | ||
8% 9/15/26 to 12/15/26 | 10 | 12 | ||
TOTAL GINNIE MAE | 69,778 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $219,943) | 221,938 | |||
Asset-Backed Securities - 0.0% | ||||
| ||||
Amstel Corp. Loan Offering BV Series 2007-1 Class B, 1.285% 3/25/17 (j) | EUR | 1,009 | 1,234 | |
Auto ABS Compartiment Series 2006-1 Class B, 1.275% 7/25/17 (j) | EUR | 500 | 647 | |
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Clock Finance BV Series 2007-1: | ||||
Class B2, 1.255% 2/25/15 (j) | EUR | $ 700 | $ 875 | |
Class C2, 1.435% 2/25/15 (j) | EUR | 400 | 497 | |
Geldilux Ltd. Series 2007-TS Class C, 1.549% 9/8/14 (j) | EUR | 400 | 416 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.8925% 12/21/37 (j) | GBP | 174 | 266 | |
Series 18X Class BC, 1.423% 9/21/38 (j) | EUR | 600 | 719 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 73 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,195) | 4,727 | |||
Collateralized Mortgage Obligations - 2.2% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 1.318% 2/17/52 (j) | EUR | 800 | 1,032 | |
Granite Mortgages PLC 1.0719% 3/20/44 (j) | GBP | 257 | 375 | |
TOTAL PRIVATE SPONSOR | 1,407 | |||
U.S. Government Agency - 2.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2006-56 Class PF, 0.6106% 7/25/36 (j) | 6,803 | 6,792 | ||
Series 2010-111 Class AF, 0.6606% 10/25/40 (j) | 10,895 | 10,935 | ||
sequential payer Series 2007-113 Class DB, 4.5% 12/25/22 | 5,060 | 5,389 | ||
Series 2006-127 Class FD, 0.5406% 7/25/36 (j) | 5,842 | 5,790 | ||
Series 2006-44 Class FK, 0.6906% 6/25/36 (j) | 2,140 | 2,138 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2005-38 Class F, 0.5606% 5/25/35 (j) | 11,318 | 11,252 | ||
Series 2005-56 Class F, 0.5506% 7/25/35 (j) | 8,995 | 8,940 | ||
Series 2006-79 Class PF, 0.6606% 8/25/36 (j) | 4,686 | 4,677 | ||
Series 2010-86 Class FE, 0.7106% 8/25/25 (j) | 3,711 | 3,711 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 105 | 113 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,597 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 907 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 2,069 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 3,435 | 3,617 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2005-52 Class PB, 6.5% 12/25/34 | $ 1,305 | $ 1,404 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 362 | 394 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,259 | 1,351 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 811 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 1,812 | 1,905 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,698 | ||
Series 2003-79 Class FC, 0.7106% 8/25/33 (j) | 4,603 | 4,617 | ||
Series 2008-76 Class EF, 0.7606% 9/25/23 (j) | 2,587 | 2,589 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 212 | 232 | ||
Series 2115 Class PE, 6% 1/15/14 | 56 | 58 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2630 Class FL, 0.7603% 6/15/18 (j) | 104 | 105 | ||
Series 3279 Class FB, 0.5803% 2/15/37 (j) | 2,054 | 2,055 | ||
Series 3325 Class NF, 0.5603% 8/15/35 (j) | 7,196 | 7,157 | ||
Series 3346 Class FA, 0.4903% 2/15/19 (j) | 12,812 | 12,813 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 393 | 420 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 273 | 291 | ||
Series 2425 Class JH, 6% 3/15/17 | 503 | 540 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,759 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,088 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,330 | ||
Series 2866 Class XE, 4% 12/15/18 | 5,780 | 6,044 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 520 | 565 | ||
Series 3122 Class FE, 0.5603% 3/15/36 (j) | 6,169 | 6,185 | ||
Series 3147 Class PF, 0.5603% 4/15/36 (j) | 5,183 | 5,190 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 623 | 684 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 98 | 101 | ||
Series 2572 Class HK, 4% 2/15/17 | 93 | 94 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 77 | 78 | ||
Class KP, 2.87% 12/15/16 | 53 | 54 | ||
Series 2668 Class AZ, 4% 9/15/18 | 3,339 | 3,512 | ||
Series 2860 Class CP, 4% 10/15/17 | 64 | 63 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2887 Class EB, 4.5% 11/15/19 | $ 5,100 | $ 5,379 | ||
Series 2987 Class HE, 4.5% 6/15/20 | 4,420 | 4,688 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,126 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,324 | ||
Series 2863 Class DB, 4% 9/15/14 | 133 | 136 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater: | ||||
Series 2010-H17 Class FA, 0.5834% 7/20/60 (j)(m) | 5,687 | 5,647 | ||
Series 2010-H18 Class AF, 0.5578% 9/1/60 (j)(m) | 5,809 | 5,736 | ||
Series 2010-H19 Class FG, 0.5538% 8/20/60 (j)(m) | 7,428 | 7,346 | ||
Series 2003-42 Class FH, 0.7106% 5/20/33 (j) | 1,309 | 1,318 | ||
Series 2004-59 Class FC, 0.5606% 8/16/34 (j) | 2,597 | 2,599 | ||
Series 2004-79 Class FA, 0.5606% 1/20/31 (j) | 2,264 | 2,267 | ||
Government National Mortgage Association pass thru certificates floater Series 2010-85 Class AF, 0.6106% 12/20/39 (j) | 10,157 | 10,198 | ||
TOTAL U.S. GOVERNMENT AGENCY | 197,878 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $196,883) | 199,285 | |||
Commercial Mortgage Securities - 0.1% | ||||
| ||||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.2873% 10/22/37 (j) | GBP | 1,000 | 991 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 1.24% 7/20/16 (j) | EUR | 1,228 | 1,446 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 0.9498% 10/15/14 (j) | GBP | 650 | 943 | |
REC Plantation Place Ltd. Series 5 Class A, 0.9673% 7/25/16 (Reg. S) (j) | GBP | 873 | 1,245 | |
Silver Maple Investment Co. Ltd. Class 2A, 1.203% 4/30/14 (j) | EUR | 700 | 901 | |
Skyline BV Series 2007-1 Class D, 1.826% 7/22/43 (j) | EUR | 1,100 | 941 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $8,385) | 6,467 | |||
Foreign Government and Government Agency Obligations - 22.7% | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 3,165 | $ 3,292 | ||
6.875% 4/30/40 (f) | 4,745 | 5,006 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 8,098 | 7,471 | ||
par 2.5% 12/31/38 (e) | 7,920 | 3,524 | ||
0.6586% 8/3/12 (j) | 28,525 | 27,191 | ||
7% 3/28/11 | 35,750 | 36,177 | ||
7% 9/12/13 | 53,320 | 52,457 | ||
7% 10/3/15 | 7,295 | 6,878 | ||
13.2549% 1/30/14 (j) | ARS | 11,040 | 2,703 | |
Aruba Government 6.4% 9/6/15 (f) | 1,271 | 1,335 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 3,095 | 3,188 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (l) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (l) | 750,000 | 0 | ||
Barbados Government 7.25% 12/15/21 (f) | 2,606 | 2,710 | ||
Belarus Republic 8.75% 8/3/15 | 4,595 | 4,705 | ||
Bermuda Government 5.603% 7/20/20 (f) | 1,935 | 2,003 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 7,570 | 7,494 | ||
6% 9/15/13 | 850 | 890 | ||
7.125% 1/20/37 | 3,050 | 3,637 | ||
8.75% 2/4/25 | 2,310 | 3,188 | ||
10.125% 5/15/27 | 2,125 | 3,230 | ||
12.25% 3/6/30 | 2,470 | 4,421 | ||
Buenos Aires Province 11.75% 10/5/15 (f) | 1,965 | 2,038 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 2,835 | 3,324 | ||
Canadian Government: | ||||
1% 9/1/11 | CAD | 26,850 | 26,881 | |
1.5% 12/1/12 | CAD | 26,700 | 26,687 | |
2.5% 6/1/15 | CAD | 71,700 | 72,489 | |
3.5% 6/1/20 | CAD | 45,250 | 46,779 | |
5% 6/1/37 | CAD | 26,700 | 33,218 | |
Cayman Island Government 5.95% 11/24/19 (f) | 1,855 | 1,883 | ||
Central Bank of Nigeria warrants 11/15/20 (a)(l) | 2,750 | 495 | ||
Colombian Republic: | ||||
6.125% 1/18/41 | 3,515 | 3,585 | ||
7.375% 3/18/19 | 1,200 | 1,440 | ||
7.375% 9/18/37 | 6,100 | 7,229 | ||
10.375% 1/28/33 | 2,890 | 4,335 | ||
11.75% 2/25/20 | 2,910 | 4,365 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Congo Republic 3% 6/30/29 (e) | $ 6,550 | $ 3,930 | ||
Croatia Republic: | ||||
6.625% 7/14/20 (f) | 3,085 | 3,193 | ||
6.75% 11/5/19 (f) | 2,785 | 2,897 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 3,720 | 4,083 | ||
8.25% 10/24/12 (f) | 3,410 | 3,640 | ||
Dominican Republic: | ||||
1.2713% 8/30/24 (j) | 5,383 | 4,791 | ||
7.5% 5/6/21 (f) | 3,030 | 3,219 | ||
9.04% 1/23/18 (f) | 2,672 | 3,033 | ||
Ecuador Republic 5% 2/28/25 | 1,580 | 1,153 | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | 1,865 | 2,033 | ||
7.65% 6/15/35 (Reg. S) | 2,935 | 3,082 | ||
7.75% 1/24/23 (Reg. S) | 2,400 | 2,640 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,607 | ||
Finnish Government 3.375% 4/15/20 | EUR | 5,600 | 7,603 | |
French Republic: | ||||
OAT 4.5% 4/25/41 | EUR | 8,225 | 11,986 | |
2.5% 10/25/20 | EUR | 39,700 | 49,330 | |
4% 4/25/55 | EUR | 5,750 | 7,838 | |
Gabonese Republic 8.2% 12/12/17 (f) | 3,225 | 3,765 | ||
Georgia Republic 7.5% 4/15/13 | 8,690 | 8,886 | ||
German Federal Republic: | ||||
0.75% 9/14/12 | EUR | 97,600 | 130,353 | |
1.75% 10/9/15 | EUR | 63,400 | 84,363 | |
3% 7/4/20 | EUR | 68,585 | 92,221 | |
4.75% 7/4/40 | EUR | 16,625 | 27,571 | |
Ghana Republic: | ||||
8.5% 10/4/17 (f) | 3,930 | 4,362 | ||
14.25% 7/29/13 | GHS | 3,400 | 2,248 | |
14.99% 3/11/13 | GHS | 7,220 | 5,012 | |
Government of the Democratic Socialist Republic of Sri Lanka 6.25% 10/4/20 (f) | 3,275 | 3,291 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 1,970 | 1,936 | ||
6.25% 1/29/20 | 3,390 | 3,297 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 6,015 | 6,586 | ||
6.625% 2/17/37 (f) | 4,025 | 4,397 | ||
6.875% 1/17/18 (f) | 3,830 | 4,433 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Indonesian Republic: - continued | ||||
7.5% 1/15/16 (f) | $ 2,045 | $ 2,403 | ||
7.75% 1/17/38 (f) | 5,685 | 6,907 | ||
8.5% 10/12/35 (Reg. S) | 4,790 | 6,323 | ||
11.625% 3/4/19 (f) | 5,545 | 8,220 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 13,360 | 12,091 | ||
Italian Republic: | ||||
2% 12/15/12 | EUR | 13,700 | 18,160 | |
3% 6/15/15 | EUR | 48,650 | 63,133 | |
4% 9/1/20 | EUR | 50,200 | 63,808 | |
5% 9/1/40 | EUR | 23,450 | 29,450 | |
Ivory Coast 2.5% 12/31/32 (e) | 5,905 | 2,451 | ||
Japan Government: | ||||
0.4% 5/15/11 | JPY | 10,096,200 | 124,435 | |
1.1% 6/20/20 | JPY | 3,622,500 | 44,749 | |
1.9% 9/20/30 | JPY | 3,130,000 | 38,581 | |
2% 9/20/40 | JPY | 495,000 | 6,045 | |
Lebanese Republic 4% 12/31/17 | 7,819 | 7,526 | ||
Lithuanian Republic: | ||||
5.125% 9/14/17 (f) | 1,670 | 1,645 | ||
6.75% 1/15/15 (f) | 4,235 | 4,595 | ||
7.375% 2/11/20 (f) | 3,180 | 3,514 | ||
Ontario Province 4.4% 6/2/19 | CAD | 9,900 | 10,463 | |
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 2,160 | 2,549 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 1,611 | 1,385 | ||
5.625% 11/18/50 | 4,255 | 3,936 | ||
7.35% 7/21/25 | 2,635 | 3,202 | ||
8.75% 11/21/33 | 3,450 | 4,709 | ||
Philippine Republic: | ||||
6.375% 1/15/32 | 2,020 | 2,151 | ||
6.375% 10/23/34 | 2,975 | 3,176 | ||
6.5% 1/20/20 | 2,960 | 3,426 | ||
9.5% 2/2/30 | 1,010 | 1,462 | ||
9.5% 2/2/30 | 1,345 | 1,947 | ||
10.625% 3/16/25 | 2,040 | 3,152 | ||
Polish Government 3.875% 7/16/15 | 1,945 | 1,974 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 4,515 | 4,696 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 8,925 | 8,189 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 24,565 | 24,074 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 6,500 | 6,516 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Russian Federation: - continued | ||||
5% 4/29/20 (f) | $ 11,000 | $ 11,014 | ||
7.5% 3/31/30 (Reg. S) | 61,012 | 70,545 | ||
11% 7/24/18 (Reg. S) | 1,310 | 1,834 | ||
12.75% 6/24/28 (Reg. S) | 8,740 | 15,197 | ||
Turkish Republic: | ||||
5.625% 3/30/21 | 4,440 | 4,640 | ||
6.75% 4/3/18 | 6,910 | 7,869 | ||
6.75% 5/30/40 | 5,740 | 6,300 | ||
6.875% 3/17/36 | 12,320 | 13,753 | ||
7% 9/26/16 | 7,190 | 8,260 | ||
7.25% 3/15/15 | 4,505 | 5,158 | ||
7.25% 3/5/38 | 8,050 | 9,378 | ||
7.375% 2/5/25 | 13,955 | 16,537 | ||
7.5% 7/14/17 | 7,085 | 8,370 | ||
7.5% 11/7/19 | 5,465 | 6,517 | ||
11.875% 1/15/30 | 4,915 | 8,442 | ||
UK Treasury GILT: | ||||
3.25% 12/7/11 | GBP | 36,700 | 58,633 | |
4.25% 12/7/40 | GBP | 11,975 | 18,769 | |
4.25% 12/7/55 | GBP | 15,600 | 25,090 | |
4.5% 9/7/34 | GBP | 23,400 | 38,115 | |
4.75% 9/7/15 | GBP | 16,200 | 28,126 | |
4.75% 3/7/20 | GBP | 5,900 | 10,175 | |
5% 3/7/25 | GBP | 12,050 | 21,101 | |
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 31,505 | 31,647 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) | 3,275 | 3,443 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | 3,345 | 3,399 | ||
6.75% 11/14/17 (f) | 5,725 | 5,718 | ||
6.875% 9/23/15 (f) | 3,325 | 3,375 | ||
7.75% 9/23/20 (f) | 2,755 | 2,796 | ||
United Mexican States: | ||||
4.25% 7/14/17 | EUR | 750 | 1,000 | |
5.125% 1/15/20 | 1,970 | 2,054 | ||
5.625% 1/15/17 | 2,978 | 3,276 | ||
5.75% 10/12/10 | 5,246 | 4,643 | ||
6.05% 1/11/40 | 12,854 | 13,143 | ||
6.75% 9/27/34 | 6,070 | 6,844 | ||
7.5% 4/8/33 | 2,770 | 3,400 | ||
8.3% 8/15/31 | 2,600 | 3,445 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | $ 1,675 | $ 1,926 | ||
7.875% 1/15/33 pay-in-kind | 3,815 | 4,616 | ||
8% 11/18/22 | 7,512 | 9,296 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (l) | 10,801 | 281 | ||
1.2884% 4/20/11 (Reg. S) (j) | 31,915 | 31,436 | ||
6% 12/9/20 | 4,800 | 2,796 | ||
7% 3/31/38 | 4,180 | 2,362 | ||
8.5% 10/8/14 | 5,480 | 4,658 | ||
9% 5/7/23 (Reg. S) | 20,260 | 13,838 | ||
9.25% 9/15/27 | 13,485 | 10,046 | ||
9.25% 5/7/28 (Reg. S) | 4,125 | 2,795 | ||
9.375% 1/13/34 | 6,705 | 4,593 | ||
10.75% 9/19/13 | 6,248 | 5,998 | ||
12.75% 8/23/22 | 19,765 | 17,393 | ||
13.625% 8/15/18 | 9,595 | 9,307 | ||
Vietnamese Socialist Republic: | ||||
1.2997% 3/12/16 (j) | 3,551 | 3,303 | ||
4% 3/12/28 (e) | 12,550 | 10,291 | ||
6.75% 1/29/20 (f) | 3,650 | 3,723 | ||
6.875% 1/15/16 (f) | 3,665 | 3,848 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,993,158) | 2,070,582 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Eurasian Development Bank 7.375% 9/29/14 (f) | 4,240 | 4,574 |
Common Stocks - 1.0% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(n) | 113,725 | 0 | |
Remy International, Inc. (a) | 40,800 | 653 | |
Remy International, Inc. rights 1/18/11 (a) | 81,600 | 408 | |
| 1,061 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Media - 0.2% | |||
Haights Cross Communications, Inc. (a) | 8,267 | $ 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 32 | |
HMH Holdings, Inc. (a)(n) | 2,569,344 | 13,489 | |
HMH Holdings, Inc. warrants 3/9/17 (a) | 636,272 | 318 | |
RDA Holding Co. (a) | 67,800 | 1,593 | |
RDA Holding Co. warrants 2/19/14 (a)(n) | 9,559 | 0 | |
SuperMedia, Inc. (a) | 7,045 | 61 | |
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
| 15,554 | ||
TOTAL CONSUMER DISCRETIONARY | 16,615 | ||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
New Penhall Holding Co.: | |||
Class A (a) | 6,088 | 685 | |
Class B (a) | 2,029 | 228 | |
| 913 | ||
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 875,052 | 11,026 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 266,722 | 9,602 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 50 | |
| 9,652 | ||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
TOTAL INDUSTRIALS | 20,685 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(n) | 546,000 | 0 | |
MagnaChip Semiconductor LLC (a) | 392,246 | 55 | |
Spansion, Inc. Class A (a) | 154,883 | 3,206 | |
| 3,261 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - 0.6% | |||
Chemicals - 0.5% | |||
Celanese Corp. Class A | 8,316 | $ 342 | |
Chemtura Corp. (a) | 112,703 | 1,801 | |
Georgia Gulf Corp. (a) | 591,147 | 14,223 | |
LyondellBasell Industries NV Class A (a) | 898,149 | 30,896 | |
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. rights (a) | 59,704 | 0 | |
| 47,262 | ||
Containers & Packaging - 0.0% | |||
Constar International, Inc. (a) | 25,200 | 49 | |
Metals & Mining - 0.1% | |||
Aleris International, Inc. (n) | 38,307 | 2,030 | |
Rathgibson Acquisition Co. LLC Class A (a)(n) | 286,500 | 2,037 | |
| 4,067 | ||
TOTAL MATERIALS | 51,378 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 158 | |
TOTAL COMMON STOCKS (Cost $104,671) | 93,010 | ||
Preferred Stocks - 0.4% | |||
|
|
|
|
Convertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.2% | |||
General Motors Co. 4.75% | 309,600 | 16,752 | |
Nonconvertible Preferred Stocks - 0.2% | |||
FINANCIALS - 0.2% | |||
Diversified Financial Services - 0.2% | |||
GMAC LLC 7.00% (f) | 21,976 | 20,548 | |
TOTAL PREFERRED STOCKS (Cost $27,034) | 37,300 |
Floating Rate Loans - 4.9% | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
CONSUMER DISCRETIONARY - 1.4% | ||||
Auto Components - 0.0% | ||||
Remy International, Inc. Tranche B, term loan 6.25% 12/12/16 (j) | $ 255 | $ 256 | ||
Diversified Consumer Services - 0.3% | ||||
ServiceMaster Co.: | ||||
term loan 2.7746% 7/24/14 (j) | 6,267 | 6,032 | ||
Tranche DD, term loan 2.77% 7/24/14 (j) | 645 | 621 | ||
Thomson Learning Tranche B, term loan 2.55% 7/5/14 (j) | 12,704 | 11,974 | ||
Visant Corp. Tranche B, term loan 7% 12/22/16 (j) | 4,648 | 4,695 | ||
| 23,322 | |||
Hotels, Restaurants & Leisure - 0.1% | ||||
Burger King Corp. Tranche B, term loan 6.25% 10/19/16 (j) | 4,385 | 4,451 | ||
DineEquity, Inc. term loan 6% 10/19/17 (j) | 5,266 | 5,351 | ||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.26% 2/16/14 (c)(j) | 140 | 110 | ||
Las Vegas Sands LLC: | ||||
Tranche B, term loan 3.03% 11/23/16 (j) | 468 | 448 | ||
Tranche I, term loan 3.03% 11/23/16 (j) | 95 | 91 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 2.5601% 6/14/13 (j) | 41 | 39 | ||
term loan 2.625% 6/14/14 (j) | 395 | 376 | ||
| 10,866 | |||
Media - 0.6% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.27% 3/6/14 (j) | 6,189 | 6,127 | ||
Getty Images, Inc. Tranche B, term loan 5.25% 11/5/16 (j) | 4,773 | 4,821 | ||
Univision Communications, Inc. term loan 4.5106% 3/31/17 (j) | 42,990 | 40,411 | ||
| 51,359 | |||
Specialty Retail - 0.4% | ||||
Burlington Coat Factory Warehouse Corp. term loan 2.5301% 5/28/13 (j) | 6,637 | 6,538 | ||
Michaels Stores, Inc.: | ||||
Tranche B1, term loan 2.5625% 10/31/13 (j) | 9,019 | 8,793 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Michaels Stores, Inc.: - continued | ||||
Tranche B2, term loan 4.8125% 7/31/16 (j) | $ 21,183 | $ 21,183 | ||
PETCO Animal Supplies, Inc. Tranche B, term loan 6% 11/24/17 (j) | 1,390 | 1,395 | ||
| 37,909 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. term loan 2.5106% 4/4/14 (j) | 1,580 | 1,525 | ||
TOTAL CONSUMER DISCRETIONARY | 125,237 | |||
CONSUMER STAPLES - 0.1% | ||||
Food & Staples Retailing - 0.0% | ||||
The Great Atlantic & Pacific Tea Co. Tranche 2 LN, term loan 8.75% 6/14/12 (j) | 2,425 | 2,449 | ||
Food Products - 0.0% | ||||
Green Mountain Coffee Roasters, Inc. Tranche B, term loan 5.5% 12/17/16 (j) | 690 | 690 | ||
Personal Products - 0.0% | ||||
NBTY, Inc. Tranche B, term loan 6.25% 10/1/17 (j) | 1,500 | 1,521 | ||
Tobacco - 0.1% | ||||
Reynolds Consumer Products Holdings, Inc. term loan: | ||||
6.25% 8/6/15 (j) | 2,755 | 2,755 | ||
6.5% 5/5/16 (j) | 1,985 | 2,005 | ||
| 4,760 | |||
TOTAL CONSUMER STAPLES | 9,420 | |||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Venoco, Inc. Tranche 2LN, term loan 4.3125% 5/7/14 (j) | 372 | 355 | ||
FINANCIALS - 0.5% | ||||
Diversified Financial Services - 0.1% | ||||
Fifth Third Processing Solutions: | ||||
Tranche 1 LN, term loan 5.5% 11/3/16 (j) | 945 | 954 | ||
Tranche 2 LN, term loan 8.25% 11/3/17 (j) | 225 | 230 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Goodman Global Group, Inc.: | ||||
Tranche 1 LN, term loan 5.75% 10/28/16 (j) | $ 4,090 | $ 4,105 | ||
Tranche 2 LN, term loan 9% 10/28/17 (j) | 205 | 211 | ||
| 5,500 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. Tranche B, term loan 7.5% 9/30/16 (j) | 1,355 | 1,365 | ||
Real Estate Management & Development - 0.4% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2563% 10/10/13 (j) | 851 | 800 | ||
Tranche 2LN, term loan 13.5% 10/15/17 | 12,670 | 13,905 | ||
Tranche B, term loan 3.2857% 10/10/13 (j) | 6,251 | 5,876 | ||
Tranche DD, term loan 3.2844% 10/10/13 (j) | 16,292 | 15,274 | ||
| 35,855 | |||
TOTAL FINANCIALS | 42,720 | |||
HEALTH CARE - 0.1% | ||||
Health Care Providers & Services - 0.1% | ||||
DaVita, Inc. Tranche A, term loan 3.02% 10/20/15 (j) | 2,565 | 2,571 | ||
Sunquest Information Systems, Inc. Tranche 1 LN, term loan 6.25% 12/16/16 (j) | 2,530 | 2,530 | ||
| 5,101 | |||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.5106% 4/10/14 (j) | 2,033 | 1,946 | ||
TOTAL HEALTH CARE | 7,047 | |||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc. Tranche 2LN, term loan 14.25% 2/21/14 (c)(j) | 101 | 73 | ||
TransDigm Group, Inc. Tranche B, term loan 5% 12/6/16 (j) | 1,315 | 1,325 | ||
| 1,398 | |||
Airlines - 0.5% | ||||
Delta Air Lines, Inc.: | ||||
Tranche 1LN, term loan 8.75% 9/27/13 (j) | 464 | 469 | ||
Tranche 2LN, term loan 3.5391% 4/30/14 (j) | 10,160 | 9,880 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines Corp. Tranche A, term loan 2.06% 12/31/18 (j) | $ 9,916 | $ 8,726 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (j) | 12,346 | 11,914 | ||
US Airways Group, Inc. term loan 2.7884% 3/23/14 (j) | 10,500 | 9,423 | ||
| 40,412 | |||
Commercial Services & Supplies - 0.0% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.3125% 2/7/15 (j) | 650 | 585 | ||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp. term loan 3.5413% 12/3/14 (j) | 12,183 | 11,787 | ||
Tomkins PLC Tranche B, term loan 6.25% 9/21/16 (j) | 9,787 | 9,922 | ||
| 21,709 | |||
Machinery - 0.1% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.0344% 5/4/15 pay-in-kind (j) | 4,050 | 4,040 | ||
Road & Rail - 0.0% | ||||
Swift Transportation Co., Inc. Tranche B, term loan 6.75% 12/21/16 (j) | 2,775 | 2,789 | ||
Transportation Infrastructure - 0.0% | ||||
Trico Shipping AS term loan: | ||||
13.5% 9/21/11 | 372 | 372 | ||
13.5% 9/21/11 | 173 | 173 | ||
| 545 | |||
TOTAL INDUSTRIALS | 71,478 | |||
INFORMATION TECHNOLOGY - 0.6% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.5106% 10/1/14 (j) | 979 | 968 | ||
Tranche B A2, term loan 2.5106% 10/1/14 (j) | 2,102 | 2,078 | ||
Tranche B A3, term loan 2.5075% 10/1/14 (j) | 2,452 | 2,425 | ||
Tranche B-A, term loan 2.5077% 10/1/14 (j) | 3,405 | 3,367 | ||
Tranche B-B, term loan 2.5075% 10/1/12 (j) | 3,273 | 3,248 | ||
| 12,086 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Freescale Semiconductor, Inc. term loan 4.5075% 12/1/16 (j) | $ 21,956 | $ 21,297 | ||
Spansion, Inc. term loan 6.5% 2/9/15 (j) | 6,507 | 6,572 | ||
| 27,869 | |||
Software - 0.2% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.0528% 6/11/14 (j) | 11,708 | 11,430 | ||
Tranche 2LN, term loan 6.0528% 6/11/15 (j) | 1,790 | 1,750 | ||
Open Solutions, Inc. term loan 2.415% 1/23/14 (j) | 231 | 195 | ||
| 13,375 | |||
TOTAL INFORMATION TECHNOLOGY | 53,330 | |||
MATERIALS - 0.2% | ||||
Chemicals - 0.1% | ||||
Arizona Chemical term loan 6.75% 11/18/16 (j) | 575 | 580 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 2.5625% 12/4/13 (j) | 14,929 | 14,537 | ||
| 15,117 | |||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.2843% 4/3/15 (j) | 8,795 | 8,300 | ||
Paper & Forest Products - 0.0% | ||||
White Birch Paper Co.: | ||||
term loan 12% 3/1/11 (j) | 308 | 304 | ||
Tranche 1LN, term loan 7% 5/8/14 (c)(j) | 1,487 | 22 | ||
Tranche DD, term loan 6.7163% 3/1/11 (j)(o) | 107 | 106 | ||
| 432 | |||
TOTAL MATERIALS | 23,849 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Wireless Telecommunication Services - 0.4% | ||||
Digicel International Finance Ltd. term loan 2.8125% 3/30/12 (j) | 954 | 946 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings Ltd. term loan 3.29% 2/1/14 (j) | $ 20,890 | $ 19,846 | ||
Intelsat Jackson Holdings SA Tranche B, term loan 5.25% 4/2/18 (j) | 17,615 | 17,571 | ||
| 38,363 | |||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.8% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.: | ||||
Tranche B1, term loan 3.7638% 10/10/14 (j) | 24,989 | 19,335 | ||
Tranche B2, term loan 3.7638% 10/10/14 (j) | 30,637 | 23,705 | ||
Tranche B3, term loan 3.7638% 10/10/14 (j) | 35,229 | 27,170 | ||
| 70,210 | |||
Independent Power Producers & Energy Traders - 0.0% | ||||
GenOn Energy, Inc. Tranche B, term loan 6% 9/20/17 (j) | 1,970 | 1,982 | ||
TOTAL UTILITIES | 72,192 | |||
TOTAL FLOATING RATE LOANS (Cost $404,934) | 443,991 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic: | ||||
loan participation - Citibank 1.25% 12/14/19 (j) | 6,619 | 6,056 | ||
1.25% 12/14/19 (j) | 490 | 448 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $5,435) | 6,504 |
Fixed-Income Funds - 3.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (k) | 2,791,590 | 278,657 | |
Preferred Securities - 0.2% | |||
Principal Amount (000s) (d) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Media - 0.2% | |||
Net Servicos de Comunicacao SA 9.25% (f) (Cost $14,403) | $ 14,830 | $ 15,068 | |
Other - 0.0% | |||
Shares |
| ||
Other - 0.0% | |||
Idearc, Inc. Claim (a) (Cost $0) | 1,675,371 | 0 * | |
Money Market Funds - 4.2% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.19% (b) | 382,288,446 | 382,288 | |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.19%, dated 12/31/10 due 1/3/11 (Collateralized by U.S. Treasury Obligations) # | $ 5,103 | 5,103 | |
TOTAL INVESTMENT PORTFOLIO - 100.5% (Cost $8,761,083) | 9,186,480 | ||
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (49,694) | ||
NET ASSETS - 100% | $ 9,136,786 |
Swap Agreements | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 0.682% with JPMorgan Chase, Inc. | August 2012 | $ 32,000 | $ (95) |
Currency Abbreviations | ||
ARS | - | Argentine peso |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana Cedi |
JPY | - | Japanese yen |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,589,842,000 or 17.4% of net assets. |
(g) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $180,031,000 or 2.0% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(l) Quantity represents share amount. |
(m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(n) 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 $17,556,000 or 0.2% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
ASAT Holdings Ltd. warrants 2/1/11 | 11/15/07 | $ 0 |
HMH Holdings, Inc. | 5/2/08 - 3/9/10 | $ 38,440 |
Intermet Corp. | 1/7/05 - 1/13/05 | $ 2,153 |
Rathgibson Acquisition Co. LLC Class A | 6/9/10 | $ 1,520 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
(o) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $56,000 and $56,000, respectively. |
* Amount represents less than $1,000 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$5,103,000 due 1/03/11 at 0.19% | |
BNP Paribas Securities Corp. | $ 2,313 |
Barclays Capital, Inc. | 1,920 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 870 |
| $ 5,103 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 756 |
Fidelity Floating Rate Central Fund | 11,734 |
Total | $ 12,490 |
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 | % ownership, end of period |
Fidelity Floating Rate Central Fund | $ 366,878 | $ 28,209 | $ 137,018 | $ 278,657 | 9.7% |
Other Information |
The following is a summary of the inputs used, as of December 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 33,367 | $ 17,466 | $ 15,490 | $ 411 |
Financials | 21,461 | - | 20,548 | 913 |
Industrials | 20,685 | 20,678 | - | 7 |
Information Technology | 3,261 | 3,206 | - | 55 |
Materials | 51,378 | 47,311 | 2,030 | 2,037 |
Utilities | 158 | 158 | - | - |
Corporate Bonds | 3,459,065 | - | 3,451,731 | 7,334 |
U.S. Government and Government Agency Obligations | 1,957,921 | - | 1,957,921 | - |
U.S. Government Agency - Mortgage Securities | 221,938 | - | 221,938 | - |
Asset-Backed Securities | 4,727 | - | 4,311 | 416 |
Collateralized Mortgage Obligations | 199,285 | - | 199,285 | - |
Commercial Mortgage Securities | 6,467 | - | 6,467 | - |
Foreign Government and Government Agency Obligations | 2,070,582 | - | 2,068,307 | 2,275 |
Supranational Obligations | 4,574 | - | 4,574 | - |
Floating Rate Loans | 443,991 | - | 443,991 | - |
Sovereign Loan Participations | 6,504 | - | 6,504 | - |
Fixed-Income Funds | 278,657 | 278,657 | - | - |
Preferred Securities | 15,068 | - | 15,068 | - |
Other | - | - | - | - |
Money Market Funds | 382,288 | 382,288 | - | - |
Cash Equivalents | 5,103 | - | 5,103 | - |
Total Investments in Securities: | $ 9,186,480 | $ 749,764 | $ 8,423,268 | $ 13,448 |
Derivative Instruments: | ||||
Liabilities | ||||
Swap Agreements | $ (95) | $ - | $ (95) | $ - |
Other Financial Instruments: | ||||
Forward Commitments | $ 86 | $ - | $ 86 | $ - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
(Amounts in thousands) |
|
Investments in Securities: | |
Beginning Balance | $ 12,556 |
Total Realized Gain (Loss) | (2,299) |
Total Unrealized Gain (Loss) | 3,101 |
Cost of Purchases | 3,679 |
Proceeds of Sales | (11,324) |
Amortization/Accretion | (28) |
Transfers in to Level 3 | 18,450 |
Transfers out of Level 3 | (10,687) |
Ending Balance | $ 13,448 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at December 31, 2010 | $ (99) |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of December 31, 2010. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Swap Agreements (a) | $ - | $ (95) |
Total Value of Derivatives | $ - | $ (95) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 65.9% |
Germany | 3.7% |
Bermuda | 2.9% |
United Kingdom | 2.9% |
Canada | 2.9% |
Japan | 2.4% |
Italy | 1.9% |
Argentina | 1.9% |
Venezuela | 1.7% |
Netherlands | 1.4% |
Turkey | 1.4% |
Luxembourg | 1.3% |
Russia | 1.3% |
Others (Individually Less Than 1%) | 8.4% |
| 100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | December 31, 2010 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $5,103) - See accompanying schedule: Unaffiliated issuers (cost $8,169,570) | $ 8,525,535 |
|
Fidelity Central Funds (cost $591,513) | 660,945 |
|
Total Investments (cost $8,761,083) |
| $ 9,186,480 |
Commitment to sell securities on a delayed delivery basis | (22,388) | |
Receivable for securities sold on a delayed delivery basis | 22,474 | 86 |
Cash | 1,748 | |
Foreign currency held at value (cost $44) | 43 | |
Receivable for investments sold |
| 16,170 |
Delayed delivery |
| 23,475 |
Receivable for fund shares sold | 12,227 | |
Dividends receivable | 2 | |
Interest receivable | 108,388 | |
Distributions receivable from Fidelity Central Funds | 1,125 | |
Prepaid expenses | 22 | |
Other receivables | 38 | |
Total assets | 9,349,804 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 43,552 | |
Delayed delivery | 108,709 | |
Payable for fund shares redeemed | 29,392 | |
Distributions payable | 22,748 | |
Unrealized depreciation on swap agreements | 95 | |
Accrued management fee | 4,286 | |
Distribution and service plan fees payable | 2,758 | |
Other affiliated payables | 1,244 | |
Other payables and accrued expenses | 234 | |
Total liabilities | 213,018 | |
|
|
|
Net Assets | $ 9,136,786 | |
Net Assets consist of: |
| |
Paid in capital | $ 8,609,255 | |
Undistributed net investment income | 104,248 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (1,825) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 425,108 | |
Net Assets | $ 9,136,786 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | December 31, 2010 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.38 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.38) | $ 12.90 | |
Class T: | $ 12.38 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.38) | $ 12.90 | |
Class B: | $ 12.42 | |
|
|
|
Class C: | $ 12.36 | |
|
|
|
Institutional Class: | $ 12.52 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Year ended December 31, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 5,064 |
Interest |
| 501,224 |
Income from Fidelity Central Funds |
| 12,490 |
Total income |
| 518,778 |
|
|
|
Expenses | ||
Management fee | $ 49,023 | |
Transfer agent fees | 12,856 | |
Distribution and service plan fees | 31,719 | |
Accounting and security lending fees | 1,517 | |
Custodian fees and expenses | 436 | |
Independent trustees' compensation | 31 | |
Registration fees | 497 | |
Audit | 115 | |
Legal | 152 | |
Miscellaneous | 96 | |
Total expenses before reductions | 96,442 | |
Expense reductions | (4) | 96,438 |
Net investment income | 422,340 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 255,624 | |
Fidelity Central Funds | (3,824) |
|
Foreign currency transactions | (1,135) | |
Swap agreements | (1,038) |
|
Total net realized gain (loss) |
| 249,627 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 103,095 | |
Assets and liabilities in foreign currencies | (42) | |
Swap agreements | (248) | |
Delayed delivery commitments | 86 |
|
Total change in net unrealized appreciation (depreciation) |
| 102,891 |
Net gain (loss) | 352,518 | |
Net increase (decrease) in net assets resulting from operations | $ 774,858 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Changes in Net Assets
Amounts in thousands | Year ended December 31, 2010 | Year ended December 31, 2009 |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 422,340 | $ 393,364 |
Net realized gain (loss) | 249,627 | 149,167 |
Change in net unrealized appreciation (depreciation) | 102,891 | 1,216,485 |
Net increase (decrease) in net assets resulting | 774,858 | 1,759,016 |
Distributions to shareholders from net investment income | (395,760) | (327,674) |
Distributions to shareholders from net realized gain | (207,173) | (66,147) |
Total distributions | (602,933) | (393,821) |
Share transactions - net increase (decrease) | 821,772 | 1,449,870 |
Total increase (decrease) in net assets | 993,697 | 2,815,065 |
|
|
|
Net Assets | ||
Beginning of period | 8,143,089 | 5,328,024 |
End of period (including undistributed net investment income of $104,248 and undistributed net investment income of $81,639, respectively) | $ 9,136,786 | $ 8,143,089 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .622 | .681 | .600 | .616 | .600 |
Net realized and unrealized gain (loss) | .500 | 2.345 | (1.826) | (.019) | .248 |
Total from investment operations | 1.122 | 3.026 | (1.226) | .597 | .848 |
Distributions from net investment income | (.582) | (.566) | (.554) | (.607) | (.583) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.872) | (.666) | (.624) | (.737) | (.628) |
Net asset value, end of period | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return A, B | 9.48% | 31.74% | (10.98)% | 5.22% | 7.54% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of fee waivers, if any | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of all reductions | .99% | 1.01% | 1.02% | 1.01% | .97% |
Net investment income | 5.00% | 6.14% | 5.49% | 5.27% | 5.18% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 4,169 | $ 3,725 | $ 2,174 | $ 1,931 | $ 954 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .621 | .675 | .607 | .620 | .594 |
Net realized and unrealized gain (loss) | .511 | 2.341 | (1.832) | (.021) | .248 |
Total from investment operations | 1.132 | 3.016 | (1.225) | .599 | .842 |
Distributions from net investment income | (.582) | (.566) | (.555) | (.609) | (.577) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.872) | (.666) | (.625) | (.739) | (.622) |
Net asset value, end of period | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return A, B | 9.57% | 31.64% | (10.97)% | 5.24% | 7.49% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of fee waivers, if any | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of all reductions | .99% | 1.01% | 1.01% | .99% | 1.02% |
Net investment income | 5.00% | 6.14% | 5.50% | 5.29% | 5.13% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,571 | $ 1,579 | $ 1,337 | $ 1,983 | $ 2,049 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .535 | .600 | .525 | .533 | .511 |
Net realized and unrealized gain (loss) | .509 | 2.348 | (1.831) | (.022) | .247 |
Total from investment operations | 1.044 | 2.948 | (1.306) | .511 | .758 |
Distributions from net investment income | (.494) | (.488) | (.474) | (.521) | (.493) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.784) | (.588) | (.544) | (.651) | (.538) |
Net asset value, end of period | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 |
Total Return A, B | 8.77% | 30.72% | (11.60)% | 4.44% | 6.70% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | 1.70% | 1.72% | 1.76% | 1.74% | 1.76% |
Expenses net of fee waivers, if any | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Expenses net of all reductions | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Net investment income | 4.30% | 5.43% | 4.76% | 4.54% | 4.40% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 307 | $ 348 | $ 267 | $ 335 | $ 342 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .528 | .597 | .517 | .526 | .503 |
Net realized and unrealized gain (loss) | .512 | 2.327 | (1.817) | (.020) | .238 |
Total from investment operations | 1.040 | 2.924 | (1.300) | .506 | .741 |
Distributions from net investment income | (.490) | (.484) | (.470) | (.516) | (.486) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.780) | (.584) | (.540) | (.646) | (.531) |
Net asset value, end of period | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 |
Total Return A, B | 8.77% | 30.60% | (11.59)% | 4.42% | 6.57% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of fee waivers, if any | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of all reductions | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Net investment income | 4.26% | 5.40% | 4.72% | 4.50% | 4.34% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,609 | $ 1,336 | $ 800 | $ 866 | $ 683 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 |
Income from Investment Operations |
|
|
|
|
|
Net investment income B | .657 | .710 | .635 | .652 | .627 |
Net realized and unrealized gain (loss) | .514 | 2.361 | (1.835) | (.027) | .252 |
Total from investment operations | 1.171 | 3.071 | (1.200) | .625 | .879 |
Distributions from net investment income | (.611) | (.591) | (.580) | (.635) | (.604) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.901) | (.691) | (.650) | (.765) | (.649) |
Net asset value, end of period | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 |
Total Return A | 9.80% | 31.92% | (10.67)% | 5.42% | 7.76% |
Ratios to Average Net Assets C, E |
|
|
|
|
|
Expenses before reductions | .76% | .78% | .78% | .77% | .79% |
Expenses net of fee waivers, if any | .76% | .78% | .78% | .77% | .79% |
Expenses net of all reductions | .76% | .78% | .78% | .76% | .79% |
Net investment income | 5.23% | 6.37% | 5.73% | 5.52% | 5.36% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,481 | $ 1,156 | $ 750 | $ 889 | $ 655 |
Portfolio turnover rate D | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended December 31, 2010
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases by existing shareholders. 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.
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 held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on 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 Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Annual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of December 31, 2010 for the Fund's investments, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. 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 fair value and are categorized as Level 2 in the hierarchy.
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Annual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. 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 according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though the principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. As of December 31, 2010, the Fund did not have any unrecognized tax benefits in the accompanying financial statements. A fund's federal tax return is subject
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, defaulted bonds, market discount, partnership (including allocations from Fidelity Central Funds), capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 664,469 |
Gross unrealized depreciation | (195,438) |
Net unrealized appreciation (depreciation) | $ 469,031 |
|
|
Tax Cost | $ 8,717,449 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 13,220 |
Undistributed long-term capital gain | $ 45,501 |
Net unrealized appreciation (depreciation) | $ 468,810 |
The tax character of distributions paid was as follows:
| December 31, 2010 | December 31, 2009 |
Ordinary Income | $ 495,344 | $ 393,821 |
Long-term Capital Gains | 107,589 | - |
Total | $ 602,933 | $ 393,821 |
Annual Report
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from 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 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.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments. At the end of the period, the Fund had unfunded loan commitments of $56.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Annual Report
5. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk |
|
|
Swap Agreements | $ (1,038) | $ (248) |
Totals (a)(b) | $ (1,038) | $ (248) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
(b) Total derivatives net realized gain (loss) included in the Statement of Operations is comprised of $(1,038) for swap agreements.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss may include interest rate risk. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $11,437,165 and $10,818,259, respectively.
7. 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 .45% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .57% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of 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, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 9,799 | $ - |
Class T | -% | .25% | 3,922 | - |
Class B | .65% | .25% | 3,039 | 2,195 |
Class C | .75% | .25% | 14,959 | 4,122 |
|
|
| $ 31,719 | $ 6,137 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. 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% for certain purchases of Class A shares (1.00 to .50% prior to July 12, 2010) and .25% for certain purchases of Class T shares.
Annual Report
7. 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 | $ 570 |
Class T | 123 |
Class B* | 717 |
Class C* | 236 |
| $ 1,646 |
* 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, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 5,659 | .14 |
Class T | 2,245 | .14 |
Class B | 670 | .20 |
Class C | 2,083 | .14 |
Institutional Class | 2,199 | .16 |
| $ 12,856 |
|
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.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $3.75 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 $33 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, 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 rebates paid to borrowers and lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $45.
10. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period for which loans were outstanding amounted to $13,953. The weighted average interest rate was .68%. The interest expense amounted to two hundred sixty-four dollars under the bank borrowing program. At period end, there were no bank borrowings outstanding.
Annual Report
11. 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 $4.
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended December 31, | 2010 | 2009 |
From net investment income |
|
|
Class A | $ 184,441 | $ 145,916 |
Class T | 73,231 | 74,724 |
Class B | 13,190 | 13,400 |
Class C | 59,445 | 45,479 |
Institutional Class | 65,453 | 48,155 |
Total | $ 395,760 | $ 327,674 |
From net realized gain |
|
|
Class A | $ 94,835 | $ 30,314 |
Class T | 35,520 | 12,897 |
Class B | 7,104 | 2,829 |
Class C | 36,622 | 10,891 |
Institutional Class | 33,092 | 9,216 |
Total | $ 207,173 | $ 66,147 |
13. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended December 31, | 2010 | 2009 | 2010 | 2009 |
Class A |
|
|
|
|
Shares sold | 112,762 | 138,915 | $ 1,400,620 | $ 1,553,818 |
Reinvestment of distributions | 18,407 | 14,252 | 227,669 | 161,349 |
Shares redeemed | (101,668) | (68,424) | (1,258,358) | (752,938) |
Net increase (decrease) | 29,501 | 84,743 | $ 369,931 | $ 962,229 |
Class T |
|
|
|
|
Shares sold | 29,433 | 30,555 | $ 365,455 | $ 335,869 |
Reinvestment of distributions | 7,441 | 7,202 | 92,005 | 80,594 |
Shares redeemed | (40,227) | (44,403) | (499,102) | (485,844) |
Net increase (decrease) | (3,353) | (6,646) | $ (41,642) | $ (69,381) |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
13. Share Transactions - continued
| Shares | Dollars | ||
Years ended December 31, | 2010 | 2009 | 2010 | 2009 |
Class B |
|
|
|
|
Shares sold | 5,248 | 8,165 | $ 64,803 | $ 90,422 |
Reinvestment of distributions | 1,280 | 1,115 | 15,870 | 12,582 |
Shares redeemed | (10,447) | (7,847) | (130,170) | (85,639) |
Net increase (decrease) | (3,919) | 1,433 | $ (49,497) | $ 17,365 |
Class C |
|
|
|
|
Shares sold | 39,572 | 43,623 | $ 490,689 | $ 485,642 |
Reinvestment of distributions | 5,847 | 3,723 | 72,188 | 42,110 |
Shares redeemed | (25,653) | (18,979) | (318,984) | (205,293) |
Net increase (decrease) | 19,766 | 28,367 | $ 243,893 | $ 322,459 |
Institutional Class |
|
|
|
|
Shares sold | 51,309 | 46,051 | $ 643,733 | $ 519,754 |
Reinvestment of distributions | 5,561 | 3,632 | 69,558 | 41,290 |
Shares redeemed | (32,913) | (31,328) | (414,204) | (343,846) |
Net increase (decrease) | 23,957 | 18,355 | $ 299,087 | $ 217,198 |
14. 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.
15. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Strategic Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Strategic Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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 December 31, 2010, 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 the financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Strategic Income Fund as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 22, 2011
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 408 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (49) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (59) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of the Credit Suisse Funds (U.S. mutual funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (70) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (64) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Derek L. Young (46) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Asset Allocation Funds. Mr. Young also serves as Chief Investment Officer of the Global Asset Allocation Group (2009-present). Previously, Mr. Young served as a portfolio manager. |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008-present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (52) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (49) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Jonathan Davis (42) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Advisor Strategic Income Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Class A | 02/14/2011 | 02/11/2011 | $0.062 |
Class T | 02/14/2011 | 02/11/2011 | $0.062 |
Class B | 02/14/2011 | 02/11/2011 | $0.062 |
Class C | 02/14/2011 | 02/11/2011 | $0.062 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2010, $161,360,205, or, if subsequently determined to be different, the net capital gain of such year.
A total of 6.89% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $242,435,115 of distributions paid during the period January 1, 2010 to December 31, 2010 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2011 of amounts for use in preparing 2010 income tax returns.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2010 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and that the compensation to be received by Fidelity under the management contract is fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by Fidelity's competitors, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interest of the fund.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that Fidelity's analysts have access to a variety of technological tools and market and securities data that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. The Board noted FMR's continued focus on strengthening the organization and discipline of equity portfolio management and research.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the investment adviser's supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
Annual Report
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) dedicating additional resources to investment research and restructuring and broadening the focus of the investment research teams; (ii) bolstering the senior management team that oversees asset management; (iii) launching Class F of certain funds as a lower-fee class available to Freedom K and Freedom Index Funds; (iv) lowering the initial investment minimums and ongoing balance requirements for Real Estate High Income Fund; (v) eliminating subsequent purchase minimums for all funds and adding a waiver of the investment minimum requirement for new accounts opened with the proceeds of a systematic withdrawal plan; (vi) eliminating the withdrawal minimum and maximum limits for systematic withdrawals from Advisor funds; (vii) expanding sales load waivers on Class A shares for Destiny Planholders and expanding Institutional Class eligibility for Class O Destiny Planholders; and (viii) changing certain Class A and Class T sales charge structures to further align them with industry practices.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured over multiple periods against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by Fidelity and reviewed by the Board. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2009, the cumulative total returns of Institutional Class (Class I) and Class C of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Morningstar, Inc. as having an investment style similar to that of the fund based on underlying portfolio holdings. The returns of Institutional Class (Class I) and Class C show the performance of the highest and lowest performing classes, respectively (based on five-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's four general investment categories according to their respective weightings in the fund's neutral mix.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Advisor Strategic Income Fund
The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of Institutional Class (Class I) of the fund was in the second quartile for the one-year period and the first quartile for the three- and five-year periods. The Board also noted that the investment performance of Institutional Class (Class I) of the fund compared favorably to its benchmark for all the periods shown. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes. The Board also reviewed the fund's performance since inception as well as performance in the current year.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance and factoring in the unprecedented market events in recent years, the Board concluded that the nature, extent, and quality of investment management and support services and of shareholder and administrative services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Annual Report
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 26% means that 74% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Fidelity Advisor Strategic Income Fund
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2009.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Total Expenses. In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the total expenses of each class ranked below its competitive median for 2009.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of FMR and its affiliates, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients. In March 2010, the Board created an ad hoc joint committee with the board of other Fidelity funds (the Committee) to review and compare Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.
Based on its review of total expenses and fees charged to other Fidelity clients, the Board concluded that the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered, including the findings of the Committee.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
Annual Report
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and were satisfied that the profitability was not excessive in the circumstances.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions.
In February 2009, the Board and the board of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether FMR attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board concluded, considering the findings of the Economies of Scale Committee, that any potential economies of scale are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology and profitability trends for certain funds; (iii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iv) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (v) the compensation paid by FMR to fund sub-advisers on behalf of the Fidelity funds; (vi) Fidelity's fee structures and rationale for recommending different fees among different categories of funds and classes, as well as Fidelity's voluntary waiver of fees to maintain minimum yields for certain funds and classes; (vii) the rationale for any differences between fund fee structures and fee structures in place for other Fidelity clients; and (viii) explanations regarding the relative total expenses borne by certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expenses for certain funds and classes or to achieve further economies of scale.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
Fidelity Investments Money Management, Inc.
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 Mellon
New York, NY
SI-UANN-0211
1.787727.107
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Institutional Class
Annual Report
December 31, 2010
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Performance | How the fund has done over time. | |
Management's Discussion of Fund Performance | The Portfolio Managers' review of fundperformance and strategy. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Report of Independent Registered Public Accounting Firm |
| |
Trustees and Officers |
| |
Distributions |
| |
Board Approval of Investment Advisory Contracts and Management Fees |
|
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company.
Annual Report
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Annual Report
Chairman's Message
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
The investment environment in 2010 was volatile but generally supportive of most major asset classes. Equities experienced the biggest gains, rallying in the second half of the period on incremental economic growth, supportive monetary policies, strong corporate profits and very little inflation. Still, questions remained about the longer-term outlook, most notably persistently high unemployment. Financial markets are always unpredictable, of course, but there also are several time-tested investment principles that can help put the 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 can be tax advantages and cost benefits to consider as well. 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 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 "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 by phone. It is our privilege to provide you the information you need to make the investments that are right for you.
Sincerely,
(The chairman's signature appears here.)
Abigail P. Johnson
Annual Report
Performance: The Bottom Line
Average annual total return reflects the change in the value of an investment, assuming reinvestment of the class' dividend income and capital gains (the profits earned upon the sale of securities that have grown in value, if any) and assuming a constant rate of performance each year. The $10,000 table and the fund's returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. During periods of reimbursement by Fidelity, a fund's total return will be greater than it would be had the reimbursement not occurred. How a fund did yesterday is no guarantee of how it will do tomorrow.
Average Annual Total Returns
Periods ended December 31, 2010 |
| Past 1 | Past 5 | Past 10 |
Institutional Class |
| 9.80% | 8.01% | 8.71% |
$10,000 Over 10 Years
Let's say hypothetically that $10,000 was invested in Fidelity Advisor® Strategic Income Fund - Institutional Class on December 31, 2000. The chart shows how the value of your investment would have changed, and also shows how The BofA Merrill LynchSM US High Yield Constrained Index performed over the same period.
Annual Report
Management's Discussion of Fund Performance
Market Recap: Fixed-income markets achieved solid gains for the year ending December 31, 2010, despite bouts of volatility in the world's still-fragile credit markets due to concern about European debt woes. With ultra-low interest rates bolstering nearly all fixed-income securities for most of the year, asset classes with higher yields and more credit risk generally fared better than high-quality bonds backed by the federal government. Accordingly, The BofA Merrill LynchSM US High Yield Constrained Index gained 15.07%, while the Barclays Capital® U.S. Government Bond Index rose 5.52%. Foreign bonds showed mixed results during the period, with a sizable disparity between the gains of major developed markets and emerging-markets fixed-income securities. Concerns about sovereign debt hampered not only European equities, but also fixed-income securities in that region, and the Citigroup® Non-U.S. Group of 7 Index - which measures the performance of sovereign debt of the major global economies outside the U.S. - returned only 3.97% for the year. Conversely, the rising overall credit quality of emerging-markets debt issuers provided support for this asset class, helping the JPMorgan Emerging Markets Bond Index Global (EMBI Global) advance 12.04%. Returns across the nearly 40 individual country components of the EMBI Global index were predominantly positive for the period.
Comments from Joanna Bewick and Christopher Sharpe, Lead Co-Managers of Fidelity Advisor® Strategic Income Fund: During the year, the fund's Class A, Class T, Class B and Class C shares rose 9.48%, 9.57%, 8.77% and 8.77%, respectively (excluding sales charges), falling short of the 10.10% return of the Fidelity Strategic Income Composite Index. Asset allocation and security selection each provided a meaningful contribution to overall results. From a subportfolio standpoint, the high-yield debt sleeve produced the largest absolute return, but fell just short of its index, nicking overall results. Adverse security selection in publishing/printing and holding some uninvested cash played a big role in the sleeve's marginal underperformance. Elsewhere, the U.S. government bond sub posted a mid-single-digit return, benefiting mostly from superior security selection among Treasuries. The fund's emerging-markets debt category produced a double-digit gain and was the biggest contributor to relative performance. A significant overweighting in Argentina proved rewarding here, as did larger-than-benchmark positions in Ukraine and Venezuela. The developed-markets debt sleeve delivered the smallest absolute result, but still outpaced its benchmark due to successful yield-curve positioning and credit exposure. Unfortunately, currency fluctuations slightly dampened returns in this category. Lastly, excess return from the floating-rate central fund further aided performance.
Comments from Joanna Bewick and Christopher Sharpe, Lead Co-Managers of Fidelity Advisor® Strategic Income Fund: During the year, the fund's Institutional Class shares rose 9.80%, roughly in line with the 10.10% return of the Fidelity Strategic Income Composite Index. Asset allocation and security selection each provided a meaningful contribution to overall results. From a subportfolio standpoint, the high-yield debt sleeve produced the largest absolute return, but fell just short of its index, nicking overall results. Adverse security selection in publishing/printing and holding some uninvested cash played a big role in the sleeve's marginal underperformance. Elsewhere, the U.S. government bond sub posted a mid-single-digit return, benefiting mostly from superior security selection among Treasuries. The fund's emerging-markets debt category produced a double-digit gain and was the biggest contributor to relative performance. A significant overweighting in Argentina proved rewarding here, as did larger-than-benchmark positions in Ukraine and Venezuela. The developed-markets debt sleeve delivered the smallest absolute result, but still outpaced its benchmark due to successful yield-curve positioning and credit exposure. Unfortunately, currency fluctuations slightly dampened returns in this category. Lastly, excess return from the floating-rate central fund further aided performance.
Annual Report
The views expressed above reflect those of the portfolio manager(s) only through the end of the period as stated on the cover of this report and do not necessarily represent the views of Fidelity or any other person in the Fidelity organization. Any such views are subject to change at any time based upon market or other conditions and Fidelity disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a Fidelity fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any Fidelity fund.
Annual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (July 1, 2010 to December 31, 2010).
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.
Annual Report
Shareholder Expense Example - continued
| Annualized Expense Ratio | Beginning | Ending | Expenses Paid |
Class A | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,065.60 | $ 5.10 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.27 | $ 4.99 |
Class T | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,066.40 | $ 5.10 |
HypotheticalA |
| $ 1,000.00 | $ 1,020.27 | $ 4.99 |
Class B | 1.68% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,062.50 | $ 8.73 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.74 | $ 8.54 |
Class C | 1.72% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,062.60 | $ 8.94 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.53 | $ 8.74 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,067.80 | $ 3.96 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.37 | $ 3.87 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Annual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Top Five Holdings as of December 31, 2010 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 17.0 | 17.8 |
German Federal Republic | 3.6 | 2.0 |
Japan Government | 2.4 | 2.4 |
Canadian Government | 2.3 | 2.2 |
UK Treasury GILT | 2.1 | 1.9 |
| 27.4 | |
Top Five Market Sectors as of December 31, 2010 | ||
| % of fund's | % of fund's net assets |
Consumer Discretionary | 8.9 | 8.3 |
Telecommunication Services | 8.0 | 7.7 |
Financials | 7.6 | 7.2 |
Energy | 6.0 | 5.5 |
Industrials | 4.7 | 4.0 |
Quality Diversification (% of fund's net assets) | |||||||
As of December 31, 2010 | As of June 30, 2010 | ||||||
U.S. Government |
| U.S. Government |
| ||||
AAA,AA,A 13.9% |
| AAA,AA,A 12.6% |
| ||||
BBB 4.0% |
| BBB 3.8% |
| ||||
BB 15.2% |
| BB 13.1% |
| ||||
B 25.2% |
| B 22.4% |
| ||||
CCC,CC,C 7.9% |
| CCC,CC,C 9.1% |
| ||||
Not Rated 2.6% |
| Not Rated 4.8% |
| ||||
Equities 1.5% |
| Equities 1.2% |
| ||||
Short-Term |
| Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes.
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the report date and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of December 31, 2010 * | As of June 30, 2010 ** | ||||||
Preferred Securities 0.2% |
| Preferred Securities 0.6% |
| ||||
Corporate Bonds 38.1% |
| Corporate Bonds 34.5% |
| ||||
U.S. Government |
| U.S. Government |
| ||||
Foreign Government & Government Agency Obligations 22.7% |
| Foreign Government & Government Agency Obligations 22.0% |
| ||||
Floating Rate Loans 7.6% |
| Floating Rate Loans 8.3% |
| ||||
Stocks 1.5% |
| Stocks 1.2% |
| ||||
Other Investments 0.2% |
| Other Investments 0.4% |
| ||||
Short-Term |
| Short-Term |
| ||||
* Foreign investments | 34.1% |
| ** Foreign investments | 33.4% |
| ||
* Swaps | (0.3%) |
| ** Swaps | (0.1%) |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes.
An unaudited holdings list for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds is available at advisor.fidelity.com. |
Annual Report
Investments December 31, 2010
Showing Percentage of Net Assets
Corporate Bonds - 37.9% | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Convertible Bonds - 1.6% | ||||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.2% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 (f) | $ 11,836 | $ 22,810 | ||
Hotels, Restaurants & Leisure - 0.1% | ||||
MGM Mirage, Inc. 4.25% 4/15/15 (f) | 4,610 | 5,019 | ||
TOTAL CONSUMER DISCRETIONARY | 27,829 | |||
ENERGY - 0.8% | ||||
Energy Equipment & Services - 0.1% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,543 | ||
Oil, Gas & Consumable Fuels - 0.7% | ||||
Alpha Natural Resources, Inc. 2.375% 4/15/15 | 16,660 | 22,146 | ||
Chesapeake Energy Corp. 2.5% 5/15/37 | 16,670 | 14,871 | ||
Massey Energy Co. 3.25% 8/1/15 | 30,040 | 29,379 | ||
| 66,396 | |||
TOTAL ENERGY | 68,939 | |||
HEALTH CARE - 0.2% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
Kinetic Concepts, Inc. 3.25% 4/15/15 (f) | 14,400 | 15,191 | ||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Wireless Telecommunication Services - 0.3% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 28,672 | ||
TOTAL CONVERTIBLE BONDS | 140,631 | |||
Nonconvertible Bonds - 36.3% | ||||
CONSUMER DISCRETIONARY - 5.6% | ||||
Auto Components - 0.5% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 2,950 | 2,994 | ||
9% 11/30/14 (f) | 2,190 | 2,234 | ||
10.75% 8/15/16 (f) | 1,813 | 2,012 | ||
Cooper-Standard Automotive, Inc. 8.5% 5/1/18 (f) | 1,775 | 1,870 | ||
Lear Corp.: | ||||
7.875% 3/15/18 | 1,380 | 1,470 | ||
8.125% 3/15/20 | 1,530 | 1,660 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
RSC Equipment Rental, Inc. 10% 7/15/17 (f) | $ 2,610 | $ 2,969 | ||
Stoneridge, Inc. 9.5% 10/15/17 (f) | 2,330 | 2,505 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 (f) | 6,205 | 6,267 | ||
7.75% 8/15/18 (f) | 1,545 | 1,634 | ||
8.125% 11/15/15 | 1,185 | 1,256 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 4,795 | 5,466 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (f) | 5,143 | 5,483 | ||
TRW Automotive, Inc.: | ||||
7% 3/15/14 (f) | 335 | 358 | ||
7.25% 3/15/17 (f) | 240 | 259 | ||
8.875% 12/1/17 (f) | 1,550 | 1,732 | ||
| 40,169 | |||
Automobiles - 0.1% | ||||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 10,670 | 3,628 | ||
7.125% 7/15/13 (c) | 1,605 | 542 | ||
7.2% 1/15/11 (c) | 4,015 | 1,285 | ||
7.4% 9/1/25 (c) | 500 | 168 | ||
7.7% 4/15/16 (c) | 7,804 | 2,575 | ||
8.25% 7/15/23 (c) | 4,845 | 1,684 | ||
8.375% 7/15/33 (c) | 7,015 | 2,508 | ||
| 12,390 | |||
Distributors - 0.1% | ||||
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 (f) | 4,470 | 4,358 | ||
Diversified Consumer Services - 0.0% | ||||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 668 | ||
Hotels, Restaurants & Leisure - 1.6% | ||||
Blue Acquisition Sub, Inc. 9.875% 10/15/18 (f) | 6,600 | 6,963 | ||
DineEquity, Inc. 9.5% 10/30/18 (f) | 2,410 | 2,549 | ||
Dunkin Finance Corp. 9.625% 12/1/18 (f) | 2,390 | 2,414 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,605 | ||
Harrah's Escrow Corp. 12.75% 4/15/18 (f) | 7,620 | 7,811 | ||
Harrah's Operating Co., Inc. 11.25% 6/1/17 | 5,650 | 6,356 | ||
Landry's Restaurants, Inc.: | ||||
11.625% 12/1/15 | 1,385 | 1,461 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Landry's Restaurants, Inc.: - continued | ||||
11.625% 12/1/15 (f) | $ 1,000 | $ 1,055 | ||
MCE Finance Ltd. 10.25% 5/15/18 | 7,675 | 8,769 | ||
MGM Mirage, Inc.: | ||||
5.875% 2/27/14 | 3,890 | 3,579 | ||
6.625% 7/15/15 | 8,014 | 7,253 | ||
6.75% 4/1/13 | 3,430 | 3,327 | ||
6.875% 4/1/16 | 4,440 | 3,974 | ||
7.5% 6/1/16 | 3,955 | 3,629 | ||
7.625% 1/15/17 | 5,785 | 5,293 | ||
9% 3/15/20 (f) | 3,485 | 3,834 | ||
10.375% 5/15/14 | 1,535 | 1,723 | ||
11.125% 11/15/17 | 17,530 | 20,072 | ||
MGM Resorts International 10% 11/1/16 (f) | 9,210 | 9,302 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,333 | 1,441 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (f) | 2,745 | 2,882 | ||
NCL Corp. Ltd. 9.5% 11/15/18 (f) | 1,450 | 1,504 | ||
Roadhouse Financing, Inc. 10.75% 10/15/17 (f) | 5,275 | 5,684 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (f) | 1,540 | 1,078 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,512 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (c) | 9,620 | 1 | ||
6.5% 2/1/14 (c) | 11,643 | 29 | ||
6.625% 3/15/18 (c) | 11,970 | 30 | ||
6.875% 3/1/16 (c) | 12,803 | 32 | ||
7.75% 8/15/16 (c) | 14,415 | 1 | ||
Town Sports International Holdings, Inc. 11% 2/1/14 | 3,328 | 3,295 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 | 3,030 | 3,219 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (c) | 575 | 271 | ||
12.75% 1/15/13 (c) | 1,070 | 1 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (f) | 996 | 543 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 | 18,025 | 19,197 | ||
| 146,689 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.3% | ||||
Controladora Mabe SA CV 7.875% 10/28/19 (f) | $ 3,020 | $ 3,413 | ||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,075 | ||
K. Hovnanian Enterprises, Inc. 10.625% 10/15/16 | 6,165 | 6,350 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (f) | 6,915 | 7,261 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA: | ||||
7.125% 4/15/19 (f) | 2,845 | 2,902 | ||
9% 4/15/19 (f) | 3,260 | 3,342 | ||
Sealy Mattress Co. 10.875% 4/15/16 (f) | 1,508 | 1,704 | ||
| 28,047 | |||
Leisure Equipment & Products - 0.1% | ||||
Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18 (f) | 7,710 | 8,250 | ||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,644 | ||
| 9,894 | |||
Media - 2.3% | ||||
AMC Entertainment, Inc. 11% 2/1/16 | 8,060 | 8,584 | ||
Bresnan Broadband Holdings LLC 8% 12/15/18 (f) | 2,255 | 2,317 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (f) | 6,485 | 6,842 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 6,489 | 7,738 | ||
Checkout Holding Corp. 0% 11/15/15 (f) | 3,310 | 2,031 | ||
Clear Channel Communications, Inc.: | ||||
4.9% 5/15/15 | 2,600 | 2,002 | ||
5.5% 9/15/14 | 2,000 | 1,660 | ||
5.5% 12/15/16 | 1,890 | 1,229 | ||
6.25% 3/15/11 | 175 | 175 | ||
6.875% 6/15/18 | 1,275 | 794 | ||
10.75% 8/1/16 | 21,845 | 19,442 | ||
11% 8/1/16 pay-in-kind (j) | 4,736 | 4,120 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
Series A, 9.25% 12/15/17 | 1,490 | 1,620 | ||
Series B, 9.25% 12/15/17 | 13,145 | 14,394 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 33,535 | 34,541 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(f) | 12,615 | 13,246 | ||
Gray Television, Inc. 10.5% 6/29/15 | 1,985 | 2,000 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Interpublic Group of Companies, Inc. 10% 7/15/17 | $ 2,530 | $ 2,941 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,372 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 | 845 | 932 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (f) | 850 | 731 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 | 2,830 | 3,219 | ||
Nielsen Finance LLC/Nielsen Finance Co.: | ||||
7.75% 10/15/18 (f) | 7,365 | 7,604 | ||
11.5% 5/1/16 | 4,920 | 5,646 | ||
11.625% 2/1/14 | 2,535 | 2,909 | ||
Rainbow National Services LLC: | ||||
8.75% 9/1/12 (f) | 3,280 | 3,280 | ||
10.375% 9/1/14 (f) | 9,075 | 9,370 | ||
Sinclair Television Group, Inc. 8.375% 10/15/18 (f) | 3,550 | 3,657 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 635 | ||
The Reader's Digest Association, Inc. 9.5% 2/15/17 (f)(j) | 6,000 | 5,955 | ||
TL Acquisitions, Inc. 10.5% 1/15/15 (f) | 11,490 | 11,835 | ||
Univision Communications, Inc. 12% 7/1/14 (f) | 16,875 | 18,478 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 557 | ||
| 206,856 | |||
Multiline Retail - 0.1% | ||||
Sears Holdings Corp. 6.625% 10/15/18 (f) | 9,800 | 9,188 | ||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 (f) | 1,455 | 1,499 | ||
Claire's Stores, Inc.: | ||||
9.25% 6/1/15 | 1,235 | 1,192 | ||
10.375% 6/1/15 pay-in-kind (j) | 2,170 | 2,118 | ||
Michaels Stores, Inc. 7.75% 11/1/18 (f) | 14,235 | 14,164 | ||
Sonic Automotive, Inc. 9% 3/15/18 | 9,150 | 9,585 | ||
| 28,558 | |||
Textiles, Apparel & Luxury Goods - 0.2% | ||||
American Achievement Corp. 10.875% 4/15/16 (f) | 2,985 | 3,075 | ||
Hanesbrands, Inc. 6.375% 12/15/20 (f) | 7,350 | 6,964 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Textiles, Apparel & Luxury Goods - continued | ||||
Levi Strauss & Co.: | ||||
7.625% 5/15/20 | $ 9,350 | $ 9,631 | ||
8.875% 4/1/16 | 1,650 | 1,731 | ||
| 21,401 | |||
TOTAL CONSUMER DISCRETIONARY | 508,218 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.1% | ||||
Anheuser-Busch InBev SA NV 4% 4/26/18 | EUR | 2,500 | 3,372 | |
Carlsberg Breweries A/S 3.375% 10/13/17 | EUR | 2,000 | 2,573 | |
Cerveceria Nacional Dominicana C por A: | ||||
8% 3/27/14 (Reg. S) | 780 | 803 | ||
16% 3/27/12 | 150 | 133 | ||
16% 3/27/12 (f) | 5,372 | 4,768 | ||
| 11,649 | |||
Food & Staples Retailing - 0.2% | ||||
Rite Aid Corp.: | ||||
8% 8/15/20 | 7,350 | 7,644 | ||
9.5% 6/15/17 | 1,085 | 914 | ||
9.75% 6/12/16 | 3,670 | 4,046 | ||
10.25% 10/15/19 | 1,835 | 1,904 | ||
Simmons Foods, Inc. 10.5% 11/1/17 (f) | 2,845 | 3,009 | ||
| 17,517 | |||
Food Products - 0.4% | ||||
Bumble Bee Acquisition Corp. 9% 12/15/17 (f) | 3,750 | 3,891 | ||
Darling International, Inc. 8.5% 12/15/18 (f) | 1,130 | 1,177 | ||
Dean Foods Co. 9.75% 12/15/18 (f) | 7,250 | 7,304 | ||
Harbinger Group, Inc. 10.625% 11/15/15 (f) | 2,645 | 2,638 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 (c) | 370 | 4 | ||
JBS USA LLC/JBS USA Finance, Inc. 11.625% 5/1/14 | 5,200 | 5,999 | ||
Michael Foods Group, Inc. 9.75% 7/15/18 (f) | 1,885 | 2,045 | ||
Pilgrims Pride Corp. 7.875% 12/15/18 (f) | 6,345 | 6,305 | ||
Smithfield Foods, Inc. 10% 7/15/14 (f) | 5,540 | 6,371 | ||
| 35,734 | |||
Personal Products - 0.1% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 475 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Personal Products - continued | ||||
NBTY, Inc. 9% 10/1/18 (f) | $ 5,005 | $ 5,305 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 | 3,875 | 4,117 | ||
| 9,897 | |||
TOTAL CONSUMER STAPLES | 74,797 | |||
ENERGY - 5.2% | ||||
Energy Equipment & Services - 0.2% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,619 | ||
Frac Tech Services LLLC/Frac Tech Finance, Inc. 7.125% 11/15/18 (f) | 2,210 | 2,243 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (f) | 3,970 | 4,109 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,581 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,245 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (f) | 1,615 | 1,635 | ||
| 17,432 | |||
Oil, Gas & Consumable Fuels - 5.0% | ||||
Adaro Indonesia PT 7.625% 10/22/19 (f) | 4,515 | 4,950 | ||
Arch Coal, Inc. 7.25% 10/1/20 | 1,670 | 1,741 | ||
Atlas Energy Operating Co. LLC/Financing Corp. 10.75% 2/1/18 | 4,090 | 4,995 | ||
Atlas Pipeline Partners LP 8.125% 12/15/15 | 9,415 | 9,697 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 (f) | 32,370 | 30,671 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 3,047 | ||
10.25% 6/1/14 | 2,220 | 2,547 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 (f) | 2,340 | 2,410 | ||
Chaparral Energy, Inc.: | ||||
8.5% 12/1/15 | 4,498 | 4,577 | ||
9.875% 10/1/20 (f) | 1,845 | 1,946 | ||
Chesapeake Energy Corp.: | ||||
6.5% 8/15/17 | 13,550 | 13,516 | ||
6.875% 11/15/20 | 12,030 | 12,180 | ||
7.25% 12/15/18 | 1,970 | 2,024 | ||
9.5% 2/15/15 | 5,630 | 6,348 | ||
Concho Resources, Inc. 7% 1/15/21 | 2,855 | 2,926 | ||
Connacher Oil and Gas Ltd. 10.25% 12/15/15 (f) | 4,560 | 4,583 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 (f) | $ 6,470 | $ 6,858 | ||
8.25% 4/1/20 (f) | 6,645 | 7,110 | ||
Continental Resources, Inc.: | ||||
7.125% 4/1/21 (f) | 2,540 | 2,642 | ||
8.25% 10/1/19 | 885 | 982 | ||
Crosstex Energy/Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,166 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,226 | ||
9.75% 3/1/16 | 1,660 | 1,849 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 7,335 | 7,555 | ||
9% 10/15/14 (f) | 8,730 | 9,276 | ||
DTEK Finance BV 9.5% 4/28/15 (f) | 3,235 | 3,340 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 10,567 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 (f) | 12,735 | 13,244 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 502 | ||
International Coal Group, Inc. 9.125% 4/1/18 | 3,690 | 4,004 | ||
InterNorth, Inc. 9.625% 3/16/06 (c) | 935 | 0 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (f) | 3,335 | 3,285 | ||
7% 5/5/20 (f) | 3,100 | 3,209 | ||
8.375% 7/2/13 (f) | 3,355 | 3,674 | ||
9.125% 7/2/18 (f) | 3,975 | 4,631 | ||
11.75% 1/23/15 (f) | 4,880 | 6,051 | ||
LINN Energy LLC: | ||||
7.75% 2/1/21 (f) | 17,760 | 18,204 | ||
8.625% 4/15/20 (f) | 14,060 | 15,150 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp. 6.75% 11/1/20 | 1,880 | 1,880 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 2,830 | 3,088 | ||
Nakilat, Inc. 6.267% 12/31/33 (Reg. S) | 1,728 | 1,797 | ||
Newfield Exploration Co. 6.875% 2/1/20 | 12,875 | 13,454 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 10.5% 12/1/17 (f) | 4,575 | 4,724 | ||
Pacific Rubiales Energy Corp. 8.75% 11/10/16 | 3,000 | 3,368 | ||
Pan American Energy LLC 7.875% 5/7/21 (f) | 2,045 | 2,168 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 6,246 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Pemex Project Funding Master Trust 6.625% 6/15/35 | $ 4,245 | $ 4,266 | ||
Petrobras International Finance Co. Ltd.: | ||||
6.875% 1/20/40 | 3,175 | 3,302 | ||
8.375% 12/10/18 | 1,635 | 1,989 | ||
Petrohawk Energy Corp. 7.875% 6/1/15 | 22,900 | 23,845 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 6,550 | 4,061 | ||
5.25% 4/12/17 | 10,385 | 5,868 | ||
5.375% 4/12/27 | 41,035 | 19,389 | ||
5.5% 4/12/37 | 7,220 | 3,339 | ||
Petroleos de Venezuela SA 144: | ||||
8% 11/17/13 (f) | 2,530 | 2,078 | ||
8.5% 11/2/17 (f) | 9,790 | 6,584 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 | 3,200 | 3,248 | ||
6% 3/5/20 | 2,990 | 3,177 | ||
6.625% (f) | 8,755 | 8,711 | ||
8% 5/3/19 | 2,695 | 3,234 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 3,886 | 3,867 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,917 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 9,093 | ||
Plains Exploration & Production Co. 10% 3/1/16 | 10,150 | 11,267 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,852 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,493 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 | 3,565 | 3,850 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,576 | ||
Southwestern Energy Co. 7.5% 2/1/18 | 2,460 | 2,764 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. 11.25% 7/15/17 | 4,265 | 4,883 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 4,023 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 582 | ||
7.5% 4/1/17 | 7,600 | 8,737 | ||
7.625% 4/1/37 | 1,035 | 1,152 | ||
8.375% 6/15/32 | 1,155 | 1,359 | ||
TNK-BP Finance SA 7.5% 7/18/16 | 3,490 | 3,861 | ||
Venoco, Inc. 11.5% 10/1/17 | 5,185 | 5,535 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
W&T Offshore, Inc. 8.25% 6/15/14 (f) | $ 5,300 | $ 5,247 | ||
YPF SA 10% 11/2/28 | 4,285 | 4,928 | ||
| 459,485 | |||
TOTAL ENERGY | 476,917 | |||
FINANCIALS - 6.7% | ||||
Capital Markets - 0.2% | ||||
Bank Nederlandse Gemeenten NV 2.5% 11/15/17 | EUR | 5,000 | 6,415 | |
Equinox Holdings, Inc. 9.5% 2/1/16 (f) | 5,755 | 6,079 | ||
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 1,130 | 1,813 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (f) | 3,580 | 3,276 | ||
| 17,583 | |||
Commercial Banks - 2.3% | ||||
African Export-Import Bank 8.75% 11/13/14 | 4,020 | 4,502 | ||
Akbank T. A. S. 5.125% 7/22/15 (f) | 4,605 | 4,645 | ||
Ally Financial, Inc.: | ||||
7.5% 9/15/20 (f) | 19,185 | 20,144 | ||
8% 3/15/20 | 25,720 | 27,649 | ||
Banco Bilbao Vizcaya Argentaria SA 3.5% 7/26/13 | EUR | 2,300 | 3,033 | |
Banco Bradesco SA 5.9% 1/16/21 (f) | 2,270 | 2,273 | ||
Banco de Credito del Peru 5.375% 9/16/20 (f) | 2,055 | 2,017 | ||
Banco do Nordeste do Brasil SA 3.625% 11/9/15 (f) | 1,965 | 1,916 | ||
BanColombia SA 6.125% 7/26/20 | 2,000 | 2,040 | ||
Barclays Bank PLC 14.9359% 3/18/13 (f)(j) | 4,245 | 4,244 | ||
BNP Paribas Public Sector SCF 2.25% 10/22/15 | EUR | 5,200 | 6,748 | |
CIT Group, Inc.: | ||||
7% 5/1/13 | 1,854 | 1,888 | ||
7% 5/1/14 | 2,780 | 2,801 | ||
7% 5/1/15 | 2,780 | 2,787 | ||
7% 5/1/16 | 13,914 | 13,914 | ||
7% 5/1/17 | 29,888 | 29,850 | ||
Development Bank of Kazakhstan JSC 5.5% 12/20/15 (f) | 1,940 | 1,947 | ||
Development Bank of Philippines 8.375% (j) | 6,440 | 7,116 | ||
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 21,735 | 22,034 | ||
Export-Import Bank of India 0.6825% 6/7/12 (j) | JPY | 170,000 | 2,049 | |
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
HSBK (Europe) BV: | ||||
7.25% 5/3/17 (f) | $ 2,050 | $ 2,071 | ||
9.25% 10/16/13 (f) | 8,170 | 8,885 | ||
Intesa Sanpaolo SpA 3.75% 11/23/16 | EUR | 1,850 | 2,398 | |
Itau Unibanco Holding SA 5.75% 1/22/21 (f) | 2,055 | 2,050 | ||
Kazkommerts International BV 8.5% 4/16/13 (f) | 3,380 | 3,270 | ||
Nordea Bank Finland PLC 2.25% 11/16/15 | EUR | 5,250 | 6,853 | |
RSHB Capital SA 9% 6/11/14 (f) | 1,535 | 1,729 | ||
SNS Bank NV 3.5% 9/28/20 | EUR | 1,600 | 2,035 | |
The State Export-Import Bank of Ukraine JSC 8.4% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 3,725 | 3,576 | ||
Trade & Development Bank of Mong LLC 8.5% 10/25/13 | 1,965 | 2,004 | ||
US Bank NA 4.375% 2/28/17 (j) | EUR | 1,600 | 2,094 | |
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 2,935 | 3,210 | ||
Wells Fargo & Co. 7.98% (j) | 2,035 | 2,152 | ||
| 205,924 | |||
Consumer Finance - 1.6% | ||||
ACE Cash Express, Inc. 10.25% 10/1/14 (f) | 1,420 | 1,250 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 9,820 | 10,286 | ||
7.5% 8/1/12 | 9,230 | 9,807 | ||
12% 5/15/15 | 12,770 | 15,899 | ||
General Motors Acceptance Corp.: | ||||
6.75% 12/1/14 | 11,870 | 12,374 | ||
8% 11/1/31 | 7,330 | 7,841 | ||
GMAC LLC: | ||||
6% 4/1/11 | 1,435 | 1,437 | ||
6.75% 12/1/14 | 4,285 | 4,478 | ||
8% 11/1/31 | 81,013 | 86,279 | ||
| 149,651 | |||
Diversified Financial Services - 2.2% | ||||
Azovstal Capital BV 9.125% 2/28/11 | 1,705 | 1,709 | ||
Bank of America Corp.: | ||||
4% 3/28/18 (j) | EUR | 1,450 | 1,736 | |
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Bank of America Corp.: - continued | ||||
8% (j) | $ 5,365 | $ 5,365 | ||
8.125% (j) | 7,380 | 7,417 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 2,060 | 2,060 | ||
BG Energy Capital PLC 5.125% 12/1/25 | GBP | 2,950 | 4,578 | |
BP Capital Markets PLC 3.83% 10/6/17 | EUR | 5,500 | 7,354 | |
Broadgate PLC 1.5348% 10/5/25 (j) | GBP | 535 | 701 | |
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
7.875% 4/30/18 | 2,920 | 3,015 | ||
8.125% 4/30/20 | 6,955 | 7,372 | ||
CDW LLC/CDW Finance Corp. 8% 12/15/18 (f) | 5,405 | 5,513 | ||
City of Buenos Aires 12.5% 4/6/15 (f) | 9,815 | 10,895 | ||
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 231 | 404 | |
8.151% 12/31/30 | GBP | 475 | 900 | |
FireKeepers Development Authority 13.875% 5/1/15 (f) | 1,600 | 1,892 | ||
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 1,688 | 1,684 | ||
Greene King Finance PLC Series A1, 1.1294% 6/15/31 (j) | GBP | 1,000 | 1,217 | |
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (f) | 4,195 | 4,321 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 17,475 | 17,562 | ||
7.75% 1/15/16 (f) | 4,570 | 4,593 | ||
8% 1/15/18 | 24,247 | 24,368 | ||
8% 1/15/18 (f) | 4,570 | 4,593 | ||
Imperial Tobacco Finance 7.75% 6/24/19 | GBP | 1,200 | 2,230 | |
International Lease Finance Corp. 5.625% 9/20/13 | 6,845 | 6,879 | ||
Landrys Holdings, Inc. 11.5% 6/1/14 (f) | 3,230 | 3,165 | ||
LBI Escrow Corp. 8% 11/1/17 (f) | 6,515 | 7,199 | ||
Myriad International Holding BV 6.375% 7/28/17 (f) | 3,345 | 3,529 | ||
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 1,704 | ||
Offshore Group Investment Ltd. 11.5% 8/1/15 (f) | 8,495 | 9,090 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (f) | 3,140 | 3,297 | ||
TMK Capital SA 10% 7/29/11 | 6,300 | 6,502 | ||
Trans Union LLC/Trans Union Financing Corp. 11.375% 6/15/18 (f) | 4,285 | 4,863 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
UPC Germany GmbH 8.125% 12/1/17 (f) | $ 7,210 | $ 7,607 | ||
Vnesheconombank Via VEB Finance Ltd. 6.8% 11/22/25 (f) | 2,365 | 2,347 | ||
WaMu Covered Bond Program 3.875% 9/27/11 | EUR | 1,090 | 1,476 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (f)(j) | 15,245 | 16,650 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (f) | 3,525 | 3,525 | ||
| 199,312 | |||
Insurance - 0.1% | ||||
American International Group, Inc.: | ||||
5.45% 5/18/17 | 4,290 | 4,344 | ||
5.85% 1/16/18 | 1,505 | 1,552 | ||
CNO Financial Group, Inc. 9% 1/15/18 (f) | 2,935 | 3,008 | ||
USI Holdings Corp. 4.1606% 11/15/14 (f)(j) | 920 | 805 | ||
| 9,709 | |||
Real Estate Investment Trusts - 0.1% | ||||
Omega Healthcare Investors, Inc.: | ||||
6.75% 10/15/22 (f) | 8,390 | 8,264 | ||
7.5% 2/15/20 | 4,860 | 5,103 | ||
| 13,367 | |||
Real Estate Management & Development - 0.2% | ||||
CB Richard Ellis Services, Inc.: | ||||
6.625% 10/15/20 (f) | 5,565 | 5,509 | ||
11.625% 6/15/17 | 6,420 | 7,447 | ||
Realogy Corp.: | ||||
11.5% 4/15/17 (f) | 2,315 | 2,338 | ||
12% 4/15/17 (e)(f) | 2,748 | 2,803 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 | 845 | 908 | ||
Ventas Realty LP 6.5% 6/1/16 | 980 | 1,019 | ||
| 20,024 | |||
TOTAL FINANCIALS | 615,570 | |||
HEALTH CARE - 2.3% | ||||
Health Care Providers & Services - 1.7% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 | 7,720 | 8,396 | ||
Capella Healthcare, Inc. 9.25% 7/1/17 (f) | 3,465 | 3,682 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
CRC Health Group, Inc. 10.75% 2/1/16 | $ 1,880 | $ 1,885 | ||
DaVita, Inc.: | ||||
6.375% 11/1/18 | 4,475 | 4,386 | ||
6.625% 11/1/20 | 3,875 | 3,807 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 6,224 | ||
HCA Holdings, Inc. 7.75% 5/15/21 (f) | 30,445 | 30,445 | ||
HCA, Inc.: | ||||
5.75% 3/15/14 | 3,377 | 3,301 | ||
6.25% 2/15/13 | 1,755 | 1,790 | ||
6.375% 1/15/15 | 1,125 | 1,108 | ||
6.5% 2/15/16 | 4,220 | 4,115 | ||
6.75% 7/15/13 | 1,750 | 1,798 | ||
7.25% 9/15/20 | 23,835 | 24,610 | ||
9.125% 11/15/14 | 7,020 | 7,353 | ||
9.25% 11/15/16 | 17,055 | 18,249 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 7,913 | ||
InVentiv Health, Inc. 10% 8/15/18 (f) | 905 | 896 | ||
LifePoint Hospitals, Inc. 6.625% 10/1/20 (f) | 4,045 | 4,015 | ||
Quintiles Transnational Holdings, Inc. 9.5% 12/30/14 (f) | 4,910 | 5,033 | ||
ResCare, Inc. 10.75% 1/15/19 (f) | 2,735 | 2,800 | ||
Rhoen-Klinikum AG 3.875% 3/11/16 | EUR | 1,400 | 1,874 | |
Rotech Healthcare, Inc. 10.75% 10/15/15 (f) | 4,075 | 4,218 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 (f) | 1,200 | 1,236 | ||
Skilled Healthcare Group, Inc. 11% 1/15/14 | 3,652 | 3,752 | ||
UHS Escrow Corp. 7% 10/1/18 (f) | 1,020 | 1,048 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 920 | ||
| 154,854 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (f) | 10,355 | 10,459 | ||
Life Sciences Tools & Services - 0.0% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,794 | ||
Pharmaceuticals - 0.5% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 | 5,775 | 5,833 | ||
Leiner Health Products, Inc. 11% 6/1/12 (c) | 1,885 | 94 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
Mylan, Inc.: | ||||
6% 11/15/18 (f) | $ 10,955 | $ 10,723 | ||
7.625% 7/15/17 (f) | 3,900 | 4,124 | ||
7.875% 7/15/20 (f) | 7,040 | 7,568 | ||
Valeant Pharmaceuticals International 6.875% 12/1/18 (f) | 15,705 | 15,548 | ||
| 43,890 | |||
TOTAL HEALTH CARE | 210,997 | |||
INDUSTRIALS - 3.4% | ||||
Aerospace & Defense - 0.1% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 608 | ||
12% 11/1/14 pay-in-kind | 1,447 | 1,457 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 | 2,915 | 3,330 | ||
GeoEye, Inc. 9.625% 10/1/15 | 1,030 | 1,164 | ||
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,397 | ||
| 8,956 | |||
Air Freight & Logistics - 0.0% | ||||
Air Medical Group Holdings, Inc. 9.25% 11/1/18 (f) | 3,295 | 3,460 | ||
Airlines - 0.7% | ||||
Air Canada 9.25% 8/1/15 (f) | 7,170 | 7,529 | ||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 4,470 | 5,230 | ||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | 5,873 | 6,930 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 805 | 805 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 4,925 | 5,479 | ||
Delta Air Lines, Inc. 9.5% 9/15/14 (f) | 1,374 | 1,496 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 9,056 | 9,735 | ||
8.021% 8/10/22 | 4,222 | 4,391 | ||
Northwest Airlines Corp. 10% 2/1/09 (a) | 1,895 | 0 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (a) | 1,365 | 0 | ||
8.875% 6/1/06 (a) | 1,355 | 0 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | $ 2,184 | $ 2,293 | ||
8.028% 11/1/17 | 764 | 756 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (f) | 2,140 | 2,306 | ||
12% 11/1/13 (f) | 3,415 | 3,765 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 8,094 | 9,329 | ||
| 60,044 | |||
Building Products - 0.1% | ||||
Nortek, Inc. 11% 12/1/13 | 11,672 | 12,314 | ||
Commercial Services & Supplies - 1.0% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 595 | 669 | ||
American Reprographics Co. 10.5% 12/15/16 (f) | 4,570 | 4,776 | ||
Browning-Ferris Industries, Inc. 9.25% 5/1/21 | 680 | 855 | ||
Casella Waste Systems, Inc. 11% 7/15/14 | 1,510 | 1,657 | ||
Cenveo Corp. 10.5% 8/15/16 (f) | 2,795 | 2,746 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,008 | ||
EnergySolutions, Inc. / EnergySolutions LLC 10.75% 8/15/18 (f) | 3,525 | 3,846 | ||
Garda World Security Corp. 9.75% 3/15/17 (f) | 2,260 | 2,424 | ||
International Lease Finance Corp.: | ||||
6.75% 9/1/16 (f) | 4,580 | 4,798 | ||
7.125% 9/1/18 (f) | 9,160 | 9,618 | ||
8.25% 12/15/20 | 8,235 | 8,400 | ||
8.625% 9/15/15 (f) | 7,985 | 8,464 | ||
8.75% 3/15/17 (f) | 11,970 | 12,718 | ||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,996 | ||
7.75% 1/15/15 | 2,645 | 2,652 | ||
The Geo Group, Inc. 7.75% 10/15/17 | 2,845 | 2,987 | ||
United Rentals North America, Inc. 8.375% 9/15/20 | 6,995 | 7,152 | ||
| 89,766 | |||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd. 7% 4/21/20 (f) | 1,830 | 1,940 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Electrical Equipment - 0.0% | ||||
General Cable Corp. 7.125% 4/1/17 | $ 680 | $ 700 | ||
Sensus Metering Systems, Inc. 8.625% 12/15/13 | 900 | 914 | ||
| 1,614 | |||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp.: | ||||
11.75% 12/1/15 (f) | 11,050 | 11,879 | ||
13.5% 12/1/15 pay-in-kind (f) | 4,393 | 4,833 | ||
| 16,712 | |||
Machinery - 0.3% | ||||
Accuride Corp. 9.5% 8/1/18 (f) | 650 | 705 | ||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,374 | ||
Chart Industries, Inc. 9.125% 10/15/15 | 1,160 | 1,189 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 2,040 | ||
Navistar International Corp. 8.25% 11/1/21 | 9,025 | 9,747 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,829 | ||
| 21,884 | |||
Marine - 0.3% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 (f) | 2,585 | 2,617 | ||
Navios Maritime Holdings, Inc.: | ||||
8.875% 11/1/17 | 10,830 | 11,561 | ||
9.5% 12/15/14 | 5,215 | 5,424 | ||
SCF Capital Ltd. 5.375% 10/27/17 (f) | 1,885 | 1,845 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 2,060 | ||
| 23,507 | |||
Road & Rail - 0.4% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
8.25% 1/15/19 (f) | 10,035 | 10,110 | ||
9.625% 3/15/18 | 2,465 | 2,638 | ||
Georgian Railway Ltd. 9.875% 7/22/15 | 1,850 | 1,989 | ||
Kansas City Southern de Mexico, SA de CV: | ||||
6.625% 12/15/20 (f) | 2,020 | 2,020 | ||
7.375% 6/1/14 | 1,670 | 1,741 | ||
12.5% 4/1/16 | 7,075 | 8,667 | ||
Swift Services Holdings, Inc. 10% 11/15/18 (f) | 7,890 | 8,206 | ||
Western Express, Inc. 12.5% 4/15/15 (f) | 3,185 | 2,819 | ||
| 38,190 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Trading Companies & Distributors - 0.2% | ||||
Aircastle Ltd. 9.75% 8/1/18 | $ 9,000 | $ 9,878 | ||
VWR Funding, Inc. 10.25% 7/15/15 pay-in-kind (j) | 10,578 | 11,107 | ||
| 20,985 | |||
Transportation Infrastructure - 0.1% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (f) | 2,140 | 2,236 | ||
Trico Shipping AS 11.875% 11/1/14 (c)(f) | 9,180 | 7,436 | ||
| 9,672 | |||
TOTAL INDUSTRIALS | 309,044 | |||
INFORMATION TECHNOLOGY - 1.3% | ||||
Communications Equipment - 0.4% | ||||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 | 1,135 | 1,180 | ||
6.875% 1/15/20 | 2,095 | 2,231 | ||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,487 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 15,840 | ||
6.5% 1/15/28 | 6,570 | 5,223 | ||
ViaSat, Inc. 8.875% 9/15/16 | 1,335 | 1,422 | ||
| 32,383 | |||
Computers & Peripherals - 0.1% | ||||
Seagate HDD Cayman 7.75% 12/15/18 (f) | 9,070 | 9,115 | ||
Electronic Equipment & Components - 0.1% | ||||
Atkore International, Inc. 9.875% 1/1/18 (f) | 2,155 | 2,236 | ||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 | 4,625 | 4,741 | ||
13.25% 11/1/15 | 3,266 | 2,792 | ||
| 9,769 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 8,548 | ||
IT Services - 0.3% | ||||
Ceridian Corp. 11.25% 11/15/15 | 4,145 | 4,041 | ||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 (f) | 2,935 | 3,089 | ||
7.875% 7/15/20 (f) | 3,910 | 4,145 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - continued | ||||
SunGard Data Systems, Inc. 7.375% 11/15/18 (f) | $ 4,435 | $ 4,391 | ||
Telcordia Technologies, Inc. 11% 5/1/18 (f) | 6,855 | 6,924 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 3,030 | 3,363 | ||
12.75% 10/15/14 (f) | 437 | 520 | ||
14.25% 9/15/15 (f) | 350 | 424 | ||
| 26,897 | |||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Advanced Micro Devices, Inc.: | ||||
7.75% 8/1/20 (f) | 1,640 | 1,702 | ||
8.125% 12/15/17 | 3,470 | 3,665 | ||
Amkor Technology, Inc. 7.375% 5/1/18 | 3,485 | 3,581 | ||
Freescale Semiconductor, Inc. 10.75% 8/1/20 (f) | 3,485 | 3,729 | ||
NXP BV/NXP Funding LLC 9.75% 8/1/18 (f) | 10,905 | 12,241 | ||
Spansion LLC 11.25% 1/15/16 (c)(f) | 4,255 | 1,159 | ||
Viasystems, Inc. 12% 1/15/15 (f) | 4,000 | 4,470 | ||
| 30,547 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (f) | 870 | 600 | ||
TOTAL INFORMATION TECHNOLOGY | 117,859 | |||
MATERIALS - 2.7% | ||||
Chemicals - 0.7% | ||||
Air Liquide SA 2.908% 10/12/18 | EUR | 850 | 1,086 | |
Ashland, Inc. 9.125% 6/1/17 | 2,490 | 2,851 | ||
Braskem Finance Ltd. 7% 5/7/20 (f) | 3,300 | 3,383 | ||
Ferro Corp. 7.875% 8/15/18 | 4,325 | 4,585 | ||
Georgia Gulf Corp. 9% 1/15/17 (f) | 10,825 | 11,637 | ||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 9% 11/15/20 (f) | 220 | 232 | ||
Ineos Finance PLC 9% 5/15/15 (f) | 2,655 | 2,821 | ||
MacDermid, Inc. 9.5% 4/15/17 (f) | 500 | 533 | ||
Momentive Performance Materials, Inc. 9% 1/15/21 (f) | 835 | 864 | ||
Nalco Co. 6.625% 1/15/19 (f) | 6,310 | 6,484 | ||
NOVA Chemicals Corp.: | ||||
3.5678% 11/15/13 (j) | 1,690 | 1,660 | ||
6.5% 1/15/12 | 5,775 | 5,963 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
OMNOVA Solutions, Inc. 7.875% 11/1/18 (f) | $ 1,105 | $ 1,113 | ||
OXEA Finance & Cy SCA 9.5% 7/15/17 (f) | 3,735 | 4,024 | ||
PolyOne Corp. 7.375% 9/15/20 | 1,845 | 1,905 | ||
Solutia, Inc.: | ||||
7.875% 3/15/20 | 2,180 | 2,344 | ||
8.75% 11/1/17 | 1,100 | 1,194 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,648 | ||
TPC Group LLC 8.25% 10/1/17 (f) | 2,195 | 2,294 | ||
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. 9.5% 12/1/12 (c) | 3,430 | 5,377 | ||
| 61,998 | |||
Construction Materials - 0.0% | ||||
Headwaters, Inc. 11.375% 11/1/14 | 1,025 | 1,121 | ||
Roofing Supply Group LLC/Roofing Supply Finance, Inc. 8.625% 12/1/17 (f) | 1,220 | 1,266 | ||
| 2,387 | |||
Containers & Packaging - 0.5% | ||||
AEP Industries, Inc. 7.875% 3/15/13 | 640 | 638 | ||
Ardagh Packaging Finance PLC: | ||||
7.375% 10/15/17 (f) | 1,190 | 1,220 | ||
9.125% 10/15/20 (f) | 4,205 | 4,405 | ||
Berry Plastics Corp.: | ||||
8.25% 11/15/15 | 4,610 | 4,806 | ||
9.75% 1/15/21 (f) | 11,885 | 11,766 | ||
Berry Plastics Holding Corp. 4.1766% 9/15/14 (j) | 640 | 586 | ||
BWAY Parent Co., Inc. 10.875% 11/1/15 pay-in-kind (f)(j) | 3,680 | 3,680 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 9,722 | ||
7.5% 12/15/96 | 3,685 | 2,948 | ||
Jefferson Smurfit Corp. U.S. 8.25% 10/1/12 (c) | 1,170 | 0 | ||
Smurfit-Stone Container Enterprises, Inc. 8% 3/15/17 (c) | 5,845 | 0 | ||
| 39,771 | |||
Metals & Mining - 1.1% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (f) | 33 | 156 | ||
9% 12/15/14 pay-in-kind (c)(j) | 2,790 | 13 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Alrosa Finance SA 7.75% 11/3/20 (f) | $ 2,685 | $ 2,819 | ||
CSN Islands XI Corp. 6.875% 9/21/19 (f) | 3,240 | 3,499 | ||
Edgen Murray Corp. 12.25% 1/15/15 | 8,545 | 7,477 | ||
Evraz Group SA: | ||||
8.25% 11/10/15 (f) | 1,970 | 2,098 | ||
8.875% 4/24/13 (f) | 6,450 | 6,950 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6.375% 2/1/16 (f) | 7,260 | 7,314 | ||
6.875% 2/1/18 (f) | 7,260 | 7,242 | ||
7% 11/1/15 (f) | 9,155 | 9,453 | ||
Freeport-McMoRan Copper & Gold, Inc. 8.375% 4/1/17 | 17,310 | 19,214 | ||
Gerdau Trade, Inc. 5.75% 1/30/21 (f) | 2,080 | 2,080 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (f) | 8,725 | 8,234 | ||
Metinvest BV 10.25% 5/20/15 (f) | 3,270 | 3,466 | ||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (f) | 3,435 | 3,572 | ||
RathGibson, Inc. 11.25% 2/15/14 (c) | 5,845 | 41 | ||
Severstal Columbus LLC 10.25% 2/15/18 (f) | 7,005 | 7,390 | ||
Southern Copper Corp. 6.75% 4/16/40 | 4,625 | 4,833 | ||
Steel Capital SA 6.7% 10/25/17 (f) | 2,100 | 2,069 | ||
Teck Resources Ltd. 10.25% 5/15/16 | 3,342 | 4,136 | ||
| 102,056 | |||
Paper & Forest Products - 0.4% | ||||
ABI Escrow Corp. 10.25% 10/15/18 (f) | 18,850 | 20,475 | ||
Clearwater Paper Corp. 7.125% 11/1/18 (f) | 1,225 | 1,262 | ||
Georgia-Pacific LLC 5.4% 11/1/20 (f) | 6,505 | 6,383 | ||
Glatfelter 7.125% 5/1/16 | 550 | 567 | ||
NewPage Corp.: | ||||
6.5369% 5/1/12 (j) | 1,770 | 1,020 | ||
11.375% 12/31/14 | 4,775 | 4,417 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,894 | ||
Stone Container Corp. 8.375% 7/1/12 (c) | 3,005 | 0 | ||
| 36,018 | |||
TOTAL MATERIALS | 242,230 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - 7.0% | ||||
Diversified Telecommunication Services - 4.6% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | $ 4,520 | $ 5,175 | ||
Citizens Communications Co.: | ||||
7.125% 3/15/19 | 2,730 | 2,805 | ||
7.875% 1/15/27 | 4,895 | 4,748 | ||
9% 8/15/31 | 3,655 | 3,756 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (f) | 12,857 | 13,886 | ||
Frontier Communications Corp.: | ||||
8.25% 4/15/17 | 7,925 | 8,777 | ||
8.5% 4/15/20 | 16,285 | 17,832 | ||
8.75% 4/15/22 | 10,450 | 11,391 | ||
Global Crossing Ltd. 12% 9/15/15 | 10,305 | 11,619 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (f) | 2,010 | 2,216 | ||
Intelsat Bermuda Ltd.: | ||||
11.25% 2/4/17 | 31,406 | 34,154 | ||
12% 2/4/17 pay-in-kind (j) | 29,105 | 31,313 | ||
Intelsat Corp.: | ||||
9.25% 8/15/14 | 5,215 | 5,371 | ||
9.25% 6/15/16 | 8,820 | 9,526 | ||
Intelsat Ltd. 11.25% 6/15/16 | 27,785 | 29,869 | ||
Qwest Communications International, Inc.: | ||||
Series B 7.5% 2/15/14 | 1,655 | 1,676 | ||
7.125% 4/1/18 (f) | 6,665 | 6,882 | ||
7.5% 2/15/14 | 7,555 | 7,649 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 85,800 | 75,075 | ||
6.9% 5/1/19 | 15,450 | 15,257 | ||
8.75% 3/15/32 | 73,236 | 73,968 | ||
Telemar Norte Leste SA 5.5% 10/23/20 (f) | 1,970 | 1,911 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,491 | ||
7.25% 9/15/25 | 535 | 567 | ||
7.25% 10/15/35 | 1,455 | 1,470 | ||
7.5% 6/15/23 | 460 | 458 | ||
Wind Acquisition Finance SA: | ||||
7.25% 2/15/18 (f) | 4,780 | 4,816 | ||
11.75% 7/15/17 (f) | 34,975 | 39,085 | ||
| 423,743 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - 2.4% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (f) | $ 4,260 | $ 4,601 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (f) | 2,390 | 2,462 | ||
8.875% 1/15/15 (f) | 23,300 | 23,622 | ||
9.125% 1/15/15 pay-in-kind (f)(j) | 14,920 | 15,126 | ||
10.5% 4/15/18 (f) | 30,980 | 34,078 | ||
12% 4/1/14 (f) | 9,725 | 11,378 | ||
Intelsat Jackson Holdings Ltd.: | ||||
8.5% 11/1/19 (f) | 4,220 | 4,537 | ||
9.5% 6/15/16 | 19,260 | 20,319 | ||
11.5% 6/15/16 | 8,740 | 9,417 | ||
Intelsat Subsidiary Holding Co. Ltd. 8.875% 1/15/15 | 12,125 | 12,458 | ||
Mobile Telesystems Finance SA 8% 1/28/12 (f) | 3,306 | 3,480 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (f) | 4,255 | 4,808 | ||
NII Capital Corp. 10% 8/15/16 | 16,435 | 18,202 | ||
Orascom Telecom Finance SCA 7.875% 2/8/14 (f) | 10,790 | 10,143 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (f) | 12,184 | 12,184 | ||
Sprint Nextel Corp. 6% 12/1/16 | 19,623 | 18,961 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (f) | 4,675 | 4,792 | ||
Vimpel Communications 8.375% 4/30/13 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (f) | 6,120 | 6,610 | ||
| 217,178 | |||
TOTAL TELECOMMUNICATION SERVICES | 640,921 | |||
UTILITIES - 1.3% | ||||
Electric Utilities - 0.4% | ||||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 2,355 | 2,744 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (f) | 1,285 | 1,391 | ||
Intergen NV 9% 6/30/17 (f) | 17,825 | 18,895 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 5,885 | 6,797 | ||
7.75% 1/20/20 (f) | 3,370 | 3,876 | ||
8% 8/7/19 (f) | 2,455 | 2,848 | ||
National Power Corp. 6.875% 11/2/16 (f) | 2,265 | 2,605 | ||
| 39,156 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | $ 1,685 | $ 1,752 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 6,645 | 7,079 | ||
8% 3/1/32 | 3,550 | 4,067 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 (f) | 2,435 | 2,429 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (f) | 4,645 | 4,668 | ||
| 19,995 | |||
Independent Power Producers & Energy Traders - 0.7% | ||||
Energy Future Holdings Corp.: | ||||
10% 1/15/20 (f) | 8,880 | 9,102 | ||
10.875% 11/1/17 | 15,253 | 10,677 | ||
12% 11/1/17 pay-in-kind (j) | 5,789 | 3,413 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc. 10% 12/1/20 | 29,263 | 29,995 | ||
Enron Corp.: | ||||
Series A, 8.375% 5/23/05 (c) | 2,500 | 0 | ||
6.4% 7/15/06 (c) | 9,815 | 0 | ||
6.625% 11/15/05 (c) | 2,200 | 0 | ||
6.725% 11/17/08 (c)(j) | 684 | 0 | ||
6.75% 8/1/09 (c) | 550 | 0 | ||
6.875% 10/15/07 (c) | 1,330 | 0 | ||
6.95% 7/15/28 (c) | 1,204 | 0 | ||
7.125% 5/15/07 (c) | 235 | 0 | ||
7.375% 5/15/19 (c) | 1,400 | 0 | ||
7.875% 6/15/03 (c) | 235 | 0 | ||
9.125% 4/1/03 (c) | 50 | 0 | ||
9.875% 6/5/03 (c) | 4,720 | 0 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (f) | 2,795 | 3,284 | ||
7.39% 12/2/24 (f) | 2,880 | 3,391 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (f) | 937 | 997 | ||
| 60,859 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - 0.0% | ||||
Aquila, Inc. 11.875% 7/1/12 (j) | $ 1,615 | $ 1,832 | ||
Utilicorp United, Inc. 7.95% 2/1/11 (e) | 39 | 39 | ||
| 1,871 | |||
TOTAL UTILITIES | 121,881 | |||
TOTAL NONCONVERTIBLE BONDS | 3,318,434 | |||
TOTAL CORPORATE BONDS (Cost $3,236,803) | 3,459,065 | |||
U.S. Government and Government Agency Obligations - 21.4% | ||||
| ||||
U.S. Government Agency Obligations - 2.2% | ||||
Fannie Mae: | ||||
0.375% 12/28/12 | 9,070 | 9,012 | ||
0.75% 12/18/13 | 14,084 | 13,927 | ||
1% 9/23/13 | 4,595 | 4,588 | ||
1.125% 7/30/12 | 2,151 | 2,170 | ||
1.25% 8/20/13 | 5,560 | 5,596 | ||
Federal Home Loan Bank: | ||||
0.875% 8/22/12 | 4,890 | 4,914 | ||
0.875% 12/27/13 | 775 | 768 | ||
1.5% 1/16/13 | 15,290 | 15,533 | ||
1.875% 6/21/13 | 36,440 | 37,289 | ||
Freddie Mac: | ||||
0.375% 11/30/12 | 1,683 | 1,673 | ||
0.625% 12/28/12 | 81,380 | 81,232 | ||
4.125% 12/21/12 | 4,080 | 4,349 | ||
4.5% 1/15/14 | 2,625 | 2,886 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 11,210 | 12,868 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,670 | ||
5.685% 5/15/12 | 1,285 | 1,376 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Government Agency Obligations - continued | ||||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | $ 328 | $ 348 | ||
Tennessee Valley Authority 5.25% 9/15/39 | 5,600 | 5,920 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 206,119 | |||
U.S. Treasury Inflation Protected Obligations - 0.7% | ||||
U.S. Treasury Inflation-Indexed Notes 0.5% 4/15/15 | 66,909 | 68,471 | ||
U.S. Treasury Obligations - 16.3% | ||||
U.S. Treasury Bonds: | ||||
3.5% 2/15/39 | 62,582 | 53,928 | ||
3.875% 8/15/40 | 95,884 | 88,318 | ||
4.25% 11/15/40 | 5,000 | 4,919 | ||
5.25% 2/15/29 | 31,710 | 36,367 | ||
6.125% 8/15/29 | 9,487 | 12,000 | ||
6.25% 8/15/23 | 36,125 | 45,405 | ||
7.5% 11/15/16 | 2,850 | 3,663 | ||
7.5% 11/15/24 | 10,690 | 14,978 | ||
7.625% 2/15/25 | 11,000 | 15,599 | ||
7.875% 2/15/21 | 6,800 | 9,486 | ||
8% 11/15/21 | 11,000 | 15,558 | ||
8.125% 5/15/21 | 9,286 | 13,182 | ||
9.875% 11/15/15 | 11,595 | 15,903 | ||
U.S. Treasury Notes: | ||||
0.375% 9/30/12 | 61,808 | 61,661 | ||
0.75% 12/15/13 | 77,086 | 76,538 | ||
1.25% 8/31/15 | 15,400 | 14,978 | ||
1.25% 10/31/15 | 24,400 | 23,615 | ||
1.375% 2/15/13 | 30,123 | 30,577 | ||
1.375% 11/30/15 | 25,000 | 24,295 | ||
1.5% 12/31/13 | 4,313 | 4,375 | ||
1.75% 4/15/13 | 36,755 | 37,599 | ||
1.875% 4/30/14 | 28,912 | 29,569 | ||
1.875% 6/30/15 | 17,707 | 17,778 | ||
1.875% 8/31/17 | 7,700 | 7,350 | ||
1.875% 9/30/17 | 5,400 | 5,142 | ||
1.875% 10/31/17 | 41,900 | 39,831 | ||
2.125% 5/31/15 | 20,082 | 20,402 | ||
2.375% 8/31/14 | 13,000 | 13,467 | ||
2.375% 9/30/14 | 8,471 | 8,774 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
2.375% 10/31/14 | $ 49,620 | $ 51,361 | ||
2.375% 7/31/17 | 20,000 | 19,738 | ||
2.5% 3/31/15 | 58,749 | 60,810 | ||
2.5% 4/30/15 | 50,268 | 51,968 | ||
2.625% 7/31/14 | 66,965 | 70,036 | ||
2.625% 4/30/16 | 3,137 | 3,211 | ||
2.625% 8/15/20 | 18,750 | 17,776 | ||
2.625% 11/15/20 | 41,870 | 39,495 | ||
2.75% 11/30/16 | 10,000 | 10,207 | ||
2.75% 2/15/19 | 23,501 | 23,198 | ||
3% 9/30/16 | 37,355 | 38,741 | ||
3% 2/28/17 | 66,584 | 68,665 | ||
3.125% 8/31/13 | 11,100 | 11,776 | ||
3.125% 9/30/13 | 34,572 | 36,676 | ||
3.125% 10/31/16 | 41,816 | 43,619 | ||
3.125% 1/31/17 | 30,990 | 32,201 | ||
3.125% 5/15/19 | 52,907 | 53,465 | ||
3.375% 6/30/13 | 8,470 | 9,019 | ||
3.625% 8/15/19 | 5,731 | 5,987 | ||
3.75% 11/15/18 | 34,582 | 36,784 | ||
3.875% 5/15/18 | 2,550 | 2,744 | ||
4% 8/15/18 | 5,478 | 5,936 | ||
4.25% 11/15/17 | 28,890 | 31,849 | ||
4.5% 5/15/17 | 13,745 | 15,379 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,485,898 | |||
Other Government Related - 2.2% | ||||
Bank of America Corp.: | ||||
2.1% 4/30/12 (FDIC Guaranteed) (g) | 3,013 | 3,076 | ||
3.125% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
Citibank NA: | ||||
1.75% 12/28/12 (FDIC Guaranteed) (g) | 15,000 | 15,304 | ||
1.875% 5/7/12 (FDIC Guaranteed) (g) | 18,000 | 18,307 | ||
Citigroup Funding, Inc.: | ||||
1.875% 10/22/12 (FDIC Guaranteed) (g) | 29,000 | 29,581 | ||
1.875% 11/15/12 (FDIC Guaranteed) (g) | 6,937 | 7,077 | ||
2% 3/30/12 (FDIC Guaranteed) (g) | 10,000 | 10,163 | ||
2.125% 7/12/12 (FDIC Guaranteed) (g) | 2,505 | 2,562 | ||
General Electric Capital Corp.: | ||||
2% 9/28/12 (FDIC Guaranteed) (g) | 19,526 | 19,945 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Other Government Related - continued | ||||
General Electric Capital Corp.: - continued | ||||
2.125% 12/21/12 (FDIC Guaranteed) (g) | $ 15,000 | $ 15,412 | ||
2.625% 12/28/12 (FDIC Guaranteed) (g) | 5,402 | 5,603 | ||
3% 12/9/11 (FDIC Guaranteed) (g) | 3,120 | 3,195 | ||
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (g) | 21,000 | 21,372 | ||
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (g) | 45 | 47 | ||
JPMorgan Chase & Co.: | ||||
2.2% 6/15/12 (FDIC Guaranteed) (g) | 5,230 | 5,351 | ||
3.125% 12/1/11 (FDIC Guaranteed) (g) | 520 | 533 | ||
Morgan Stanley 3.25% 12/1/11 (FDIC Guaranteed) (g) | 21,887 | 22,456 | ||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.6106% 12/7/20 (NCUA Guaranteed) (j) | 5,810 | 5,816 | ||
Series 2010-R3 Class 1A, 0.8253% 12/8/20 (NCUA Guaranteed) (j) | 11,600 | 11,586 | ||
TOTAL OTHER GOVERNMENT RELATED | 197,433 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,943,341) | 1,957,921 | |||
U.S. Government Agency - Mortgage Securities - 2.4% | ||||
| ||||
Fannie Mae - 1.4% | ||||
2.073% 11/1/35 (j) | 863 | 892 | ||
2.233% 9/1/33 (j) | 830 | 857 | ||
2.474% 10/1/35 (j) | 119 | 124 | ||
2.48% 11/1/33 (j) | 207 | 216 | ||
2.589% 6/1/36 (j) | 62 | 65 | ||
2.642% 7/1/35 (j) | 495 | 519 | ||
2.652% 3/1/33 (j) | 250 | 262 | ||
2.68% 1/1/35 (j) | 448 | 469 | ||
2.731% 5/1/35 (j) | 1,518 | 1,599 | ||
2.744% 9/1/34 (j) | 619 | 647 | ||
2.773% 11/1/36 (j) | 72 | 76 | ||
2.805% 7/1/35 (j) | 1,046 | 1,097 | ||
2.829% 9/1/36 (j) | 246 | 259 | ||
2.857% 9/1/35 (j) | 1,465 | 1,541 | ||
2.884% 11/1/36 (j) | 396 | 417 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Fannie Mae - continued | ||||
2.981% 7/1/35 (j) | $ 408 | $ 429 | ||
3.128% 10/1/37 (j) | 479 | 504 | ||
3.137% 8/1/35 (j) | 1,216 | 1,288 | ||
3.161% 4/1/36 (j) | 578 | 610 | ||
3.5% 1/1/26 (h) | 67,000 | 67,482 | ||
3.5% 1/1/26 (h) | 20,400 | 20,547 | ||
3.5% 11/1/40 (i) | 13,030 | 12,451 | ||
3.505% 2/1/37 (j) | 913 | 955 | ||
3.527% 6/1/47 (j) | 234 | 245 | ||
4% 9/1/13 to 12/1/40 (i) | 10,300 | 10,268 | ||
5% 2/1/16 to 5/1/22 | 95 | 100 | ||
5.046% 2/1/34 (j) | 649 | 676 | ||
5.5% 5/1/15 | 8 | 9 | ||
5.569% 2/1/36 (j) | 168 | 175 | ||
5.593% 4/1/36 (j) | 973 | 1,022 | ||
5.766% 5/1/36 (j) | 182 | 188 | ||
5.963% 3/1/37 (j) | 131 | 140 | ||
6% 6/1/16 to 10/1/16 | 180 | 195 | ||
6.5% 12/1/12 to 9/1/32 | 2,743 | 3,061 | ||
7.5% 1/1/28 | 78 | 88 | ||
TOTAL FANNIE MAE | 129,473 | |||
Freddie Mac - 0.2% | ||||
1.975% 3/1/37 (j) | 955 | 991 | ||
2.041% 3/1/35 (j) | 324 | 333 | ||
2.094% 5/1/37 (j) | 203 | 210 | ||
2.409% 6/1/33 (j) | 511 | 530 | ||
2.54% 6/1/37 (j) | 476 | 501 | ||
2.551% 5/1/37 (j) | 1,720 | 1,810 | ||
2.579% 5/1/37 (j) | 1,080 | 1,132 | ||
2.586% 12/1/33 (j) | 1,067 | 1,114 | ||
2.621% 10/1/35 (j) | 652 | 681 | ||
2.631% 7/1/35 (j) | 574 | 600 | ||
2.865% 9/1/35 (j) | 120 | 126 | ||
2.958% 1/1/35 (j) | 1,303 | 1,373 | ||
2.985% 4/1/37 (j) | 186 | 196 | ||
3.022% 7/1/35 (j) | 375 | 394 | ||
3.247% 12/1/36 (j) | 2,004 | 2,100 | ||
3.352% 10/1/35 (j) | 86 | 91 | ||
3.404% 3/1/37 (j) | 183 | 189 | ||
3.47% 10/1/36 (j) | 679 | 704 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Freddie Mac - continued | ||||
3.508% 5/1/37 (j) | $ 132 | $ 138 | ||
4.3% 1/1/36 (j) | 113 | 117 | ||
4.375% 4/1/35 (j) | 1,198 | 1,258 | ||
4.5% 8/1/33 | 465 | 480 | ||
4.956% 3/1/36 (j) | 1,696 | 1,774 | ||
5.121% 2/1/36 (j) | 33 | 35 | ||
5.138% 4/1/35 (j) | 57 | 60 | ||
5.237% 1/1/37 (j) | 545 | 569 | ||
5.527% 1/1/36 (j) | 398 | 412 | ||
6.01% 6/1/37 (j) | 57 | 60 | ||
6.077% 6/1/37 (j) | 112 | 118 | ||
6.141% 7/1/36 (j) | 213 | 223 | ||
6.28% 8/1/37 (j) | 336 | 357 | ||
6.431% 2/1/37 (j) | 116 | 121 | ||
6.5% 2/1/11 to 3/1/22 | 3,571 | 3,876 | ||
7.22% 4/1/37 (j) | 9 | 9 | ||
8.5% 3/1/20 | 5 | 5 | ||
TOTAL FREDDIE MAC | 22,687 | |||
Ginnie Mae - 0.8% | ||||
4% 9/15/25 | 1,059 | 1,108 | ||
5.492% 4/20/60 (m) | 8,999 | 9,797 | ||
5.5% 1/20/60 (m) | 11,066 | 12,062 | ||
5.5% 2/20/60 (m) | 19,267 | 20,899 | ||
5.5% 3/20/60 (m) | 10,181 | 11,086 | ||
5.691% 10/20/59 (m) | 13,366 | 14,643 | ||
7% 9/15/25 to 8/15/31 | 52 | 59 | ||
7.5% 2/15/22 to 8/15/28 | 99 | 112 | ||
8% 9/15/26 to 12/15/26 | 10 | 12 | ||
TOTAL GINNIE MAE | 69,778 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $219,943) | 221,938 | |||
Asset-Backed Securities - 0.0% | ||||
| ||||
Amstel Corp. Loan Offering BV Series 2007-1 Class B, 1.285% 3/25/17 (j) | EUR | 1,009 | 1,234 | |
Auto ABS Compartiment Series 2006-1 Class B, 1.275% 7/25/17 (j) | EUR | 500 | 647 | |
Asset-Backed Securities - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Clock Finance BV Series 2007-1: | ||||
Class B2, 1.255% 2/25/15 (j) | EUR | $ 700 | $ 875 | |
Class C2, 1.435% 2/25/15 (j) | EUR | 400 | 497 | |
Geldilux Ltd. Series 2007-TS Class C, 1.549% 9/8/14 (j) | EUR | 400 | 416 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.8925% 12/21/37 (j) | GBP | 174 | 266 | |
Series 18X Class BC, 1.423% 9/21/38 (j) | EUR | 600 | 719 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 73 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,195) | 4,727 | |||
Collateralized Mortgage Obligations - 2.2% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Arkle Master Issuer PLC floater Series 2006-1X Class 5M1, 1.318% 2/17/52 (j) | EUR | 800 | 1,032 | |
Granite Mortgages PLC 1.0719% 3/20/44 (j) | GBP | 257 | 375 | |
TOTAL PRIVATE SPONSOR | 1,407 | |||
U.S. Government Agency - 2.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2006-56 Class PF, 0.6106% 7/25/36 (j) | 6,803 | 6,792 | ||
Series 2010-111 Class AF, 0.6606% 10/25/40 (j) | 10,895 | 10,935 | ||
sequential payer Series 2007-113 Class DB, 4.5% 12/25/22 | 5,060 | 5,389 | ||
Series 2006-127 Class FD, 0.5406% 7/25/36 (j) | 5,842 | 5,790 | ||
Series 2006-44 Class FK, 0.6906% 6/25/36 (j) | 2,140 | 2,138 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2005-38 Class F, 0.5606% 5/25/35 (j) | 11,318 | 11,252 | ||
Series 2005-56 Class F, 0.5506% 7/25/35 (j) | 8,995 | 8,940 | ||
Series 2006-79 Class PF, 0.6606% 8/25/36 (j) | 4,686 | 4,677 | ||
Series 2010-86 Class FE, 0.7106% 8/25/25 (j) | 3,711 | 3,711 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 105 | 113 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,597 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 907 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,980 | 2,069 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 3,435 | 3,617 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae subordinate REMIC pass-thru certificates: - continued | ||||
planned amortization class: | ||||
Series 2005-52 Class PB, 6.5% 12/25/34 | $ 1,305 | $ 1,404 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 362 | 394 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,259 | 1,351 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 811 | ||
Series 2005-29 Class KA, 4.5% 2/25/35 | 1,812 | 1,905 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,698 | ||
Series 2003-79 Class FC, 0.7106% 8/25/33 (j) | 4,603 | 4,617 | ||
Series 2008-76 Class EF, 0.7606% 9/25/23 (j) | 2,587 | 2,589 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 212 | 232 | ||
Series 2115 Class PE, 6% 1/15/14 | 56 | 58 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2630 Class FL, 0.7603% 6/15/18 (j) | 104 | 105 | ||
Series 3279 Class FB, 0.5803% 2/15/37 (j) | 2,054 | 2,055 | ||
Series 3325 Class NF, 0.5603% 8/15/35 (j) | 7,196 | 7,157 | ||
Series 3346 Class FA, 0.4903% 2/15/19 (j) | 12,812 | 12,813 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 393 | 420 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 273 | 291 | ||
Series 2425 Class JH, 6% 3/15/17 | 503 | 540 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,759 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,088 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,330 | ||
Series 2866 Class XE, 4% 12/15/18 | 5,780 | 6,044 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 520 | 565 | ||
Series 3122 Class FE, 0.5603% 3/15/36 (j) | 6,169 | 6,185 | ||
Series 3147 Class PF, 0.5603% 4/15/36 (j) | 5,183 | 5,190 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 623 | 684 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 98 | 101 | ||
Series 2572 Class HK, 4% 2/15/17 | 93 | 94 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 77 | 78 | ||
Class KP, 2.87% 12/15/16 | 53 | 54 | ||
Series 2668 Class AZ, 4% 9/15/18 | 3,339 | 3,512 | ||
Series 2860 Class CP, 4% 10/15/17 | 64 | 63 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
sequential payer: | ||||
Series 2887 Class EB, 4.5% 11/15/19 | $ 5,100 | $ 5,379 | ||
Series 2987 Class HE, 4.5% 6/15/20 | 4,420 | 4,688 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,126 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,324 | ||
Series 2863 Class DB, 4% 9/15/14 | 133 | 136 | ||
Ginnie Mae guaranteed REMIC pass-thru securities: | ||||
floater: | ||||
Series 2010-H17 Class FA, 0.5834% 7/20/60 (j)(m) | 5,687 | 5,647 | ||
Series 2010-H18 Class AF, 0.5578% 9/1/60 (j)(m) | 5,809 | 5,736 | ||
Series 2010-H19 Class FG, 0.5538% 8/20/60 (j)(m) | 7,428 | 7,346 | ||
Series 2003-42 Class FH, 0.7106% 5/20/33 (j) | 1,309 | 1,318 | ||
Series 2004-59 Class FC, 0.5606% 8/16/34 (j) | 2,597 | 2,599 | ||
Series 2004-79 Class FA, 0.5606% 1/20/31 (j) | 2,264 | 2,267 | ||
Government National Mortgage Association pass thru certificates floater Series 2010-85 Class AF, 0.6106% 12/20/39 (j) | 10,157 | 10,198 | ||
TOTAL U.S. GOVERNMENT AGENCY | 197,878 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $196,883) | 199,285 | |||
Commercial Mortgage Securities - 0.1% | ||||
| ||||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.2873% 10/22/37 (j) | GBP | 1,000 | 991 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 1.24% 7/20/16 (j) | EUR | 1,228 | 1,446 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 0.9498% 10/15/14 (j) | GBP | 650 | 943 | |
REC Plantation Place Ltd. Series 5 Class A, 0.9673% 7/25/16 (Reg. S) (j) | GBP | 873 | 1,245 | |
Silver Maple Investment Co. Ltd. Class 2A, 1.203% 4/30/14 (j) | EUR | 700 | 901 | |
Skyline BV Series 2007-1 Class D, 1.826% 7/22/43 (j) | EUR | 1,100 | 941 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $8,385) | 6,467 | |||
Foreign Government and Government Agency Obligations - 22.7% | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (f) | $ 3,165 | $ 3,292 | ||
6.875% 4/30/40 (f) | 4,745 | 5,006 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 8,098 | 7,471 | ||
par 2.5% 12/31/38 (e) | 7,920 | 3,524 | ||
0.6586% 8/3/12 (j) | 28,525 | 27,191 | ||
7% 3/28/11 | 35,750 | 36,177 | ||
7% 9/12/13 | 53,320 | 52,457 | ||
7% 10/3/15 | 7,295 | 6,878 | ||
13.2549% 1/30/14 (j) | ARS | 11,040 | 2,703 | |
Aruba Government 6.4% 9/6/15 (f) | 1,271 | 1,335 | ||
Bahamian Republic 6.95% 11/20/29 (f) | 3,095 | 3,188 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (l) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (l) | 750,000 | 0 | ||
Barbados Government 7.25% 12/15/21 (f) | 2,606 | 2,710 | ||
Belarus Republic 8.75% 8/3/15 | 4,595 | 4,705 | ||
Bermuda Government 5.603% 7/20/20 (f) | 1,935 | 2,003 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 7,570 | 7,494 | ||
6% 9/15/13 | 850 | 890 | ||
7.125% 1/20/37 | 3,050 | 3,637 | ||
8.75% 2/4/25 | 2,310 | 3,188 | ||
10.125% 5/15/27 | 2,125 | 3,230 | ||
12.25% 3/6/30 | 2,470 | 4,421 | ||
Buenos Aires Province 11.75% 10/5/15 (f) | 1,965 | 2,038 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 2,835 | 3,324 | ||
Canadian Government: | ||||
1% 9/1/11 | CAD | 26,850 | 26,881 | |
1.5% 12/1/12 | CAD | 26,700 | 26,687 | |
2.5% 6/1/15 | CAD | 71,700 | 72,489 | |
3.5% 6/1/20 | CAD | 45,250 | 46,779 | |
5% 6/1/37 | CAD | 26,700 | 33,218 | |
Cayman Island Government 5.95% 11/24/19 (f) | 1,855 | 1,883 | ||
Central Bank of Nigeria warrants 11/15/20 (a)(l) | 2,750 | 495 | ||
Colombian Republic: | ||||
6.125% 1/18/41 | 3,515 | 3,585 | ||
7.375% 3/18/19 | 1,200 | 1,440 | ||
7.375% 9/18/37 | 6,100 | 7,229 | ||
10.375% 1/28/33 | 2,890 | 4,335 | ||
11.75% 2/25/20 | 2,910 | 4,365 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Congo Republic 3% 6/30/29 (e) | $ 6,550 | $ 3,930 | ||
Croatia Republic: | ||||
6.625% 7/14/20 (f) | 3,085 | 3,193 | ||
6.75% 11/5/19 (f) | 2,785 | 2,897 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
7.4% 1/22/15 (f) | 3,720 | 4,083 | ||
8.25% 10/24/12 (f) | 3,410 | 3,640 | ||
Dominican Republic: | ||||
1.2713% 8/30/24 (j) | 5,383 | 4,791 | ||
7.5% 5/6/21 (f) | 3,030 | 3,219 | ||
9.04% 1/23/18 (f) | 2,672 | 3,033 | ||
Ecuador Republic 5% 2/28/25 | 1,580 | 1,153 | ||
El Salvador Republic: | ||||
7.375% 12/1/19 (f) | 1,865 | 2,033 | ||
7.65% 6/15/35 (Reg. S) | 2,935 | 3,082 | ||
7.75% 1/24/23 (Reg. S) | 2,400 | 2,640 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,607 | ||
Finnish Government 3.375% 4/15/20 | EUR | 5,600 | 7,603 | |
French Republic: | ||||
OAT 4.5% 4/25/41 | EUR | 8,225 | 11,986 | |
2.5% 10/25/20 | EUR | 39,700 | 49,330 | |
4% 4/25/55 | EUR | 5,750 | 7,838 | |
Gabonese Republic 8.2% 12/12/17 (f) | 3,225 | 3,765 | ||
Georgia Republic 7.5% 4/15/13 | 8,690 | 8,886 | ||
German Federal Republic: | ||||
0.75% 9/14/12 | EUR | 97,600 | 130,353 | |
1.75% 10/9/15 | EUR | 63,400 | 84,363 | |
3% 7/4/20 | EUR | 68,585 | 92,221 | |
4.75% 7/4/40 | EUR | 16,625 | 27,571 | |
Ghana Republic: | ||||
8.5% 10/4/17 (f) | 3,930 | 4,362 | ||
14.25% 7/29/13 | GHS | 3,400 | 2,248 | |
14.99% 3/11/13 | GHS | 7,220 | 5,012 | |
Government of the Democratic Socialist Republic of Sri Lanka 6.25% 10/4/20 (f) | 3,275 | 3,291 | ||
Hungarian Republic: | ||||
4.75% 2/3/15 | 1,970 | 1,936 | ||
6.25% 1/29/20 | 3,390 | 3,297 | ||
Indonesian Republic: | ||||
5.875% 3/13/20 (f) | 6,015 | 6,586 | ||
6.625% 2/17/37 (f) | 4,025 | 4,397 | ||
6.875% 1/17/18 (f) | 3,830 | 4,433 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Indonesian Republic: - continued | ||||
7.5% 1/15/16 (f) | $ 2,045 | $ 2,403 | ||
7.75% 1/17/38 (f) | 5,685 | 6,907 | ||
8.5% 10/12/35 (Reg. S) | 4,790 | 6,323 | ||
11.625% 3/4/19 (f) | 5,545 | 8,220 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (f) | 13,360 | 12,091 | ||
Italian Republic: | ||||
2% 12/15/12 | EUR | 13,700 | 18,160 | |
3% 6/15/15 | EUR | 48,650 | 63,133 | |
4% 9/1/20 | EUR | 50,200 | 63,808 | |
5% 9/1/40 | EUR | 23,450 | 29,450 | |
Ivory Coast 2.5% 12/31/32 (e) | 5,905 | 2,451 | ||
Japan Government: | ||||
0.4% 5/15/11 | JPY | 10,096,200 | 124,435 | |
1.1% 6/20/20 | JPY | 3,622,500 | 44,749 | |
1.9% 9/20/30 | JPY | 3,130,000 | 38,581 | |
2% 9/20/40 | JPY | 495,000 | 6,045 | |
Lebanese Republic 4% 12/31/17 | 7,819 | 7,526 | ||
Lithuanian Republic: | ||||
5.125% 9/14/17 (f) | 1,670 | 1,645 | ||
6.75% 1/15/15 (f) | 4,235 | 4,595 | ||
7.375% 2/11/20 (f) | 3,180 | 3,514 | ||
Ontario Province 4.4% 6/2/19 | CAD | 9,900 | 10,463 | |
Perusahaan Penerbit SBSN Indonesia 8.8% 4/23/14 (f) | 2,160 | 2,549 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 1,611 | 1,385 | ||
5.625% 11/18/50 | 4,255 | 3,936 | ||
7.35% 7/21/25 | 2,635 | 3,202 | ||
8.75% 11/21/33 | 3,450 | 4,709 | ||
Philippine Republic: | ||||
6.375% 1/15/32 | 2,020 | 2,151 | ||
6.375% 10/23/34 | 2,975 | 3,176 | ||
6.5% 1/20/20 | 2,960 | 3,426 | ||
9.5% 2/2/30 | 1,010 | 1,462 | ||
9.5% 2/2/30 | 1,345 | 1,947 | ||
10.625% 3/16/25 | 2,040 | 3,152 | ||
Polish Government 3.875% 7/16/15 | 1,945 | 1,974 | ||
Provincia de Cordoba 12.375% 8/17/17 (f) | 4,515 | 4,696 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 8,925 | 8,189 | ||
Republic of Serbia 6.75% 11/1/24 (f) | 24,565 | 24,074 | ||
Russian Federation: | ||||
3.625% 4/29/15 (f) | 6,500 | 6,516 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Russian Federation: - continued | ||||
5% 4/29/20 (f) | $ 11,000 | $ 11,014 | ||
7.5% 3/31/30 (Reg. S) | 61,012 | 70,545 | ||
11% 7/24/18 (Reg. S) | 1,310 | 1,834 | ||
12.75% 6/24/28 (Reg. S) | 8,740 | 15,197 | ||
Turkish Republic: | ||||
5.625% 3/30/21 | 4,440 | 4,640 | ||
6.75% 4/3/18 | 6,910 | 7,869 | ||
6.75% 5/30/40 | 5,740 | 6,300 | ||
6.875% 3/17/36 | 12,320 | 13,753 | ||
7% 9/26/16 | 7,190 | 8,260 | ||
7.25% 3/15/15 | 4,505 | 5,158 | ||
7.25% 3/5/38 | 8,050 | 9,378 | ||
7.375% 2/5/25 | 13,955 | 16,537 | ||
7.5% 7/14/17 | 7,085 | 8,370 | ||
7.5% 11/7/19 | 5,465 | 6,517 | ||
11.875% 1/15/30 | 4,915 | 8,442 | ||
UK Treasury GILT: | ||||
3.25% 12/7/11 | GBP | 36,700 | 58,633 | |
4.25% 12/7/40 | GBP | 11,975 | 18,769 | |
4.25% 12/7/55 | GBP | 15,600 | 25,090 | |
4.5% 9/7/34 | GBP | 23,400 | 38,115 | |
4.75% 9/7/15 | GBP | 16,200 | 28,126 | |
4.75% 3/7/20 | GBP | 5,900 | 10,175 | |
5% 3/7/25 | GBP | 12,050 | 21,101 | |
Ukraine Cabinet of Ministers 6.875% 3/4/11 (Reg. S) | 31,505 | 31,647 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (f) | 3,275 | 3,443 | ||
Ukraine Government: | ||||
6.385% 6/26/12 (f) | 3,345 | 3,399 | ||
6.75% 11/14/17 (f) | 5,725 | 5,718 | ||
6.875% 9/23/15 (f) | 3,325 | 3,375 | ||
7.75% 9/23/20 (f) | 2,755 | 2,796 | ||
United Mexican States: | ||||
4.25% 7/14/17 | EUR | 750 | 1,000 | |
5.125% 1/15/20 | 1,970 | 2,054 | ||
5.625% 1/15/17 | 2,978 | 3,276 | ||
5.75% 10/12/10 | 5,246 | 4,643 | ||
6.05% 1/11/40 | 12,854 | 13,143 | ||
6.75% 9/27/34 | 6,070 | 6,844 | ||
7.5% 4/8/33 | 2,770 | 3,400 | ||
8.3% 8/15/31 | 2,600 | 3,445 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | $ 1,675 | $ 1,926 | ||
7.875% 1/15/33 pay-in-kind | 3,815 | 4,616 | ||
8% 11/18/22 | 7,512 | 9,296 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (l) | 10,801 | 281 | ||
1.2884% 4/20/11 (Reg. S) (j) | 31,915 | 31,436 | ||
6% 12/9/20 | 4,800 | 2,796 | ||
7% 3/31/38 | 4,180 | 2,362 | ||
8.5% 10/8/14 | 5,480 | 4,658 | ||
9% 5/7/23 (Reg. S) | 20,260 | 13,838 | ||
9.25% 9/15/27 | 13,485 | 10,046 | ||
9.25% 5/7/28 (Reg. S) | 4,125 | 2,795 | ||
9.375% 1/13/34 | 6,705 | 4,593 | ||
10.75% 9/19/13 | 6,248 | 5,998 | ||
12.75% 8/23/22 | 19,765 | 17,393 | ||
13.625% 8/15/18 | 9,595 | 9,307 | ||
Vietnamese Socialist Republic: | ||||
1.2997% 3/12/16 (j) | 3,551 | 3,303 | ||
4% 3/12/28 (e) | 12,550 | 10,291 | ||
6.75% 1/29/20 (f) | 3,650 | 3,723 | ||
6.875% 1/15/16 (f) | 3,665 | 3,848 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,993,158) | 2,070,582 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Eurasian Development Bank 7.375% 9/29/14 (f) | 4,240 | 4,574 |
Common Stocks - 1.0% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Intermet Corp. (a)(n) | 113,725 | 0 | |
Remy International, Inc. (a) | 40,800 | 653 | |
Remy International, Inc. rights 1/18/11 (a) | 81,600 | 408 | |
| 1,061 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | |||
Media - 0.2% | |||
Haights Cross Communications, Inc. (a) | 8,267 | $ 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 32 | |
HMH Holdings, Inc. (a)(n) | 2,569,344 | 13,489 | |
HMH Holdings, Inc. warrants 3/9/17 (a) | 636,272 | 318 | |
RDA Holding Co. (a) | 67,800 | 1,593 | |
RDA Holding Co. warrants 2/19/14 (a)(n) | 9,559 | 0 | |
SuperMedia, Inc. (a) | 7,045 | 61 | |
Virgin Media, Inc. warrants 1/10/11 (a) | 6 | 0 | |
| 15,554 | ||
TOTAL CONSUMER DISCRETIONARY | 16,615 | ||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
New Penhall Holding Co.: | |||
Class A (a) | 6,088 | 685 | |
Class B (a) | 2,029 | 228 | |
| 913 | ||
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.1% | |||
Delta Air Lines, Inc. (a) | 875,052 | 11,026 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 266,722 | 9,602 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 50 | |
| 9,652 | ||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
TOTAL INDUSTRIALS | 20,685 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
ASAT Holdings Ltd. warrants 2/1/11 (a)(n) | 546,000 | 0 | |
MagnaChip Semiconductor LLC (a) | 392,246 | 55 | |
Spansion, Inc. Class A (a) | 154,883 | 3,206 | |
| 3,261 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - 0.6% | |||
Chemicals - 0.5% | |||
Celanese Corp. Class A | 8,316 | $ 342 | |
Chemtura Corp. (a) | 112,703 | 1,801 | |
Georgia Gulf Corp. (a) | 591,147 | 14,223 | |
LyondellBasell Industries NV Class A (a) | 898,149 | 30,896 | |
Tronox Worldwide LLC/Tronox Worldwide Finance Corp. rights (a) | 59,704 | 0 | |
| 47,262 | ||
Containers & Packaging - 0.0% | |||
Constar International, Inc. (a) | 25,200 | 49 | |
Metals & Mining - 0.1% | |||
Aleris International, Inc. (n) | 38,307 | 2,030 | |
Rathgibson Acquisition Co. LLC Class A (a)(n) | 286,500 | 2,037 | |
| 4,067 | ||
TOTAL MATERIALS | 51,378 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 158 | |
TOTAL COMMON STOCKS (Cost $104,671) | 93,010 | ||
Preferred Stocks - 0.4% | |||
|
|
|
|
Convertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.2% | |||
General Motors Co. 4.75% | 309,600 | 16,752 | |
Nonconvertible Preferred Stocks - 0.2% | |||
FINANCIALS - 0.2% | |||
Diversified Financial Services - 0.2% | |||
GMAC LLC 7.00% (f) | 21,976 | 20,548 | |
TOTAL PREFERRED STOCKS (Cost $27,034) | 37,300 |
Floating Rate Loans - 4.9% | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
CONSUMER DISCRETIONARY - 1.4% | ||||
Auto Components - 0.0% | ||||
Remy International, Inc. Tranche B, term loan 6.25% 12/12/16 (j) | $ 255 | $ 256 | ||
Diversified Consumer Services - 0.3% | ||||
ServiceMaster Co.: | ||||
term loan 2.7746% 7/24/14 (j) | 6,267 | 6,032 | ||
Tranche DD, term loan 2.77% 7/24/14 (j) | 645 | 621 | ||
Thomson Learning Tranche B, term loan 2.55% 7/5/14 (j) | 12,704 | 11,974 | ||
Visant Corp. Tranche B, term loan 7% 12/22/16 (j) | 4,648 | 4,695 | ||
| 23,322 | |||
Hotels, Restaurants & Leisure - 0.1% | ||||
Burger King Corp. Tranche B, term loan 6.25% 10/19/16 (j) | 4,385 | 4,451 | ||
DineEquity, Inc. term loan 6% 10/19/17 (j) | 5,266 | 5,351 | ||
Green Valley Ranch Gaming LLC Tranche 1LN, term loan 2.26% 2/16/14 (c)(j) | 140 | 110 | ||
Las Vegas Sands LLC: | ||||
Tranche B, term loan 3.03% 11/23/16 (j) | 468 | 448 | ||
Tranche I, term loan 3.03% 11/23/16 (j) | 95 | 91 | ||
OSI Restaurant Partners, Inc.: | ||||
Credit-Linked Deposit 2.5601% 6/14/13 (j) | 41 | 39 | ||
term loan 2.625% 6/14/14 (j) | 395 | 376 | ||
| 10,866 | |||
Media - 0.6% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.27% 3/6/14 (j) | 6,189 | 6,127 | ||
Getty Images, Inc. Tranche B, term loan 5.25% 11/5/16 (j) | 4,773 | 4,821 | ||
Univision Communications, Inc. term loan 4.5106% 3/31/17 (j) | 42,990 | 40,411 | ||
| 51,359 | |||
Specialty Retail - 0.4% | ||||
Burlington Coat Factory Warehouse Corp. term loan 2.5301% 5/28/13 (j) | 6,637 | 6,538 | ||
Michaels Stores, Inc.: | ||||
Tranche B1, term loan 2.5625% 10/31/13 (j) | 9,019 | 8,793 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - continued | ||||
Michaels Stores, Inc.: - continued | ||||
Tranche B2, term loan 4.8125% 7/31/16 (j) | $ 21,183 | $ 21,183 | ||
PETCO Animal Supplies, Inc. Tranche B, term loan 6% 11/24/17 (j) | 1,390 | 1,395 | ||
| 37,909 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. term loan 2.5106% 4/4/14 (j) | 1,580 | 1,525 | ||
TOTAL CONSUMER DISCRETIONARY | 125,237 | |||
CONSUMER STAPLES - 0.1% | ||||
Food & Staples Retailing - 0.0% | ||||
The Great Atlantic & Pacific Tea Co. Tranche 2 LN, term loan 8.75% 6/14/12 (j) | 2,425 | 2,449 | ||
Food Products - 0.0% | ||||
Green Mountain Coffee Roasters, Inc. Tranche B, term loan 5.5% 12/17/16 (j) | 690 | 690 | ||
Personal Products - 0.0% | ||||
NBTY, Inc. Tranche B, term loan 6.25% 10/1/17 (j) | 1,500 | 1,521 | ||
Tobacco - 0.1% | ||||
Reynolds Consumer Products Holdings, Inc. term loan: | ||||
6.25% 8/6/15 (j) | 2,755 | 2,755 | ||
6.5% 5/5/16 (j) | 1,985 | 2,005 | ||
| 4,760 | |||
TOTAL CONSUMER STAPLES | 9,420 | |||
ENERGY - 0.0% | ||||
Oil, Gas & Consumable Fuels - 0.0% | ||||
Venoco, Inc. Tranche 2LN, term loan 4.3125% 5/7/14 (j) | 372 | 355 | ||
FINANCIALS - 0.5% | ||||
Diversified Financial Services - 0.1% | ||||
Fifth Third Processing Solutions: | ||||
Tranche 1 LN, term loan 5.5% 11/3/16 (j) | 945 | 954 | ||
Tranche 2 LN, term loan 8.25% 11/3/17 (j) | 225 | 230 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Goodman Global Group, Inc.: | ||||
Tranche 1 LN, term loan 5.75% 10/28/16 (j) | $ 4,090 | $ 4,105 | ||
Tranche 2 LN, term loan 9% 10/28/17 (j) | 205 | 211 | ||
| 5,500 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. Tranche B, term loan 7.5% 9/30/16 (j) | 1,355 | 1,365 | ||
Real Estate Management & Development - 0.4% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2563% 10/10/13 (j) | 851 | 800 | ||
Tranche 2LN, term loan 13.5% 10/15/17 | 12,670 | 13,905 | ||
Tranche B, term loan 3.2857% 10/10/13 (j) | 6,251 | 5,876 | ||
Tranche DD, term loan 3.2844% 10/10/13 (j) | 16,292 | 15,274 | ||
| 35,855 | |||
TOTAL FINANCIALS | 42,720 | |||
HEALTH CARE - 0.1% | ||||
Health Care Providers & Services - 0.1% | ||||
DaVita, Inc. Tranche A, term loan 3.02% 10/20/15 (j) | 2,565 | 2,571 | ||
Sunquest Information Systems, Inc. Tranche 1 LN, term loan 6.25% 12/16/16 (j) | 2,530 | 2,530 | ||
| 5,101 | |||
Pharmaceuticals - 0.0% | ||||
PTS Acquisition Corp. term loan 2.5106% 4/10/14 (j) | 2,033 | 1,946 | ||
TOTAL HEALTH CARE | 7,047 | |||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.0% | ||||
DeCrane Aircraft Holdings, Inc. Tranche 2LN, term loan 14.25% 2/21/14 (c)(j) | 101 | 73 | ||
TransDigm Group, Inc. Tranche B, term loan 5% 12/6/16 (j) | 1,315 | 1,325 | ||
| 1,398 | |||
Airlines - 0.5% | ||||
Delta Air Lines, Inc.: | ||||
Tranche 1LN, term loan 8.75% 9/27/13 (j) | 464 | 469 | ||
Tranche 2LN, term loan 3.5391% 4/30/14 (j) | 10,160 | 9,880 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
Northwest Airlines Corp. Tranche A, term loan 2.06% 12/31/18 (j) | $ 9,916 | $ 8,726 | ||
United Air Lines, Inc. Tranche B, term loan 2.3125% 2/1/14 (j) | 12,346 | 11,914 | ||
US Airways Group, Inc. term loan 2.7884% 3/23/14 (j) | 10,500 | 9,423 | ||
| 40,412 | |||
Commercial Services & Supplies - 0.0% | ||||
Brand Energy & Infrastructure Services, Inc. Tranche 2LN, term loan 6.3125% 2/7/15 (j) | 650 | 585 | ||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp. term loan 3.5413% 12/3/14 (j) | 12,183 | 11,787 | ||
Tomkins PLC Tranche B, term loan 6.25% 9/21/16 (j) | 9,787 | 9,922 | ||
| 21,709 | |||
Machinery - 0.1% | ||||
Dresser, Inc. Tranche 2LN, term loan 6.0344% 5/4/15 pay-in-kind (j) | 4,050 | 4,040 | ||
Road & Rail - 0.0% | ||||
Swift Transportation Co., Inc. Tranche B, term loan 6.75% 12/21/16 (j) | 2,775 | 2,789 | ||
Transportation Infrastructure - 0.0% | ||||
Trico Shipping AS term loan: | ||||
13.5% 9/21/11 | 372 | 372 | ||
13.5% 9/21/11 | 173 | 173 | ||
| 545 | |||
TOTAL INDUSTRIALS | 71,478 | |||
INFORMATION TECHNOLOGY - 0.6% | ||||
Electronic Equipment & Components - 0.1% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.5106% 10/1/14 (j) | 979 | 968 | ||
Tranche B A2, term loan 2.5106% 10/1/14 (j) | 2,102 | 2,078 | ||
Tranche B A3, term loan 2.5075% 10/1/14 (j) | 2,452 | 2,425 | ||
Tranche B-A, term loan 2.5077% 10/1/14 (j) | 3,405 | 3,367 | ||
Tranche B-B, term loan 2.5075% 10/1/12 (j) | 3,273 | 3,248 | ||
| 12,086 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Freescale Semiconductor, Inc. term loan 4.5075% 12/1/16 (j) | $ 21,956 | $ 21,297 | ||
Spansion, Inc. term loan 6.5% 2/9/15 (j) | 6,507 | 6,572 | ||
| 27,869 | |||
Software - 0.2% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.0528% 6/11/14 (j) | 11,708 | 11,430 | ||
Tranche 2LN, term loan 6.0528% 6/11/15 (j) | 1,790 | 1,750 | ||
Open Solutions, Inc. term loan 2.415% 1/23/14 (j) | 231 | 195 | ||
| 13,375 | |||
TOTAL INFORMATION TECHNOLOGY | 53,330 | |||
MATERIALS - 0.2% | ||||
Chemicals - 0.1% | ||||
Arizona Chemical term loan 6.75% 11/18/16 (j) | 575 | 580 | ||
Momentive Performance Materials, Inc. Tranche B1, term loan 2.5625% 12/4/13 (j) | 14,929 | 14,537 | ||
| 15,117 | |||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.2843% 4/3/15 (j) | 8,795 | 8,300 | ||
Paper & Forest Products - 0.0% | ||||
White Birch Paper Co.: | ||||
term loan 12% 3/1/11 (j) | 308 | 304 | ||
Tranche 1LN, term loan 7% 5/8/14 (c)(j) | 1,487 | 22 | ||
Tranche DD, term loan 6.7163% 3/1/11 (j)(o) | 107 | 106 | ||
| 432 | |||
TOTAL MATERIALS | 23,849 | |||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Wireless Telecommunication Services - 0.4% | ||||
Digicel International Finance Ltd. term loan 2.8125% 3/30/12 (j) | 954 | 946 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s) (d) | Value (000s) | ||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings Ltd. term loan 3.29% 2/1/14 (j) | $ 20,890 | $ 19,846 | ||
Intelsat Jackson Holdings SA Tranche B, term loan 5.25% 4/2/18 (j) | 17,615 | 17,571 | ||
| 38,363 | |||
UTILITIES - 0.8% | ||||
Electric Utilities - 0.8% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc.: | ||||
Tranche B1, term loan 3.7638% 10/10/14 (j) | 24,989 | 19,335 | ||
Tranche B2, term loan 3.7638% 10/10/14 (j) | 30,637 | 23,705 | ||
Tranche B3, term loan 3.7638% 10/10/14 (j) | 35,229 | 27,170 | ||
| 70,210 | |||
Independent Power Producers & Energy Traders - 0.0% | ||||
GenOn Energy, Inc. Tranche B, term loan 6% 9/20/17 (j) | 1,970 | 1,982 | ||
TOTAL UTILITIES | 72,192 | |||
TOTAL FLOATING RATE LOANS (Cost $404,934) | 443,991 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic: | ||||
loan participation - Citibank 1.25% 12/14/19 (j) | 6,619 | 6,056 | ||
1.25% 12/14/19 (j) | 490 | 448 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $5,435) | 6,504 |
Fixed-Income Funds - 3.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (k) | 2,791,590 | 278,657 | |
Preferred Securities - 0.2% | |||
Principal Amount (000s) (d) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Media - 0.2% | |||
Net Servicos de Comunicacao SA 9.25% (f) (Cost $14,403) | $ 14,830 | $ 15,068 | |
Other - 0.0% | |||
Shares |
| ||
Other - 0.0% | |||
Idearc, Inc. Claim (a) (Cost $0) | 1,675,371 | 0 * | |
Money Market Funds - 4.2% | |||
|
|
|
|
Fidelity Cash Central Fund, 0.19% (b) | 382,288,446 | 382,288 | |
Cash Equivalents - 0.0% | |||
Maturity Amount (000s) |
| ||
Investments in repurchase agreements in a joint trading account at 0.19%, dated 12/31/10 due 1/3/11 (Collateralized by U.S. Treasury Obligations) # | $ 5,103 | 5,103 | |
TOTAL INVESTMENT PORTFOLIO - 100.5% (Cost $8,761,083) | 9,186,480 | ||
NET OTHER ASSETS (LIABILITIES) - (0.5)% | (49,694) | ||
NET ASSETS - 100% | $ 9,136,786 |
Swap Agreements | |||||
| Expiration Date | Notional Amount (000s) | Value (000s) | ||
Interest Rate Swaps | |||||
Receive quarterly a floating rate based on 3-month LIBOR and pay semi-annually a fixed rate equal to 0.682% with JPMorgan Chase, Inc. | August 2012 | $ 32,000 | $ (95) |
Currency Abbreviations | ||
ARS | - | Argentine peso |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana Cedi |
JPY | - | Japanese yen |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's website or upon request. |
(c) Non-income producing - Security is in default. |
(d) Principal amount is stated in United States dollars unless otherwise noted. |
(e) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,589,842,000 or 17.4% of net assets. |
(g) Under the Temporary Liquidity Guarantee Program, the Federal Deposit Insurance Corporation guarantees principal and interest in the event of payment default or bankruptcy until the earlier of maturity date of the debt or until June 30, 2012. At the end of the period these securities amounted to $180,031,000 or 2.0% of net assets. |
(h) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(i) A portion of the security is subject to a forward commitment to sell. |
(j) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(k) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's web site at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC's web site or upon request. |
(l) Quantity represents share amount. |
(m) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(n) 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 $17,556,000 or 0.2% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
ASAT Holdings Ltd. warrants 2/1/11 | 11/15/07 | $ 0 |
HMH Holdings, Inc. | 5/2/08 - 3/9/10 | $ 38,440 |
Intermet Corp. | 1/7/05 - 1/13/05 | $ 2,153 |
Rathgibson Acquisition Co. LLC Class A | 6/9/10 | $ 1,520 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
(o) Position or a portion of the position represents an unfunded loan commitment. At period end, the total principal amount and market value of unfunded commitments totaled $56,000 and $56,000, respectively. |
* Amount represents less than $1,000 |
# Additional information on each counterparty to the repurchase agreement is as follows: |
Repurchase Agreement / Counterparty | Value |
$5,103,000 due 1/03/11 at 0.19% | |
BNP Paribas Securities Corp. | $ 2,313 |
Barclays Capital, Inc. | 1,920 |
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 870 |
| $ 5,103 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 756 |
Fidelity Floating Rate Central Fund | 11,734 |
Total | $ 12,490 |
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 | % ownership, end of period |
Fidelity Floating Rate Central Fund | $ 366,878 | $ 28,209 | $ 137,018 | $ 278,657 | 9.7% |
Other Information |
The following is a summary of the inputs used, as of December 31, 2010, involving the Fund's assets and liabilities carried at fair value. The inputs or methodology used for valuing securities may not be an indication of the risk associated with investing in those securities. For more information on valuation inputs, and their aggregation into the levels used in the tables below, please refer to the Security Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 33,367 | $ 17,466 | $ 15,490 | $ 411 |
Financials | 21,461 | - | 20,548 | 913 |
Industrials | 20,685 | 20,678 | - | 7 |
Information Technology | 3,261 | 3,206 | - | 55 |
Materials | 51,378 | 47,311 | 2,030 | 2,037 |
Utilities | 158 | 158 | - | - |
Corporate Bonds | 3,459,065 | - | 3,451,731 | 7,334 |
U.S. Government and Government Agency Obligations | 1,957,921 | - | 1,957,921 | - |
U.S. Government Agency - Mortgage Securities | 221,938 | - | 221,938 | - |
Asset-Backed Securities | 4,727 | - | 4,311 | 416 |
Collateralized Mortgage Obligations | 199,285 | - | 199,285 | - |
Commercial Mortgage Securities | 6,467 | - | 6,467 | - |
Foreign Government and Government Agency Obligations | 2,070,582 | - | 2,068,307 | 2,275 |
Supranational Obligations | 4,574 | - | 4,574 | - |
Floating Rate Loans | 443,991 | - | 443,991 | - |
Sovereign Loan Participations | 6,504 | - | 6,504 | - |
Fixed-Income Funds | 278,657 | 278,657 | - | - |
Preferred Securities | 15,068 | - | 15,068 | - |
Other | - | - | - | - |
Money Market Funds | 382,288 | 382,288 | - | - |
Cash Equivalents | 5,103 | - | 5,103 | - |
Total Investments in Securities: | $ 9,186,480 | $ 749,764 | $ 8,423,268 | $ 13,448 |
Derivative Instruments: | ||||
Liabilities | ||||
Swap Agreements | $ (95) | $ - | $ (95) | $ - |
Other Financial Instruments: | ||||
Forward Commitments | $ 86 | $ - | $ 86 | $ - |
The following is a reconciliation of Investments in Securities for which Level 3 inputs were used in determining value: |
(Amounts in thousands) |
|
Investments in Securities: | |
Beginning Balance | $ 12,556 |
Total Realized Gain (Loss) | (2,299) |
Total Unrealized Gain (Loss) | 3,101 |
Cost of Purchases | 3,679 |
Proceeds of Sales | (11,324) |
Amortization/Accretion | (28) |
Transfers in to Level 3 | 18,450 |
Transfers out of Level 3 | (10,687) |
Ending Balance | $ 13,448 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at December 31, 2010 | $ (99) |
The information used in the above reconciliation represents fiscal year to date activity for any Investments in Securities identified as using Level 3 inputs at either the beginning or the end of the current fiscal period. Transfers in or out of Level 3 represent the beginning value of any Security or Instrument where a change in the pricing level occurred from the beginning to the end of the period. The cost of purchases and the proceeds of sales may include securities received or delivered through corporate actions or exchanges. Realized and unrealized gains (losses) disclosed in the reconciliation are included in Net Gain (Loss) on the Fund's Statement of Operations. |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by risk exposure as of December 31, 2010. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Swap Agreements (a) | $ - | $ (95) |
Total Value of Derivatives | $ - | $ (95) |
(a) Value is disclosed on the Statement of Assets and Liabilities in the Unrealized Appreciation and Unrealized Depreciation on Swap Agreements line-items. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 65.9% |
Germany | 3.7% |
Bermuda | 2.9% |
United Kingdom | 2.9% |
Canada | 2.9% |
Japan | 2.4% |
Italy | 1.9% |
Argentina | 1.9% |
Venezuela | 1.7% |
Netherlands | 1.4% |
Turkey | 1.4% |
Luxembourg | 1.3% |
Russia | 1.3% |
Others (Individually Less Than 1%) | 8.4% |
| 100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund. |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | December 31, 2010 | |
|
|
|
Assets | ||
Investment in securities, at value (including repurchase agreements of $5,103) - See accompanying schedule: Unaffiliated issuers (cost $8,169,570) | $ 8,525,535 |
|
Fidelity Central Funds (cost $591,513) | 660,945 |
|
Total Investments (cost $8,761,083) |
| $ 9,186,480 |
Commitment to sell securities on a delayed delivery basis | (22,388) | |
Receivable for securities sold on a delayed delivery basis | 22,474 | 86 |
Cash | 1,748 | |
Foreign currency held at value (cost $44) | 43 | |
Receivable for investments sold |
| 16,170 |
Delayed delivery |
| 23,475 |
Receivable for fund shares sold | 12,227 | |
Dividends receivable | 2 | |
Interest receivable | 108,388 | |
Distributions receivable from Fidelity Central Funds | 1,125 | |
Prepaid expenses | 22 | |
Other receivables | 38 | |
Total assets | 9,349,804 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 43,552 | |
Delayed delivery | 108,709 | |
Payable for fund shares redeemed | 29,392 | |
Distributions payable | 22,748 | |
Unrealized depreciation on swap agreements | 95 | |
Accrued management fee | 4,286 | |
Distribution and service plan fees payable | 2,758 | |
Other affiliated payables | 1,244 | |
Other payables and accrued expenses | 234 | |
Total liabilities | 213,018 | |
|
|
|
Net Assets | $ 9,136,786 | |
Net Assets consist of: |
| |
Paid in capital | $ 8,609,255 | |
Undistributed net investment income | 104,248 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (1,825) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 425,108 | |
Net Assets | $ 9,136,786 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | December 31, 2010 | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.38 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.38) | $ 12.90 | |
Class T: | $ 12.38 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.38) | $ 12.90 | |
Class B: | $ 12.42 | |
|
|
|
Class C: | $ 12.36 | |
|
|
|
Institutional Class: | $ 12.52 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Statement of Operations
Amounts in thousands | Year ended December 31, 2010 | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 5,064 |
Interest |
| 501,224 |
Income from Fidelity Central Funds |
| 12,490 |
Total income |
| 518,778 |
|
|
|
Expenses | ||
Management fee | $ 49,023 | |
Transfer agent fees | 12,856 | |
Distribution and service plan fees | 31,719 | |
Accounting and security lending fees | 1,517 | |
Custodian fees and expenses | 436 | |
Independent trustees' compensation | 31 | |
Registration fees | 497 | |
Audit | 115 | |
Legal | 152 | |
Miscellaneous | 96 | |
Total expenses before reductions | 96,442 | |
Expense reductions | (4) | 96,438 |
Net investment income | 422,340 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 255,624 | |
Fidelity Central Funds | (3,824) |
|
Foreign currency transactions | (1,135) | |
Swap agreements | (1,038) |
|
Total net realized gain (loss) |
| 249,627 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 103,095 | |
Assets and liabilities in foreign currencies | (42) | |
Swap agreements | (248) | |
Delayed delivery commitments | 86 |
|
Total change in net unrealized appreciation (depreciation) |
| 102,891 |
Net gain (loss) | 352,518 | |
Net increase (decrease) in net assets resulting from operations | $ 774,858 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Year ended December 31, 2010 | Year ended December 31, 2009 |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income | $ 422,340 | $ 393,364 |
Net realized gain (loss) | 249,627 | 149,167 |
Change in net unrealized appreciation (depreciation) | 102,891 | 1,216,485 |
Net increase (decrease) in net assets resulting | 774,858 | 1,759,016 |
Distributions to shareholders from net investment income | (395,760) | (327,674) |
Distributions to shareholders from net realized gain | (207,173) | (66,147) |
Total distributions | (602,933) | (393,821) |
Share transactions - net increase (decrease) | 821,772 | 1,449,870 |
Total increase (decrease) in net assets | 993,697 | 2,815,065 |
|
|
|
Net Assets | ||
Beginning of period | 8,143,089 | 5,328,024 |
End of period (including undistributed net investment income of $104,248 and undistributed net investment income of $81,639, respectively) | $ 9,136,786 | $ 8,143,089 |
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class A
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .622 | .681 | .600 | .616 | .600 |
Net realized and unrealized gain (loss) | .500 | 2.345 | (1.826) | (.019) | .248 |
Total from investment operations | 1.122 | 3.026 | (1.226) | .597 | .848 |
Distributions from net investment income | (.582) | (.566) | (.554) | (.607) | (.583) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.872) | (.666) | (.624) | (.737) | (.628) |
Net asset value, end of period | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return A, B | 9.48% | 31.74% | (10.98)% | 5.22% | 7.54% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of fee waivers, if any | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of all reductions | .99% | 1.01% | 1.02% | 1.01% | .97% |
Net investment income | 5.00% | 6.14% | 5.49% | 5.27% | 5.18% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 4,169 | $ 3,725 | $ 2,174 | $ 1,931 | $ 954 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class T
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .621 | .675 | .607 | .620 | .594 |
Net realized and unrealized gain (loss) | .511 | 2.341 | (1.832) | (.021) | .248 |
Total from investment operations | 1.132 | 3.016 | (1.225) | .599 | .842 |
Distributions from net investment income | (.582) | (.566) | (.555) | (.609) | (.577) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.872) | (.666) | (.625) | (.739) | (.622) |
Net asset value, end of period | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return A, B | 9.57% | 31.64% | (10.97)% | 5.24% | 7.49% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of fee waivers, if any | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of all reductions | .99% | 1.01% | 1.01% | .99% | 1.02% |
Net investment income | 5.00% | 6.14% | 5.50% | 5.29% | 5.13% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,571 | $ 1,579 | $ 1,337 | $ 1,983 | $ 2,049 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the sales charges.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class B
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .535 | .600 | .525 | .533 | .511 |
Net realized and unrealized gain (loss) | .509 | 2.348 | (1.831) | (.022) | .247 |
Total from investment operations | 1.044 | 2.948 | (1.306) | .511 | .758 |
Distributions from net investment income | (.494) | (.488) | (.474) | (.521) | (.493) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.784) | (.588) | (.544) | (.651) | (.538) |
Net asset value, end of period | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 |
Total Return A, B | 8.77% | 30.72% | (11.60)% | 4.44% | 6.70% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | 1.70% | 1.72% | 1.76% | 1.74% | 1.76% |
Expenses net of fee waivers, if any | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Expenses net of all reductions | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Net investment income | 4.30% | 5.43% | 4.76% | 4.54% | 4.40% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 307 | $ 348 | $ 267 | $ 335 | $ 342 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Class C
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 |
Income from Investment Operations |
|
|
|
|
|
Net investment income C | .528 | .597 | .517 | .526 | .503 |
Net realized and unrealized gain (loss) | .512 | 2.327 | (1.817) | (.020) | .238 |
Total from investment operations | 1.040 | 2.924 | (1.300) | .506 | .741 |
Distributions from net investment income | (.490) | (.484) | (.470) | (.516) | (.486) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.780) | (.584) | (.540) | (.646) | (.531) |
Net asset value, end of period | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 |
Total Return A, B | 8.77% | 30.60% | (11.59)% | 4.42% | 6.57% |
Ratios to Average Net Assets D, F |
|
|
|
|
|
Expenses before reductions | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of fee waivers, if any | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of all reductions | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Net investment income | 4.26% | 5.40% | 4.72% | 4.50% | 4.34% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,609 | $ 1,336 | $ 800 | $ 866 | $ 683 |
Portfolio turnover rate E | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Total returns do not include the effect of the contingent deferred sales charge.
C Calculated based on average shares outstanding during the period.
D Fees and expenses of 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.
E Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Financial Highlights - Institutional Class
Years ended December 31, | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
|
Net asset value, beginning of period | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 |
Income from Investment Operations |
|
|
|
|
|
Net investment income B | .657 | .710 | .635 | .652 | .627 |
Net realized and unrealized gain (loss) | .514 | 2.361 | (1.835) | (.027) | .252 |
Total from investment operations | 1.171 | 3.071 | (1.200) | .625 | .879 |
Distributions from net investment income | (.611) | (.591) | (.580) | (.635) | (.604) |
Distributions from net realized gain | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.901) | (.691) | (.650) | (.765) | (.649) |
Net asset value, end of period | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 |
Total Return A | 9.80% | 31.92% | (10.67)% | 5.42% | 7.76% |
Ratios to Average Net Assets C, E |
|
|
|
|
|
Expenses before reductions | .76% | .78% | .78% | .77% | .79% |
Expenses net of fee waivers, if any | .76% | .78% | .78% | .77% | .79% |
Expenses net of all reductions | .76% | .78% | .78% | .76% | .79% |
Net investment income | 5.23% | 6.37% | 5.73% | 5.52% | 5.36% |
Supplemental Data |
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,481 | $ 1,156 | $ 750 | $ 889 | $ 655 |
Portfolio turnover rate D | 207% | 202% | 255% | 149% | 81% |
A Total returns would have been lower had certain expenses not been reduced during the periods shown.
B Calculated based on average shares outstanding during the period.
C 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.
D Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
E Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Annual Report
Notes to Financial Statements
For the period ended December 31, 2010
(Amounts in thousands except ratios)
1. Organization.
Fidelity Advisor Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C, and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Effective after the close of business on September 1, 2010, Class B shares were closed to new accounts and additional purchases by existing shareholders. 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.
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 held as of period end, if any, as an investment of the Fund, but does not include the underlying holdings of each Fidelity Central Fund. As an Investing Fund, the Fund indirectly bears its proportionate share of the expenses of the underlying Fidelity Central Funds.
Based on 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 Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each Fidelity Central Fund.
Annual Report
2. Investments in Fidelity Central Funds - continued
Fidelity Central Fund | Investment | Investment | Investment |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) web site at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including security valuation policies) of those funds, which are not covered by the Fund's Report of Independent Registered Public Accounting Firm, are available on the SEC web site or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Security Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. The Fund uses independent pricing services approved by the Board of Trustees to value its investments. When current market prices or quotations are not readily available or reliable, valuations may be determined in good faith in accordance with procedures adopted by the Board of Trustees. Factors used in determining value may include market or security specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The value used for net asset value (NAV) calculation under these procedures may differ from published prices for the same securities.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below.
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of December 31, 2010 for the Fund's investments, as well as a roll forward of Level 3 securities, is included at the end of the Fund's Schedule of Investments. Valuation techniques used to value the Fund's investments by major category are as follows.
Debt securities, including restricted securities, are valued based on evaluated prices received from independent pricing services or from dealers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations, pricing services utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and are generally categorized as Level 2 in the hierarchy. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing services utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type as well as dealer supplied prices and, accordingly, such securities are generally categorized as Level 2 in the hierarchy. 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 fair value and are categorized as Level 2 in the hierarchy.
Swaps are marked-to-market daily based on valuations from independent pricing services or dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Pricing services utilize matrix pricing which considers comparisons to interest rate curves, credit spread curves, default possibilities and recovery rates and, as a result, swaps are generally categorized as Level 2 in the hierarchy.
Annual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing matrices which consider similar factors that would be used by independent pricing services. These are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by an independent pricing service on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when significant market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-traded funds (ETFs) and certain indexes as well as quoted prices for similar securities are used and are categorized as Level 2 in the hierarchy in these circumstances. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and are categorized as Level 3 in the hierarchy.
Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost and may include proceeds received from litigation. Dividend income is recorded on the ex-dividend date, except for certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at the fair market value of the securities received. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income and distributions from the Fidelity Central Funds are accrued as earned. 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 according to the rate of inflation. Interest is accrued based on the principal value which is adjusted for inflation. The adjustments to principal due to inflation are reflected as increases or decreases to interest income even though the principal is not received until maturity. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Expenses. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year the Fund intends to qualify as a regulated investment company, including distributing substantially all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code and filing its U.S. federal tax return. As a result, no provision for income taxes is required. As of December 31, 2010, the Fund did not have any unrecognized tax benefits in the accompanying financial statements. A fund's federal tax return is subject
Annual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
to examination by the Internal Revenue Service (IRS) for a period of three years. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. In addition, the Fund claimed a portion of the payment made to redeeming shareholders as a distribution for income tax purposes.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to swap agreements, foreign currency transactions, defaulted bonds, market discount, partnership (including allocations from Fidelity Central Funds), capital loss carryforwards and losses deferred due to wash sales.
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 664,469 |
Gross unrealized depreciation | (195,438) |
Net unrealized appreciation (depreciation) | $ 469,031 |
|
|
Tax Cost | $ 8,717,449 |
The tax-based components of distributable earnings as of period end were as follows:
Undistributed ordinary income | $ 13,220 |
Undistributed long-term capital gain | $ 45,501 |
Net unrealized appreciation (depreciation) | $ 468,810 |
The tax character of distributions paid was as follows:
| December 31, 2010 | December 31, 2009 |
Ordinary Income | $ 495,344 | $ 393,821 |
Long-term Capital Gains | 107,589 | - |
Total | $ 602,933 | $ 393,821 |
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
4. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from 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 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.
Loans and Other Direct Debt Instruments. The Fund may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the Fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments. At the end of the period, the Fund had unfunded loan commitments of $56.
Annual Report
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund uses derivative instruments (derivatives), including swap agreements in order to meet its investment objectives. The strategy is to use derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives may increase or decrease its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to sell the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of its counterparties. The ISDA Master Agreement gives each counterparty the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the swap counterparty and the Fund's custodian bank and, if required, is identified in the Schedule of Investments. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk is generally the aggregate unrealized appreciation and unpaid counterparty fees in excess of any collateral pledged by the counterparty to the Fund. Risk of loss may exceed the amounts recognized in the Statement of Assets and Liabilities.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
5. Derivative Instruments - continued
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period.
Risk Exposure / Derivative Type | Net Realized Gain (Loss) | Change in Net Unrealized Appreciation (Depreciation) |
Interest Rate Risk |
|
|
Swap Agreements | $ (1,038) | $ (248) |
Totals (a)(b) | $ (1,038) | $ (248) |
(a) A summary of the value of derivatives by risk exposure as of period end, if any, is included at the end of the Schedule of Investments and is representative of activity for the period.
(b) Total derivatives net realized gain (loss) included in the Statement of Operations is comprised of $(1,038) for swap agreements.
Swap Agreements. A swap agreement (swap) is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount.
Details of swaps open at period end are included in the Schedule of Investments under the caption "Swap Agreements." Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation or (depreciation) and reflected in the Statement of Assets and Liabilities. Any upfront payments made or received upon entering a swap to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as realized gain or (loss) ratably over the term of the swap. Payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Realized gain or (loss) is also recorded in the event of an early termination of a swap. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on swaps during the period is included in the Statement of Operations.
Risks of loss may include interest rate risk. In addition, there is the risk of failure by the counterparty to perform under the terms of the agreement and lack of liquidity in the market.
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
Annual Report
6. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $11,437,165 and $10,818,259, respectively.
7. 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 .45% of the Fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annual management fee rate was .57% of the Fund's average net assets.
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of 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, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 9,799 | $ - |
Class T | -% | .25% | 3,922 | - |
Class B | .65% | .25% | 3,039 | 2,195 |
Class C | .75% | .25% | 14,959 | 4,122 |
|
|
| $ 31,719 | $ 6,137 |
Sales Load. FDC receives a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. 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% for certain purchases of Class A shares (1.00 to .50% prior to July 12, 2010) and .25% for certain purchases of Class T shares.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
7. 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 | $ 570 |
Class T | 123 |
Class B* | 717 |
Class C* | 236 |
| $ 1,646 |
* 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, transfer agent fees for each class were as follows:
| Amount | % of |
Class A | $ 5,659 | .14 |
Class T | 2,245 | .14 |
Class B | 670 | .20 |
Class C | 2,083 | .14 |
Institutional Class | 2,199 | .16 |
| $ 12,856 |
|
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.
Annual Report
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $3.75 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 $33 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
9. Security Lending.
The Fund lends portfolio securities through a lending agent from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, 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 rebates paid to borrowers and lending agent fees associated with the loan, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $45.
10. Bank Borrowings.
The Fund is permitted to have bank borrowings for temporary or emergency purposes to fund shareholder redemptions. The Fund has established borrowing arrangements with certain banks. The interest rate on the borrowings is the bank's base rate, as revised from time to time. The average daily loan balance during the period for which loans were outstanding amounted to $13,953. The weighted average interest rate was .68%. The interest expense amounted to two hundred sixty-four dollars under the bank borrowing program. At period end, there were no bank borrowings outstanding.
Annual Report
Notes to Financial Statements - continued
(Amounts in thousands except ratios)
11. 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 $4.
12. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Years ended December 31, | 2010 | 2009 |
From net investment income |
|
|
Class A | $ 184,441 | $ 145,916 |
Class T | 73,231 | 74,724 |
Class B | 13,190 | 13,400 |
Class C | 59,445 | 45,479 |
Institutional Class | 65,453 | 48,155 |
Total | $ 395,760 | $ 327,674 |
From net realized gain |
|
|
Class A | $ 94,835 | $ 30,314 |
Class T | 35,520 | 12,897 |
Class B | 7,104 | 2,829 |
Class C | 36,622 | 10,891 |
Institutional Class | 33,092 | 9,216 |
Total | $ 207,173 | $ 66,147 |
13. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Years ended December 31, | 2010 | 2009 | 2010 | 2009 |
Class A |
|
|
|
|
Shares sold | 112,762 | 138,915 | $ 1,400,620 | $ 1,553,818 |
Reinvestment of distributions | 18,407 | 14,252 | 227,669 | 161,349 |
Shares redeemed | (101,668) | (68,424) | (1,258,358) | (752,938) |
Net increase (decrease) | 29,501 | 84,743 | $ 369,931 | $ 962,229 |
Class T |
|
|
|
|
Shares sold | 29,433 | 30,555 | $ 365,455 | $ 335,869 |
Reinvestment of distributions | 7,441 | 7,202 | 92,005 | 80,594 |
Shares redeemed | (40,227) | (44,403) | (499,102) | (485,844) |
Net increase (decrease) | (3,353) | (6,646) | $ (41,642) | $ (69,381) |
Annual Report
13. Share Transactions - continued
| Shares | Dollars | ||
Years ended December 31, | 2010 | 2009 | 2010 | 2009 |
Class B |
|
|
|
|
Shares sold | 5,248 | 8,165 | $ 64,803 | $ 90,422 |
Reinvestment of distributions | 1,280 | 1,115 | 15,870 | 12,582 |
Shares redeemed | (10,447) | (7,847) | (130,170) | (85,639) |
Net increase (decrease) | (3,919) | 1,433 | $ (49,497) | $ 17,365 |
Class C |
|
|
|
|
Shares sold | 39,572 | 43,623 | $ 490,689 | $ 485,642 |
Reinvestment of distributions | 5,847 | 3,723 | 72,188 | 42,110 |
Shares redeemed | (25,653) | (18,979) | (318,984) | (205,293) |
Net increase (decrease) | 19,766 | 28,367 | $ 243,893 | $ 322,459 |
Institutional Class |
|
|
|
|
Shares sold | 51,309 | 46,051 | $ 643,733 | $ 519,754 |
Reinvestment of distributions | 5,561 | 3,632 | 69,558 | 41,290 |
Shares redeemed | (32,913) | (31,328) | (414,204) | (343,846) |
Net increase (decrease) | 23,957 | 18,355 | $ 299,087 | $ 217,198 |
14. 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.
15. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
Annual Report
Report of Independent Registered Public Accounting Firm
To the Trustees of Fidelity Advisor Series II and Shareholders of Fidelity Advisor Strategic Income Fund:
We have audited the accompanying statement of assets and liabilities of Fidelity Advisor Strategic Income Fund (the Fund), a fund of Fidelity Advisor Series II, including the schedule of investments, as of December 31, 2010, and the related statement of operations for the year then ended, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements 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 December 31, 2010, 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 the financial highlights referred to above present fairly, in all material respects, the financial position of Fidelity Advisor Strategic Income Fund as of December 31, 2010, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
Boston, Massachusetts
February 22, 2011
Annual Report
Trustees and Officers
The Trustees and executive officers of the trust and fund, as applicable, are listed below. The Board of Trustees governs the fund and is responsible for protecting the interests of shareholders. The Trustees are experienced executives who meet periodically throughout the year to oversee the fund's activities, review contractual arrangements with companies that provide services to the fund, oversee management of the risks associated with such activities and contractual arrangements, and review the fund's performance. Except for James C. Curvey, each of the Trustees oversees 189 funds advised by FMR or an affiliate. Mr. Curvey oversees 408 funds advised by FMR or an affiliate.
The Trustees hold office without limit in time except that (a) any Trustee may resign; (b) any Trustee may be removed by written instrument, signed by at least two-thirds of the number of Trustees prior to such removal; (c) any Trustee who requests to be retired or who has become incapacitated by illness or injury may be retired by written instrument signed by a majority of the other Trustees; and (d) any Trustee may be removed at any special meeting of shareholders by a two-thirds vote of the outstanding voting securities of the trust. Each Trustee who is not an interested person (as defined in the 1940 Act) (Independent Trustee), shall retire not later than the last day of the calendar year in which his or her 75th birthday occurs. The Independent Trustees may waive this mandatory retirement age policy with respect to individual Trustees. The executive officers hold office without limit in time, except that any officer may resign or may be removed by a vote of a majority of the Trustees at any regular meeting or any special meeting of the Trustees. Except as indicated, each individual has held the office shown or other offices in the same company for the past five years.
Experience, Skills, Attributes, and Qualifications of the Fund's Trustees. The Governance and Nominating Committee has adopted a statement of policy that describes the experience, qualifications, attributes, and skills that are necessary and desirable for potential Independent Trustee candidates (Statement of Policy). The Board believes that each Trustee satisfied at the time he or she was initially elected or appointed a Trustee, and continues to satisfy, the standards contemplated by the Statement of Policy. The Governance and Nominating Committee also engages professional search firms to help identify potential Independent Trustee candidates who have the experience, qualifications, attributes, and skills consistent with the Statement of Policy. From time to time, additional criteria based on the composition and skills of the current Independent Trustees, as well as experience or skills that may be appropriate in light of future changes to board composition, business conditions, and regulatory or other developments, have also been considered by the professional search firms and the Governance and Nominating Committee. In addition, the Board takes into account the Trustees' commitment and participation in Board and committee meetings, as well as their leadership of standing and ad hoc committees throughout their tenure.
In determining that a particular Trustee was and continues to be qualified to serve as a Trustee, the Board has considered a variety of criteria, none of which, in isolation, was controlling. The Board believes that, collectively, the Trustees have balanced and diverse experience, qualifications, attributes, and skills, which allow the Board to operate effectively in governing the fund and protecting the interests of shareholders. Information about the specific experience, skills, attributes, and qualifications of each Trustee, which in each case led to the Board's conclusion that the Trustee should serve (or continue to serve) as a trustee of the fund, is provided below.
Annual Report
Board Structure and Oversight Function. Abigail P. Johnson is an interested person (as defined in the 1940 Act) and currently serves as Chairman. The Trustees have determined that an interested Chairman is appropriate and benefits shareholders because an interested Chairman has a personal and professional stake in the quality and continuity of services provided to the fund. Independent Trustees exercise their informed business judgment to appoint an individual of their choosing to serve as Chairman, regardless of whether the Trustee happens to be independent or a member of management. The Independent Trustees have determined that they can act independently and effectively without having an Independent Trustee serve as Chairman and that a key structural component for assuring that they are in a position to do so is for the Independent Trustees to constitute a substantial majority for the Board. The Independent Trustees also regularly meet in executive session. Kenneth L. Wolfe serves as Chairman of the Independent Trustees and as such (i) acts as a liaison between the Independent Trustees and management with respect to matters important to the Independent Trustees and (ii) with management prepares agendas for Board meetings.
Fidelity funds are overseen by different Boards of Trustees. The fund's Board oversees Fidelity's investment-grade bond, money market, and asset allocation funds and another Board oversees Fidelity's equity and high income funds. The asset allocation funds may invest in Fidelity funds that are overseen by such other Board. The use of separate Boards, each with its own committee structure, allows the Trustees of each group of Fidelity funds to focus on the unique issues of the funds they oversee, including common research, investment, and operational issues. On occasion, the separate Boards establish joint committees to address issues of overlapping consequences for the Fidelity funds overseen by each Board.
The Trustees operate using a system of committees to facilitate the timely and efficient consideration of all matters of importance to the Trustees, the fund, and fund shareholders and to facilitate compliance with legal and regulatory requirements and oversight of the fund's activities and associated risks. The Board, acting through its committees, has charged FMR and its affiliates with (i) identifying events or circumstances the occurrence of which could have demonstrably adverse effects on the fund's business and/or reputation; (ii) implementing processes and controls to lessen the possibility that such events or circumstances occur or to mitigate the effects of such events or circumstances if they do occur; and (iii) creating and maintaining a system designed to evaluate continuously business and market conditions in order to facilitate the identification and implementation processes described in (i) and (ii) above. Because the day-to-day operations and activities of the fund are carried out by or through FMR, its affiliates and other service providers, the fund's exposure to risks is mitigated but not eliminated by the processes overseen by the Trustees. While each of the Board's committees has responsibility for overseeing different aspects of the fund's activities, oversight is exercised primarily through the Operations and Audit Committees. Appropriate personnel, including but not limited to the fund's Chief Compliance Officer (CCO), FMR's internal auditor, the independent accountants, the fund's Treasurer and portfolio management personnel, make periodic reports to the Board's committees, as appropriate. The responsibilities of each committee, including their oversight responsibilities, are described further under "Standing Committees of the Fund's Trustees."
Annual Report
Trustees and Officers - continued
The fund's Statement of Additional Information (SAI) includes more information about the Trustees. To request a free copy, call Fidelity at 1-877-208-0098.
Interested Trustees*:
Correspondence intended for each Trustee who is an interested person may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupations and Other Relevant Experience+ | |
Abigail P. Johnson (49) | |
| Year of Election or Appointment: 2009 Ms. Johnson is Trustee and Chairman of the Board of Trustees of certain Trusts. Ms. Johnson serves as President of Personal, Workplace and Institutional Services (2005-present). Ms. Johnson is the Vice Chairman and Director (2007-present) of FMR LLC. Previously, Ms. Johnson served as President and a Director of FMR (2001-2005), a Trustee of other investment companies advised by FMR, Fidelity Investments Money Management, Inc., and FMR Co., Inc. (2001-2005), Senior Vice President of the Fidelity funds (2001-2005), and managed a number of Fidelity funds. Ms. Abigail P. Johnson and Mr. Arthur E. Johnson are not related. |
James C. Curvey (75) | |
| Year of Election or Appointment: 2007 Mr. Curvey also serves as Trustee (2007-present) of other investment companies advised by FMR. Mr. Curvey is a Director of Fidelity Investments Money Management, Inc. (2009-present), Director of Fidelity Research & Analysis Co. (2009-present) and Director of FMR and FMR Co., Inc. (2007-present). Mr. Curvey is also Vice Chairman (2007-present) and Director of FMR LLC. In addition, Mr. Curvey serves as an Overseer for the Boston Symphony Orchestra and a member of the Trustees of Villanova University. Previously, Mr. Curvey was the Vice Chairman (2006-2007) and Director (2000-2007) of FMR Corp. |
* Trustees have been determined to be "Interested Trustees" by virtue of, among other things, their affiliation with the trust or various entities under common control with FMR.
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Annual Report
Independent Trustees:
Correspondence intended for each Independent Trustee (that is, the Trustees other than the Interested Trustees) may be sent to Fidelity Investments, P.O. Box 55235, Boston, Massachusetts 02205-5235.
Name, Age; Principal Occupations and Other Relevant Experience+ | |
Albert R. Gamper, Jr. (68) | |
| Year of Election or Appointment: 2006 Prior to his retirement in December 2004, Mr. Gamper served as Chairman of the Board of CIT Group Inc. (commercial finance). During his tenure with CIT Group Inc. Mr. Gamper served in numerous senior management positions, including Chairman (1987-1989; 1999-2001; 2002-2004), Chief Executive Officer (1987-2004), and President (2002-2003). He also served as President and Chief Executive Officer of Tyco Capital Corporation (2001-2002). Mr. Gamper currently serves as a member of the Board of Directors of Public Service Enterprise Group (utilities, 2000-present), a member of the Board of Trustees, Rutgers University (2004-present), and Chairman of the Board of Saint Barnabas Health Care System. Previously, Mr. Gamper served as Chairman of the Board of Governors, Rutgers University (2004-2007). |
Robert F. Gartland (59) | |
| Year of Election or Appointment: 2010 Mr. Gartland is a partner and investor of Vietnam Partners LLC (investments and consulting, 2008-present) and is Chairman and an investor in Gartland and Mellina Group Corp. (consulting, 2009-present). Prior to his retirement, Mr. Gartland held a variety of positions at Morgan Stanley (financial services, 1979-2007) including Managing Director (1987-2007). |
Arthur E. Johnson (63) | |
| Year of Election or Appointment: 2008 Mr. Johnson serves as a member of the Board of Directors of Eaton Corporation (diversified power management, 2009-present) and AGL Resources, Inc. (holding company). Prior to his retirement, Mr. Johnson served as Senior Vice President of Corporate Strategic Development of Lockheed Martin Corporation (defense contractor, 1999-2009). He previously served on the Board of Directors of IKON Office Solutions, Inc. (1999-2008) and Delta Airlines (2005-2007). Mr. Arthur E. Johnson and Ms. Abigail P. Johnson are not related. |
Michael E. Kenneally (56) | |
| Year of Election or Appointment: 2009 Previously, Mr. Kenneally served as a Member of the Advisory Board for certain Fidelity Fixed Income and Asset Allocation Funds (2008-2009). Prior to his retirement, Mr. Kenneally served as Chairman and Global Chief Executive Officer of Credit Suisse Asset Management (2003-2005). Mr. Kenneally was a Director of the Credit Suisse Funds (U.S. mutual funds, 2004-2008) and certain other closed-end funds (2004-2005) and was awarded the Chartered Financial Analyst (CFA) designation in 1991. |
James H. Keyes (70) | |
| Year of Election or Appointment: 2007 Mr. Keyes serves as a member of the Boards of Navistar International Corporation (manufacture and sale of trucks, buses, and diesel engines, since 2002) and Pitney Bowes, Inc. (integrated mail, messaging, and document management solutions, since 1998). Prior to his retirement, Mr. Keyes served as Chairman and Chief Executive Officer of Johnson Controls (automotive, building, and energy, 1998-2002) and as a member of the Board of LSI Logic Corporation (semiconductor technologies, 1984-2008). |
Marie L. Knowles (64) | |
| Year of Election or Appointment: 2001 Prior to Ms. Knowles' retirement in June 2000, she served as Executive Vice President and Chief Financial Officer of Atlantic Richfield Company (ARCO) (diversified energy, 1996-2000). From 1993 to 1996, she was a Senior Vice President of ARCO and President of ARCO Transportation Company. She served as a Director of ARCO from 1996 to 1998. Ms. Knowles currently serves as a Director and Chairman of the Audit Committee of McKesson Corporation (healthcare service, since 2002). Ms. Knowles is an Honorary Trustee of the Brookings Institution and a member of the Board of the Catalina Island Conservancy and of the Santa Catalina Island Company (2009-present). She also serves as a member of the Advisory Board for the School of Engineering of the University of Southern California and the Foundation Board of the School of Architecture at the University of Virginia (2007-present). Previously, Ms. Knowles served as a Director of Phelps Dodge Corporation (copper mining and manufacturing, 1994-2007). |
Kenneth L. Wolfe (71) | |
| Year of Election or Appointment: 2005 Mr. Wolfe is Chairman of the Independent Trustees of the Fixed Income and Asset Allocation Funds (2008-present). Prior to his retirement, Mr. Wolfe served as Chairman and a Director (2007-2009) and Chairman and Chief Executive Officer (1994-2001) of Hershey Foods Corporation. He also served as a member of the Boards of Adelphia Communications Corporation (telecommunications, 2003-2006), Bausch & Lomb, Inc. (medical/pharmaceutical, 1993-2007), and Revlon, Inc. (personal care products, 2004-2009). |
+ The information above includes each Trustee's principal occupation during the last five years and other information relating to the experience, attributes, and skills relevant to each Trustee's qualifications to serve as a Trustee, which led to the conclusion that each Trustee should serve as a Trustee for the fund.
Executive Officers:
Correspondence intended for each executive officer may be sent to Fidelity Investments, 82 Devonshire Street, Boston, Massachusetts 02109.
Name, Age; Principal Occupation | |
John R. Hebble (52) | |
| Year of Election or Appointment: 2008 President and Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Hebble also serves as Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present), Assistant Treasurer of other Fidelity funds (2009-present) and is an employee of Fidelity Investments. |
Boyce I. Greer (54) | |
| Year of Election or Appointment: 2005 Vice President of Fidelity's Fixed Income Funds and Asset Allocation Funds (2005). Mr. Greer is also a Trustee of other investment companies advised by FMR. Mr. Greer is President of The North Carolina Capital Management Trust: Cash and Term Portfolio (2003-present), the Asset Allocation Division (2008-present), President and a Director of Strategic Advisers, Inc. (2008-present), President of FIMM 130/30 LLC (2008-present), Director of Ballyrock Investment Advisors LLC (2006-present), and an Executive Vice President of FMR (2005-present). Previously, Mr. Greer served as Executive Vice President of FMR Co., Inc. (2005-2009), President and Director of Fidelity Investments Money Management, Inc. (2007-2009) and as a Director and Managing Director of Strategic Advisers, Inc. (2002-2005). |
Derek L. Young (46) | |
| Year of Election or Appointment: 2009 Vice President of Fidelity's Asset Allocation Funds. Mr. Young also serves as Chief Investment Officer of the Global Asset Allocation Group (2009-present). Previously, Mr. Young served as a portfolio manager. |
Scott C. Goebel (42) | |
| Year of Election or Appointment: 2008 Secretary and Chief Legal Officer (CLO) of the Fidelity funds. Mr. Goebel also serves as Secretary and CLO of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present); General Counsel, Secretary, and Senior Vice President of FMR (2008-present) and FMR Co., Inc. (2008-present); Deputy General Counsel of FMR LLC; Chief Legal Officer of Fidelity Management & Research (Hong Kong) Limited (2008-present) and Assistant Secretary of Fidelity Management & Research (Japan) Inc. (2008-present), Fidelity Investments Money Management, Inc. (2008-present), Fidelity Management & Research (U.K.) Inc. (2008-present), and Fidelity Research and Analysis Company (2008-present). Previously, Mr. Goebel served as Assistant Secretary of the Funds (2007-2008) and as Vice President and Secretary of Fidelity Distributors Corporation (FDC) (2005-2007). |
David J. Carter (37) | |
| Year of Election or Appointment: 2010 Assistant Secretary of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Carter also serves as Vice President, Associate General Counsel (2010-present) and is an employee of Fidelity Investments (2005-present). |
Holly C. Laurent (56) | |
| Year of Election or Appointment: 2008 Anti-Money Laundering (AML) Officer of the Fidelity funds. Ms. Laurent also serves as AML Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present) and is an employee of Fidelity Investments. Previously, Ms. Laurent was Senior Vice President and Head of Legal for Fidelity Business Services India Pvt. Ltd. (2006-2008), and Senior Vice President, Deputy General Counsel and Group Head for FMR LLC (2005-2006). |
Christine Reynolds (52) | |
| Year of Election or Appointment: 2008 Chief Financial Officer of the Fidelity funds. Ms. Reynolds became President of Fidelity Pricing and Cash Management Services (FPCMS) in August 2008. Ms. Reynolds served as Chief Operating Officer of FPCMS (2007-2008). Previously, Ms. Reynolds served as President, Treasurer, and Anti-Money Laundering officer of the Fidelity funds (2004-2007). |
Michael H. Whitaker (43) | |
| Year of Election or Appointment: 2008 Chief Compliance Officer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Whitaker also serves as Chief Compliance Officer of The North Carolina Capital Management Trust: Cash and Term Portfolio (2008-present). Mr. Whitaker is an employee of Fidelity Investments (2007-present). Prior to joining Fidelity Investments, Mr. Whitaker worked at MFS Investment Management where he served as Senior Vice President and Chief Compliance Officer (2004-2006), and Assistant General Counsel. |
Jeffrey S. Christian (49) | |
| Year of Election or Appointment: 2009 Deputy Treasurer of the Fidelity funds. Mr. Christian is an employee of Fidelity Investments. Previously, Mr. Christian served as Chief Financial Officer (2008-2009) of certain Fidelity funds and Senior Vice President of Fidelity Pricing and Cash Management Services (FPCMS) (2004-2009). |
Bryan A. Mehrmann (49) | |
| Year of Election or Appointment: 2005 Deputy Treasurer of the Fidelity funds. Mr. Mehrmann is an employee of Fidelity Investments. |
Stephanie J. Dorsey (41) | |
| Year of Election or Appointment: 2008 Deputy Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Ms. Dorsey also serves as Assistant Treasurer of other Fidelity funds (2010-present) and is an employee of Fidelity Investments (2008-present). Previously, Ms. Dorsey served as Treasurer (2004-2008) of the JPMorgan Mutual Funds and Vice President (2004-2008) of JPMorgan Chase Bank. |
Adrien E. Deberghes (43) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of Fidelity's Fixed Income and Asset Allocation Funds. Mr. Deberghes also serves as Deputy Treasurer of other Fidelity funds (2008-present) and is an employee of Fidelity Investments (2008-present). Previously, Mr. Deberghes served as Senior Vice President of Mutual Fund Administration at State Street Corporation (2007-2008), Senior Director of Mutual Fund Administration at Investors Bank & Trust (2005-2007), and Director of Finance for Dunkin' Brands (2000-2005). |
Kenneth B. Robins (41) | |
| Year of Election or Appointment: 2009 Assistant Treasurer of the Fidelity Fixed Income and Asset Allocation Funds. Mr. Robins also serves as President and Treasurer of other Fidelity funds (2008-present; 2010-present) and is an employee of Fidelity Investments (2004-present). Previously, Mr. Robins served as Deputy Treasurer of the Fidelity funds (2005-2008) and Treasurer and Chief Financial Officer of The North Carolina Capital Management Trust: Cash and Term Portfolios (2006-2008). |
Gary W. Ryan (52) | |
| Year of Election or Appointment: 2005 Assistant Treasurer of the Fidelity funds. Mr. Ryan is an employee of Fidelity Investments. Previously, Mr. Ryan served as Vice President of Fund Reporting in Fidelity Pricing and Cash Management Services (FPCMS) (1999-2005). |
Jonathan Davis (42) | |
| Year of Election or Appointment: 2010 Assistant Treasurer of the Fidelity funds. Mr. Davis is an employee of Fidelity Investments. Previously, Mr. Davis served as Vice President and Associate General Counsel of FMR LLC (2003-2010). |
Annual Report
Distributions (Unaudited)
The Board of Trustees of Advisor Strategic Income Fund voted to pay to shareholders of record at the opening of business on record date, the following distributions per share derived from capital gains realized from sales of portfolio securities:
| Pay Date | Record Date | Capital Gains |
Institutional Class | 02/14/2011 | 02/11/2011 | $0.062 |
The fund hereby designates as a capital gain dividend with respect to the taxable year ended December 31, 2010, $161,360,205, or, if subsequently determined to be different, the net capital gain of such year.
A total of 6.89% of the dividends distributed during the fiscal year was derived from interest on U.S. Government securities which is generally exempt from state income tax.
The fund designates $242,435,115 of distributions paid during the period January 1, 2010 to December 31, 2010 as qualifying to be taxed as interest-related dividends for nonresident alien shareholders.
The fund will notify shareholders in January 2011 of amounts for use in preparing 2010 income tax returns.
Annual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, the Board of Trustees, including the Independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and Independent Trustees' counsel, requests and considers a broad range of information relevant to the renewal of the Advisory Contracts throughout the year.
The Board meets regularly and considers at each of its meetings factors that are relevant to its annual consideration of the renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders. The Board has established three standing committees, each composed of Independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. The Operations Committee, of which all of the Independent Trustees are members, meets regularly throughout the year and, among other matters, considers matters specifically related to the annual consideration of the renewal of the fund's Advisory Contracts. The Board, acting directly and through its Committees, requests and receives information concerning the annual consideration of the renewal of the fund's Advisory Contracts. The Board also meets as needed to consider matters specifically related to the Board's annual consideration of the renewal of Advisory Contracts. Members of the Board may also meet with trustees of other Fidelity funds through ad hoc joint committees to discuss certain matters relevant to the Fidelity funds.
At its September 2010 meeting, the Board of Trustees, including the Independent Trustees, unanimously determined to renew the fund's Advisory Contracts. In reaching its determination, the Board considered all factors it believed relevant, including (i) the nature, extent, and quality of the services to be provided to the fund and its shareholders (including the investment performance of the fund); (ii) the competitiveness of the fund's management fee and total expenses; (iii) the total costs of the services to be provided by and the profits to be realized by Fidelity from its relationship with the fund; (iv) the extent to which economies of scale would be realized as the fund grows; and (v) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In considering whether to renew the Advisory Contracts for the fund, the Board reached a determination, with the assistance of fund counsel and Independent Trustees' counsel and through the exercise of its business judgment, that the renewal of the Advisory Contracts is in the best interests of the fund and its shareholders and that the compensation to be received by Fidelity under the management contract is fair and reasonable. The Board's decision to renew the Advisory Contracts was not based on any single factor, but rather was based on a comprehensive consideration of all the information provided to the Board at its meetings throughout the year. The Board, in reaching its determination to renew the Advisory Contracts, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by Fidelity's competitors, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided. The Board considered the staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the backgrounds of the fund's investment personnel and the fund's investment objective and discipline. The Independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives to act in the best interest of the fund.
Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board noted that Fidelity's analysts have access to a variety of technological tools and market and securities data that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers. The Board noted FMR's continued focus on strengthening the organization and discipline of equity portfolio management and research.
Shareholder and Administrative Services. The Board considered (i) the nature, extent, quality, and cost of advisory, administrative, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund; (ii) the nature and extent of the investment adviser's supervision of third party service providers, principally custodians and subcustodians; and (iii) the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures. The Board also reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services.
Annual Report
The Board noted that the growth of fund assets over time across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through telephone representatives and over the Internet, and investor education materials and asset allocation tools.
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing a large variety of mutual fund investor services. The Board noted that Fidelity had taken, or had made recommendations that resulted in the Fidelity funds taking, a number of actions over the previous year that benefited particular funds, including (i) dedicating additional resources to investment research and restructuring and broadening the focus of the investment research teams; (ii) bolstering the senior management team that oversees asset management; (iii) launching Class F of certain funds as a lower-fee class available to Freedom K and Freedom Index Funds; (iv) lowering the initial investment minimums and ongoing balance requirements for Real Estate High Income Fund; (v) eliminating subsequent purchase minimums for all funds and adding a waiver of the investment minimum requirement for new accounts opened with the proceeds of a systematic withdrawal plan; (vi) eliminating the withdrawal minimum and maximum limits for systematic withdrawals from Advisor funds; (vii) expanding sales load waivers on Class A shares for Destiny Planholders and expanding Institutional Class eligibility for Class O Destiny Planholders; and (viii) changing certain Class A and Class T sales charge structures to further align them with industry practices.
Investment Performance. The Board considered whether the fund has operated in accordance with its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured over multiple periods against (i) a proprietary custom index, and (ii) a peer group of mutual funds deemed appropriate by Fidelity and reviewed by the Board. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2009, the cumulative total returns of Institutional Class (Class I) and Class C of the fund, the cumulative total returns of a proprietary custom index ("benchmark"), and a range of cumulative total returns of a peer group of mutual funds identified by Morningstar, Inc. as having an investment style similar to that of the fund based on underlying portfolio holdings. The returns of Institutional Class (Class I) and Class C show the performance of the highest and lowest performing classes, respectively (based on five-year performance). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the peer group. Returns shown above the box are in the first quartile and returns shown below the box are in the fourth quartile. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the peer group whose performance was equal to or lower than that of the class indicated. The fund's proprietary custom index is an index developed by FMR that represents the performance of the fund's four general investment categories according to their respective weightings in the fund's neutral mix.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Fidelity Advisor Strategic Income Fund
The Board reviewed the fund's relative investment performance against its peer group and noted that the performance of Institutional Class (Class I) of the fund was in the second quartile for the one-year period and the first quartile for the three- and five-year periods. The Board also noted that the investment performance of Institutional Class (Class I) of the fund compared favorably to its benchmark for all the periods shown. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes. The Board also reviewed the fund's performance since inception as well as performance in the current year.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance and factoring in the unprecedented market events in recent years, the Board concluded that the nature, extent, and quality of investment management and support services and of shareholder and administrative services provided to the fund will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Annual Report
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
Management Fee. The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group." The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 26% means that 74% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Fidelity Advisor Strategic Income Fund
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2009.
Based on its review, the Board concluded that the fund's management fee is fair and reasonable in light of the services that the fund receives and the other factors considered.
Total Expenses. In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
The Board noted that the total expenses of each class ranked below its competitive median for 2009.
Fees Charged to Other Fidelity Clients. The Board also considered Fidelity fee structures and other information with respect to clients of FMR and its affiliates, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients. In March 2010, the Board created an ad hoc joint committee with the board of other Fidelity funds (the Committee) to review and compare Fidelity's institutional investment advisory business with its business of providing services to the Fidelity funds, including the differences in services provided, fees charged, and costs incurred, as well as competition in their respective marketplaces.
Based on its review of total expenses and fees charged to other Fidelity clients, the Board concluded that the total expenses of each class of the fund were reasonable in light of the services that the fund and its shareholders receive and the other factors considered, including the findings of the Committee.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
Annual Report
PricewaterhouseCoopers LLP (PwC), independent registered public accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
The Board has also reviewed Fidelity's non-fund businesses and fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and were satisfied that the profitability was not excessive in the circumstances.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions.
In February 2009, the Board and the board of other Fidelity funds created an ad hoc committee (the Economies of Scale Committee) to analyze whether FMR attains economies of scale in respect of the management and servicing of the Fidelity funds, whether the Fidelity funds have appropriately benefited from such economies of scale, and whether there is potential for realization of any further economies of scale.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower group fee rates as total fund assets under FMR's management increase, and for higher group fee rates as total fund assets under FMR's management decrease. FMR calculates the group fee rates based on a tiered asset "breakpoint" schedule that varies based on asset class. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total Fidelity fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will benefit from lower management fees as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
Annual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board concluded, considering the findings of the Economies of Scale Committee, that any potential economies of scale are being appropriately shared between fund shareholders and Fidelity.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Fidelity funds' Advisory Contracts, the Board requested and received additional information on certain topics, including (i) fund performance trends, actions to be taken by FMR to improve certain funds' overall performance, and Fidelity's long-term strategies for certain funds; (ii) Fidelity's fund profitability methodology and profitability trends for certain funds; (iii) portfolio manager changes that have occurred during the past year and the amount of the investment that each portfolio manager has made in the Fidelity fund(s) that he or she manages; (iv) Fidelity's compensation structure for portfolio managers, research analysts, and other key personnel, including its effects on fund profitability, the rationale for the compensation structure, and the extent to which current market conditions have affected retention and recruitment; (v) the compensation paid by FMR to fund sub-advisers on behalf of the Fidelity funds; (vi) Fidelity's fee structures and rationale for recommending different fees among different categories of funds and classes, as well as Fidelity's voluntary waiver of fees to maintain minimum yields for certain funds and classes; (vii) the rationale for any differences between fund fee structures and fee structures in place for other Fidelity clients; and (viii) explanations regarding the relative total expenses borne by certain funds and classes, total expense competitive trends, and actions that might be taken by FMR to reduce total expenses for certain funds and classes or to achieve further economies of scale.
Based on its evaluation of all of the conclusions noted above, and after considering all factors it believed relevant, the Board ultimately concluded that the advisory fee structures are fair and reasonable, and that the fund's Advisory Contracts should be renewed.
Annual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Hong Kong) Limited
Fidelity Management & Research
(Japan) Inc.
FIL Investments (Japan) Limited
FIL Investment Advisors
FIL Investment Advisors (U.K.) Ltd.
Fidelity Investments Money Management, Inc.
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 Mellon
New York, NY
SII-UANN-0211
1.787728.107
Item 2. Code of Ethics
As of the end of the period, December 31, 2010, Fidelity Advisor Series II (the trust) has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its President and Treasurer and its Chief Financial Officer. A copy of the code of ethics is filed as an exhibit to this Form N-CSR.
Item 3. Audit Committee Financial Expert
The Board of Trustees of the trust has determined that Marie L. Knowles is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Ms. Knowles is independent for purposes of Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services
Fees and Services
The following table presents fees billed by Deloitte & Touche LLP, the member firms of Deloitte Touche Tohmatsu, and their respective affiliates (collectively, "Deloitte Entities") in each of the last two fiscal years for services rendered to Fidelity Advisor Strategic Income Fund (the "Fund"):
Services Billed by Deloitte Entities
December 31, 2010 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Strategic Income Fund | $86,000 | $- | $8,200 | $- |
December 31, 2009 FeesA
| Audit Fees | Audit-Related Fees | Tax Fees | All Other Fees |
Fidelity Advisor Strategic Income Fund | $90,000 | $- | $5,600 | $- |
A Amounts may reflect rounding.
The following table presents fees billed by Deloitte Entities that were required to be approved by the Audit Committee for services that relate directly to the operations and financial reporting of the Fund and that are rendered on behalf of Fidelity Management & Research Company ("FMR") and entities controlling, controlled by, or under common control with FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) that provide ongoing services to the Fund ("Fund Service Providers"):
Services Billed by Deloitte Entities
| December 31, 2010A | December 31, 2009A |
Audit-Related Fees | $645,000 | $725,000 |
Tax Fees | $- | $- |
All Other Fees | $840,000 | $515,000 |
A Amounts may reflect rounding.
"Audit-Related Fees" represent fees billed for assurance and related services that are reasonably related to the performance of the fund audit or the review of the fund's financial statements and that are not reported under Audit Fees.
"Tax Fees" represent fees billed for tax compliance, tax advice or tax planning that relate directly to the operations and financial reporting of the fund.
"All Other Fees" represent fees billed for services provided to the fund or Fund Service Provider, a significant portion of which are assurance related, that relate directly to the operations and financial reporting of the fund, excluding those services that are reported under Audit Fees, Audit-Related Fees or Tax Fees.
Assurance services must be performed by an independent public accountant.
* * *
The aggregate non-audit fees billed by Deloitte Entities for services rendered to the Fund, FMR (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any Fund Service Provider for each of the last two fiscal years of the Fund are as follows:
Billed By | December 31, 2010 A | December 31, 2009 A |
Deloitte Entities | $1,590,000 | $1,245,000 |
A Amounts may reflect rounding.
The trust's Audit Committee has considered non-audit services that were not pre-approved that were provided by Deloitte Entities to Fund Service Providers to be compatible with maintaining the independence of Deloitte Entities in its audit of the Fund, taking into account representations from Deloitte Entities, in accordance with Public Company Accounting Oversight Board rules, regarding its independence from the Fund and its related entities and FMR's review of the appropriateness and permissibility under applicable law of such non-audit services prior to their provision to the Fund Service Providers.
Audit Committee Pre-Approval Policies and Procedures
The trust's Audit Committee must pre-approve all audit and non-audit services provided by a fund's independent registered public accounting firm relating to the operations or financial reporting of the fund. Prior to the commencement of any audit or non-audit services to a fund, the Audit Committee reviews the services to determine whether they are appropriate and permissible under applicable law.
The Audit Committee has adopted policies and procedures to, among other purposes, provide a framework for the Committee's consideration of non-audit services by the audit firms that audit the Fidelity funds. The policies and procedures require that any non-audit service provided by a fund audit firm to a Fidelity fund and any non-audit service provided by a fund auditor to a Fund Service Provider that relates directly to the operations and financial reporting of a Fidelity fund ("Covered Service") are subject to approval by the Audit Committee before such service is provided.
All Covered Services must be approved in advance of provision of the service either: (i) by formal resolution of the Audit Committee, or (ii) by oral or written approval of the service by the Chair of the Audit Committee (or if the Chair is unavailable, such other member of the Audit Committee as may be designated by the Chair to act in the Chair's absence). The approval contemplated by (ii) above is permitted where the Treasurer determines that action on such an engagement is necessary before the next meeting of the Audit Committee.
Non-audit services provided by a fund audit firm to a Fund Service Provider that do not relate directly to the operations and financial reporting of a Fidelity fund are reported to the Audit Committee on a periodic basis.
Non-Audit Services Approved Pursuant to Rule 2-01(c)(7)(i)(C) and (ii) of Regulation S-X ("De Minimis Exception")
There were no non-audit services approved or required to be approved by the Audit Committee pursuant to the De Minimis Exception during the Fund's last two fiscal years relating to services provided to (i) the Fund or (ii) any Fund Service Provider that relate directly to the operations and financial reporting of the Fund.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the trust's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the trust's 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) | Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE ETH. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | February 28, 2011 |
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/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | February 28, 2011 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | February 28, 2011 |