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: | June 30, 2011 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
June 30, 2011
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit 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.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
Despite bouts of short-term volatility, U.S. equities gained ground in the first half of 2011, buoyed by solid corporate earnings and modest improvement in employment. A strong start had the market up more than 100% off its March 2009 low, but investors were unnerved by this past March's natural disaster in Japan, while weaker economic data and new concern about Greek debt hurt performance during May and June. The longer-term outlook remains clouded by the impact of inflationary pressure and persistently high unemployment. Financial markets are always unpredictable, of course, but there 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
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 to June 30, 2011).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,042.80 | $ 5.01 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.89 | $ 4.96 |
Class T | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,042.80 | $ 5.01 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.89 | $ 4.96 |
Class B | 1.71% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,039.00 | $ 8.65 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.31 | $ 8.55 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,038.20 | $ 8.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,043.50 | $ 3.85 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.03 | $ 3.81 |
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 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Top Five Holdings as of June 30, 2011 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 17.0 | 17.0 |
Japan Government | 2.4 | 2.4 |
Canadian Government | 2.3 | 2.3 |
Italian Republic | 2.2 | 1.9 |
UK Treasury Index-Linked GILT | 1.9 | 2.1 |
| 25.8 | |
Top Five Market Sectors as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Financials | 8.9 | 7.6 |
Telecommunication Services | 7.0 | 8.0 |
Energy | 6.3 | 6.0 |
Consumer Discretionary | 5.2 | 8.9 |
Industrials | 4.5 | 4.7 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2011 | As of December 31, 2010 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 12.8% |
| ![]() | AAA,AA,A 13.9% |
| ||
![]() | BBB 4.9% |
| ![]() | BBB 4.0% |
| ||
![]() | BB 12.8% |
| ![]() | BB 15.2% |
| ||
![]() | B 25.6% |
| ![]() | B 25.2% |
| ||
![]() | CCC,CC,C 5.6% |
| ![]() | CCC,CC,C 7.9% |
| ||
![]() | D 0.0% |
| ![]() | D †† 0.0% |
| ||
![]() | Not Rated 3.1% |
| ![]() | Not Rated 2.6% |
| ||
![]() | Equities 1.7% |
| ![]() | Equities 1.5% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes. | |||||||
†† Amount represents less than 0.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2011 * | As of December 31, 2010 ** | ||||||
![]() | Preferred Securities 0.0% |
| ![]() | Preferred Securities 0.2% |
| ||
![]() | Corporate Bonds 36.9% |
| ![]() | Corporate Bonds 38.1% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & Government Agency Obligations 21.6% |
| ![]() | Foreign Government & Government Agency Obligations 22.7% |
| ||
![]() | Floating Rate Loans 6.1% |
| ![]() | Floating Rate Loans 7.6% |
| ||
![]() | Stocks 1.7% |
| ![]() | Stocks 1.5% |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 33.4% |
| ** Foreign investments | 34.1% |
| ||
* Futures and Swaps | 1.1% |
| ** Futures and Swaps | (0.3%) |
| ||
† 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.
Semiannual Report
Investments June 30, 2011 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 36.7% | ||||
| Principal | Value | ||
Convertible Bonds - 1.3% | ||||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.3% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 (g) | $ 11,836 | $ 25,067 | ||
ENERGY - 0.5% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,643 | ||
Oil, Gas & Consumable Fuels - 0.5% | ||||
Alpha Natural Resources, Inc. 2.375% 4/15/15 | 16,660 | 19,434 | ||
Chesapeake Energy Corp.: | ||||
2.5% 5/15/37 | 22,960 | 24,165 | ||
2.5% 5/15/37 | 4,310 | 4,549 | ||
| 48,148 | |||
TOTAL ENERGY | 50,791 | |||
HEALTH CARE - 0.2% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
Kinetic Concepts, Inc. 3.25% 4/15/15 (g) | 14,400 | 18,452 | ||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Wireless Telecommunication Services - 0.3% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 29,275 | ||
TOTAL CONVERTIBLE BONDS | 123,585 | |||
Nonconvertible Bonds - 35.4% | ||||
CONSUMER DISCRETIONARY - 3.2% | ||||
Auto Components - 0.6% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 5,140 | 5,166 | ||
10.75% 8/15/16 (g) | 1,813 | 2,021 | ||
Cooper Standard Auto, Inc. 8.5% 5/1/18 | 1,775 | 1,868 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 2,340 | 2,352 | ||
6.75% 2/15/21 | 1,560 | 1,568 | ||
Delphi Corp.: | ||||
5.875% 5/15/19 (g) | 4,885 | 4,836 | ||
6.125% 5/15/21 (g) | 4,535 | 4,501 | ||
Exide Technologies 8.625% 2/1/18 (g) | 2,135 | 2,220 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
International Automotive Components Group SA 9.125% 6/1/18 (g) | $ 5,245 | $ 5,363 | ||
Lear Corp.: | ||||
7.875% 3/15/18 | 1,380 | 1,484 | ||
8.125% 3/15/20 | 1,530 | 1,656 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (g) | 2,610 | 2,923 | ||
Stoneridge, Inc. 9.5% 10/15/17 (g) | 2,330 | 2,516 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 | 6,205 | 6,314 | ||
7.75% 8/15/18 | 1,545 | 1,618 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 3,117 | 3,491 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (g) | 4,917 | 5,310 | ||
| 55,207 | |||
Automobiles - 0.0% | ||||
Automotores Gildemeister SA 8.25% 5/24/21 (g) | 2,240 | 2,288 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 10,670 | 182 | ||
7.125% 7/15/13 (c) | 1,605 | 27 | ||
7.2% 1/15/11 (c) | 4,015 | 69 | ||
7.4% 9/1/25 (c) | 500 | 9 | ||
7.7% 4/15/16 (c) | 7,804 | 133 | ||
8.25% 7/15/23 (c) | 4,845 | 83 | ||
8.375% 7/15/33 (c) | 7,015 | 120 | ||
| 2,911 | |||
Distributors - 0.0% | ||||
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 (g) | 4,470 | 4,230 | ||
Diversified Consumer Services - 0.0% | ||||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 694 | ||
Hotels, Restaurants & Leisure - 0.7% | ||||
DineEquity, Inc. 9.5% 10/30/18 (g) | 2,410 | 2,615 | ||
Dunkin Finance Corp. 9.625% 12/1/18 (g) | 1,424 | 1,435 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,671 | ||
Landry's Restaurants, Inc.: | ||||
11.625% 12/1/15 | 1,385 | 1,496 | ||
11.625% 12/1/15 (g) | 1,000 | 1,080 | ||
MCE Finance Ltd. 10.25% 5/15/18 | 7,675 | 8,596 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM Mirage, Inc.: | ||||
10% 11/1/16 (g) | $ 5,530 | $ 5,889 | ||
10.375% 5/15/14 | 1,535 | 1,735 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,333 | 1,563 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (g) | 2,745 | 2,951 | ||
NCL Corp. Ltd. 9.5% 11/15/18 (g) | 1,450 | 1,552 | ||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (g) | 1,135 | 1,132 | ||
Roadhouse Financing, Inc. 10.75% 10/15/17 (g) | 4,080 | 4,223 | ||
Seven Seas Cruises S de RL LLC 9.125% 5/15/19 (g) | 670 | 692 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g) | 1,540 | 1,078 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (c) | 9,620 | 1 | ||
6.5% 2/1/14 (c) | 11,643 | 0 | ||
6.625% 3/15/18 (c) | 11,970 | 0 | ||
6.875% 3/1/16 (c) | 12,803 | 0 | ||
7.75% 8/15/16 (c) | 14,415 | 1 | ||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (g) | 580 | 597 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 | 3,030 | 3,371 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (c) | 575 | 277 | ||
12.75% 1/15/13 (c) | 1,070 | 1 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g) | 934 | 509 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 | 18,025 | 19,535 | ||
| 65,000 | |||
Household Durables - 0.3% | ||||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,204 | ||
K. Hovnanian Enterprises, Inc. 11.875% 10/15/15 | 1,690 | 1,284 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (g) | 6,915 | 7,537 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA: | ||||
7.125% 4/15/19 (g) | 2,845 | 2,809 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA: - continued | ||||
9% 4/15/19 (g) | $ 8,405 | $ 8,216 | ||
Sealy Mattress Co. 10.875% 4/15/16 (g) | 1,460 | 1,621 | ||
| 24,671 | |||
Leisure Equipment & Products - 0.1% | ||||
Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18 | 7,710 | 8,298 | ||
Eastman Kodak Co. 10.625% 3/15/19 (g) | 3,435 | 3,358 | ||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,657 | ||
| 13,313 | |||
Media - 1.0% | ||||
Bresnan Broadband Holdings LLC 8% 12/15/18 (g) | 2,255 | 2,340 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (g) | 9,330 | 9,703 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 6,489 | 7,640 | ||
Checkout Holding Corp. 0% 11/15/15 (g) | 3,310 | 2,127 | ||
Clear Channel Communications, Inc. 11% 8/1/16 pay-in-kind (l) | 4,736 | 4,108 | ||
DISH DBS Corp. 6.75% 6/1/21 (g) | 9,370 | 9,616 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 18,425 | 19,438 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(g)(h) | 12,765 | 13,467 | ||
Gray Television, Inc. 10.5% 6/29/15 | 1,985 | 2,054 | ||
Houghton Mifflin Harcourt Publishing Co. 10.5% 6/1/19 (g) | 4,975 | 4,925 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,306 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 | 845 | 947 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (g) | 850 | 731 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 | 1,830 | 2,091 | ||
ONO Finance II PLC 10.875% 7/15/19 (g) | 1,165 | 1,241 | ||
Satmex Escrow SA de CV 9.5% 5/15/17 (g) | 1,270 | 1,295 | ||
Sheridan Group, Inc. 12.5% 4/15/14 (g) | 3,070 | 2,924 | ||
Sinclair Television Group, Inc. 8.375% 10/15/18 | 3,550 | 3,710 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 556 | ||
| 95,219 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.2% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 (g) | $ 1,455 | $ 1,488 | ||
Claire's Escrow Corp. 8.875% 3/15/19 (g) | 1,770 | 1,664 | ||
Michaels Stores, Inc. 7.75% 11/1/18 (g) | 10,750 | 10,750 | ||
Sonic Automotive, Inc. 9% 3/15/18 | 9,150 | 9,630 | ||
| 23,532 | |||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
Hanesbrands, Inc. 6.375% 12/15/20 | 7,350 | 7,093 | ||
Levi Strauss & Co.: | ||||
7.625% 5/15/20 | 9,350 | 9,210 | ||
8.875% 4/1/16 | 1,650 | 1,716 | ||
Liz Claiborne, Inc. 10.5% 4/15/19 (g) | 4,110 | 4,213 | ||
Polymer Group, Inc. 7.75% 2/1/19 (g) | 1,575 | 1,591 | ||
| 23,823 | |||
TOTAL CONSUMER DISCRETIONARY | 308,600 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A: | ||||
8% 3/27/14 (Reg. S) | 780 | 805 | ||
16% 3/27/12 (g) | 2,372 | 2,080 | ||
| 2,885 | |||
Food & Staples Retailing - 0.3% | ||||
BFF International Ltd. 7.25% 1/28/20 (g) | 3,080 | 3,265 | ||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (g) | 4,655 | 4,702 | ||
Rite Aid Corp.: | ||||
8% 8/15/20 | 7,350 | 7,938 | ||
9.5% 6/15/17 | 1,085 | 998 | ||
9.75% 6/12/16 | 3,670 | 4,083 | ||
10.25% 10/15/19 | 1,835 | 2,046 | ||
| 23,032 | |||
Food Products - 0.4% | ||||
Bumble Bee Acquisition Corp. 9% 12/15/17 (g) | 3,750 | 3,788 | ||
Darling International, Inc. 8.5% 12/15/18 (g) | 1,130 | 1,236 | ||
Dean Foods Co. 9.75% 12/15/18 (g) | 7,250 | 7,739 | ||
Gruma SAB de CV 7.75% (Reg. S) (h) | 3,609 | 3,609 | ||
Harbinger Group, Inc. 10.625% 11/15/15 | 2,645 | 2,731 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
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 | 5,928 | ||
MHP SA 10.25% 4/29/15 (g) | 1,995 | 2,130 | ||
Michael Foods Group, Inc. 9.75% 7/15/18 (g) | 1,885 | 2,026 | ||
Smithfield Foods, Inc. 10% 7/15/14 | 5,540 | 6,413 | ||
| 35,604 | |||
Personal Products - 0.1% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,626 | ||
NBTY, Inc. 9% 10/1/18 (g) | 5,005 | 5,280 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 | 3,875 | 4,185 | ||
| 11,091 | |||
TOTAL CONSUMER STAPLES | 72,612 | |||
ENERGY - 5.7% | ||||
Energy Equipment & Services - 0.3% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,612 | ||
Forbes Energy Services Ltd. 9% 6/15/19 (g) | 3,755 | 3,680 | ||
Frac Tech Services LLLC/Frac Tech Finance, Inc. 7.125% 11/15/18 (g) | 2,210 | 2,260 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g) | 3,970 | 4,169 | ||
Oil States International, Inc. 6.5% 6/1/19 (g) | 3,855 | 3,894 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,657 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,663 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (g) | 1,615 | 1,680 | ||
| 25,615 | |||
Oil, Gas & Consumable Fuels - 5.4% | ||||
Afren PLC 11.5% 2/1/16 (g) | 3,150 | 3,441 | ||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 7,845 | 7,904 | ||
6.25% 6/1/21 | 4,505 | 4,528 | ||
Arch Coal, Inc. 7.25% 10/1/20 | 1,670 | 1,695 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 | 32,370 | 32,694 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 3,047 | ||
10.25% 6/1/14 | 2,220 | 2,531 | ||
Brigham Exploration Co. 6.875% 6/1/19 (g) | 4,090 | 4,054 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.375% 5/1/19 (g) | $ 1,675 | $ 1,717 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 | 5,115 | 5,294 | ||
Chaparral Energy, Inc. 9.875% 10/1/20 | 1,845 | 1,983 | ||
Chesapeake Energy Corp. 6.875% 11/15/20 | 12,030 | 12,707 | ||
Chesapeake Midstream Partners LP/CHKM Finance Corp. 5.875% 4/15/21 (g) | 2,400 | 2,352 | ||
Clayton Williams Energy, Inc. 7.75% 4/1/19 (g) | 5,160 | 5,057 | ||
Concho Resources, Inc.: | ||||
6.5% 1/15/22 | 6,135 | 6,097 | ||
7% 1/15/21 | 2,855 | 2,901 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 | 6,470 | 6,955 | ||
8.25% 4/1/20 | 6,645 | 7,210 | ||
Continental Resources, Inc.: | ||||
7.125% 4/1/21 | 2,540 | 2,667 | ||
8.25% 10/1/19 | 885 | 960 | ||
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 (g) | 2,235 | 2,218 | ||
Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,240 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,226 | ||
9.75% 3/1/16 | 1,660 | 1,845 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 8,180 | 8,262 | ||
9% 10/15/14 (g) | 8,730 | 9,188 | ||
DTEK Finance BV 9.5% 4/28/15 (g) | 1,935 | 2,051 | ||
Eagle Rock Energy Partners LP / Eagle Rock Energy Finance Corp. 8.375% 6/1/19 (g) | 5,125 | 5,125 | ||
Energy Partners Ltd. 8.25% 2/15/18 (g) | 6,600 | 6,270 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 10,823 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 (g) | 12,735 | 13,563 | ||
EXCO Resources, Inc. 7.5% 9/15/18 | 8,000 | 7,760 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 (g) | 3,485 | 3,485 | ||
International Coal Group, Inc. 9.125% 4/1/18 | 3,690 | 4,640 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (g) | 3,335 | 3,518 | ||
7% 5/5/20 (g) | 3,100 | 3,410 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
KazMunaiGaz Finance Sub BV: - continued | ||||
8.375% 7/2/13 (g) | $ 3,080 | $ 3,365 | ||
9.125% 7/2/18 (g) | 3,975 | 4,889 | ||
11.75% 1/23/15 (g) | 4,880 | 6,058 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
7.75% 2/1/21 (g) | 19,190 | 19,670 | ||
8.625% 4/15/20 | 14,410 | 15,635 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp. 6.75% 11/1/20 | 1,880 | 1,918 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 2,830 | 3,092 | ||
Newfield Exploration Co. 6.875% 2/1/20 | 12,875 | 13,648 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 10.5% 12/1/17 (g) | 4,575 | 5,044 | ||
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (g) | 12,410 | 12,581 | ||
Pacific Rubiales Energy Corp. 8.75% 11/10/16 | 4,200 | 4,736 | ||
Pan American Energy LLC 7.875% 5/7/21 (g) | 2,045 | 2,183 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 6,331 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 6,720 | 7,014 | ||
Petrobras International Finance Co. Ltd.: | ||||
6.875% 1/20/40 | 3,175 | 3,429 | ||
8.375% 12/10/18 | 3,465 | 4,271 | ||
Petrohawk Energy Corp. 7.875% 6/1/15 | 22,900 | 23,988 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 14,530 | 11,152 | ||
5.25% 4/12/17 | 9,685 | 6,077 | ||
5.375% 4/12/27 | 25,040 | 12,520 | ||
5.5% 4/12/37 | 12,420 | 6,086 | ||
Petroleos de Venezuela SA 144A: | ||||
8.5% 11/2/17 (g) | 20,560 | 15,163 | ||
12.75% 2/17/22 (g) | 18,475 | 15,103 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 | 3,200 | 3,360 | ||
6% 3/5/20 | 2,990 | 3,274 | ||
6.625% (g)(h) | 9,175 | 9,244 | ||
8% 5/3/19 | 2,695 | 3,342 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 3,717 | 3,773 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,873 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 9,383 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Plains Exploration & Production Co. 10% 3/1/16 | $ 10,150 | $ 11,419 | ||
PT Adaro Indonesia 7.625% 10/22/19 (g) | 4,515 | 5,012 | ||
PT Pertamina Persero: | ||||
5.25% 5/23/21 (g) | 3,185 | 3,217 | ||
6.5% 5/27/41 (g) | 2,320 | 2,303 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,764 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,606 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 | 3,565 | 3,939 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,568 | ||
Southwestern Energy Co. 7.5% 2/1/18 | 2,460 | 2,798 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
6.875% 2/1/21 (g) | 2,785 | 2,757 | ||
11.25% 7/15/17 | 4,265 | 4,883 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 3,810 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 633 | ||
7.625% 4/1/37 | 1,035 | 1,248 | ||
8.375% 6/15/32 | 1,155 | 1,460 | ||
TNK-BP Finance SA 7.5% 7/18/16 | 1,800 | 2,023 | ||
Venoco, Inc.: | ||||
8.875% 2/15/19 (g) | 7,095 | 7,051 | ||
11.5% 10/1/17 | 5,185 | 5,626 | ||
YPF SA 10% 11/2/28 | 1,990 | 2,298 | ||
| 523,035 | |||
TOTAL ENERGY | 548,650 | |||
FINANCIALS - 8.0% | ||||
Capital Markets - 0.1% | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (g) | 5,755 | 6,043 | ||
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 1,130 | 1,856 | |
Lloyds TSB Bank PLC 6.5% 9/17/40 | GBP | 1,350 | 1,982 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (g) | 3,580 | 3,383 | ||
| 13,264 | |||
Commercial Banks - 2.7% | ||||
African Export-Import Bank 8.75% 11/13/14 | 4,270 | 4,814 | ||
Akbank T.A.S. 5.125% 7/22/15 (g) | 3,445 | 3,411 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Banco Bradesco SA 5.9% 1/16/21 (g) | $ 2,270 | $ 2,293 | ||
Banco de Credito del Peru: | ||||
4.75% 3/16/16 (g) | 4,940 | 4,878 | ||
5.375% 9/16/20 (g) | 3,705 | 3,510 | ||
Banco Nacional de Desenvolvimento Economico e Social 5.5% 7/12/20 (g) | 3,430 | 3,636 | ||
Banco Votorantim SA 5.25% 2/11/16 (g) | 3,595 | 3,649 | ||
BanColombia SA: | ||||
4.25% 1/12/16 (g) | 2,020 | 2,030 | ||
5.95% 6/3/21 (g) | 2,240 | 2,266 | ||
BBVA Paraguay SA 9.75% 2/11/16 (g) | 4,480 | 4,883 | ||
CIT Group, Inc.: | ||||
7% 5/1/14 | 1,551 | 1,566 | ||
7% 5/1/15 | 0* | 0* | ||
7% 5/4/15 (g) | 2,780 | 2,787 | ||
7% 5/1/16 | 1 | 1 | ||
7% 5/2/16 (g) | 22,813 | 22,727 | ||
7% 5/1/17 | 1 | 1 | ||
7% 5/2/17 (g) | 47,242 | 47,124 | ||
Commonwealth Bank of Australia 4.25% 4/6/18 | EUR | 6,400 | 9,315 | |
Development Bank of Kazakhstan JSC 5.5% 12/20/15 (g) | 2,040 | 2,111 | ||
Development Bank of Philippines: | ||||
5.5% 3/25/21 | 2,245 | 2,223 | ||
8.375% (h)(l) | 6,440 | 7,148 | ||
DnB NOR Bank ASA 4.375% 2/24/21 | EUR | 4,100 | 5,893 | |
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) | 3,585 | 3,495 | ||
European Investment Bank: | ||||
2.875% 7/15/16 | EUR | 7,600 | 11,029 | |
4.125% 12/7/17 | GBP | 9,300 | 15,793 | |
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 20,925 | 21,005 | ||
Export-Import Bank of India 0.6953% 6/7/12 (l) | JPY | 170,000 | 2,082 | |
Export-Import Bank of Korea 5.1% 10/29/13 (g) | INR | 161,100 | 3,474 | |
HSBK (Europe) BV: | ||||
7.25% 5/3/17 (g) | 5,550 | 5,661 | ||
9.25% 10/16/13 (g) | 4,420 | 4,807 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
International Bank for Reconstruction & Development 8.2% 12/12/12 | NGN | 320,000 | $ 2,104 | |
Itau Unibanco Holding SA 6.2% 12/21/21 (g) | 2,315 | 2,356 | ||
Korea Development Bank 4% 9/9/16 | 2,075 | 2,124 | ||
National Westminster Bank PLC 6.5% 9/7/21 | GBP | 1,600 | 2,388 | |
Nordea Bank Finland PLC 2.25% 11/16/15 | EUR | 5,250 | 7,366 | |
RSHB Capital SA: | ||||
6% 6/3/21 (g) | 2,155 | 2,171 | ||
9% 6/11/14 (g) | 1,535 | 1,752 | ||
Standard Bank PLC 8.75% 2/9/16 (Issued by Standard Bank PLC for PrivatBank) (l) | 2,440 | 2,086 | ||
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 5,375 | 4,838 | ||
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 | 1,965 | 2,019 | ||
Turkiye Garanti Bankasi AS: | ||||
2.774% 4/20/16 (g)(l) | 2,130 | 2,114 | ||
6.25% 4/20/21 (g) | 3,775 | 3,666 | ||
Turkiye Is Bankasi AS 5.1% 2/1/16 (g) | 3,520 | 3,476 | ||
US Bank NA 4.375% 2/28/17 (l) | EUR | 1,600 | 2,272 | |
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 8,310 | 9,089 | ||
Wells Fargo & Co. 7.98% (h)(l) | 2,035 | 2,203 | ||
| 255,636 | |||
Consumer Finance - 1.9% | ||||
Ally Financial, Inc.: | ||||
3.4658% 2/11/14 (l) | 14,765 | 14,544 | ||
7.5% 9/15/20 | 19,185 | 20,154 | ||
8% 3/15/20 | 25,720 | 27,392 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 9,820 | 10,507 | ||
12% 5/15/15 | 12,770 | 15,899 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 7,330 | 7,828 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
GMAC LLC: | ||||
6.75% 12/1/14 | $ 2,965 | $ 3,098 | ||
8% 11/1/31 | 81,013 | 87,292 | ||
| 186,714 | |||
Diversified Financial Services - 2.9% | ||||
Aquarius Investments Luxemburg 8.25% 2/18/16 | 3,350 | 3,586 | ||
Bank of America Corp.: | ||||
8% (h)(l) | 5,365 | 5,566 | ||
8.125% (h)(l) | 7,380 | 7,675 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 2,730 | 2,805 | ||
BP Capital Markets PLC 3.83% 10/6/17 | EUR | 2,750 | 3,999 | |
Bumble Bee Holdco SCA 9.625% 3/15/18 pay-in-kind (g)(l) | 4,100 | 3,793 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
6.5% 4/30/21 | 10,200 | 10,060 | ||
7.875% 4/30/18 | 2,920 | 3,088 | ||
8.125% 4/30/20 | 6,955 | 7,511 | ||
CDW LLC/CDW Finance Corp. 8% 12/15/18 (g) | 5,405 | 5,675 | ||
City of Buenos Aires 12.5% 4/6/15 (g) | 10,565 | 11,954 | ||
CM-CIC Covered Bonds 4.375% 3/17/21 | EUR | 1,600 | 2,366 | |
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 225 | 413 | |
8.151% 12/31/30 | GBP | 475 | 939 | |
European Community: | ||||
3.25% 4/4/18 | EUR | 15,400 | 22,436 | |
3.375% 5/10/19 | EUR | 7,900 | 11,578 | |
Fibria Overseas Finance Ltd. 6.75% 3/3/21 (g) | 2,050 | 2,145 | ||
FireKeepers Development Authority 13.875% 5/1/15 (g) | 1,600 | 1,848 | ||
General Motors Financial Co., Inc. 6.75% 6/1/18 (g) | 6,140 | 6,201 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (g) | 4,195 | 4,384 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 22,045 | 22,624 | ||
8% 1/15/18 | 28,817 | 29,249 | ||
Imperial Tobacco Finance 4.5% 7/5/18 | EUR | 1,350 | 1,960 | |
Indo Energy Finance BV 7% 5/7/18 (g) | 2,065 | 2,127 | ||
Landrys Holdings, Inc. 11.5% 6/1/14 (g) | 3,230 | 3,230 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
LBI Escrow Corp. 8% 11/1/17 (g) | $ 5,862 | $ 6,492 | ||
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 1,846 | ||
Offshore Group Investment Ltd.: | ||||
11.5% 8/1/15 | 8,495 | 9,260 | ||
11.5% 8/1/15 (g) | 1,725 | 1,880 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g) | 3,140 | 3,407 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
6.875% 2/15/21 (g) | 3,855 | 3,739 | ||
8.25% 2/15/21 (g) | 16,000 | 14,840 | ||
SB Capital SA 5.4% 3/24/17 (Reg. S) | 2,120 | 2,202 | ||
Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (g) | 2,460 | 2,509 | ||
T2 Capital Finance Co. SA 6.95% 2/6/17 (Reg. S) (e) | 2,275 | 2,303 | ||
TMK Capital SA: | ||||
7.75% 1/27/18 | 2,050 | 2,124 | ||
10% 7/29/11 | 4,700 | 4,721 | ||
Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18 | 4,285 | 4,740 | ||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 8.125% 12/1/17 (g) | 7,210 | 7,679 | ||
UPCB Finance III Ltd. 6.625% 7/1/20 (g) | 3,795 | 3,748 | ||
Vnesheconombank Via VEB Finance Ltd. 6.8% 11/22/25 (g) | 2,365 | 2,398 | ||
WaMu Covered Bond Program 3.875% 9/27/11 | EUR | 1,090 | 1,587 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (g)(l) | 16,179 | 18,496 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (g) | 5,870 | 6,274 | ||
| 277,457 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. 9% 1/15/18 (g) | 2,935 | 3,052 | ||
USI Holdings Corp. 4.1358% 11/15/14 (g)(l) | 920 | 856 | ||
| 3,908 | |||
Real Estate Investment Trusts - 0.2% | ||||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 (g) | 7,955 | 7,736 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Omega Healthcare Investors, Inc.: | ||||
6.75% 10/15/22 (g) | $ 8,390 | $ 8,306 | ||
7.5% 2/15/20 | 4,860 | 5,103 | ||
| 21,145 | |||
Real Estate Management & Development - 0.2% | ||||
CB Richard Ellis Services, Inc. 6.625% 10/15/20 | 5,565 | 5,704 | ||
Realogy Corp.: | ||||
7.875% 2/15/19 (g) | 5,470 | 5,361 | ||
12% 4/15/17 | 2,748 | 2,693 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 | 845 | 883 | ||
| 14,641 | |||
TOTAL FINANCIALS | 772,765 | |||
HEALTH CARE - 2.2% | ||||
Health Care Providers & Services - 1.4% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 | 7,720 | 7,932 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,896 | ||
DaVita, Inc.: | ||||
6.375% 11/1/18 | 4,475 | 4,486 | ||
6.625% 11/1/20 | 3,875 | 3,914 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 6,024 | ||
HCA Holdings, Inc. 7.75% 5/15/21 (g) | 30,445 | 31,282 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 4,220 | 4,294 | ||
7.25% 9/15/20 | 23,835 | 25,503 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 7,950 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 (g) | 13,245 | 13,146 | ||
InVentiv Health, Inc. 10% 8/15/18 (g) | 905 | 873 | ||
Kindred Escrow Corp. 8.25% 6/1/19 (g) | 2,030 | 2,030 | ||
LifePoint Hospitals, Inc. 6.625% 10/1/20 | 4,045 | 4,106 | ||
ResCare, Inc. 10.75% 1/15/19 | 2,735 | 2,892 | ||
Rotech Healthcare, Inc.: | ||||
10.5% 3/15/18 (g) | 2,475 | 2,388 | ||
10.75% 10/15/15 | 4,075 | 4,503 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 1,200 | 1,197 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Skilled Healthcare Group, Inc. 11% 1/15/14 | $ 3,652 | $ 3,752 | ||
UHS Escrow Corp. 7% 10/1/18 | 1,020 | 1,053 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 938 | ||
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc. 7.75% 2/1/19 | 4,295 | 4,381 | ||
Vanguard Health Systems, Inc. 0% 2/1/16 | 7,085 | 4,658 | ||
| 139,198 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (g) | 4,860 | 5,030 | ||
Pharmaceuticals - 0.7% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 | 5,775 | 6,078 | ||
Giant Funding Corp. 8.25% 2/1/18 (g) | 4,920 | 5,129 | ||
Leiner Health Products, Inc. 11% 6/1/12 (c) | 1,885 | 94 | ||
Mylan, Inc.: | ||||
6% 11/15/18 (g) | 10,955 | 11,119 | ||
7.625% 7/15/17 (g) | 3,900 | 4,212 | ||
7.875% 7/15/20 (g) | 7,040 | 7,674 | ||
Valeant Pharmaceuticals International: | ||||
6.75% 8/15/21 (g) | 20,465 | 19,237 | ||
6.875% 12/1/18 (g) | 15,705 | 15,352 | ||
7% 10/1/20 (g) | 2,205 | 2,128 | ||
| 71,023 | |||
TOTAL HEALTH CARE | 215,251 | |||
INDUSTRIALS - 3.3% | ||||
Aerospace & Defense - 0.1% | ||||
ADS Tactical, Inc. 11% 4/1/18 (g) | 1,640 | 1,732 | ||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 661 | ||
12% 11/1/14 pay-in-kind | 1,462 | 1,494 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 | 2,915 | 3,236 | ||
GeoEye, Inc. 9.625% 10/1/15 | 1,030 | 1,164 | ||
Hexcel Corp. 6.75% 2/1/15 | 766 | 779 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
Huntington Ingalls Industries, Inc.: | ||||
6.875% 3/15/18 (g) | $ 1,675 | $ 1,704 | ||
7.125% 3/15/21 (g) | 1,675 | 1,725 | ||
| 12,495 | |||
Air Freight & Logistics - 0.0% | ||||
Air Medical Group Holdings, Inc. 9.25% 11/1/18 (g) | 3,295 | 3,484 | ||
Airlines - 0.6% | ||||
Air Canada 9.25% 8/1/15 (g) | 7,170 | 7,385 | ||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 4,148 | 4,749 | ||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | 5,833 | 6,708 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 798 | 796 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 4,821 | 5,195 | ||
Delta Air Lines, Inc. 9.5% 9/15/14 (g) | 1,374 | 1,463 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,748 | 9,098 | ||
8.021% 8/10/22 | 3,970 | 4,034 | ||
Northwest Airlines Corp. 10% 2/1/09 (c) | 1,895 | 0 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (c) | 1,365 | 0 | ||
8.875% 6/1/06 (c) | 1,355 | 0 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,144 | 2,186 | ||
8.028% 11/1/17 | 704 | 704 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (g) | 1,952 | 2,050 | ||
12% 11/1/13 (g) | 3,415 | 3,628 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 7,849 | 8,908 | ||
US Airways 2011-1 Class A Pass Through Trust 7.125% 10/22/23 | 5,175 | 5,175 | ||
| 62,079 | |||
Building Products - 0.1% | ||||
Building Materials Corp. of America 6.75% 5/1/21 (g) | 4,665 | 4,688 | ||
Commercial Services & Supplies - 1.0% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 595 | 660 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
American Reprographics Co. 10.5% 12/15/16 | $ 4,570 | $ 4,479 | ||
B-Corp Merger Sub, Inc. 8.25% 6/1/19 (g) | 2,915 | 2,886 | ||
Casella Waste Systems, Inc.: | ||||
7.75% 2/15/19 (g) | 1,160 | 1,163 | ||
11% 7/15/14 | 1,510 | 1,676 | ||
Cenveo Corp. 10.5% 8/15/16 (g) | 2,795 | 2,746 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,164 | ||
Garda World Security Corp. 9.75% 3/15/17 (g) | 2,260 | 2,390 | ||
International Lease Finance Corp.: | ||||
5.75% 5/15/16 | 4,965 | 4,898 | ||
6.25% 5/15/19 | 8,195 | 8,011 | ||
6.75% 9/1/16 (g) | 4,580 | 4,866 | ||
7.125% 9/1/18 (g) | 9,160 | 9,778 | ||
8.25% 12/15/20 | 8,235 | 8,976 | ||
8.625% 9/15/15 | 7,985 | 8,664 | ||
8.75% 3/15/17 | 11,970 | 13,047 | ||
The Geo Group, Inc. 7.75% 10/15/17 | 2,845 | 2,994 | ||
United Rentals North America, Inc. 8.375% 9/15/20 | 6,995 | 6,960 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (g) | 3,355 | 3,389 | ||
| 92,747 | |||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd.: | ||||
6% 4/5/23 (g) | 2,115 | 2,104 | ||
7% 4/21/20 (g) | 1,830 | 2,011 | ||
| 4,115 | |||
Electrical Equipment - 0.1% | ||||
General Cable Corp. 7.125% 4/1/17 | 680 | 695 | ||
Sensata Technologies BV 6.5% 5/15/19 (g) | 5,310 | 5,310 | ||
| 6,005 | |||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp.: | ||||
11.75% 12/1/15 (g) | 11,050 | 11,713 | ||
13.5% 12/1/15 pay-in-kind (g) | 4,393 | 4,745 | ||
| 16,458 | |||
Machinery - 0.3% | ||||
Accuride Corp. 9.5% 8/1/18 | 650 | 696 | ||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,348 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Chart Industries, Inc. 9.125% 10/15/15 | $ 1,160 | $ 1,206 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 2,097 | ||
Navistar International Corp. 8.25% 11/1/21 | 9,025 | 9,702 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,703 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 (g) | 3,870 | 3,754 | ||
| 25,506 | |||
Marine - 0.2% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 2,585 | 2,524 | ||
Navios Maritime Holdings, Inc.: | ||||
8.125% 2/15/19 (g) | 4,440 | 4,418 | ||
8.875% 11/1/17 | 10,830 | 11,426 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (g) | 1,320 | 1,353 | ||
SCF Capital Ltd. 5.375% 10/27/17 (g) | 2,085 | 2,085 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 2,030 | ||
| 23,836 | |||
Professional Services - 0.1% | ||||
CDRT Merger Sub, Inc. 8.125% 6/1/19 (g) | 6,200 | 6,185 | ||
Road & Rail - 0.5% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
8.25% 1/15/19 | 10,035 | 10,186 | ||
9.625% 3/15/18 | 2,465 | 2,644 | ||
Georgian Railway Ltd. 9.875% 7/22/15 | 1,850 | 2,056 | ||
Hertz Corp. 6.75% 4/15/19 (g) | 5,355 | 5,275 | ||
Kansas City Southern de Mexico SA de CV: | ||||
6.125% 6/15/21 (g) | 3,370 | 3,362 | ||
6.625% 12/15/20 (g) | 2,020 | 2,086 | ||
12.5% 4/1/16 | 7,425 | 8,836 | ||
Swift Services Holdings, Inc. 10% 11/15/18 | 9,125 | 9,650 | ||
Western Express, Inc. 12.5% 4/15/15 (g) | 5,935 | 5,623 | ||
| 49,718 | |||
Trading Companies & Distributors - 0.1% | ||||
Aircastle Ltd. 9.75% 8/1/18 | 9,000 | 9,945 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g) | $ 3,089 | $ 3,332 | ||
TOTAL INDUSTRIALS | 320,593 | |||
INFORMATION TECHNOLOGY - 1.4% | ||||
Communications Equipment - 0.5% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 6,165 | 6,273 | ||
10.125% 11/1/15 pay-in-kind (l) | 4,120 | 4,213 | ||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 | 1,135 | 1,195 | ||
6.875% 1/15/20 | 2,095 | 2,260 | ||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,447 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 18,045 | ||
6.5% 1/15/28 | 6,570 | 5,897 | ||
ViaSat, Inc. 8.875% 9/15/16 | 1,335 | 1,415 | ||
| 45,745 | |||
Computers & Peripherals - 0.1% | ||||
Seagate HDD Cayman: | ||||
7% 11/1/21 (g) | 6,295 | 6,248 | ||
7.75% 12/15/18 (g) | 9,070 | 9,410 | ||
| 15,658 | |||
Electronic Equipment & Components - 0.1% | ||||
Atkore International, Inc. 9.875% 1/1/18 (g) | 2,155 | 2,268 | ||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 | 4,625 | 4,706 | ||
13.25% 11/1/15 | 3,266 | 3,021 | ||
| 9,995 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 8,916 | ||
IT Services - 0.3% | ||||
Ceridian Corp. 11.25% 11/15/15 | 4,145 | 4,166 | ||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 | 2,935 | 3,111 | ||
7.875% 7/15/20 | 3,910 | 4,154 | ||
SunGard Data Systems, Inc. 7.375% 11/15/18 | 4,435 | 4,418 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - continued | ||||
Telcordia Technologies, Inc. 11% 5/1/18 (g) | $ 6,855 | $ 8,654 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 3,030 | 3,318 | ||
12.75% 10/15/14 (g) | 201 | 235 | ||
| 28,056 | |||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Advanced Micro Devices, Inc.: | ||||
7.75% 8/1/20 | 1,640 | 1,677 | ||
8.125% 12/15/17 | 3,470 | 3,609 | ||
Freescale Semiconductor, Inc. 10.75% 8/1/20 (g) | 3,485 | 3,886 | ||
NXP BV/NXP Funding LLC 9.75% 8/1/18 (g) | 10,905 | 12,173 | ||
Spansion LLC 11.25% 1/15/16 (c)(g) | 4,255 | 918 | ||
STATS ChipPAC Ltd. 7.5% 8/12/15 (g) | 1,935 | 2,080 | ||
Viasystems, Inc. 12% 1/15/15 (g) | 4,000 | 4,390 | ||
| 28,733 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 870 | 522 | ||
TOTAL INFORMATION TECHNOLOGY | 137,625 | |||
MATERIALS - 2.5% | ||||
Chemicals - 0.6% | ||||
Braskem Finance Ltd.: | ||||
5.75% 4/15/21 (g) | 2,030 | 2,040 | ||
7% 5/7/20 (g) | 1,875 | 2,041 | ||
Celanese US Holdings LLC 5.875% 6/15/21 | 2,555 | 2,574 | ||
Ferro Corp. 7.875% 8/15/18 | 4,325 | 4,498 | ||
Georgia Gulf Corp. 9% 1/15/17 (g) | 10,825 | 11,637 | ||
Ineos Finance PLC 9% 5/15/15 (g) | 2,655 | 2,808 | ||
Inergy LP/Inergy Finance Corp. 6.875% 8/1/21 (g) | 5,985 | 6,045 | ||
Nalco Co. 6.625% 1/15/19 (g) | 6,310 | 6,468 | ||
NOVA Chemicals Corp.: | ||||
3.542% 11/15/13 (l) | 1,690 | 1,677 | ||
6.5% 1/15/12 | 5,775 | 5,862 | ||
OMNOVA Solutions, Inc. 7.875% 11/1/18 (g) | 1,105 | 1,055 | ||
OXEA Finance & CY S.C.A. 9.5% 7/15/17 (g) | 3,547 | 3,671 | ||
PolyOne Corp. 7.375% 9/15/20 | 1,845 | 1,923 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Solutia, Inc.: | ||||
7.875% 3/15/20 | $ 2,180 | $ 2,376 | ||
8.75% 11/1/17 | 1,100 | 1,194 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,696 | ||
TPC Group LLC 8.25% 10/1/17 (g) | 2,195 | 2,277 | ||
| 59,842 | |||
Containers & Packaging - 0.4% | ||||
ARD Finance SA 11.125% 6/1/18 pay-in-kind (g) | 4,405 | 4,526 | ||
Ardagh Packaging Finance PLC: | ||||
7.375% 10/15/17 (g) | 1,190 | 1,232 | ||
9.125% 10/15/20 (g) | 4,495 | 4,720 | ||
Berry Plastics Corp.: | ||||
8.25% 11/15/15 | 4,610 | 4,864 | ||
9.75% 1/15/21 | 5,485 | 5,334 | ||
Berry Plastics Holding Corp. 4.122% 9/15/14 (l) | 640 | 602 | ||
BWAY Parent Co., Inc. 10.875% 11/1/15 pay-in-kind (g)(l) | 2,429 | 2,387 | ||
Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21 (g) | 5,300 | 5,366 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 9,599 | ||
7.5% 12/15/96 | 3,685 | 2,874 | ||
| 41,504 | |||
Metals & Mining - 1.1% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (g) | 33 | 33 | ||
9% 12/15/14 pay-in-kind (c)(l) | 2,790 | 14 | ||
Alrosa Finance SA: | ||||
(Reg. S) 8.875% 11/17/14 | 1,775 | 2,028 | ||
7.75% 11/3/20 (g) | 2,685 | 2,917 | ||
Aperam: | ||||
7.375% 4/1/16 (g) | 1,195 | 1,207 | ||
7.75% 4/1/18 (g) | 980 | 990 | ||
Boart Longyear Management Pty Ltd. 7% 4/1/21 (g) | 2,155 | 2,203 | ||
Calcipar SA 6.875% 5/1/18 (g) | 1,900 | 1,914 | ||
CSN Islands XII Corp. 7% (Reg. S) (h) | 7,115 | 6,990 | ||
Edgen Murray Corp. 12.25% 1/15/15 | 8,545 | 8,609 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Evraz Group SA: | ||||
8.25% 11/10/15 (g) | $ 1,970 | $ 2,192 | ||
9.5% 4/24/18 (Reg. S) | 3,015 | 3,467 | ||
Ferrexpo Finance PLC 7.875% 4/7/16 (g) | 1,975 | 2,029 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6.375% 2/1/16 (g) | 7,260 | 7,278 | ||
6.875% 2/1/18 (g) | 7,260 | 7,405 | ||
7% 11/1/15 (g) | 9,155 | 9,384 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (g) | 8,725 | 8,965 | ||
Metinvest BV 10.25% 5/20/15 (g) | 1,895 | 2,063 | ||
Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (g) | 4,370 | 4,392 | ||
Mirabela Nickel Ltd. 8.75% 4/15/18 (g) | 1,135 | 1,118 | ||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (g) | 3,435 | 3,555 | ||
RathGibson, Inc. 11.25% 2/15/14 (c) | 5,783 | 1 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 7,005 | 7,723 | ||
Southern Copper Corp. 6.75% 4/16/40 | 5,265 | 5,108 | ||
Vedanta Resources PLC: | ||||
6.75% 6/7/16 (g) | 4,910 | 4,910 | ||
8.25% 6/7/21 (g) | 2,175 | 2,197 | ||
Votorantim Cimentos SA 7.25% 4/5/41 (g) | 2,030 | 2,010 | ||
| 100,702 | |||
Paper & Forest Products - 0.4% | ||||
ABI Escrow Corp. 10.25% 10/15/18 (g) | 14,882 | 16,110 | ||
Clearwater Paper Corp. 7.125% 11/1/18 | 1,225 | 1,234 | ||
Georgia-Pacific LLC 5.4% 11/1/20 (g) | 6,505 | 6,749 | ||
Glatfelter 7.125% 5/1/16 | 550 | 568 | ||
NewPage Corp.: | ||||
6.5233% 5/1/12 (l) | 1,770 | 460 | ||
11.375% 12/31/14 | 4,775 | 4,453 | ||
Sino-Forest Corp. 6.25% 10/21/17 (g) | 2,165 | 996 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,947 | ||
| 32,517 | |||
TOTAL MATERIALS | 234,565 | |||
TELECOMMUNICATION SERVICES - 6.1% | ||||
Diversified Telecommunication Services - 3.5% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 6,120 | 7,007 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Citizens Communications Co.: | ||||
7.125% 3/15/19 | $ 2,730 | $ 2,798 | ||
7.875% 1/15/27 | 4,895 | 4,748 | ||
9% 8/15/31 | 3,655 | 3,746 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (g) | 12,857 | 13,853 | ||
Frontier Communications Corp.: | ||||
8.25% 4/15/17 | 7,925 | 8,599 | ||
8.5% 4/15/20 | 21,295 | 23,158 | ||
8.75% 4/15/22 | 13,695 | 14,739 | ||
Global Crossing Ltd. 12% 9/15/15 | 20,305 | 23,655 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (g) | 2,010 | 2,226 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 88,680 | 84,246 | ||
6.9% 5/1/19 | 15,450 | 15,914 | ||
8.75% 3/15/32 | 75,426 | 81,649 | ||
Telemar Norte Leste SA 5.5% 10/23/20 (g) | 1,970 | 1,943 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,443 | ||
7.25% 9/15/25 | 535 | 554 | ||
7.25% 10/15/35 | 1,455 | 1,444 | ||
7.5% 6/15/23 | 460 | 460 | ||
Wind Acquisition Finance SA: | ||||
7.25% 2/15/18 (g) | 4,780 | 4,971 | ||
11.75% 7/15/17 (g) | 34,975 | 39,697 | ||
| 337,850 | |||
Wireless Telecommunication Services - 2.6% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (g) | 4,260 | 4,558 | ||
Cricket Communications, Inc. 7.75% 10/15/20 (g) | 1,995 | 1,935 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (g) | 2,390 | 2,477 | ||
8.875% 1/15/15 (g) | 23,300 | 23,766 | ||
9.125% 1/15/15 pay-in-kind (g)(l) | 14,920 | 15,256 | ||
10.5% 4/15/18 (g) | 30,980 | 34,506 | ||
12% 4/1/14 (g) | 9,725 | 11,281 | ||
Intelsat Jackson Holdings SA: | ||||
7.25% 4/1/19 (g) | 11,235 | 11,207 | ||
7.5% 4/1/21 (g) | 21,055 | 21,055 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA: - continued | ||||
8.5% 11/1/19 | $ 4,220 | $ 4,484 | ||
9.5% 6/15/16 | 19,260 | 20,223 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (g) | 4,255 | 4,846 | ||
NII Capital Corp.: | ||||
7.625% 4/1/21 | 10,095 | 10,524 | ||
10% 8/15/16 | 10,285 | 11,931 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g) | 11,684 | 11,450 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (g) | 6,050 | 6,383 | ||
VimpelCom Holdings BV: | ||||
4.2465% 6/29/14 (g)(l) | 2,060 | 2,060 | ||
7.5043% 3/1/22 (g) | 26,110 | 26,110 | ||
VIP Finance Ireland Ltd.: | ||||
6.493% 2/2/16 (g) | 4,005 | 4,110 | ||
7.748% 2/2/21 (g) | 15,300 | 15,721 | ||
| 243,883 | |||
TOTAL TELECOMMUNICATION SERVICES | 581,733 | |||
UTILITIES - 2.2% | ||||
Electric Utilities - 0.5% | ||||
Aguila 3 SA 7.875% 1/31/18 (g) | 2,890 | 2,962 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (g) | 2,355 | 2,755 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (g) | 1,935 | 1,954 | ||
Intergen NV 9% 6/30/17 (g) | 17,825 | 18,850 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 4,235 | 4,923 | ||
7.75% 1/20/20 (g) | 3,370 | 3,943 | ||
8% 8/7/19 (g) | 2,455 | 2,903 | ||
National Power Corp. 6.875% 11/2/16 (g) | 1,890 | 2,164 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.5% 10/1/20 (g) | 4,785 | 4,737 | ||
| 45,191 | |||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,685 | 1,811 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | $ 6,645 | $ 7,739 | ||
8% 3/1/32 | 3,550 | 4,448 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,532 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g) | 7,290 | 7,071 | ||
| 23,601 | |||
Independent Power Producers & Energy Traders - 1.5% | ||||
Calpine Corp. 7.875% 1/15/23 (g) | 26,885 | 27,692 | ||
Energy Future Holdings Corp. 10% 1/15/20 | 8,880 | 9,391 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 38,268 | 40,755 | ||
11% 10/1/21 (g) | 30,866 | 30,712 | ||
NRG Energy, Inc.: | ||||
7.625% 5/15/19 (g) | 7,135 | 7,064 | ||
7.875% 5/15/21 (g) | 7,135 | 7,081 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (g) | 2,795 | 3,312 | ||
7.39% 12/2/24 (g) | 2,880 | 3,413 | ||
TXU Corp.: | ||||
6.5% 11/15/24 | 11,785 | 5,893 | ||
6.55% 11/15/34 | 18,090 | 8,864 | ||
| 144,177 | |||
Water Utilities - 0.0% | ||||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) 6.25% 12/16/20 (g) | 1,915 | 1,963 | ||
TOTAL UTILITIES | 214,932 | |||
TOTAL NONCONVERTIBLE BONDS | 3,407,326 | |||
TOTAL CORPORATE BONDS (Cost $3,339,077) | 3,530,911 | |||
U.S. Government and Government Agency Obligations - 20.7% | ||||
| Principal | Value | ||
U.S. Government Agency Obligations - 1.3% | ||||
Fannie Mae: | ||||
0.375% 12/28/12 | $ 9,070 | $ 9,071 | ||
0.5% 8/9/13 | 5,689 | 5,681 | ||
1.125% 6/27/14 | 3,411 | 3,429 | ||
Federal Home Loan Bank: | ||||
0.875% 8/22/12 | 4,890 | 4,919 | ||
0.875% 12/27/13 | 775 | 778 | ||
1.875% 6/21/13 | 36,440 | 37,411 | ||
Freddie Mac: | ||||
0.375% 11/30/12 | 1,683 | 1,683 | ||
1% 7/30/14 | 9,300 | 9,286 | ||
1% 8/27/14 | 4,688 | 4,682 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 13,892 | 16,008 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,655 | ||
5.685% 5/15/12 | 1,285 | 1,345 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 211 | 224 | ||
Tennessee Valley Authority: | ||||
3.875% 2/15/21 | 14,690 | 15,079 | ||
5.25% 9/15/39 | 5,600 | 5,930 | ||
5.375% 4/1/56 | 7,000 | 7,516 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 124,697 | |||
U.S. Treasury Inflation Protected Obligations - 0.2% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.125% 2/15/41 | 13,737 | 14,953 | ||
U.S. Treasury Obligations - 16.8% | ||||
U.S. Treasury Bonds: | ||||
3.875% 8/15/40 | 31,273 | 28,634 | ||
4.375% 5/15/41 | 119,358 | 119,190 | ||
4.75% 2/15/41 | 48,702 | 51,769 | ||
5.25% 2/15/29 | 34,710 | 40,041 | ||
6.125% 8/15/29 | 9,487 | 12,051 | ||
6.25% 8/15/23 (k) | 36,125 | 45,800 | ||
7.5% 11/15/16 | 2,850 | 3,675 | ||
7.5% 11/15/24 | 10,690 | 15,046 | ||
7.625% 2/15/25 | 11,000 | 15,661 | ||
7.875% 2/15/21 | 6,800 | 9,531 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Bonds: - continued | ||||
8% 11/15/21 | $ 11,000 | $ 15,651 | ||
8.125% 5/15/21 | 9,286 | 13,250 | ||
9.875% 11/15/15 | 11,595 | 15,740 | ||
U.S. Treasury Notes: | ||||
0.375% 6/30/13 | 241,750 | 241,286 | ||
0.5% 5/31/13 | 45,989 | 46,029 | ||
0.75% 6/15/14 (f) | 145,505 | 145,289 | ||
1% 5/15/14 | 73,795 | 74,262 | ||
1.25% 8/31/15 | 15,400 | 15,323 | ||
1.25% 10/31/15 | 24,400 | 24,181 | ||
1.375% 2/15/13 | 30,123 | 30,600 | ||
1.5% 6/30/16 | 21,732 | 21,454 | ||
1.875% 6/30/15 | 17,707 | 18,112 | ||
1.875% 8/31/17 | 7,700 | 7,541 | ||
1.875% 9/30/17 | 5,400 | 5,276 | ||
2.125% 5/31/15 | 20,082 | 20,752 | ||
2.375% 8/31/14 | 13,000 | 13,598 | ||
2.375% 9/30/14 | 8,471 | 8,863 | ||
2.375% 10/31/14 | 49,620 | 51,884 | ||
2.375% 7/31/17 | 20,000 | 20,200 | ||
2.375% 6/30/18 | 123,218 | 122,217 | ||
2.5% 3/31/15 | 58,749 | 61,608 | ||
2.625% 7/31/14 | 66,965 | 70,564 | ||
2.625% 4/30/16 | 3,137 | 3,276 | ||
2.75% 11/30/16 | 10,000 | 10,419 | ||
3% 9/30/16 | 8,408 | 8,886 | ||
3% 2/28/17 | 66,584 | 70,012 | ||
3.125% 10/31/16 | 20,033 | 21,279 | ||
3.125% 1/31/17 | 30,990 | 32,832 | ||
3.125% 5/15/19 | 16,237 | 16,749 | ||
3.125% 5/15/21 | 7,056 | 7,031 | ||
3.375% 6/30/13 | 8,470 | 8,961 | ||
3.625% 8/15/19 | 5,731 | 6,102 | ||
3.625% 2/15/21 | 906 | 944 | ||
4.25% 11/15/17 | 28,890 | 32,359 | ||
4.5% 5/15/17 | 13,745 | 15,587 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,619,515 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Other Government Related - 2.4% | ||||
Bank of America Corp.: | ||||
2.1% 4/30/12 (FDIC Guaranteed) (i) | $ 3,013 | $ 3,060 | ||
3.125% 6/15/12 (FDIC Guaranteed) (i) | 45 | 46 | ||
Citibank NA: | ||||
1.75% 12/28/12 (FDIC Guaranteed) (i) | 15,000 | 15,278 | ||
1.875% 5/7/12 (FDIC Guaranteed) (i) | 18,000 | 18,252 | ||
Citigroup Funding, Inc.: | ||||
1.875% 10/22/12 (FDIC Guaranteed) (i) | 29,000 | 29,560 | ||
1.875% 11/15/12 (FDIC Guaranteed) (i) | 6,937 | 7,064 | ||
2% 3/30/12 (FDIC Guaranteed) (i) | 10,000 | 10,141 | ||
2.125% 7/12/12 (FDIC Guaranteed) (i) | 2,505 | 2,554 | ||
General Electric Capital Corp.: | ||||
2% 9/28/12 (FDIC Guaranteed) (i) | 19,526 | 19,886 | ||
2.125% 12/21/12 (FDIC Guaranteed) (i) | 15,000 | 15,355 | ||
2.625% 12/28/12 (FDIC Guaranteed) (i) | 5,402 | 5,564 | ||
3% 12/9/11 (FDIC Guaranteed) (i) | 3,120 | 3,158 | ||
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (i) | 21,000 | 21,354 | ||
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (i) | 45 | 46 | ||
JPMorgan Chase & Co.: | ||||
2.2% 6/15/12 (FDIC Guaranteed) (i) | 5,230 | 5,325 | ||
3.125% 12/1/11 (FDIC Guaranteed) (i) | 520 | 526 | ||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5539% 12/7/20 (NCUA Guaranteed) (l) | 5,046 | 5,060 | ||
Series 2011-R1 Class 1A, 0.6398% 1/8/20 (NCUA Guaranteed) (l) | 7,695 | 7,707 | ||
Series 2011-R4 Class 1A, 0.5895% 3/6/20 (NCUA Guaranteed) (l) | 5,420 | 5,423 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
1.4% 6/12/15 (NCUA Guaranteed) | 3,550 | 3,555 | ||
2.35% 6/12/17 (NCUA Guaranteed) | 31,000 | 30,650 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 24,905 | ||
TOTAL OTHER GOVERNMENT RELATED | 234,469 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,963,107) | 1,993,634 | |||
U.S. Government Agency - Mortgage Securities - 1.8% | ||||
| Principal | Value | ||
Fannie Mae - 0.9% | ||||
2.05% 9/1/33 (l) | $ 770 | $ 798 | ||
2.05% 11/1/35 (l) | 850 | 887 | ||
2.297% 11/1/33 (l) | 152 | 158 | ||
2.479% 10/1/35 (l) | 114 | 118 | ||
2.509% 2/1/36 (l) | 156 | 163 | ||
2.526% 6/1/47 (l) | 210 | 220 | ||
2.534% 1/1/35 (l) | 443 | 461 | ||
2.538% 7/1/35 (l) | 378 | 395 | ||
2.545% 3/1/33 (l) | 219 | 228 | ||
2.584% 6/1/36 (l) | 60 | 63 | ||
2.587% 5/1/35 (l) | 1,494 | 1,569 | ||
2.593% 2/1/37 (l) | 863 | 903 | ||
2.605% 11/1/36 (l) | 69 | 72 | ||
2.632% 4/1/36 (l) | 684 | 718 | ||
2.837% 9/1/36 (l) | 209 | 219 | ||
3.117% 8/1/35 (l) | 1,103 | 1,171 | ||
3.5% 12/1/25 to 3/1/41 | 52,600 | 50,357 | ||
3.691% 5/1/40 (l) | 2,884 | 3,023 | ||
3.697% 5/1/40 (l) | 3,433 | 3,599 | ||
3.789% 6/1/40 (l) | 3,002 | 3,149 | ||
3.838% 5/1/36 (l) | 126 | 132 | ||
3.972% 11/1/39 (l) | 2,571 | 2,708 | ||
4% 9/1/13 | 190 | 198 | ||
5% 2/1/16 to 5/1/22 | 77 | 81 | ||
5.5% 5/1/15 to 4/1/21 | 8,809 | 9,567 | ||
5.963% 3/1/37 (l) | 131 | 142 | ||
6% 6/1/16 to 10/1/38 | 1,421 | 1,560 | ||
6% 7/1/41 (j) | 500 | 549 | ||
6.5% 12/1/12 to 5/1/27 | 659 | 730 | ||
7.5% 1/1/28 | 77 | 88 | ||
TOTAL FANNIE MAE | 84,026 | |||
Freddie Mac - 0.4% | ||||
1.945% 3/1/35 (l) | 256 | 264 | ||
2.046% 5/1/37 (l) | 151 | 157 | ||
2.075% 3/1/37 (l) | 52 | 54 | ||
2.244% 1/1/36 (l) | 105 | 108 | ||
2.328% 6/1/33 (l) | 470 | 488 | ||
2.474% 12/1/33 (l) | 967 | 1,012 | ||
2.487% 10/1/35 (l) | 516 | 539 | ||
2.508% 12/1/36 (l) | 1,577 | 1,647 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Freddie Mac - continued | ||||
2.51% 5/1/37 (l) | $ 1,478 | $ 1,555 | ||
2.51% 5/1/37 (l) | 835 | 875 | ||
2.54% 6/1/37 (l) | 459 | 483 | ||
2.557% 4/1/37 (l) | 172 | 180 | ||
2.615% 9/1/35 (l) | 88 | 93 | ||
2.635% 7/1/35 (l) | 503 | 523 | ||
2.654% 2/1/36 (l) | 24 | 25 | ||
2.694% 5/1/37 (l) | 130 | 137 | ||
2.715% 10/1/36 (l) | 610 | 637 | ||
2.772% 1/1/35 (l) | 1,269 | 1,330 | ||
3.021% 7/1/35 (l) | 360 | 381 | ||
3.162% 1/1/37 (l) | 481 | 502 | ||
3.281% 10/1/35 (l) | 86 | 92 | ||
3.416% 4/1/35 (l) | 1,093 | 1,155 | ||
3.801% 4/1/40 (l) | 2,834 | 2,970 | ||
4.5% 8/1/33 | 421 | 439 | ||
5.138% 4/1/35 (l) | 57 | 61 | ||
5.5% 11/1/18 to 11/1/21 | 22,830 | 24,762 | ||
5.847% 6/1/37 (l) | 57 | 60 | ||
5.931% 6/1/37 (l) | 105 | 110 | ||
6.147% 7/1/36 (l) | 199 | 210 | ||
6.383% 8/1/37 (l) | 270 | 288 | ||
6.473% 2/1/37 (l) | 101 | 105 | ||
6.5% 2/1/13 to 3/1/22 | 2,981 | 3,253 | ||
7.22% 4/1/37 (l) | 9 | 9 | ||
8.5% 3/1/20 | 4 | 5 | ||
TOTAL FREDDIE MAC | 44,509 | |||
Ginnie Mae - 0.5% | ||||
3.5% 7/1/41 (j) | 10,400 | 10,085 | ||
4% 9/15/25 | 997 | 1,052 | ||
4.751% 12/20/60 (q) | 3,336 | 3,572 | ||
5.492% 4/20/60 (q) | 9,031 | 9,922 | ||
5.5% 2/20/60 (q) | 19,582 | 21,422 | ||
7% 9/15/25 to 8/15/31 | 49 | 57 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Ginnie Mae - continued | ||||
7.5% 2/15/22 to 8/15/28 | $ 88 | $ 101 | ||
8% 9/15/26 to 12/15/26 | 10 | 12 | ||
TOTAL GINNIE MAE | 46,223 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $172,683) | 174,758 | |||
Asset-Backed Securities - 0.0% | ||||
| ||||
Amstel Corp. Loan Offering BV Series 2007-1 Class B, 1.796% 3/25/17 (l) | EUR | 1,009 | 1,434 | |
Auto ABS Compartiment Series 2006-1 Class B, 1.599% 7/25/17 (l) | EUR | 500 | 708 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 1.654% 2/25/15 (l) | EUR | 700 | 975 | |
Class C2, 1.834% 2/25/15 (l) | EUR | 400 | 551 | |
Geldilux Ltd. Series 2007-TS Class C, 1.769% 9/8/14 (l) | EUR | 400 | 557 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.9456% 12/21/37 (l) | GBP | 169 | 261 | |
Series 18X Class BC, 1.902% 9/21/38 (l) | EUR | 600 | 779 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 69 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,186) | 5,334 | |||
Collateralized Mortgage Obligations - 2.7% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Fosse Master Issuer PLC Series 2011-1X Class A4, 2.583% 10/18/54 (l) | EUR | 2,100 | 3,046 | |
Granite Mortgages PLC 1.145% 3/20/44 (l) | GBP | 226 | 348 | |
TOTAL PRIVATE SPONSOR | 3,394 | |||
U.S. Government Agency - 2.7% | ||||
Fannie Mae: | ||||
planned amortization class Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,379 | ||
sequential payer: | ||||
Series 2007-113 Class DB, 4.5% 12/25/22 | 5,060 | 5,504 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
sequential payer: | ||||
Series 2009-14 Class EB, 4.5% 3/25/24 | $ 3,710 | $ 4,023 | ||
Series 2010-97 Class CX, 4.5% 9/25/25 | 5,300 | 5,543 | ||
Series 2010-109 Class IM, 5.5% 9/25/40 (n) | 10,772 | 2,075 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (n) | 6,900 | 805 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.6858% 9/25/23 (l) | 2,182 | 2,185 | ||
Series 2010-86 Class FE, 0.6358% 8/25/25 (l) | 3,246 | 3,257 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 89 | 96 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,610 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 947 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,850 | 1,928 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 3,435 | 3,588 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 1,016 | 1,091 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 303 | 331 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,102 | 1,185 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 827 | ||
Series 2005-47 Class HK, 4.5% 6/25/20 | 3,680 | 3,993 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,793 | ||
Series 2008-27 Class KB, 4.5% 4/25/23 | 2,090 | 2,273 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (n) | 1,731 | 208 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (n) | 3,377 | 393 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (n) | 5,661 | 1,082 | ||
Federal HMLC Multi-class participation certificates guaranteed floater Series 3835, 0.537% 5/15/38 (l) | 15,166 | 15,164 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 183 | 203 | ||
Series 2115 Class PE, 6% 1/15/14 | 41 | 43 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2630 Class FL, 0.6871% 6/15/18 (l) | 86 | 87 | ||
Series 3346 Class FA, 0.4171% 2/15/19 (l) | 10,543 | 10,554 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 335 | 360 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 223 | 239 | ||
Series 2425 Class JH, 6% 3/15/17 | 423 | 461 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,751 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2672 Class MG, 5% 9/15/23 | $ 3,360 | $ 3,676 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,084 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,347 | ||
Series 2866 Class XE, 4% 12/15/18 | 5,495 | 5,742 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 467 | 517 | ||
Series 3147 Class PF, 0.4871% 4/15/36 (l) | 4,695 | 4,672 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 523 | 582 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 62 | 64 | ||
Series 2572 Class HK, 4% 2/15/17 | 33 | 33 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 54 | 55 | ||
Class KP, 2.87% 12/15/16 | 26 | 27 | ||
Series 2645, Class BY, 4.5% 7/15/18 | 2,270 | 2,470 | ||
Series 2668 Class AZ, 4% 9/15/18 | 3,407 | 3,548 | ||
Series 2860 Class CP, 4% 10/15/17 | 12 | 12 | ||
Series 2887 Class EB, 4.5% 11/15/19 | 5,100 | 5,546 | ||
Series 2930 Class KT, 4.5% 2/15/20 | 3,180 | 3,456 | ||
Series 2987 Class HE, 4.5% 6/15/20 | 4,420 | 4,790 | ||
Series 3277 Class B, 4% 2/15/22 | 2,800 | 2,968 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,441 | ||
Series 3578, Class B, 4.5% 9/15/24 | 3,740 | 4,028 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,339 | ||
Series 2863 Class DB, 4% 9/15/14 | 94 | 95 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2010-H17 Class FA, 0.5158% 7/20/60 (l)(q) | 5,537 | 5,474 | ||
Series 2010-H18 Class AF, 0.543% 9/20/60 (l)(q) | 5,762 | 5,701 | ||
Series 2010-H19 Class FG, 0.4858% 8/20/60 (l)(q) | 7,324 | 7,211 | ||
Series 2010-H27 Series FA, 0.5903% 12/20/60 (l)(q) | 2,407 | 2,378 | ||
Series 2011-H03 Class FA, 0.6858% 1/20/61 (l)(q) | 8,368 | 8,326 | ||
Series 2011-H05 Class FA, 0.6858% 12/20/60 (l)(q) | 4,355 | 4,334 | ||
Series 2011-H07 Class FA, 0.6858% 2/20/61 (l)(q) | 7,895 | 7,871 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2011-H12 Class FA, 0.6758% 2/20/61 (l)(q) | $ 8,864 | $ 8,831 | ||
Series 2011-H13 Class FA, 0.6858% 4/20/61 (l)(q) | 3,825 | 3,825 | ||
Series 2011-H14: | ||||
Class FB, 0.7% 5/20/61 (l)(q) | 4,200 | 4,200 | ||
Class FC, 0.7% 5/20/61 (l)(q) | 4,450 | 4,450 | ||
planned amortization Series 2011-61 Class OP, 0% 5/20/40 | 5,363 | 4,460 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,023 | ||
Series 2004-79 Class FA, 0.4858% 1/20/31 (l) | 1,092 | 1,092 | ||
Series 2010-42 Class OP, 4/20/40 (o) | 12,279 | 9,819 | ||
Series 2011-71: | ||||
Class ZB, 5.5% 8/20/34 | 9,583 | 10,604 | ||
Class ZC, 5.5% 7/16/34 | 10,925 | 12,041 | ||
Government National Mortgage Association PSC planned amortization Series 2011-79, 6/20/40 (o) | 9,180 | 6,948 | ||
TOTAL U.S. GOVERNMENT AGENCY | 254,058 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $255,453) | 257,452 | |||
Commercial Mortgage Securities - 0.1% | ||||
| ||||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.3269% 10/22/37 (l) | GBP | 1,000 | 1,011 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 1.578% 7/20/16 (l) | EUR | 1,190 | 1,647 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 1.0294% 10/15/14 (l) | GBP | 650 | 969 | |
REC Plantation Place Ltd. Series 5 Class A, 1.0494% 7/25/16 (Reg. S) (l) | GBP | 869 | 1,310 | |
Skyline BV Series 2007-1 Class D, 2.159% 7/22/43 (l) | EUR | 1,100 | 1,436 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $7,346) | 6,373 | |||
Foreign Government and Government Agency Obligations - 21.6% | ||||
| Principal | Value | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (g) | $ 1,990 | $ 1,997 | ||
6.875% 4/30/40 (g) | 2,275 | 2,190 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 9,023 | 7,963 | ||
0.4677% 8/3/12 (l) | 39,515 | 38,682 | ||
2.5% 12/31/38 (e) | 7,920 | 3,445 | ||
7% 9/12/13 | 24,250 | 24,624 | ||
7% 10/3/15 | 22,860 | 22,117 | ||
Aruba Government 6.4% 9/6/15 (g) | 1,271 | 1,336 | ||
Austrian Republic: | ||||
3.65% 4/20/22 | EUR | 5,500 | 8,032 | |
4% 9/15/16 (g) | EUR | 22,100 | 33,842 | |
Bahamian Republic 6.95% 11/20/29 (g) | 3,095 | 3,343 | ||
Bahrain Kingdom 5.5% 3/31/20 | 2,175 | 2,126 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (p) | 500,000 | 0 | ||
value recovery B rights 1/2/21 (p) | 750,000 | 0 | ||
Barbados Government 7.25% 12/15/21 (g) | 1,956 | 2,054 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 8,745 | 7,871 | ||
8.95% 1/26/18 | 3,645 | 3,208 | ||
Bermuda Government 5.603% 7/20/20 (g) | 1,935 | 2,143 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 6,025 | 6,182 | ||
6% 1/17/17 | 4,185 | 4,892 | ||
7.125% 1/20/37 | 4,575 | 5,639 | ||
8.25% 1/20/34 | 1,500 | 2,059 | ||
8.75% 2/4/25 | 2,560 | 3,635 | ||
10.125% 5/15/27 | 3,250 | 5,086 | ||
12.25% 3/6/30 | 3,130 | 5,728 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 1,730 | 2,020 | ||
Canadian Government: | ||||
1% 9/1/11 | CAD | 145,600 | 150,981 | |
2% 6/1/16 | CAD | 13,355 | 13,637 | |
3.5% 6/1/20 | CAD | 25,350 | 27,266 | |
5% 6/1/37 | CAD | 23,900 | 30,697 | |
Central Bank of Nigeria warrants 11/15/20 (a)(p) | 2,750 | 495 | ||
Colombian Republic: | ||||
7.375% 1/27/17 | 2,905 | 3,559 | ||
7.375% 9/18/37 | 6,100 | 7,686 | ||
10.375% 1/28/33 | 4,515 | 7,134 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Colombian Republic: - continued | ||||
11.75% 2/25/20 | $ 2,910 | $ 4,496 | ||
Congo Republic 3% 6/30/29 (e) | 6,061 | 3,940 | ||
Croatia Republic: | ||||
6.375% 3/24/21 (g) | 5,215 | 5,404 | ||
6.625% 7/14/20 (g) | 6,600 | 6,988 | ||
6.75% 11/5/19 (g) | 3,985 | 4,295 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6.25% 10/4/20 (g) | 4,800 | 4,836 | ||
7.4% 1/22/15 (g) | 5,145 | 5,608 | ||
8.25% 10/24/12 (g) | 1,910 | 2,037 | ||
Dominican Republic: | ||||
1.2156% 8/30/24 (l) | 5,813 | 5,130 | ||
7.5% 5/6/21 (g) | 3,030 | 3,151 | ||
9.04% 1/23/18 (g) | 2,672 | 3,000 | ||
9.5% 9/27/11 (Reg. S) | 2,181 | 2,220 | ||
Dutch Government: | ||||
2.5% 1/15/17 | EUR | 20,000 | 28,572 | |
3.25% 7/15/21 | EUR | 10,000 | 14,388 | |
El Salvador Republic: | ||||
7.375% 12/1/19 (g) | 1,865 | 2,052 | ||
7.625% 2/1/41 (g) | 2,045 | 2,096 | ||
7.65% 6/15/35 (Reg. S) | 2,935 | 3,038 | ||
7.75% 1/24/23 (Reg. S) | 2,400 | 2,712 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,604 | ||
Finnish Government 3.375% 4/15/20 | EUR | 13,900 | 20,356 | |
French Republic: | ||||
OAT 4.5% 4/25/41 | EUR | 15,475 | 23,532 | |
3.25% 10/25/21 | EUR | 47,950 | 67,949 | |
4% 4/25/55 | EUR | 5,750 | 7,957 | |
Gabonese Republic 8.2% 12/12/17 (g) | 3,225 | 3,781 | ||
Georgia Republic 6.875% 4/12/21 (g) | 4,895 | 5,017 | ||
German Federal Republic: | ||||
1.25% 9/16/11 | EUR | 69,550 | 100,182 | |
3.25% 7/4/21 | EUR | 19,500 | 28,814 | |
3.25% 7/4/42 | EUR | 3,930 | 5,172 | |
Ghana Republic: | ||||
8.5% 10/4/17 (g) | 3,040 | 3,428 | ||
14.25% 7/29/13 | GHS | 3,400 | 2,292 | |
14.99% 3/11/13 | GHS | 13,200 | 8,992 | |
15.65% 6/3/13 | GHS | 1,315 | 909 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Hungarian Republic: | ||||
6.25% 1/29/20 | $ 3,390 | $ 3,576 | ||
6.375% 3/29/21 | 8,049 | 8,492 | ||
7.625% 3/29/41 | 3,885 | 4,196 | ||
Indonesian Republic: | ||||
4.875% 5/5/21 (g) | 2,130 | 2,189 | ||
5.875% 3/13/20 (g) | 6,015 | 6,692 | ||
6.625% 2/17/37 (g) | 4,025 | 4,478 | ||
6.875% 1/17/18 (g) | 3,830 | 4,486 | ||
7.5% 1/15/16 (g) | 2,045 | 2,426 | ||
7.75% 1/17/38 (g) | 6,585 | 8,248 | ||
8.5% 10/12/35 (Reg. S) | 4,790 | 6,467 | ||
11.625% 3/4/19 (g) | 6,320 | 9,338 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (g) | 12,060 | 10,432 | ||
Israeli State 5.5% 12/4/23 | 12,355 | 14,276 | ||
Italian Republic: | ||||
3% 4/1/14 | EUR | 35,000 | 50,033 | |
3.75% 4/15/16 | EUR | 42,325 | 60,127 | |
4.75% 9/1/21 | EUR | 53,800 | 77,550 | |
5% 9/1/40 | EUR | 21,275 | 28,197 | |
Japan Government: | ||||
0.3% 12/15/11 | JPY | 6,280,000 | 78,025 | |
1.1% 6/20/20 | JPY | 5,422,500 | 68,005 | |
1.8% 6/20/18 | JPY | 1,800,000 | 24,031 | |
1.9% 9/20/30 | JPY | 3,480,000 | 43,384 | |
2% 9/20/40 | JPY | 495,000 | 6,103 | |
Jordanian Kingdom 3.875% 11/12/15 | 2,235 | 2,129 | ||
Lebanese Republic 4% 12/31/17 | 10,104 | 9,738 | ||
Lithuanian Republic: | ||||
5.125% 9/14/17 (g) | 1,670 | 1,716 | ||
6.125% 3/9/21 (g) | 2,105 | 2,234 | ||
6.75% 1/15/15 (g) | 4,235 | 4,664 | ||
7.375% 2/11/20 (g) | 4,305 | 4,962 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 1,611 | 1,402 | ||
5.625% 11/18/50 | 5,180 | 4,882 | ||
7.35% 7/21/25 | 2,985 | 3,634 | ||
8.75% 11/21/33 | 7,050 | 9,606 | ||
Philippine Republic: | ||||
5.5% 3/30/26 | 2,035 | 2,086 | ||
6.375% 1/15/32 | 2,020 | 2,215 | ||
6.375% 10/23/34 | 2,975 | 3,261 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Philippine Republic: - continued | ||||
6.5% 1/20/20 | $ 2,960 | $ 3,448 | ||
9.5% 2/2/30 | 2,355 | 3,421 | ||
10.625% 3/16/25 | 3,140 | 4,789 | ||
Polish Government: | ||||
3.875% 7/16/15 | 1,945 | 2,008 | ||
4% 3/23/21 | EUR | 9,650 | 12,999 | |
Provincia de Cordoba 12.375% 8/17/17 (g) | 4,690 | 4,901 | ||
Provincia de Neuquen Argentina 7.875% 4/26/21 (g) | 2,050 | 2,096 | ||
Republic of Iceland 4.875% 6/16/16 (g) | 2,240 | 2,248 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 12,350 | 11,115 | ||
Republic of Nigeria 6.75% 1/28/21 (g) | 4,605 | 4,835 | ||
Republic of Senegal 8.75% 5/13/21 (g) | 3,520 | 3,621 | ||
Republic of Serbia 6.75% 11/1/24 (g) | 23,823 | 23,823 | ||
Russian Federation: | ||||
3.625% 4/29/15 (g) | 7,100 | 7,278 | ||
5% 4/29/20 (g) | 11,000 | 11,344 | ||
7.5% 3/31/30 (Reg. S) | 57,778 | 68,091 | ||
11% 7/24/18 (Reg. S) | 1,310 | 1,870 | ||
12.75% 6/24/28 (Reg. S) | 8,740 | 15,470 | ||
Spanish Kingdom 5.5% 4/30/21 | EUR | 5,800 | 8,454 | |
Turkish Republic: | ||||
5.625% 3/30/21 | 4,440 | 4,646 | ||
6% 1/14/41 | 2,250 | 2,192 | ||
6.75% 4/3/18 | 6,910 | 7,857 | ||
6.75% 5/30/40 | 5,740 | 6,199 | ||
6.875% 3/17/36 | 12,320 | 13,552 | ||
7% 9/26/16 | 7,190 | 8,236 | ||
7.25% 3/15/15 | 4,505 | 5,138 | ||
7.25% 3/5/38 | 8,050 | 9,253 | ||
7.375% 2/5/25 | 12,330 | 14,605 | ||
7.5% 7/14/17 | 7,085 | 8,328 | ||
7.5% 11/7/19 | 5,465 | 6,487 | ||
11.875% 1/15/30 | 4,915 | 8,356 | ||
UK Treasury Index-Linked GILT: | ||||
2% 1/22/16 | GBP | 14,225 | 22,762 | |
3.75% 9/7/20 | GBP | 29,850 | 49,286 | |
4.25% 3/7/36 | GBP | 14,400 | 23,015 | |
4.25% 12/7/40 | GBP | 29,300 | 46,735 | |
5% 3/7/12 | GBP | 28,150 | 46,527 | |
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g) | 4,100 | 4,274 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Ukraine Government: | ||||
6.25% 6/17/16 (g) | $ 3,595 | $ 3,591 | ||
6.385% 6/26/12 (g) | 5,300 | 5,433 | ||
6.75% 11/14/17 (g) | 5,725 | 5,754 | ||
6.875% 9/23/15 (g) | 3,325 | 3,436 | ||
7.65% 6/11/13 (g) | 3,195 | 3,356 | ||
7.75% 9/23/20 (g) | 3,430 | 3,555 | ||
7.95% 2/23/21 (g) | 3,275 | 3,411 | ||
United Arab Emirates 7.75% 10/5/20 (Reg. S) | 2,145 | 2,276 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 6,648 | 7,180 | ||
5.625% 1/15/17 | 7,506 | 8,538 | ||
5.75% 10/12/10 | 5,246 | 4,889 | ||
5.95% 3/19/19 | 4,230 | 4,854 | ||
6.05% 1/11/40 | 13,914 | 14,804 | ||
6.75% 9/27/34 | 6,070 | 7,056 | ||
7.5% 4/8/33 | 2,770 | 3,490 | ||
8.3% 8/15/31 | 2,600 | 3,562 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 1,675 | 2,039 | ||
7.875% 1/15/33 pay-in-kind | 3,815 | 4,816 | ||
8% 11/18/22 | 6,512 | 8,426 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (p) | 10,801 | 294 | ||
6% 12/9/20 | 4,800 | 2,971 | ||
7% 3/31/38 | 4,180 | 2,393 | ||
8.5% 10/8/14 | 5,030 | 4,552 | ||
9% 5/7/23 (Reg. S) | 19,960 | 14,351 | ||
9.25% 9/15/27 | 13,485 | 10,114 | ||
9.25% 5/7/28 (Reg. S) | 8,130 | 5,675 | ||
9.375% 1/13/34 | 6,705 | 4,720 | ||
10.75% 9/19/13 | 5,178 | 5,113 | ||
12.75% 8/23/22 | 17,825 | 15,953 | ||
13.625% 8/15/18 | 9,795 | 9,746 | ||
Vietnamese Socialist Republic: | ||||
1.274% 3/12/16 (l) | 3,228 | 3,067 | ||
4% 3/12/28 (e) | 12,550 | 10,605 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Vietnamese Socialist Republic: - continued | ||||
6.75% 1/29/20 (g) | $ 3,350 | $ 3,484 | ||
6.875% 1/15/16 (g) | 5,315 | 5,660 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,977,643) | 2,077,320 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Eurasian Development Bank 7.375% 9/29/14 (g) | 1,865 | 2,052 |
Common Stocks - 1.1% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Remy International, Inc. (a) | 122,400 | 3,183 | |
|
| ||
Automobiles - 0.1% | |||
General Motors Co.: | |||
warrants 7/10/16 (a) | 127,671 | 2,732 | |
warrants 7/10/19 (a) | 127,671 | 2,034 | |
| 4,766 | ||
Media - 0.1% | |||
Haights Cross Communications, Inc. (a) | 8,267 | 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 4 | |
HMH Holdings, Inc. (a)(u) | 2,469,644 | 11,731 | |
HMH Holdings, Inc. warrants 3/9/17 (a)(u) | 636,272 | 318 | |
RDA Holding Co. warrants 2/19/14 (a)(u) | 9,559 | 26 | |
| 12,140 | ||
TOTAL CONSUMER DISCRETIONARY | 20,089 | ||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
New Penhall Holding Co.: | |||
Class A (a) | 6,088 | 685 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
New Penhall Holding Co.: - continued | |||
Class B (a) | 2,029 | $ 228 | |
Station Holdco LLC (s)(u) | 3,699,288 | 3,699 | |
| 4,612 | ||
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc. (a) | 20,026 | 184 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 266,722 | 9,599 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 57 | |
| 9,656 | ||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding A/S (g) | 406,681 | 6,461 | |
TOTAL INDUSTRIALS | 16,308 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
MagnaChip Semiconductor Corp. (u) | 49,030 | 508 | |
MATERIALS - 0.7% | |||
Chemicals - 0.6% | |||
Celanese Corp. Class A | 8,316 | 443 | |
Chemtura Corp. (a) | 112,703 | 2,051 | |
Georgia Gulf Corp. (a) | 316,947 | 7,651 | |
LyondellBasell Industries NV Class A | 898,149 | 34,597 | |
Tronox, Inc. (a) | 95,261 | 13,337 | |
Tronox, Inc. | 16,192 | 2,040 | |
| 60,119 | ||
Containers & Packaging - 0.0% | |||
Rock-Tenn Co. Class A | 4,139 | 275 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - continued | |||
Metals & Mining - 0.1% | |||
Aleris International, Inc. (u) | 38,307 | $ 2,069 | |
Rathgibson Acquisition Co. LLC Class A (a)(u) | 286,500 | 3,441 | |
| 5,510 | ||
TOTAL MATERIALS | 65,904 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 184 | |
TOTAL COMMON STOCKS (Cost $87,442) | 107,605 | ||
Preferred Stocks - 0.6% | |||
|
|
|
|
Convertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.2% | |||
General Motors Co. 4.75% | 309,600 | 15,090 | |
Media - 0.0% | |||
Interpublic Group of Companies, Inc. 5.25% | 4,000 | 4,422 | |
TOTAL CONSUMER DISCRETIONARY | 19,512 | ||
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Health Care REIT, Inc. Series I, 6.50% | 32,600 | 1,720 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 21,232 | ||
Nonconvertible Preferred Stocks - 0.4% | |||
FINANCIALS - 0.4% | |||
Diversified Financial Services - 0.4% | |||
GMAC Capital Trust I Series 2, 8.125% | 608,970 | 15,590 | |
GMAC LLC 7.00% (g) | 21,976 | 20,438 | |
| 36,028 | ||
TOTAL PREFERRED STOCKS (Cost $48,311) | 57,260 |
Floating Rate Loans - 4.4% | ||||
| Principal | Value | ||
CONSUMER DISCRETIONARY - 0.7% | ||||
Auto Components - 0.0% | ||||
Remy International, Inc. Tranche B, term loan 6.25% 12/17/16 (l) | $ 254 | $ 255 | ||
Diversified Consumer Services - 0.1% | ||||
ServiceMaster Co.: | ||||
term loan 2.7129% 7/24/14 (l) | 6,234 | 6,055 | ||
Tranche DD, term loan 2.7% 7/24/14 (l) | 642 | 624 | ||
Thomson Learning Tranche B, term loan 2.44% 7/5/14 (l) | 1 | 1 | ||
| 6,680 | |||
Leisure Equipment & Products - 0.1% | ||||
SRAM LLC: | ||||
2nd LN, term loan 9.25% 12/7/18 (l) | 1,445 | 1,445 | ||
Tranche B 1LN, term loan 5.75% 6/7/18 (l) | 4,445 | 4,439 | ||
| 5,884 | |||
Media - 0.2% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.19% 3/6/14 (l) | 204 | 204 | ||
Univision Communications, Inc. term loan 4.4412% 3/31/17 (l) | 21,412 | 20,342 | ||
| 20,546 | |||
Specialty Retail - 0.3% | ||||
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 6.25% 2/23/17 (l) | 8,663 | 8,620 | ||
Michaels Stores, Inc.: | ||||
Tranche B1, term loan 2.5462% 10/31/13 (l) | 8,588 | 8,416 | ||
Tranche B2, term loan 4.7962% 7/31/16 (l) | 10,157 | 10,093 | ||
| 27,129 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. term loan 2.4358% 4/4/14 (l) | 1,580 | 1,517 | ||
TOTAL CONSUMER DISCRETIONARY | 62,011 | |||
CONSUMER STAPLES - 0.2% | ||||
Food & Staples Retailing - 0.1% | ||||
The Great Atlantic & Pacific Tea Co. Tranche 2 LN, term loan 8.75% 6/14/12 (l) | 2,425 | 2,443 | ||
U.S. Foodservice term loan 5.75% 3/31/17 (l) | 8,150 | 7,864 | ||
| 10,307 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
CONSUMER STAPLES - continued | ||||
Personal Products - 0.1% | ||||
Revlon Consumer Products Corp. term loan 4.75% 11/19/17 (l) | $ 4,700 | $ 4,700 | ||
Tobacco - 0.0% | ||||
Reynolds Consumer Products Holdings, Inc. Tranche E, term loan 4.25% 2/9/18 (l) | 2,444 | 2,429 | ||
TOTAL CONSUMER STAPLES | 17,436 | |||
ENERGY - 0.1% | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Frac Tech Holdings LLC Tranche B, term loan 6.25% 5/6/16 (l) | 11,147 | 11,119 | ||
FINANCIALS - 0.3% | ||||
Diversified Financial Services - 0.1% | ||||
Goodman Global Group, Inc. Tranche 1 LN, term loan 5.75% 10/28/16 (l) | 4,069 | 4,079 | ||
IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (l) | 1,930 | 1,923 | ||
| 6,002 | |||
Real Estate Management & Development - 0.2% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2103% 10/10/13 (l) | 480 | 449 | ||
Credit-Linked Deposit 4.4603% 10/10/16 (l) | 631 | 566 | ||
term loan 4.5183% 10/10/16 (l) | 6,743 | 6,052 | ||
Tranche B, term loan 3.2683% 10/10/13 (l) | 4,177 | 3,906 | ||
Tranche DD, term loan 3.2683% 10/10/13 (l) | 14,046 | 13,133 | ||
| 24,106 | |||
TOTAL FINANCIALS | 30,108 | |||
HEALTH CARE - 0.1% | ||||
Health Care Providers & Services - 0.1% | ||||
DaVita, Inc. Tranche A, term loan 2.95% 10/20/15 (l) | 2,501 | 2,482 | ||
Emergency Medical Services Corp. Tranche B, term loan 5.2519% 5/25/18 (l) | 5,870 | 5,848 | ||
Sunquest Information Systems, Inc. Tranche 1 LN, term loan 6.25% 12/16/16 (l) | 2,530 | 2,517 | ||
| 10,847 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.0% | ||||
TransDigm, Inc. Tranche B, term loan 4% 2/14/17 (l) | $ 1,736 | $ 1,738 | ||
Airlines - 0.3% | ||||
Northwest Airlines Corp. Tranche A, term loan 2.06% 12/31/18 (l) | 9,560 | 8,748 | ||
United Air Lines, Inc. Tranche B, term loan 2.2319% 2/1/14 (l) | 12,256 | 11,674 | ||
US Airways Group, Inc. term loan 2.6858% 3/23/14 (l) | 10,354 | 9,370 | ||
| 29,792 | |||
Commercial Services & Supplies - 0.1% | ||||
KAR Auction Services, Inc. Tranche B, term loan 5% 5/19/17 (l) | 4,705 | 4,729 | ||
Construction & Engineering - 0.2% | ||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (l) | 15,375 | 15,029 | ||
Electrical Equipment - 0.0% | ||||
Sensata Technologies BV Tranche B, term loan 4% 5/12/18 (l) | 1,075 | 1,074 | ||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp. term loan 3.5003% 12/3/14 (l) | 12,183 | 11,970 | ||
Tomkins PLC Tranche B, term loan 4.25% 9/21/16 (l) | 9,738 | 9,726 | ||
| 21,696 | |||
Road & Rail - 0.0% | ||||
Swift Transportation Co. LLC Tranche B, term loan 6% 12/21/16 (l) | 2,618 | 2,631 | ||
Transportation Infrastructure - 0.0% | ||||
Trico Shipping AS: | ||||
Tranche A, term loan 10% 5/13/14 (l) | 1,123 | 1,123 | ||
Tranche D, term loan 5/13/14 (t) | 1,123 | 1,123 | ||
| 2,246 | |||
TOTAL INDUSTRIALS | 78,935 | |||
INFORMATION TECHNOLOGY - 0.8% | ||||
Communications Equipment - 0.0% | ||||
CommScope, Inc. Tranche B, term loan 5% 1/14/18 (l) | 1,002 | 1,006 | ||
Electronic Equipment & Components - 0.2% | ||||
Aeroflex, Inc. Tranche B, term loan 4.25% 5/9/18 (l) | 2,910 | 2,906 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4358% 10/1/14 (l) | 974 | 961 | ||
Tranche B A2, term loan 2.4413% 10/1/14 (l) | 2,091 | 2,055 | ||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Electronic Equipment & Components - continued | ||||
Flextronics International Ltd.: - continued | ||||
Tranche B A3, term loan 2.4404% 10/1/14 (l) | $ 2,440 | $ 2,397 | ||
Tranche B-A, term loan 2.4402% 10/1/14 (l) | 3,388 | 3,333 | ||
Tranche B-B, term loan 2.4404% 10/1/12 (l) | 3,256 | 3,240 | ||
| 14,892 | |||
Semiconductors & Semiconductor Equipment - 0.5% | ||||
Freescale Semiconductor, Inc. term loan 4.441% 12/1/16 (l) | 32,035 | 31,835 | ||
NXP BV term loan 4.5% 3/4/17 (l) | 5,920 | 5,942 | ||
Spansion, Inc. term loan 4.75% 2/9/15 (l) | 6,474 | 6,490 | ||
| 44,267 | |||
Software - 0.1% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.057% 6/11/14 (l) | 11,644 | 11,499 | ||
Tranche 2LN, term loan 6.057% 6/11/15 (l) | 1,790 | 1,772 | ||
| 13,271 | |||
TOTAL INFORMATION TECHNOLOGY | 73,436 | |||
MATERIALS - 0.3% | ||||
Chemicals - 0.1% | ||||
Momentive Performance Materials, Inc. Tranche B1, term loan 3.75% 5/15/15 (l) | 14,851 | 14,554 | ||
Construction Materials - 0.1% | ||||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (l) | 7,882 | 7,892 | ||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.2607% 4/3/15 (l) | 8,749 | 8,224 | ||
Metals & Mining - 0.0% | ||||
Walter Energy, Inc. Tranche B, term loan 4% 4/1/18 (l) | 1,530 | 1,532 | ||
Paper & Forest Products - 0.0% | ||||
White Birch Paper Co.: | ||||
term loan 12% 9/30/11 (l) | 308 | 304 | ||
Tranche DD, term loan 6.7163% 9/30/11 (l)(t) | 107 | 106 | ||
| 410 | |||
TOTAL MATERIALS | 32,612 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Wireless Telecommunication Services - 0.4% | ||||
Asurion LLC term loan 9% 5/24/19 (l) | $ 8,175 | $ 8,195 | ||
Digicel International Finance Ltd. term loan 2.8125% 3/30/12 (l) | 636 | 635 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2853% 2/1/14 (l) | 13,475 | 12,936 | ||
Tranche B, term loan 5.25% 4/2/18 (l) | 17,615 | 17,682 | ||
| 39,448 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.7% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7301% 10/10/17 (l) | 87,346 | 68,567 | ||
Independent Power Producers & Energy Traders - 0.0% | ||||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (l) | 2,030 | 2,025 | ||
TOTAL UTILITIES | 70,592 | |||
TOTAL FLOATING RATE LOANS (Cost $402,243) | 426,544 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (l) | 6,656 | 6,315 | ||
Goldman Sachs 1.25% 12/14/19 (l) | 6,099 | 5,786 | ||
1.25% 12/14/19 (l) | 451 | 428 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $11,302) | 12,529 |
Fixed-Income Funds - 2.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (m) | 1,886,156 | 191,181 | |
Other - 0.0% | |||
|
|
|
|
Other - 0.0% | |||
Idearc, Inc. Claim (a) | 1,675,371 | 0 | |
Money Market Funds - 6.8% | |||
Shares | Value (000s) | ||
Fidelity Cash Central Fund, 0.11% (b) | 652,263,681 | $ 652,264 | |
TOTAL INVESTMENT PORTFOLIO - 98.6% (Cost $9,053,618) | 9,495,217 | ||
NET OTHER ASSETS (LIABILITIES) (r) - 1.4% | 133,507 | ||
NET ASSETS - 100% | $ 9,628,724 |
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Purchased | |||||
Treasury Contracts | |||||
461 CBOT 2 Year U.S. Treasury Notes Contracts | Sept. 2011 | $ 101,117 | $ 186 |
|
The face value of futures purchased as a percentage of net assets is 1.1% |
Currency Abbreviations | ||
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana Cedi |
INR | - | Indian rupee |
JPY | - | Japanese yen |
NGN | - | Nigerian naira |
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 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 or a portion of the security is on loan at period end. |
(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,819,660,000 or 18.9% of net assets. |
(h) Security is perpetual in nature with no stated maturity date. |
(i) 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 $157,169,000 or 1.6% of net assets. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $254,000. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) 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 are available on the SEC's web site or upon request. |
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(p) Quantity represents share amount. |
(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(r) Includes cash collateral of $102,000,000 received from securities on loan. |
(s) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
(t) 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 $1,180,000 and $1,179,000, respectively. The coupon rate will be determined at time of settlement. |
(u) 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 $21,792,000 or 0.2% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition | Acquisition |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
HMH Holdings, Inc. | 5/2/08 - 3/9/10 | $ 24,975 |
HMH Holdings, Inc. warrants 3/9/17 | 3/9/10 | $ 185 |
MagnaChip Semiconductor Corp. | 10/26/06 - 11/9/09 | $ 705 |
Rathgibson Acquisition Co. LLC Class A | 6/9/10 | $ 1,520 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
Station Holdco LLC | 6/17/11 | $ 3,503 |
* Amount represents less than $1,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 268 |
Fidelity Floating Rate Central Fund | 5,205 |
Total | $ 5,473 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 278,657 | $ - | $ 92,129 | $ 191,181 | 6.6% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, 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 | $ 39,601 | $ 23,039 | $ 16,153 | $ 409 |
Financials | 42,360 | 15,590 | 22,158 | 4,612 |
Industrials | 16,308 | 9,783 | - | 6,525 |
Information Technology | 508 | - | 508 | - |
Materials | 65,904 | 58,354 | 4,109 | 3,441 |
Utilities | 184 | 184 | - | - |
Corporate Bonds | 3,530,911 | - | 3,528,712 | 2,199 |
U.S. Government and Government Agency Obligations | 1,993,634 | - | 1,993,634 | - |
U.S. Government Agency - Mortgage Securities | 174,758 | - | 174,758 | - |
Asset-Backed Securities | 5,334 | - | 5,334 | - |
Collateralized Mortgage Obligations | 257,452 | - | 257,452 | - |
Commercial Mortgage Securities | 6,373 | - | 6,373 | - |
Foreign Government and Government Agency Obligations | 2,077,320 | - | 2,075,423 | 1,897 |
Supranational Obligations | 2,052 | - | 2,052 | - |
Floating Rate Loans | 426,544 | - | 426,544 | - |
Sovereign Loan Participations | 12,529 | - | 12,529 | - |
Fixed-Income Funds | 191,181 | 191,181 | - | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Other | $ - | $ - | $ - | $ - |
Money Market Funds | 652,264 | 652,264 | - | - |
Total Investments in Securities: | $ 9,495,217 | $ 950,395 | $ 8,525,739 | $ 19,083 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 186 | $ 186 | $ - | $ - |
Other Financial Instruments | ||||
Forward Commitments | $ 3 | $ - | $ 3 | $ - |
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 | $ 13,448 |
Total Realized Gain (Loss) | (2,842) |
Total Unrealized Gain (Loss) | (224) |
Cost of Purchases | 12,127 |
Proceeds of Sales | (16,095) |
Amortization/Accretion | 4 |
Transfers in to Level 3 | 13,081 |
Transfers out of Level 3 | (416) |
Ending Balance | $ 19,083 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2011 | $ (3,059) |
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 June 30, 2011. 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 | ||
Futures Contracts (a) | $ 186 | $ - |
Total Interest Rate Risk | $ 186 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 66.6% |
United Kingdom | 2.7% |
Canada | 2.7% |
Japan | 2.4% |
Netherlands | 2.3% |
Italy | 2.2% |
Bermuda | 1.8% |
Venezuela | 1.7% |
Germany | 1.5% |
Argentina | 1.3% |
Turkey | 1.3% |
Luxembourg | 1.2% |
Russia | 1.2% |
France | 1.0% |
Mexico | 1.0% |
Brazil | 1.0% |
Others (Individually Less Than 1%) | 8.1% |
| 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.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $99,852) - See accompanying schedule: Unaffiliated issuers (cost $8,271,658) | $ 8,651,772 |
|
Fidelity Central Funds (cost $781,960) | 843,445 |
|
Total Investments (cost $9,053,618) |
| $ 9,495,217 |
Commitment to sell securities on a delayed delivery basis | (9,932) | |
Receivable for securities sold on a delayed delivery basis | 9,935 | 3 |
Cash | 143,726 | |
Receivable for investments sold |
| 405,217 |
Delayed delivery |
| 498 |
Receivable for fund shares sold | 19,929 | |
Dividends receivable | 201 | |
Interest receivable | 106,993 | |
Distributions receivable from Fidelity Central Funds | 823 | |
Other receivables | 168 | |
Total assets | 10,172,775 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 398,589 | |
Delayed delivery | 10,657 | |
Payable for fund shares redeemed | 17,206 | |
Distributions payable | 6,812 | |
Accrued management fee | 4,503 | |
Distribution and service plan fees payable | 2,862 | |
Payable for daily variation on futures contracts | 7 | |
Other affiliated payables | 1,282 | |
Other payables and accrued expenses | 133 | |
Collateral on securities loaned, at value | 102,000 | |
Total liabilities | 544,051 | |
|
|
|
Net Assets | $ 9,628,724 | |
Net Assets consist of: |
| |
Paid in capital | $ 8,941,588 | |
Undistributed net investment income | 134,190 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 111,427 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 441,519 | |
Net Assets | $ 9,628,724 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2011 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.60 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.60) | $ 13.12 | |
Class T: | $ 12.60 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.60) | $ 13.12 | |
Class B: | $ 12.64 | |
|
|
|
Class C: | $ 12.57 | |
|
|
|
Institutional Class: | $ 12.74 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended June 30, 2011 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 983 |
Interest |
| 250,375 |
Income from Fidelity Central Funds |
| 5,473 |
Total income |
| 256,831 |
|
|
|
Expenses | ||
Management fee | $ 26,372 | |
Transfer agent fees | 6,822 | |
Distribution and service plan fees | 16,826 | |
Accounting and security lending fees | 773 | |
Custodian fees and expenses | 177 | |
Independent trustees' compensation | 17 | |
Registration fees | 264 | |
Audit | 58 | |
Legal | 14 | |
Miscellaneous | 54 | |
Total expenses before reductions | 51,377 | |
Expense reductions | (3) | 51,374 |
Net investment income (loss) | 205,457 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 145,409 | |
Fidelity Central Funds | 12,600 |
|
Foreign currency transactions | 610 | |
Futures contracts | 352 | |
Swap agreements | (133) |
|
Total net realized gain (loss) |
| 158,838 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 16,202 | |
Assets and liabilities in foreign currencies | 11 | |
Futures contracts | 186 | |
Swap agreements | 95 | |
Delayed delivery commitments | (83) |
|
Total change in net unrealized appreciation (depreciation) |
| 16,411 |
Net gain (loss) | 175,249 | |
Net increase (decrease) in net assets resulting from operations | $ 380,706 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 205,457 | $ 422,340 |
Net realized gain (loss) | 158,838 | 249,627 |
Change in net unrealized appreciation (depreciation) | 16,411 | 102,891 |
Net increase (decrease) in net assets resulting | 380,706 | 774,858 |
Distributions to shareholders from net investment income | (175,515) | (395,760) |
Distributions to shareholders from net realized gain | (45,586) | (207,173) |
Total distributions | (221,101) | (602,933) |
Share transactions - net increase (decrease) | 332,333 | 821,772 |
Total increase (decrease) in net assets | 491,938 | 993,697 |
|
|
|
Net Assets | ||
Beginning of period | 9,136,786 | 8,143,089 |
End of period (including undistributed net investment income of $134,190 and undistributed net investment income of $104,248, respectively) | $ 9,628,724 | $ 9,136,786 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .283 | .622 | .681 | .600 | .616 | .600 |
Net realized and unrealized gain (loss) | .243 | .500 | 2.345 | (1.826) | (.019) | .248 |
Total from investment operations | .526 | 1.122 | 3.026 | (1.226) | .597 | .848 |
Distributions from net investment income | (.244) | (.582) | (.566) | (.554) | (.607) | (.583) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.306) | (.872) | (.666) | (.624) | (.737) | (.628) |
Net asset value, end of period | $ 12.60 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return B, C, D | 4.28% | 9.48% | 31.74% | (10.98)% | 5.22% | 7.54% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .99% A | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of fee waivers, if any | .99% A | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of all reductions | .99% A | .99% | 1.01% | 1.02% | 1.01% | .97% |
Net investment income (loss) | 4.55% A | 5.00% | 6.14% | 5.49% | 5.27% | 5.18% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 4,474 | $ 4,169 | $ 3,725 | $ 2,174 | $ 1,931 | $ 954 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .284 | .621 | .675 | .607 | .620 | .594 |
Net realized and unrealized gain (loss) | .242 | .511 | 2.341 | (1.832) | (.021) | .248 |
Total from investment operations | .526 | 1.132 | 3.016 | (1.225) | .599 | .842 |
Distributions from net investment income | (.244) | (.582) | (.566) | (.555) | (.609) | (.577) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.306) | (.872) | (.666) | (.625) | (.739) | (.622) |
Net asset value, end of period | $ 12.60 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return B, C, D | 4.28% | 9.57% | 31.64% | (10.97)% | 5.24% | 7.49% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .99% A | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of fee waivers, if any | .99% A | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of all reductions | .99% A | .99% | 1.01% | 1.01% | .99% | 1.02% |
Net investment income (loss) | 4.55% A | 5.00% | 6.14% | 5.50% | 5.29% | 5.13% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,513 | $ 1,571 | $ 1,579 | $ 1,337 | $ 1,983 | $ 2,049 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .240 | .535 | .600 | .525 | .533 | .511 |
Net realized and unrealized gain (loss) | .241 | .509 | 2.348 | (1.831) | (.022) | .247 |
Total from investment operations | .481 | 1.044 | 2.948 | (1.306) | .511 | .758 |
Distributions from net investment income | (.199) | (.494) | (.488) | (.474) | (.521) | (.493) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.261) | (.784) | (.588) | (.544) | (.651) | (.538) |
Net asset value, end of period | $ 12.64 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 |
Total Return B, C, D | 3.90% | 8.77% | 30.72% | (11.60)% | 4.44% | 6.70% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.71% A | 1.70% | 1.72% | 1.76% | 1.74% | 1.76% |
Expenses net of fee waivers, if any | 1.71% A | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Expenses net of all reductions | 1.71% A | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Net investment income (loss) | 3.84% A | 4.30% | 5.43% | 4.76% | 4.54% | 4.40% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 272 | $ 307 | $ 348 | $ 267 | $ 335 | $ 342 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .236 | .528 | .597 | .517 | .526 | .503 |
Net realized and unrealized gain (loss) | .233 | .512 | 2.327 | (1.817) | (.020) | .238 |
Total from investment operations | .469 | 1.040 | 2.924 | (1.300) | .506 | .741 |
Distributions from net investment income | (.197) | (.490) | (.484) | (.470) | (.516) | (.486) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.259) | (.780) | (.584) | (.540) | (.646) | (.531) |
Net asset value, end of period | $ 12.57 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 |
Total Return B, C, D | 3.82% | 8.77% | 30.60% | (11.59)% | 4.42% | 6.57% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Net investment income (loss) | 3.80% A | 4.26% | 5.40% | 4.72% | 4.50% | 4.34% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,709 | $ 1,609 | $ 1,336 | $ 800 | $ 866 | $ 683 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .301 | .657 | .710 | .635 | .652 | .627 |
Net realized and unrealized gain (loss) | .239 | .514 | 2.361 | (1.835) | (.027) | .252 |
Total from investment operations | .540 | 1.171 | 3.071 | (1.200) | .625 | .879 |
Distributions from net investment income | (.258) | (.611) | (.591) | (.580) | (.635) | (.604) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.320) | (.901) | (.691) | (.650) | (.765) | (.649) |
Net asset value, end of period | $ 12.74 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 |
Total Return B, C | 4.35% | 9.80% | 31.92% | (10.67)% | 5.42% | 7.76% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .76% A | .76% | .78% | .78% | .77% | .79% |
Expenses net of fee waivers, if any | .76% A | .76% | .78% | .78% | .77% | .79% |
Expenses net of all reductions | .76% A | .76% | .78% | .78% | .76% | .79% |
Net investment income (loss) | 4.78% A | 5.23% | 6.37% | 5.73% | 5.52% | 5.36% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,660 | $ 1,481 | $ 1,156 | $ 750 | $ 889 | $ 655 |
Portfolio turnover rate F | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2011 (Unaudited)
(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, except for exchanges and reinvestments 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. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests 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.
Fidelity | 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 |
Semiannual Report
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) 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, 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.
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
June 30, 2011 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, supranational obligations, U.S. government and government agency obligations and sovereign loan participations, 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
When independent prices are unavailable or unreliable, debt securities 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.
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange 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.
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. The principal value on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal value. The adjustments to principal due to inflation are reflected
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
as increases or decreases to interest income even though 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. A fund's federal tax return is subject 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.
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, partnerships (including allocations from Fidelity Central Funds), capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 618,176 |
Gross unrealized depreciation | (125,292) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 492,884 |
Tax cost | $ 9,002,333 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
New Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (FASB) issued an update to Topic 860 - Transfers and Servicing. The update clarifies the assessment of effective control by removing the collateral provision requirement that the seller maintains at all times collateral sufficient to fund substantially all of the cost of purchasing replacement financial assets from others. This may result in a change in accounting treatment from purchases and sales to secured borrowings for certain mortgage dollar roll transactions, and therefore separate accounting of the income and expenses associated with the secured borrowings. This change would have no effect on the net assets or total return of the Fund. The update is effective for transactions entered into on or after December 15, 2011. Management is currently evaluating the potential impact of the update on the accounting for mortgage dollar roll transactions entered into by the Fund. Also in May 2011, the FASB issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies.
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.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts and 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.
Semiannual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral in the form of cash or securities, if required, is 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 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 payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Semiannual Report
Notes to Financial Statements (Unaudited) - 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 | Change in Net Unrealized |
Interest Rate Risk |
|
|
Futures Contracts | 352 | 186 |
Swap Agreements | (133) | 95 |
Totals (a)(b)(c) | $ 219 | $ 281 |
(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.
(b) Total derivatives net realized gain (loss) included in the Statement of Operations is comprised of $352 for futures contracts and $(133) for swap agreements.
(c) Total derivatives change in net unrealized appreciation (depreciation) included in the Statement of Operations is comprised of $186 for futures contracts and $95 for swap agreements.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market, and to fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. The receivable and/or payable for the variation margin are reflected in the Statement of Assets and Liabilities.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
Semiannual Report
5. Derivative Instruments - continued
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, if any, 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 premiums paid 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 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.
6. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $6,075,250 and $6,480,415, 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 .11% 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
increases as assets under management decrease. For the period, the total annualized 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 | Retained |
Class A | -% | .25% | $ 5,371 | $ 125 |
Class T | -% | .25% | 1,922 | 30 |
Class B | .65% | .25% | 1,292 | 937 |
Class C | .75% | .25% | 8,241 | 1,931 |
|
|
| $ 16,826 | $ 3,023 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 324 |
Class T | 56 |
Class B* | 297 |
Class C* | 115 |
| $ 792 |
* 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
Semiannual Report
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
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 | $ 3,040 | .14 |
Class T | 1,078 | .14 |
Class B | 284 | .20 |
Class C | 1,150 | .14 |
Institutional Class | 1,270 | .16 |
| $ 6,822 |
|
* Annualized
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.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.0 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 $16 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 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
9. Security Lending - continued
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 maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $49.
10. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $2 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 83,347 | $ 184,441 |
Class T | 29,997 | 73,231 |
Class B | 4,548 | 13,190 |
Class C | 25,870 | 59,445 |
Institutional Class | 31,753 | 65,453 |
Total | $ 175,515 | $ 395,760 |
From net realized gain |
|
|
Class A | $ 20,859 | $ 94,835 |
Class T | 7,729 | 35,520 |
Class B | 1,466 | 7,104 |
Class C | 8,070 | 36,622 |
Institutional Class | 7,462 | 33,092 |
Total | $ 45,586 | $ 207,173 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 59,676 | 112,762 | $ 749,745 | $ 1,400,620 |
Reinvestment of distributions | 6,461 | 18,407 | 81,099 | 227,669 |
Shares redeemed | (47,751) | (101,668) | (598,955) | (1,258,358) |
Net increase (decrease) | 18,386 | 29,501 | $ 231,889 | $ 369,931 |
Class T |
|
|
|
|
Shares sold | 10,252 | 29,433 | $ 128,700 | $ 365,455 |
Reinvestment of distributions | 2,481 | 7,441 | 31,116 | 92,005 |
Shares redeemed | (19,451) | (40,227) | (244,119) | (499,102) |
Net increase (decrease) | (6,718) | (3,353) | $ (84,303) | $ (41,642) |
Class B |
|
|
|
|
Shares sold | 629 | 5,248 | $ 7,937 | $ 64,803 |
Reinvestment of distributions | 369 | 1,280 | 4,638 | 15,870 |
Shares redeemed | (4,201) | (10,447) | (52,821) | (130,170) |
Net increase (decrease) | (3,203) | (3,919) | $ (40,246) | $ (49,497) |
Class C |
|
|
|
|
Shares sold | 19,342 | 39,572 | $ 242,532 | $ 490,689 |
Reinvestment of distributions | 2,047 | 5,847 | 25,627 | 72,188 |
Shares redeemed | (15,620) | (25,653) | (195,428) | (318,984) |
Net increase (decrease) | 5,769 | 19,766 | $ 72,731 | $ 243,893 |
Institutional Class |
|
|
|
|
Shares sold | 30,542 | 51,309 | $ 387,883 | $ 643,733 |
Reinvestment of distributions | 2,213 | 5,561 | 28,085 | 69,558 |
Shares redeemed | (20,789) | (32,913) | (263,706) | (414,204) |
Net increase (decrease) | 11,966 | 23,957 | $ 152,262 | $ 299,087 |
13. 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
13. Other - continued
claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
14. 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.
Semiannual 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
State Street Bank and Trust Company
Quincy, MA
SI-USAN-0811 1.787775.108
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2011
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | The Chairman's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit 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.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Abigail_P_Johnson)
Dear Shareholder:
Despite bouts of short-term volatility, U.S. equities gained ground in the first half of 2011, buoyed by solid corporate earnings and modest improvement in employment. A strong start had the market up more than 100% off its March 2009 low, but investors were unnerved by this past March's natural disaster in Japan, while weaker economic data and new concern about Greek debt hurt performance during May and June. The longer-term outlook remains clouded by the impact of inflationary pressure and persistently high unemployment. Financial markets are always unpredictable, of course, but there 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
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2011 to June 30, 2011).
Actual Expenses
The first line of the accompanying table for each class of the Fund provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600 account value divided by $1,000.00 = 8.6), then multiply the result by the number in the first line for a class of the Fund under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Hypothetical Example for Comparison Purposes
The second line of the accompanying table for each class of the Fund provides information about hypothetical account values and hypothetical expenses based on a Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. In addition, the Fund, as a shareholder in the underlying Fidelity Central Funds, will indirectly bear its pro-rata share of the fees and expenses incurred by the underlying Fidelity Central Funds. These fees and expenses are not included in the Fund's annualized expense ratio used to calculate the expense estimate in the table below.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Semiannual Report
Shareholder Expense Example - continued
| Annualized | Beginning | Ending | Expenses Paid |
Class A | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,042.80 | $ 5.01 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.89 | $ 4.96 |
Class T | .99% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,042.80 | $ 5.01 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.89 | $ 4.96 |
Class B | 1.71% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,039.00 | $ 8.65 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.31 | $ 8.55 |
Class C | 1.75% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,038.20 | $ 8.84 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Institutional Class | .76% |
|
|
|
Actual |
| $ 1,000.00 | $ 1,043.50 | $ 3.85 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.03 | $ 3.81 |
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 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in the Fund's annualized expense ratio.
Semiannual Report
Investment Changes (Unaudited)
The information in the following tables is based on the combined investments of the Fund and its pro-rata share of its investments in each non-money market Fidelity Central Fund.
Top Five Holdings as of June 30, 2011 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 17.0 | 17.0 |
Japan Government | 2.4 | 2.4 |
Canadian Government | 2.3 | 2.3 |
Italian Republic | 2.2 | 1.9 |
UK Treasury Index-Linked GILT | 1.9 | 2.1 |
| 25.8 | |
Top Five Market Sectors as of June 30, 2011 | ||
| % of fund's | % of fund's net assets |
Financials | 8.9 | 7.6 |
Telecommunication Services | 7.0 | 8.0 |
Energy | 6.3 | 6.0 |
Consumer Discretionary | 5.2 | 8.9 |
Industrials | 4.5 | 4.7 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2011 | As of December 31, 2010 | ||||||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | AAA,AA,A 12.8% |
| ![]() | AAA,AA,A 13.9% |
| ||
![]() | BBB 4.9% |
| ![]() | BBB 4.0% |
| ||
![]() | BB 12.8% |
| ![]() | BB 15.2% |
| ||
![]() | B 25.6% |
| ![]() | B 25.2% |
| ||
![]() | CCC,CC,C 5.6% |
| ![]() | CCC,CC,C 7.9% |
| ||
![]() | D 0.0% |
| ![]() | D †† 0.0% |
| ||
![]() | Not Rated 3.1% |
| ![]() | Not Rated 2.6% |
| ||
![]() | Equities 1.7% |
| ![]() | Equities 1.5% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes FDIC Guaranteed Corporate Securities and NCUA Guaranteed Notes. | |||||||
†† Amount represents less than 0.1% |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2011 * | As of December 31, 2010 ** | ||||||
![]() | Preferred Securities 0.0% |
| ![]() | Preferred Securities 0.2% |
| ||
![]() | Corporate Bonds 36.9% |
| ![]() | Corporate Bonds 38.1% |
| ||
![]() | U.S. Government |
| ![]() | U.S. Government |
| ||
![]() | Foreign Government & Government Agency Obligations 21.6% |
| ![]() | Foreign Government & Government Agency Obligations 22.7% |
| ||
![]() | Floating Rate Loans 6.1% |
| ![]() | Floating Rate Loans 7.6% |
| ||
![]() | Stocks 1.7% |
| ![]() | Stocks 1.5% |
| ||
![]() | Other Investments 0.2% |
| ![]() | Other Investments 0.2% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
| ||
* Foreign investments | 33.4% |
| ** Foreign investments | 34.1% |
| ||
* Futures and Swaps | 1.1% |
| ** Futures and Swaps | (0.3%) |
| ||
† 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.
Semiannual Report
Investments June 30, 2011 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 36.7% | ||||
| Principal | Value | ||
Convertible Bonds - 1.3% | ||||
CONSUMER DISCRETIONARY - 0.3% | ||||
Auto Components - 0.3% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 (g) | $ 11,836 | $ 25,067 | ||
ENERGY - 0.5% | ||||
Energy Equipment & Services - 0.0% | ||||
Cal Dive International, Inc. 3.25% 12/15/25 | 2,640 | 2,643 | ||
Oil, Gas & Consumable Fuels - 0.5% | ||||
Alpha Natural Resources, Inc. 2.375% 4/15/15 | 16,660 | 19,434 | ||
Chesapeake Energy Corp.: | ||||
2.5% 5/15/37 | 22,960 | 24,165 | ||
2.5% 5/15/37 | 4,310 | 4,549 | ||
| 48,148 | |||
TOTAL ENERGY | 50,791 | |||
HEALTH CARE - 0.2% | ||||
Health Care Equipment & Supplies - 0.2% | ||||
Kinetic Concepts, Inc. 3.25% 4/15/15 (g) | 14,400 | 18,452 | ||
TELECOMMUNICATION SERVICES - 0.3% | ||||
Wireless Telecommunication Services - 0.3% | ||||
NII Holdings, Inc. 3.125% 6/15/12 | 29,220 | 29,275 | ||
TOTAL CONVERTIBLE BONDS | 123,585 | |||
Nonconvertible Bonds - 35.4% | ||||
CONSUMER DISCRETIONARY - 3.2% | ||||
Auto Components - 0.6% | ||||
Affinia Group, Inc.: | ||||
9% 11/30/14 | 5,140 | 5,166 | ||
10.75% 8/15/16 (g) | 1,813 | 2,021 | ||
Cooper Standard Auto, Inc. 8.5% 5/1/18 | 1,775 | 1,868 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 2,340 | 2,352 | ||
6.75% 2/15/21 | 1,560 | 1,568 | ||
Delphi Corp.: | ||||
5.875% 5/15/19 (g) | 4,885 | 4,836 | ||
6.125% 5/15/21 (g) | 4,535 | 4,501 | ||
Exide Technologies 8.625% 2/1/18 (g) | 2,135 | 2,220 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Auto Components - continued | ||||
International Automotive Components Group SA 9.125% 6/1/18 (g) | $ 5,245 | $ 5,363 | ||
Lear Corp.: | ||||
7.875% 3/15/18 | 1,380 | 1,484 | ||
8.125% 3/15/20 | 1,530 | 1,656 | ||
RSC Equipment Rental, Inc. 10% 7/15/17 (g) | 2,610 | 2,923 | ||
Stoneridge, Inc. 9.5% 10/15/17 (g) | 2,330 | 2,516 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 | 6,205 | 6,314 | ||
7.75% 8/15/18 | 1,545 | 1,618 | ||
The Goodyear Tire & Rubber Co. 10.5% 5/15/16 | 3,117 | 3,491 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (g) | 4,917 | 5,310 | ||
| 55,207 | |||
Automobiles - 0.0% | ||||
Automotores Gildemeister SA 8.25% 5/24/21 (g) | 2,240 | 2,288 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (c) | 10,670 | 182 | ||
7.125% 7/15/13 (c) | 1,605 | 27 | ||
7.2% 1/15/11 (c) | 4,015 | 69 | ||
7.4% 9/1/25 (c) | 500 | 9 | ||
7.7% 4/15/16 (c) | 7,804 | 133 | ||
8.25% 7/15/23 (c) | 4,845 | 83 | ||
8.375% 7/15/33 (c) | 7,015 | 120 | ||
| 2,911 | |||
Distributors - 0.0% | ||||
Ferrellgas LP/Ferrellgas Finance Corp. 6.5% 5/1/21 (g) | 4,470 | 4,230 | ||
Diversified Consumer Services - 0.0% | ||||
Mac-Gray Corp. 7.625% 8/15/15 | 680 | 694 | ||
Hotels, Restaurants & Leisure - 0.7% | ||||
DineEquity, Inc. 9.5% 10/30/18 (g) | 2,410 | 2,615 | ||
Dunkin Finance Corp. 9.625% 12/1/18 (g) | 1,424 | 1,435 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,671 | ||
Landry's Restaurants, Inc.: | ||||
11.625% 12/1/15 | 1,385 | 1,496 | ||
11.625% 12/1/15 (g) | 1,000 | 1,080 | ||
MCE Finance Ltd. 10.25% 5/15/18 | 7,675 | 8,596 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
MGM Mirage, Inc.: | ||||
10% 11/1/16 (g) | $ 5,530 | $ 5,889 | ||
10.375% 5/15/14 | 1,535 | 1,735 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 | 2,333 | 1,563 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (g) | 2,745 | 2,951 | ||
NCL Corp. Ltd. 9.5% 11/15/18 (g) | 1,450 | 1,552 | ||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (g) | 1,135 | 1,132 | ||
Roadhouse Financing, Inc. 10.75% 10/15/17 (g) | 4,080 | 4,223 | ||
Seven Seas Cruises S de RL LLC 9.125% 5/15/19 (g) | 670 | 692 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (g) | 1,540 | 1,078 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 (c) | 9,620 | 1 | ||
6.5% 2/1/14 (c) | 11,643 | 0 | ||
6.625% 3/15/18 (c) | 11,970 | 0 | ||
6.875% 3/1/16 (c) | 12,803 | 0 | ||
7.75% 8/15/16 (c) | 14,415 | 1 | ||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 8.625% 4/15/16 (g) | 580 | 597 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 8.875% 11/15/15 | 3,030 | 3,371 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
9% 1/15/12 (c) | 575 | 277 | ||
12.75% 1/15/13 (c) | 1,070 | 1 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (g) | 934 | 509 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 7.75% 8/15/20 | 18,025 | 19,535 | ||
| 65,000 | |||
Household Durables - 0.3% | ||||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,204 | ||
K. Hovnanian Enterprises, Inc. 11.875% 10/15/15 | 1,690 | 1,284 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (g) | 6,915 | 7,537 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA: | ||||
7.125% 4/15/19 (g) | 2,845 | 2,809 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - continued | ||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer SA: - continued | ||||
9% 4/15/19 (g) | $ 8,405 | $ 8,216 | ||
Sealy Mattress Co. 10.875% 4/15/16 (g) | 1,460 | 1,621 | ||
| 24,671 | |||
Leisure Equipment & Products - 0.1% | ||||
Cedar Fair LP/Magnum Management Corp. 9.125% 8/1/18 | 7,710 | 8,298 | ||
Eastman Kodak Co. 10.625% 3/15/19 (g) | 3,435 | 3,358 | ||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,657 | ||
| 13,313 | |||
Media - 1.0% | ||||
Bresnan Broadband Holdings LLC 8% 12/15/18 (g) | 2,255 | 2,340 | ||
Cequel Communications Holdings I LLC/Cequel Capital Corp. 8.625% 11/15/17 (g) | 9,330 | 9,703 | ||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 13.5% 11/30/16 | 6,489 | 7,640 | ||
Checkout Holding Corp. 0% 11/15/15 (g) | 3,310 | 2,127 | ||
Clear Channel Communications, Inc. 11% 8/1/16 pay-in-kind (l) | 4,736 | 4,108 | ||
DISH DBS Corp. 6.75% 6/1/21 (g) | 9,370 | 9,616 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 18,425 | 19,438 | ||
Globo Comunicacoes e Participacoes SA 6.25% (e)(g)(h) | 12,765 | 13,467 | ||
Gray Television, Inc. 10.5% 6/29/15 | 1,985 | 2,054 | ||
Houghton Mifflin Harcourt Publishing Co. 10.5% 6/1/19 (g) | 4,975 | 4,925 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 6,306 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 0 | ||
MDC Partners, Inc. 11% 11/1/16 | 845 | 947 | ||
MediMedia USA, Inc. 11.375% 11/15/14 (g) | 850 | 731 | ||
Net Servicos de Comunicacao SA 7.5% 1/27/20 | 1,830 | 2,091 | ||
ONO Finance II PLC 10.875% 7/15/19 (g) | 1,165 | 1,241 | ||
Satmex Escrow SA de CV 9.5% 5/15/17 (g) | 1,270 | 1,295 | ||
Sheridan Group, Inc. 12.5% 4/15/14 (g) | 3,070 | 2,924 | ||
Sinclair Television Group, Inc. 8.375% 10/15/18 | 3,550 | 3,710 | ||
Videotron Ltd. 6.875% 1/15/14 | 550 | 556 | ||
| 95,219 | |||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Specialty Retail - 0.2% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 (g) | $ 1,455 | $ 1,488 | ||
Claire's Escrow Corp. 8.875% 3/15/19 (g) | 1,770 | 1,664 | ||
Michaels Stores, Inc. 7.75% 11/1/18 (g) | 10,750 | 10,750 | ||
Sonic Automotive, Inc. 9% 3/15/18 | 9,150 | 9,630 | ||
| 23,532 | |||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
Hanesbrands, Inc. 6.375% 12/15/20 | 7,350 | 7,093 | ||
Levi Strauss & Co.: | ||||
7.625% 5/15/20 | 9,350 | 9,210 | ||
8.875% 4/1/16 | 1,650 | 1,716 | ||
Liz Claiborne, Inc. 10.5% 4/15/19 (g) | 4,110 | 4,213 | ||
Polymer Group, Inc. 7.75% 2/1/19 (g) | 1,575 | 1,591 | ||
| 23,823 | |||
TOTAL CONSUMER DISCRETIONARY | 308,600 | |||
CONSUMER STAPLES - 0.8% | ||||
Beverages - 0.0% | ||||
Cerveceria Nacional Dominicana C por A: | ||||
8% 3/27/14 (Reg. S) | 780 | 805 | ||
16% 3/27/12 (g) | 2,372 | 2,080 | ||
| 2,885 | |||
Food & Staples Retailing - 0.3% | ||||
BFF International Ltd. 7.25% 1/28/20 (g) | 3,080 | 3,265 | ||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (g) | 4,655 | 4,702 | ||
Rite Aid Corp.: | ||||
8% 8/15/20 | 7,350 | 7,938 | ||
9.5% 6/15/17 | 1,085 | 998 | ||
9.75% 6/12/16 | 3,670 | 4,083 | ||
10.25% 10/15/19 | 1,835 | 2,046 | ||
| 23,032 | |||
Food Products - 0.4% | ||||
Bumble Bee Acquisition Corp. 9% 12/15/17 (g) | 3,750 | 3,788 | ||
Darling International, Inc. 8.5% 12/15/18 (g) | 1,130 | 1,236 | ||
Dean Foods Co. 9.75% 12/15/18 (g) | 7,250 | 7,739 | ||
Gruma SAB de CV 7.75% (Reg. S) (h) | 3,609 | 3,609 | ||
Harbinger Group, Inc. 10.625% 11/15/15 | 2,645 | 2,731 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - continued | ||||
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 | 5,928 | ||
MHP SA 10.25% 4/29/15 (g) | 1,995 | 2,130 | ||
Michael Foods Group, Inc. 9.75% 7/15/18 (g) | 1,885 | 2,026 | ||
Smithfield Foods, Inc. 10% 7/15/14 | 5,540 | 6,413 | ||
| 35,604 | |||
Personal Products - 0.1% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,626 | ||
NBTY, Inc. 9% 10/1/18 (g) | 5,005 | 5,280 | ||
Revlon Consumer Products Corp. 9.75% 11/15/15 | 3,875 | 4,185 | ||
| 11,091 | |||
TOTAL CONSUMER STAPLES | 72,612 | |||
ENERGY - 5.7% | ||||
Energy Equipment & Services - 0.3% | ||||
Complete Production Services, Inc. 8% 12/15/16 | 2,530 | 2,612 | ||
Forbes Energy Services Ltd. 9% 6/15/19 (g) | 3,755 | 3,680 | ||
Frac Tech Services LLLC/Frac Tech Finance, Inc. 7.125% 11/15/18 (g) | 2,210 | 2,260 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (g) | 3,970 | 4,169 | ||
Oil States International, Inc. 6.5% 6/1/19 (g) | 3,855 | 3,894 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,657 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,663 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (g) | 1,615 | 1,680 | ||
| 25,615 | |||
Oil, Gas & Consumable Fuels - 5.4% | ||||
Afren PLC 11.5% 2/1/16 (g) | 3,150 | 3,441 | ||
Alpha Natural Resources, Inc.: | ||||
6% 6/1/19 | 7,845 | 7,904 | ||
6.25% 6/1/21 | 4,505 | 4,528 | ||
Arch Coal, Inc. 7.25% 10/1/20 | 1,670 | 1,695 | ||
ATP Oil & Gas Corp. 11.875% 5/1/15 | 32,370 | 32,694 | ||
Berry Petroleum Co.: | ||||
8.25% 11/1/16 | 2,930 | 3,047 | ||
10.25% 6/1/14 | 2,220 | 2,531 | ||
Brigham Exploration Co. 6.875% 6/1/19 (g) | 4,090 | 4,054 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Calumet Specialty Products Partners LP/Calumet Finance Corp. 9.375% 5/1/19 (g) | $ 1,675 | $ 1,717 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 | 5,115 | 5,294 | ||
Chaparral Energy, Inc. 9.875% 10/1/20 | 1,845 | 1,983 | ||
Chesapeake Energy Corp. 6.875% 11/15/20 | 12,030 | 12,707 | ||
Chesapeake Midstream Partners LP/CHKM Finance Corp. 5.875% 4/15/21 (g) | 2,400 | 2,352 | ||
Clayton Williams Energy, Inc. 7.75% 4/1/19 (g) | 5,160 | 5,057 | ||
Concho Resources, Inc.: | ||||
6.5% 1/15/22 | 6,135 | 6,097 | ||
7% 1/15/21 | 2,855 | 2,901 | ||
CONSOL Energy, Inc.: | ||||
8% 4/1/17 | 6,470 | 6,955 | ||
8.25% 4/1/20 | 6,645 | 7,210 | ||
Continental Resources, Inc.: | ||||
7.125% 4/1/21 | 2,540 | 2,667 | ||
8.25% 10/1/19 | 885 | 960 | ||
Crestwood Midstream Partners LP / Finance Corp. 7.75% 4/1/19 (g) | 2,235 | 2,218 | ||
Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,240 | ||
Denbury Resources, Inc.: | ||||
8.25% 2/15/20 | 3,877 | 4,226 | ||
9.75% 3/1/16 | 1,660 | 1,845 | ||
Drummond Co., Inc.: | ||||
7.375% 2/15/16 | 8,180 | 8,262 | ||
9% 10/15/14 (g) | 8,730 | 9,188 | ||
DTEK Finance BV 9.5% 4/28/15 (g) | 1,935 | 2,051 | ||
Eagle Rock Energy Partners LP / Eagle Rock Energy Finance Corp. 8.375% 6/1/19 (g) | 5,125 | 5,125 | ||
Energy Partners Ltd. 8.25% 2/15/18 (g) | 6,600 | 6,270 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 10,823 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 (g) | 12,735 | 13,563 | ||
EXCO Resources, Inc. 7.5% 9/15/18 | 8,000 | 7,760 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 (g) | 3,485 | 3,485 | ||
International Coal Group, Inc. 9.125% 4/1/18 | 3,690 | 4,640 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (g) | 3,335 | 3,518 | ||
7% 5/5/20 (g) | 3,100 | 3,410 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
KazMunaiGaz Finance Sub BV: - continued | ||||
8.375% 7/2/13 (g) | $ 3,080 | $ 3,365 | ||
9.125% 7/2/18 (g) | 3,975 | 4,889 | ||
11.75% 1/23/15 (g) | 4,880 | 6,058 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
7.75% 2/1/21 (g) | 19,190 | 19,670 | ||
8.625% 4/15/20 | 14,410 | 15,635 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp. 6.75% 11/1/20 | 1,880 | 1,918 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 2,830 | 3,092 | ||
Newfield Exploration Co. 6.875% 2/1/20 | 12,875 | 13,648 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 10.5% 12/1/17 (g) | 4,575 | 5,044 | ||
OGX Petroleo e Gas Participacoes SA 8.5% 6/1/18 (g) | 12,410 | 12,581 | ||
Pacific Rubiales Energy Corp. 8.75% 11/10/16 | 4,200 | 4,736 | ||
Pan American Energy LLC 7.875% 5/7/21 (g) | 2,045 | 2,183 | ||
Peabody Energy Corp. 7.875% 11/1/26 | 5,640 | 6,331 | ||
Pemex Project Funding Master Trust 6.625% 6/15/35 | 6,720 | 7,014 | ||
Petrobras International Finance Co. Ltd.: | ||||
6.875% 1/20/40 | 3,175 | 3,429 | ||
8.375% 12/10/18 | 3,465 | 4,271 | ||
Petrohawk Energy Corp. 7.875% 6/1/15 | 22,900 | 23,988 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 14,530 | 11,152 | ||
5.25% 4/12/17 | 9,685 | 6,077 | ||
5.375% 4/12/27 | 25,040 | 12,520 | ||
5.5% 4/12/37 | 12,420 | 6,086 | ||
Petroleos de Venezuela SA 144A: | ||||
8.5% 11/2/17 (g) | 20,560 | 15,163 | ||
12.75% 2/17/22 (g) | 18,475 | 15,103 | ||
Petroleos Mexicanos: | ||||
5.5% 1/21/21 | 3,200 | 3,360 | ||
6% 3/5/20 | 2,990 | 3,274 | ||
6.625% (g)(h) | 9,175 | 9,244 | ||
8% 5/3/19 | 2,695 | 3,342 | ||
Petroleum Co. of Trinidad & Tobago Ltd. (Reg. S) 6% 5/8/22 | 3,717 | 3,773 | ||
Petroleum Development Corp. 12% 2/15/18 | 4,390 | 4,873 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 9,383 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Plains Exploration & Production Co. 10% 3/1/16 | $ 10,150 | $ 11,419 | ||
PT Adaro Indonesia 7.625% 10/22/19 (g) | 4,515 | 5,012 | ||
PT Pertamina Persero: | ||||
5.25% 5/23/21 (g) | 3,185 | 3,217 | ||
6.5% 5/27/41 (g) | 2,320 | 2,303 | ||
Quicksilver Resources, Inc. 11.75% 1/1/16 | 5,045 | 5,764 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,606 | ||
Rosetta Resources, Inc. 9.5% 4/15/18 | 3,565 | 3,939 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,568 | ||
Southwestern Energy Co. 7.5% 2/1/18 | 2,460 | 2,798 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
6.875% 2/1/21 (g) | 2,785 | 2,757 | ||
11.25% 7/15/17 | 4,265 | 4,883 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 3,810 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 633 | ||
7.625% 4/1/37 | 1,035 | 1,248 | ||
8.375% 6/15/32 | 1,155 | 1,460 | ||
TNK-BP Finance SA 7.5% 7/18/16 | 1,800 | 2,023 | ||
Venoco, Inc.: | ||||
8.875% 2/15/19 (g) | 7,095 | 7,051 | ||
11.5% 10/1/17 | 5,185 | 5,626 | ||
YPF SA 10% 11/2/28 | 1,990 | 2,298 | ||
| 523,035 | |||
TOTAL ENERGY | 548,650 | |||
FINANCIALS - 8.0% | ||||
Capital Markets - 0.1% | ||||
Equinox Holdings, Inc. 9.5% 2/1/16 (g) | 5,755 | 6,043 | ||
HSBC Bank PLC 5.75% 6/27/17 (e) | GBP | 1,130 | 1,856 | |
Lloyds TSB Bank PLC 6.5% 9/17/40 | GBP | 1,350 | 1,982 | |
Penson Worldwide, Inc. 12.5% 5/15/17 (g) | 3,580 | 3,383 | ||
| 13,264 | |||
Commercial Banks - 2.7% | ||||
African Export-Import Bank 8.75% 11/13/14 | 4,270 | 4,814 | ||
Akbank T.A.S. 5.125% 7/22/15 (g) | 3,445 | 3,411 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
Banco Bradesco SA 5.9% 1/16/21 (g) | $ 2,270 | $ 2,293 | ||
Banco de Credito del Peru: | ||||
4.75% 3/16/16 (g) | 4,940 | 4,878 | ||
5.375% 9/16/20 (g) | 3,705 | 3,510 | ||
Banco Nacional de Desenvolvimento Economico e Social 5.5% 7/12/20 (g) | 3,430 | 3,636 | ||
Banco Votorantim SA 5.25% 2/11/16 (g) | 3,595 | 3,649 | ||
BanColombia SA: | ||||
4.25% 1/12/16 (g) | 2,020 | 2,030 | ||
5.95% 6/3/21 (g) | 2,240 | 2,266 | ||
BBVA Paraguay SA 9.75% 2/11/16 (g) | 4,480 | 4,883 | ||
CIT Group, Inc.: | ||||
7% 5/1/14 | 1,551 | 1,566 | ||
7% 5/1/15 | 0* | 0* | ||
7% 5/4/15 (g) | 2,780 | 2,787 | ||
7% 5/1/16 | 1 | 1 | ||
7% 5/2/16 (g) | 22,813 | 22,727 | ||
7% 5/1/17 | 1 | 1 | ||
7% 5/2/17 (g) | 47,242 | 47,124 | ||
Commonwealth Bank of Australia 4.25% 4/6/18 | EUR | 6,400 | 9,315 | |
Development Bank of Kazakhstan JSC 5.5% 12/20/15 (g) | 2,040 | 2,111 | ||
Development Bank of Philippines: | ||||
5.5% 3/25/21 | 2,245 | 2,223 | ||
8.375% (h)(l) | 6,440 | 7,148 | ||
DnB NOR Bank ASA 4.375% 2/24/21 | EUR | 4,100 | 5,893 | |
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) | 3,585 | 3,495 | ||
European Investment Bank: | ||||
2.875% 7/15/16 | EUR | 7,600 | 11,029 | |
4.125% 12/7/17 | GBP | 9,300 | 15,793 | |
EXIM of Ukraine 7.65% 9/7/11 (Issued by Credit Suisse International for EXIM of Ukraine) | 20,925 | 21,005 | ||
Export-Import Bank of India 0.6953% 6/7/12 (l) | JPY | 170,000 | 2,082 | |
Export-Import Bank of Korea 5.1% 10/29/13 (g) | INR | 161,100 | 3,474 | |
HSBK (Europe) BV: | ||||
7.25% 5/3/17 (g) | 5,550 | 5,661 | ||
9.25% 10/16/13 (g) | 4,420 | 4,807 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
International Bank for Reconstruction & Development 8.2% 12/12/12 | NGN | 320,000 | $ 2,104 | |
Itau Unibanco Holding SA 6.2% 12/21/21 (g) | 2,315 | 2,356 | ||
Korea Development Bank 4% 9/9/16 | 2,075 | 2,124 | ||
National Westminster Bank PLC 6.5% 9/7/21 | GBP | 1,600 | 2,388 | |
Nordea Bank Finland PLC 2.25% 11/16/15 | EUR | 5,250 | 7,366 | |
RSHB Capital SA: | ||||
6% 6/3/21 (g) | 2,155 | 2,171 | ||
9% 6/11/14 (g) | 1,535 | 1,752 | ||
Standard Bank PLC 8.75% 2/9/16 (Issued by Standard Bank PLC for PrivatBank) (l) | 2,440 | 2,086 | ||
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First Boston International for The State Export-Import Bank of Ukraine JSC) (e) | 5,375 | 4,838 | ||
Trade & Development Bank of Mongolia LLC 8.5% 10/25/13 | 1,965 | 2,019 | ||
Turkiye Garanti Bankasi AS: | ||||
2.774% 4/20/16 (g)(l) | 2,130 | 2,114 | ||
6.25% 4/20/21 (g) | 3,775 | 3,666 | ||
Turkiye Is Bankasi AS 5.1% 2/1/16 (g) | 3,520 | 3,476 | ||
US Bank NA 4.375% 2/28/17 (l) | EUR | 1,600 | 2,272 | |
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 8,310 | 9,089 | ||
Wells Fargo & Co. 7.98% (h)(l) | 2,035 | 2,203 | ||
| 255,636 | |||
Consumer Finance - 1.9% | ||||
Ally Financial, Inc.: | ||||
3.4658% 2/11/14 (l) | 14,765 | 14,544 | ||
7.5% 9/15/20 | 19,185 | 20,154 | ||
8% 3/15/20 | 25,720 | 27,392 | ||
Ford Motor Credit Co. LLC: | ||||
6.625% 8/15/17 | 9,820 | 10,507 | ||
12% 5/15/15 | 12,770 | 15,899 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 7,330 | 7,828 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - continued | ||||
GMAC LLC: | ||||
6.75% 12/1/14 | $ 2,965 | $ 3,098 | ||
8% 11/1/31 | 81,013 | 87,292 | ||
| 186,714 | |||
Diversified Financial Services - 2.9% | ||||
Aquarius Investments Luxemburg 8.25% 2/18/16 | 3,350 | 3,586 | ||
Bank of America Corp.: | ||||
8% (h)(l) | 5,365 | 5,566 | ||
8.125% (h)(l) | 7,380 | 7,675 | ||
Bank of Georgia JSC 9% 2/8/12 (Issued by BG Finance BV for Bank of Georgia JSC) | 2,730 | 2,805 | ||
BP Capital Markets PLC 3.83% 10/6/17 | EUR | 2,750 | 3,999 | |
Bumble Bee Holdco SCA 9.625% 3/15/18 pay-in-kind (g)(l) | 4,100 | 3,793 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
6.5% 4/30/21 | 10,200 | 10,060 | ||
7.875% 4/30/18 | 2,920 | 3,088 | ||
8.125% 4/30/20 | 6,955 | 7,511 | ||
CDW LLC/CDW Finance Corp. 8% 12/15/18 (g) | 5,405 | 5,675 | ||
City of Buenos Aires 12.5% 4/6/15 (g) | 10,565 | 11,954 | ||
CM-CIC Covered Bonds 4.375% 3/17/21 | EUR | 1,600 | 2,366 | |
Dignity Finance PLC: | ||||
6.31% 12/31/23 (Reg. S) | GBP | 225 | 413 | |
8.151% 12/31/30 | GBP | 475 | 939 | |
European Community: | ||||
3.25% 4/4/18 | EUR | 15,400 | 22,436 | |
3.375% 5/10/19 | EUR | 7,900 | 11,578 | |
Fibria Overseas Finance Ltd. 6.75% 3/3/21 (g) | 2,050 | 2,145 | ||
FireKeepers Development Authority 13.875% 5/1/15 (g) | 1,600 | 1,848 | ||
General Motors Financial Co., Inc. 6.75% 6/1/18 (g) | 6,140 | 6,201 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (g) | 4,195 | 4,384 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 22,045 | 22,624 | ||
8% 1/15/18 | 28,817 | 29,249 | ||
Imperial Tobacco Finance 4.5% 7/5/18 | EUR | 1,350 | 1,960 | |
Indo Energy Finance BV 7% 5/7/18 (g) | 2,065 | 2,127 | ||
Landrys Holdings, Inc. 11.5% 6/1/14 (g) | 3,230 | 3,230 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
LBI Escrow Corp. 8% 11/1/17 (g) | $ 5,862 | $ 6,492 | ||
NCO Group, Inc. 11.875% 11/15/14 | 2,185 | 1,846 | ||
Offshore Group Investment Ltd.: | ||||
11.5% 8/1/15 | 8,495 | 9,260 | ||
11.5% 8/1/15 (g) | 1,725 | 1,880 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g) | 3,140 | 3,407 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
6.875% 2/15/21 (g) | 3,855 | 3,739 | ||
8.25% 2/15/21 (g) | 16,000 | 14,840 | ||
SB Capital SA 5.4% 3/24/17 (Reg. S) | 2,120 | 2,202 | ||
Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (g) | 2,460 | 2,509 | ||
T2 Capital Finance Co. SA 6.95% 2/6/17 (Reg. S) (e) | 2,275 | 2,303 | ||
TMK Capital SA: | ||||
7.75% 1/27/18 | 2,050 | 2,124 | ||
10% 7/29/11 | 4,700 | 4,721 | ||
Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18 | 4,285 | 4,740 | ||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH 8.125% 12/1/17 (g) | 7,210 | 7,679 | ||
UPCB Finance III Ltd. 6.625% 7/1/20 (g) | 3,795 | 3,748 | ||
Vnesheconombank Via VEB Finance Ltd. 6.8% 11/22/25 (g) | 2,365 | 2,398 | ||
WaMu Covered Bond Program 3.875% 9/27/11 | EUR | 1,090 | 1,587 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (g)(l) | 16,179 | 18,496 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (g) | 5,870 | 6,274 | ||
| 277,457 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. 9% 1/15/18 (g) | 2,935 | 3,052 | ||
USI Holdings Corp. 4.1358% 11/15/14 (g)(l) | 920 | 856 | ||
| 3,908 | |||
Real Estate Investment Trusts - 0.2% | ||||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 (g) | 7,955 | 7,736 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Investment Trusts - continued | ||||
Omega Healthcare Investors, Inc.: | ||||
6.75% 10/15/22 (g) | $ 8,390 | $ 8,306 | ||
7.5% 2/15/20 | 4,860 | 5,103 | ||
| 21,145 | |||
Real Estate Management & Development - 0.2% | ||||
CB Richard Ellis Services, Inc. 6.625% 10/15/20 | 5,565 | 5,704 | ||
Realogy Corp.: | ||||
7.875% 2/15/19 (g) | 5,470 | 5,361 | ||
12% 4/15/17 | 2,748 | 2,693 | ||
Toys 'R' Us Property Co. II LLC 8.5% 12/1/17 | 845 | 883 | ||
| 14,641 | |||
TOTAL FINANCIALS | 772,765 | |||
HEALTH CARE - 2.2% | ||||
Health Care Providers & Services - 1.4% | ||||
Apria Healthcare Group, Inc. 11.25% 11/1/14 | 7,720 | 7,932 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,896 | ||
DaVita, Inc.: | ||||
6.375% 11/1/18 | 4,475 | 4,486 | ||
6.625% 11/1/20 | 3,875 | 3,914 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 6,024 | ||
HCA Holdings, Inc. 7.75% 5/15/21 (g) | 30,445 | 31,282 | ||
HCA, Inc.: | ||||
6.5% 2/15/16 | 4,220 | 4,294 | ||
7.25% 9/15/20 | 23,835 | 25,503 | ||
HealthSouth Corp. 8.125% 2/15/20 | 7,395 | 7,950 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 (g) | 13,245 | 13,146 | ||
InVentiv Health, Inc. 10% 8/15/18 (g) | 905 | 873 | ||
Kindred Escrow Corp. 8.25% 6/1/19 (g) | 2,030 | 2,030 | ||
LifePoint Hospitals, Inc. 6.625% 10/1/20 | 4,045 | 4,106 | ||
ResCare, Inc. 10.75% 1/15/19 | 2,735 | 2,892 | ||
Rotech Healthcare, Inc.: | ||||
10.5% 3/15/18 (g) | 2,475 | 2,388 | ||
10.75% 10/15/15 | 4,075 | 4,503 | ||
Sabra Health Care LP/Sabra Capital Corp. 8.125% 11/1/18 | 1,200 | 1,197 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
Skilled Healthcare Group, Inc. 11% 1/15/14 | $ 3,652 | $ 3,752 | ||
UHS Escrow Corp. 7% 10/1/18 | 1,020 | 1,053 | ||
United Surgical Partners International, Inc. 8.875% 5/1/17 | 895 | 938 | ||
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc. 7.75% 2/1/19 | 4,295 | 4,381 | ||
Vanguard Health Systems, Inc. 0% 2/1/16 | 7,085 | 4,658 | ||
| 139,198 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (g) | 4,860 | 5,030 | ||
Pharmaceuticals - 0.7% | ||||
Elan Finance PLC/Elan Finance Corp. 8.75% 10/15/16 | 5,775 | 6,078 | ||
Giant Funding Corp. 8.25% 2/1/18 (g) | 4,920 | 5,129 | ||
Leiner Health Products, Inc. 11% 6/1/12 (c) | 1,885 | 94 | ||
Mylan, Inc.: | ||||
6% 11/15/18 (g) | 10,955 | 11,119 | ||
7.625% 7/15/17 (g) | 3,900 | 4,212 | ||
7.875% 7/15/20 (g) | 7,040 | 7,674 | ||
Valeant Pharmaceuticals International: | ||||
6.75% 8/15/21 (g) | 20,465 | 19,237 | ||
6.875% 12/1/18 (g) | 15,705 | 15,352 | ||
7% 10/1/20 (g) | 2,205 | 2,128 | ||
| 71,023 | |||
TOTAL HEALTH CARE | 215,251 | |||
INDUSTRIALS - 3.3% | ||||
Aerospace & Defense - 0.1% | ||||
ADS Tactical, Inc. 11% 4/1/18 (g) | 1,640 | 1,732 | ||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 661 | ||
12% 11/1/14 pay-in-kind | 1,462 | 1,494 | ||
DigitalGlobe, Inc. 10.5% 5/1/14 | 2,915 | 3,236 | ||
GeoEye, Inc. 9.625% 10/1/15 | 1,030 | 1,164 | ||
Hexcel Corp. 6.75% 2/1/15 | 766 | 779 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Aerospace & Defense - continued | ||||
Huntington Ingalls Industries, Inc.: | ||||
6.875% 3/15/18 (g) | $ 1,675 | $ 1,704 | ||
7.125% 3/15/21 (g) | 1,675 | 1,725 | ||
| 12,495 | |||
Air Freight & Logistics - 0.0% | ||||
Air Medical Group Holdings, Inc. 9.25% 11/1/18 (g) | 3,295 | 3,484 | ||
Airlines - 0.6% | ||||
Air Canada 9.25% 8/1/15 (g) | 7,170 | 7,385 | ||
American Airlines, Inc. equipment trust certificate 13% 8/1/16 | 4,148 | 4,749 | ||
American Airlines, Inc. pass-thru trust certificates 10.375% 7/2/19 | 5,833 | 6,708 | ||
Continental Airlines, Inc. pass-thru trust certificates 6.903% 4/19/22 | 798 | 796 | ||
Continental Airlines, Inc. 7.25% 11/10/19 | 4,821 | 5,195 | ||
Delta Air Lines, Inc. 9.5% 9/15/14 (g) | 1,374 | 1,463 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,748 | 9,098 | ||
8.021% 8/10/22 | 3,970 | 4,034 | ||
Northwest Airlines Corp. 10% 2/1/09 (c) | 1,895 | 0 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 (c) | 1,365 | 0 | ||
8.875% 6/1/06 (c) | 1,355 | 0 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 2,144 | 2,186 | ||
8.028% 11/1/17 | 704 | 704 | ||
United Air Lines, Inc.: | ||||
9.875% 8/1/13 (g) | 1,952 | 2,050 | ||
12% 11/1/13 (g) | 3,415 | 3,628 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 7,849 | 8,908 | ||
US Airways 2011-1 Class A Pass Through Trust 7.125% 10/22/23 | 5,175 | 5,175 | ||
| 62,079 | |||
Building Products - 0.1% | ||||
Building Materials Corp. of America 6.75% 5/1/21 (g) | 4,665 | 4,688 | ||
Commercial Services & Supplies - 1.0% | ||||
ACCO Brands Corp. 10.625% 3/15/15 | 595 | 660 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
American Reprographics Co. 10.5% 12/15/16 | $ 4,570 | $ 4,479 | ||
B-Corp Merger Sub, Inc. 8.25% 6/1/19 (g) | 2,915 | 2,886 | ||
Casella Waste Systems, Inc.: | ||||
7.75% 2/15/19 (g) | 1,160 | 1,163 | ||
11% 7/15/14 | 1,510 | 1,676 | ||
Cenveo Corp. 10.5% 8/15/16 (g) | 2,795 | 2,746 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,164 | ||
Garda World Security Corp. 9.75% 3/15/17 (g) | 2,260 | 2,390 | ||
International Lease Finance Corp.: | ||||
5.75% 5/15/16 | 4,965 | 4,898 | ||
6.25% 5/15/19 | 8,195 | 8,011 | ||
6.75% 9/1/16 (g) | 4,580 | 4,866 | ||
7.125% 9/1/18 (g) | 9,160 | 9,778 | ||
8.25% 12/15/20 | 8,235 | 8,976 | ||
8.625% 9/15/15 | 7,985 | 8,664 | ||
8.75% 3/15/17 | 11,970 | 13,047 | ||
The Geo Group, Inc. 7.75% 10/15/17 | 2,845 | 2,994 | ||
United Rentals North America, Inc. 8.375% 9/15/20 | 6,995 | 6,960 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (g) | 3,355 | 3,389 | ||
| 92,747 | |||
Construction & Engineering - 0.0% | ||||
Odebrecht Finance Ltd.: | ||||
6% 4/5/23 (g) | 2,115 | 2,104 | ||
7% 4/21/20 (g) | 1,830 | 2,011 | ||
| 4,115 | |||
Electrical Equipment - 0.1% | ||||
General Cable Corp. 7.125% 4/1/17 | 680 | 695 | ||
Sensata Technologies BV 6.5% 5/15/19 (g) | 5,310 | 5,310 | ||
| 6,005 | |||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp.: | ||||
11.75% 12/1/15 (g) | 11,050 | 11,713 | ||
13.5% 12/1/15 pay-in-kind (g) | 4,393 | 4,745 | ||
| 16,458 | |||
Machinery - 0.3% | ||||
Accuride Corp. 9.5% 8/1/18 | 650 | 696 | ||
ArvinMeritor, Inc. 10.625% 3/15/18 | 2,115 | 2,348 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Machinery - continued | ||||
Chart Industries, Inc. 9.125% 10/15/15 | $ 1,160 | $ 1,206 | ||
Cummins, Inc. 7.125% 3/1/28 | 1,870 | 2,097 | ||
Navistar International Corp. 8.25% 11/1/21 | 9,025 | 9,702 | ||
Terex Corp. 10.875% 6/1/16 | 5,025 | 5,703 | ||
Xerium Technologies, Inc. 8.875% 6/15/18 (g) | 3,870 | 3,754 | ||
| 25,506 | |||
Marine - 0.2% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 2,585 | 2,524 | ||
Navios Maritime Holdings, Inc.: | ||||
8.125% 2/15/19 (g) | 4,440 | 4,418 | ||
8.875% 11/1/17 | 10,830 | 11,426 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (g) | 1,320 | 1,353 | ||
SCF Capital Ltd. 5.375% 10/27/17 (g) | 2,085 | 2,085 | ||
Ultrapetrol (Bahamas) Ltd. 9% 11/24/14 | 2,050 | 2,030 | ||
| 23,836 | |||
Professional Services - 0.1% | ||||
CDRT Merger Sub, Inc. 8.125% 6/1/19 (g) | 6,200 | 6,185 | ||
Road & Rail - 0.5% | ||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc.: | ||||
8.25% 1/15/19 | 10,035 | 10,186 | ||
9.625% 3/15/18 | 2,465 | 2,644 | ||
Georgian Railway Ltd. 9.875% 7/22/15 | 1,850 | 2,056 | ||
Hertz Corp. 6.75% 4/15/19 (g) | 5,355 | 5,275 | ||
Kansas City Southern de Mexico SA de CV: | ||||
6.125% 6/15/21 (g) | 3,370 | 3,362 | ||
6.625% 12/15/20 (g) | 2,020 | 2,086 | ||
12.5% 4/1/16 | 7,425 | 8,836 | ||
Swift Services Holdings, Inc. 10% 11/15/18 | 9,125 | 9,650 | ||
Western Express, Inc. 12.5% 4/15/15 (g) | 5,935 | 5,623 | ||
| 49,718 | |||
Trading Companies & Distributors - 0.1% | ||||
Aircastle Ltd. 9.75% 8/1/18 | 9,000 | 9,945 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g) | $ 3,089 | $ 3,332 | ||
TOTAL INDUSTRIALS | 320,593 | |||
INFORMATION TECHNOLOGY - 1.4% | ||||
Communications Equipment - 0.5% | ||||
Avaya, Inc.: | ||||
9.75% 11/1/15 | 6,165 | 6,273 | ||
10.125% 11/1/15 pay-in-kind (l) | 4,120 | 4,213 | ||
Brocade Communications Systems, Inc.: | ||||
6.625% 1/15/18 | 1,135 | 1,195 | ||
6.875% 1/15/20 | 2,095 | 2,260 | ||
Hughes Network System LLC/HNS Finance Corp. 9.5% 4/15/14 | 6,290 | 6,447 | ||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 20,050 | 18,045 | ||
6.5% 1/15/28 | 6,570 | 5,897 | ||
ViaSat, Inc. 8.875% 9/15/16 | 1,335 | 1,415 | ||
| 45,745 | |||
Computers & Peripherals - 0.1% | ||||
Seagate HDD Cayman: | ||||
7% 11/1/21 (g) | 6,295 | 6,248 | ||
7.75% 12/15/18 (g) | 9,070 | 9,410 | ||
| 15,658 | |||
Electronic Equipment & Components - 0.1% | ||||
Atkore International, Inc. 9.875% 1/1/18 (g) | 2,155 | 2,268 | ||
Reddy Ice Corp.: | ||||
11.25% 3/15/15 | 4,625 | 4,706 | ||
13.25% 11/1/15 | 3,266 | 3,021 | ||
| 9,995 | |||
Internet Software & Services - 0.1% | ||||
Equinix, Inc. 8.125% 3/1/18 | 8,180 | 8,916 | ||
IT Services - 0.3% | ||||
Ceridian Corp. 11.25% 11/15/15 | 4,145 | 4,166 | ||
Fidelity National Information Services, Inc.: | ||||
7.625% 7/15/17 | 2,935 | 3,111 | ||
7.875% 7/15/20 | 3,910 | 4,154 | ||
SunGard Data Systems, Inc. 7.375% 11/15/18 | 4,435 | 4,418 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
IT Services - continued | ||||
Telcordia Technologies, Inc. 11% 5/1/18 (g) | $ 6,855 | $ 8,654 | ||
Unisys Corp.: | ||||
12.5% 1/15/16 | 3,030 | 3,318 | ||
12.75% 10/15/14 (g) | 201 | 235 | ||
| 28,056 | |||
Semiconductors & Semiconductor Equipment - 0.3% | ||||
Advanced Micro Devices, Inc.: | ||||
7.75% 8/1/20 | 1,640 | 1,677 | ||
8.125% 12/15/17 | 3,470 | 3,609 | ||
Freescale Semiconductor, Inc. 10.75% 8/1/20 (g) | 3,485 | 3,886 | ||
NXP BV/NXP Funding LLC 9.75% 8/1/18 (g) | 10,905 | 12,173 | ||
Spansion LLC 11.25% 1/15/16 (c)(g) | 4,255 | 918 | ||
STATS ChipPAC Ltd. 7.5% 8/12/15 (g) | 1,935 | 2,080 | ||
Viasystems, Inc. 12% 1/15/15 (g) | 4,000 | 4,390 | ||
| 28,733 | |||
Software - 0.0% | ||||
Open Solutions, Inc. 9.75% 2/1/15 (g) | 870 | 522 | ||
TOTAL INFORMATION TECHNOLOGY | 137,625 | |||
MATERIALS - 2.5% | ||||
Chemicals - 0.6% | ||||
Braskem Finance Ltd.: | ||||
5.75% 4/15/21 (g) | 2,030 | 2,040 | ||
7% 5/7/20 (g) | 1,875 | 2,041 | ||
Celanese US Holdings LLC 5.875% 6/15/21 | 2,555 | 2,574 | ||
Ferro Corp. 7.875% 8/15/18 | 4,325 | 4,498 | ||
Georgia Gulf Corp. 9% 1/15/17 (g) | 10,825 | 11,637 | ||
Ineos Finance PLC 9% 5/15/15 (g) | 2,655 | 2,808 | ||
Inergy LP/Inergy Finance Corp. 6.875% 8/1/21 (g) | 5,985 | 6,045 | ||
Nalco Co. 6.625% 1/15/19 (g) | 6,310 | 6,468 | ||
NOVA Chemicals Corp.: | ||||
3.542% 11/15/13 (l) | 1,690 | 1,677 | ||
6.5% 1/15/12 | 5,775 | 5,862 | ||
OMNOVA Solutions, Inc. 7.875% 11/1/18 (g) | 1,105 | 1,055 | ||
OXEA Finance & CY S.C.A. 9.5% 7/15/17 (g) | 3,547 | 3,671 | ||
PolyOne Corp. 7.375% 9/15/20 | 1,845 | 1,923 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Solutia, Inc.: | ||||
7.875% 3/15/20 | $ 2,180 | $ 2,376 | ||
8.75% 11/1/17 | 1,100 | 1,194 | ||
Sterling Chemicals, Inc. 10.25% 4/1/15 | 1,600 | 1,696 | ||
TPC Group LLC 8.25% 10/1/17 (g) | 2,195 | 2,277 | ||
| 59,842 | |||
Containers & Packaging - 0.4% | ||||
ARD Finance SA 11.125% 6/1/18 pay-in-kind (g) | 4,405 | 4,526 | ||
Ardagh Packaging Finance PLC: | ||||
7.375% 10/15/17 (g) | 1,190 | 1,232 | ||
9.125% 10/15/20 (g) | 4,495 | 4,720 | ||
Berry Plastics Corp.: | ||||
8.25% 11/15/15 | 4,610 | 4,864 | ||
9.75% 1/15/21 | 5,485 | 5,334 | ||
Berry Plastics Holding Corp. 4.122% 9/15/14 (l) | 640 | 602 | ||
BWAY Parent Co., Inc. 10.875% 11/1/15 pay-in-kind (g)(l) | 2,429 | 2,387 | ||
Crown Americas LLC/Crown Americas Capital Corp. III 6.25% 2/1/21 (g) | 5,300 | 5,366 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 9,795 | 9,599 | ||
7.5% 12/15/96 | 3,685 | 2,874 | ||
| 41,504 | |||
Metals & Mining - 1.1% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (g) | 33 | 33 | ||
9% 12/15/14 pay-in-kind (c)(l) | 2,790 | 14 | ||
Alrosa Finance SA: | ||||
(Reg. S) 8.875% 11/17/14 | 1,775 | 2,028 | ||
7.75% 11/3/20 (g) | 2,685 | 2,917 | ||
Aperam: | ||||
7.375% 4/1/16 (g) | 1,195 | 1,207 | ||
7.75% 4/1/18 (g) | 980 | 990 | ||
Boart Longyear Management Pty Ltd. 7% 4/1/21 (g) | 2,155 | 2,203 | ||
Calcipar SA 6.875% 5/1/18 (g) | 1,900 | 1,914 | ||
CSN Islands XII Corp. 7% (Reg. S) (h) | 7,115 | 6,990 | ||
Edgen Murray Corp. 12.25% 1/15/15 | 8,545 | 8,609 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Evraz Group SA: | ||||
8.25% 11/10/15 (g) | $ 1,970 | $ 2,192 | ||
9.5% 4/24/18 (Reg. S) | 3,015 | 3,467 | ||
Ferrexpo Finance PLC 7.875% 4/7/16 (g) | 1,975 | 2,029 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6.375% 2/1/16 (g) | 7,260 | 7,278 | ||
6.875% 2/1/18 (g) | 7,260 | 7,405 | ||
7% 11/1/15 (g) | 9,155 | 9,384 | ||
McJunkin Red Man Corp. 9.5% 12/15/16 (g) | 8,725 | 8,965 | ||
Metinvest BV 10.25% 5/20/15 (g) | 1,895 | 2,063 | ||
Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (g) | 4,370 | 4,392 | ||
Mirabela Nickel Ltd. 8.75% 4/15/18 (g) | 1,135 | 1,118 | ||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (g) | 3,435 | 3,555 | ||
RathGibson, Inc. 11.25% 2/15/14 (c) | 5,783 | 1 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 7,005 | 7,723 | ||
Southern Copper Corp. 6.75% 4/16/40 | 5,265 | 5,108 | ||
Vedanta Resources PLC: | ||||
6.75% 6/7/16 (g) | 4,910 | 4,910 | ||
8.25% 6/7/21 (g) | 2,175 | 2,197 | ||
Votorantim Cimentos SA 7.25% 4/5/41 (g) | 2,030 | 2,010 | ||
| 100,702 | |||
Paper & Forest Products - 0.4% | ||||
ABI Escrow Corp. 10.25% 10/15/18 (g) | 14,882 | 16,110 | ||
Clearwater Paper Corp. 7.125% 11/1/18 | 1,225 | 1,234 | ||
Georgia-Pacific LLC 5.4% 11/1/20 (g) | 6,505 | 6,749 | ||
Glatfelter 7.125% 5/1/16 | 550 | 568 | ||
NewPage Corp.: | ||||
6.5233% 5/1/12 (l) | 1,770 | 460 | ||
11.375% 12/31/14 | 4,775 | 4,453 | ||
Sino-Forest Corp. 6.25% 10/21/17 (g) | 2,165 | 996 | ||
Solo Cup Co. 8.5% 2/15/14 | 2,140 | 1,947 | ||
| 32,517 | |||
TOTAL MATERIALS | 234,565 | |||
TELECOMMUNICATION SERVICES - 6.1% | ||||
Diversified Telecommunication Services - 3.5% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 6,120 | 7,007 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Citizens Communications Co.: | ||||
7.125% 3/15/19 | $ 2,730 | $ 2,798 | ||
7.875% 1/15/27 | 4,895 | 4,748 | ||
9% 8/15/31 | 3,655 | 3,746 | ||
Clearwire Communications LLC/Clearwire Finance, Inc. 12% 12/1/15 (g) | 12,857 | 13,853 | ||
Frontier Communications Corp.: | ||||
8.25% 4/15/17 | 7,925 | 8,599 | ||
8.5% 4/15/20 | 21,295 | 23,158 | ||
8.75% 4/15/22 | 13,695 | 14,739 | ||
Global Crossing Ltd. 12% 9/15/15 | 20,305 | 23,655 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (g) | 2,010 | 2,226 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 88,680 | 84,246 | ||
6.9% 5/1/19 | 15,450 | 15,914 | ||
8.75% 3/15/32 | 75,426 | 81,649 | ||
Telemar Norte Leste SA 5.5% 10/23/20 (g) | 1,970 | 1,943 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,443 | ||
7.25% 9/15/25 | 535 | 554 | ||
7.25% 10/15/35 | 1,455 | 1,444 | ||
7.5% 6/15/23 | 460 | 460 | ||
Wind Acquisition Finance SA: | ||||
7.25% 2/15/18 (g) | 4,780 | 4,971 | ||
11.75% 7/15/17 (g) | 34,975 | 39,697 | ||
| 337,850 | |||
Wireless Telecommunication Services - 2.6% | ||||
Clearwire Escrow Corp. 12% 12/1/15 (g) | 4,260 | 4,558 | ||
Cricket Communications, Inc. 7.75% 10/15/20 (g) | 1,995 | 1,935 | ||
Digicel Group Ltd.: | ||||
8.25% 9/1/17 (g) | 2,390 | 2,477 | ||
8.875% 1/15/15 (g) | 23,300 | 23,766 | ||
9.125% 1/15/15 pay-in-kind (g)(l) | 14,920 | 15,256 | ||
10.5% 4/15/18 (g) | 30,980 | 34,506 | ||
12% 4/1/14 (g) | 9,725 | 11,281 | ||
Intelsat Jackson Holdings SA: | ||||
7.25% 4/1/19 (g) | 11,235 | 11,207 | ||
7.5% 4/1/21 (g) | 21,055 | 21,055 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA: - continued | ||||
8.5% 11/1/19 | $ 4,220 | $ 4,484 | ||
9.5% 6/15/16 | 19,260 | 20,223 | ||
MTS International Funding Ltd. 8.625% 6/22/20 (g) | 4,255 | 4,846 | ||
NII Capital Corp.: | ||||
7.625% 4/1/21 | 10,095 | 10,524 | ||
10% 8/15/16 | 10,285 | 11,931 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g) | 11,684 | 11,450 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (g) | 6,050 | 6,383 | ||
VimpelCom Holdings BV: | ||||
4.2465% 6/29/14 (g)(l) | 2,060 | 2,060 | ||
7.5043% 3/1/22 (g) | 26,110 | 26,110 | ||
VIP Finance Ireland Ltd.: | ||||
6.493% 2/2/16 (g) | 4,005 | 4,110 | ||
7.748% 2/2/21 (g) | 15,300 | 15,721 | ||
| 243,883 | |||
TOTAL TELECOMMUNICATION SERVICES | 581,733 | |||
UTILITIES - 2.2% | ||||
Electric Utilities - 0.5% | ||||
Aguila 3 SA 7.875% 1/31/18 (g) | 2,890 | 2,962 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (g) | 2,355 | 2,755 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (g) | 1,935 | 1,954 | ||
Intergen NV 9% 6/30/17 (g) | 17,825 | 18,850 | ||
Majapahit Holding BV: | ||||
7.75% 10/17/16 (Reg. S) | 4,235 | 4,923 | ||
7.75% 1/20/20 (g) | 3,370 | 3,943 | ||
8% 8/7/19 (g) | 2,455 | 2,903 | ||
National Power Corp. 6.875% 11/2/16 (g) | 1,890 | 2,164 | ||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. 11.5% 10/1/20 (g) | 4,785 | 4,737 | ||
| 45,191 | |||
Gas Utilities - 0.2% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,685 | 1,811 | ||
Corporate Bonds - continued | ||||
| Principal | Value | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | $ 6,645 | $ 7,739 | ||
8% 3/1/32 | 3,550 | 4,448 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,532 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g) | 7,290 | 7,071 | ||
| 23,601 | |||
Independent Power Producers & Energy Traders - 1.5% | ||||
Calpine Corp. 7.875% 1/15/23 (g) | 26,885 | 27,692 | ||
Energy Future Holdings Corp. 10% 1/15/20 | 8,880 | 9,391 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
10% 12/1/20 | 38,268 | 40,755 | ||
11% 10/1/21 (g) | 30,866 | 30,712 | ||
NRG Energy, Inc.: | ||||
7.625% 5/15/19 (g) | 7,135 | 7,064 | ||
7.875% 5/15/21 (g) | 7,135 | 7,081 | ||
Power Sector Assets and Liabilities Management Corp.: | ||||
7.25% 5/27/19 (g) | 2,795 | 3,312 | ||
7.39% 12/2/24 (g) | 2,880 | 3,413 | ||
TXU Corp.: | ||||
6.5% 11/15/24 | 11,785 | 5,893 | ||
6.55% 11/15/34 | 18,090 | 8,864 | ||
| 144,177 | |||
Water Utilities - 0.0% | ||||
Companhia de Saneamento Basico do Estado de Sao Paulo (SABESP) 6.25% 12/16/20 (g) | 1,915 | 1,963 | ||
TOTAL UTILITIES | 214,932 | |||
TOTAL NONCONVERTIBLE BONDS | 3,407,326 | |||
TOTAL CORPORATE BONDS (Cost $3,339,077) | 3,530,911 | |||
U.S. Government and Government Agency Obligations - 20.7% | ||||
| Principal | Value | ||
U.S. Government Agency Obligations - 1.3% | ||||
Fannie Mae: | ||||
0.375% 12/28/12 | $ 9,070 | $ 9,071 | ||
0.5% 8/9/13 | 5,689 | 5,681 | ||
1.125% 6/27/14 | 3,411 | 3,429 | ||
Federal Home Loan Bank: | ||||
0.875% 8/22/12 | 4,890 | 4,919 | ||
0.875% 12/27/13 | 775 | 778 | ||
1.875% 6/21/13 | 36,440 | 37,411 | ||
Freddie Mac: | ||||
0.375% 11/30/12 | 1,683 | 1,683 | ||
1% 7/30/14 | 9,300 | 9,286 | ||
1% 8/27/14 | 4,688 | 4,682 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 13,892 | 16,008 | ||
Private Export Funding Corp. secured: | ||||
4.974% 8/15/13 | 1,515 | 1,655 | ||
5.685% 5/15/12 | 1,285 | 1,345 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B, Class 1 5.136% 8/10/13 | 211 | 224 | ||
Tennessee Valley Authority: | ||||
3.875% 2/15/21 | 14,690 | 15,079 | ||
5.25% 9/15/39 | 5,600 | 5,930 | ||
5.375% 4/1/56 | 7,000 | 7,516 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 124,697 | |||
U.S. Treasury Inflation Protected Obligations - 0.2% | ||||
U.S. Treasury Inflation-Indexed Bonds 2.125% 2/15/41 | 13,737 | 14,953 | ||
U.S. Treasury Obligations - 16.8% | ||||
U.S. Treasury Bonds: | ||||
3.875% 8/15/40 | 31,273 | 28,634 | ||
4.375% 5/15/41 | 119,358 | 119,190 | ||
4.75% 2/15/41 | 48,702 | 51,769 | ||
5.25% 2/15/29 | 34,710 | 40,041 | ||
6.125% 8/15/29 | 9,487 | 12,051 | ||
6.25% 8/15/23 (k) | 36,125 | 45,800 | ||
7.5% 11/15/16 | 2,850 | 3,675 | ||
7.5% 11/15/24 | 10,690 | 15,046 | ||
7.625% 2/15/25 | 11,000 | 15,661 | ||
7.875% 2/15/21 | 6,800 | 9,531 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Bonds: - continued | ||||
8% 11/15/21 | $ 11,000 | $ 15,651 | ||
8.125% 5/15/21 | 9,286 | 13,250 | ||
9.875% 11/15/15 | 11,595 | 15,740 | ||
U.S. Treasury Notes: | ||||
0.375% 6/30/13 | 241,750 | 241,286 | ||
0.5% 5/31/13 | 45,989 | 46,029 | ||
0.75% 6/15/14 (f) | 145,505 | 145,289 | ||
1% 5/15/14 | 73,795 | 74,262 | ||
1.25% 8/31/15 | 15,400 | 15,323 | ||
1.25% 10/31/15 | 24,400 | 24,181 | ||
1.375% 2/15/13 | 30,123 | 30,600 | ||
1.5% 6/30/16 | 21,732 | 21,454 | ||
1.875% 6/30/15 | 17,707 | 18,112 | ||
1.875% 8/31/17 | 7,700 | 7,541 | ||
1.875% 9/30/17 | 5,400 | 5,276 | ||
2.125% 5/31/15 | 20,082 | 20,752 | ||
2.375% 8/31/14 | 13,000 | 13,598 | ||
2.375% 9/30/14 | 8,471 | 8,863 | ||
2.375% 10/31/14 | 49,620 | 51,884 | ||
2.375% 7/31/17 | 20,000 | 20,200 | ||
2.375% 6/30/18 | 123,218 | 122,217 | ||
2.5% 3/31/15 | 58,749 | 61,608 | ||
2.625% 7/31/14 | 66,965 | 70,564 | ||
2.625% 4/30/16 | 3,137 | 3,276 | ||
2.75% 11/30/16 | 10,000 | 10,419 | ||
3% 9/30/16 | 8,408 | 8,886 | ||
3% 2/28/17 | 66,584 | 70,012 | ||
3.125% 10/31/16 | 20,033 | 21,279 | ||
3.125% 1/31/17 | 30,990 | 32,832 | ||
3.125% 5/15/19 | 16,237 | 16,749 | ||
3.125% 5/15/21 | 7,056 | 7,031 | ||
3.375% 6/30/13 | 8,470 | 8,961 | ||
3.625% 8/15/19 | 5,731 | 6,102 | ||
3.625% 2/15/21 | 906 | 944 | ||
4.25% 11/15/17 | 28,890 | 32,359 | ||
4.5% 5/15/17 | 13,745 | 15,587 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 1,619,515 | |||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Other Government Related - 2.4% | ||||
Bank of America Corp.: | ||||
2.1% 4/30/12 (FDIC Guaranteed) (i) | $ 3,013 | $ 3,060 | ||
3.125% 6/15/12 (FDIC Guaranteed) (i) | 45 | 46 | ||
Citibank NA: | ||||
1.75% 12/28/12 (FDIC Guaranteed) (i) | 15,000 | 15,278 | ||
1.875% 5/7/12 (FDIC Guaranteed) (i) | 18,000 | 18,252 | ||
Citigroup Funding, Inc.: | ||||
1.875% 10/22/12 (FDIC Guaranteed) (i) | 29,000 | 29,560 | ||
1.875% 11/15/12 (FDIC Guaranteed) (i) | 6,937 | 7,064 | ||
2% 3/30/12 (FDIC Guaranteed) (i) | 10,000 | 10,141 | ||
2.125% 7/12/12 (FDIC Guaranteed) (i) | 2,505 | 2,554 | ||
General Electric Capital Corp.: | ||||
2% 9/28/12 (FDIC Guaranteed) (i) | 19,526 | 19,886 | ||
2.125% 12/21/12 (FDIC Guaranteed) (i) | 15,000 | 15,355 | ||
2.625% 12/28/12 (FDIC Guaranteed) (i) | 5,402 | 5,564 | ||
3% 12/9/11 (FDIC Guaranteed) (i) | 3,120 | 3,158 | ||
GMAC, Inc. 1.75% 10/30/12 (FDIC Guaranteed) (i) | 21,000 | 21,354 | ||
Goldman Sachs Group, Inc. 3.25% 6/15/12 (FDIC Guaranteed) (i) | 45 | 46 | ||
JPMorgan Chase & Co.: | ||||
2.2% 6/15/12 (FDIC Guaranteed) (i) | 5,230 | 5,325 | ||
3.125% 12/1/11 (FDIC Guaranteed) (i) | 520 | 526 | ||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5539% 12/7/20 (NCUA Guaranteed) (l) | 5,046 | 5,060 | ||
Series 2011-R1 Class 1A, 0.6398% 1/8/20 (NCUA Guaranteed) (l) | 7,695 | 7,707 | ||
Series 2011-R4 Class 1A, 0.5895% 3/6/20 (NCUA Guaranteed) (l) | 5,420 | 5,423 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
1.4% 6/12/15 (NCUA Guaranteed) | 3,550 | 3,555 | ||
2.35% 6/12/17 (NCUA Guaranteed) | 31,000 | 30,650 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 24,905 | ||
TOTAL OTHER GOVERNMENT RELATED | 234,469 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,963,107) | 1,993,634 | |||
U.S. Government Agency - Mortgage Securities - 1.8% | ||||
| Principal | Value | ||
Fannie Mae - 0.9% | ||||
2.05% 9/1/33 (l) | $ 770 | $ 798 | ||
2.05% 11/1/35 (l) | 850 | 887 | ||
2.297% 11/1/33 (l) | 152 | 158 | ||
2.479% 10/1/35 (l) | 114 | 118 | ||
2.509% 2/1/36 (l) | 156 | 163 | ||
2.526% 6/1/47 (l) | 210 | 220 | ||
2.534% 1/1/35 (l) | 443 | 461 | ||
2.538% 7/1/35 (l) | 378 | 395 | ||
2.545% 3/1/33 (l) | 219 | 228 | ||
2.584% 6/1/36 (l) | 60 | 63 | ||
2.587% 5/1/35 (l) | 1,494 | 1,569 | ||
2.593% 2/1/37 (l) | 863 | 903 | ||
2.605% 11/1/36 (l) | 69 | 72 | ||
2.632% 4/1/36 (l) | 684 | 718 | ||
2.837% 9/1/36 (l) | 209 | 219 | ||
3.117% 8/1/35 (l) | 1,103 | 1,171 | ||
3.5% 12/1/25 to 3/1/41 | 52,600 | 50,357 | ||
3.691% 5/1/40 (l) | 2,884 | 3,023 | ||
3.697% 5/1/40 (l) | 3,433 | 3,599 | ||
3.789% 6/1/40 (l) | 3,002 | 3,149 | ||
3.838% 5/1/36 (l) | 126 | 132 | ||
3.972% 11/1/39 (l) | 2,571 | 2,708 | ||
4% 9/1/13 | 190 | 198 | ||
5% 2/1/16 to 5/1/22 | 77 | 81 | ||
5.5% 5/1/15 to 4/1/21 | 8,809 | 9,567 | ||
5.963% 3/1/37 (l) | 131 | 142 | ||
6% 6/1/16 to 10/1/38 | 1,421 | 1,560 | ||
6% 7/1/41 (j) | 500 | 549 | ||
6.5% 12/1/12 to 5/1/27 | 659 | 730 | ||
7.5% 1/1/28 | 77 | 88 | ||
TOTAL FANNIE MAE | 84,026 | |||
Freddie Mac - 0.4% | ||||
1.945% 3/1/35 (l) | 256 | 264 | ||
2.046% 5/1/37 (l) | 151 | 157 | ||
2.075% 3/1/37 (l) | 52 | 54 | ||
2.244% 1/1/36 (l) | 105 | 108 | ||
2.328% 6/1/33 (l) | 470 | 488 | ||
2.474% 12/1/33 (l) | 967 | 1,012 | ||
2.487% 10/1/35 (l) | 516 | 539 | ||
2.508% 12/1/36 (l) | 1,577 | 1,647 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Freddie Mac - continued | ||||
2.51% 5/1/37 (l) | $ 1,478 | $ 1,555 | ||
2.51% 5/1/37 (l) | 835 | 875 | ||
2.54% 6/1/37 (l) | 459 | 483 | ||
2.557% 4/1/37 (l) | 172 | 180 | ||
2.615% 9/1/35 (l) | 88 | 93 | ||
2.635% 7/1/35 (l) | 503 | 523 | ||
2.654% 2/1/36 (l) | 24 | 25 | ||
2.694% 5/1/37 (l) | 130 | 137 | ||
2.715% 10/1/36 (l) | 610 | 637 | ||
2.772% 1/1/35 (l) | 1,269 | 1,330 | ||
3.021% 7/1/35 (l) | 360 | 381 | ||
3.162% 1/1/37 (l) | 481 | 502 | ||
3.281% 10/1/35 (l) | 86 | 92 | ||
3.416% 4/1/35 (l) | 1,093 | 1,155 | ||
3.801% 4/1/40 (l) | 2,834 | 2,970 | ||
4.5% 8/1/33 | 421 | 439 | ||
5.138% 4/1/35 (l) | 57 | 61 | ||
5.5% 11/1/18 to 11/1/21 | 22,830 | 24,762 | ||
5.847% 6/1/37 (l) | 57 | 60 | ||
5.931% 6/1/37 (l) | 105 | 110 | ||
6.147% 7/1/36 (l) | 199 | 210 | ||
6.383% 8/1/37 (l) | 270 | 288 | ||
6.473% 2/1/37 (l) | 101 | 105 | ||
6.5% 2/1/13 to 3/1/22 | 2,981 | 3,253 | ||
7.22% 4/1/37 (l) | 9 | 9 | ||
8.5% 3/1/20 | 4 | 5 | ||
TOTAL FREDDIE MAC | 44,509 | |||
Ginnie Mae - 0.5% | ||||
3.5% 7/1/41 (j) | 10,400 | 10,085 | ||
4% 9/15/25 | 997 | 1,052 | ||
4.751% 12/20/60 (q) | 3,336 | 3,572 | ||
5.492% 4/20/60 (q) | 9,031 | 9,922 | ||
5.5% 2/20/60 (q) | 19,582 | 21,422 | ||
7% 9/15/25 to 8/15/31 | 49 | 57 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal | Value | ||
Ginnie Mae - continued | ||||
7.5% 2/15/22 to 8/15/28 | $ 88 | $ 101 | ||
8% 9/15/26 to 12/15/26 | 10 | 12 | ||
TOTAL GINNIE MAE | 46,223 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $172,683) | 174,758 | |||
Asset-Backed Securities - 0.0% | ||||
| ||||
Amstel Corp. Loan Offering BV Series 2007-1 Class B, 1.796% 3/25/17 (l) | EUR | 1,009 | 1,434 | |
Auto ABS Compartiment Series 2006-1 Class B, 1.599% 7/25/17 (l) | EUR | 500 | 708 | |
Clock Finance BV Series 2007-1: | ||||
Class B2, 1.654% 2/25/15 (l) | EUR | 700 | 975 | |
Class C2, 1.834% 2/25/15 (l) | EUR | 400 | 551 | |
Geldilux Ltd. Series 2007-TS Class C, 1.769% 9/8/14 (l) | EUR | 400 | 557 | |
Leek Finance PLC: | ||||
Series 17X Class A2A, 0.9456% 12/21/37 (l) | GBP | 169 | 261 | |
Series 18X Class BC, 1.902% 9/21/38 (l) | EUR | 600 | 779 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 69 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,186) | 5,334 | |||
Collateralized Mortgage Obligations - 2.7% | ||||
| ||||
Private Sponsor - 0.0% | ||||
Fosse Master Issuer PLC Series 2011-1X Class A4, 2.583% 10/18/54 (l) | EUR | 2,100 | 3,046 | |
Granite Mortgages PLC 1.145% 3/20/44 (l) | GBP | 226 | 348 | |
TOTAL PRIVATE SPONSOR | 3,394 | |||
U.S. Government Agency - 2.7% | ||||
Fannie Mae: | ||||
planned amortization class Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,379 | ||
sequential payer: | ||||
Series 2007-113 Class DB, 4.5% 12/25/22 | 5,060 | 5,504 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
sequential payer: | ||||
Series 2009-14 Class EB, 4.5% 3/25/24 | $ 3,710 | $ 4,023 | ||
Series 2010-97 Class CX, 4.5% 9/25/25 | 5,300 | 5,543 | ||
Series 2010-109 Class IM, 5.5% 9/25/40 (n) | 10,772 | 2,075 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (n) | 6,900 | 805 | ||
Fannie Mae subordinate REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.6858% 9/25/23 (l) | 2,182 | 2,185 | ||
Series 2010-86 Class FE, 0.6358% 8/25/25 (l) | 3,246 | 3,257 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 89 | 96 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,515 | 1,610 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 890 | 947 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 1,850 | 1,928 | ||
Series 2004-81 Class KD, 4.5% 7/25/18 | 3,435 | 3,588 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 1,016 | 1,091 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 303 | 331 | ||
Series 2004-95 Class AN, 5.5% 1/25/25 | 1,102 | 1,185 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 827 | ||
Series 2005-47 Class HK, 4.5% 6/25/20 | 3,680 | 3,993 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,793 | ||
Series 2008-27 Class KB, 4.5% 4/25/23 | 2,090 | 2,273 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (n) | 1,731 | 208 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (n) | 3,377 | 393 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (n) | 5,661 | 1,082 | ||
Federal HMLC Multi-class participation certificates guaranteed floater Series 3835, 0.537% 5/15/38 (l) | 15,166 | 15,164 | ||
Freddie Mac planned amortization class: | ||||
Series 2101 Class PD, 6% 11/15/28 | 183 | 203 | ||
Series 2115 Class PE, 6% 1/15/14 | 41 | 43 | ||
Freddie Mac Multi-class participation certificates guaranteed: | ||||
floater: | ||||
Series 2630 Class FL, 0.6871% 6/15/18 (l) | 86 | 87 | ||
Series 3346 Class FA, 0.4171% 2/15/19 (l) | 10,543 | 10,554 | ||
planned amortization class: | ||||
Series 2376 Class JE, 5.5% 11/15/16 | 335 | 360 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 223 | 239 | ||
Series 2425 Class JH, 6% 3/15/17 | 423 | 461 | ||
Series 2628 Class OE, 4.5% 6/15/18 | 1,630 | 1,751 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Freddie Mac Multi-class participation certificates guaranteed: - continued | ||||
planned amortization class: | ||||
Series 2672 Class MG, 5% 9/15/23 | $ 3,360 | $ 3,676 | ||
Series 2695 Class DG, 4% 10/15/18 | 3,865 | 4,084 | ||
Series 2831 Class PB, 5% 7/15/19 | 3,990 | 4,347 | ||
Series 2866 Class XE, 4% 12/15/18 | 5,495 | 5,742 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 467 | 517 | ||
Series 3147 Class PF, 0.4871% 4/15/36 (l) | 4,695 | 4,672 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 523 | 582 | ||
Series 2570 Class CU, 4.5% 7/15/17 | 62 | 64 | ||
Series 2572 Class HK, 4% 2/15/17 | 33 | 33 | ||
Series 2627: | ||||
Class BG, 3.25% 6/15/17 | 54 | 55 | ||
Class KP, 2.87% 12/15/16 | 26 | 27 | ||
Series 2645, Class BY, 4.5% 7/15/18 | 2,270 | 2,470 | ||
Series 2668 Class AZ, 4% 9/15/18 | 3,407 | 3,548 | ||
Series 2860 Class CP, 4% 10/15/17 | 12 | 12 | ||
Series 2887 Class EB, 4.5% 11/15/19 | 5,100 | 5,546 | ||
Series 2930 Class KT, 4.5% 2/15/20 | 3,180 | 3,456 | ||
Series 2987 Class HE, 4.5% 6/15/20 | 4,420 | 4,790 | ||
Series 3277 Class B, 4% 2/15/22 | 2,800 | 2,968 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,441 | ||
Series 3578, Class B, 4.5% 9/15/24 | 3,740 | 4,028 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 2,155 | 2,339 | ||
Series 2863 Class DB, 4% 9/15/14 | 94 | 95 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2010-H17 Class FA, 0.5158% 7/20/60 (l)(q) | 5,537 | 5,474 | ||
Series 2010-H18 Class AF, 0.543% 9/20/60 (l)(q) | 5,762 | 5,701 | ||
Series 2010-H19 Class FG, 0.4858% 8/20/60 (l)(q) | 7,324 | 7,211 | ||
Series 2010-H27 Series FA, 0.5903% 12/20/60 (l)(q) | 2,407 | 2,378 | ||
Series 2011-H03 Class FA, 0.6858% 1/20/61 (l)(q) | 8,368 | 8,326 | ||
Series 2011-H05 Class FA, 0.6858% 12/20/60 (l)(q) | 4,355 | 4,334 | ||
Series 2011-H07 Class FA, 0.6858% 2/20/61 (l)(q) | 7,895 | 7,871 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal | Value | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: | ||||
Series 2011-H12 Class FA, 0.6758% 2/20/61 (l)(q) | $ 8,864 | $ 8,831 | ||
Series 2011-H13 Class FA, 0.6858% 4/20/61 (l)(q) | 3,825 | 3,825 | ||
Series 2011-H14: | ||||
Class FB, 0.7% 5/20/61 (l)(q) | 4,200 | 4,200 | ||
Class FC, 0.7% 5/20/61 (l)(q) | 4,450 | 4,450 | ||
planned amortization Series 2011-61 Class OP, 0% 5/20/40 | 5,363 | 4,460 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,023 | ||
Series 2004-79 Class FA, 0.4858% 1/20/31 (l) | 1,092 | 1,092 | ||
Series 2010-42 Class OP, 4/20/40 (o) | 12,279 | 9,819 | ||
Series 2011-71: | ||||
Class ZB, 5.5% 8/20/34 | 9,583 | 10,604 | ||
Class ZC, 5.5% 7/16/34 | 10,925 | 12,041 | ||
Government National Mortgage Association PSC planned amortization Series 2011-79, 6/20/40 (o) | 9,180 | 6,948 | ||
TOTAL U.S. GOVERNMENT AGENCY | 254,058 | |||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $255,453) | 257,452 | |||
Commercial Mortgage Securities - 0.1% | ||||
| ||||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.3269% 10/22/37 (l) | GBP | 1,000 | 1,011 | |
German Residential Asset Note Distributor PLC Series 1 Class A, 1.578% 7/20/16 (l) | EUR | 1,190 | 1,647 | |
London & Regional Debt Securitisation No. 1 PLC Class A, 1.0294% 10/15/14 (l) | GBP | 650 | 969 | |
REC Plantation Place Ltd. Series 5 Class A, 1.0494% 7/25/16 (Reg. S) (l) | GBP | 869 | 1,310 | |
Skyline BV Series 2007-1 Class D, 2.159% 7/22/43 (l) | EUR | 1,100 | 1,436 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $7,346) | 6,373 | |||
Foreign Government and Government Agency Obligations - 21.6% | ||||
| Principal | Value | ||
Arab Republic of Egypt: | ||||
5.75% 4/29/20 (g) | $ 1,990 | $ 1,997 | ||
6.875% 4/30/40 (g) | 2,275 | 2,190 | ||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 9,023 | 7,963 | ||
0.4677% 8/3/12 (l) | 39,515 | 38,682 | ||
2.5% 12/31/38 (e) | 7,920 | 3,445 | ||
7% 9/12/13 | 24,250 | 24,624 | ||
7% 10/3/15 | 22,860 | 22,117 | ||
Aruba Government 6.4% 9/6/15 (g) | 1,271 | 1,336 | ||
Austrian Republic: | ||||
3.65% 4/20/22 | EUR | 5,500 | 8,032 | |
4% 9/15/16 (g) | EUR | 22,100 | 33,842 | |
Bahamian Republic 6.95% 11/20/29 (g) | 3,095 | 3,343 | ||
Bahrain Kingdom 5.5% 3/31/20 | 2,175 | 2,126 | ||
Banco Central del Uruguay: | ||||
value recovery A rights 1/2/21 (p) | 500,000 | 0 | ||
value recovery B rights 1/2/21 (p) | 750,000 | 0 | ||
Barbados Government 7.25% 12/15/21 (g) | 1,956 | 2,054 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 8,745 | 7,871 | ||
8.95% 1/26/18 | 3,645 | 3,208 | ||
Bermuda Government 5.603% 7/20/20 (g) | 1,935 | 2,143 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 6,025 | 6,182 | ||
6% 1/17/17 | 4,185 | 4,892 | ||
7.125% 1/20/37 | 4,575 | 5,639 | ||
8.25% 1/20/34 | 1,500 | 2,059 | ||
8.75% 2/4/25 | 2,560 | 3,635 | ||
10.125% 5/15/27 | 3,250 | 5,086 | ||
12.25% 3/6/30 | 3,130 | 5,728 | ||
Bulgarian Republic 8.25% 1/15/15 (Reg. S) | 1,730 | 2,020 | ||
Canadian Government: | ||||
1% 9/1/11 | CAD | 145,600 | 150,981 | |
2% 6/1/16 | CAD | 13,355 | 13,637 | |
3.5% 6/1/20 | CAD | 25,350 | 27,266 | |
5% 6/1/37 | CAD | 23,900 | 30,697 | |
Central Bank of Nigeria warrants 11/15/20 (a)(p) | 2,750 | 495 | ||
Colombian Republic: | ||||
7.375% 1/27/17 | 2,905 | 3,559 | ||
7.375% 9/18/37 | 6,100 | 7,686 | ||
10.375% 1/28/33 | 4,515 | 7,134 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Colombian Republic: - continued | ||||
11.75% 2/25/20 | $ 2,910 | $ 4,496 | ||
Congo Republic 3% 6/30/29 (e) | 6,061 | 3,940 | ||
Croatia Republic: | ||||
6.375% 3/24/21 (g) | 5,215 | 5,404 | ||
6.625% 7/14/20 (g) | 6,600 | 6,988 | ||
6.75% 11/5/19 (g) | 3,985 | 4,295 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
6.25% 10/4/20 (g) | 4,800 | 4,836 | ||
7.4% 1/22/15 (g) | 5,145 | 5,608 | ||
8.25% 10/24/12 (g) | 1,910 | 2,037 | ||
Dominican Republic: | ||||
1.2156% 8/30/24 (l) | 5,813 | 5,130 | ||
7.5% 5/6/21 (g) | 3,030 | 3,151 | ||
9.04% 1/23/18 (g) | 2,672 | 3,000 | ||
9.5% 9/27/11 (Reg. S) | 2,181 | 2,220 | ||
Dutch Government: | ||||
2.5% 1/15/17 | EUR | 20,000 | 28,572 | |
3.25% 7/15/21 | EUR | 10,000 | 14,388 | |
El Salvador Republic: | ||||
7.375% 12/1/19 (g) | 1,865 | 2,052 | ||
7.625% 2/1/41 (g) | 2,045 | 2,096 | ||
7.65% 6/15/35 (Reg. S) | 2,935 | 3,038 | ||
7.75% 1/24/23 (Reg. S) | 2,400 | 2,712 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,604 | ||
Finnish Government 3.375% 4/15/20 | EUR | 13,900 | 20,356 | |
French Republic: | ||||
OAT 4.5% 4/25/41 | EUR | 15,475 | 23,532 | |
3.25% 10/25/21 | EUR | 47,950 | 67,949 | |
4% 4/25/55 | EUR | 5,750 | 7,957 | |
Gabonese Republic 8.2% 12/12/17 (g) | 3,225 | 3,781 | ||
Georgia Republic 6.875% 4/12/21 (g) | 4,895 | 5,017 | ||
German Federal Republic: | ||||
1.25% 9/16/11 | EUR | 69,550 | 100,182 | |
3.25% 7/4/21 | EUR | 19,500 | 28,814 | |
3.25% 7/4/42 | EUR | 3,930 | 5,172 | |
Ghana Republic: | ||||
8.5% 10/4/17 (g) | 3,040 | 3,428 | ||
14.25% 7/29/13 | GHS | 3,400 | 2,292 | |
14.99% 3/11/13 | GHS | 13,200 | 8,992 | |
15.65% 6/3/13 | GHS | 1,315 | 909 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Hungarian Republic: | ||||
6.25% 1/29/20 | $ 3,390 | $ 3,576 | ||
6.375% 3/29/21 | 8,049 | 8,492 | ||
7.625% 3/29/41 | 3,885 | 4,196 | ||
Indonesian Republic: | ||||
4.875% 5/5/21 (g) | 2,130 | 2,189 | ||
5.875% 3/13/20 (g) | 6,015 | 6,692 | ||
6.625% 2/17/37 (g) | 4,025 | 4,478 | ||
6.875% 1/17/18 (g) | 3,830 | 4,486 | ||
7.5% 1/15/16 (g) | 2,045 | 2,426 | ||
7.75% 1/17/38 (g) | 6,585 | 8,248 | ||
8.5% 10/12/35 (Reg. S) | 4,790 | 6,467 | ||
11.625% 3/4/19 (g) | 6,320 | 9,338 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (g) | 12,060 | 10,432 | ||
Israeli State 5.5% 12/4/23 | 12,355 | 14,276 | ||
Italian Republic: | ||||
3% 4/1/14 | EUR | 35,000 | 50,033 | |
3.75% 4/15/16 | EUR | 42,325 | 60,127 | |
4.75% 9/1/21 | EUR | 53,800 | 77,550 | |
5% 9/1/40 | EUR | 21,275 | 28,197 | |
Japan Government: | ||||
0.3% 12/15/11 | JPY | 6,280,000 | 78,025 | |
1.1% 6/20/20 | JPY | 5,422,500 | 68,005 | |
1.8% 6/20/18 | JPY | 1,800,000 | 24,031 | |
1.9% 9/20/30 | JPY | 3,480,000 | 43,384 | |
2% 9/20/40 | JPY | 495,000 | 6,103 | |
Jordanian Kingdom 3.875% 11/12/15 | 2,235 | 2,129 | ||
Lebanese Republic 4% 12/31/17 | 10,104 | 9,738 | ||
Lithuanian Republic: | ||||
5.125% 9/14/17 (g) | 1,670 | 1,716 | ||
6.125% 3/9/21 (g) | 2,105 | 2,234 | ||
6.75% 1/15/15 (g) | 4,235 | 4,664 | ||
7.375% 2/11/20 (g) | 4,305 | 4,962 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 1,611 | 1,402 | ||
5.625% 11/18/50 | 5,180 | 4,882 | ||
7.35% 7/21/25 | 2,985 | 3,634 | ||
8.75% 11/21/33 | 7,050 | 9,606 | ||
Philippine Republic: | ||||
5.5% 3/30/26 | 2,035 | 2,086 | ||
6.375% 1/15/32 | 2,020 | 2,215 | ||
6.375% 10/23/34 | 2,975 | 3,261 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Philippine Republic: - continued | ||||
6.5% 1/20/20 | $ 2,960 | $ 3,448 | ||
9.5% 2/2/30 | 2,355 | 3,421 | ||
10.625% 3/16/25 | 3,140 | 4,789 | ||
Polish Government: | ||||
3.875% 7/16/15 | 1,945 | 2,008 | ||
4% 3/23/21 | EUR | 9,650 | 12,999 | |
Provincia de Cordoba 12.375% 8/17/17 (g) | 4,690 | 4,901 | ||
Provincia de Neuquen Argentina 7.875% 4/26/21 (g) | 2,050 | 2,096 | ||
Republic of Iceland 4.875% 6/16/16 (g) | 2,240 | 2,248 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 12,350 | 11,115 | ||
Republic of Nigeria 6.75% 1/28/21 (g) | 4,605 | 4,835 | ||
Republic of Senegal 8.75% 5/13/21 (g) | 3,520 | 3,621 | ||
Republic of Serbia 6.75% 11/1/24 (g) | 23,823 | 23,823 | ||
Russian Federation: | ||||
3.625% 4/29/15 (g) | 7,100 | 7,278 | ||
5% 4/29/20 (g) | 11,000 | 11,344 | ||
7.5% 3/31/30 (Reg. S) | 57,778 | 68,091 | ||
11% 7/24/18 (Reg. S) | 1,310 | 1,870 | ||
12.75% 6/24/28 (Reg. S) | 8,740 | 15,470 | ||
Spanish Kingdom 5.5% 4/30/21 | EUR | 5,800 | 8,454 | |
Turkish Republic: | ||||
5.625% 3/30/21 | 4,440 | 4,646 | ||
6% 1/14/41 | 2,250 | 2,192 | ||
6.75% 4/3/18 | 6,910 | 7,857 | ||
6.75% 5/30/40 | 5,740 | 6,199 | ||
6.875% 3/17/36 | 12,320 | 13,552 | ||
7% 9/26/16 | 7,190 | 8,236 | ||
7.25% 3/15/15 | 4,505 | 5,138 | ||
7.25% 3/5/38 | 8,050 | 9,253 | ||
7.375% 2/5/25 | 12,330 | 14,605 | ||
7.5% 7/14/17 | 7,085 | 8,328 | ||
7.5% 11/7/19 | 5,465 | 6,487 | ||
11.875% 1/15/30 | 4,915 | 8,356 | ||
UK Treasury Index-Linked GILT: | ||||
2% 1/22/16 | GBP | 14,225 | 22,762 | |
3.75% 9/7/20 | GBP | 29,850 | 49,286 | |
4.25% 3/7/36 | GBP | 14,400 | 23,015 | |
4.25% 12/7/40 | GBP | 29,300 | 46,735 | |
5% 3/7/12 | GBP | 28,150 | 46,527 | |
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g) | 4,100 | 4,274 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Ukraine Government: | ||||
6.25% 6/17/16 (g) | $ 3,595 | $ 3,591 | ||
6.385% 6/26/12 (g) | 5,300 | 5,433 | ||
6.75% 11/14/17 (g) | 5,725 | 5,754 | ||
6.875% 9/23/15 (g) | 3,325 | 3,436 | ||
7.65% 6/11/13 (g) | 3,195 | 3,356 | ||
7.75% 9/23/20 (g) | 3,430 | 3,555 | ||
7.95% 2/23/21 (g) | 3,275 | 3,411 | ||
United Arab Emirates 7.75% 10/5/20 (Reg. S) | 2,145 | 2,276 | ||
United Mexican States: | ||||
5.125% 1/15/20 | 6,648 | 7,180 | ||
5.625% 1/15/17 | 7,506 | 8,538 | ||
5.75% 10/12/10 | 5,246 | 4,889 | ||
5.95% 3/19/19 | 4,230 | 4,854 | ||
6.05% 1/11/40 | 13,914 | 14,804 | ||
6.75% 9/27/34 | 6,070 | 7,056 | ||
7.5% 4/8/33 | 2,770 | 3,490 | ||
8.3% 8/15/31 | 2,600 | 3,562 | ||
Uruguay Republic: | ||||
6.875% 9/28/25 | 1,675 | 2,039 | ||
7.875% 1/15/33 pay-in-kind | 3,815 | 4,816 | ||
8% 11/18/22 | 6,512 | 8,426 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (p) | 10,801 | 294 | ||
6% 12/9/20 | 4,800 | 2,971 | ||
7% 3/31/38 | 4,180 | 2,393 | ||
8.5% 10/8/14 | 5,030 | 4,552 | ||
9% 5/7/23 (Reg. S) | 19,960 | 14,351 | ||
9.25% 9/15/27 | 13,485 | 10,114 | ||
9.25% 5/7/28 (Reg. S) | 8,130 | 5,675 | ||
9.375% 1/13/34 | 6,705 | 4,720 | ||
10.75% 9/19/13 | 5,178 | 5,113 | ||
12.75% 8/23/22 | 17,825 | 15,953 | ||
13.625% 8/15/18 | 9,795 | 9,746 | ||
Vietnamese Socialist Republic: | ||||
1.274% 3/12/16 (l) | 3,228 | 3,067 | ||
4% 3/12/28 (e) | 12,550 | 10,605 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal | Value | ||
Vietnamese Socialist Republic: - continued | ||||
6.75% 1/29/20 (g) | $ 3,350 | $ 3,484 | ||
6.875% 1/15/16 (g) | 5,315 | 5,660 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $1,977,643) | 2,077,320 | |||
Supranational Obligations - 0.0% | ||||
| ||||
Eurasian Development Bank 7.375% 9/29/14 (g) | 1,865 | 2,052 |
Common Stocks - 1.1% | |||
Shares |
| ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Remy International, Inc. (a) | 122,400 | 3,183 | |
|
| ||
Automobiles - 0.1% | |||
General Motors Co.: | |||
warrants 7/10/16 (a) | 127,671 | 2,732 | |
warrants 7/10/19 (a) | 127,671 | 2,034 | |
| 4,766 | ||
Media - 0.1% | |||
Haights Cross Communications, Inc. (a) | 8,267 | 61 | |
Haights Cross Communications, Inc. warrants 3/11/13 (a) | 11,481 | 4 | |
HMH Holdings, Inc. (a)(u) | 2,469,644 | 11,731 | |
HMH Holdings, Inc. warrants 3/9/17 (a)(u) | 636,272 | 318 | |
RDA Holding Co. warrants 2/19/14 (a)(u) | 9,559 | 26 | |
| 12,140 | ||
TOTAL CONSUMER DISCRETIONARY | 20,089 | ||
FINANCIALS - 0.0% | |||
Diversified Financial Services - 0.0% | |||
New Penhall Holding Co.: | |||
Class A (a) | 6,088 | 685 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
FINANCIALS - continued | |||
Diversified Financial Services - continued | |||
New Penhall Holding Co.: - continued | |||
Class B (a) | 2,029 | $ 228 | |
Station Holdco LLC (s)(u) | 3,699,288 | 3,699 | |
| 4,612 | ||
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 7 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc. (a) | 20,026 | 184 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 266,722 | 9,599 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 57 | |
| 9,656 | ||
Marine - 0.0% | |||
US Shipping Partners Corp. (a) | 12,063 | 0 | |
US Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding A/S (g) | 406,681 | 6,461 | |
TOTAL INDUSTRIALS | 16,308 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
Semiconductors & Semiconductor Equipment - 0.0% | |||
MagnaChip Semiconductor Corp. (u) | 49,030 | 508 | |
MATERIALS - 0.7% | |||
Chemicals - 0.6% | |||
Celanese Corp. Class A | 8,316 | 443 | |
Chemtura Corp. (a) | 112,703 | 2,051 | |
Georgia Gulf Corp. (a) | 316,947 | 7,651 | |
LyondellBasell Industries NV Class A | 898,149 | 34,597 | |
Tronox, Inc. (a) | 95,261 | 13,337 | |
Tronox, Inc. | 16,192 | 2,040 | |
| 60,119 | ||
Containers & Packaging - 0.0% | |||
Rock-Tenn Co. Class A | 4,139 | 275 | |
Common Stocks - continued | |||
Shares | Value (000s) | ||
MATERIALS - continued | |||
Metals & Mining - 0.1% | |||
Aleris International, Inc. (u) | 38,307 | $ 2,069 | |
Rathgibson Acquisition Co. LLC Class A (a)(u) | 286,500 | 3,441 | |
| 5,510 | ||
TOTAL MATERIALS | 65,904 | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | 184 | |
TOTAL COMMON STOCKS (Cost $87,442) | 107,605 | ||
Preferred Stocks - 0.6% | |||
|
|
|
|
Convertible Preferred Stocks - 0.2% | |||
CONSUMER DISCRETIONARY - 0.2% | |||
Automobiles - 0.2% | |||
General Motors Co. 4.75% | 309,600 | 15,090 | |
Media - 0.0% | |||
Interpublic Group of Companies, Inc. 5.25% | 4,000 | 4,422 | |
TOTAL CONSUMER DISCRETIONARY | 19,512 | ||
FINANCIALS - 0.0% | |||
Real Estate Investment Trusts - 0.0% | |||
Health Care REIT, Inc. Series I, 6.50% | 32,600 | 1,720 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 21,232 | ||
Nonconvertible Preferred Stocks - 0.4% | |||
FINANCIALS - 0.4% | |||
Diversified Financial Services - 0.4% | |||
GMAC Capital Trust I Series 2, 8.125% | 608,970 | 15,590 | |
GMAC LLC 7.00% (g) | 21,976 | 20,438 | |
| 36,028 | ||
TOTAL PREFERRED STOCKS (Cost $48,311) | 57,260 |
Floating Rate Loans - 4.4% | ||||
| Principal | Value | ||
CONSUMER DISCRETIONARY - 0.7% | ||||
Auto Components - 0.0% | ||||
Remy International, Inc. Tranche B, term loan 6.25% 12/17/16 (l) | $ 254 | $ 255 | ||
Diversified Consumer Services - 0.1% | ||||
ServiceMaster Co.: | ||||
term loan 2.7129% 7/24/14 (l) | 6,234 | 6,055 | ||
Tranche DD, term loan 2.7% 7/24/14 (l) | 642 | 624 | ||
Thomson Learning Tranche B, term loan 2.44% 7/5/14 (l) | 1 | 1 | ||
| 6,680 | |||
Leisure Equipment & Products - 0.1% | ||||
SRAM LLC: | ||||
2nd LN, term loan 9.25% 12/7/18 (l) | 1,445 | 1,445 | ||
Tranche B 1LN, term loan 5.75% 6/7/18 (l) | 4,445 | 4,439 | ||
| 5,884 | |||
Media - 0.2% | ||||
Charter Communications Operating LLC Tranche B 1LN, term loan 2.19% 3/6/14 (l) | 204 | 204 | ||
Univision Communications, Inc. term loan 4.4412% 3/31/17 (l) | 21,412 | 20,342 | ||
| 20,546 | |||
Specialty Retail - 0.3% | ||||
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 6.25% 2/23/17 (l) | 8,663 | 8,620 | ||
Michaels Stores, Inc.: | ||||
Tranche B1, term loan 2.5462% 10/31/13 (l) | 8,588 | 8,416 | ||
Tranche B2, term loan 4.7962% 7/31/16 (l) | 10,157 | 10,093 | ||
| 27,129 | |||
Textiles, Apparel & Luxury Goods - 0.0% | ||||
Levi Strauss & Co. term loan 2.4358% 4/4/14 (l) | 1,580 | 1,517 | ||
TOTAL CONSUMER DISCRETIONARY | 62,011 | |||
CONSUMER STAPLES - 0.2% | ||||
Food & Staples Retailing - 0.1% | ||||
The Great Atlantic & Pacific Tea Co. Tranche 2 LN, term loan 8.75% 6/14/12 (l) | 2,425 | 2,443 | ||
U.S. Foodservice term loan 5.75% 3/31/17 (l) | 8,150 | 7,864 | ||
| 10,307 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
CONSUMER STAPLES - continued | ||||
Personal Products - 0.1% | ||||
Revlon Consumer Products Corp. term loan 4.75% 11/19/17 (l) | $ 4,700 | $ 4,700 | ||
Tobacco - 0.0% | ||||
Reynolds Consumer Products Holdings, Inc. Tranche E, term loan 4.25% 2/9/18 (l) | 2,444 | 2,429 | ||
TOTAL CONSUMER STAPLES | 17,436 | |||
ENERGY - 0.1% | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Frac Tech Holdings LLC Tranche B, term loan 6.25% 5/6/16 (l) | 11,147 | 11,119 | ||
FINANCIALS - 0.3% | ||||
Diversified Financial Services - 0.1% | ||||
Goodman Global Group, Inc. Tranche 1 LN, term loan 5.75% 10/28/16 (l) | 4,069 | 4,079 | ||
IASIS Healthcare LLC Tranche B, term loan 5% 5/3/18 (l) | 1,930 | 1,923 | ||
| 6,002 | |||
Real Estate Management & Development - 0.2% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2103% 10/10/13 (l) | 480 | 449 | ||
Credit-Linked Deposit 4.4603% 10/10/16 (l) | 631 | 566 | ||
term loan 4.5183% 10/10/16 (l) | 6,743 | 6,052 | ||
Tranche B, term loan 3.2683% 10/10/13 (l) | 4,177 | 3,906 | ||
Tranche DD, term loan 3.2683% 10/10/13 (l) | 14,046 | 13,133 | ||
| 24,106 | |||
TOTAL FINANCIALS | 30,108 | |||
HEALTH CARE - 0.1% | ||||
Health Care Providers & Services - 0.1% | ||||
DaVita, Inc. Tranche A, term loan 2.95% 10/20/15 (l) | 2,501 | 2,482 | ||
Emergency Medical Services Corp. Tranche B, term loan 5.2519% 5/25/18 (l) | 5,870 | 5,848 | ||
Sunquest Information Systems, Inc. Tranche 1 LN, term loan 6.25% 12/16/16 (l) | 2,530 | 2,517 | ||
| 10,847 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
INDUSTRIALS - 0.8% | ||||
Aerospace & Defense - 0.0% | ||||
TransDigm, Inc. Tranche B, term loan 4% 2/14/17 (l) | $ 1,736 | $ 1,738 | ||
Airlines - 0.3% | ||||
Northwest Airlines Corp. Tranche A, term loan 2.06% 12/31/18 (l) | 9,560 | 8,748 | ||
United Air Lines, Inc. Tranche B, term loan 2.2319% 2/1/14 (l) | 12,256 | 11,674 | ||
US Airways Group, Inc. term loan 2.6858% 3/23/14 (l) | 10,354 | 9,370 | ||
| 29,792 | |||
Commercial Services & Supplies - 0.1% | ||||
KAR Auction Services, Inc. Tranche B, term loan 5% 5/19/17 (l) | 4,705 | 4,729 | ||
Construction & Engineering - 0.2% | ||||
Drumm Investors LLC Tranche B, term loan 5% 5/4/18 (l) | 15,375 | 15,029 | ||
Electrical Equipment - 0.0% | ||||
Sensata Technologies BV Tranche B, term loan 4% 5/12/18 (l) | 1,075 | 1,074 | ||
Industrial Conglomerates - 0.2% | ||||
Sequa Corp. term loan 3.5003% 12/3/14 (l) | 12,183 | 11,970 | ||
Tomkins PLC Tranche B, term loan 4.25% 9/21/16 (l) | 9,738 | 9,726 | ||
| 21,696 | |||
Road & Rail - 0.0% | ||||
Swift Transportation Co. LLC Tranche B, term loan 6% 12/21/16 (l) | 2,618 | 2,631 | ||
Transportation Infrastructure - 0.0% | ||||
Trico Shipping AS: | ||||
Tranche A, term loan 10% 5/13/14 (l) | 1,123 | 1,123 | ||
Tranche D, term loan 5/13/14 (t) | 1,123 | 1,123 | ||
| 2,246 | |||
TOTAL INDUSTRIALS | 78,935 | |||
INFORMATION TECHNOLOGY - 0.8% | ||||
Communications Equipment - 0.0% | ||||
CommScope, Inc. Tranche B, term loan 5% 1/14/18 (l) | 1,002 | 1,006 | ||
Electronic Equipment & Components - 0.2% | ||||
Aeroflex, Inc. Tranche B, term loan 4.25% 5/9/18 (l) | 2,910 | 2,906 | ||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4358% 10/1/14 (l) | 974 | 961 | ||
Tranche B A2, term loan 2.4413% 10/1/14 (l) | 2,091 | 2,055 | ||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
INFORMATION TECHNOLOGY - continued | ||||
Electronic Equipment & Components - continued | ||||
Flextronics International Ltd.: - continued | ||||
Tranche B A3, term loan 2.4404% 10/1/14 (l) | $ 2,440 | $ 2,397 | ||
Tranche B-A, term loan 2.4402% 10/1/14 (l) | 3,388 | 3,333 | ||
Tranche B-B, term loan 2.4404% 10/1/12 (l) | 3,256 | 3,240 | ||
| 14,892 | |||
Semiconductors & Semiconductor Equipment - 0.5% | ||||
Freescale Semiconductor, Inc. term loan 4.441% 12/1/16 (l) | 32,035 | 31,835 | ||
NXP BV term loan 4.5% 3/4/17 (l) | 5,920 | 5,942 | ||
Spansion, Inc. term loan 4.75% 2/9/15 (l) | 6,474 | 6,490 | ||
| 44,267 | |||
Software - 0.1% | ||||
Kronos, Inc.: | ||||
Tranche 1LN, term loan 2.057% 6/11/14 (l) | 11,644 | 11,499 | ||
Tranche 2LN, term loan 6.057% 6/11/15 (l) | 1,790 | 1,772 | ||
| 13,271 | |||
TOTAL INFORMATION TECHNOLOGY | 73,436 | |||
MATERIALS - 0.3% | ||||
Chemicals - 0.1% | ||||
Momentive Performance Materials, Inc. Tranche B1, term loan 3.75% 5/15/15 (l) | 14,851 | 14,554 | ||
Construction Materials - 0.1% | ||||
Fairmount Minerals Ltd. Tranche B, term loan 5.25% 3/15/17 (l) | 7,882 | 7,892 | ||
Containers & Packaging - 0.1% | ||||
Berry Plastics Holding Corp. Tranche C, term loan 2.2607% 4/3/15 (l) | 8,749 | 8,224 | ||
Metals & Mining - 0.0% | ||||
Walter Energy, Inc. Tranche B, term loan 4% 4/1/18 (l) | 1,530 | 1,532 | ||
Paper & Forest Products - 0.0% | ||||
White Birch Paper Co.: | ||||
term loan 12% 9/30/11 (l) | 308 | 304 | ||
Tranche DD, term loan 6.7163% 9/30/11 (l)(t) | 107 | 106 | ||
| 410 | |||
TOTAL MATERIALS | 32,612 | |||
Floating Rate Loans - continued | ||||
| Principal | Value | ||
TELECOMMUNICATION SERVICES - 0.4% | ||||
Wireless Telecommunication Services - 0.4% | ||||
Asurion LLC term loan 9% 5/24/19 (l) | $ 8,175 | $ 8,195 | ||
Digicel International Finance Ltd. term loan 2.8125% 3/30/12 (l) | 636 | 635 | ||
Intelsat Jackson Holdings SA: | ||||
term loan 3.2853% 2/1/14 (l) | 13,475 | 12,936 | ||
Tranche B, term loan 5.25% 4/2/18 (l) | 17,615 | 17,682 | ||
| 39,448 | |||
UTILITIES - 0.7% | ||||
Electric Utilities - 0.7% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7301% 10/10/17 (l) | 87,346 | 68,567 | ||
Independent Power Producers & Energy Traders - 0.0% | ||||
The AES Corp. Tranche B, term loan 4.25% 5/27/18 (l) | 2,030 | 2,025 | ||
TOTAL UTILITIES | 70,592 | |||
TOTAL FLOATING RATE LOANS (Cost $402,243) | 426,544 | |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.25% 12/14/19 (l) | 6,656 | 6,315 | ||
Goldman Sachs 1.25% 12/14/19 (l) | 6,099 | 5,786 | ||
1.25% 12/14/19 (l) | 451 | 428 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $11,302) | 12,529 |
Fixed-Income Funds - 2.0% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (m) | 1,886,156 | 191,181 | |
Other - 0.0% | |||
|
|
|
|
Other - 0.0% | |||
Idearc, Inc. Claim (a) | 1,675,371 | 0 | |
Money Market Funds - 6.8% | |||
Shares | Value (000s) | ||
Fidelity Cash Central Fund, 0.11% (b) | 652,263,681 | $ 652,264 | |
TOTAL INVESTMENT PORTFOLIO - 98.6% (Cost $9,053,618) | 9,495,217 | ||
NET OTHER ASSETS (LIABILITIES) (r) - 1.4% | 133,507 | ||
NET ASSETS - 100% | $ 9,628,724 |
Futures Contracts | |||||
Expiration | Underlying | Unrealized | |||
Purchased | |||||
Treasury Contracts | |||||
461 CBOT 2 Year U.S. Treasury Notes Contracts | Sept. 2011 | $ 101,117 | $ 186 |
|
The face value of futures purchased as a percentage of net assets is 1.1% |
Currency Abbreviations | ||
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
GHS | - | Ghana Cedi |
INR | - | Indian rupee |
JPY | - | Japanese yen |
NGN | - | Nigerian naira |
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 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 or a portion of the security is on loan at period end. |
(g) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $1,819,660,000 or 18.9% of net assets. |
(h) Security is perpetual in nature with no stated maturity date. |
(i) 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 $157,169,000 or 1.6% of net assets. |
(j) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(k) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At the period end, the value of securities pledged amounted to $254,000. |
(l) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(m) 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 are available on the SEC's web site or upon request. |
(n) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool held as of the end of the period. |
(o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. |
(p) Quantity represents share amount. |
(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(r) Includes cash collateral of $102,000,000 received from securities on loan. |
(s) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes which is owned by the Fund. |
(t) 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 $1,180,000 and $1,179,000, respectively. The coupon rate will be determined at time of settlement. |
(u) 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 $21,792,000 or 0.2% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition | Acquisition |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
HMH Holdings, Inc. | 5/2/08 - 3/9/10 | $ 24,975 |
HMH Holdings, Inc. warrants 3/9/17 | 3/9/10 | $ 185 |
MagnaChip Semiconductor Corp. | 10/26/06 - 11/9/09 | $ 705 |
Rathgibson Acquisition Co. LLC Class A | 6/9/10 | $ 1,520 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
Station Holdco LLC | 6/17/11 | $ 3,503 |
* Amount represents less than $1,000 |
Affiliated Central Funds |
Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows: |
Fund | Income earned |
Fidelity Cash Central Fund | $ 268 |
Fidelity Floating Rate Central Fund | 5,205 |
Total | $ 5,473 |
Additional information regarding the Fund's fiscal year to date purchases and sales, including the ownership percentage, of the non Money Market Central Funds is as follows: |
Fund | Value, | Purchases | Sales | Value, | % ownership, |
Fidelity Floating Rate Central Fund | $ 278,657 | $ - | $ 92,129 | $ 191,181 | 6.6% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2011, 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 | $ 39,601 | $ 23,039 | $ 16,153 | $ 409 |
Financials | 42,360 | 15,590 | 22,158 | 4,612 |
Industrials | 16,308 | 9,783 | - | 6,525 |
Information Technology | 508 | - | 508 | - |
Materials | 65,904 | 58,354 | 4,109 | 3,441 |
Utilities | 184 | 184 | - | - |
Corporate Bonds | 3,530,911 | - | 3,528,712 | 2,199 |
U.S. Government and Government Agency Obligations | 1,993,634 | - | 1,993,634 | - |
U.S. Government Agency - Mortgage Securities | 174,758 | - | 174,758 | - |
Asset-Backed Securities | 5,334 | - | 5,334 | - |
Collateralized Mortgage Obligations | 257,452 | - | 257,452 | - |
Commercial Mortgage Securities | 6,373 | - | 6,373 | - |
Foreign Government and Government Agency Obligations | 2,077,320 | - | 2,075,423 | 1,897 |
Supranational Obligations | 2,052 | - | 2,052 | - |
Floating Rate Loans | 426,544 | - | 426,544 | - |
Sovereign Loan Participations | 12,529 | - | 12,529 | - |
Fixed-Income Funds | 191,181 | 191,181 | - | - |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Other | $ - | $ - | $ - | $ - |
Money Market Funds | 652,264 | 652,264 | - | - |
Total Investments in Securities: | $ 9,495,217 | $ 950,395 | $ 8,525,739 | $ 19,083 |
Derivative Instruments: | ||||
Assets | ||||
Futures Contracts | $ 186 | $ 186 | $ - | $ - |
Other Financial Instruments | ||||
Forward Commitments | $ 3 | $ - | $ 3 | $ - |
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 | $ 13,448 |
Total Realized Gain (Loss) | (2,842) |
Total Unrealized Gain (Loss) | (224) |
Cost of Purchases | 12,127 |
Proceeds of Sales | (16,095) |
Amortization/Accretion | 4 |
Transfers in to Level 3 | 13,081 |
Transfers out of Level 3 | (416) |
Ending Balance | $ 19,083 |
The change in unrealized gain (loss) for the period attributable to Level 3 securities held at June 30, 2011 | $ (3,059) |
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 June 30, 2011. 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 | ||
Futures Contracts (a) | $ 186 | $ - |
Total Interest Rate Risk | $ 186 | $ - |
(a) Reflects cumulative appreciation/(depreciation) on futures contracts as disclosed on the Schedule of Investments. Only the period end variation margin is separately disclosed on the Statement of Assets and Liabilities. |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: (Unaudited) |
United States of America | 66.6% |
United Kingdom | 2.7% |
Canada | 2.7% |
Japan | 2.4% |
Netherlands | 2.3% |
Italy | 2.2% |
Bermuda | 1.8% |
Venezuela | 1.7% |
Germany | 1.5% |
Argentina | 1.3% |
Turkey | 1.3% |
Luxembourg | 1.2% |
Russia | 1.2% |
France | 1.0% |
Mexico | 1.0% |
Brazil | 1.0% |
Others (Individually Less Than 1%) | 8.1% |
| 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.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2011 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $99,852) - See accompanying schedule: Unaffiliated issuers (cost $8,271,658) | $ 8,651,772 |
|
Fidelity Central Funds (cost $781,960) | 843,445 |
|
Total Investments (cost $9,053,618) |
| $ 9,495,217 |
Commitment to sell securities on a delayed delivery basis | (9,932) | |
Receivable for securities sold on a delayed delivery basis | 9,935 | 3 |
Cash | 143,726 | |
Receivable for investments sold |
| 405,217 |
Delayed delivery |
| 498 |
Receivable for fund shares sold | 19,929 | |
Dividends receivable | 201 | |
Interest receivable | 106,993 | |
Distributions receivable from Fidelity Central Funds | 823 | |
Other receivables | 168 | |
Total assets | 10,172,775 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 398,589 | |
Delayed delivery | 10,657 | |
Payable for fund shares redeemed | 17,206 | |
Distributions payable | 6,812 | |
Accrued management fee | 4,503 | |
Distribution and service plan fees payable | 2,862 | |
Payable for daily variation on futures contracts | 7 | |
Other affiliated payables | 1,282 | |
Other payables and accrued expenses | 133 | |
Collateral on securities loaned, at value | 102,000 | |
Total liabilities | 544,051 | |
|
|
|
Net Assets | $ 9,628,724 | |
Net Assets consist of: |
| |
Paid in capital | $ 8,941,588 | |
Undistributed net investment income | 134,190 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 111,427 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 441,519 | |
Net Assets | $ 9,628,724 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2011 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.60 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.60) | $ 13.12 | |
Class T: | $ 12.60 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.60) | $ 13.12 | |
Class B: | $ 12.64 | |
|
|
|
Class C: | $ 12.57 | |
|
|
|
Institutional Class: | $ 12.74 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Operations
Amounts in thousands | Six months ended June 30, 2011 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 983 |
Interest |
| 250,375 |
Income from Fidelity Central Funds |
| 5,473 |
Total income |
| 256,831 |
|
|
|
Expenses | ||
Management fee | $ 26,372 | |
Transfer agent fees | 6,822 | |
Distribution and service plan fees | 16,826 | |
Accounting and security lending fees | 773 | |
Custodian fees and expenses | 177 | |
Independent trustees' compensation | 17 | |
Registration fees | 264 | |
Audit | 58 | |
Legal | 14 | |
Miscellaneous | 54 | |
Total expenses before reductions | 51,377 | |
Expense reductions | (3) | 51,374 |
Net investment income (loss) | 205,457 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 145,409 | |
Fidelity Central Funds | 12,600 |
|
Foreign currency transactions | 610 | |
Futures contracts | 352 | |
Swap agreements | (133) |
|
Total net realized gain (loss) |
| 158,838 |
Change in net unrealized appreciation (depreciation) on: Investment securities | 16,202 | |
Assets and liabilities in foreign currencies | 11 | |
Futures contracts | 186 | |
Swap agreements | 95 | |
Delayed delivery commitments | (83) |
|
Total change in net unrealized appreciation (depreciation) |
| 16,411 |
Net gain (loss) | 175,249 | |
Net increase (decrease) in net assets resulting from operations | $ 380,706 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Changes in Net Assets
Amounts in thousands | Six months ended | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 205,457 | $ 422,340 |
Net realized gain (loss) | 158,838 | 249,627 |
Change in net unrealized appreciation (depreciation) | 16,411 | 102,891 |
Net increase (decrease) in net assets resulting | 380,706 | 774,858 |
Distributions to shareholders from net investment income | (175,515) | (395,760) |
Distributions to shareholders from net realized gain | (45,586) | (207,173) |
Total distributions | (221,101) | (602,933) |
Share transactions - net increase (decrease) | 332,333 | 821,772 |
Total increase (decrease) in net assets | 491,938 | 993,697 |
|
|
|
Net Assets | ||
Beginning of period | 9,136,786 | 8,143,089 |
End of period (including undistributed net investment income of $134,190 and undistributed net investment income of $104,248, respectively) | $ 9,628,724 | $ 9,136,786 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .283 | .622 | .681 | .600 | .616 | .600 |
Net realized and unrealized gain (loss) | .243 | .500 | 2.345 | (1.826) | (.019) | .248 |
Total from investment operations | .526 | 1.122 | 3.026 | (1.226) | .597 | .848 |
Distributions from net investment income | (.244) | (.582) | (.566) | (.554) | (.607) | (.583) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.306) | (.872) | (.666) | (.624) | (.737) | (.628) |
Net asset value, end of period | $ 12.60 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return B, C, D | 4.28% | 9.48% | 31.74% | (10.98)% | 5.22% | 7.54% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .99% A | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of fee waivers, if any | .99% A | .99% | 1.01% | 1.02% | 1.01% | .97% |
Expenses net of all reductions | .99% A | .99% | 1.01% | 1.02% | 1.01% | .97% |
Net investment income (loss) | 4.55% A | 5.00% | 6.14% | 5.49% | 5.27% | 5.18% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 4,474 | $ 4,169 | $ 3,725 | $ 2,174 | $ 1,931 | $ 954 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 | $ 11.54 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .284 | .621 | .675 | .607 | .620 | .594 |
Net realized and unrealized gain (loss) | .242 | .511 | 2.341 | (1.832) | (.021) | .248 |
Total from investment operations | .526 | 1.132 | 3.016 | (1.225) | .599 | .842 |
Distributions from net investment income | (.244) | (.582) | (.566) | (.555) | (.609) | (.577) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.306) | (.872) | (.666) | (.625) | (.739) | (.622) |
Net asset value, end of period | $ 12.60 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 | $ 11.76 |
Total Return B, C, D | 4.28% | 9.57% | 31.64% | (10.97)% | 5.24% | 7.49% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .99% A | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of fee waivers, if any | .99% A | .99% | 1.01% | 1.01% | .99% | 1.02% |
Expenses net of all reductions | .99% A | .99% | 1.01% | 1.01% | .99% | 1.02% |
Net investment income (loss) | 4.55% A | 5.00% | 6.14% | 5.50% | 5.29% | 5.13% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,513 | $ 1,571 | $ 1,579 | $ 1,337 | $ 1,983 | $ 2,049 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 | $ 11.57 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .240 | .535 | .600 | .525 | .533 | .511 |
Net realized and unrealized gain (loss) | .241 | .509 | 2.348 | (1.831) | (.022) | .247 |
Total from investment operations | .481 | 1.044 | 2.948 | (1.306) | .511 | .758 |
Distributions from net investment income | (.199) | (.494) | (.488) | (.474) | (.521) | (.493) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.261) | (.784) | (.588) | (.544) | (.651) | (.538) |
Net asset value, end of period | $ 12.64 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 | $ 11.79 |
Total Return B, C, D | 3.90% | 8.77% | 30.72% | (11.60)% | 4.44% | 6.70% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.71% A | 1.70% | 1.72% | 1.76% | 1.74% | 1.76% |
Expenses net of fee waivers, if any | 1.71% A | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Expenses net of all reductions | 1.71% A | 1.70% | 1.72% | 1.75% | 1.74% | 1.75% |
Net investment income (loss) | 3.84% A | 4.30% | 5.43% | 4.76% | 4.54% | 4.40% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 272 | $ 307 | $ 348 | $ 267 | $ 335 | $ 342 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 | $ 11.53 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .236 | .528 | .597 | .517 | .526 | .503 |
Net realized and unrealized gain (loss) | .233 | .512 | 2.327 | (1.817) | (.020) | .238 |
Total from investment operations | .469 | 1.040 | 2.924 | (1.300) | .506 | .741 |
Distributions from net investment income | (.197) | (.490) | (.484) | (.470) | (.516) | (.486) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.259) | (.780) | (.584) | (.540) | (.646) | (.531) |
Net asset value, end of period | $ 12.57 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 | $ 11.74 |
Total Return B, C, D | 3.82% | 8.77% | 30.60% | (11.59)% | 4.42% | 6.57% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.75% A | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of fee waivers, if any | 1.75% A | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Expenses net of all reductions | 1.75% A | 1.74% | 1.75% | 1.79% | 1.78% | 1.81% |
Net investment income (loss) | 3.80% A | 4.26% | 5.40% | 4.72% | 4.50% | 4.34% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,709 | $ 1,609 | $ 1,336 | $ 800 | $ 866 | $ 683 |
Portfolio turnover rate G | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
G Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
H Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
| Six months ended | Years ended December 31, | ||||
| (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 |
Selected Per-Share Data |
|
|
|
|
| |
Net asset value, beginning of period | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 | $ 11.63 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .301 | .657 | .710 | .635 | .652 | .627 |
Net realized and unrealized gain (loss) | .239 | .514 | 2.361 | (1.835) | (.027) | .252 |
Total from investment operations | .540 | 1.171 | 3.071 | (1.200) | .625 | .879 |
Distributions from net investment income | (.258) | (.611) | (.591) | (.580) | (.635) | (.604) |
Distributions from net realized gain | (.062) | (.290) | (.100) | (.070) | (.130) | (.045) |
Total distributions | (.320) | (.901) | (.691) | (.650) | (.765) | (.649) |
Net asset value, end of period | $ 12.74 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 | $ 11.86 |
Total Return B, C | 4.35% | 9.80% | 31.92% | (10.67)% | 5.42% | 7.76% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .76% A | .76% | .78% | .78% | .77% | .79% |
Expenses net of fee waivers, if any | .76% A | .76% | .78% | .78% | .77% | .79% |
Expenses net of all reductions | .76% A | .76% | .78% | .78% | .76% | .79% |
Net investment income (loss) | 4.78% A | 5.23% | 6.37% | 5.73% | 5.52% | 5.36% |
Supplemental Data |
|
|
|
|
| |
Net assets, end of period (in millions) | $ 1,660 | $ 1,481 | $ 1,156 | $ 750 | $ 889 | $ 655 |
Portfolio turnover rate F | 261% A | 207% | 202% | 255% | 149% | 81% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower if certain expenses had not been reduced during the applicable periods shown.
D Calculated based on average shares outstanding during the period.
E Fees and expenses of any underlying Fidelity Central Funds are not included in the Fund's expense ratio. The Fund indirectly bears its proportionate share of the expenses of any underlying Fidelity Central Funds.
F Amount does not include the portfolio activity of any underlying Fidelity Central Funds.
G Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or reductions from other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by the investment adviser but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions represent the net expenses paid by the class.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2011 (Unaudited)
(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, except for exchanges and reinvestments 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. Certain expense reductions may also differ by class.
2. Investments in Fidelity Central Funds.
The Fund invests 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.
Fidelity | 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 |
Semiannual Report
2. Investments in Fidelity Central Funds - continued
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC) 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, 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.
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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Security Valuation - continued
June 30, 2011 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, supranational obligations, U.S. government and government agency obligations and sovereign loan participations, 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. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
When independent prices are unavailable or unreliable, debt securities 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.
Semiannual Report
3. Significant Accounting Policies - continued
Security Valuation - continued
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange 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.
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. The principal value on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal value. The adjustments to principal due to inflation are reflected
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
as increases or decreases to interest income even though 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. A fund's federal tax return is subject 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.
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, partnerships (including allocations from Fidelity Central Funds), capital loss carryforwards and losses deferred due to wash sales.
Semiannual Report
3. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
The federal tax cost of investment securities and unrealized appreciation (depreciation) as of period end were as follows:
Gross unrealized appreciation | $ 618,176 |
Gross unrealized depreciation | (125,292) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 492,884 |
Tax cost | $ 9,002,333 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (the Act), the Fund will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years, which generally expire after eight years from when they are incurred. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law. The Fund's first fiscal year end subject to the Act will be December 31, 2011.
New Accounting Pronouncements. In May 2011, the Financial Accounting Standards Board (FASB) issued an update to Topic 860 - Transfers and Servicing. The update clarifies the assessment of effective control by removing the collateral provision requirement that the seller maintains at all times collateral sufficient to fund substantially all of the cost of purchasing replacement financial assets from others. This may result in a change in accounting treatment from purchases and sales to secured borrowings for certain mortgage dollar roll transactions, and therefore separate accounting of the income and expenses associated with the secured borrowings. This change would have no effect on the net assets or total return of the Fund. The update is effective for transactions entered into on or after December 15, 2011. Management is currently evaluating the potential impact of the update on the accounting for mortgage dollar roll transactions entered into by the Fund. Also in May 2011, the FASB issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) - Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Fund's financial statement disclosures.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Operating Policies.
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.
5. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund used derivative instruments (derivatives), including futures contracts and 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.
Semiannual Report
5. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to 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 the Fund the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the counterparty. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk, the Fund offsets certain payables and/or receivables with collateral. Collateral in the form of cash or securities, if required, is 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 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 payments in excess of any collateral pledged by the counterparty to the Fund. Counterparty risk related to exchange-traded futures contracts is minimal because of the protection provided by the exchange on which they trade. Derivatives involve, to varying degrees, risk of loss in excess of the amounts recognized in the Statement of Assets and Liabilities.
Semiannual Report
Notes to Financial Statements (Unaudited) - 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 | Change in Net Unrealized |
Interest Rate Risk |
|
|
Futures Contracts | 352 | 186 |
Swap Agreements | (133) | 95 |
Totals (a)(b)(c) | $ 219 | $ 281 |
(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.
(b) Total derivatives net realized gain (loss) included in the Statement of Operations is comprised of $352 for futures contracts and $(133) for swap agreements.
(c) Total derivatives change in net unrealized appreciation (depreciation) included in the Statement of Operations is comprised of $186 for futures contracts and $95 for swap agreements.
Futures Contracts. A futures contract is an agreement between two parties to buy or sell a specified underlying instrument for a fixed price at a specified future date. The Fund used futures contracts to manage its exposure to the bond market, and to fluctuations in interest rates.
Upon entering into a futures contract, a fund is required to deposit either cash or securities (initial margin) with a clearing broker in an amount equal to a certain percentage of the face value of the contract. Futures contracts are marked-to-market daily and subsequent payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). Realized gain or (loss) is recorded upon the expiration or closing of a futures contract. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on futures contracts during the period is included in the Statement of Operations.
The underlying face amount at value of open futures contracts at period end is shown in the Schedule of Investments under the caption "Futures Contracts." This amount reflects each contract's exposure to the underlying instrument at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. The receivable and/or payable for the variation margin are reflected in the Statement of Assets and Liabilities.
Certain risks arise upon entering into futures contracts, including the risk that an illiquid market limits the ability to close out a futures contract prior to settlement date.
Semiannual Report
5. Derivative Instruments - continued
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, if any, 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 premiums paid 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 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.
6. Purchases and Sales of Investments.
Purchases and sales of securities (including the Fixed-Income Central Funds), other than short-term securities and U.S. government securities, aggregated $6,075,250 and $6,480,415, 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 .11% 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
7. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
increases as assets under management decrease. For the period, the total annualized 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 | Retained |
Class A | -% | .25% | $ 5,371 | $ 125 |
Class T | -% | .25% | 1,922 | 30 |
Class B | .65% | .25% | 1,292 | 937 |
Class C | .75% | .25% | 8,241 | 1,931 |
|
|
| $ 16,826 | $ 3,023 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, .75% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 324 |
Class T | 56 |
Class B* | 297 |
Class C* | 115 |
| $ 792 |
* 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
Semiannual Report
7. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
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 | $ 3,040 | .14 |
Class T | 1,078 | .14 |
Class B | 284 | .20 |
Class C | 1,150 | .14 |
Institutional Class | 1,270 | .16 |
| $ 6,822 |
|
* Annualized
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.
8. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.0 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 $16 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 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
9. Security Lending - continued
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 maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $49.
10. Expense Reductions.
Many of the brokers with whom FMR places trades on behalf of the Fund provided services to the Fund in addition to trade execution. These services included payments of certain expenses on behalf of the Fund totaling $2 for the period. In addition, through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $1.
11. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 83,347 | $ 184,441 |
Class T | 29,997 | 73,231 |
Class B | 4,548 | 13,190 |
Class C | 25,870 | 59,445 |
Institutional Class | 31,753 | 65,453 |
Total | $ 175,515 | $ 395,760 |
From net realized gain |
|
|
Class A | $ 20,859 | $ 94,835 |
Class T | 7,729 | 35,520 |
Class B | 1,466 | 7,104 |
Class C | 8,070 | 36,622 |
Institutional Class | 7,462 | 33,092 |
Total | $ 45,586 | $ 207,173 |
Semiannual Report
12. Share Transactions.
Transactions for each class of shares were as follows:
| Shares | Dollars | ||
Six months ended | Year ended | Six months ended | Year ended | |
Class A |
|
|
|
|
Shares sold | 59,676 | 112,762 | $ 749,745 | $ 1,400,620 |
Reinvestment of distributions | 6,461 | 18,407 | 81,099 | 227,669 |
Shares redeemed | (47,751) | (101,668) | (598,955) | (1,258,358) |
Net increase (decrease) | 18,386 | 29,501 | $ 231,889 | $ 369,931 |
Class T |
|
|
|
|
Shares sold | 10,252 | 29,433 | $ 128,700 | $ 365,455 |
Reinvestment of distributions | 2,481 | 7,441 | 31,116 | 92,005 |
Shares redeemed | (19,451) | (40,227) | (244,119) | (499,102) |
Net increase (decrease) | (6,718) | (3,353) | $ (84,303) | $ (41,642) |
Class B |
|
|
|
|
Shares sold | 629 | 5,248 | $ 7,937 | $ 64,803 |
Reinvestment of distributions | 369 | 1,280 | 4,638 | 15,870 |
Shares redeemed | (4,201) | (10,447) | (52,821) | (130,170) |
Net increase (decrease) | (3,203) | (3,919) | $ (40,246) | $ (49,497) |
Class C |
|
|
|
|
Shares sold | 19,342 | 39,572 | $ 242,532 | $ 490,689 |
Reinvestment of distributions | 2,047 | 5,847 | 25,627 | 72,188 |
Shares redeemed | (15,620) | (25,653) | (195,428) | (318,984) |
Net increase (decrease) | 5,769 | 19,766 | $ 72,731 | $ 243,893 |
Institutional Class |
|
|
|
|
Shares sold | 30,542 | 51,309 | $ 387,883 | $ 643,733 |
Reinvestment of distributions | 2,213 | 5,561 | 28,085 | 69,558 |
Shares redeemed | (20,789) | (32,913) | (263,706) | (414,204) |
Net increase (decrease) | 11,966 | 23,957 | $ 152,262 | $ 299,087 |
13. 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
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
13. Other - continued
claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
14. 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.
Semiannual 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
State Street Bank and Trust Company
Quincy, MA
SII-USAN-0811 1.787776.108
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/John R. Hebble |
| John R. Hebble |
| President and Treasurer |
|
|
Date: | August 31, 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: | August 31, 2011 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 31, 2011 |