UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
245 Summer St., Boston, Massachusetts 02210
(Address of principal executive offices) (Zip code)
Scott C. Goebel, Secretary
245 Summer St.
Boston, Massachusetts 02210
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
|
|
Date of reporting period: | June 30, 2013 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2013
(Fidelity Cover Art)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2013 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2013 to June 30, 2013).
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 | .98% |
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|
|
Actual |
| $ 1,000.00 | $ 976.10 | $ 4.80 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.93 | $ 4.91 |
Class T | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 976.90 | $ 4.80 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.93 | $ 4.91 |
Class B | 1.70% |
|
|
|
Actual |
| $ 1,000.00 | $ 973.50 | $ 8.32 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.36 | $ 8.50 |
Class C | 1.74% |
|
|
|
Actual |
| $ 1,000.00 | $ 972.40 | $ 8.51 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.17 | $ 8.70 |
Institutional Class | .75% |
|
|
|
Actual |
| $ 1,000.00 | $ 977.50 | $ 3.68 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.08 | $ 3.76 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in 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 the investments of Fidelity's fixed-income central funds. |
Top Five Holdings as of June 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 18.7 | 19.5 |
Fannie Mae | 2.8 | 3.3 |
German Federal Republic | 2.6 | 2.3 |
Freddie Mac | 2.3 | 2.5 |
Japan Government | 2.3 | 2.2 |
| 28.7 | |
Top Five Market Sectors as of June 30, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 7.8 | 9.7 |
Consumer Discretionary | 7.0 | 6.6 |
Energy | 6.7 | 5.9 |
Telecommunication Services | 4.8 | 4.1 |
Industrials | 4.7 | 4.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2013 | As of December 31, 2012 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA,AA,A 11.3% |
| ![]() | AAA,AA,A 11.3% |
| ||
![]() | BBB 9.9% |
| ![]() | BBB 9.3% |
| ||
![]() | BB 14.6% |
| ![]() | BB 13.9% |
| ||
![]() | B 22.2% |
| ![]() | B 20.5% |
| ||
![]() | CCC,CC,C 5.6% |
| ![]() | CCC,CC,C 7.5% |
| ||
![]() | D 0.0% |
| ![]() | D 0.0% |
| ||
![]() | Not Rated 2.8% |
| ![]() | Not Rated 2.5% |
| ||
![]() | Equities 1.0% |
| ![]() | Equities 0.9% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes NCUA Guaranteed Notes. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2013 * | As of December 31, 2012 ** | ||||||
![]() | Preferred Securities 0.6% |
| ![]() | Preferred Securities 0.3% |
| ||
![]() | Corporate Bonds 41.3% |
| ![]() | Corporate Bonds 38.0% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Foreign Government & |
| ![]() | Foreign Government & |
| ||
![]() | Floating Rate Loans 2.2% |
| ![]() | Floating Rate Loans 5.1% |
| ||
![]() | Stocks 1.0% |
| ![]() | Stocks 0.9% |
| ||
![]() | Other Investments 0.3% |
| ![]() | Other Investments 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 35.3% |
| ** Foreign investments | 34.2% |
| ||
* Futures and swaps | 0.7% |
| ** Futures and swaps | (0.4)% |
|
† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Semiannual Report
Investments June 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 41.3% | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Convertible Bonds - 0.2% | ||||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.2% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 | $ 8,595 | $ 19,559 | ||
Nonconvertible Bonds - 41.1% | ||||
CONSUMER DISCRETIONARY - 6.0% | ||||
Auto Components - 0.5% | ||||
Affinia Group, Inc. 7.75% 5/1/21 (h) | 1,015 | 1,023 | ||
Cooper Standard Auto, Inc. 8.5% 5/1/18 | 1,775 | 1,862 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 3,770 | 3,977 | ||
6.75% 2/15/21 | 1,400 | 1,484 | ||
Delphi Corp.: | ||||
5% 2/15/23 | 9,005 | 9,253 | ||
5.875% 5/15/19 | 5,365 | 5,700 | ||
6.125% 5/15/21 | 5,255 | 5,728 | ||
Exide Technologies 8.625% 2/1/18 | 2,135 | 1,281 | ||
International Automotive Components Group SA 9.125% 6/1/18 (h) | 5,245 | 5,245 | ||
Lear Corp. 4.75% 1/15/23 (h) | 6,305 | 5,990 | ||
PT Gadjah Tunggal Tbk 7.75% 2/6/18 (h) | 2,855 | 2,812 | ||
Stoneridge, Inc. 9.5% 10/15/17 (h) | 2,330 | 2,493 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 | 6,205 | 6,639 | ||
7.75% 8/15/18 | 1,545 | 1,653 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (h) | 584 | 619 | ||
| 55,759 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. 7.45% 7/16/31 | 2,365 | 2,831 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (d) | 10,670 | 0 | ||
7.125% 7/15/13 (d) | 1,605 | 0 | ||
7.2% 1/15/11 (d) | 4,015 | 0 | ||
7.4% 9/1/25 (d) | 500 | 0 | ||
7.7% 4/15/16 (d) | 7,804 | 0 | ||
8.25% 7/15/23 (d) | 4,845 | 0 | ||
8.375% 7/15/33 (d) | 7,015 | 0 | ||
| 2,831 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (h) | $ 1,500 | $ 1,470 | ||
LKQ Corp. 4.75% 5/15/23 (h) | 1,090 | 1,041 | ||
| 2,511 | |||
Diversified Consumer Services - 0.2% | ||||
Laureate Education, Inc. 9.25% 9/1/19 (h) | 18,715 | 20,025 | ||
Hotels, Restaurants & Leisure - 1.1% | ||||
Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (h) | BRL | 16,080 | 7,224 | |
Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20 | 4,695 | 4,425 | ||
Chester Downs & Marina LLC 9.25% 2/1/20 (h) | 1,520 | 1,459 | ||
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,526 | ||
FelCor Lodging LP 5.625% 3/1/23 | 4,185 | 4,070 | ||
Graton Economic Development Authority 9.625% 9/1/19 (h) | 10,505 | 11,556 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,714 | ||
Landry's Holdings II, Inc. 10.25% 1/1/18 (h) | 4,990 | 5,140 | ||
MCE Finance Ltd. 5% 2/15/21 (h) | 9,965 | 9,267 | ||
Mohegan Tribal Gaming Authority 11% 9/15/18 | 2,333 | 2,193 | ||
MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind | 3,256 | 3,402 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (h) | 2,471 | 2,644 | ||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (h) | 1,135 | 1,169 | ||
RHP Hotel Properties LP/RHP Finance Co. 5% 4/15/21 (h) | 4,360 | 4,251 | ||
Seven Seas Cruises S de RL LLC 9.125% 5/15/19 | 670 | 717 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (h) | 1,540 | 1,525 | ||
Six Flags Entertainment Corp. 5.25% 1/15/21 (h) | 7,515 | 7,252 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (h) | 646 | 198 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
4.25% 5/30/23 (h) | 7,305 | 6,721 | ||
5.375% 3/15/22 | 14,400 | 14,688 | ||
7.75% 8/15/20 | 22,030 | 24,453 | ||
| 118,594 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.8% | ||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (h) | $ 3,165 | $ 3,102 | ||
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (h) | 2,595 | 2,627 | ||
D.R. Horton, Inc. 4.375% 9/15/22 | 5,395 | 5,125 | ||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,365 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (h) | 6,915 | 7,468 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 24,830 | 24,768 | ||
6.875% 2/15/21 | 6,200 | 6,510 | ||
7.125% 4/15/19 | 4,910 | 5,186 | ||
8.25% 2/15/21 | 6,920 | 6,851 | ||
8.5% 5/15/18 (f) | 445 | 458 | ||
9.875% 8/15/19 | 4,100 | 4,387 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 2,255 | 2,571 | ||
8.375% 1/15/21 | 4,340 | 4,948 | ||
Tempur-Pedic International, Inc. 6.875% 12/15/20 (h) | 2,010 | 2,121 | ||
Toll Brothers Finance Corp.: | ||||
4.375% 4/15/23 | 1,495 | 1,390 | ||
5.875% 2/15/22 | 5,175 | 5,395 | ||
| 86,272 | |||
Internet & Catalog Retail - 0.0% | ||||
Netflix, Inc. 5.375% 2/1/21 (h) | 4,010 | 3,970 | ||
Leisure Equipment & Products - 0.0% | ||||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,607 | ||
Media - 2.8% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 3,080 | 2,972 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 6,575 | 6,131 | ||
5.25% 3/15/21 (h) | 4,975 | 4,900 | ||
5.25% 9/30/22 | 7,240 | 6,878 | ||
5.75% 9/1/23 (h) | 3,940 | 3,802 | ||
6.5% 4/30/21 | 10,200 | 10,634 | ||
6.625% 1/31/22 | 8,220 | 8,610 | ||
7.375% 6/1/20 | 5,685 | 6,154 | ||
8.125% 4/30/20 | 6,955 | 7,598 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (h) | $ 6,305 | $ 6,415 | ||
Checkout Holding Corp. 0% 11/15/15 (h) | 3,225 | 2,516 | ||
Cinemark U.S.A., Inc.: | ||||
4.875% 6/1/23 (h) | 4,875 | 4,680 | ||
5.125% 12/15/22 | 1,470 | 1,419 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 485 | 473 | ||
9% 12/15/19 (h) | 2,177 | 2,112 | ||
14% 2/1/21 pay-in-kind (h) | 5,070 | 4,335 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (h) | 7,985 | 8,185 | ||
6.5% 11/15/22 (h) | 21,590 | 22,238 | ||
DIRECTV Holdings LLC 2.75% 5/19/23 | EUR | 5,975 | 7,422 | |
DISH DBS Corp.: | ||||
5% 3/15/23 | 21,765 | 20,894 | ||
5.125% 5/1/20 (h) | 485 | 475 | ||
5.875% 7/15/22 | 37,945 | 38,609 | ||
6.75% 6/1/21 | 16,335 | 17,315 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 18,425 | 19,945 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 7,156 | ||
Livent, Inc. yankee 9.375% 10/15/04 (d) | 300 | 0 | ||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (h) | 14,840 | 15,174 | ||
MDC Partners, Inc. 6.75% 4/1/20 (h) | 3,930 | 3,930 | ||
Quebecor Media, Inc. 5.75% 1/15/23 | 7,660 | 7,469 | ||
Regal Entertainment Group: | ||||
5.75% 6/15/23 | 9,410 | 9,245 | ||
5.75% 2/1/25 | 1,425 | 1,389 | ||
Sheridan Group, Inc. 12.5% 4/15/14 | 2,986 | 2,956 | ||
Sinclair Television Group, Inc. 5.375% 4/1/21 | 4,940 | 4,742 | ||
Sirius XM Radio, Inc.: | ||||
4.25% 5/15/20 (h) | 3,670 | 3,450 | ||
4.625% 5/15/23 (h) | 2,450 | 2,266 | ||
5.25% 8/15/22 (h) | 4,765 | 4,622 | ||
Starz LLC/Starz Finance Corp. 5% 9/15/19 | 4,305 | 4,240 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 6,140 | 6,462 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (h) | $ 5,540 | $ 5,312 | ||
WMG Acquisition Corp. 11.5% 10/1/18 | 15,140 | 17,373 | ||
| 310,498 | |||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 | 1,455 | 1,601 | ||
CST Brands, Inc. 5% 5/1/23 (h) | 1,320 | 1,284 | ||
Limited Brands, Inc. 5.625% 2/15/22 | 6,880 | 6,949 | ||
Office Depot, Inc. 9.75% 3/15/19 (h) | 3,730 | 4,509 | ||
Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (h) | 5,250 | 5,329 | ||
Sally Holdings LLC 6.875% 11/15/19 | 3,305 | 3,536 | ||
Sonic Automotive, Inc. 5% 5/15/23 (h) | 800 | 776 | ||
Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (h) | 2,770 | 2,978 | ||
| 26,962 | |||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
Burlington Holdings LLC/Burlington Holding Finance, Inc. 9% 2/15/18 pay-in-kind (h)(m) | 5,495 | 5,632 | ||
Hanesbrands, Inc. 6.375% 12/15/20 | 7,350 | 7,865 | ||
Levi Strauss & Co. 7.625% 5/15/20 | 9,350 | 10,145 | ||
Polymer Group, Inc. 7.75% 2/1/19 | 1,575 | 1,638 | ||
PVH Corp. 4.5% 12/15/22 | 10,925 | 10,488 | ||
SIWF Merger Sub, Inc./Springs Industries, Inc. 6.25% 6/1/21 (h) | 1,475 | 1,446 | ||
| 37,214 | |||
TOTAL CONSUMER DISCRETIONARY | 666,243 | |||
CONSUMER STAPLES - 1.2% | ||||
Food & Staples Retailing - 0.6% | ||||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (h) | 8,755 | 9,368 | ||
ESAL GmbH 6.25% 2/5/23 (h) | 10,175 | 9,290 | ||
Grifols, Inc. 8.25% 2/1/18 | 4,920 | 5,264 | ||
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (h) | 9,880 | 9,435 | ||
Rite Aid Corp.: | ||||
6.75% 6/15/21 (h)(j) | 9,730 | 9,560 | ||
8% 8/15/20 | 4,380 | 4,851 | ||
9.25% 3/15/20 | 8,445 | 9,311 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Rite Aid Corp.: - continued | ||||
10.25% 10/15/19 | $ 1,835 | $ 2,064 | ||
Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (h) | 1,465 | 1,549 | ||
Tops Holding II Corp. 8.75% 6/15/18 pay-in-kind (h) | 610 | 598 | ||
Tops Markets LLC 8.875% 12/15/17 (h) | 2,820 | 3,046 | ||
| 64,336 | |||
Food Products - 0.4% | ||||
Agrokor d.d. 8.875% 2/1/20 (h) | 2,155 | 2,271 | ||
B&G Foods, Inc. 4.625% 6/1/21 | 5,220 | 4,920 | ||
Dean Foods Co. 9.75% 12/15/18 | 5,075 | 5,722 | ||
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. 9.875% 2/1/20 (h) | 9,075 | 9,710 | ||
Gruma S.A.B. de CV 7.75% (Reg. S) (i) | 6,860 | 6,860 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 8.25% 2/1/20 (h) | 3,315 | 3,472 | ||
Kazagro National Management Holding JSC 4.625% 5/24/23 (h) | 1,680 | 1,537 | ||
Michael Foods Holding, Inc. 8.5% 7/15/18 | 425 | 438 | ||
Michael Foods, Inc. 9.75% 7/15/18 | 1,885 | 2,064 | ||
Post Holdings, Inc. 7.375% 2/15/22 | 1,055 | 1,129 | ||
Smithfield Foods, Inc. 6.625% 8/15/22 | 4,710 | 5,063 | ||
| 43,186 | |||
Household Products - 0.0% | ||||
Spectrum Brands Escrow Corp.: | ||||
6.375% 11/15/20 (h) | 1,415 | 1,472 | ||
6.625% 11/15/22 (h) | 1,675 | 1,750 | ||
| 3,222 | |||
Personal Products - 0.2% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,693 | ||
First Quality Finance Co., Inc. 4.625% 5/15/21 (h) | 1,235 | 1,161 | ||
NBTY, Inc. 9% 10/1/18 | 5,005 | 5,430 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Personal Products - continued | ||||
Prestige Brands, Inc. 8.125% 2/1/20 | $ 770 | $ 841 | ||
Revlon Consumer Products Corp. 5.75% 2/15/21 (h) | 13,928 | 13,580 | ||
| 22,705 | |||
TOTAL CONSUMER STAPLES | 133,449 | |||
ENERGY - 6.5% | ||||
Energy Equipment & Services - 0.5% | ||||
Atwood Oceanics, Inc. 6.5% 2/1/20 | 1,120 | 1,165 | ||
Basic Energy Services, Inc. 7.75% 10/15/22 | 3,640 | 3,595 | ||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (h) | 5,735 | 5,678 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (h) | 3,410 | 3,401 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,755 | 3,699 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h) | 2,298 | 2,355 | ||
Offshore Group Investment Ltd. 7.125% 4/1/23 (h) | 6,185 | 6,046 | ||
Oil States International, Inc.: | ||||
5.125% 1/15/23 (h) | 3,665 | 3,839 | ||
6.5% 6/1/19 | 3,855 | 3,990 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (h) | 9,695 | 10,083 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,657 | ||
Precision Drilling Corp. 6.5% 12/15/21 | 940 | 952 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,738 | ||
Summit Midstream Holdings LLC 7.5% 7/1/21 (h) | 2,035 | 2,066 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (h) | 1,615 | 1,696 | ||
Vier Gas Transport GmbH: | ||||
2% 6/12/20 (Reg. S) | EUR | 2,200 | 2,828 | |
2.875% 6/12/25 (Reg. S) | EUR | 2,700 | 3,419 | |
| 62,207 | |||
Oil, Gas & Consumable Fuels - 6.0% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 7,005 | 6,497 | ||
Afren PLC 11.5% 2/1/16 (h) | 3,175 | 3,493 | ||
Atlas Pipeline Escrow LLC 6.625% 10/1/20 (h) | 3,615 | 3,651 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: | ||||
4.75% 11/15/21 (h) | 3,175 | 2,858 | ||
6.625% 10/1/20 (h) | 1,210 | 1,213 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 2,220 | 2,342 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Calumet Specialty Products Partners LP/Calumet Finance Corp.: | ||||
9.375% 5/1/19 | $ 3,750 | $ 4,012 | ||
9.625% 8/1/20 (h) | 4,800 | 5,184 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 | 9,835 | 10,523 | ||
Chaparral Energy, Inc. 9.875% 10/1/20 | 1,845 | 2,043 | ||
Concho Resources, Inc.: | ||||
5.5% 4/1/23 | 13,120 | 12,923 | ||
6.5% 1/15/22 | 6,135 | 6,411 | ||
7% 1/15/21 | 2,855 | 3,069 | ||
Continental Resources, Inc.: | ||||
4.5% 4/15/23 (h) | 7,475 | 7,251 | ||
5% 9/15/22 | 24,090 | 24,331 | ||
7.125% 4/1/21 | 2,540 | 2,769 | ||
8.25% 10/1/19 | 885 | 974 | ||
Crestwood Midstream Partners LP/Finance Corp.: | ||||
7.75% 4/1/19 | 2,235 | 2,302 | ||
7.75% 4/1/19 (h) | 4,590 | 4,751 | ||
Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,215 | ||
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 (h) | 7,290 | 7,162 | ||
Denbury Resources, Inc. 8.25% 2/15/20 | 3,877 | 4,187 | ||
DTEK Finance BV 9.5% 4/28/15 (h) | 521 | 528 | ||
Eagle Rock Energy Partners LP / Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 5,228 | ||
Energy Partners Ltd. 8.25% 2/15/18 | 11,490 | 11,835 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 11,154 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 | 12,735 | 13,977 | ||
EXCO Resources, Inc. 7.5% 9/15/18 | 8,000 | 7,480 | ||
Forest Oil Corp. 7.5% 9/15/20 (h) | 6,705 | 6,370 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 (h) | 2,400 | 2,376 | ||
Georgian Oil & Gas Corp. 6.875% 5/16/17 (h) | 2,740 | 2,726 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 | 3,485 | 3,433 | ||
GPN Capital SA 2.933% 4/26/18 (Reg. S) | EUR | 4,350 | 5,404 | |
Halcon Resources Corp. 8.875% 5/15/21 | 4,140 | 4,005 | ||
Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (h) | 3,765 | 3,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | $ 4,875 | $ 4,778 | ||
Indo Energy Finance II BV 6.375% 1/24/23 (h) | 2,525 | 2,209 | ||
Inergy Midstream LP/Inergy Finance Corp. 6% 12/15/20 (h) | 6,670 | 6,437 | ||
IPIC GMTN Ltd. 3.625% 5/30/23 | EUR | 4,615 | 6,088 | |
KazMunaiGaz National Co.: | ||||
4.4% 4/30/23 (h) | 2,675 | 2,459 | ||
5.75% 4/30/43 (h) | 3,905 | 3,448 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (h) | 3,510 | 3,791 | ||
7% 5/5/20 (h) | 4,100 | 4,633 | ||
9.125% 7/2/18 (h) | 4,825 | 5,766 | ||
Kodiak Oil & Gas Corp. 5.5% 1/15/21 (h) | 2,030 | 1,969 | ||
Laredo Pete, Inc. 7.375% 5/1/22 | 5,910 | 6,132 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (h) | 1,660 | 1,581 | ||
7.75% 2/1/21 | 7,820 | 7,840 | ||
8.625% 4/15/20 | 8,900 | 9,345 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp.: | ||||
5.5% 2/15/23 | 2,325 | 2,290 | ||
6.25% 6/15/22 | 6,243 | 6,399 | ||
6.75% 11/1/20 | 1,880 | 1,979 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 6,550 | 6,501 | ||
Newfield Exploration Co.: | ||||
5.625% 7/1/24 | 5,200 | 5,044 | ||
6.875% 2/1/20 | 12,875 | 13,261 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (h) | 2,245 | 2,267 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h) | 7,324 | 7,763 | ||
Pan American Energy LLC 7.875% 5/7/21 (h) | 6,125 | 5,895 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 | 9,325 | 9,885 | ||
Pemex Project Funding Master Trust: | ||||
6.625% 6/15/35 | 12,095 | 12,821 | ||
6.625% 6/15/38 | 465 | 487 | ||
8.625% 12/1/23 | 500 | 625 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 6.5% 5/15/21 (h) | $ 4,155 | $ 3,999 | ||
Petrobras Global Finance BV 2.4141% 1/15/19 (m) | 3,485 | 3,394 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.375% 1/27/21 | 5,230 | 5,255 | ||
6.875% 1/20/40 | 4,400 | 4,383 | ||
8.375% 12/10/18 | 4,735 | 5,603 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 17,475 | 16,339 | ||
5.375% 4/12/27 | 5,720 | 3,432 | ||
5.5% 4/12/37 | 2,650 | 1,530 | ||
8% 11/17/13 | 9,365 | 9,365 | ||
8.5% 11/2/17 (h) | 50,405 | 45,869 | ||
9% 11/17/21 (Reg. S) | 7,325 | 6,153 | ||
9.75% 5/17/35 (h) | 11,030 | 8,714 | ||
12.75% 2/17/22 (h) | 17,105 | 17,233 | ||
Petroleos Mexicanos: | ||||
3.5% 1/30/23 (h) | 4,295 | 3,962 | ||
4.875% 1/24/22 | 3,930 | 3,989 | ||
5.5% 1/21/21 | 4,960 | 5,315 | ||
5.5% 6/27/44 | 5,525 | 4,986 | ||
5.5% 6/27/44 (h) | 1,915 | 1,726 | ||
6% 3/5/20 | 2,990 | 3,304 | ||
6.5% 6/2/41 | 8,205 | 8,472 | ||
6.625% (h)(i) | 16,230 | 16,514 | ||
8% 5/3/19 | 2,695 | 3,288 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 10,174 | ||
PT Adaro Indonesia 7.625% 10/22/19 (h) | 7,144 | 7,501 | ||
PT Pertamina Persero: | ||||
4.3% 5/20/23 (h) | 600 | 552 | ||
4.875% 5/3/22 (h) | 5,190 | 4,969 | ||
5.25% 5/23/21 (h) | 3,385 | 3,351 | ||
5.625% 5/20/43 (h) | 480 | 410 | ||
6% 5/3/42 (h) | 4,240 | 3,964 | ||
6.5% 5/27/41 (h) | 5,130 | 4,950 | ||
QEP Resources, Inc. 5.25% 5/1/23 | 5,955 | 5,776 | ||
QR Energy LP/QRE Finance Corp. 9.25% 8/1/20 | 4,060 | 4,151 | ||
Range Resources Corp.: | ||||
5% 8/15/22 | 6,060 | 5,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Range Resources Corp.: - continued | ||||
5% 3/15/23 | $ 9,130 | $ 8,902 | ||
5.75% 6/1/21 | 2,030 | 2,081 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,783 | ||
Rosetta Resources, Inc.: | ||||
5.625% 5/1/21 | 4,560 | 4,452 | ||
9.5% 4/15/18 | 3,565 | 3,850 | ||
Sabine Pass Liquefaction LLC 5.625% 4/15/23 (h) | 7,375 | 6,969 | ||
SemGroup Corp. 7.5% 6/15/21 (h) | 4,100 | 4,162 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,568 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
5.25% 5/1/23 (h) | 1,300 | 1,248 | ||
6.375% 8/1/22 | 1,995 | 2,090 | ||
6.875% 2/1/21 | 2,785 | 2,952 | ||
11.25% 7/15/17 | 4,265 | 4,489 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 4,009 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 668 | ||
7.625% 4/1/37 | 1,035 | 1,360 | ||
8.375% 6/15/32 | 1,155 | 1,545 | ||
Tesoro Corp.: | ||||
4.25% 10/1/17 | 2,970 | 3,044 | ||
5.375% 10/1/22 | 3,340 | 3,382 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (h) | 1,010 | 1,000 | ||
Venoco, Inc. 8.875% 2/15/19 | 3,090 | 3,013 | ||
W&T Offshore, Inc. 8.5% 6/15/19 | 4,890 | 5,049 | ||
Western Refining, Inc. 6.25% 4/1/21 (h) | 6,375 | 6,232 | ||
WPX Energy, Inc. 6% 1/15/22 | 7,035 | 7,088 | ||
Zhaikmunai International BV 7.125% 11/13/19 (h) | 5,430 | 5,430 | ||
| 669,115 | |||
TOTAL ENERGY | 731,322 | |||
FINANCIALS - 6.5% | ||||
Capital Markets - 0.0% | ||||
Penson Worldwide, Inc. 12.5% 5/15/17 (d)(h) | 3,580 | 859 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - 1.6% | ||||
Access Finance BV 7.25% 7/25/17 (h) | $ 3,600 | $ 3,546 | ||
Akbank T.A.S. 7.5% 2/5/18 (h) | TRY | 5,015 | 2,379 | |
BBVA Paraguay SA 9.75% 2/11/16 (h) | 4,580 | 4,809 | ||
BNP Paribas SA 2.5% 8/23/19 | EUR | 1,950 | 2,572 | |
CBOM Finance PLC 8.25% 8/5/14 | 2,440 | 2,523 | ||
CIT Group, Inc.: | ||||
5% 8/15/22 | 8,305 | 8,243 | ||
5.25% 3/15/18 | 8,005 | 8,225 | ||
5.375% 5/15/20 | 10,385 | 10,632 | ||
5.5% 2/15/19 (h) | 35,510 | 36,664 | ||
Credit Commercial de France 1.875% 1/16/20 | EUR | 9,500 | 12,158 | |
Development Bank of Kazakhstan JSC 4.125% 12/10/22 (h) | 1,745 | 1,536 | ||
Development Bank of Philippines 8.375% (i)(m) | 6,540 | 6,998 | ||
Export-Import Bank of Korea 6% 6/4/16 (Reg. S) | INR | 145,600 | 2,399 | |
Finansbank A/S: | ||||
5.15% 11/1/17 (h) | 9,055 | 8,783 | ||
5.5% 5/11/16 (Reg. S) | 2,190 | 2,168 | ||
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (h) | 6,095 | 6,339 | ||
HSBC SFH France SA 2% 10/16/23 | EUR | 5,200 | 6,553 | |
HSBK (Europe) BV 7.25% 5/3/17 (h) | 3,970 | 4,089 | ||
JSC Kazkommertsbank BV 8% 11/3/15 (h) | 3,060 | 3,014 | ||
JSC Oschadbank 8.25% 3/10/16 (Issued by SSB #1 PLC for JSC Oschadbank) | 950 | 888 | ||
Kazkommerts International BV 7.875% 4/7/14 (Reg. S) | 3,325 | 3,325 | ||
Magyar Export-Import Bank 5.5% 2/12/18 (h) | 2,860 | 2,824 | ||
RSHB Capital SA 6% 6/3/21 (h)(m) | 2,155 | 2,136 | ||
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) (f) | 3,550 | 3,000 | ||
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 10,285 | 11,211 | ||
Vnesheconombank Via VEB Finance PLC: | ||||
6.025% 7/5/22 (h) | 4,350 | 4,475 | ||
6.8% 11/22/25 (h) | 4,640 | 4,959 | ||
6.902% 7/9/20 (h) | 7,355 | 8,072 | ||
| 174,520 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - 2.6% | ||||
Ally Financial, Inc.: | ||||
5.5% 2/15/17 | $ 7,530 | $ 7,869 | ||
7.5% 9/15/20 | 47,655 | 54,922 | ||
8% 3/15/20 | 39,660 | 46,055 | ||
Ford Motor Credit Co. LLC: | ||||
4.25% 9/20/22 | 5,147 | 5,056 | ||
5.75% 2/1/21 | 2,370 | 2,567 | ||
5.875% 8/2/21 | 17,745 | 19,346 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 27,890 | 33,329 | ||
GMAC LLC 8% 11/1/31 | 64,378 | 77,575 | ||
SLM Corp.: | ||||
5.5% 1/25/23 | 19,170 | 18,073 | ||
6% 1/25/17 | 9,240 | 9,517 | ||
7.25% 1/25/22 | 8,430 | 8,788 | ||
8% 3/25/20 | 7,185 | 7,742 | ||
| 290,839 | |||
Diversified Financial Services - 1.5% | ||||
Aquarius Investments Luxemburg 8.25% 2/18/16 | 5,805 | 6,037 | ||
Barry Callebaut Services NV 5.5% 6/15/23 (h) | 5,915 | 5,811 | ||
Biz Finance PLC 8.375% 4/27/15 (Reg. S) | 7,200 | 6,966 | ||
Canada Housing Trust No. 1 2.35% 9/15/23 (h) | CAD | 20,350 | 18,338 | |
CDW LLC/CDW Finance Corp. 8% 12/15/18 | 1,590 | 1,725 | ||
Citigroup, Inc. 5.9% (i)(m) | 13,975 | 13,835 | ||
FMS Wertmanagement AoeR 3% 9/8/21 | EUR | 11,500 | 16,339 | |
General Motors Financial Co., Inc.: | ||||
3.25% 5/15/18 (h) | 2,880 | 2,801 | ||
4.25% 5/15/23 (h) | 2,520 | 2,347 | ||
6.75% 6/1/18 | 6,140 | 6,677 | ||
GTB Finance BV 7.5% 5/19/16 (h) | 4,175 | 4,342 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (h) | 4,195 | 4,447 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 6,865 | 7,088 | ||
8% 1/15/18 | 9,727 | 10,213 | ||
Indo Energy Finance BV 7% 5/7/18 (h) | 6,210 | 6,086 | ||
Landry's Acquisition Co. 9.375% 5/1/20 (h) | 905 | 953 | ||
Magnesita Finance Ltd. 8.625% (h)(i) | 2,595 | 2,569 | ||
TMK Capital SA 7.75% 1/27/18 | 7,425 | 7,388 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18 | $ 5,625 | $ 6,173 | ||
Unicredit Luxembourg SA 5.1875% 10/13/15 (h) | 3,160 | 3,223 | ||
Unite (USAF) II PLC 3.374% 6/30/28 | GBP | 4,900 | 7,229 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (h)(m) | 25,860 | 26,054 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (h) | 6,320 | 6,630 | ||
| 173,271 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. 6.375% 10/1/20 (h) | 2,460 | 2,614 | ||
Real Estate Investment Trusts - 0.4% | ||||
Corrections Corp. of America: | ||||
4.125% 4/1/20 (h) | 4,935 | 4,812 | ||
4.625% 5/1/23 (h) | 4,935 | 4,836 | ||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 | 7,955 | 8,432 | ||
Omega Healthcare Investors, Inc.: | ||||
5.875% 3/15/24 | 13,845 | 14,295 | ||
7.5% 2/15/20 | 4,860 | 5,200 | ||
The Geo Group, Inc.: | ||||
5.125% 4/1/23 (h) | 1,910 | 1,834 | ||
7.75% 10/15/17 | 2,845 | 2,973 | ||
| 42,382 | |||
Real Estate Management & Development - 0.4% | ||||
CB Richard Ellis Services, Inc.: | ||||
5% 3/15/23 | 7,430 | 7,021 | ||
6.625% 10/15/20 | 5,565 | 5,871 | ||
Realogy Corp.: | ||||
7.625% 1/15/20 (h) | 6,330 | 6,868 | ||
7.875% 2/15/19 (h) | 5,680 | 5,992 | ||
9% 1/15/20 (h) | 3,740 | 4,170 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | ||||
5.25% 4/15/21 (h) | 7,370 | 7,002 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: - continued | ||||
7.75% 4/15/20 (h) | $ 2,754 | $ 2,967 | ||
Tesco Property Finance 5 PLC 5.6611% 10/13/41 | GBP | 2,488 | 3,951 | |
| 43,842 | |||
TOTAL FINANCIALS | 728,327 | |||
HEALTH CARE - 4.1% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
DJO Finance LLC/DJO Finance Corp. 8.75% 3/15/18 | 2,270 | 2,463 | ||
Health Care Providers & Services - 3.4% | ||||
Community Health Systems, Inc.: | ||||
5.125% 8/15/18 | 4,870 | 4,943 | ||
7.125% 7/15/20 | 16,025 | 16,586 | ||
8% 11/15/19 | 14,495 | 15,401 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,910 | ||
DaVita, Inc.: | ||||
5.75% 8/15/22 | 9,960 | 9,935 | ||
6.375% 11/1/18 | 12,740 | 13,298 | ||
6.625% 11/1/20 | 10,185 | 10,771 | ||
Fresenius Medical Care U.S. Finance II, Inc.: | ||||
5.625% 7/31/19 (h) | 15,215 | 15,748 | ||
5.875% 1/31/22 (h) | 16,815 | 17,572 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 5,796 | ||
HCA Holdings, Inc.: | ||||
6.25% 2/15/21 | 5,850 | 5,952 | ||
7.75% 5/15/21 | 38,425 | 41,211 | ||
HCA, Inc.: | ||||
4.75% 5/1/23 | 6,115 | 5,855 | ||
5.875% 3/15/22 | 19,190 | 19,694 | ||
5.875% 5/1/23 | 20,650 | 20,598 | ||
6.5% 2/15/20 | 9,920 | 10,676 | ||
7.25% 9/15/20 | 38,835 | 41,651 | ||
7.5% 2/15/22 | 12,110 | 13,336 | ||
8% 10/1/18 | 1,365 | 1,568 | ||
Health Management Associates, Inc. 7.375% 1/15/20 | 2,985 | 3,254 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HealthSouth Corp.: | ||||
5.75% 11/1/24 | $ 3,000 | $ 2,918 | ||
8.125% 2/15/20 | 7,395 | 7,987 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 | 4,035 | 4,073 | ||
InVentiv Health, Inc. 11% 8/15/18 (h) | 905 | 769 | ||
ResCare, Inc. 10.75% 1/15/19 | 2,735 | 3,063 | ||
Rotech Healthcare, Inc. 10.5% 3/15/18 (d) | 2,475 | 1,262 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 3,075 | 2,990 | ||
8.125% 11/1/18 | 2,980 | 3,196 | ||
Tenet Healthcare Corp.: | ||||
4.375% 10/1/21 (h) | 9,740 | 8,985 | ||
4.5% 4/1/21 (h) | 4,300 | 3,988 | ||
4.75% 6/1/20 | 3,960 | 3,816 | ||
6.25% 11/1/18 | 38,116 | 40,117 | ||
6.75% 2/1/20 | 4,290 | 4,161 | ||
6.875% 11/15/31 | 11,540 | 9,924 | ||
8% 8/1/20 | 7,245 | 7,490 | ||
UHS Escrow Corp. 7% 10/1/18 | 1,020 | 1,066 | ||
| 381,560 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (h) | 4,860 | 5,310 | ||
Thomson Reuters Healthcare, Inc. 10.625% 6/1/20 (h) | 4,285 | 4,714 | ||
| 10,024 | |||
Life Sciences Tools & Services - 0.1% | ||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (h) | 3,970 | 4,367 | ||
Pharmaceuticals - 0.5% | ||||
Valeant Pharmaceuticals International: | ||||
6.75% 8/15/21 (h) | 9,090 | 9,101 | ||
6.875% 12/1/18 (h) | 8,900 | 9,123 | ||
VPI Escrow Corp. 6.375% 10/15/20 (h) | 18,005 | 17,780 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
VPII Escrow Corp.: | ||||
6.75% 8/15/18 (h)(j) | $ 14,250 | $ 14,624 | ||
7.5% 7/15/21 (h)(j) | 7,215 | 7,495 | ||
| 58,123 | |||
TOTAL HEALTH CARE | 456,537 | |||
INDUSTRIALS - 4.2% | ||||
Aerospace & Defense - 0.3% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 468 | ||
12% 11/1/14 pay-in-kind | 1,521 | 1,535 | ||
Bombardier, Inc. 6.125% 1/15/23 (h) | 4,810 | 4,786 | ||
GenCorp, Inc. 7.125% 3/15/21 (h) | 1,340 | 1,387 | ||
Huntington Ingalls Industries, Inc.: | ||||
6.875% 3/15/18 | 15,595 | 16,667 | ||
7.125% 3/15/21 | 1,675 | 1,801 | ||
Triumph Group, Inc. 4.875% 4/1/21 (h) | 4,990 | 4,965 | ||
| 31,609 | |||
Airlines - 0.7% | ||||
Air Canada: | ||||
4.125% 5/15/25 (h) | 2,630 | 2,623 | ||
5.375% 11/15/22 (h) | 1,725 | 1,721 | ||
9.25% 8/1/15 (h) | 7,170 | 7,511 | ||
Aviation Capital Group Corp. 4.625% 1/31/18 (h) | 3,555 | 3,499 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 6.903% 4/19/22 | 766 | 812 | ||
6.125% 4/29/18 (h) | 1,720 | 1,737 | ||
7.25% 11/10/19 | 4,312 | 5,045 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,835 | 9,988 | ||
8.021% 8/10/22 | 3,184 | 3,478 | ||
Hawaiian Airlines pass-thru certificates: | ||||
Series 2013-1 Class A, 3.9% 1/15/26 | 3,050 | 2,875 | ||
Series 2013-1 Class B, 4.95% 1/15/22 | 2,440 | 2,300 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 1,960 | 2,146 | ||
8.028% 11/1/17 | 532 | 561 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways Group, Inc. 6.125% 6/1/18 | $ 7,310 | $ 6,890 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2011-1 Class A, 7.125% 4/22/25 | 4,712 | 5,324 | ||
Series 2012-2: | ||||
Class A, 4.625% 12/3/26 | 2,400 | 2,352 | ||
Class B, 6.75% 12/3/22 | 1,875 | 1,950 | ||
U.S. Airways pass-thru Trust Series 2013-1: | ||||
Class A, 3.95% 5/15/27 | 5,585 | 5,376 | ||
Class B, 5.375% 5/15/23 | 2,310 | 2,270 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 6,049 | 6,911 | ||
United Continental Holdings, Inc. 6.375% 6/1/18 | 960 | 943 | ||
| 76,312 | |||
Building Products - 0.1% | ||||
Gibraltar Industries, Inc. 6.25% 2/1/21 (h) | 770 | 778 | ||
HD Supply, Inc.: | ||||
8.125% 4/15/19 | 2,405 | 2,633 | ||
11% 4/15/20 | 4,560 | 5,312 | ||
Nortek, Inc. 8.5% 4/15/21 (h) | 2,705 | 2,867 | ||
| 11,590 | |||
Commercial Services & Supplies - 0.5% | ||||
ADS Tactical, Inc. 11% 4/1/18 (h) | 1,640 | 1,583 | ||
American Reprographics Co. 10.5% 12/15/16 | 4,570 | 4,524 | ||
Bakercorp International, Inc. 8.25% 6/1/19 | 2,915 | 2,828 | ||
Clean Harbors, Inc.: | ||||
5.125% 6/1/21 | 3,050 | 3,073 | ||
5.25% 8/1/20 | 3,395 | 3,446 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,180 | ||
Garda World Security Corp. 9.75% 3/15/17 (h) | 2,260 | 2,390 | ||
Iron Mountain, Inc. 5.75% 8/15/24 | 3,800 | 3,563 | ||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h) | 885 | 887 | ||
R.R. Donnelley & Sons Co. 7.875% 3/15/21 | 4,975 | 5,075 | ||
Tervita Corp.: | ||||
8% 11/15/18 (h) | 4,295 | 4,316 | ||
9.75% 11/1/19 (h) | 4,890 | 4,548 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
United Rentals North America, Inc. 8.375% 9/15/20 | $ 6,995 | $ 7,555 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (h) | 3,355 | 2,785 | ||
| 51,753 | |||
Construction & Engineering - 0.2% | ||||
MasTec, Inc. 4.875% 3/15/23 | 5,255 | 4,992 | ||
Odebrecht Finance Ltd. 7.5% (h)(i) | 12,845 | 12,717 | ||
| 17,709 | |||
Electrical Equipment - 0.1% | ||||
Sensata Technologies BV: | ||||
4.875% 10/15/23 (h) | 2,505 | 2,411 | ||
6.5% 5/15/19 (h) | 5,310 | 5,476 | ||
| 7,887 | |||
Industrial Conglomerates - 0.0% | ||||
Siemens Financieringsmaatschappij NV 2.875% 3/10/28 | EUR | 3,505 | 4,477 | |
Machinery - 0.2% | ||||
Schaeffler Finance BV 4.75% 5/15/21 (h) | 4,880 | 4,636 | ||
Terex Corp. 6% 5/15/21 | 12,145 | 12,266 | ||
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (h) | 3,460 | 3,806 | ||
| 20,708 | |||
Marine - 0.2% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 2,585 | 2,656 | ||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 | 11,300 | 11,724 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc.: | ||||
9.25% 4/15/19 | 1,320 | 1,416 | ||
9.25% 4/15/19 (h) | 1,385 | 1,485 | ||
Ultrapetrol (Bahamas) Ltd.: | ||||
8.875% 6/15/21 (h) | 3,240 | 3,240 | ||
9% 11/24/14 | 2,050 | 2,053 | ||
| 22,574 | |||
Road & Rail - 0.2% | ||||
JSC Georgian Railway 7.75% 7/11/22 (h) | 2,575 | 2,781 | ||
Kansas City Southern de Mexico SA de CV 6.125% 6/15/21 | 439 | 498 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
Kenan Advantage Group, Inc. 8.375% 12/15/18 (h) | $ 4,670 | $ 4,857 | ||
NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (h) | 3,485 | 3,781 | ||
Shortline PLC 9.5% 5/21/18 (h) | 1,900 | 1,734 | ||
Swift Services Holdings, Inc. 10% 11/15/18 | 5,120 | 5,632 | ||
Western Express, Inc. 12.5% 4/15/15 (h) | 4,010 | 2,647 | ||
| 21,930 | |||
Trading Companies & Distributors - 1.7% | ||||
Ahern Rentals, Inc. 9.5% 6/15/18 (h) | 1,185 | 1,179 | ||
Aircastle Ltd.: | ||||
6.25% 12/1/19 | 5,850 | 6,077 | ||
6.75% 4/15/17 | 4,635 | 4,867 | ||
7.625% 4/15/20 | 3,750 | 4,125 | ||
9.75% 8/1/18 | 9,000 | 9,878 | ||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | 7,100 | 6,674 | ||
4.625% 4/15/21 | 6,645 | 6,147 | ||
5.75% 5/15/16 | 7,580 | 7,789 | ||
5.875% 4/1/19 | 19,260 | 19,453 | ||
6.25% 5/15/19 | 19,100 | 19,625 | ||
6.75% 9/1/16 (h) | 6,715 | 7,252 | ||
7.125% 9/1/18 (h) | 27,064 | 29,906 | ||
8.25% 12/15/20 | 21,490 | 24,149 | ||
8.625% 1/15/22 | 21,585 | 24,823 | ||
8.75% 3/15/17 | 16,360 | 18,282 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (h) | 1,505 | 1,460 | ||
| 191,686 | |||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (h) | 6,835 | 6,288 | ||
TOTAL INDUSTRIALS | 464,523 | |||
INFORMATION TECHNOLOGY - 1.2% | ||||
Communications Equipment - 0.2% | ||||
Avaya, Inc. 10.5% 3/1/21 (h) | 5,140 | 3,804 | ||
Brocade Communications Systems, Inc.: | ||||
4.625% 1/15/23 (h) | 3,330 | 3,122 | ||
6.875% 1/15/20 | 765 | 811 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 9,235 | $ 6,996 | ||
6.5% 1/15/28 | 4,045 | 3,034 | ||
| 17,767 | |||
Computers & Peripherals - 0.1% | ||||
Seagate HDD Cayman: | ||||
4.75% 6/1/23 (h) | 9,740 | 9,083 | ||
7% 11/1/21 | 6,295 | 6,736 | ||
| 15,819 | |||
Electronic Equipment & Components - 0.1% | ||||
Atkore International, Inc. 9.875% 1/1/18 | 2,155 | 2,274 | ||
Flextronics International Ltd.: | ||||
4.625% 2/15/20 (h) | 4,785 | 4,641 | ||
5% 2/15/23 (h) | 2,495 | 2,414 | ||
Jabil Circuit, Inc. 4.7% 9/15/22 | 2,650 | 2,551 | ||
| 11,880 | |||
Internet Software & Services - 0.1% | ||||
Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (h) | 3,595 | 3,667 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (h) | 6,150 | 5,812 | ||
j2 Global, Inc. 8% 8/1/20 | 3,460 | 3,616 | ||
VeriSign, Inc. 4.625% 5/1/23 (h) | 4,375 | 4,244 | ||
| 17,339 | |||
IT Services - 0.4% | ||||
Audatex North America, Inc. 6% 6/15/21 (h) | 7,195 | 7,213 | ||
Ceridian Corp. 11% 3/15/21 (h) | 2,360 | 2,608 | ||
Fidelity National Information Services, Inc. 7.875% 7/15/20 | 3,910 | 4,301 | ||
First Data Corp. 11.75% 8/15/21 (h) | 7,305 | 6,575 | ||
NeuStar, Inc. 4.5% 1/15/23 (h) | 1,850 | 1,748 | ||
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | ||||
10.25% 7/15/19 | 11,774 | 12,510 | ||
13.375% 10/15/19 | 8,365 | 9,243 | ||
| 44,198 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
NXP BV/NXP Funding LLC: | ||||
3.75% 6/1/18 (h) | $ 5,520 | $ 5,410 | ||
5.75% 2/15/21 (h) | 5,005 | 5,068 | ||
5.75% 3/15/23 (h) | 3,030 | 3,068 | ||
9.75% 8/1/18 (h) | 3,382 | 3,784 | ||
Spansion LLC 11.25% 1/15/16 (d)(h) | 4,255 | 0 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (h) | 955 | 912 | ||
| 18,242 | |||
Software - 0.1% | ||||
Nuance Communications, Inc. 5.375% 8/15/20 (h) | 2,445 | 2,414 | ||
SAP AG 2.125% 11/13/19 | EUR | 8,600 | 11,097 | |
| 13,511 | |||
TOTAL INFORMATION TECHNOLOGY | 138,756 | |||
MATERIALS - 3.6% | ||||
Chemicals - 1.4% | ||||
Axiall Corp. 4.875% 5/15/23 (h) | 1,585 | 1,506 | ||
Eagle Spinco, Inc. 4.625% 2/15/21 (h) | 2,690 | 2,576 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 (h) | 11,765 | 11,706 | ||
INEOS Group Holdings SA 6.125% 8/15/18 (h) | 4,895 | 4,699 | ||
LyondellBasell Industries NV: | ||||
5% 4/15/19 | 7,200 | 7,834 | ||
5.75% 4/15/24 | 7,200 | 7,918 | ||
6% 11/15/21 | 20,050 | 22,530 | ||
Momentive Performance Materials, Inc.: | ||||
9% 1/15/21 | 2,205 | 1,891 | ||
10% 10/15/20 | 17,435 | 18,132 | ||
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 | 34,440 | 35,990 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (h) | 2,020 | 2,020 | ||
Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (h)(m) | 7,545 | 7,545 | ||
OXEA Finance & CY S.C.A. 9.5% 7/15/17 (h) | 3,202 | 3,394 | ||
PetroLogistics LP/PetroLogistics Finance Corp. 6.25% 4/1/20 (h) | 3,380 | 3,312 | ||
PolyOne Corp.: | ||||
5.25% 3/15/23 (h) | 3,085 | 3,116 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
PolyOne Corp.: - continued | ||||
7.375% 9/15/20 | $ 1,845 | $ 2,011 | ||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (h) | 2,120 | 2,104 | ||
Taminco Global Chemical Corp. 9.75% 3/31/20 (h) | 1,245 | 1,387 | ||
TPC Group, Inc. 8.75% 12/15/20 (h) | 7,335 | 7,445 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (h) | 9,985 | 9,586 | ||
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (h) | 2,450 | 2,517 | ||
| 159,219 | |||
Construction Materials - 0.3% | ||||
CEMEX Espana SA (Luxembourg) 9.25% 5/12/20 (h) | 2,860 | 3,003 | ||
CEMEX Finance LLC 9.375% 10/12/22 (h) | 2,430 | 2,643 | ||
CEMEX SA de CV: | ||||
5.2756% 9/30/15 (h)(m) | 5,330 | 5,410 | ||
9.5% 6/15/18 (h) | 8,990 | 9,709 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (h) | 3,215 | 3,279 | ||
Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (h) | 3,310 | 3,542 | ||
| 27,586 | |||
Containers & Packaging - 0.4% | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
4.875% 11/15/22 (h) | 1,145 | 1,065 | ||
7% 11/15/20 (h) | 3,005 | 2,885 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h) | 2,060 | 2,163 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 11,295 | 12,425 | ||
7.5% 12/15/96 | 3,685 | 3,482 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 1,555 | 1,493 | ||
Rock-Tenn Co. 4.9% 3/1/22 | 1,380 | 1,424 | ||
Sappi Papier Holding GmbH: | ||||
7.75% 7/15/17 (h) | 2,600 | 2,743 | ||
8.375% 6/15/19 (h) | 3,515 | 3,708 | ||
Sealed Air Corp. 5.25% 4/1/23 (h) | 2,540 | 2,470 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Silgan Holdings, Inc. 5% 4/1/20 | $ 9,600 | $ 9,456 | ||
Tekni-Plex, Inc. 9.75% 6/1/19 (h) | 3,480 | 3,698 | ||
| 47,012 | |||
Metals & Mining - 1.4% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (h) | 33 | 66 | ||
9% 12/15/14 pay-in-kind (d)(m) | 2,790 | 0 | ||
Alrosa Finance SA 7.75% 11/3/20 (h) | 3,935 | 4,210 | ||
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (h) | 1,040 | 1,056 | ||
Edgen Murray Corp. 8.75% 11/1/20 (h) | 5,920 | 5,861 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (h) | 2,625 | 2,369 | ||
8.25% 11/10/15 (h) | 8,815 | 9,300 | ||
9.5% 4/24/18 (Reg. S) | 3,150 | 3,339 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6% 4/1/17 (h) | 6,325 | 6,151 | ||
6.875% 2/1/18 (h) | 7,685 | 7,589 | ||
6.875% 4/1/22 (h) | 9,290 | 9,011 | ||
8.25% 11/1/19 (h) | 20,335 | 20,894 | ||
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (h) | 4,665 | 3,825 | ||
IAMGOLD Corp. 6.75% 10/1/20 (h) | 18,720 | 15,818 | ||
Inmet Mining Corp. 7.5% 6/1/21 (h) | 3,015 | 2,887 | ||
Metinvest BV 10.25% 5/20/15 (h) | 5,070 | 5,197 | ||
Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (h) | 2,265 | 1,653 | ||
Mirabela Nickel Ltd. 8.75% 4/15/18 (h) | 1,135 | 897 | ||
Mongolian Mining Corp. 8.875% 3/29/17 (h) | 1,960 | 1,666 | ||
New Gold, Inc.: | ||||
6.25% 11/15/22 (h) | 4,520 | 4,305 | ||
7% 4/15/20 (h) | 1,480 | 1,487 | ||
Nord Gold NV 6.375% 5/7/18 (h) | 3,625 | 3,081 | ||
Polyus Gold International Ltd. 5.625% 4/29/20 (h) | 4,865 | 4,622 | ||
Prince Mineral Holding Corp. 11.5% 12/15/19 (h) | 1,685 | 1,803 | ||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (h) | 3,435 | 3,521 | ||
RathGibson, Inc. 11.25% 2/15/14 (d) | 5,755 | 0 | ||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: | ||||
9% 10/15/17 (h) | 7,005 | 7,075 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: - continued | ||||
11.25% 10/15/18 (h) | $ 10,610 | $ 10,690 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 5,200 | 5,499 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 2,685 | 2,640 | ||
7.5% 7/27/35 | 3,875 | 4,146 | ||
Steel Dynamics, Inc. 5.25% 4/15/23 (h) | 2,365 | 2,330 | ||
| 152,988 | |||
Paper & Forest Products - 0.1% | ||||
Boise Cascade Co. 6.375% 11/1/20 | 1,410 | 1,428 | ||
Clearwater Paper Corp. 7.125% 11/1/18 | 1,225 | 1,323 | ||
Emerald Plantation Holdings Ltd. 6% 1/30/20 | 950 | 547 | ||
NewPage Corp.: | ||||
6.5241% 5/1/49 (d)(m) | 1,770 | 0 | ||
11.375% 12/31/14 (d) | 4,404 | 0 | ||
Sino-Forest Corp. 6.25% 10/21/17 (d)(h) | 5,480 | 0 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 | 7,010 | 7,220 | ||
| 10,518 | |||
TOTAL MATERIALS | 397,323 | |||
TELECOMMUNICATION SERVICES - 4.7% | ||||
Diversified Telecommunication Services - 1.8% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 3,155 | 3,407 | ||
Altice Financing SA 7.875% 12/15/19 (h) | 4,820 | 5,037 | ||
Altice Finco SA 9.875% 12/15/20 (h) | 5,655 | 6,051 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 4,742 | ||
9% 8/15/31 | 3,655 | 3,618 | ||
Consolidated Communications, Inc. 10.875% 6/1/20 | 2,395 | 2,682 | ||
Eileme 1 AB 14.25% 8/15/20 pay-in-kind (h) | 5,424 | 5,681 | ||
Eileme 2 AB 11.625% 1/31/20 (h) | 9,395 | 10,757 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (h) | 4,990 | 4,940 | ||
Frontier Communications Corp.: | ||||
7.625% 4/15/24 | 8,475 | 8,496 | ||
8.5% 4/15/20 | 12,120 | 13,378 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Frontier Communications Corp.: - continued | ||||
8.75% 4/15/22 | $ 6,585 | $ 7,178 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (h) | 2,845 | 3,001 | ||
Intelsat Luxembourg SA 7.75% 6/1/21 (h) | 1,280 | 1,293 | ||
Level 3 Communications, Inc. 8.875% 6/1/19 | 1,640 | 1,689 | ||
Level 3 Financing, Inc.: | ||||
8.125% 7/1/19 | 3,845 | 3,999 | ||
8.625% 7/15/20 | 8,760 | 9,286 | ||
Lynx I Corp. 5.375% 4/15/21 (h) | 3,220 | 3,220 | ||
Lynx II Corp. 6.375% 4/15/23 (h) | 1,820 | 1,834 | ||
SBA Telecommunications, Inc. 5.75% 7/15/20 (h) | 3,605 | 3,614 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 34,365 | 32,990 | ||
8.75% 3/15/32 | 32,226 | 35,449 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h) | 2,585 | 2,663 | ||
Telenor ASA 2.5% 5/22/25 (Reg. S) | EUR | 9,850 | 12,267 | |
TW Telecom Holdings, Inc. 5.375% 10/1/22 | 3,935 | 3,905 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,453 | ||
7.25% 9/15/25 | 535 | 598 | ||
7.25% 10/15/35 | 1,455 | 1,462 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 5,445 | 5,009 | ||
| 200,699 | |||
Wireless Telecommunication Services - 2.9% | ||||
Crown Castle International Corp. 5.25% 1/15/23 | 8,270 | 7,939 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (h) | 28,475 | 27,194 | ||
7% 2/15/20 (h) | 980 | 975 | ||
8.25% 9/1/17 (h) | 10,205 | 10,613 | ||
8.25% 9/30/20 (h) | 47,595 | 49,261 | ||
10.5% 4/15/18 (h) | 34,610 | 36,687 | ||
Intelsat Jackson Holdings SA: | ||||
5.5% 8/1/23 (h) | 19,610 | 18,384 | ||
6.625% 12/15/22 (h) | 27,585 | 26,688 | ||
7.25% 4/1/19 | 11,235 | 11,684 | ||
7.25% 10/15/20 | 15,330 | 16,097 | ||
7.5% 4/1/21 | 27,065 | 28,181 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA: - continued | ||||
8.5% 11/1/19 | $ 4,220 | $ 4,526 | ||
MetroPCS Wireless, Inc.: | ||||
6.25% 4/1/21 (h) | 8,355 | 8,501 | ||
6.625% 4/1/23 (h) | 8,355 | 8,501 | ||
7.875% 9/1/18 | 3,933 | 4,189 | ||
Millicom International Cellular SA 4.75% 5/22/20 (h) | 2,560 | 2,445 | ||
MTS International Funding Ltd.: | ||||
5% 5/30/23 (h) | 6,050 | 5,793 | ||
8.625% 6/22/20 (h) | 8,840 | 10,387 | ||
NII Capital Corp. 7.625% 4/1/21 | 6,430 | 4,999 | ||
NII International Telecom S.C.A. 11.375% 8/15/19 (h) | 4,870 | 5,211 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h) | 11,684 | 11,626 | ||
Sprint Nextel Corp. 6% 11/15/22 | 7,305 | 7,141 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (h) | 5,975 | 6,319 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,465 | 4,766 | ||
VimpelCom Holdings BV 5.2% 2/13/19 (h) | 2,790 | 2,706 | ||
| 320,813 | |||
TOTAL TELECOMMUNICATION SERVICES | 521,512 | |||
UTILITIES - 3.1% | ||||
Electric Utilities - 0.2% | ||||
Aguila 3 SA 7.875% 1/31/18 (h) | 2,890 | 2,977 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (h) | 2,355 | 2,568 | ||
Comision Federal de Electricid 5.75% 2/14/42 (h) | 1,600 | 1,492 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (h) | 7,849 | 3,826 | ||
Hrvatska Elektroprivreda 6% 11/9/17 (h) | 1,675 | 1,675 | ||
Majapahit Holding BV 7.75% 1/20/20 (h) | 2,110 | 2,342 | ||
Mirant Americas Generation LLC 9.125% 5/1/31 | 4,075 | 4,360 | ||
RusHydro Finance Ltd. 7.875% 10/28/15 | RUB | 107,800 | 3,240 | |
| 22,480 | |||
Gas Utilities - 0.3% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,985 | 2,134 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | $ 6,645 | $ 8,291 | ||
8% 3/1/32 | 3,550 | 4,709 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,508 | ||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21 | 3,702 | 3,850 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (h) | 15,285 | 13,451 | ||
| 34,943 | |||
Independent Power Producers & Energy Traders - 2.6% | ||||
Atlantic Power Corp. 9% 11/15/18 | 9,120 | 9,211 | ||
Calpine Corp.: | ||||
7.5% 2/15/21 (h) | 5,693 | 6,077 | ||
7.875% 7/31/20 (h) | 15,241 | 16,422 | ||
7.875% 1/15/23 (h) | 24,196 | 26,132 | ||
Energy Future Holdings Corp.: | ||||
10.875% 11/1/17 | 10,985 | 8,980 | ||
11.25% 11/1/17 pay-in-kind (m) | 8,822 | 7,212 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
6.875% 8/15/17 (h) | 7,430 | 7,541 | ||
10% 12/1/20 | 55,228 | 60,337 | ||
10% 12/1/20 (h) | 11,210 | 12,247 | ||
11% 10/1/21 | 30,866 | 33,104 | ||
12.25% 12/1/18 pay-in-kind (h) | 7,960 | 6,613 | ||
12.25% 3/1/22 (h) | 33,710 | 37,250 | ||
GenOn Energy, Inc. 9.875% 10/15/20 | 11,570 | 12,727 | ||
Listrindo Capital BV 6.95% 2/21/19 (h) | 2,440 | 2,525 | ||
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (h) | 2,880 | 3,485 | ||
The AES Corp. 4.875% 5/15/23 | 5,485 | 5,101 | ||
TXU Corp.: | ||||
5.55% 11/15/14 | 1,864 | 1,435 | ||
6.5% 11/15/24 | 15,240 | 10,439 | ||
6.55% 11/15/34 | 29,755 | 20,085 | ||
| 286,923 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - 0.0% | ||||
Puget Energy, Inc. 5.625% 7/15/22 | $ 3,690 | $ 3,912 | ||
TOTAL UTILITIES | 348,258 | |||
TOTAL NONCONVERTIBLE BONDS | 4,586,250 | |||
TOTAL CORPORATE BONDS (Cost $4,446,881) |
| |||
U.S. Government and Government Agency Obligations - 20.4% | ||||
| ||||
U.S. Government Agency Obligations - 1.0% | ||||
Fannie Mae: | ||||
0.5% 7/2/15 (g) | 74,366 | 74,465 | ||
0.5% 3/30/16 | 15,754 | 15,664 | ||
Federal Home Loan Bank: | ||||
0.375% 11/27/13 | 4,550 | 4,554 | ||
0.875% 12/27/13 | 775 | 778 | ||
1% 6/21/17 | 8,670 | 8,595 | ||
Private Export Funding Corp. secured 4.974% 8/15/13 | 1,515 | 1,524 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B Class 1, 5.136% 8/10/13 | 32 | 32 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 7,000 | 8,084 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 113,696 | |||
U.S. Treasury Inflation Protected Obligations - 0.1% | ||||
U.S. Treasury Inflation-Indexed Bonds 0.625% 2/15/43 | 15,295 | 12,857 | ||
U.S. Treasury Obligations - 18.6% | ||||
U.S. Treasury Bonds: | ||||
2.75% 11/15/42 | 23,584 | 20,363 | ||
2.875% 5/15/43 | 21,133 | 18,729 | ||
3.125% 2/15/43 | 208,635 | 194,995 | ||
5.25% 2/15/29 | 18,341 | 23,322 | ||
5.375% 2/15/31 | 24,494 | 31,903 | ||
6.125% 8/15/29 (k) | 13,232 | 18,401 | ||
7.5% 11/15/16 (l) | 2,850 | 3,483 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Bonds: - continued | ||||
7.5% 11/15/24 | $ 10,690 | $ 15,846 | ||
7.625% 2/15/25 | 11,000 | 16,507 | ||
7.875% 2/15/21 (l) | 6,800 | 9,631 | ||
8.125% 5/15/21 | 9,286 | 13,405 | ||
9.875% 11/15/15 | 11,595 | 14,157 | ||
U.S. Treasury Notes: | ||||
0.25% 3/31/15 | 5,753 | 5,746 | ||
0.25% 5/31/15 | 10,000 | 9,981 | ||
0.25% 7/15/15 | 91,225 | 90,961 | ||
0.25% 10/15/15 | 158,008 | 157,267 | ||
0.25% 4/15/16 | 3,728 | 3,692 | ||
0.25% 5/15/16 | 20,407 | 20,187 | ||
0.375% 6/30/15 | 35,000 | 35,008 | ||
0.375% 1/15/16 | 137,003 | 136,489 | ||
0.5% 6/15/16 | 105,000 | 104,541 | ||
0.5% 7/31/17 | 61,952 | 60,442 | ||
0.625% 4/30/18 | 28,163 | 27,204 | ||
0.75% 6/30/17 | 46,912 | 46,311 | ||
0.875% 11/30/16 | 24,887 | 24,897 | ||
0.875% 1/31/18 | 68,149 | 66,908 | ||
0.875% 7/31/19 | 44,096 | 41,974 | ||
1% 9/30/16 | 85,787 | 86,343 | ||
1% 10/31/16 | 32,941 | 33,126 | ||
1% 5/31/18 | 126,013 | 123,798 | ||
1.375% 11/30/15 | 14,493 | 14,799 | ||
1.375% 6/30/18 | 6,000 | 5,994 | ||
1.375% 5/31/20 | 108,013 | 104,165 | ||
1.75% 5/15/23 | 11,901 | 11,139 | ||
1.875% 6/30/15 | 17,707 | 18,237 | ||
1.875% 8/31/17 | 7,700 | 7,931 | ||
1.875% 9/30/17 | 5,400 | 5,558 | ||
1.875% 10/31/17 | 13,764 | 14,156 | ||
1.875% 6/30/20 | 80,094 | 79,744 | ||
2.125% 5/31/15 | 4,493 | 4,645 | ||
2.375% 2/28/15 | 55,000 | 56,895 | ||
2.375% 7/31/17 | 20,000 | 21,019 | ||
2.375% 6/30/18 | 7,978 | 8,359 | ||
2.5% 3/31/15 | 49,249 | 51,119 | ||
2.625% 4/30/16 | 3,137 | 3,312 | ||
2.75% 11/30/16 | 10,000 | 10,634 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
3% 9/30/16 | $ 8,408 | $ 9,010 | ||
3% 2/28/17 | 66,584 | 71,515 | ||
3.125% 10/31/16 | 20,033 | 21,545 | ||
3.125% 1/31/17 | 30,990 | 33,421 | ||
3.5% 2/15/18 | 46,613 | 51,274 | ||
4.5% 5/15/17 | 13,745 | 15,563 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,075,651 | |||
Other Government Related - 0.7% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5492% 12/7/20 (NCUA Guaranteed) (m) | 3,362 | 3,372 | ||
Series 2011-R1 Class 1A, 0.6482% 1/8/20 (NCUA Guaranteed) (m) | 5,889 | 5,912 | ||
Series 2011-R4 Class 1A, 0.5733% 3/6/20 (NCUA Guaranteed) (m) | 2,978 | 2,983 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
1.4% 6/12/15 (NCUA Guaranteed) | 3,550 | 3,607 | ||
2.35% 6/12/17 (NCUA Guaranteed) | 31,000 | 32,075 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 26,465 | ||
TOTAL OTHER GOVERNMENT RELATED | 74,414 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,278,692) |
| |||
U.S. Government Agency - Mortgage Securities - 5.0% | ||||
| ||||
Fannie Mae - 2.0% | ||||
2.051% 9/1/33 (m) | 637 | 667 | ||
2.105% 11/1/35 (m) | 426 | 448 | ||
2.362% 2/1/36 (m) | 107 | 113 | ||
2.415% 11/1/33 (m) | 148 | 156 | ||
2.428% 10/1/35 (m) | 43 | 45 | ||
2.541% 6/1/36 (m) | 52 | 55 | ||
2.546% 1/1/35 (m) | 337 | 356 | ||
2.595% 3/1/33 (m) | 162 | 172 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Fannie Mae - continued | ||||
2.614% 6/1/47 (m) | $ 192 | $ 206 | ||
2.647% 2/1/37 (m) | 615 | 657 | ||
2.653% 7/1/35 (m) | 250 | 264 | ||
2.679% 11/1/36 (m) | 55 | 58 | ||
2.69% 5/1/36 (m) | 68 | 73 | ||
2.763% 4/1/36 (m) | 420 | 450 | ||
2.78% 9/1/36 (m) | 156 | 166 | ||
3% 7/1/43 (j) | 24,600 | 24,027 | ||
3% 7/1/43 (j) | 7,600 | 7,423 | ||
3% 7/1/43 (j) | 45,100 | 44,050 | ||
3% 7/1/43 (j) | 32,200 | 31,450 | ||
3.178% 8/1/35 (m) | 966 | 1,028 | ||
3.5% 1/1/26 to 7/1/43 (j) | 73,238 | 73,501 | ||
4.5% 8/1/41 | 786 | 837 | ||
5% 5/1/22 to 9/1/22 | 6,633 | 7,111 | ||
5.5% 5/1/15 to 11/1/34 | 14,864 | 16,124 | ||
6% 6/1/16 to 10/1/16 | 63 | 66 | ||
6.129% 3/1/37 (m) | 55 | 59 | ||
6.5% 10/1/13 to 8/1/36 | 8,281 | 9,397 | ||
7.5% 1/1/28 | 32 | 38 | ||
TOTAL FANNIE MAE | 218,997 | |||
Freddie Mac - 0.8% | ||||
1.945% 3/1/35 (m) | 170 | 177 | ||
2.108% 5/1/37 (m) | 105 | 111 | ||
2.144% 2/1/37 (m) | 64 | 67 | ||
2.167% 6/1/33 (m) | 345 | 362 | ||
2.22% 8/1/37 (m) | 120 | 125 | ||
2.228% 6/1/37 (m) | 42 | 44 | ||
2.229% 3/1/37 (m) | 49 | 51 | ||
2.336% 1/1/36 (m) | 98 | 103 | ||
2.375% 5/1/37 (m) | 81 | 86 | ||
2.427% 1/1/37 (m) | 452 | 479 | ||
2.458% 10/1/35 (m) | 327 | 346 | ||
2.492% 4/1/35 (m) | 34 | 36 | ||
2.493% 10/1/36 (m) | 446 | 475 | ||
2.518% 5/1/37 (m) | 679 | 724 | ||
2.531% 5/1/37 (m) | 1,205 | 1,293 | ||
2.556% 2/1/36 (m) | 9 | 10 | ||
2.561% 6/1/37 (m) | 311 | 334 | ||
2.615% 9/1/35 (m) | 83 | 89 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Freddie Mac - continued | ||||
2.626% 6/1/37 (m) | $ 74 | $ 78 | ||
2.641% 7/1/35 (m) | 348 | 364 | ||
2.673% 7/1/35 (m) | 289 | 310 | ||
2.699% 4/1/37 (m) | 127 | 135 | ||
2.72% 4/1/37 (m) | 9 | 9 | ||
3.057% 7/1/36 (m) | 145 | 154 | ||
3.185% 10/1/35 (m) | 69 | 74 | ||
3.5% 6/1/42 to 6/1/43 | 47,355 | 47,457 | ||
4% 3/1/42 to 4/1/42 | 14,920 | 15,590 | ||
4.5% 8/1/33 to 10/1/41 | 5,019 | 5,331 | ||
5.5% 11/1/18 to 7/1/35 | 14,678 | 15,784 | ||
6% 1/1/24 | 2,421 | 2,684 | ||
6.5% 7/1/13 to 3/1/22 | 1,268 | 1,384 | ||
8.5% 3/1/20 | 2 | 2 | ||
TOTAL FREDDIE MAC | 94,268 | |||
Ginnie Mae - 2.2% | ||||
4% 6/15/24 to 3/15/26 | 9,735 | 10,344 | ||
4.3% 8/20/61 (q) | 3,482 | 3,788 | ||
4.5% 3/15/25 to 6/15/25 | 7,394 | 7,913 | ||
4.515% 3/20/62 (q) | 12,231 | 13,466 | ||
4.53% 10/20/62 (q) | 3,604 | 3,981 | ||
4.55% 5/20/62 (q) | 22,007 | 24,271 | ||
4.556% 12/20/61 (q) | 13,164 | 14,497 | ||
4.604% 3/20/62 (q) | 6,290 | 6,947 | ||
4.626% 3/20/62 (q) | 4,299 | 4,748 | ||
4.649% 2/20/62 (q) | 2,313 | 2,557 | ||
4.65% 3/20/62 (q) | 3,985 | 4,407 | ||
4.682% 2/20/62 (q) | 3,060 | 3,384 | ||
4.684% 1/20/62 (q) | 14,010 | 15,491 | ||
4.751% 12/20/60 (q) | 3,403 | 3,736 | ||
4.804% 3/20/61 (q) | 7,983 | 8,803 | ||
4.834% 3/20/61 (q) | 14,411 | 15,903 | ||
5.47% 8/20/59 (q) | 2,377 | 2,569 | ||
5.492% 4/20/60 (q) | 9,302 | 10,444 | ||
5.612% 4/20/58 (q) | 4,201 | 4,437 | ||
6% 6/15/36 to 12/20/38 | 32,454 | 35,803 | ||
6.5% 8/20/38 to 9/20/38 | 42,366 | 47,695 | ||
7% 9/15/25 to 8/15/31 | 30 | 35 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Ginnie Mae - continued | ||||
7.5% 2/15/22 to 8/15/28 | $ 57 | $ 65 | ||
8% 12/15/26 | 0* | 0* | ||
TOTAL GINNIE MAE | 245,284 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $564,004) |
| |||
Asset-Backed Securities - 0.1% | ||||
| ||||
Leek Finance PLC Series 18X Class BC, 1.012% 9/21/38 (m) | EUR | 600 | 734 | |
Tesco Property Finance 2 PLC 6.0517% 10/13/39 | GBP | 2,392 | 4,060 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,370) |
| |||
Collateralized Mortgage Obligations - 3.2% | ||||
| ||||
U.S. Government Agency - 3.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.693% 9/25/23 (m) | 1,006 | 1,010 | ||
Series 2010-15 Class FJ, 1.123% 6/25/36 (m) | 8,019 | 8,208 | ||
Series 2010-86 Class FE, 0.643% 8/25/25 (m) | 986 | 994 | ||
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 | 4,795 | 5,120 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 38 | 40 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,308 | 1,389 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 801 | 870 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 527 | 536 | ||
Series 2005-19 Class PA, 5.5% 7/25/34 | 2,886 | 3,143 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 3,910 | 4,191 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 319 | 334 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,774 | 3,060 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,512 | ||
Series 2011-126 Class KB, 4% 12/25/41 | 3,844 | 3,945 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 133 | 142 | ||
Series 2003-117 Class MD, 5% 12/25/23 | 1,759 | 1,905 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 5,018 | 5,541 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
sequential payer: - continued | ||||
Series 2004-95 Class AN, 5.5% 1/25/25 | $ 472 | $ 487 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 874 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,182 | 2,409 | ||
Series 2005-47 Class HK, 4.5% 6/25/20 | 3,680 | 3,899 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,761 | ||
Series 2009-14 Class EB, 4.5% 3/25/24 | 3,710 | 3,933 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 2,880 | 3,119 | ||
Series 2010-97 Class CX, 4.5% 9/25/25 | 5,300 | 5,833 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (o) | 664 | 62 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (o) | 1,000 | 87 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (o) | 4,055 | 645 | ||
Series 2010-39 Class FG, 1.113% 3/25/36 (m) | 4,859 | 4,973 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (o) | 2,072 | 215 | ||
Series 2011-67 Class AI, 4% 7/25/26 (o) | 1,345 | 152 | ||
Series 2013-40 Class PV, 2% 1/25/26 | 5,577 | 5,649 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2630 Class FL, 0.6925% 6/15/18 (m) | 33 | 33 | ||
Series 2711 Class FC, 1.0925% 2/15/33 (m) | 3,273 | 3,322 | ||
floater planned amortization class Series 2770 Class FH, 0.5925% 3/15/34 (m) | 3,002 | 3,016 | ||
planned amortization class: | ||||
Series 2006-3245 Class ME, 5.5% 6/15/35 | 4,546 | 4,709 | ||
Series 2101 Class PD, 6% 11/15/28 | 89 | 97 | ||
Series 2115 Class PE, 6% 1/15/14 | 4 | 4 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 136 | 143 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 79 | 82 | ||
Series 2425 Class JH, 6% 3/15/17 | 181 | 193 | ||
Series 2672 Class MG, 5% 9/15/23 | 3,360 | 3,723 | ||
Series 2695 Class DG, 4% 10/15/18 | 2,777 | 2,907 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 277 | 307 | ||
Series 3415 Class PC, 5% 12/15/37 | 1,544 | 1,663 | ||
Series 3763 Class QA, 4% 4/15/34 | 2,922 | 3,085 | ||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 3,550 | 3,830 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 223 | 246 | ||
Series 2877 Class ZD, 5% 10/15/34 | 6,518 | 7,118 | ||
Series 3277 Class B, 4% 2/15/22 | 2,800 | 2,991 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,356 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: - continued | ||||
Series 3578 Class B, 4.5% 9/15/24 | $ 3,740 | $ 3,999 | ||
Series 4176 Class BA, 3% 2/15/33 | 3,826 | 3,941 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 1,998 | 2,122 | ||
Series 4181 Class LA, 3% 3/15/37 | 5,207 | 5,333 | ||
Series 4182 Class BA, 3% 6/15/37 | 21,131 | 21,674 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-59 Class FC, 0.6916% 7/20/37 (m) | 1,673 | 1,682 | ||
Series 2008-2 Class FD, 0.6716% 1/20/38 (m) | 427 | 429 | ||
Series 2008-73 Class FA, 1.0516% 8/20/38 (m) | 2,452 | 2,494 | ||
Series 2008-83 Class FB, 1.0916% 9/20/38 (m) | 2,558 | 2,603 | ||
Series 2009-108 Class CF, 0.7925% 11/16/39 (m) | 2,257 | 2,276 | ||
Series 2009-116 Class KF, 0.7225% 12/16/39 (m) | 1,995 | 2,008 | ||
Series 2010-9 Class FA, 0.7125% 1/16/40 (m) | 2,983 | 3,000 | ||
Series 2010-H17 Class FA, 0.5233% 7/20/60 (m)(q) | 6,085 | 5,998 | ||
Series 2010-H18 Class AF, 0.4982% 9/20/60 (m)(q) | 6,394 | 6,304 | ||
Series 2010-H19 Class FG, 0.4982% 8/20/60 (m)(q) | 8,450 | 8,333 | ||
Series 2010-H27 Series FA, 0.5782% 12/20/60 (m)(q) | 2,437 | 2,411 | ||
Series 2011-H05 Class FA, 0.6982% 12/20/60 (m)(q) | 4,513 | 4,493 | ||
Series 2011-H07 Class FA, 0.6982% 2/20/61 (m)(q) | 7,664 | 7,629 | ||
Series 2011-H12 Class FA, 0.6882% 2/20/61 (m)(q) | 10,013 | 9,963 | ||
Series 2011-H13 Class FA, 0.6982% 4/20/61 (m)(q) | 4,042 | 4,024 | ||
Series 2011-H14: | ||||
Class FB, 0.6982% 5/20/61 (m)(q) | 4,547 | 4,527 | ||
Class FC, 0.6982% 5/20/61 (m)(q) | 4,469 | 4,449 | ||
Series 2011-H17 Class FA, 0.7282% 6/20/61 (m)(q) | 5,897 | 5,878 | ||
Series 2011-H21 Class FA, 0.7982% 10/20/61 (m)(q) | 6,435 | 6,434 | ||
Series 2012-H01 Class FA, 0.8982% 11/20/61 (m)(q) | 5,309 | 5,334 | ||
Series 2012-H03 Class FA, 0.8982% 1/20/62 (m)(q) | 3,246 | 3,262 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: - continued | ||||
Series 2012-H06 Class FA, 0.8282% 1/20/62 (m)(q) | $ 5,209 | $ 5,216 | ||
Series 2012-H07 Class FA, 0.8282% 3/20/62 (m)(q) | 3,090 | 3,103 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 1,223 | 1,246 | ||
planned amortization class: | ||||
Series 2010-112 Class PM, 3.25% 9/20/33 | 1,028 | 1,044 | ||
Series 2010-99 Class PT, 3.5% 8/20/33 | 1,332 | 1,358 | ||
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | 2,423 | 488 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,261 | ||
Series 2010-H13 Class JA, 5.46% 10/20/59 (q) | 9,152 | 9,910 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (q) | 11,644 | 12,944 | ||
Series 2010-H17 Class XP, 5.3019% 7/20/60 (m)(q) | 16,790 | 18,717 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (m)(q) | 12,753 | 14,109 | ||
Series 2011-71: | ||||
Class ZB, 5.5% 8/20/34 | 10,695 | 12,102 | ||
Class ZC, 5.5% 7/16/34 | 11,565 | 12,940 | ||
Series 2012-64 Class KB, 3.3381% 5/20/41 (m) | 2,129 | 2,349 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $357,535) |
| |||
Commercial Mortgage Securities - 0.8% | ||||
| ||||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.0544% 10/22/37 (m) | GBP | 1,000 | 1,066 | |
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5537% 4/25/19 (m) | 11,540 | 11,561 | ||
pass-thru certificates sequential payer: | ||||
Series K011 Class A2, 4.084% 11/25/20 | 2,480 | 2,658 | ||
Series K014 Class A2, 3.871% 4/25/21 | 6,110 | 6,462 | ||
Series K015 Class A2, 3.23% 7/25/21 | 10,980 | 11,135 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 14,020 | 15,382 | ||
Series K009 Class A2, 3.808% 8/25/20 | 20,970 | 22,388 | ||
Series K017 Class A2, 2.873% 12/25/21 | 15,590 | 15,385 | ||
Series K501 Class A2, 1.655% 11/25/16 | 5,440 | 5,511 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
German Residential Asset Note Distributor PLC Series 1 Class A, 1.615% 7/20/16 (m) | EUR | 835 | $ 1,084 | |
REC Plantation Place Ltd. Series 5 Class A, 0.7344% 7/25/16 (Reg. S) (m) | GBP | 853 | 1,294 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $97,574) |
| |||
Foreign Government and Government Agency Obligations - 22.0% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 7,560 | 4,234 | ||
7% 9/12/13 | 47,655 | 47,723 | ||
7% 10/3/15 | 23,055 | 19,539 | ||
Aruba Government 4.625% 9/14/23 (h) | 2,770 | 2,604 | ||
Bahamian Republic 6.95% 11/20/29 (h) | 3,450 | 3,968 | ||
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% 8/4/22 (h) | 1,783 | 1,783 | ||
7.25% 12/15/21 (h) | 2,245 | 2,267 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 16,055 | 15,975 | ||
8.95% 1/26/18 | 4,495 | 4,484 | ||
Bermuda Government 4.138% 1/3/23 (h) | 1,030 | 997 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 13,515 | 13,414 | ||
7.125% 1/20/37 | 9,090 | 10,885 | ||
8.25% 1/20/34 | 5,940 | 7,871 | ||
10.125% 5/15/27 | 5,275 | 8,216 | ||
12.25% 3/6/30 | 5,000 | 8,563 | ||
Buoni Poliennali Del Tes: | ||||
2.25% 5/15/16 | EUR | 21,000 | 27,155 | |
3.5% 6/1/18 | EUR | 25,000 | 32,619 | |
5.5% 11/1/22 | EUR | 64,350 | 89,870 | |
Canadian Government: | ||||
1.25% 2/1/16 | CAD | 119,450 | 113,293 | |
1.25% 3/1/18 | CAD | 40,000 | 37,102 | |
1.5% 6/1/23 | CAD | 68,650 | 59,899 | |
3.5% 12/1/45 | CAD | 29,250 | 31,336 | |
Central Bank of Nigeria warrants 11/15/20 (a)(p) | 6,250 | 1,111 | ||
City of Buenos Aires 12.5% 4/6/15 (h) | 13,120 | 13,054 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Colombian Republic: | ||||
6.125% 1/18/41 | $ 4,940 | $ 5,483 | ||
7.375% 9/18/37 | 5,750 | 7,274 | ||
10.375% 1/28/33 | 8,050 | 12,425 | ||
11.75% 2/25/20 | 1,190 | 1,752 | ||
Congo Republic 3% 6/30/29 (f) | 13,197 | 11,217 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (h) | 2,865 | 2,629 | ||
4.375% 4/30/25 (h) | 2,310 | 2,114 | ||
5.625% 4/30/43 (h) | 2,310 | 2,125 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (h) | 5,365 | 5,204 | ||
6.25% 4/27/17 (h) | 6,075 | 6,356 | ||
6.375% 3/24/21 (h) | 4,715 | 4,921 | ||
6.625% 7/14/20 (h) | 3,805 | 4,014 | ||
6.75% 11/5/19 (h) | 5,410 | 5,775 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
5.875% 7/25/22 (h) | 1,570 | 1,476 | ||
6.25% 10/4/20 (h) | 7,685 | 7,531 | ||
6.25% 7/27/21 (h) | 3,640 | 3,567 | ||
7.4% 1/22/15 (h) | 5,970 | 6,269 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (m) | 6,063 | 5,457 | ||
5.875% 4/18/24 (h) | 2,695 | 2,601 | ||
7.5% 5/6/21 (h) | 5,740 | 6,171 | ||
9.04% 1/23/18 (h) | 3,071 | 3,332 | ||
Dutch Government 2.5% 1/15/33 | EUR | 4,250 | 5,435 | |
El Salvador Republic: | ||||
7.625% 2/1/41 (h) | 1,545 | 1,503 | ||
7.65% 6/15/35 (Reg. S) | 2,435 | 2,362 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,492 | ||
European Economic Community 2.75% 4/4/22 (Reg. S) | EUR | 3,725 | 5,141 | |
European Union 2.75% 9/21/21 | EUR | 14,000 | 19,485 | |
Export Credit Bank of Turkey 5.375% 11/4/16 (h) | 400 | 414 | ||
French Government: | ||||
OAT 3.25% 5/25/45 | EUR | 21,000 | 26,564 | |
1% 5/25/18 | EUR | 25,675 | 33,085 | |
2.5% 10/25/20 | EUR | 20,500 | 28,041 | |
3.5% 4/25/26 | EUR | 1,850 | 2,607 | |
Georgia Republic 6.875% 4/12/21 (h) | 3,850 | 4,120 | ||
German Federal Republic: | ||||
0.5% 2/23/18 | EUR | 82,575 | 106,433 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
German Federal Republic: - continued | ||||
1.5% 2/15/23 | EUR | 115,325 | $ 147,441 | |
3.25% 7/4/42 | EUR | 16,900 | 25,617 | |
4.75% 7/4/28 | EUR | 3,875 | 6,686 | |
Guatemalan Republic: | ||||
4.875% 2/13/28 (h) | 1,685 | 1,517 | ||
5.75% 6/6/22 (h) | 3,160 | 3,160 | ||
Hungarian Republic: | ||||
4.125% 2/19/18 | 2,852 | 2,770 | ||
4.75% 2/3/15 | 7,460 | 7,572 | ||
7.625% 3/29/41 | 6,405 | 6,687 | ||
Indonesian Republic: | ||||
3.375% 4/15/23 (h) | 2,640 | 2,356 | ||
4.625% 4/15/43 (h) | 2,640 | 2,284 | ||
4.875% 5/5/21 (h) | 7,805 | 8,000 | ||
5.25% 1/17/42 (h) | 7,185 | 6,790 | ||
5.875% 3/13/20 (h) | 7,290 | 7,855 | ||
6.625% 2/17/37 (h) | 5,025 | 5,427 | ||
7.75% 1/17/38 (h) | 7,700 | 9,510 | ||
8.5% 10/12/35 (Reg. S) | 7,615 | 9,976 | ||
11.625% 3/4/19 (h) | 8,270 | 11,247 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (h) | 11,805 | 11,244 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 26,802 | 32,404 | ||
5.5% 12/4/23 | 12,355 | 14,873 | ||
Italian Republic: | ||||
4.5% 7/15/15 | EUR | 36,450 | 49,543 | |
5% 9/1/40 | EUR | 24,675 | 32,042 | |
Ivory Coast 7.1% 12/31/32 (f) | 340 | 281 | ||
Japan Government: | ||||
0.1% 4/15/15 | JPY | 2,750,000 | 27,715 | |
1.1% 6/20/20 | JPY | 14,662,000 | 153,097 | |
1.9% 9/20/30 | JPY | 6,290,000 | 66,803 | |
Japan Government Thirty Year B 1.8% 3/20/43 | JPY | 1,250,000 | 12,494 | |
Jordanian Kingdom 3.875% 11/12/15 | 3,085 | 3,031 | ||
Latvian Republic 2.75% 1/12/20 (h) | 4,785 | 4,432 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 13,104 | 12,711 | ||
4.75% 11/2/16 | 2,750 | 2,668 | ||
5.15% 11/12/18 | 2,815 | 2,688 | ||
5.45% 11/28/19 | 5,445 | 4,955 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Lebanese Republic: - continued | ||||
6.375% 3/9/20 | $ 4,120 | $ 3,852 | ||
Lithuanian Republic: | ||||
6.125% 3/9/21 (h) | 5,090 | 5,673 | ||
6.625% 2/1/22 (h) | 4,370 | 5,015 | ||
7.375% 2/11/20 (h) | 5,755 | 6,834 | ||
Moroccan Kingdom: | ||||
4.25% 12/11/22 (h) | 3,360 | 2,974 | ||
5.5% 12/11/42 (h) | 1,900 | 1,587 | ||
Panamanian Republic: | ||||
4.3% 4/29/53 | 2,730 | 2,164 | ||
6.7% 1/26/36 | 1,850 | 2,151 | ||
8.875% 9/30/27 | 1,875 | 2,588 | ||
Peruvian Republic: | ||||
4% 3/7/27 (f) | 5,671 | 5,671 | ||
5.625% 11/18/50 | 2,145 | 2,172 | ||
6.55% 3/14/37 | 1,295 | 1,518 | ||
8.75% 11/21/33 | 7,390 | 10,716 | ||
Philippine Republic: | ||||
6.375% 1/15/32 | 1,860 | 2,195 | ||
7.75% 1/14/31 | 7,660 | 10,035 | ||
9.5% 2/2/30 | 7,505 | 11,220 | ||
10.625% 3/16/25 | 5,755 | 9,093 | ||
Plurinational State of Bolivia 4.875% 10/29/22 (h) | 4,720 | 4,366 | ||
Polish Government 3% 3/17/23 | 2,870 | 2,597 | ||
Provincia de Cordoba 12.375% 8/17/17 (h) | 8,400 | 6,342 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 5,700 | 5,857 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 16,345 | 13,403 | ||
Republic of Namibia 5.5% 11/3/21 (h) | 2,345 | 2,356 | ||
Republic of Nigeria: | ||||
0% 10/10/13 | NGN | 356,000 | 2,111 | |
0% 11/7/13 | NGN | 508,110 | 2,977 | |
6.75% 1/28/21 (h) | 2,705 | 2,827 | ||
Republic of Paraguay 4.625% 1/25/23 (h) | 2,015 | 1,955 | ||
Republic of Serbia: | ||||
4.875% 2/25/20 (h) | 3,750 | 3,450 | ||
5.25% 11/21/17 (h) | 1,845 | 1,799 | ||
6.75% 11/1/24 (h) | 10,403 | 10,299 | ||
7.25% 9/28/21 (h) | 3,150 | 3,237 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Republic of Zambia 5.375% 9/20/22 (h) | $ 2,660 | $ 2,354 | ||
Romanian Republic: | ||||
4.375% 8/22/23 (h) | 3,800 | 3,582 | ||
6.75% 2/7/22 (h) | 7,002 | 7,825 | ||
Russian Federation: | ||||
5.625% 4/4/42 (h) | 7,800 | 8,093 | ||
7.5% 3/31/30 (Reg. S) | 41,776 | 48,773 | ||
12.75% 6/24/28 (Reg. S) | 17,035 | 29,811 | ||
Spanish Kingdom 4% 7/30/15 | EUR | 30,000 | 40,178 | |
State Oil Co. of Azerbaijan Republic: | ||||
4.75% 3/13/23 (Reg. S) | 1,900 | 1,720 | ||
5.45% 2/9/17 (Reg. S) | 1,495 | 1,540 | ||
Tanzania United Republic of 6.4499% 3/8/20 (m) | 3,630 | 3,648 | ||
Turkish Republic: | ||||
4.875% 4/16/43 | 2,640 | 2,270 | ||
5.125% 3/25/22 | 3,795 | 3,899 | ||
5.625% 3/30/21 | 4,590 | 4,911 | ||
6% 1/14/41 | 6,140 | 6,186 | ||
6.25% 9/26/22 | 4,590 | 5,083 | ||
6.75% 4/3/18 | 6,910 | 7,774 | ||
6.75% 5/30/40 | 7,370 | 8,199 | ||
6.875% 3/17/36 | 12,320 | 13,798 | ||
7% 3/11/19 | 2,895 | 3,322 | ||
7.25% 3/5/38 | 8,050 | 9,439 | ||
7.375% 2/5/25 | 11,780 | 14,077 | ||
7.5% 11/7/19 | 7,090 | 8,366 | ||
8% 2/14/34 | 2,075 | 2,604 | ||
11.875% 1/15/30 | 4,295 | 7,237 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h) | 6,970 | 6,421 | ||
Ukraine Government: | ||||
6.25% 6/17/16 (h) | 4,495 | 4,169 | ||
6.75% 11/14/17 (h) | 2,525 | 2,310 | ||
7.75% 9/23/20 (h) | 4,450 | 4,050 | ||
7.8% 11/28/22 (h) | 3,940 | 3,526 | ||
7.95% 6/4/14 (h) | 8,060 | 8,000 | ||
7.95% 2/23/21 (h) | 3,575 | 3,271 | ||
9.25% 7/24/17 (h) | 7,475 | 7,447 | ||
United Arab Emirates 7.75% 10/5/20 (Reg. S) | 2,145 | 2,472 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.25% 7/22/18 | GBP | 50,500 | 76,082 | |
1.75% 9/7/22 | GBP | 71,600 | 102,736 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
United Kingdom, Great Britain and Northern Ireland: - continued | ||||
2.25% 3/7/14 | GBP | 3,500 | $ 5,393 | |
3.25% 1/22/44 | GBP | 15,550 | 22,184 | |
3.5% 7/22/68 | GBP | 24,625 | 36,902 | |
United Mexican States: | ||||
4.75% 3/8/44 | 13,356 | 12,087 | ||
5.75% 10/12/2110 | 5,376 | 5,027 | ||
6.05% 1/11/40 | 12,210 | 13,431 | ||
6.75% 9/27/34 | 10,225 | 12,117 | ||
7.5% 4/8/33 | 2,900 | 3,705 | ||
8.3% 8/15/31 | 2,600 | 3,562 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 7,700 | 9,740 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (p) | 97,601 | 2,513 | ||
6% 12/9/20 | 4,800 | 3,480 | ||
7% 3/31/38 | 3,410 | 2,259 | ||
8.5% 10/8/14 | 8,760 | 8,607 | ||
9% 5/7/23 (Reg. S) | 17,025 | 14,046 | ||
9.25% 9/15/27 | 3,108 | 2,618 | ||
9.25% 5/7/28 (Reg. S) | 6,320 | 5,088 | ||
9.375% 1/13/34 | 5,025 | 4,070 | ||
10.75% 9/19/13 | 3,010 | 3,002 | ||
11.75% 10/21/26 (Reg. S) | 10,940 | 10,284 | ||
11.95% 8/5/31 (Reg. S) | 16,565 | 15,571 | ||
12.75% 8/23/22 | 19,095 | 19,429 | ||
13.625% 8/15/18 | 7,745 | 7,900 | ||
Vietnamese Socialist Republic: | ||||
1.3125% 3/12/16 (m) | 3,371 | 3,068 | ||
4% 3/12/28 (f) | 14,848 | 12,027 | ||
6.875% 1/15/16 (h) | 5,320 | 5,613 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,448,973) |
| |||
Supranational Obligations - 0.1% | ||||
| ||||
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) | 2,385 | 2,337 | ||
Korea Development Bank 1.5% 5/30/18 (Reg.S) | EUR | 5,419 | 6,961 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $9,336) |
|
Common Stocks - 0.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Remy International, Inc. | 122,400 | $ 2,273 | |
Automobiles - 0.1% | |||
General Motors Co. (a) | 6,679 | 222 | |
General Motors Co.: | |||
warrants 7/10/16 (a) | 133,743 | 3,210 | |
warrants 7/10/19 (a) | 133,743 | 2,187 | |
Motors Liquidation Co. GUC Trust (a) | 36,934 | 1,134 | |
| 6,753 | ||
Hotels, Restaurants & Leisure - 0.1% | |||
PB Investor I LLC | 37,963 | 55 | |
Station Holdco LLC (a)(r)(s) | 4,989,172 | 7,284 | |
Station Holdco LLC: | |||
unit (r)(s) | 57,186 | 4 | |
warrants 6/15/18 (a)(r)(s) | 198,954 | 12 | |
| 7,355 | ||
Media - 0.0% | |||
Haights Cross Communications, Inc. (a) | 8,267 | 0 | |
HMH Holdings, Inc. warrants 6/22/19 (a)(s) | 32,078 | 48 | |
RDA Holding Co. warrants 2/19/14 (a)(s) | 9,559 | 0 | |
| 48 | ||
TOTAL CONSUMER DISCRETIONARY | 16,429 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. | 142,776 | 642 | |
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 0 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc. | 20,500 | 384 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 253,462 | 16,331 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 136 | |
| 16,467 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (a) | 12,063 | $ 0 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
Trading Companies & Distributors - 0.0% | |||
Penhall Acquisition Co.: | |||
Class A (a) | 6,088 | 507 | |
Class B (a) | 2,029 | 169 | |
| 676 | ||
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding BV (a)(h) | 406,682 | 9,301 | |
TOTAL INDUSTRIALS | 26,828 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
IT Services - 0.0% | |||
Unisys Corp. (a) | 5,625 | 124 | |
Semiconductors & Semiconductor Equipment - 0.0% | |||
MagnaChip Semiconductor Corp. (a) | 49,030 | 896 | |
Spansion, Inc. Class A (a) | 2,476 | 31 | |
| 927 | ||
TOTAL INFORMATION TECHNOLOGY | 1,051 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 467 | 31 | |
Containers & Packaging - 0.0% | |||
Rock-Tenn Co. Class A | 5,694 | 569 | |
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(s) | 38,307 | 1,233 | |
Paper & Forest Products - 0.0% | |||
Emerald Plantation Holdings Ltd. (a) | 850,197 | 221 | |
NewPage Corp. | 19,100 | 1,757 | |
| 1,978 | ||
TOTAL MATERIALS | 3,811 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | $ 223 | |
TOTAL COMMON STOCKS (Cost $63,525) |
| ||
Preferred Stocks - 0.6% | |||
|
|
|
|
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Interpublic Group of Companies, Inc. 5.25% | 4,000 | 5,034 | |
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind | 57,438 | 410 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 5,444 | ||
Nonconvertible Preferred Stocks - 0.5% | |||
FINANCIALS - 0.5% | |||
Commercial Banks - 0.2% | |||
SunTrust Banks, Inc. Series E, 5.875% | 300,475 | 7,139 | |
Wells Fargo & Co. 5.20% | 654,311 | 15,317 | |
| 22,456 | ||
Consumer Finance - 0.2% | |||
Ally Financial, Inc. 7.00% (h) | 25,686 | 24,273 | |
Real Estate Investment Trusts - 0.1% | |||
Public Storage Series V, 5.375% | 390,000 | 9,204 | |
TOTAL FINANCIALS | 55,933 | ||
TOTAL PREFERRED STOCKS (Cost $52,569) |
|
Floating Rate Loans - 1.7% | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.3% | ||||
Hotels, Restaurants & Leisure - 0.1% | ||||
Centaur Acquisition LLC: | ||||
Tranche 1LN, term loan 5.25% 2/20/19 (m) | $ 1,585 | $ 1,591 | ||
Tranche 2LN, term loan 8.75% 2/20/20 (m) | 1,575 | 1,589 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (m) | 2,295 | 2,393 | ||
Harrah's Entertainment, Inc. Tranche B 6LN, term loan 5.4433% 1/28/18 (m) | 2,874 | 2,544 | ||
Mesquite Gaming LLC term loan 8.5% 8/1/15 (m) | 249 | 222 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (m) | 2,652 | 2,629 | ||
Stockbridge SBE Holdings LLC Tranche B, term loan 13% 5/2/17 (m) | 900 | 932 | ||
| 11,900 | |||
Media - 0.2% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.8454% 1/29/16 (m) | 1,840 | 1,679 | ||
Clear Channel Communications, Inc. Tranche D, term loan 6.9454% 1/30/19 (m) | 5,428 | 4,939 | ||
Gray Television, Inc. Tranche B, term loan 4.75% 10/11/19 (m) | 2,815 | 2,836 | ||
Livent, Inc.: | ||||
Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 8 | 7 | |
Tranche B, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 3 | 3 | |
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (m) | 4,274 | 4,199 | ||
TWCC Holding Corp. Tranche 2LN, term loan 7% 12/13/20 (m) | 3,010 | 3,033 | ||
| 16,696 | |||
TOTAL CONSUMER DISCRETIONARY | 28,596 | |||
CONSUMER STAPLES - 0.0% | ||||
Food & Staples Retailing - 0.0% | ||||
BJ's Wholesale Club, Inc. Tranche 2LN, term loan 9.75% 3/26/20 (m) | 545 | 553 | ||
Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (m) | 2,865 | 2,886 | ||
Rite Aid Corp. Tranche 2LN, term loan 5.75% 8/21/20 (m) | 515 | 520 | ||
| 3,959 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Alon USA Partners LP term loan 9.25% 11/26/18 (m) | $ 3,239 | $ 3,353 | ||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (m) | 3,218 | 3,201 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 6.2305% 5/24/19 (m) | 4,540 | 4,563 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (m) | 2,000 | 2,035 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (m) | 1,010 | 1,019 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (m) | 1,270 | 1,262 | ||
| 15,433 | |||
FINANCIALS - 0.0% | ||||
Insurance - 0.0% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (m) | 3 | 3 | ||
Real Estate Management & Development - 0.0% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2037% 10/10/13 (m) | 298 | 297 | ||
Credit-Linked Deposit 4.4537% 10/10/16 (m) | 567 | 567 | ||
| 864 | |||
TOTAL FINANCIALS | 867 | |||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.1% | ||||
DaVita, Inc. Tranche A, term loan 2.95% 10/20/15 (m) | 3,844 | 3,844 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (m) | 5,364 | 5,344 | ||
| 9,188 | |||
Life Sciences Tools & Services - 0.2% | ||||
Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (m) | 12,643 | 12,643 | ||
PRA International Tranche B 1LN, term loan 6.5% 12/10/17 (m) | 4,997 | 5,010 | ||
PRA International Tranche 2LN, term loan 10.5% 12/10/19 (m) | 1,504 | 1,527 | ||
| 19,180 | |||
TOTAL HEALTH CARE | 28,368 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
INDUSTRIALS - 0.2% | ||||
Airlines - 0.0% | ||||
Northwest Airlines Corp. Tranche A, term loan 2.03% 12/31/18 (m) | $ 7,952 | $ 7,395 | ||
Commercial Services & Supplies - 0.1% | ||||
Arysta Lifescience Spc LLC: | ||||
Tranche B 1LN, term loan 4.5% 5/29/20 (m) | 1,745 | 1,732 | ||
Tranche B 2LN, term loan 8.25% 11/30/20 (m) | 1,490 | 1,471 | ||
GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (m) | 2,195 | 2,239 | ||
Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (m) | 3,092 | 3,061 | ||
| 8,503 | |||
Machinery - 0.1% | ||||
Pinafore LLC Tranche B 2LN, term loan 3.75% 9/21/16 (m) | 8,783 | 8,816 | ||
TOTAL INDUSTRIALS | 24,714 | |||
INFORMATION TECHNOLOGY - 0.2% | ||||
Communications Equipment - 0.1% | ||||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (m) | 12,513 | 12,404 | ||
Electronic Equipment & Components - 0.0% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4454% 10/1/14 (m) | 139 | 139 | ||
Tranche B A2, term loan 2.4454% 10/1/14 (m) | 300 | 300 | ||
Tranche B A3, term loan 2.4454% 10/1/14 (m) | 350 | 350 | ||
Tranche BA, term loan 2.4454% 10/1/14 (m) | 485 | 485 | ||
| 1,274 | |||
IT Services - 0.0% | ||||
CompuCom Systems, Inc. Tranche B, term loan 4.25% 5/9/20 (m) | 860 | 845 | ||
Software - 0.1% | ||||
ION Trading Technologies Ltd.: | ||||
Tranche 1LN, term loan 4.5% 5/22/20 (m) | 640 | 636 | ||
Tranche 2LN, term loan 8.25% 5/22/21 (m) | 300 | 298 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
Software - continued | ||||
Kronos, Inc. Tranche 2LN, term loan 9.75% 4/24/20 (m) | $ 6,160 | $ 6,314 | ||
Lawson Software, Inc. Tranche B 2LN, term loan 5.25% 4/5/18 (m) | 1,386 | 1,390 | ||
| 8,638 | |||
TOTAL INFORMATION TECHNOLOGY | 23,161 | |||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (m) | 2,758 | 2,756 | ||
Metals & Mining - 0.0% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (m) | 811 | 806 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (m) | 490 | 494 | ||
| 1,300 | |||
TOTAL MATERIALS | 4,056 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Diversified Telecommunication Services - 0.1% | ||||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (m) | 7,212 | 7,086 | ||
Integra Telecom Holdings, Inc. Tranche 2LN, term loan 9.75% 2/14/20 (m) | 395 | 399 | ||
| 7,485 | |||
Wireless Telecommunication Services - 0.0% | ||||
Digicel International Finance Ltd. Tranche D 1LN, term loan 3.8125% 3/31/17 (m) | 3,385 | 3,360 | ||
Vodafone Americas Finance 2, Inc. term loan 6.875% 8/11/15 | 485 | 495 | ||
| 3,855 | |||
TOTAL TELECOMMUNICATION SERVICES | 11,340 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
UTILITIES - 0.4% | ||||
Electric Utilities - 0.3% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7199% 10/10/17 (m) | $ 52,601 | $ 36,887 | ||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (m) | 2,650 | 2,617 | ||
Independent Power Producers & Energy Traders - 0.1% | ||||
Calpine Corp. Tranche B, term loan 4% 4/1/18 (m) | 5 | 5 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.576% 6/28/19 (m) | 3,070 | 3,078 | ||
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (m) | 2,470 | 2,467 | ||
| 5,550 | |||
TOTAL UTILITIES | 45,054 | |||
TOTAL FLOATING RATE LOANS (Cost $186,021) |
| |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.1875% 12/14/19 (m) | 4,459 | 4,057 | ||
Goldman Sachs 1.1875% 12/14/19 (m) | 4,086 | 3,718 | ||
1.1875% 12/14/19 (m) | 2,919 | 2,656 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $10,191) |
|
Fixed-Income Funds - 0.6% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (n) | 574,640 |
| |
Preferred Securities - 0.6% | |||
Principal Amount (000s)(e) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Globo Comunicacoes e Participacoes SA 6.25% (f)(h)(i) | $ 8,580 | $ 8,986 | |
NBCUniversal Enterprise, Inc. 5.25% (h)(i) | 7,335 | 7,348 | |
| 16,334 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (i) | 3,330 | 3,439 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Reliance Industries Ltd. 5.875% (h)(i) | 2,800 | 2,510 | |
FINANCIALS - 0.4% | |||
Commercial Banks - 0.0% | |||
Wells Fargo & Co. 7.98% (i)(m) | 2,035 | 2,347 | |
Diversified Financial Services - 0.4% | |||
Bank of America Corp.: | |||
5.2% (i)(m) | 8,930 | 8,435 | |
8% (i)(m) | 3,065 | 3,505 | |
8.125% (i)(m) | 2,245 | 2,538 | |
Citigroup, Inc. 5.95% (i)(m) | 23,110 | 23,922 | |
| 38,400 | ||
TOTAL FINANCIALS | 40,747 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd. 7.5% (Reg. S) (i) | 350 | 348 | |
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
CSN Islands XII Corp. 7% (Reg. S) (i) | 7,690 | 6,971 | |
TOTAL PREFERRED SECURITIES (Cost $69,419) |
| ||
Other - 0.0% | |||
Shares | Value (000s) | ||
Other - 0.0% | |||
Idearc, Inc. Claim (a) | 1,675,371 | $ 0 | |
Money Market Funds - 2.9% |
|
Fidelity Cash Central Fund, 0.13% (b) | 326,362,751 |
| |
TOTAL INVESTMENT PORTFOLIO - 99.8% (Cost $10,955,552) | 11,127,288 | ||
NET OTHER ASSETS (LIABILITIES) (c) - 0.2% | 26,900 | ||
NET ASSETS - 100% | $ 11,154,188 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) |
| |
Fannie Mae | |||
3% 7/1/43 | $ (32,200) | (31,450) | |
3% 7/1/43 | (32,200) | (31,451) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $63,447) | $ (62,901) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
573 CBOT 2 Year U.S. Treasury Note Contracts | Sept. 2013 | $ 126,060 | $ (243) | ||
75 CBOT 30 Year U.S. Treasury Bond Contracts | Sept. 2013 | 10,188 | (284) | ||
27 CBOT Ultra Long Term U.S. Treasury Bond Contracts | Sept. 2013 | 3,977 | (152) | ||
TOTAL PURCHASED | $ 140,225 | $ (679) | |||
Futures Contracts - continued | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Sold | |||||
Treasury Contracts | |||||
106 CBOT 5 Year U.S. Treasury Note Contracts | Sept. 2013 | $ 12,831 | $ (61) | ||
| $ 153,056 | $ (740) |
|
The face value of futures purchased as a percentage of net assets is 1.2% |
|
The face value of futures sold as a percentage of net assets is 0.1% |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration | Notional | Payment | Payment | Value | Upfront | Unrealized |
CME | Jun. 2043 | $ 45,741 | 3-month LIBOR | 3.25% | $ 1,708 | $ - | $ 1,708 |
|
(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps. |
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
INR | - | Indian rupee |
JPY | - | Japanese yen |
NGN | - | Nigerian naira |
RUB | - | Russian ruble |
TRY | - | Turkish Lira |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Includes cash collateral of $25,580,000 received from securities on loan. |
(d) Non-income producing - Security is in default. |
(e) Amount is stated in United States dollars unless otherwise noted. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,180,944,000 or 19.6% of net assets. |
(i) Security is perpetual in nature with no stated maturity date. |
(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 period end, the value of securities pledged amounted to $438,000. |
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $4,051,000. |
(m) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(n) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(o) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(p) Quantity represents share amount. |
(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(r) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(s) 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 $8,581,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 62 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
Station Holdco LLC | 6/17/11 - 3/15/12 | $ 5,096 |
Station Holdco LLC unit | 3/12/13 - 4/1/13 | $ 4 |
Station Holdco LLC warrants 6/15/18 | 4/29/08 - 11/25/08 | $ 15,269 |
* 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 | $ 253 |
Fidelity Floating Rate Central Fund | 1,554 |
Total | $ 1,807 |
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, end of |
Fidelity Floating Rate Central Fund | $ 60,326 | $ - | $ - | $ 60,849 | 4.5% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2013, 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 table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 21,463 | $ 9,026 | $ 5,034 | $ 7,403 |
Consumer Staples | 1,052 | - | 642 | 410 |
Financials | 55,933 | 31,660 | 24,273 | - |
Industrials | 26,828 | 16,851 | - | 9,977 |
Information Technology | 1,051 | 1,051 | - | - |
Materials | 3,811 | 821 | - | 2,990 |
Utilities | 223 | 223 | - | - |
Corporate Bonds | 4,605,809 | - | 4,605,545 | 264 |
U.S. Government and Government Agency Obligations | 2,276,618 | - | 2,276,618 | - |
U.S. Government Agency - Mortgage Securities | 558,549 | - | 558,549 | - |
Asset-Backed Securities | 4,794 | - | 4,794 | - |
Collateralized Mortgage Obligations | 358,250 | - | 358,250 | - |
Commercial Mortgage Securities | 93,926 | - | 93,926 | - |
Foreign Government and Government Agency Obligations | 2,456,143 | - | 2,449,361 | 6,782 |
Supranational Obligations | 9,298 | - | 9,298 | - |
Floating Rate Loans | 185,548 | - | 170,470 | 15,078 |
Sovereign Loan Participations | 10,431 | - | - | 10,431 |
Fixed-Income Funds | 60,849 | 60,849 | - | - |
Preferred Securities | 70,349 | - | 70,349 | - |
Other | - | - | - | - |
Money Market Funds | 326,363 | 326,363 | - | - |
Total Investments in Securities: | $ 11,127,288 | $ 446,844 | $ 10,627,109 | $ 53,335 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Derivative Instruments: (Amounts in thousands) | ||||
Assets | ||||
Swaps | $ 1,708 | $ - | $ 1,708 | $ - |
Liabilities | ||||
Futures Contracts | $ (740) | $ (740) | $ - | $ - |
Total Derivative Instruments: | $ 968 | $ (740) | $ 1,708 | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (62,901) | $ - | $ (62,901) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ - | $ (740) |
Swaps (b) | 1,708 | - |
Total Value of Derivatives | $ 1,708 | $ (740) |
(a) Reflects gross cumulative appreciation/(depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end variation margin is separately presented in the Statement of Assets and Liabilities and is included in the receivable/payable for daily variation margin for derivative instruments line-items. |
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
Other Information |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 64.7% |
Canada | 3.5% |
Germany | 2.9% |
United Kingdom | 2.6% |
Japan | 2.4% |
Luxembourg | 2.2% |
Italy | 2.1% |
Venezuela | 1.9% |
Netherlands | 1.4% |
Mexico | 1.3% |
Bermuda | 1.1% |
Argentina | 1.1% |
Turkey | 1.1% |
France | 1.0% |
Others (Individually Less Than 1%) | 10.7% |
| 100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $25,033) - See accompanying schedule: Unaffiliated issuers (cost $10,590,090) | $ 10,740,076 |
|
Fidelity Central Funds (cost $365,462) | 387,212 |
|
Total Investments (cost $10,955,552) |
| $ 11,127,288 |
Cash |
| 33,417 |
Receivable for investments sold, regular delivery | 409,341 | |
Receivable for TBA sale commitments |
| 63,447 |
Receivable for fund shares sold | 12,999 | |
Dividends receivable | 162 | |
Interest receivable | 130,000 | |
Distributions receivable from Fidelity Central Funds | 286 | |
Other receivables | 1 | |
Total assets | 11,776,941 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 327,915 | |
Delayed delivery | 142,287 | |
TBA sale commitments, at value | 62,901 | |
Payable for fund shares redeemed | 46,688 | |
Distributions payable | 6,778 | |
Accrued management fee | 5,415 | |
Distribution and service plan fees payable | 3,253 | |
Payable for daily variation margin for derivative instruments | 202 | |
Other affiliated payables | 1,581 | |
Other payables and accrued expenses | 153 | |
Collateral on securities loaned, at value | 25,580 | |
Total liabilities | 622,753 | |
|
|
|
Net Assets | $ 11,154,188 | |
Net Assets consist of: |
| |
Paid in capital | $ 10,846,026 | |
Undistributed net investment income | 84,228 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 53,425 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 170,509 | |
Net Assets | $ 11,154,188 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.18 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.18) | $ 12.69 | |
Class T: | $ 12.18 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.18) | $ 12.69 | |
Class B: | $ 12.22 | |
|
|
|
Class C: | $ 12.15 | |
|
|
|
Institutional Class: | $ 12.33 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended June 30, 2013 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 3,555 |
Interest |
| 265,627 |
Income from Fidelity Central Funds |
| 1,807 |
Total income |
| 270,989 |
|
|
|
Expenses | ||
Management fee | $ 34,071 | |
Transfer agent fees | 8,756 | |
Distribution and service plan fees | 20,512 | |
Accounting and security lending fees | 830 | |
Custodian fees and expenses | 204 | |
Independent trustees' compensation | 23 | |
Registration fees | 203 | |
Audit | 61 | |
Legal | 33 | |
Miscellaneous | 67 | |
Total expenses before reductions | 64,760 | |
Expense reductions | (3) | 64,757 |
Net investment income (loss) | 206,232 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 74,082 | |
Foreign currency transactions | (1,493) | |
Futures contracts | (977) | |
Swaps | 8,942 |
|
Total net realized gain (loss) |
| 80,554 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (564,134) | |
Assets and liabilities in foreign currencies | 550 | |
Futures contracts | (593) | |
Swaps | (581) | |
Delayed delivery commitments | 546 |
|
Total change in net unrealized appreciation (depreciation) |
| (564,212) |
Net gain (loss) | (483,658) | |
Net increase (decrease) in net assets resulting from operations | $ (277,426) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended June 30, 2013 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 206,232 | $ 423,653 |
Net realized gain (loss) | 80,554 | 177,978 |
Change in net unrealized appreciation (depreciation) | (564,212) | 513,247 |
Net increase (decrease) in net assets resulting | (277,426) | 1,114,878 |
Distributions to shareholders from net investment income | (194,830) | (387,905) |
Distributions to shareholders from net realized gain | (1,940) | (183,452) |
Total distributions | (196,770) | (571,357) |
Share transactions - net increase (decrease) | (708,648) | 1,696,996 |
Total increase (decrease) in net assets | (1,182,844) | 2,240,517 |
|
|
|
Net Assets | ||
Beginning of period | 12,337,032 | 10,096,515 |
End of period (including undistributed net investment income of $84,228 and undistributed net investment income of $72,826, respectively) | $ 11,154,188 | $ 12,337,032 |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.69 | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .221 | .479 | .536 | .622 | .681 | .600 |
Net realized and unrealized gain (loss) | (.519) | .776 | .009 | .500 | 2.345 | (1.826) |
Total from investment operations | (.298) | 1.255 | .545 | 1.122 | 3.026 | (1.226) |
Distributions from net investment income | (.210) | (.442) | (.572) | (.582) | (.566) | (.554) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.212) | (.635) | (.855) | (.872) | (.666) | (.624) |
Net asset value, end of period | $ 12.18 | $ 12.69 | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 |
Total Return B, C, D | (2.39)% | 10.57% | 4.47% | 9.48% | 31.74% | (10.98)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .98% A | .98% | .99% | .99% | 1.01% | 1.02% |
Expenses net of fee waivers, if any | .98% A | .98% | .99% | .99% | 1.01% | 1.02% |
Expenses net of all reductions | .98% A | .98% | .99% | .99% | 1.01% | 1.02% |
Net investment income (loss) | 3.54% A | 3.83% | 4.29% | 5.00% | 6.14% | 5.49% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 4,967 | $ 5,582 | $ 4,746 | $ 4,169 | $ 3,725 | $ 2,174 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.68 | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .221 | .479 | .536 | .621 | .675 | .607 |
Net realized and unrealized gain (loss) | (.509) | .766 | .009 | .511 | 2.341 | (1.832) |
Total from investment operations | (.288) | 1.245 | .545 | 1.132 | 3.016 | (1.225) |
Distributions from net investment income | (.210) | (.442) | (.572) | (.582) | (.566) | (.555) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.212) | (.635) | (.855) | (.872) | (.666) | (.625) |
Net asset value, end of period | $ 12.18 | $ 12.68 | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 |
Total Return B, C, D | (2.31)% | 10.49% | 4.48% | 9.57% | 31.64% | (10.97)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .98% A | .98% | .98% | .99% | 1.01% | 1.01% |
Expenses net of fee waivers, if any | .98% A | .98% | .98% | .99% | 1.01% | 1.01% |
Expenses net of all reductions | .98% A | .98% | .98% | .99% | 1.01% | 1.01% |
Net investment income (loss) | 3.54% A | 3.83% | 4.29% | 5.00% | 6.14% | 5.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,414 | $ 1,554 | $ 1,471 | $ 1,571 | $ 1,579 | $ 1,337 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.72 | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .177 | .391 | .449 | .535 | .600 | .525 |
Net realized and unrealized gain (loss) | (.510) | .765 | .007 | .509 | 2.348 | (1.831) |
Total from investment operations | (.333) | 1.156 | .456 | 1.044 | 2.948 | (1.306) |
Distributions from net investment income | (.165) | (.353) | (.483) | (.494) | (.488) | (.474) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.167) | (.546) | (.766) | (.784) | (.588) | (.544) |
Net asset value, end of period | $ 12.22 | $ 12.72 | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 |
Total Return B, C, D | (2.65)% | 9.67% | 3.72% | 8.77% | 30.72% | (11.60)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.70% A | 1.69% | 1.69% | 1.70% | 1.72% | 1.76% |
Expenses net of fee waivers, if any | 1.70% A | 1.69% | 1.69% | 1.70% | 1.72% | 1.75% |
Expenses net of all reductions | 1.70% A | 1.69% | 1.69% | 1.70% | 1.72% | 1.75% |
Net investment income (loss) | 2.82% A | 3.12% | 3.59% | 4.30% | 5.43% | 4.76% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 165 | $ 204 | $ 244 | $ 307 | $ 348 | $ 267 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.66 | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .173 | .384 | .441 | .528 | .597 | .517 |
Net realized and unrealized gain (loss) | (.518) | .767 | .010 | .512 | 2.327 | (1.817) |
Total from investment operations | (.345) | 1.151 | .451 | 1.040 | 2.924 | (1.300) |
Distributions from net investment income | (.163) | (.348) | (.478) | (.490) | (.484) | (.470) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.165) | (.541) | (.761) | (.780) | (.584) | (.540) |
Net asset value, end of period | $ 12.15 | $ 12.66 | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 |
Total Return B, C, D | (2.76)% | 9.68% | 3.71% | 8.77% | 30.60% | (11.59)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.74% A | 1.73% | 1.74% | 1.74% | 1.75% | 1.79% |
Expenses net of fee waivers, if any | 1.74% A | 1.73% | 1.74% | 1.74% | 1.75% | 1.79% |
Expenses net of all reductions | 1.74% A | 1.73% | 1.74% | 1.74% | 1.75% | 1.79% |
Net investment income (loss) | 2.78% A | 3.08% | 3.54% | 4.26% | 5.40% | 4.72% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,041 | $ 2,238 | $ 1,824 | $ 1,609 | $ 1,336 | $ 800 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.84 | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .239 | .514 | .570 | .657 | .710 | .635 |
Net realized and unrealized gain (loss) | (.523) | .779 | .003 | .514 | 2.361 | (1.835) |
Total from investment operations | (.284) | 1.293 | .573 | 1.171 | 3.071 | (1.200) |
Distributions from net investment income | (.224) | (.470) | (.600) | (.611) | (.591) | (.580) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.226) | (.663) | (.883) | (.901) | (.691) | (.650) |
Net asset value, end of period | $ 12.33 | $ 12.84 | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 |
Total Return B, C | (2.25)% | 10.78% | 4.66% | 9.80% | 31.92% | (10.67)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .75% A | .75% | .76% | .76% | .78% | .78% |
Expenses net of fee waivers, if any | .75% A | .75% | .76% | .76% | .78% | .78% |
Expenses net of all reductions | .75% A | .75% | .76% | .76% | .78% | .78% |
Net investment income (loss) | 3.77% A | 4.07% | 4.52% | 5.23% | 6.37% | 5.73% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,567 | $ 2,759 | $ 1,812 | $ 1,481 | $ 1,156 | $ 750 |
Portfolio turnover rate F | 164% A | 126% | 221% | 207% | 202% | 255% |
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, 2013 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by 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 its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC)
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2013, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income 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 amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated 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. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, market discount, partnerships, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
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 | $ 467,430 |
Gross unrealized depreciation | (254,268) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 213,162 |
|
|
Tax cost | $ 10,914,126 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Semiannual Report
3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC
Semiannual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / | Net Realized | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ (977) | $ (593) |
Purchased Options | 1,335 | - |
Swaps | 8,942 | (581) |
Totals (a) | $ 9,300 | $ (1,174) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
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 daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to the fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation
Semiannual Report
4. Derivative Instruments - continued
Options - continued
(depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). 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.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps."
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $5,157,334 and $5,331,412, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 6,775 | $ 153 |
Class T | -% | .25% | 1,901 | 35 |
Class B | .65% | .25% | 842 | 614 |
Class C | .75% | .25% | 10,994 | 2,225 |
|
|
| $ 20,512 | $ 3,027 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 256 |
Class T | 37 |
Class B* | 141 |
Class C* | 148 |
| $ 582 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
|
Amount | % of |
Class A | $ 3,758 | .14 |
Class T | 1,058 | .14 |
Class B | 185 | .20 |
Class C | 1,558 | .14 |
Institutional Class | 2,197 | .16 |
| $ 8,756 |
|
* 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 each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $16 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may
Semiannual Report
8. Security Lending - continued
experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $102.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $3.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 90,178 | $ 184,852 |
Class T | 25,309 | 53,316 |
Class B | 2,439 | 6,329 |
Class C | 28,412 | 56,930 |
Institutional Class | 48,492 | 86,478 |
Total | $ 194,830 | $ 387,905 |
From net realized gain |
|
|
Class A | $ 878 | $ 83,442 |
Class T | 246 | 23,291 |
Class B | 31 | 3,121 |
Class C | 353 | 33,426 |
Institutional Class | 432 | 40,172 |
Total | $ 1,940 | $ 183,452 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
11. 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 | 43,562 | 127,635 | $ 550,327 | $ 1,591,154 |
Reinvestment of distributions | 5,474 | 16,767 | 68,787 | 210,697 |
Shares redeemed | (81,331) | (97,467) | (1,022,991) | (1,216,353) |
Net increase (decrease) | (32,295) | 46,935 | $ (403,877) | $ 585,498 |
Class T |
|
|
|
|
Shares sold | 11,603 | 25,754 | $ 146,580 | $ 322,003 |
Reinvestment of distributions | 1,704 | 5,144 | 21,402 | 64,574 |
Shares redeemed | (19,709) | (30,210) | (248,261) | (377,041) |
Net increase (decrease) | (6,402) | 688 | $ (80,279) | $ 9,536 |
Class B |
|
|
|
|
Shares sold | 217 | 1,036 | $ 2,745 | $ 12,969 |
Reinvestment of distributions | 151 | 585 | 1,909 | 7,368 |
Shares redeemed | (2,851) | (5,747) | (36,053) | (71,921) |
Net increase (decrease) | (2,483) | (4,126) | $ (31,399) | $ (51,584) |
Class C |
|
|
|
|
Shares sold | 14,306 | 46,989 | $ 180,429 | $ 585,374 |
Reinvestment of distributions | 1,771 | 5,565 | 22,197 | 69,818 |
Shares redeemed | (25,001) | (27,147) | (313,602) | (338,449) |
Net increase (decrease) | (8,924) | 25,407 | $ (110,976) | $ 316,743 |
Institutional Class |
|
|
|
|
Shares sold | 36,813 | 108,793 | $ 470,441 | $ 1,371,632 |
Reinvestment of distributions | 3,027 | 7,682 | 38,506 | 97,784 |
Shares redeemed | (46,539) | (49,978) | (591,064) | (632,613) |
Net increase (decrease) | (6,699) | 66,497 | $ (82,117) | $ 836,803 |
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
13. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
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
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
State Street Bank and Trust Company
Quincy, MA
(Fidelity Investment logo)(registered trademark)
SII-USAN-0813 1.787776.110
(Fidelity Investment logo)(registered trademark)
Fidelity Advisor®
Strategic Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
June 30, 2013
(Fidelity Cover Art)
Contents
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, as well as financial highlights. | |
Notes | Notes to the financial statements. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit http://www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at http://www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third-party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR LLC or an affiliated company. © 2013 FMR LLC. All rights reserved.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent holdings listing, semiannual report, or annual report on Fidelity's web site at http://www.fidelity.com, http://www.advisor.fidelity.com, or http://www.401k.com, as applicable.
NOT FDIC INSURED • MAY LOSE VALUE • NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2013 to June 30, 2013).
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 | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 976.10 | $ 4.80 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.93 | $ 4.91 |
Class T | .98% |
|
|
|
Actual |
| $ 1,000.00 | $ 976.90 | $ 4.80 |
HypotheticalA |
| $ 1,000.00 | $ 1,019.93 | $ 4.91 |
Class B | 1.70% |
|
|
|
Actual |
| $ 1,000.00 | $ 973.50 | $ 8.32 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.36 | $ 8.50 |
Class C | 1.74% |
|
|
|
Actual |
| $ 1,000.00 | $ 972.40 | $ 8.51 |
HypotheticalA |
| $ 1,000.00 | $ 1,016.17 | $ 8.70 |
Institutional Class | .75% |
|
|
|
Actual |
| $ 1,000.00 | $ 977.50 | $ 3.68 |
HypotheticalA |
| $ 1,000.00 | $ 1,021.08 | $ 3.76 |
A 5% return per year before expenses
B Annualized expense ratio reflects expenses net of applicable fee waivers.
* Expenses are equal to each Class' annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). The fees and expenses of the underlying Fidelity Central Funds in which the Fund invests are not included in 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 the investments of Fidelity's fixed-income central funds. |
Top Five Holdings as of June 30, 2013 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 18.7 | 19.5 |
Fannie Mae | 2.8 | 3.3 |
German Federal Republic | 2.6 | 2.3 |
Freddie Mac | 2.3 | 2.5 |
Japan Government | 2.3 | 2.2 |
| 28.7 | |
Top Five Market Sectors as of June 30, 2013 | ||
| % of fund's | % of fund's net assets |
Financials | 7.8 | 9.7 |
Consumer Discretionary | 7.0 | 6.6 |
Energy | 6.7 | 5.9 |
Telecommunication Services | 4.8 | 4.1 |
Industrials | 4.7 | 4.8 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2013 | As of December 31, 2012 | ||||||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | AAA,AA,A 11.3% |
| ![]() | AAA,AA,A 11.3% |
| ||
![]() | BBB 9.9% |
| ![]() | BBB 9.3% |
| ||
![]() | BB 14.6% |
| ![]() | BB 13.9% |
| ||
![]() | B 22.2% |
| ![]() | B 20.5% |
| ||
![]() | CCC,CC,C 5.6% |
| ![]() | CCC,CC,C 7.5% |
| ||
![]() | D 0.0% |
| ![]() | D 0.0% |
| ||
![]() | Not Rated 2.8% |
| ![]() | Not Rated 2.5% |
| ||
![]() | Equities 1.0% |
| ![]() | Equities 0.9% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
† Includes NCUA Guaranteed Notes. |
We have used ratings from Moody's Investors Service, Inc. Where Moody's® ratings are not available, we have used S&P® ratings. All ratings are as of the date indicated and do not reflect subsequent changes. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2013 * | As of December 31, 2012 ** | ||||||
![]() | Preferred Securities 0.6% |
| ![]() | Preferred Securities 0.3% |
| ||
![]() | Corporate Bonds 41.3% |
| ![]() | Corporate Bonds 38.0% |
| ||
![]() | U.S. Government and |
| ![]() | U.S. Government and |
| ||
![]() | Foreign Government & |
| ![]() | Foreign Government & |
| ||
![]() | Floating Rate Loans 2.2% |
| ![]() | Floating Rate Loans 5.1% |
| ||
![]() | Stocks 1.0% |
| ![]() | Stocks 0.9% |
| ||
![]() | Other Investments 0.3% |
| ![]() | Other Investments 0.1% |
| ||
![]() | Short-Term |
| ![]() | Short-Term |
|
* Foreign investments | 35.3% |
| ** Foreign investments | 34.2% |
| ||
* Futures and swaps | 0.7% |
| ** Futures and swaps | (0.4)% |
|
† Includes NCUA Guaranteed Notes. |
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com.
Percentages in the above tables are adjusted for the effect of TBA Sale Commitments. |
Semiannual Report
Investments June 30, 2013 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 41.3% | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Convertible Bonds - 0.2% | ||||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.2% | ||||
TRW Automotive, Inc. 3.5% 12/1/15 | $ 8,595 | $ 19,559 | ||
Nonconvertible Bonds - 41.1% | ||||
CONSUMER DISCRETIONARY - 6.0% | ||||
Auto Components - 0.5% | ||||
Affinia Group, Inc. 7.75% 5/1/21 (h) | 1,015 | 1,023 | ||
Cooper Standard Auto, Inc. 8.5% 5/1/18 | 1,775 | 1,862 | ||
Dana Holding Corp.: | ||||
6.5% 2/15/19 | 3,770 | 3,977 | ||
6.75% 2/15/21 | 1,400 | 1,484 | ||
Delphi Corp.: | ||||
5% 2/15/23 | 9,005 | 9,253 | ||
5.875% 5/15/19 | 5,365 | 5,700 | ||
6.125% 5/15/21 | 5,255 | 5,728 | ||
Exide Technologies 8.625% 2/1/18 | 2,135 | 1,281 | ||
International Automotive Components Group SA 9.125% 6/1/18 (h) | 5,245 | 5,245 | ||
Lear Corp. 4.75% 1/15/23 (h) | 6,305 | 5,990 | ||
PT Gadjah Tunggal Tbk 7.75% 2/6/18 (h) | 2,855 | 2,812 | ||
Stoneridge, Inc. 9.5% 10/15/17 (h) | 2,330 | 2,493 | ||
Tenneco, Inc.: | ||||
6.875% 12/15/20 | 6,205 | 6,639 | ||
7.75% 8/15/18 | 1,545 | 1,653 | ||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. 10.625% 9/1/17 (h) | 584 | 619 | ||
| 55,759 | |||
Automobiles - 0.0% | ||||
Ford Motor Co. 7.45% 7/16/31 | 2,365 | 2,831 | ||
General Motors Corp.: | ||||
6.75% 5/1/28 (d) | 10,670 | 0 | ||
7.125% 7/15/13 (d) | 1,605 | 0 | ||
7.2% 1/15/11 (d) | 4,015 | 0 | ||
7.4% 9/1/25 (d) | 500 | 0 | ||
7.7% 4/15/16 (d) | 7,804 | 0 | ||
8.25% 7/15/23 (d) | 4,845 | 0 | ||
8.375% 7/15/33 (d) | 7,015 | 0 | ||
| 2,831 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Distributors - 0.0% | ||||
American Builders & Contractors Supply Co., Inc. 5.625% 4/15/21 (h) | $ 1,500 | $ 1,470 | ||
LKQ Corp. 4.75% 5/15/23 (h) | 1,090 | 1,041 | ||
| 2,511 | |||
Diversified Consumer Services - 0.2% | ||||
Laureate Education, Inc. 9.25% 9/1/19 (h) | 18,715 | 20,025 | ||
Hotels, Restaurants & Leisure - 1.1% | ||||
Arcos Dorados Holdings, Inc. 10.25% 7/13/16 (h) | BRL | 16,080 | 7,224 | |
Caesars Entertainment Operating Co., Inc. 8.5% 2/15/20 | 4,695 | 4,425 | ||
Chester Downs & Marina LLC 9.25% 2/1/20 (h) | 1,520 | 1,459 | ||
Choice Hotels International, Inc. 5.75% 7/1/22 | 1,445 | 1,526 | ||
FelCor Lodging LP 5.625% 3/1/23 | 4,185 | 4,070 | ||
Graton Economic Development Authority 9.625% 9/1/19 (h) | 10,505 | 11,556 | ||
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17 | 4,365 | 4,714 | ||
Landry's Holdings II, Inc. 10.25% 1/1/18 (h) | 4,990 | 5,140 | ||
MCE Finance Ltd. 5% 2/15/21 (h) | 9,965 | 9,267 | ||
Mohegan Tribal Gaming Authority 11% 9/15/18 | 2,333 | 2,193 | ||
MTR Gaming Group, Inc. 11.5% 8/1/19 pay-in-kind | 3,256 | 3,402 | ||
NAI Entertainment Holdings LLC/NAI Entertainment Finance Corp. 8.25% 12/15/17 (h) | 2,471 | 2,644 | ||
Palace Entertainment Holdings LLC/Corp. 8.875% 4/15/17 (h) | 1,135 | 1,169 | ||
RHP Hotel Properties LP/RHP Finance Co. 5% 4/15/21 (h) | 4,360 | 4,251 | ||
Seven Seas Cruises S de RL LLC 9.125% 5/15/19 | 670 | 717 | ||
Shingle Springs Tribal Gaming Authority 9.375% 6/15/15 (h) | 1,540 | 1,525 | ||
Six Flags Entertainment Corp. 5.25% 1/15/21 (h) | 7,515 | 7,252 | ||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/14 (h) | 646 | 198 | ||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.: | ||||
4.25% 5/30/23 (h) | 7,305 | 6,721 | ||
5.375% 3/15/22 | 14,400 | 14,688 | ||
7.75% 8/15/20 | 22,030 | 24,453 | ||
| 118,594 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Household Durables - 0.8% | ||||
Brookfield Residential Properties, Inc./Brookfield Residential U.S. Corp. 6.125% 7/1/22 (h) | $ 3,165 | $ 3,102 | ||
Brookfield Residential Properties, Inc. 6.5% 12/15/20 (h) | 2,595 | 2,627 | ||
D.R. Horton, Inc. 4.375% 9/15/22 | 5,395 | 5,125 | ||
Jarden Corp. 6.125% 11/15/22 | 3,220 | 3,365 | ||
Reliance Intermediate Holdings LP 9.5% 12/15/19 (h) | 6,915 | 7,468 | ||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA: | ||||
5.75% 10/15/20 | 24,830 | 24,768 | ||
6.875% 2/15/21 | 6,200 | 6,510 | ||
7.125% 4/15/19 | 4,910 | 5,186 | ||
8.25% 2/15/21 | 6,920 | 6,851 | ||
8.5% 5/15/18 (f) | 445 | 458 | ||
9.875% 8/15/19 | 4,100 | 4,387 | ||
Standard Pacific Corp.: | ||||
8.375% 5/15/18 | 2,255 | 2,571 | ||
8.375% 1/15/21 | 4,340 | 4,948 | ||
Tempur-Pedic International, Inc. 6.875% 12/15/20 (h) | 2,010 | 2,121 | ||
Toll Brothers Finance Corp.: | ||||
4.375% 4/15/23 | 1,495 | 1,390 | ||
5.875% 2/15/22 | 5,175 | 5,395 | ||
| 86,272 | |||
Internet & Catalog Retail - 0.0% | ||||
Netflix, Inc. 5.375% 2/1/21 (h) | 4,010 | 3,970 | ||
Leisure Equipment & Products - 0.0% | ||||
Easton-Bell Sports, Inc. 9.75% 12/1/16 | 1,505 | 1,607 | ||
Media - 2.8% | ||||
AMC Networks, Inc. 4.75% 12/15/22 | 3,080 | 2,972 | ||
CCO Holdings LLC/CCO Holdings Capital Corp.: | ||||
5.125% 2/15/23 | 6,575 | 6,131 | ||
5.25% 3/15/21 (h) | 4,975 | 4,900 | ||
5.25% 9/30/22 | 7,240 | 6,878 | ||
5.75% 9/1/23 (h) | 3,940 | 3,802 | ||
6.5% 4/30/21 | 10,200 | 10,634 | ||
6.625% 1/31/22 | 8,220 | 8,610 | ||
7.375% 6/1/20 | 5,685 | 6,154 | ||
8.125% 4/30/20 | 6,955 | 7,598 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375% 9/15/20 (h) | $ 6,305 | $ 6,415 | ||
Checkout Holding Corp. 0% 11/15/15 (h) | 3,225 | 2,516 | ||
Cinemark U.S.A., Inc.: | ||||
4.875% 6/1/23 (h) | 4,875 | 4,680 | ||
5.125% 12/15/22 | 1,470 | 1,419 | ||
Clear Channel Communications, Inc.: | ||||
5.5% 9/15/14 | 485 | 473 | ||
9% 12/15/19 (h) | 2,177 | 2,112 | ||
14% 2/1/21 pay-in-kind (h) | 5,070 | 4,335 | ||
Clear Channel Worldwide Holdings, Inc.: | ||||
6.5% 11/15/22 (h) | 7,985 | 8,185 | ||
6.5% 11/15/22 (h) | 21,590 | 22,238 | ||
DIRECTV Holdings LLC 2.75% 5/19/23 | EUR | 5,975 | 7,422 | |
DISH DBS Corp.: | ||||
5% 3/15/23 | 21,765 | 20,894 | ||
5.125% 5/1/20 (h) | 485 | 475 | ||
5.875% 7/15/22 | 37,945 | 38,609 | ||
6.75% 6/1/21 | 16,335 | 17,315 | ||
EchoStar Communications Corp. 7.125% 2/1/16 | 18,425 | 19,945 | ||
Liberty Media Corp. 8.5% 7/15/29 | 6,535 | 7,156 | ||
Livent, Inc. yankee 9.375% 10/15/04 (d) | 300 | 0 | ||
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75% 4/1/21 (h) | 14,840 | 15,174 | ||
MDC Partners, Inc. 6.75% 4/1/20 (h) | 3,930 | 3,930 | ||
Quebecor Media, Inc. 5.75% 1/15/23 | 7,660 | 7,469 | ||
Regal Entertainment Group: | ||||
5.75% 6/15/23 | 9,410 | 9,245 | ||
5.75% 2/1/25 | 1,425 | 1,389 | ||
Sheridan Group, Inc. 12.5% 4/15/14 | 2,986 | 2,956 | ||
Sinclair Television Group, Inc. 5.375% 4/1/21 | 4,940 | 4,742 | ||
Sirius XM Radio, Inc.: | ||||
4.25% 5/15/20 (h) | 3,670 | 3,450 | ||
4.625% 5/15/23 (h) | 2,450 | 2,266 | ||
5.25% 8/15/22 (h) | 4,765 | 4,622 | ||
Starz LLC/Starz Finance Corp. 5% 9/15/19 | 4,305 | 4,240 | ||
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S) | 6,140 | 6,462 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 5.5% 1/15/23 (h) | $ 5,540 | $ 5,312 | ||
WMG Acquisition Corp. 11.5% 10/1/18 | 15,140 | 17,373 | ||
| 310,498 | |||
Specialty Retail - 0.3% | ||||
Asbury Automotive Group, Inc. 8.375% 11/15/20 | 1,455 | 1,601 | ||
CST Brands, Inc. 5% 5/1/23 (h) | 1,320 | 1,284 | ||
Limited Brands, Inc. 5.625% 2/15/22 | 6,880 | 6,949 | ||
Office Depot, Inc. 9.75% 3/15/19 (h) | 3,730 | 4,509 | ||
Petco Holdings, Inc. 8.5% 10/15/17 pay-in-kind (h) | 5,250 | 5,329 | ||
Sally Holdings LLC 6.875% 11/15/19 | 3,305 | 3,536 | ||
Sonic Automotive, Inc. 5% 5/15/23 (h) | 800 | 776 | ||
Spencer Spirit Holdings, Inc./Spencer Gifts LLC/Spirit Halloween Superstores 11% 5/1/17 (h) | 2,770 | 2,978 | ||
| 26,962 | |||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
Burlington Holdings LLC/Burlington Holding Finance, Inc. 9% 2/15/18 pay-in-kind (h)(m) | 5,495 | 5,632 | ||
Hanesbrands, Inc. 6.375% 12/15/20 | 7,350 | 7,865 | ||
Levi Strauss & Co. 7.625% 5/15/20 | 9,350 | 10,145 | ||
Polymer Group, Inc. 7.75% 2/1/19 | 1,575 | 1,638 | ||
PVH Corp. 4.5% 12/15/22 | 10,925 | 10,488 | ||
SIWF Merger Sub, Inc./Springs Industries, Inc. 6.25% 6/1/21 (h) | 1,475 | 1,446 | ||
| 37,214 | |||
TOTAL CONSUMER DISCRETIONARY | 666,243 | |||
CONSUMER STAPLES - 1.2% | ||||
Food & Staples Retailing - 0.6% | ||||
Bi-Lo LLC/Bi-Lo Finance Corp. 9.25% 2/15/19 (h) | 8,755 | 9,368 | ||
ESAL GmbH 6.25% 2/5/23 (h) | 10,175 | 9,290 | ||
Grifols, Inc. 8.25% 2/1/18 | 4,920 | 5,264 | ||
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (h) | 9,880 | 9,435 | ||
Rite Aid Corp.: | ||||
6.75% 6/15/21 (h)(j) | 9,730 | 9,560 | ||
8% 8/15/20 | 4,380 | 4,851 | ||
9.25% 3/15/20 | 8,445 | 9,311 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food & Staples Retailing - continued | ||||
Rite Aid Corp.: - continued | ||||
10.25% 10/15/19 | $ 1,835 | $ 2,064 | ||
Shearers Foods LLC/Chip Finance Corp. 9% 11/1/19 (h) | 1,465 | 1,549 | ||
Tops Holding II Corp. 8.75% 6/15/18 pay-in-kind (h) | 610 | 598 | ||
Tops Markets LLC 8.875% 12/15/17 (h) | 2,820 | 3,046 | ||
| 64,336 | |||
Food Products - 0.4% | ||||
Agrokor d.d. 8.875% 2/1/20 (h) | 2,155 | 2,271 | ||
B&G Foods, Inc. 4.625% 6/1/21 | 5,220 | 4,920 | ||
Dean Foods Co. 9.75% 12/15/18 | 5,075 | 5,722 | ||
FAGE Dairy Industry SA/FAGE USA Dairy Industry, Inc. 9.875% 2/1/20 (h) | 9,075 | 9,710 | ||
Gruma S.A.B. de CV 7.75% (Reg. S) (i) | 6,860 | 6,860 | ||
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc. 8.25% 2/1/20 (h) | 3,315 | 3,472 | ||
Kazagro National Management Holding JSC 4.625% 5/24/23 (h) | 1,680 | 1,537 | ||
Michael Foods Holding, Inc. 8.5% 7/15/18 | 425 | 438 | ||
Michael Foods, Inc. 9.75% 7/15/18 | 1,885 | 2,064 | ||
Post Holdings, Inc. 7.375% 2/15/22 | 1,055 | 1,129 | ||
Smithfield Foods, Inc. 6.625% 8/15/22 | 4,710 | 5,063 | ||
| 43,186 | |||
Household Products - 0.0% | ||||
Spectrum Brands Escrow Corp.: | ||||
6.375% 11/15/20 (h) | 1,415 | 1,472 | ||
6.625% 11/15/22 (h) | 1,675 | 1,750 | ||
| 3,222 | |||
Personal Products - 0.2% | ||||
Elizabeth Arden, Inc. 7.375% 3/15/21 | 1,560 | 1,693 | ||
First Quality Finance Co., Inc. 4.625% 5/15/21 (h) | 1,235 | 1,161 | ||
NBTY, Inc. 9% 10/1/18 | 5,005 | 5,430 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Personal Products - continued | ||||
Prestige Brands, Inc. 8.125% 2/1/20 | $ 770 | $ 841 | ||
Revlon Consumer Products Corp. 5.75% 2/15/21 (h) | 13,928 | 13,580 | ||
| 22,705 | |||
TOTAL CONSUMER STAPLES | 133,449 | |||
ENERGY - 6.5% | ||||
Energy Equipment & Services - 0.5% | ||||
Atwood Oceanics, Inc. 6.5% 2/1/20 | 1,120 | 1,165 | ||
Basic Energy Services, Inc. 7.75% 10/15/22 | 3,640 | 3,595 | ||
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (h) | 5,735 | 5,678 | ||
Drill Rigs Holdings, Inc. 6.5% 10/1/17 (h) | 3,410 | 3,401 | ||
Forbes Energy Services Ltd. 9% 6/15/19 | 3,755 | 3,699 | ||
Helix Energy Solutions Group, Inc. 9.5% 1/15/16 (h) | 2,298 | 2,355 | ||
Offshore Group Investment Ltd. 7.125% 4/1/23 (h) | 6,185 | 6,046 | ||
Oil States International, Inc.: | ||||
5.125% 1/15/23 (h) | 3,665 | 3,839 | ||
6.5% 6/1/19 | 3,855 | 3,990 | ||
Pacific Drilling V Ltd. 7.25% 12/1/17 (h) | 9,695 | 10,083 | ||
Pioneer Drilling Co. 9.875% 3/15/18 | 3,410 | 3,657 | ||
Precision Drilling Corp. 6.5% 12/15/21 | 940 | 952 | ||
Pride International, Inc. 6.875% 8/15/20 | 3,150 | 3,738 | ||
Summit Midstream Holdings LLC 7.5% 7/1/21 (h) | 2,035 | 2,066 | ||
Trinidad Drilling Ltd. 7.875% 1/15/19 (h) | 1,615 | 1,696 | ||
Vier Gas Transport GmbH: | ||||
2% 6/12/20 (Reg. S) | EUR | 2,200 | 2,828 | |
2.875% 6/12/25 (Reg. S) | EUR | 2,700 | 3,419 | |
| 62,207 | |||
Oil, Gas & Consumable Fuels - 6.0% | ||||
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23 | 7,005 | 6,497 | ||
Afren PLC 11.5% 2/1/16 (h) | 3,175 | 3,493 | ||
Atlas Pipeline Escrow LLC 6.625% 10/1/20 (h) | 3,615 | 3,651 | ||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: | ||||
4.75% 11/15/21 (h) | 3,175 | 2,858 | ||
6.625% 10/1/20 (h) | 1,210 | 1,213 | ||
Berry Petroleum Co. 10.25% 6/1/14 | 2,220 | 2,342 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Calumet Specialty Products Partners LP/Calumet Finance Corp.: | ||||
9.375% 5/1/19 | $ 3,750 | $ 4,012 | ||
9.625% 8/1/20 (h) | 4,800 | 5,184 | ||
Carrizo Oil & Gas, Inc. 8.625% 10/15/18 | 9,835 | 10,523 | ||
Chaparral Energy, Inc. 9.875% 10/1/20 | 1,845 | 2,043 | ||
Concho Resources, Inc.: | ||||
5.5% 4/1/23 | 13,120 | 12,923 | ||
6.5% 1/15/22 | 6,135 | 6,411 | ||
7% 1/15/21 | 2,855 | 3,069 | ||
Continental Resources, Inc.: | ||||
4.5% 4/15/23 (h) | 7,475 | 7,251 | ||
5% 9/15/22 | 24,090 | 24,331 | ||
7.125% 4/1/21 | 2,540 | 2,769 | ||
8.25% 10/1/19 | 885 | 974 | ||
Crestwood Midstream Partners LP/Finance Corp.: | ||||
7.75% 4/1/19 | 2,235 | 2,302 | ||
7.75% 4/1/19 (h) | 4,590 | 4,751 | ||
Crosstex Energy L.P./Crosstex Energy Finance Corp. 8.875% 2/15/18 | 4,920 | 5,215 | ||
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 (h) | 7,290 | 7,162 | ||
Denbury Resources, Inc. 8.25% 2/15/20 | 3,877 | 4,187 | ||
DTEK Finance BV 9.5% 4/28/15 (h) | 521 | 528 | ||
Eagle Rock Energy Partners LP / Eagle Rock Energy Finance Corp. 8.375% 6/1/19 | 5,125 | 5,228 | ||
Energy Partners Ltd. 8.25% 2/15/18 | 11,490 | 11,835 | ||
Energy Transfer Equity LP 7.5% 10/15/20 | 10,210 | 11,154 | ||
Energy XXI Gulf Coast, Inc. 9.25% 12/15/17 | 12,735 | 13,977 | ||
EXCO Resources, Inc. 7.5% 9/15/18 | 8,000 | 7,480 | ||
Forest Oil Corp. 7.5% 9/15/20 (h) | 6,705 | 6,370 | ||
Genesis Energy LP/Genesis Energy Finance Corp. 5.75% 2/15/21 (h) | 2,400 | 2,376 | ||
Georgian Oil & Gas Corp. 6.875% 5/16/17 (h) | 2,740 | 2,726 | ||
Goodrich Petroleum Corp. 8.875% 3/15/19 | 3,485 | 3,433 | ||
GPN Capital SA 2.933% 4/26/18 (Reg. S) | EUR | 4,350 | 5,404 | |
Halcon Resources Corp. 8.875% 5/15/21 | 4,140 | 4,005 | ||
Hiland Partners LP/Finance Corp. 7.25% 10/1/20 (h) | 3,765 | 3,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Holly Energy Partners LP/Holly Finance Corp. 6.5% 3/1/20 | $ 4,875 | $ 4,778 | ||
Indo Energy Finance II BV 6.375% 1/24/23 (h) | 2,525 | 2,209 | ||
Inergy Midstream LP/Inergy Finance Corp. 6% 12/15/20 (h) | 6,670 | 6,437 | ||
IPIC GMTN Ltd. 3.625% 5/30/23 | EUR | 4,615 | 6,088 | |
KazMunaiGaz National Co.: | ||||
4.4% 4/30/23 (h) | 2,675 | 2,459 | ||
5.75% 4/30/43 (h) | 3,905 | 3,448 | ||
KazMunaiGaz Finance Sub BV: | ||||
6.375% 4/9/21 (h) | 3,510 | 3,791 | ||
7% 5/5/20 (h) | 4,100 | 4,633 | ||
9.125% 7/2/18 (h) | 4,825 | 5,766 | ||
Kodiak Oil & Gas Corp. 5.5% 1/15/21 (h) | 2,030 | 1,969 | ||
Laredo Pete, Inc. 7.375% 5/1/22 | 5,910 | 6,132 | ||
LINN Energy LLC/LINN Energy Finance Corp.: | ||||
6.25% 11/1/19 (h) | 1,660 | 1,581 | ||
7.75% 2/1/21 | 7,820 | 7,840 | ||
8.625% 4/15/20 | 8,900 | 9,345 | ||
Markwest Energy Partners LP/Markwest Energy Finance Corp.: | ||||
5.5% 2/15/23 | 2,325 | 2,290 | ||
6.25% 6/15/22 | 6,243 | 6,399 | ||
6.75% 11/1/20 | 1,880 | 1,979 | ||
Naftogaz of Ukraine NJSC 9.5% 9/30/14 | 6,550 | 6,501 | ||
Newfield Exploration Co.: | ||||
5.625% 7/1/24 | 5,200 | 5,044 | ||
6.875% 2/1/20 | 12,875 | 13,261 | ||
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (h) | 2,245 | 2,267 | ||
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (h) | 7,324 | 7,763 | ||
Pan American Energy LLC 7.875% 5/7/21 (h) | 6,125 | 5,895 | ||
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20 | 9,325 | 9,885 | ||
Pemex Project Funding Master Trust: | ||||
6.625% 6/15/35 | 12,095 | 12,821 | ||
6.625% 6/15/38 | 465 | 487 | ||
8.625% 12/1/23 | 500 | 625 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Penn Virginia Resource Partners LP/Penn Virginia Finance Corp. 6.5% 5/15/21 (h) | $ 4,155 | $ 3,999 | ||
Petrobras Global Finance BV 2.4141% 1/15/19 (m) | 3,485 | 3,394 | ||
Petrobras International Finance Co. Ltd.: | ||||
5.375% 1/27/21 | 5,230 | 5,255 | ||
6.875% 1/20/40 | 4,400 | 4,383 | ||
8.375% 12/10/18 | 4,735 | 5,603 | ||
Petroleos de Venezuela SA: | ||||
4.9% 10/28/14 | 17,475 | 16,339 | ||
5.375% 4/12/27 | 5,720 | 3,432 | ||
5.5% 4/12/37 | 2,650 | 1,530 | ||
8% 11/17/13 | 9,365 | 9,365 | ||
8.5% 11/2/17 (h) | 50,405 | 45,869 | ||
9% 11/17/21 (Reg. S) | 7,325 | 6,153 | ||
9.75% 5/17/35 (h) | 11,030 | 8,714 | ||
12.75% 2/17/22 (h) | 17,105 | 17,233 | ||
Petroleos Mexicanos: | ||||
3.5% 1/30/23 (h) | 4,295 | 3,962 | ||
4.875% 1/24/22 | 3,930 | 3,989 | ||
5.5% 1/21/21 | 4,960 | 5,315 | ||
5.5% 6/27/44 | 5,525 | 4,986 | ||
5.5% 6/27/44 (h) | 1,915 | 1,726 | ||
6% 3/5/20 | 2,990 | 3,304 | ||
6.5% 6/2/41 | 8,205 | 8,472 | ||
6.625% (h)(i) | 16,230 | 16,514 | ||
8% 5/3/19 | 2,695 | 3,288 | ||
Pioneer Natural Resources Co. 7.5% 1/15/20 | 8,285 | 10,174 | ||
PT Adaro Indonesia 7.625% 10/22/19 (h) | 7,144 | 7,501 | ||
PT Pertamina Persero: | ||||
4.3% 5/20/23 (h) | 600 | 552 | ||
4.875% 5/3/22 (h) | 5,190 | 4,969 | ||
5.25% 5/23/21 (h) | 3,385 | 3,351 | ||
5.625% 5/20/43 (h) | 480 | 410 | ||
6% 5/3/42 (h) | 4,240 | 3,964 | ||
6.5% 5/27/41 (h) | 5,130 | 4,950 | ||
QEP Resources, Inc. 5.25% 5/1/23 | 5,955 | 5,776 | ||
QR Energy LP/QRE Finance Corp. 9.25% 8/1/20 | 4,060 | 4,151 | ||
Range Resources Corp.: | ||||
5% 8/15/22 | 6,060 | 5,878 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Range Resources Corp.: - continued | ||||
5% 3/15/23 | $ 9,130 | $ 8,902 | ||
5.75% 6/1/21 | 2,030 | 2,081 | ||
Regency Energy Partners LP/Regency Energy Finance Corp. 6.875% 12/1/18 | 6,445 | 6,783 | ||
Rosetta Resources, Inc.: | ||||
5.625% 5/1/21 | 4,560 | 4,452 | ||
9.5% 4/15/18 | 3,565 | 3,850 | ||
Sabine Pass Liquefaction LLC 5.625% 4/15/23 (h) | 7,375 | 6,969 | ||
SemGroup Corp. 7.5% 6/15/21 (h) | 4,100 | 4,162 | ||
Southern Star Central Corp. 6.75% 3/1/16 | 1,560 | 1,568 | ||
Targa Resources Partners LP/Targa Resources Partners Finance Corp.: | ||||
5.25% 5/1/23 (h) | 1,300 | 1,248 | ||
6.375% 8/1/22 | 1,995 | 2,090 | ||
6.875% 2/1/21 | 2,785 | 2,952 | ||
11.25% 7/15/17 | 4,265 | 4,489 | ||
Teekay Corp. 8.5% 1/15/20 | 3,695 | 4,009 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 668 | ||
7.625% 4/1/37 | 1,035 | 1,360 | ||
8.375% 6/15/32 | 1,155 | 1,545 | ||
Tesoro Corp.: | ||||
4.25% 10/1/17 | 2,970 | 3,044 | ||
5.375% 10/1/22 | 3,340 | 3,382 | ||
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (h) | 1,010 | 1,000 | ||
Venoco, Inc. 8.875% 2/15/19 | 3,090 | 3,013 | ||
W&T Offshore, Inc. 8.5% 6/15/19 | 4,890 | 5,049 | ||
Western Refining, Inc. 6.25% 4/1/21 (h) | 6,375 | 6,232 | ||
WPX Energy, Inc. 6% 1/15/22 | 7,035 | 7,088 | ||
Zhaikmunai International BV 7.125% 11/13/19 (h) | 5,430 | 5,430 | ||
| 669,115 | |||
TOTAL ENERGY | 731,322 | |||
FINANCIALS - 6.5% | ||||
Capital Markets - 0.0% | ||||
Penson Worldwide, Inc. 12.5% 5/15/17 (d)(h) | 3,580 | 859 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - 1.6% | ||||
Access Finance BV 7.25% 7/25/17 (h) | $ 3,600 | $ 3,546 | ||
Akbank T.A.S. 7.5% 2/5/18 (h) | TRY | 5,015 | 2,379 | |
BBVA Paraguay SA 9.75% 2/11/16 (h) | 4,580 | 4,809 | ||
BNP Paribas SA 2.5% 8/23/19 | EUR | 1,950 | 2,572 | |
CBOM Finance PLC 8.25% 8/5/14 | 2,440 | 2,523 | ||
CIT Group, Inc.: | ||||
5% 8/15/22 | 8,305 | 8,243 | ||
5.25% 3/15/18 | 8,005 | 8,225 | ||
5.375% 5/15/20 | 10,385 | 10,632 | ||
5.5% 2/15/19 (h) | 35,510 | 36,664 | ||
Credit Commercial de France 1.875% 1/16/20 | EUR | 9,500 | 12,158 | |
Development Bank of Kazakhstan JSC 4.125% 12/10/22 (h) | 1,745 | 1,536 | ||
Development Bank of Philippines 8.375% (i)(m) | 6,540 | 6,998 | ||
Export-Import Bank of Korea 6% 6/4/16 (Reg. S) | INR | 145,600 | 2,399 | |
Finansbank A/S: | ||||
5.15% 11/1/17 (h) | 9,055 | 8,783 | ||
5.5% 5/11/16 (Reg. S) | 2,190 | 2,168 | ||
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (h) | 6,095 | 6,339 | ||
HSBC SFH France SA 2% 10/16/23 | EUR | 5,200 | 6,553 | |
HSBK (Europe) BV 7.25% 5/3/17 (h) | 3,970 | 4,089 | ||
JSC Kazkommertsbank BV 8% 11/3/15 (h) | 3,060 | 3,014 | ||
JSC Oschadbank 8.25% 3/10/16 (Issued by SSB #1 PLC for JSC Oschadbank) | 950 | 888 | ||
Kazkommerts International BV 7.875% 4/7/14 (Reg. S) | 3,325 | 3,325 | ||
Magyar Export-Import Bank 5.5% 2/12/18 (h) | 2,860 | 2,824 | ||
RSHB Capital SA 6% 6/3/21 (h)(m) | 2,155 | 2,136 | ||
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) (f) | 3,550 | 3,000 | ||
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel Communications) | 10,285 | 11,211 | ||
Vnesheconombank Via VEB Finance PLC: | ||||
6.025% 7/5/22 (h) | 4,350 | 4,475 | ||
6.8% 11/22/25 (h) | 4,640 | 4,959 | ||
6.902% 7/9/20 (h) | 7,355 | 8,072 | ||
| 174,520 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Consumer Finance - 2.6% | ||||
Ally Financial, Inc.: | ||||
5.5% 2/15/17 | $ 7,530 | $ 7,869 | ||
7.5% 9/15/20 | 47,655 | 54,922 | ||
8% 3/15/20 | 39,660 | 46,055 | ||
Ford Motor Credit Co. LLC: | ||||
4.25% 9/20/22 | 5,147 | 5,056 | ||
5.75% 2/1/21 | 2,370 | 2,567 | ||
5.875% 8/2/21 | 17,745 | 19,346 | ||
General Motors Acceptance Corp. 8% 11/1/31 | 27,890 | 33,329 | ||
GMAC LLC 8% 11/1/31 | 64,378 | 77,575 | ||
SLM Corp.: | ||||
5.5% 1/25/23 | 19,170 | 18,073 | ||
6% 1/25/17 | 9,240 | 9,517 | ||
7.25% 1/25/22 | 8,430 | 8,788 | ||
8% 3/25/20 | 7,185 | 7,742 | ||
| 290,839 | |||
Diversified Financial Services - 1.5% | ||||
Aquarius Investments Luxemburg 8.25% 2/18/16 | 5,805 | 6,037 | ||
Barry Callebaut Services NV 5.5% 6/15/23 (h) | 5,915 | 5,811 | ||
Biz Finance PLC 8.375% 4/27/15 (Reg. S) | 7,200 | 6,966 | ||
Canada Housing Trust No. 1 2.35% 9/15/23 (h) | CAD | 20,350 | 18,338 | |
CDW LLC/CDW Finance Corp. 8% 12/15/18 | 1,590 | 1,725 | ||
Citigroup, Inc. 5.9% (i)(m) | 13,975 | 13,835 | ||
FMS Wertmanagement AoeR 3% 9/8/21 | EUR | 11,500 | 16,339 | |
General Motors Financial Co., Inc.: | ||||
3.25% 5/15/18 (h) | 2,880 | 2,801 | ||
4.25% 5/15/23 (h) | 2,520 | 2,347 | ||
6.75% 6/1/18 | 6,140 | 6,677 | ||
GTB Finance BV 7.5% 5/19/16 (h) | 4,175 | 4,342 | ||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.625% 4/15/21 (h) | 4,195 | 4,447 | ||
Icahn Enterprises LP/Icahn Enterprises Finance Corp.: | ||||
7.75% 1/15/16 | 6,865 | 7,088 | ||
8% 1/15/18 | 9,727 | 10,213 | ||
Indo Energy Finance BV 7% 5/7/18 (h) | 6,210 | 6,086 | ||
Landry's Acquisition Co. 9.375% 5/1/20 (h) | 905 | 953 | ||
Magnesita Finance Ltd. 8.625% (h)(i) | 2,595 | 2,569 | ||
TMK Capital SA 7.75% 1/27/18 | 7,425 | 7,388 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Diversified Financial Services - continued | ||||
Transportation Union LLC/Transportation Union Financing Corp. 11.375% 6/15/18 | $ 5,625 | $ 6,173 | ||
Unicredit Luxembourg SA 5.1875% 10/13/15 (h) | 3,160 | 3,223 | ||
Unite (USAF) II PLC 3.374% 6/30/28 | GBP | 4,900 | 7,229 | |
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (h)(m) | 25,860 | 26,054 | ||
Zhaikmunai Finance BV 10.5% 10/19/15 (h) | 6,320 | 6,630 | ||
| 173,271 | |||
Insurance - 0.0% | ||||
CNO Financial Group, Inc. 6.375% 10/1/20 (h) | 2,460 | 2,614 | ||
Real Estate Investment Trusts - 0.4% | ||||
Corrections Corp. of America: | ||||
4.125% 4/1/20 (h) | 4,935 | 4,812 | ||
4.625% 5/1/23 (h) | 4,935 | 4,836 | ||
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21 | 7,955 | 8,432 | ||
Omega Healthcare Investors, Inc.: | ||||
5.875% 3/15/24 | 13,845 | 14,295 | ||
7.5% 2/15/20 | 4,860 | 5,200 | ||
The Geo Group, Inc.: | ||||
5.125% 4/1/23 (h) | 1,910 | 1,834 | ||
7.75% 10/15/17 | 2,845 | 2,973 | ||
| 42,382 | |||
Real Estate Management & Development - 0.4% | ||||
CB Richard Ellis Services, Inc.: | ||||
5% 3/15/23 | 7,430 | 7,021 | ||
6.625% 10/15/20 | 5,565 | 5,871 | ||
Realogy Corp.: | ||||
7.625% 1/15/20 (h) | 6,330 | 6,868 | ||
7.875% 2/15/19 (h) | 5,680 | 5,992 | ||
9% 1/15/20 (h) | 3,740 | 4,170 | ||
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: | ||||
5.25% 4/15/21 (h) | 7,370 | 7,002 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate Management & Development - continued | ||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc.: - continued | ||||
7.75% 4/15/20 (h) | $ 2,754 | $ 2,967 | ||
Tesco Property Finance 5 PLC 5.6611% 10/13/41 | GBP | 2,488 | 3,951 | |
| 43,842 | |||
TOTAL FINANCIALS | 728,327 | |||
HEALTH CARE - 4.1% | ||||
Health Care Equipment & Supplies - 0.0% | ||||
DJO Finance LLC/DJO Finance Corp. 8.75% 3/15/18 | 2,270 | 2,463 | ||
Health Care Providers & Services - 3.4% | ||||
Community Health Systems, Inc.: | ||||
5.125% 8/15/18 | 4,870 | 4,943 | ||
7.125% 7/15/20 | 16,025 | 16,586 | ||
8% 11/15/19 | 14,495 | 15,401 | ||
CRC Health Group, Inc. 10.75% 2/1/16 | 1,880 | 1,910 | ||
DaVita, Inc.: | ||||
5.75% 8/15/22 | 9,960 | 9,935 | ||
6.375% 11/1/18 | 12,740 | 13,298 | ||
6.625% 11/1/20 | 10,185 | 10,771 | ||
Fresenius Medical Care U.S. Finance II, Inc.: | ||||
5.625% 7/31/19 (h) | 15,215 | 15,748 | ||
5.875% 1/31/22 (h) | 16,815 | 17,572 | ||
Gentiva Health Services, Inc. 11.5% 9/1/18 | 5,710 | 5,796 | ||
HCA Holdings, Inc.: | ||||
6.25% 2/15/21 | 5,850 | 5,952 | ||
7.75% 5/15/21 | 38,425 | 41,211 | ||
HCA, Inc.: | ||||
4.75% 5/1/23 | 6,115 | 5,855 | ||
5.875% 3/15/22 | 19,190 | 19,694 | ||
5.875% 5/1/23 | 20,650 | 20,598 | ||
6.5% 2/15/20 | 9,920 | 10,676 | ||
7.25% 9/15/20 | 38,835 | 41,651 | ||
7.5% 2/15/22 | 12,110 | 13,336 | ||
8% 10/1/18 | 1,365 | 1,568 | ||
Health Management Associates, Inc. 7.375% 1/15/20 | 2,985 | 3,254 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HealthSouth Corp.: | ||||
5.75% 11/1/24 | $ 3,000 | $ 2,918 | ||
8.125% 2/15/20 | 7,395 | 7,987 | ||
IASIS Healthcare LLC/IASIS Capital Corp. 8.375% 5/15/19 | 4,035 | 4,073 | ||
InVentiv Health, Inc. 11% 8/15/18 (h) | 905 | 769 | ||
ResCare, Inc. 10.75% 1/15/19 | 2,735 | 3,063 | ||
Rotech Healthcare, Inc. 10.5% 3/15/18 (d) | 2,475 | 1,262 | ||
Sabra Health Care LP/Sabra Capital Corp.: | ||||
5.375% 6/1/23 | 3,075 | 2,990 | ||
8.125% 11/1/18 | 2,980 | 3,196 | ||
Tenet Healthcare Corp.: | ||||
4.375% 10/1/21 (h) | 9,740 | 8,985 | ||
4.5% 4/1/21 (h) | 4,300 | 3,988 | ||
4.75% 6/1/20 | 3,960 | 3,816 | ||
6.25% 11/1/18 | 38,116 | 40,117 | ||
6.75% 2/1/20 | 4,290 | 4,161 | ||
6.875% 11/15/31 | 11,540 | 9,924 | ||
8% 8/1/20 | 7,245 | 7,490 | ||
UHS Escrow Corp. 7% 10/1/18 | 1,020 | 1,066 | ||
| 381,560 | |||
Health Care Technology - 0.1% | ||||
ConvaTec Healthcare ESA 10.5% 12/15/18 (h) | 4,860 | 5,310 | ||
Thomson Reuters Healthcare, Inc. 10.625% 6/1/20 (h) | 4,285 | 4,714 | ||
| 10,024 | |||
Life Sciences Tools & Services - 0.1% | ||||
Jaguar Holding Co. II/Jaguar Merger Sub, Inc. 9.5% 12/1/19 (h) | 3,970 | 4,367 | ||
Pharmaceuticals - 0.5% | ||||
Valeant Pharmaceuticals International: | ||||
6.75% 8/15/21 (h) | 9,090 | 9,101 | ||
6.875% 12/1/18 (h) | 8,900 | 9,123 | ||
VPI Escrow Corp. 6.375% 10/15/20 (h) | 18,005 | 17,780 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Pharmaceuticals - continued | ||||
VPII Escrow Corp.: | ||||
6.75% 8/15/18 (h)(j) | $ 14,250 | $ 14,624 | ||
7.5% 7/15/21 (h)(j) | 7,215 | 7,495 | ||
| 58,123 | |||
TOTAL HEALTH CARE | 456,537 | |||
INDUSTRIALS - 4.2% | ||||
Aerospace & Defense - 0.3% | ||||
Alion Science & Technology Corp.: | ||||
10.25% 2/1/15 | 800 | 468 | ||
12% 11/1/14 pay-in-kind | 1,521 | 1,535 | ||
Bombardier, Inc. 6.125% 1/15/23 (h) | 4,810 | 4,786 | ||
GenCorp, Inc. 7.125% 3/15/21 (h) | 1,340 | 1,387 | ||
Huntington Ingalls Industries, Inc.: | ||||
6.875% 3/15/18 | 15,595 | 16,667 | ||
7.125% 3/15/21 | 1,675 | 1,801 | ||
Triumph Group, Inc. 4.875% 4/1/21 (h) | 4,990 | 4,965 | ||
| 31,609 | |||
Airlines - 0.7% | ||||
Air Canada: | ||||
4.125% 5/15/25 (h) | 2,630 | 2,623 | ||
5.375% 11/15/22 (h) | 1,725 | 1,721 | ||
9.25% 8/1/15 (h) | 7,170 | 7,511 | ||
Aviation Capital Group Corp. 4.625% 1/31/18 (h) | 3,555 | 3,499 | ||
Continental Airlines, Inc.: | ||||
pass-thru trust certificates 6.903% 4/19/22 | 766 | 812 | ||
6.125% 4/29/18 (h) | 1,720 | 1,737 | ||
7.25% 11/10/19 | 4,312 | 5,045 | ||
Delta Air Lines, Inc. pass-thru trust certificates: | ||||
6.821% 8/10/22 | 8,835 | 9,988 | ||
8.021% 8/10/22 | 3,184 | 3,478 | ||
Hawaiian Airlines pass-thru certificates: | ||||
Series 2013-1 Class A, 3.9% 1/15/26 | 3,050 | 2,875 | ||
Series 2013-1 Class B, 4.95% 1/15/22 | 2,440 | 2,300 | ||
Northwest Airlines, Inc. pass-thru trust certificates: | ||||
7.027% 11/1/19 | 1,960 | 2,146 | ||
8.028% 11/1/17 | 532 | 561 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
U.S. Airways Group, Inc. 6.125% 6/1/18 | $ 7,310 | $ 6,890 | ||
U.S. Airways pass-thru certificates: | ||||
Series 2011-1 Class A, 7.125% 4/22/25 | 4,712 | 5,324 | ||
Series 2012-2: | ||||
Class A, 4.625% 12/3/26 | 2,400 | 2,352 | ||
Class B, 6.75% 12/3/22 | 1,875 | 1,950 | ||
U.S. Airways pass-thru Trust Series 2013-1: | ||||
Class A, 3.95% 5/15/27 | 5,585 | 5,376 | ||
Class B, 5.375% 5/15/23 | 2,310 | 2,270 | ||
United Air Lines, Inc. pass-thru trust certificates 9.75% 1/15/17 | 6,049 | 6,911 | ||
United Continental Holdings, Inc. 6.375% 6/1/18 | 960 | 943 | ||
| 76,312 | |||
Building Products - 0.1% | ||||
Gibraltar Industries, Inc. 6.25% 2/1/21 (h) | 770 | 778 | ||
HD Supply, Inc.: | ||||
8.125% 4/15/19 | 2,405 | 2,633 | ||
11% 4/15/20 | 4,560 | 5,312 | ||
Nortek, Inc. 8.5% 4/15/21 (h) | 2,705 | 2,867 | ||
| 11,590 | |||
Commercial Services & Supplies - 0.5% | ||||
ADS Tactical, Inc. 11% 4/1/18 (h) | 1,640 | 1,583 | ||
American Reprographics Co. 10.5% 12/15/16 | 4,570 | 4,524 | ||
Bakercorp International, Inc. 8.25% 6/1/19 | 2,915 | 2,828 | ||
Clean Harbors, Inc.: | ||||
5.125% 6/1/21 | 3,050 | 3,073 | ||
5.25% 8/1/20 | 3,395 | 3,446 | ||
Covanta Holding Corp. 7.25% 12/1/20 | 4,940 | 5,180 | ||
Garda World Security Corp. 9.75% 3/15/17 (h) | 2,260 | 2,390 | ||
Iron Mountain, Inc. 5.75% 8/15/24 | 3,800 | 3,563 | ||
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (h) | 885 | 887 | ||
R.R. Donnelley & Sons Co. 7.875% 3/15/21 | 4,975 | 5,075 | ||
Tervita Corp.: | ||||
8% 11/15/18 (h) | 4,295 | 4,316 | ||
9.75% 11/1/19 (h) | 4,890 | 4,548 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
United Rentals North America, Inc. 8.375% 9/15/20 | $ 6,995 | $ 7,555 | ||
WP Rocket Merger Sub, Inc. 10.125% 7/15/19 (h) | 3,355 | 2,785 | ||
| 51,753 | |||
Construction & Engineering - 0.2% | ||||
MasTec, Inc. 4.875% 3/15/23 | 5,255 | 4,992 | ||
Odebrecht Finance Ltd. 7.5% (h)(i) | 12,845 | 12,717 | ||
| 17,709 | |||
Electrical Equipment - 0.1% | ||||
Sensata Technologies BV: | ||||
4.875% 10/15/23 (h) | 2,505 | 2,411 | ||
6.5% 5/15/19 (h) | 5,310 | 5,476 | ||
| 7,887 | |||
Industrial Conglomerates - 0.0% | ||||
Siemens Financieringsmaatschappij NV 2.875% 3/10/28 | EUR | 3,505 | 4,477 | |
Machinery - 0.2% | ||||
Schaeffler Finance BV 4.75% 5/15/21 (h) | 4,880 | 4,636 | ||
Terex Corp. 6% 5/15/21 | 12,145 | 12,266 | ||
TRAC Intermodal LLC/TRAC Intermodal Corp. 11% 8/15/19 (h) | 3,460 | 3,806 | ||
| 20,708 | |||
Marine - 0.2% | ||||
Navios Maritime Acquisition Corp./Navios Acquisition Finance US, Inc. 8.625% 11/1/17 | 2,585 | 2,656 | ||
Navios Maritime Holdings, Inc. 8.875% 11/1/17 | 11,300 | 11,724 | ||
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc.: | ||||
9.25% 4/15/19 | 1,320 | 1,416 | ||
9.25% 4/15/19 (h) | 1,385 | 1,485 | ||
Ultrapetrol (Bahamas) Ltd.: | ||||
8.875% 6/15/21 (h) | 3,240 | 3,240 | ||
9% 11/24/14 | 2,050 | 2,053 | ||
| 22,574 | |||
Road & Rail - 0.2% | ||||
JSC Georgian Railway 7.75% 7/11/22 (h) | 2,575 | 2,781 | ||
Kansas City Southern de Mexico SA de CV 6.125% 6/15/21 | 439 | 498 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
Kenan Advantage Group, Inc. 8.375% 12/15/18 (h) | $ 4,670 | $ 4,857 | ||
NESCO LLC/NESCO Holdings Corp. 11.75% 4/15/17 (h) | 3,485 | 3,781 | ||
Shortline PLC 9.5% 5/21/18 (h) | 1,900 | 1,734 | ||
Swift Services Holdings, Inc. 10% 11/15/18 | 5,120 | 5,632 | ||
Western Express, Inc. 12.5% 4/15/15 (h) | 4,010 | 2,647 | ||
| 21,930 | |||
Trading Companies & Distributors - 1.7% | ||||
Ahern Rentals, Inc. 9.5% 6/15/18 (h) | 1,185 | 1,179 | ||
Aircastle Ltd.: | ||||
6.25% 12/1/19 | 5,850 | 6,077 | ||
6.75% 4/15/17 | 4,635 | 4,867 | ||
7.625% 4/15/20 | 3,750 | 4,125 | ||
9.75% 8/1/18 | 9,000 | 9,878 | ||
International Lease Finance Corp.: | ||||
3.875% 4/15/18 | 7,100 | 6,674 | ||
4.625% 4/15/21 | 6,645 | 6,147 | ||
5.75% 5/15/16 | 7,580 | 7,789 | ||
5.875% 4/1/19 | 19,260 | 19,453 | ||
6.25% 5/15/19 | 19,100 | 19,625 | ||
6.75% 9/1/16 (h) | 6,715 | 7,252 | ||
7.125% 9/1/18 (h) | 27,064 | 29,906 | ||
8.25% 12/15/20 | 21,490 | 24,149 | ||
8.625% 1/15/22 | 21,585 | 24,823 | ||
8.75% 3/15/17 | 16,360 | 18,282 | ||
NES Rentals Holdings, Inc. 7.875% 5/1/18 (h) | 1,505 | 1,460 | ||
| 191,686 | |||
Transportation Infrastructure - 0.0% | ||||
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (h) | 6,835 | 6,288 | ||
TOTAL INDUSTRIALS | 464,523 | |||
INFORMATION TECHNOLOGY - 1.2% | ||||
Communications Equipment - 0.2% | ||||
Avaya, Inc. 10.5% 3/1/21 (h) | 5,140 | 3,804 | ||
Brocade Communications Systems, Inc.: | ||||
4.625% 1/15/23 (h) | 3,330 | 3,122 | ||
6.875% 1/15/20 | 765 | 811 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Communications Equipment - continued | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | $ 9,235 | $ 6,996 | ||
6.5% 1/15/28 | 4,045 | 3,034 | ||
| 17,767 | |||
Computers & Peripherals - 0.1% | ||||
Seagate HDD Cayman: | ||||
4.75% 6/1/23 (h) | 9,740 | 9,083 | ||
7% 11/1/21 | 6,295 | 6,736 | ||
| 15,819 | |||
Electronic Equipment & Components - 0.1% | ||||
Atkore International, Inc. 9.875% 1/1/18 | 2,155 | 2,274 | ||
Flextronics International Ltd.: | ||||
4.625% 2/15/20 (h) | 4,785 | 4,641 | ||
5% 2/15/23 (h) | 2,495 | 2,414 | ||
Jabil Circuit, Inc. 4.7% 9/15/22 | 2,650 | 2,551 | ||
| 11,880 | |||
Internet Software & Services - 0.1% | ||||
Cyrusone LP/Cyrusone Finance Corp. 6.375% 11/15/22 (h) | 3,595 | 3,667 | ||
IAC/InterActiveCorp 4.75% 12/15/22 (h) | 6,150 | 5,812 | ||
j2 Global, Inc. 8% 8/1/20 | 3,460 | 3,616 | ||
VeriSign, Inc. 4.625% 5/1/23 (h) | 4,375 | 4,244 | ||
| 17,339 | |||
IT Services - 0.4% | ||||
Audatex North America, Inc. 6% 6/15/21 (h) | 7,195 | 7,213 | ||
Ceridian Corp. 11% 3/15/21 (h) | 2,360 | 2,608 | ||
Fidelity National Information Services, Inc. 7.875% 7/15/20 | 3,910 | 4,301 | ||
First Data Corp. 11.75% 8/15/21 (h) | 7,305 | 6,575 | ||
NeuStar, Inc. 4.5% 1/15/23 (h) | 1,850 | 1,748 | ||
WideOpenWest Finance LLC/WideOpenWest Capital Corp.: | ||||
10.25% 7/15/19 | 11,774 | 12,510 | ||
13.375% 10/15/19 | 8,365 | 9,243 | ||
| 44,198 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - 0.2% | ||||
NXP BV/NXP Funding LLC: | ||||
3.75% 6/1/18 (h) | $ 5,520 | $ 5,410 | ||
5.75% 2/15/21 (h) | 5,005 | 5,068 | ||
5.75% 3/15/23 (h) | 3,030 | 3,068 | ||
9.75% 8/1/18 (h) | 3,382 | 3,784 | ||
Spansion LLC 11.25% 1/15/16 (d)(h) | 4,255 | 0 | ||
STATS ChipPAC Ltd. 4.5% 3/20/18 (h) | 955 | 912 | ||
| 18,242 | |||
Software - 0.1% | ||||
Nuance Communications, Inc. 5.375% 8/15/20 (h) | 2,445 | 2,414 | ||
SAP AG 2.125% 11/13/19 | EUR | 8,600 | 11,097 | |
| 13,511 | |||
TOTAL INFORMATION TECHNOLOGY | 138,756 | |||
MATERIALS - 3.6% | ||||
Chemicals - 1.4% | ||||
Axiall Corp. 4.875% 5/15/23 (h) | 1,585 | 1,506 | ||
Eagle Spinco, Inc. 4.625% 2/15/21 (h) | 2,690 | 2,576 | ||
Hexion U.S. Finance Corp. 6.625% 4/15/20 (h) | 11,765 | 11,706 | ||
INEOS Group Holdings SA 6.125% 8/15/18 (h) | 4,895 | 4,699 | ||
LyondellBasell Industries NV: | ||||
5% 4/15/19 | 7,200 | 7,834 | ||
5.75% 4/15/24 | 7,200 | 7,918 | ||
6% 11/15/21 | 20,050 | 22,530 | ||
Momentive Performance Materials, Inc.: | ||||
9% 1/15/21 | 2,205 | 1,891 | ||
10% 10/15/20 | 17,435 | 18,132 | ||
MPM Escrow LLC/MPM Finance Escrow Corp. 8.875% 10/15/20 | 34,440 | 35,990 | ||
Nufarm Australia Ltd. 6.375% 10/15/19 (h) | 2,020 | 2,020 | ||
Orion Engineered Carbons Finance & Co. SCA 9.25% 8/1/19 pay-in-kind (h)(m) | 7,545 | 7,545 | ||
OXEA Finance & CY S.C.A. 9.5% 7/15/17 (h) | 3,202 | 3,394 | ||
PetroLogistics LP/PetroLogistics Finance Corp. 6.25% 4/1/20 (h) | 3,380 | 3,312 | ||
PolyOne Corp.: | ||||
5.25% 3/15/23 (h) | 3,085 | 3,116 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
PolyOne Corp.: - continued | ||||
7.375% 9/15/20 | $ 1,845 | $ 2,011 | ||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp. 6.5% 4/15/21 (h) | 2,120 | 2,104 | ||
Taminco Global Chemical Corp. 9.75% 3/31/20 (h) | 1,245 | 1,387 | ||
TPC Group, Inc. 8.75% 12/15/20 (h) | 7,335 | 7,445 | ||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (h) | 9,985 | 9,586 | ||
U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375% 5/1/21 (h) | 2,450 | 2,517 | ||
| 159,219 | |||
Construction Materials - 0.3% | ||||
CEMEX Espana SA (Luxembourg) 9.25% 5/12/20 (h) | 2,860 | 3,003 | ||
CEMEX Finance LLC 9.375% 10/12/22 (h) | 2,430 | 2,643 | ||
CEMEX SA de CV: | ||||
5.2756% 9/30/15 (h)(m) | 5,330 | 5,410 | ||
9.5% 6/15/18 (h) | 8,990 | 9,709 | ||
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (h) | 3,215 | 3,279 | ||
Summit Materials LLC/Summit Materials Finance Corp. 10.5% 1/31/20 (h) | 3,310 | 3,542 | ||
| 27,586 | |||
Containers & Packaging - 0.4% | ||||
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc.: | ||||
4.875% 11/15/22 (h) | 1,145 | 1,065 | ||
7% 11/15/20 (h) | 3,005 | 2,885 | ||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc. 10.125% 7/15/20 (h) | 2,060 | 2,163 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 11,295 | 12,425 | ||
7.5% 12/15/96 | 3,685 | 3,482 | ||
Graphic Packaging International, Inc. 4.75% 4/15/21 | 1,555 | 1,493 | ||
Rock-Tenn Co. 4.9% 3/1/22 | 1,380 | 1,424 | ||
Sappi Papier Holding GmbH: | ||||
7.75% 7/15/17 (h) | 2,600 | 2,743 | ||
8.375% 6/15/19 (h) | 3,515 | 3,708 | ||
Sealed Air Corp. 5.25% 4/1/23 (h) | 2,540 | 2,470 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Containers & Packaging - continued | ||||
Silgan Holdings, Inc. 5% 4/1/20 | $ 9,600 | $ 9,456 | ||
Tekni-Plex, Inc. 9.75% 6/1/19 (h) | 3,480 | 3,698 | ||
| 47,012 | |||
Metals & Mining - 1.4% | ||||
Aleris International, Inc.: | ||||
6% 6/1/20 (h) | 33 | 66 | ||
9% 12/15/14 pay-in-kind (d)(m) | 2,790 | 0 | ||
Alrosa Finance SA 7.75% 11/3/20 (h) | 3,935 | 4,210 | ||
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (h) | 1,040 | 1,056 | ||
Edgen Murray Corp. 8.75% 11/1/20 (h) | 5,920 | 5,861 | ||
EVRAZ Group SA: | ||||
6.5% 4/22/20 (h) | 2,625 | 2,369 | ||
8.25% 11/10/15 (h) | 8,815 | 9,300 | ||
9.5% 4/24/18 (Reg. S) | 3,150 | 3,339 | ||
FMG Resources (August 2006) Pty Ltd.: | ||||
6% 4/1/17 (h) | 6,325 | 6,151 | ||
6.875% 2/1/18 (h) | 7,685 | 7,589 | ||
6.875% 4/1/22 (h) | 9,290 | 9,011 | ||
8.25% 11/1/19 (h) | 20,335 | 20,894 | ||
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (h) | 4,665 | 3,825 | ||
IAMGOLD Corp. 6.75% 10/1/20 (h) | 18,720 | 15,818 | ||
Inmet Mining Corp. 7.5% 6/1/21 (h) | 3,015 | 2,887 | ||
Metinvest BV 10.25% 5/20/15 (h) | 5,070 | 5,197 | ||
Midwest Vanadium Pty Ltd. 11.5% 2/15/18 (h) | 2,265 | 1,653 | ||
Mirabela Nickel Ltd. 8.75% 4/15/18 (h) | 1,135 | 897 | ||
Mongolian Mining Corp. 8.875% 3/29/17 (h) | 1,960 | 1,666 | ||
New Gold, Inc.: | ||||
6.25% 11/15/22 (h) | 4,520 | 4,305 | ||
7% 4/15/20 (h) | 1,480 | 1,487 | ||
Nord Gold NV 6.375% 5/7/18 (h) | 3,625 | 3,081 | ||
Polyus Gold International Ltd. 5.625% 4/29/20 (h) | 4,865 | 4,622 | ||
Prince Mineral Holding Corp. 11.5% 12/15/19 (h) | 1,685 | 1,803 | ||
Rain CII Carbon LLC/CII Carbon Corp. 8% 12/1/18 (h) | 3,435 | 3,521 | ||
RathGibson, Inc. 11.25% 2/15/14 (d) | 5,755 | 0 | ||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: | ||||
9% 10/15/17 (h) | 7,005 | 7,075 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Ryerson, Inc./Joseph T Ryerson & Son, Inc.: - continued | ||||
11.25% 10/15/18 (h) | $ 10,610 | $ 10,690 | ||
Severstal Columbus LLC 10.25% 2/15/18 | 5,200 | 5,499 | ||
Southern Copper Corp.: | ||||
6.75% 4/16/40 | 2,685 | 2,640 | ||
7.5% 7/27/35 | 3,875 | 4,146 | ||
Steel Dynamics, Inc. 5.25% 4/15/23 (h) | 2,365 | 2,330 | ||
| 152,988 | |||
Paper & Forest Products - 0.1% | ||||
Boise Cascade Co. 6.375% 11/1/20 | 1,410 | 1,428 | ||
Clearwater Paper Corp. 7.125% 11/1/18 | 1,225 | 1,323 | ||
Emerald Plantation Holdings Ltd. 6% 1/30/20 | 950 | 547 | ||
NewPage Corp.: | ||||
6.5241% 5/1/49 (d)(m) | 1,770 | 0 | ||
11.375% 12/31/14 (d) | 4,404 | 0 | ||
Sino-Forest Corp. 6.25% 10/21/17 (d)(h) | 5,480 | 0 | ||
Verso Paper Holdings LLC/Verso Paper, Inc. 11.75% 1/15/19 | 7,010 | 7,220 | ||
| 10,518 | |||
TOTAL MATERIALS | 397,323 | |||
TELECOMMUNICATION SERVICES - 4.7% | ||||
Diversified Telecommunication Services - 1.8% | ||||
Alestra SA de RL de CV 11.75% 8/11/14 | 3,155 | 3,407 | ||
Altice Financing SA 7.875% 12/15/19 (h) | 4,820 | 5,037 | ||
Altice Finco SA 9.875% 12/15/20 (h) | 5,655 | 6,051 | ||
Citizens Communications Co.: | ||||
7.875% 1/15/27 | 4,895 | 4,742 | ||
9% 8/15/31 | 3,655 | 3,618 | ||
Consolidated Communications, Inc. 10.875% 6/1/20 | 2,395 | 2,682 | ||
Eileme 1 AB 14.25% 8/15/20 pay-in-kind (h) | 5,424 | 5,681 | ||
Eileme 2 AB 11.625% 1/31/20 (h) | 9,395 | 10,757 | ||
FairPoint Communications, Inc. 8.75% 8/15/19 (h) | 4,990 | 4,940 | ||
Frontier Communications Corp.: | ||||
7.625% 4/15/24 | 8,475 | 8,496 | ||
8.5% 4/15/20 | 12,120 | 13,378 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
Frontier Communications Corp.: - continued | ||||
8.75% 4/15/22 | $ 6,585 | $ 7,178 | ||
Indosat Palapa Co. BV 7.375% 7/29/20 (h) | 2,845 | 3,001 | ||
Intelsat Luxembourg SA 7.75% 6/1/21 (h) | 1,280 | 1,293 | ||
Level 3 Communications, Inc. 8.875% 6/1/19 | 1,640 | 1,689 | ||
Level 3 Financing, Inc.: | ||||
8.125% 7/1/19 | 3,845 | 3,999 | ||
8.625% 7/15/20 | 8,760 | 9,286 | ||
Lynx I Corp. 5.375% 4/15/21 (h) | 3,220 | 3,220 | ||
Lynx II Corp. 6.375% 4/15/23 (h) | 1,820 | 1,834 | ||
SBA Telecommunications, Inc. 5.75% 7/15/20 (h) | 3,605 | 3,614 | ||
Sprint Capital Corp.: | ||||
6.875% 11/15/28 | 34,365 | 32,990 | ||
8.75% 3/15/32 | 32,226 | 35,449 | ||
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (h) | 2,585 | 2,663 | ||
Telenor ASA 2.5% 5/22/25 (Reg. S) | EUR | 9,850 | 12,267 | |
TW Telecom Holdings, Inc. 5.375% 10/1/22 | 3,935 | 3,905 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 2,535 | 2,453 | ||
7.25% 9/15/25 | 535 | 598 | ||
7.25% 10/15/35 | 1,455 | 1,462 | ||
Virgin Media Finance PLC 4.875% 2/15/22 | 5,445 | 5,009 | ||
| 200,699 | |||
Wireless Telecommunication Services - 2.9% | ||||
Crown Castle International Corp. 5.25% 1/15/23 | 8,270 | 7,939 | ||
Digicel Group Ltd.: | ||||
6% 4/15/21 (h) | 28,475 | 27,194 | ||
7% 2/15/20 (h) | 980 | 975 | ||
8.25% 9/1/17 (h) | 10,205 | 10,613 | ||
8.25% 9/30/20 (h) | 47,595 | 49,261 | ||
10.5% 4/15/18 (h) | 34,610 | 36,687 | ||
Intelsat Jackson Holdings SA: | ||||
5.5% 8/1/23 (h) | 19,610 | 18,384 | ||
6.625% 12/15/22 (h) | 27,585 | 26,688 | ||
7.25% 4/1/19 | 11,235 | 11,684 | ||
7.25% 10/15/20 | 15,330 | 16,097 | ||
7.5% 4/1/21 | 27,065 | 28,181 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Intelsat Jackson Holdings SA: - continued | ||||
8.5% 11/1/19 | $ 4,220 | $ 4,526 | ||
MetroPCS Wireless, Inc.: | ||||
6.25% 4/1/21 (h) | 8,355 | 8,501 | ||
6.625% 4/1/23 (h) | 8,355 | 8,501 | ||
7.875% 9/1/18 | 3,933 | 4,189 | ||
Millicom International Cellular SA 4.75% 5/22/20 (h) | 2,560 | 2,445 | ||
MTS International Funding Ltd.: | ||||
5% 5/30/23 (h) | 6,050 | 5,793 | ||
8.625% 6/22/20 (h) | 8,840 | 10,387 | ||
NII Capital Corp. 7.625% 4/1/21 | 6,430 | 4,999 | ||
NII International Telecom S.C.A. 11.375% 8/15/19 (h) | 4,870 | 5,211 | ||
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (h) | 11,684 | 11,626 | ||
Sprint Nextel Corp. 6% 11/15/22 | 7,305 | 7,141 | ||
Telemovil Finance Co. Ltd. 8% 10/1/17 (h) | 5,975 | 6,319 | ||
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel Communications) (h) | 4,465 | 4,766 | ||
VimpelCom Holdings BV 5.2% 2/13/19 (h) | 2,790 | 2,706 | ||
| 320,813 | |||
TOTAL TELECOMMUNICATION SERVICES | 521,512 | |||
UTILITIES - 3.1% | ||||
Electric Utilities - 0.2% | ||||
Aguila 3 SA 7.875% 1/31/18 (h) | 2,890 | 2,977 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (h) | 2,355 | 2,568 | ||
Comision Federal de Electricid 5.75% 2/14/42 (h) | 1,600 | 1,492 | ||
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (h) | 7,849 | 3,826 | ||
Hrvatska Elektroprivreda 6% 11/9/17 (h) | 1,675 | 1,675 | ||
Majapahit Holding BV 7.75% 1/20/20 (h) | 2,110 | 2,342 | ||
Mirant Americas Generation LLC 9.125% 5/1/31 | 4,075 | 4,360 | ||
RusHydro Finance Ltd. 7.875% 10/28/15 | RUB | 107,800 | 3,240 | |
| 22,480 | |||
Gas Utilities - 0.3% | ||||
Intergas Finance BV 6.375% 5/14/17 (Reg. S) | 1,985 | 2,134 | ||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | $ 6,645 | $ 8,291 | ||
8% 3/1/32 | 3,550 | 4,709 | ||
Star Gas Partners LP/Star Gas Finance Co. 8.875% 12/1/17 | 2,435 | 2,508 | ||
Suburban Propane Partners LP/Suburban Energy Finance Corp. 7.375% 8/1/21 | 3,702 | 3,850 | ||
Transportadora de Gas del Sur SA 7.875% 5/14/17 (h) | 15,285 | 13,451 | ||
| 34,943 | |||
Independent Power Producers & Energy Traders - 2.6% | ||||
Atlantic Power Corp. 9% 11/15/18 | 9,120 | 9,211 | ||
Calpine Corp.: | ||||
7.5% 2/15/21 (h) | 5,693 | 6,077 | ||
7.875% 7/31/20 (h) | 15,241 | 16,422 | ||
7.875% 1/15/23 (h) | 24,196 | 26,132 | ||
Energy Future Holdings Corp.: | ||||
10.875% 11/1/17 | 10,985 | 8,980 | ||
11.25% 11/1/17 pay-in-kind (m) | 8,822 | 7,212 | ||
Energy Future Intermediate Holding Co. LLC/Energy Future Intermediate Holding Finance, Inc.: | ||||
6.875% 8/15/17 (h) | 7,430 | 7,541 | ||
10% 12/1/20 | 55,228 | 60,337 | ||
10% 12/1/20 (h) | 11,210 | 12,247 | ||
11% 10/1/21 | 30,866 | 33,104 | ||
12.25% 12/1/18 pay-in-kind (h) | 7,960 | 6,613 | ||
12.25% 3/1/22 (h) | 33,710 | 37,250 | ||
GenOn Energy, Inc. 9.875% 10/15/20 | 11,570 | 12,727 | ||
Listrindo Capital BV 6.95% 2/21/19 (h) | 2,440 | 2,525 | ||
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (h) | 2,880 | 3,485 | ||
The AES Corp. 4.875% 5/15/23 | 5,485 | 5,101 | ||
TXU Corp.: | ||||
5.55% 11/15/14 | 1,864 | 1,435 | ||
6.5% 11/15/24 | 15,240 | 10,439 | ||
6.55% 11/15/34 | 29,755 | 20,085 | ||
| 286,923 | |||
Corporate Bonds - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Multi-Utilities - 0.0% | ||||
Puget Energy, Inc. 5.625% 7/15/22 | $ 3,690 | $ 3,912 | ||
TOTAL UTILITIES | 348,258 | |||
TOTAL NONCONVERTIBLE BONDS | 4,586,250 | |||
TOTAL CORPORATE BONDS (Cost $4,446,881) |
| |||
U.S. Government and Government Agency Obligations - 20.4% | ||||
| ||||
U.S. Government Agency Obligations - 1.0% | ||||
Fannie Mae: | ||||
0.5% 7/2/15 (g) | 74,366 | 74,465 | ||
0.5% 3/30/16 | 15,754 | 15,664 | ||
Federal Home Loan Bank: | ||||
0.375% 11/27/13 | 4,550 | 4,554 | ||
0.875% 12/27/13 | 775 | 778 | ||
1% 6/21/17 | 8,670 | 8,595 | ||
Private Export Funding Corp. secured 4.974% 8/15/13 | 1,515 | 1,524 | ||
Small Business Administration guaranteed development participation certificates Series 2003-P10B Class 1, 5.136% 8/10/13 | 32 | 32 | ||
Tennessee Valley Authority 5.375% 4/1/56 | 7,000 | 8,084 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 113,696 | |||
U.S. Treasury Inflation Protected Obligations - 0.1% | ||||
U.S. Treasury Inflation-Indexed Bonds 0.625% 2/15/43 | 15,295 | 12,857 | ||
U.S. Treasury Obligations - 18.6% | ||||
U.S. Treasury Bonds: | ||||
2.75% 11/15/42 | 23,584 | 20,363 | ||
2.875% 5/15/43 | 21,133 | 18,729 | ||
3.125% 2/15/43 | 208,635 | 194,995 | ||
5.25% 2/15/29 | 18,341 | 23,322 | ||
5.375% 2/15/31 | 24,494 | 31,903 | ||
6.125% 8/15/29 (k) | 13,232 | 18,401 | ||
7.5% 11/15/16 (l) | 2,850 | 3,483 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Bonds: - continued | ||||
7.5% 11/15/24 | $ 10,690 | $ 15,846 | ||
7.625% 2/15/25 | 11,000 | 16,507 | ||
7.875% 2/15/21 (l) | 6,800 | 9,631 | ||
8.125% 5/15/21 | 9,286 | 13,405 | ||
9.875% 11/15/15 | 11,595 | 14,157 | ||
U.S. Treasury Notes: | ||||
0.25% 3/31/15 | 5,753 | 5,746 | ||
0.25% 5/31/15 | 10,000 | 9,981 | ||
0.25% 7/15/15 | 91,225 | 90,961 | ||
0.25% 10/15/15 | 158,008 | 157,267 | ||
0.25% 4/15/16 | 3,728 | 3,692 | ||
0.25% 5/15/16 | 20,407 | 20,187 | ||
0.375% 6/30/15 | 35,000 | 35,008 | ||
0.375% 1/15/16 | 137,003 | 136,489 | ||
0.5% 6/15/16 | 105,000 | 104,541 | ||
0.5% 7/31/17 | 61,952 | 60,442 | ||
0.625% 4/30/18 | 28,163 | 27,204 | ||
0.75% 6/30/17 | 46,912 | 46,311 | ||
0.875% 11/30/16 | 24,887 | 24,897 | ||
0.875% 1/31/18 | 68,149 | 66,908 | ||
0.875% 7/31/19 | 44,096 | 41,974 | ||
1% 9/30/16 | 85,787 | 86,343 | ||
1% 10/31/16 | 32,941 | 33,126 | ||
1% 5/31/18 | 126,013 | 123,798 | ||
1.375% 11/30/15 | 14,493 | 14,799 | ||
1.375% 6/30/18 | 6,000 | 5,994 | ||
1.375% 5/31/20 | 108,013 | 104,165 | ||
1.75% 5/15/23 | 11,901 | 11,139 | ||
1.875% 6/30/15 | 17,707 | 18,237 | ||
1.875% 8/31/17 | 7,700 | 7,931 | ||
1.875% 9/30/17 | 5,400 | 5,558 | ||
1.875% 10/31/17 | 13,764 | 14,156 | ||
1.875% 6/30/20 | 80,094 | 79,744 | ||
2.125% 5/31/15 | 4,493 | 4,645 | ||
2.375% 2/28/15 | 55,000 | 56,895 | ||
2.375% 7/31/17 | 20,000 | 21,019 | ||
2.375% 6/30/18 | 7,978 | 8,359 | ||
2.5% 3/31/15 | 49,249 | 51,119 | ||
2.625% 4/30/16 | 3,137 | 3,312 | ||
2.75% 11/30/16 | 10,000 | 10,634 | ||
U.S. Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Treasury Obligations - continued | ||||
U.S. Treasury Notes: - continued | ||||
3% 9/30/16 | $ 8,408 | $ 9,010 | ||
3% 2/28/17 | 66,584 | 71,515 | ||
3.125% 10/31/16 | 20,033 | 21,545 | ||
3.125% 1/31/17 | 30,990 | 33,421 | ||
3.5% 2/15/18 | 46,613 | 51,274 | ||
4.5% 5/15/17 | 13,745 | 15,563 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 2,075,651 | |||
Other Government Related - 0.7% | ||||
National Credit Union Administration Guaranteed Notes: | ||||
Series 2010-A1 Class A, 0.5492% 12/7/20 (NCUA Guaranteed) (m) | 3,362 | 3,372 | ||
Series 2011-R1 Class 1A, 0.6482% 1/8/20 (NCUA Guaranteed) (m) | 5,889 | 5,912 | ||
Series 2011-R4 Class 1A, 0.5733% 3/6/20 (NCUA Guaranteed) (m) | 2,978 | 2,983 | ||
National Credit Union Administration Guaranteed Notes Master Trust: | ||||
1.4% 6/12/15 (NCUA Guaranteed) | 3,550 | 3,607 | ||
2.35% 6/12/17 (NCUA Guaranteed) | 31,000 | 32,075 | ||
3.45% 6/12/21 (NCUA Guaranteed) | 25,300 | 26,465 | ||
TOTAL OTHER GOVERNMENT RELATED | 74,414 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,278,692) |
| |||
U.S. Government Agency - Mortgage Securities - 5.0% | ||||
| ||||
Fannie Mae - 2.0% | ||||
2.051% 9/1/33 (m) | 637 | 667 | ||
2.105% 11/1/35 (m) | 426 | 448 | ||
2.362% 2/1/36 (m) | 107 | 113 | ||
2.415% 11/1/33 (m) | 148 | 156 | ||
2.428% 10/1/35 (m) | 43 | 45 | ||
2.541% 6/1/36 (m) | 52 | 55 | ||
2.546% 1/1/35 (m) | 337 | 356 | ||
2.595% 3/1/33 (m) | 162 | 172 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Fannie Mae - continued | ||||
2.614% 6/1/47 (m) | $ 192 | $ 206 | ||
2.647% 2/1/37 (m) | 615 | 657 | ||
2.653% 7/1/35 (m) | 250 | 264 | ||
2.679% 11/1/36 (m) | 55 | 58 | ||
2.69% 5/1/36 (m) | 68 | 73 | ||
2.763% 4/1/36 (m) | 420 | 450 | ||
2.78% 9/1/36 (m) | 156 | 166 | ||
3% 7/1/43 (j) | 24,600 | 24,027 | ||
3% 7/1/43 (j) | 7,600 | 7,423 | ||
3% 7/1/43 (j) | 45,100 | 44,050 | ||
3% 7/1/43 (j) | 32,200 | 31,450 | ||
3.178% 8/1/35 (m) | 966 | 1,028 | ||
3.5% 1/1/26 to 7/1/43 (j) | 73,238 | 73,501 | ||
4.5% 8/1/41 | 786 | 837 | ||
5% 5/1/22 to 9/1/22 | 6,633 | 7,111 | ||
5.5% 5/1/15 to 11/1/34 | 14,864 | 16,124 | ||
6% 6/1/16 to 10/1/16 | 63 | 66 | ||
6.129% 3/1/37 (m) | 55 | 59 | ||
6.5% 10/1/13 to 8/1/36 | 8,281 | 9,397 | ||
7.5% 1/1/28 | 32 | 38 | ||
TOTAL FANNIE MAE | 218,997 | |||
Freddie Mac - 0.8% | ||||
1.945% 3/1/35 (m) | 170 | 177 | ||
2.108% 5/1/37 (m) | 105 | 111 | ||
2.144% 2/1/37 (m) | 64 | 67 | ||
2.167% 6/1/33 (m) | 345 | 362 | ||
2.22% 8/1/37 (m) | 120 | 125 | ||
2.228% 6/1/37 (m) | 42 | 44 | ||
2.229% 3/1/37 (m) | 49 | 51 | ||
2.336% 1/1/36 (m) | 98 | 103 | ||
2.375% 5/1/37 (m) | 81 | 86 | ||
2.427% 1/1/37 (m) | 452 | 479 | ||
2.458% 10/1/35 (m) | 327 | 346 | ||
2.492% 4/1/35 (m) | 34 | 36 | ||
2.493% 10/1/36 (m) | 446 | 475 | ||
2.518% 5/1/37 (m) | 679 | 724 | ||
2.531% 5/1/37 (m) | 1,205 | 1,293 | ||
2.556% 2/1/36 (m) | 9 | 10 | ||
2.561% 6/1/37 (m) | 311 | 334 | ||
2.615% 9/1/35 (m) | 83 | 89 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Freddie Mac - continued | ||||
2.626% 6/1/37 (m) | $ 74 | $ 78 | ||
2.641% 7/1/35 (m) | 348 | 364 | ||
2.673% 7/1/35 (m) | 289 | 310 | ||
2.699% 4/1/37 (m) | 127 | 135 | ||
2.72% 4/1/37 (m) | 9 | 9 | ||
3.057% 7/1/36 (m) | 145 | 154 | ||
3.185% 10/1/35 (m) | 69 | 74 | ||
3.5% 6/1/42 to 6/1/43 | 47,355 | 47,457 | ||
4% 3/1/42 to 4/1/42 | 14,920 | 15,590 | ||
4.5% 8/1/33 to 10/1/41 | 5,019 | 5,331 | ||
5.5% 11/1/18 to 7/1/35 | 14,678 | 15,784 | ||
6% 1/1/24 | 2,421 | 2,684 | ||
6.5% 7/1/13 to 3/1/22 | 1,268 | 1,384 | ||
8.5% 3/1/20 | 2 | 2 | ||
TOTAL FREDDIE MAC | 94,268 | |||
Ginnie Mae - 2.2% | ||||
4% 6/15/24 to 3/15/26 | 9,735 | 10,344 | ||
4.3% 8/20/61 (q) | 3,482 | 3,788 | ||
4.5% 3/15/25 to 6/15/25 | 7,394 | 7,913 | ||
4.515% 3/20/62 (q) | 12,231 | 13,466 | ||
4.53% 10/20/62 (q) | 3,604 | 3,981 | ||
4.55% 5/20/62 (q) | 22,007 | 24,271 | ||
4.556% 12/20/61 (q) | 13,164 | 14,497 | ||
4.604% 3/20/62 (q) | 6,290 | 6,947 | ||
4.626% 3/20/62 (q) | 4,299 | 4,748 | ||
4.649% 2/20/62 (q) | 2,313 | 2,557 | ||
4.65% 3/20/62 (q) | 3,985 | 4,407 | ||
4.682% 2/20/62 (q) | 3,060 | 3,384 | ||
4.684% 1/20/62 (q) | 14,010 | 15,491 | ||
4.751% 12/20/60 (q) | 3,403 | 3,736 | ||
4.804% 3/20/61 (q) | 7,983 | 8,803 | ||
4.834% 3/20/61 (q) | 14,411 | 15,903 | ||
5.47% 8/20/59 (q) | 2,377 | 2,569 | ||
5.492% 4/20/60 (q) | 9,302 | 10,444 | ||
5.612% 4/20/58 (q) | 4,201 | 4,437 | ||
6% 6/15/36 to 12/20/38 | 32,454 | 35,803 | ||
6.5% 8/20/38 to 9/20/38 | 42,366 | 47,695 | ||
7% 9/15/25 to 8/15/31 | 30 | 35 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Ginnie Mae - continued | ||||
7.5% 2/15/22 to 8/15/28 | $ 57 | $ 65 | ||
8% 12/15/26 | 0* | 0* | ||
TOTAL GINNIE MAE | 245,284 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $564,004) |
| |||
Asset-Backed Securities - 0.1% | ||||
| ||||
Leek Finance PLC Series 18X Class BC, 1.012% 9/21/38 (m) | EUR | 600 | 734 | |
Tesco Property Finance 2 PLC 6.0517% 10/13/39 | GBP | 2,392 | 4,060 | |
TOTAL ASSET-BACKED SECURITIES (Cost $5,370) |
| |||
Collateralized Mortgage Obligations - 3.2% | ||||
| ||||
U.S. Government Agency - 3.2% | ||||
Fannie Mae: | ||||
floater: | ||||
Series 2008-76 Class EF, 0.693% 9/25/23 (m) | 1,006 | 1,010 | ||
Series 2010-15 Class FJ, 1.123% 6/25/36 (m) | 8,019 | 8,208 | ||
Series 2010-86 Class FE, 0.643% 8/25/25 (m) | 986 | 994 | ||
pass-thru certificates Series 2012-127 Class DH, 4% 11/25/27 | 4,795 | 5,120 | ||
planned amortization class: | ||||
Series 2002-9 Class PC, 6% 3/25/17 | 38 | 40 | ||
Series 2003-113 Class PE, 4% 11/25/18 | 1,308 | 1,389 | ||
Series 2003-70 Class BJ, 5% 7/25/33 | 801 | 870 | ||
Series 2004-80 Class LD, 4% 1/25/19 | 527 | 536 | ||
Series 2005-19 Class PA, 5.5% 7/25/34 | 2,886 | 3,143 | ||
Series 2005-27 Class NE, 5.5% 5/25/34 | 3,910 | 4,191 | ||
Series 2005-52 Class PB, 6.5% 12/25/34 | 319 | 334 | ||
Series 2005-64 Class PX, 5.5% 6/25/35 | 2,774 | 3,060 | ||
Series 2010-118 Class PB, 4.5% 10/25/40 | 3,310 | 3,512 | ||
Series 2011-126 Class KB, 4% 12/25/41 | 3,844 | 3,945 | ||
sequential payer: | ||||
Series 2002-57 Class BD, 5.5% 9/25/17 | 133 | 142 | ||
Series 2003-117 Class MD, 5% 12/25/23 | 1,759 | 1,905 | ||
Series 2004-91 Class Z, 5% 12/25/34 | 5,018 | 5,541 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Fannie Mae: - continued | ||||
sequential payer: - continued | ||||
Series 2004-95 Class AN, 5.5% 1/25/25 | $ 472 | $ 487 | ||
Series 2005-117, Class JN, 4.5% 1/25/36 | 808 | 874 | ||
Series 2005-14 Class ZB, 5% 3/25/35 | 2,182 | 2,409 | ||
Series 2005-47 Class HK, 4.5% 6/25/20 | 3,680 | 3,899 | ||
Series 2006-72 Class CY, 6% 8/25/26 | 2,480 | 2,761 | ||
Series 2009-14 Class EB, 4.5% 3/25/24 | 3,710 | 3,933 | ||
Series 2009-59 Class HB, 5% 8/25/39 | 2,880 | 3,119 | ||
Series 2010-97 Class CX, 4.5% 9/25/25 | 5,300 | 5,833 | ||
Series 2009-85 Class IB, 4.5% 8/25/24 (o) | 664 | 62 | ||
Series 2009-93 Class IC, 4.5% 9/25/24 (o) | 1,000 | 87 | ||
Series 2010-139 Class NI, 4.5% 2/25/40 (o) | 4,055 | 645 | ||
Series 2010-39 Class FG, 1.113% 3/25/36 (m) | 4,859 | 4,973 | ||
Series 2010-97 Class CI, 4.5% 8/25/25 (o) | 2,072 | 215 | ||
Series 2011-67 Class AI, 4% 7/25/26 (o) | 1,345 | 152 | ||
Series 2013-40 Class PV, 2% 1/25/26 | 5,577 | 5,649 | ||
Freddie Mac: | ||||
floater: | ||||
Series 2630 Class FL, 0.6925% 6/15/18 (m) | 33 | 33 | ||
Series 2711 Class FC, 1.0925% 2/15/33 (m) | 3,273 | 3,322 | ||
floater planned amortization class Series 2770 Class FH, 0.5925% 3/15/34 (m) | 3,002 | 3,016 | ||
planned amortization class: | ||||
Series 2006-3245 Class ME, 5.5% 6/15/35 | 4,546 | 4,709 | ||
Series 2101 Class PD, 6% 11/15/28 | 89 | 97 | ||
Series 2115 Class PE, 6% 1/15/14 | 4 | 4 | ||
Series 2376 Class JE, 5.5% 11/15/16 | 136 | 143 | ||
Series 2381 Class OG, 5.5% 11/15/16 | 79 | 82 | ||
Series 2425 Class JH, 6% 3/15/17 | 181 | 193 | ||
Series 2672 Class MG, 5% 9/15/23 | 3,360 | 3,723 | ||
Series 2695 Class DG, 4% 10/15/18 | 2,777 | 2,907 | ||
Series 2996 Class MK, 5.5% 6/15/35 | 277 | 307 | ||
Series 3415 Class PC, 5% 12/15/37 | 1,544 | 1,663 | ||
Series 3763 Class QA, 4% 4/15/34 | 2,922 | 3,085 | ||
planned amortization class sequential payer Series 2005-2963 Class VB, 5% 11/15/34 | 3,550 | 3,830 | ||
sequential payer: | ||||
Series 2303 Class ZV, 6% 4/15/31 | 223 | 246 | ||
Series 2877 Class ZD, 5% 10/15/34 | 6,518 | 7,118 | ||
Series 3277 Class B, 4% 2/15/22 | 2,800 | 2,991 | ||
Series 3372 Class BD, 4.5% 10/15/22 | 9,606 | 10,356 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Freddie Mac: - continued | ||||
sequential payer: - continued | ||||
Series 3578 Class B, 4.5% 9/15/24 | $ 3,740 | $ 3,999 | ||
Series 4176 Class BA, 3% 2/15/33 | 3,826 | 3,941 | ||
Series 2715 Class NG, 4.5% 12/15/18 | 1,998 | 2,122 | ||
Series 4181 Class LA, 3% 3/15/37 | 5,207 | 5,333 | ||
Series 4182 Class BA, 3% 6/15/37 | 21,131 | 21,674 | ||
Ginnie Mae guaranteed REMIC pass-thru certificates: | ||||
floater: | ||||
Series 2007-59 Class FC, 0.6916% 7/20/37 (m) | 1,673 | 1,682 | ||
Series 2008-2 Class FD, 0.6716% 1/20/38 (m) | 427 | 429 | ||
Series 2008-73 Class FA, 1.0516% 8/20/38 (m) | 2,452 | 2,494 | ||
Series 2008-83 Class FB, 1.0916% 9/20/38 (m) | 2,558 | 2,603 | ||
Series 2009-108 Class CF, 0.7925% 11/16/39 (m) | 2,257 | 2,276 | ||
Series 2009-116 Class KF, 0.7225% 12/16/39 (m) | 1,995 | 2,008 | ||
Series 2010-9 Class FA, 0.7125% 1/16/40 (m) | 2,983 | 3,000 | ||
Series 2010-H17 Class FA, 0.5233% 7/20/60 (m)(q) | 6,085 | 5,998 | ||
Series 2010-H18 Class AF, 0.4982% 9/20/60 (m)(q) | 6,394 | 6,304 | ||
Series 2010-H19 Class FG, 0.4982% 8/20/60 (m)(q) | 8,450 | 8,333 | ||
Series 2010-H27 Series FA, 0.5782% 12/20/60 (m)(q) | 2,437 | 2,411 | ||
Series 2011-H05 Class FA, 0.6982% 12/20/60 (m)(q) | 4,513 | 4,493 | ||
Series 2011-H07 Class FA, 0.6982% 2/20/61 (m)(q) | 7,664 | 7,629 | ||
Series 2011-H12 Class FA, 0.6882% 2/20/61 (m)(q) | 10,013 | 9,963 | ||
Series 2011-H13 Class FA, 0.6982% 4/20/61 (m)(q) | 4,042 | 4,024 | ||
Series 2011-H14: | ||||
Class FB, 0.6982% 5/20/61 (m)(q) | 4,547 | 4,527 | ||
Class FC, 0.6982% 5/20/61 (m)(q) | 4,469 | 4,449 | ||
Series 2011-H17 Class FA, 0.7282% 6/20/61 (m)(q) | 5,897 | 5,878 | ||
Series 2011-H21 Class FA, 0.7982% 10/20/61 (m)(q) | 6,435 | 6,434 | ||
Series 2012-H01 Class FA, 0.8982% 11/20/61 (m)(q) | 5,309 | 5,334 | ||
Series 2012-H03 Class FA, 0.8982% 1/20/62 (m)(q) | 3,246 | 3,262 | ||
Collateralized Mortgage Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
U.S. Government Agency - continued | ||||
Ginnie Mae guaranteed REMIC pass-thru certificates: - continued | ||||
floater: - continued | ||||
Series 2012-H06 Class FA, 0.8282% 1/20/62 (m)(q) | $ 5,209 | $ 5,216 | ||
Series 2012-H07 Class FA, 0.8282% 3/20/62 (m)(q) | 3,090 | 3,103 | ||
floater sequential payer Series 2011-150 Class D, 3% 4/20/37 | 1,223 | 1,246 | ||
planned amortization class: | ||||
Series 2010-112 Class PM, 3.25% 9/20/33 | 1,028 | 1,044 | ||
Series 2010-99 Class PT, 3.5% 8/20/33 | 1,332 | 1,358 | ||
Series 2011-136 Class WI, 4.5% 5/20/40 (o) | 2,423 | 488 | ||
sequential payer Series 2011-69 Class GX, 4.5% 5/16/40 | 4,910 | 5,261 | ||
Series 2010-H13 Class JA, 5.46% 10/20/59 (q) | 9,152 | 9,910 | ||
Series 2010-H15 Class TP, 5.15% 8/20/60 (q) | 11,644 | 12,944 | ||
Series 2010-H17 Class XP, 5.3019% 7/20/60 (m)(q) | 16,790 | 18,717 | ||
Series 2010-H18 Class PL, 5.01% 9/20/60 (m)(q) | 12,753 | 14,109 | ||
Series 2011-71: | ||||
Class ZB, 5.5% 8/20/34 | 10,695 | 12,102 | ||
Class ZC, 5.5% 7/16/34 | 11,565 | 12,940 | ||
Series 2012-64 Class KB, 3.3381% 5/20/41 (m) | 2,129 | 2,349 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $357,535) |
| |||
Commercial Mortgage Securities - 0.8% | ||||
| ||||
Canary Wharf Finance II PLC Series 3MUK Class C2, 1.0544% 10/22/37 (m) | GBP | 1,000 | 1,066 | |
Freddie Mac: | ||||
pass thru-certificates floater Series KF01 Class A, 0.5537% 4/25/19 (m) | 11,540 | 11,561 | ||
pass-thru certificates sequential payer: | ||||
Series K011 Class A2, 4.084% 11/25/20 | 2,480 | 2,658 | ||
Series K014 Class A2, 3.871% 4/25/21 | 6,110 | 6,462 | ||
Series K015 Class A2, 3.23% 7/25/21 | 10,980 | 11,135 | ||
sequential payer: | ||||
Series K006 Class A2, 4.251% 1/25/20 | 14,020 | 15,382 | ||
Series K009 Class A2, 3.808% 8/25/20 | 20,970 | 22,388 | ||
Series K017 Class A2, 2.873% 12/25/21 | 15,590 | 15,385 | ||
Series K501 Class A2, 1.655% 11/25/16 | 5,440 | 5,511 | ||
Commercial Mortgage Securities - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
German Residential Asset Note Distributor PLC Series 1 Class A, 1.615% 7/20/16 (m) | EUR | 835 | $ 1,084 | |
REC Plantation Place Ltd. Series 5 Class A, 0.7344% 7/25/16 (Reg. S) (m) | GBP | 853 | 1,294 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $97,574) |
| |||
Foreign Government and Government Agency Obligations - 22.0% | ||||
| ||||
Argentine Republic: | ||||
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33 | 7,560 | 4,234 | ||
7% 9/12/13 | 47,655 | 47,723 | ||
7% 10/3/15 | 23,055 | 19,539 | ||
Aruba Government 4.625% 9/14/23 (h) | 2,770 | 2,604 | ||
Bahamian Republic 6.95% 11/20/29 (h) | 3,450 | 3,968 | ||
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% 8/4/22 (h) | 1,783 | 1,783 | ||
7.25% 12/15/21 (h) | 2,245 | 2,267 | ||
Belarus Republic: | ||||
8.75% 8/3/15 (Reg. S) | 16,055 | 15,975 | ||
8.95% 1/26/18 | 4,495 | 4,484 | ||
Bermuda Government 4.138% 1/3/23 (h) | 1,030 | 997 | ||
Brazilian Federative Republic: | ||||
5.625% 1/7/41 | 13,515 | 13,414 | ||
7.125% 1/20/37 | 9,090 | 10,885 | ||
8.25% 1/20/34 | 5,940 | 7,871 | ||
10.125% 5/15/27 | 5,275 | 8,216 | ||
12.25% 3/6/30 | 5,000 | 8,563 | ||
Buoni Poliennali Del Tes: | ||||
2.25% 5/15/16 | EUR | 21,000 | 27,155 | |
3.5% 6/1/18 | EUR | 25,000 | 32,619 | |
5.5% 11/1/22 | EUR | 64,350 | 89,870 | |
Canadian Government: | ||||
1.25% 2/1/16 | CAD | 119,450 | 113,293 | |
1.25% 3/1/18 | CAD | 40,000 | 37,102 | |
1.5% 6/1/23 | CAD | 68,650 | 59,899 | |
3.5% 12/1/45 | CAD | 29,250 | 31,336 | |
Central Bank of Nigeria warrants 11/15/20 (a)(p) | 6,250 | 1,111 | ||
City of Buenos Aires 12.5% 4/6/15 (h) | 13,120 | 13,054 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Colombian Republic: | ||||
6.125% 1/18/41 | $ 4,940 | $ 5,483 | ||
7.375% 9/18/37 | 5,750 | 7,274 | ||
10.375% 1/28/33 | 8,050 | 12,425 | ||
11.75% 2/25/20 | 1,190 | 1,752 | ||
Congo Republic 3% 6/30/29 (f) | 13,197 | 11,217 | ||
Costa Rican Republic: | ||||
4.25% 1/26/23 (h) | 2,865 | 2,629 | ||
4.375% 4/30/25 (h) | 2,310 | 2,114 | ||
5.625% 4/30/43 (h) | 2,310 | 2,125 | ||
Croatia Republic: | ||||
5.5% 4/4/23 (h) | 5,365 | 5,204 | ||
6.25% 4/27/17 (h) | 6,075 | 6,356 | ||
6.375% 3/24/21 (h) | 4,715 | 4,921 | ||
6.625% 7/14/20 (h) | 3,805 | 4,014 | ||
6.75% 11/5/19 (h) | 5,410 | 5,775 | ||
Democratic Socialist Republic of Sri Lanka: | ||||
5.875% 7/25/22 (h) | 1,570 | 1,476 | ||
6.25% 10/4/20 (h) | 7,685 | 7,531 | ||
6.25% 7/27/21 (h) | 3,640 | 3,567 | ||
7.4% 1/22/15 (h) | 5,970 | 6,269 | ||
Dominican Republic: | ||||
1.25% 8/30/24 (m) | 6,063 | 5,457 | ||
5.875% 4/18/24 (h) | 2,695 | 2,601 | ||
7.5% 5/6/21 (h) | 5,740 | 6,171 | ||
9.04% 1/23/18 (h) | 3,071 | 3,332 | ||
Dutch Government 2.5% 1/15/33 | EUR | 4,250 | 5,435 | |
El Salvador Republic: | ||||
7.625% 2/1/41 (h) | 1,545 | 1,503 | ||
7.65% 6/15/35 (Reg. S) | 2,435 | 2,362 | ||
8.25% 4/10/32 (Reg. S) | 1,435 | 1,492 | ||
European Economic Community 2.75% 4/4/22 (Reg. S) | EUR | 3,725 | 5,141 | |
European Union 2.75% 9/21/21 | EUR | 14,000 | 19,485 | |
Export Credit Bank of Turkey 5.375% 11/4/16 (h) | 400 | 414 | ||
French Government: | ||||
OAT 3.25% 5/25/45 | EUR | 21,000 | 26,564 | |
1% 5/25/18 | EUR | 25,675 | 33,085 | |
2.5% 10/25/20 | EUR | 20,500 | 28,041 | |
3.5% 4/25/26 | EUR | 1,850 | 2,607 | |
Georgia Republic 6.875% 4/12/21 (h) | 3,850 | 4,120 | ||
German Federal Republic: | ||||
0.5% 2/23/18 | EUR | 82,575 | 106,433 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
German Federal Republic: - continued | ||||
1.5% 2/15/23 | EUR | 115,325 | $ 147,441 | |
3.25% 7/4/42 | EUR | 16,900 | 25,617 | |
4.75% 7/4/28 | EUR | 3,875 | 6,686 | |
Guatemalan Republic: | ||||
4.875% 2/13/28 (h) | 1,685 | 1,517 | ||
5.75% 6/6/22 (h) | 3,160 | 3,160 | ||
Hungarian Republic: | ||||
4.125% 2/19/18 | 2,852 | 2,770 | ||
4.75% 2/3/15 | 7,460 | 7,572 | ||
7.625% 3/29/41 | 6,405 | 6,687 | ||
Indonesian Republic: | ||||
3.375% 4/15/23 (h) | 2,640 | 2,356 | ||
4.625% 4/15/43 (h) | 2,640 | 2,284 | ||
4.875% 5/5/21 (h) | 7,805 | 8,000 | ||
5.25% 1/17/42 (h) | 7,185 | 6,790 | ||
5.875% 3/13/20 (h) | 7,290 | 7,855 | ||
6.625% 2/17/37 (h) | 5,025 | 5,427 | ||
7.75% 1/17/38 (h) | 7,700 | 9,510 | ||
8.5% 10/12/35 (Reg. S) | 7,615 | 9,976 | ||
11.625% 3/4/19 (h) | 8,270 | 11,247 | ||
Islamic Republic of Pakistan 7.125% 3/31/16 (h) | 11,805 | 11,244 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development): | ||||
5.5% 9/18/23 | 26,802 | 32,404 | ||
5.5% 12/4/23 | 12,355 | 14,873 | ||
Italian Republic: | ||||
4.5% 7/15/15 | EUR | 36,450 | 49,543 | |
5% 9/1/40 | EUR | 24,675 | 32,042 | |
Ivory Coast 7.1% 12/31/32 (f) | 340 | 281 | ||
Japan Government: | ||||
0.1% 4/15/15 | JPY | 2,750,000 | 27,715 | |
1.1% 6/20/20 | JPY | 14,662,000 | 153,097 | |
1.9% 9/20/30 | JPY | 6,290,000 | 66,803 | |
Japan Government Thirty Year B 1.8% 3/20/43 | JPY | 1,250,000 | 12,494 | |
Jordanian Kingdom 3.875% 11/12/15 | 3,085 | 3,031 | ||
Latvian Republic 2.75% 1/12/20 (h) | 4,785 | 4,432 | ||
Lebanese Republic: | ||||
4% 12/31/17 | 13,104 | 12,711 | ||
4.75% 11/2/16 | 2,750 | 2,668 | ||
5.15% 11/12/18 | 2,815 | 2,688 | ||
5.45% 11/28/19 | 5,445 | 4,955 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Lebanese Republic: - continued | ||||
6.375% 3/9/20 | $ 4,120 | $ 3,852 | ||
Lithuanian Republic: | ||||
6.125% 3/9/21 (h) | 5,090 | 5,673 | ||
6.625% 2/1/22 (h) | 4,370 | 5,015 | ||
7.375% 2/11/20 (h) | 5,755 | 6,834 | ||
Moroccan Kingdom: | ||||
4.25% 12/11/22 (h) | 3,360 | 2,974 | ||
5.5% 12/11/42 (h) | 1,900 | 1,587 | ||
Panamanian Republic: | ||||
4.3% 4/29/53 | 2,730 | 2,164 | ||
6.7% 1/26/36 | 1,850 | 2,151 | ||
8.875% 9/30/27 | 1,875 | 2,588 | ||
Peruvian Republic: | ||||
4% 3/7/27 (f) | 5,671 | 5,671 | ||
5.625% 11/18/50 | 2,145 | 2,172 | ||
6.55% 3/14/37 | 1,295 | 1,518 | ||
8.75% 11/21/33 | 7,390 | 10,716 | ||
Philippine Republic: | ||||
6.375% 1/15/32 | 1,860 | 2,195 | ||
7.75% 1/14/31 | 7,660 | 10,035 | ||
9.5% 2/2/30 | 7,505 | 11,220 | ||
10.625% 3/16/25 | 5,755 | 9,093 | ||
Plurinational State of Bolivia 4.875% 10/29/22 (h) | 4,720 | 4,366 | ||
Polish Government 3% 3/17/23 | 2,870 | 2,597 | ||
Provincia de Cordoba 12.375% 8/17/17 (h) | 8,400 | 6,342 | ||
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) | 5,700 | 5,857 | ||
Republic of Iraq 5.8% 1/15/28 (Reg. S) | 16,345 | 13,403 | ||
Republic of Namibia 5.5% 11/3/21 (h) | 2,345 | 2,356 | ||
Republic of Nigeria: | ||||
0% 10/10/13 | NGN | 356,000 | 2,111 | |
0% 11/7/13 | NGN | 508,110 | 2,977 | |
6.75% 1/28/21 (h) | 2,705 | 2,827 | ||
Republic of Paraguay 4.625% 1/25/23 (h) | 2,015 | 1,955 | ||
Republic of Serbia: | ||||
4.875% 2/25/20 (h) | 3,750 | 3,450 | ||
5.25% 11/21/17 (h) | 1,845 | 1,799 | ||
6.75% 11/1/24 (h) | 10,403 | 10,299 | ||
7.25% 9/28/21 (h) | 3,150 | 3,237 | ||
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
Republic of Zambia 5.375% 9/20/22 (h) | $ 2,660 | $ 2,354 | ||
Romanian Republic: | ||||
4.375% 8/22/23 (h) | 3,800 | 3,582 | ||
6.75% 2/7/22 (h) | 7,002 | 7,825 | ||
Russian Federation: | ||||
5.625% 4/4/42 (h) | 7,800 | 8,093 | ||
7.5% 3/31/30 (Reg. S) | 41,776 | 48,773 | ||
12.75% 6/24/28 (Reg. S) | 17,035 | 29,811 | ||
Spanish Kingdom 4% 7/30/15 | EUR | 30,000 | 40,178 | |
State Oil Co. of Azerbaijan Republic: | ||||
4.75% 3/13/23 (Reg. S) | 1,900 | 1,720 | ||
5.45% 2/9/17 (Reg. S) | 1,495 | 1,540 | ||
Tanzania United Republic of 6.4499% 3/8/20 (m) | 3,630 | 3,648 | ||
Turkish Republic: | ||||
4.875% 4/16/43 | 2,640 | 2,270 | ||
5.125% 3/25/22 | 3,795 | 3,899 | ||
5.625% 3/30/21 | 4,590 | 4,911 | ||
6% 1/14/41 | 6,140 | 6,186 | ||
6.25% 9/26/22 | 4,590 | 5,083 | ||
6.75% 4/3/18 | 6,910 | 7,774 | ||
6.75% 5/30/40 | 7,370 | 8,199 | ||
6.875% 3/17/36 | 12,320 | 13,798 | ||
7% 3/11/19 | 2,895 | 3,322 | ||
7.25% 3/5/38 | 8,050 | 9,439 | ||
7.375% 2/5/25 | 11,780 | 14,077 | ||
7.5% 11/7/19 | 7,090 | 8,366 | ||
8% 2/14/34 | 2,075 | 2,604 | ||
11.875% 1/15/30 | 4,295 | 7,237 | ||
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (h) | 6,970 | 6,421 | ||
Ukraine Government: | ||||
6.25% 6/17/16 (h) | 4,495 | 4,169 | ||
6.75% 11/14/17 (h) | 2,525 | 2,310 | ||
7.75% 9/23/20 (h) | 4,450 | 4,050 | ||
7.8% 11/28/22 (h) | 3,940 | 3,526 | ||
7.95% 6/4/14 (h) | 8,060 | 8,000 | ||
7.95% 2/23/21 (h) | 3,575 | 3,271 | ||
9.25% 7/24/17 (h) | 7,475 | 7,447 | ||
United Arab Emirates 7.75% 10/5/20 (Reg. S) | 2,145 | 2,472 | ||
United Kingdom, Great Britain and Northern Ireland: | ||||
1.25% 7/22/18 | GBP | 50,500 | 76,082 | |
1.75% 9/7/22 | GBP | 71,600 | 102,736 | |
Foreign Government and Government Agency Obligations - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
United Kingdom, Great Britain and Northern Ireland: - continued | ||||
2.25% 3/7/14 | GBP | 3,500 | $ 5,393 | |
3.25% 1/22/44 | GBP | 15,550 | 22,184 | |
3.5% 7/22/68 | GBP | 24,625 | 36,902 | |
United Mexican States: | ||||
4.75% 3/8/44 | 13,356 | 12,087 | ||
5.75% 10/12/2110 | 5,376 | 5,027 | ||
6.05% 1/11/40 | 12,210 | 13,431 | ||
6.75% 9/27/34 | 10,225 | 12,117 | ||
7.5% 4/8/33 | 2,900 | 3,705 | ||
8.3% 8/15/31 | 2,600 | 3,562 | ||
Uruguay Republic 7.875% 1/15/33 pay-in-kind | 7,700 | 9,740 | ||
Venezuelan Republic: | ||||
oil recovery rights 4/15/20 (p) | 97,601 | 2,513 | ||
6% 12/9/20 | 4,800 | 3,480 | ||
7% 3/31/38 | 3,410 | 2,259 | ||
8.5% 10/8/14 | 8,760 | 8,607 | ||
9% 5/7/23 (Reg. S) | 17,025 | 14,046 | ||
9.25% 9/15/27 | 3,108 | 2,618 | ||
9.25% 5/7/28 (Reg. S) | 6,320 | 5,088 | ||
9.375% 1/13/34 | 5,025 | 4,070 | ||
10.75% 9/19/13 | 3,010 | 3,002 | ||
11.75% 10/21/26 (Reg. S) | 10,940 | 10,284 | ||
11.95% 8/5/31 (Reg. S) | 16,565 | 15,571 | ||
12.75% 8/23/22 | 19,095 | 19,429 | ||
13.625% 8/15/18 | 7,745 | 7,900 | ||
Vietnamese Socialist Republic: | ||||
1.3125% 3/12/16 (m) | 3,371 | 3,068 | ||
4% 3/12/28 (f) | 14,848 | 12,027 | ||
6.875% 1/15/16 (h) | 5,320 | 5,613 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $2,448,973) |
| |||
Supranational Obligations - 0.1% | ||||
| ||||
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S) | 2,385 | 2,337 | ||
Korea Development Bank 1.5% 5/30/18 (Reg.S) | EUR | 5,419 | 6,961 | |
TOTAL SUPRANATIONAL OBLIGATIONS (Cost $9,336) |
|
Common Stocks - 0.4% | |||
Shares | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.2% | |||
Auto Components - 0.0% | |||
Remy International, Inc. | 122,400 | $ 2,273 | |
Automobiles - 0.1% | |||
General Motors Co. (a) | 6,679 | 222 | |
General Motors Co.: | |||
warrants 7/10/16 (a) | 133,743 | 3,210 | |
warrants 7/10/19 (a) | 133,743 | 2,187 | |
Motors Liquidation Co. GUC Trust (a) | 36,934 | 1,134 | |
| 6,753 | ||
Hotels, Restaurants & Leisure - 0.1% | |||
PB Investor I LLC | 37,963 | 55 | |
Station Holdco LLC (a)(r)(s) | 4,989,172 | 7,284 | |
Station Holdco LLC: | |||
unit (r)(s) | 57,186 | 4 | |
warrants 6/15/18 (a)(r)(s) | 198,954 | 12 | |
| 7,355 | ||
Media - 0.0% | |||
Haights Cross Communications, Inc. (a) | 8,267 | 0 | |
HMH Holdings, Inc. warrants 6/22/19 (a)(s) | 32,078 | 48 | |
RDA Holding Co. warrants 2/19/14 (a)(s) | 9,559 | 0 | |
| 48 | ||
TOTAL CONSUMER DISCRETIONARY | 16,429 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. | 142,776 | 642 | |
INDUSTRIALS - 0.2% | |||
Aerospace & Defense - 0.0% | |||
Alion Science & Technology Corp. warrants 3/15/17 (a) | 1,430 | 0 | |
Airlines - 0.0% | |||
Delta Air Lines, Inc. | 20,500 | 384 | |
Building Products - 0.1% | |||
Nortek, Inc. (a) | 253,462 | 16,331 | |
Nortek, Inc. warrants 12/7/14 (a) | 7,154 | 136 | |
| 16,467 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
INDUSTRIALS - continued | |||
Marine - 0.0% | |||
U.S. Shipping Partners Corp. (a) | 12,063 | $ 0 | |
U.S. Shipping Partners Corp. warrants 12/31/29 (a) | 112,939 | 0 | |
Trading Companies & Distributors - 0.0% | |||
Penhall Acquisition Co.: | |||
Class A (a) | 6,088 | 507 | |
Class B (a) | 2,029 | 169 | |
| 676 | ||
Transportation Infrastructure - 0.1% | |||
DeepOcean Group Holding BV (a)(h) | 406,682 | 9,301 | |
TOTAL INDUSTRIALS | 26,828 | ||
INFORMATION TECHNOLOGY - 0.0% | |||
IT Services - 0.0% | |||
Unisys Corp. (a) | 5,625 | 124 | |
Semiconductors & Semiconductor Equipment - 0.0% | |||
MagnaChip Semiconductor Corp. (a) | 49,030 | 896 | |
Spansion, Inc. Class A (a) | 2,476 | 31 | |
| 927 | ||
TOTAL INFORMATION TECHNOLOGY | 1,051 | ||
MATERIALS - 0.0% | |||
Chemicals - 0.0% | |||
LyondellBasell Industries NV Class A | 467 | 31 | |
Containers & Packaging - 0.0% | |||
Rock-Tenn Co. Class A | 5,694 | 569 | |
Metals & Mining - 0.0% | |||
Aleris International, Inc. (a)(s) | 38,307 | 1,233 | |
Paper & Forest Products - 0.0% | |||
Emerald Plantation Holdings Ltd. (a) | 850,197 | 221 | |
NewPage Corp. | 19,100 | 1,757 | |
| 1,978 | ||
TOTAL MATERIALS | 3,811 | ||
Common Stocks - continued | |||
Shares | Value (000s) | ||
UTILITIES - 0.0% | |||
Electric Utilities - 0.0% | |||
Portland General Electric Co. | 7,275 | $ 223 | |
TOTAL COMMON STOCKS (Cost $63,525) |
| ||
Preferred Stocks - 0.6% | |||
|
|
|
|
Convertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Interpublic Group of Companies, Inc. 5.25% | 4,000 | 5,034 | |
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Reddy Ice Holdings, Inc. 7.00% pay-in-kind | 57,438 | 410 | |
TOTAL CONVERTIBLE PREFERRED STOCKS | 5,444 | ||
Nonconvertible Preferred Stocks - 0.5% | |||
FINANCIALS - 0.5% | |||
Commercial Banks - 0.2% | |||
SunTrust Banks, Inc. Series E, 5.875% | 300,475 | 7,139 | |
Wells Fargo & Co. 5.20% | 654,311 | 15,317 | |
| 22,456 | ||
Consumer Finance - 0.2% | |||
Ally Financial, Inc. 7.00% (h) | 25,686 | 24,273 | |
Real Estate Investment Trusts - 0.1% | |||
Public Storage Series V, 5.375% | 390,000 | 9,204 | |
TOTAL FINANCIALS | 55,933 | ||
TOTAL PREFERRED STOCKS (Cost $52,569) |
|
Floating Rate Loans - 1.7% | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.3% | ||||
Hotels, Restaurants & Leisure - 0.1% | ||||
Centaur Acquisition LLC: | ||||
Tranche 1LN, term loan 5.25% 2/20/19 (m) | $ 1,585 | $ 1,591 | ||
Tranche 2LN, term loan 8.75% 2/20/20 (m) | 1,575 | 1,589 | ||
Graton Economic Development Authority Tranche B, term loan 9% 8/22/18 (m) | 2,295 | 2,393 | ||
Harrah's Entertainment, Inc. Tranche B 6LN, term loan 5.4433% 1/28/18 (m) | 2,874 | 2,544 | ||
Mesquite Gaming LLC term loan 8.5% 8/1/15 (m) | 249 | 222 | ||
MGM Mirage, Inc. Tranche B, term loan 3.5% 12/20/19 (m) | 2,652 | 2,629 | ||
Stockbridge SBE Holdings LLC Tranche B, term loan 13% 5/2/17 (m) | 900 | 932 | ||
| 11,900 | |||
Media - 0.2% | ||||
Clear Channel Capital I LLC Tranche B, term loan 3.8454% 1/29/16 (m) | 1,840 | 1,679 | ||
Clear Channel Communications, Inc. Tranche D, term loan 6.9454% 1/30/19 (m) | 5,428 | 4,939 | ||
Gray Television, Inc. Tranche B, term loan 4.75% 10/11/19 (m) | 2,815 | 2,836 | ||
Livent, Inc.: | ||||
Tranche A, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 8 | 7 | |
Tranche B, term loan 18% 1/15/49 pay-in-kind (a) | CAD | 3 | 3 | |
McGraw-Hill Global Education Holdings, LLC Tranche B, term loan 9% 3/18/19 (m) | 4,274 | 4,199 | ||
TWCC Holding Corp. Tranche 2LN, term loan 7% 12/13/20 (m) | 3,010 | 3,033 | ||
| 16,696 | |||
TOTAL CONSUMER DISCRETIONARY | 28,596 | |||
CONSUMER STAPLES - 0.0% | ||||
Food & Staples Retailing - 0.0% | ||||
BJ's Wholesale Club, Inc. Tranche 2LN, term loan 9.75% 3/26/20 (m) | 545 | 553 | ||
Focus Brands, Inc. Tranche 2LN, term loan 10.25% 8/21/18 (m) | 2,865 | 2,886 | ||
Rite Aid Corp. Tranche 2LN, term loan 5.75% 8/21/20 (m) | 515 | 520 | ||
| 3,959 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
ENERGY - 0.2% | ||||
Oil, Gas & Consumable Fuels - 0.2% | ||||
Alon USA Partners LP term loan 9.25% 11/26/18 (m) | $ 3,239 | $ 3,353 | ||
Arch Coal, Inc. Tranche B, term loan 5.75% 5/16/18 (m) | 3,218 | 3,201 | ||
Crestwood Holdings Partners LLC Tranche B, term loan 6.2305% 5/24/19 (m) | 4,540 | 4,563 | ||
Panda Sherman Power, LLC term loan 9% 9/14/18 (m) | 2,000 | 2,035 | ||
Panda Temple Power, LLC term loan 7.25% 4/3/19 (m) | 1,010 | 1,019 | ||
Samson Investment Co. Tranche 2LN, term loan 6% 9/25/18 (m) | 1,270 | 1,262 | ||
| 15,433 | |||
FINANCIALS - 0.0% | ||||
Insurance - 0.0% | ||||
Asurion LLC Tranche B 1LN, term loan 4.5% 5/24/19 (m) | 3 | 3 | ||
Real Estate Management & Development - 0.0% | ||||
Realogy Corp.: | ||||
Credit-Linked Deposit 3.2037% 10/10/13 (m) | 298 | 297 | ||
Credit-Linked Deposit 4.4537% 10/10/16 (m) | 567 | 567 | ||
| 864 | |||
TOTAL FINANCIALS | 867 | |||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.1% | ||||
DaVita, Inc. Tranche A, term loan 2.95% 10/20/15 (m) | 3,844 | 3,844 | ||
Emergency Medical Services Corp. Tranche B, term loan 4% 5/25/18 (m) | 5,364 | 5,344 | ||
| 9,188 | |||
Life Sciences Tools & Services - 0.2% | ||||
Jaguar Holding Co. II Tranche B, term loan 4.25% 12/5/18 (m) | 12,643 | 12,643 | ||
PRA International Tranche B 1LN, term loan 6.5% 12/10/17 (m) | 4,997 | 5,010 | ||
PRA International Tranche 2LN, term loan 10.5% 12/10/19 (m) | 1,504 | 1,527 | ||
| 19,180 | |||
TOTAL HEALTH CARE | 28,368 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
INDUSTRIALS - 0.2% | ||||
Airlines - 0.0% | ||||
Northwest Airlines Corp. Tranche A, term loan 2.03% 12/31/18 (m) | $ 7,952 | $ 7,395 | ||
Commercial Services & Supplies - 0.1% | ||||
Arysta Lifescience Spc LLC: | ||||
Tranche B 1LN, term loan 4.5% 5/29/20 (m) | 1,745 | 1,732 | ||
Tranche B 2LN, term loan 8.25% 11/30/20 (m) | 1,490 | 1,471 | ||
GCA Services Group, Inc. Tranche 2LN, term loan 9.25% 11/1/20 (m) | 2,195 | 2,239 | ||
Tervita Corp. Tranche B 1LN, term loan 6.25% 5/15/18 (m) | 3,092 | 3,061 | ||
| 8,503 | |||
Machinery - 0.1% | ||||
Pinafore LLC Tranche B 2LN, term loan 3.75% 9/21/16 (m) | 8,783 | 8,816 | ||
TOTAL INDUSTRIALS | 24,714 | |||
INFORMATION TECHNOLOGY - 0.2% | ||||
Communications Equipment - 0.1% | ||||
Cequel Communications LLC Tranche B, term loan 3.5% 2/14/19 (m) | 12,513 | 12,404 | ||
Electronic Equipment & Components - 0.0% | ||||
Flextronics International Ltd.: | ||||
Tranche B A1, term loan 2.4454% 10/1/14 (m) | 139 | 139 | ||
Tranche B A2, term loan 2.4454% 10/1/14 (m) | 300 | 300 | ||
Tranche B A3, term loan 2.4454% 10/1/14 (m) | 350 | 350 | ||
Tranche BA, term loan 2.4454% 10/1/14 (m) | 485 | 485 | ||
| 1,274 | |||
IT Services - 0.0% | ||||
CompuCom Systems, Inc. Tranche B, term loan 4.25% 5/9/20 (m) | 860 | 845 | ||
Software - 0.1% | ||||
ION Trading Technologies Ltd.: | ||||
Tranche 1LN, term loan 4.5% 5/22/20 (m) | 640 | 636 | ||
Tranche 2LN, term loan 8.25% 5/22/21 (m) | 300 | 298 | ||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
INFORMATION TECHNOLOGY - continued | ||||
Software - continued | ||||
Kronos, Inc. Tranche 2LN, term loan 9.75% 4/24/20 (m) | $ 6,160 | $ 6,314 | ||
Lawson Software, Inc. Tranche B 2LN, term loan 5.25% 4/5/18 (m) | 1,386 | 1,390 | ||
| 8,638 | |||
TOTAL INFORMATION TECHNOLOGY | 23,161 | |||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
U.S. Coatings Acquisition, Inc. Tranche B, term loan 4.75% 1/14/20 (m) | 2,758 | 2,756 | ||
Metals & Mining - 0.0% | ||||
Ameriforge Group, Inc.: | ||||
Tranche B 1LN, term loan 5% 1/25/20 (m) | 811 | 806 | ||
Tranche B 2LN, term loan 8.75% 1/25/21 (m) | 490 | 494 | ||
| 1,300 | |||
TOTAL MATERIALS | 4,056 | |||
TELECOMMUNICATION SERVICES - 0.1% | ||||
Diversified Telecommunication Services - 0.1% | ||||
FairPoint Communications, Inc. Tranche B, term loan 7.5% 2/14/19 (m) | 7,212 | 7,086 | ||
Integra Telecom Holdings, Inc. Tranche 2LN, term loan 9.75% 2/14/20 (m) | 395 | 399 | ||
| 7,485 | |||
Wireless Telecommunication Services - 0.0% | ||||
Digicel International Finance Ltd. Tranche D 1LN, term loan 3.8125% 3/31/17 (m) | 3,385 | 3,360 | ||
Vodafone Americas Finance 2, Inc. term loan 6.875% 8/11/15 | 485 | 495 | ||
| 3,855 | |||
TOTAL TELECOMMUNICATION SERVICES | 11,340 | |||
Floating Rate Loans - continued | ||||
| Principal Amount (000s)(e) | Value (000s) | ||
UTILITIES - 0.4% | ||||
Electric Utilities - 0.3% | ||||
Texas Competitive Electric Holdings Co. LLC/Texas Competitive Electric Holdings Finance, Inc. Tranche B, term loan 4.7199% 10/10/17 (m) | $ 52,601 | $ 36,887 | ||
Gas Utilities - 0.0% | ||||
Everest Acquisition LLC Tranche B 3LN, term loan 3.5% 5/24/18 (m) | 2,650 | 2,617 | ||
Independent Power Producers & Energy Traders - 0.1% | ||||
Calpine Corp. Tranche B, term loan 4% 4/1/18 (m) | 5 | 5 | ||
LSP Madison Funding LLC Tranche 1LN, term loan 5.576% 6/28/19 (m) | 3,070 | 3,078 | ||
Tempus Public Foundation Generation Holdings LLC Tranche B, term loan 4.75% 12/31/17 (m) | 2,470 | 2,467 | ||
| 5,550 | |||
TOTAL UTILITIES | 45,054 | |||
TOTAL FLOATING RATE LOANS (Cost $186,021) |
| |||
Sovereign Loan Participations - 0.1% | ||||
| ||||
Indonesian Republic loan participation: | ||||
Citibank 1.1875% 12/14/19 (m) | 4,459 | 4,057 | ||
Goldman Sachs 1.1875% 12/14/19 (m) | 4,086 | 3,718 | ||
1.1875% 12/14/19 (m) | 2,919 | 2,656 | ||
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $10,191) |
|
Fixed-Income Funds - 0.6% | |||
Shares |
| ||
Fidelity Floating Rate Central Fund (n) | 574,640 |
| |
Preferred Securities - 0.6% | |||
Principal Amount (000s)(e) | Value (000s) | ||
CONSUMER DISCRETIONARY - 0.1% | |||
Media - 0.1% | |||
Globo Comunicacoes e Participacoes SA 6.25% (f)(h)(i) | $ 8,580 | $ 8,986 | |
NBCUniversal Enterprise, Inc. 5.25% (h)(i) | 7,335 | 7,348 | |
| 16,334 | ||
CONSUMER STAPLES - 0.0% | |||
Food Products - 0.0% | |||
Cosan Overseas Ltd. 8.25% (i) | 3,330 | 3,439 | |
ENERGY - 0.0% | |||
Oil, Gas & Consumable Fuels - 0.0% | |||
Reliance Industries Ltd. 5.875% (h)(i) | 2,800 | 2,510 | |
FINANCIALS - 0.4% | |||
Commercial Banks - 0.0% | |||
Wells Fargo & Co. 7.98% (i)(m) | 2,035 | 2,347 | |
Diversified Financial Services - 0.4% | |||
Bank of America Corp.: | |||
5.2% (i)(m) | 8,930 | 8,435 | |
8% (i)(m) | 3,065 | 3,505 | |
8.125% (i)(m) | 2,245 | 2,538 | |
Citigroup, Inc. 5.95% (i)(m) | 23,110 | 23,922 | |
| 38,400 | ||
TOTAL FINANCIALS | 40,747 | ||
INDUSTRIALS - 0.0% | |||
Construction & Engineering - 0.0% | |||
Odebrecht Finance Ltd. 7.5% (Reg. S) (i) | 350 | 348 | |
MATERIALS - 0.1% | |||
Metals & Mining - 0.1% | |||
CSN Islands XII Corp. 7% (Reg. S) (i) | 7,690 | 6,971 | |
TOTAL PREFERRED SECURITIES (Cost $69,419) |
| ||
Other - 0.0% | |||
Shares | Value (000s) | ||
Other - 0.0% | |||
Idearc, Inc. Claim (a) | 1,675,371 | $ 0 | |
Money Market Funds - 2.9% |
|
Fidelity Cash Central Fund, 0.13% (b) | 326,362,751 |
| |
TOTAL INVESTMENT PORTFOLIO - 99.8% (Cost $10,955,552) | 11,127,288 | ||
NET OTHER ASSETS (LIABILITIES) (c) - 0.2% | 26,900 | ||
NET ASSETS - 100% | $ 11,154,188 | ||
TBA Sale Commitments | |||
| Principal Amount (000s) |
| |
Fannie Mae | |||
3% 7/1/43 | $ (32,200) | (31,450) | |
3% 7/1/43 | (32,200) | (31,451) | |
TOTAL TBA SALE COMMITMENTS (Proceeds $63,447) | $ (62,901) |
Futures Contracts | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Purchased | |||||
Treasury Contracts | |||||
573 CBOT 2 Year U.S. Treasury Note Contracts | Sept. 2013 | $ 126,060 | $ (243) | ||
75 CBOT 30 Year U.S. Treasury Bond Contracts | Sept. 2013 | 10,188 | (284) | ||
27 CBOT Ultra Long Term U.S. Treasury Bond Contracts | Sept. 2013 | 3,977 | (152) | ||
TOTAL PURCHASED | $ 140,225 | $ (679) | |||
Futures Contracts - continued | |||||
Expiration Date | Underlying Face Amount at Value (000s) | Unrealized Appreciation/ | |||
Sold | |||||
Treasury Contracts | |||||
106 CBOT 5 Year U.S. Treasury Note Contracts | Sept. 2013 | $ 12,831 | $ (61) | ||
| $ 153,056 | $ (740) |
|
The face value of futures purchased as a percentage of net assets is 1.2% |
|
The face value of futures sold as a percentage of net assets is 0.1% |
Swaps | |||||||
Interest Rate Swaps | |||||||
Clearinghouse/ | Expiration | Notional | Payment | Payment | Value | Upfront | Unrealized |
CME | Jun. 2043 | $ 45,741 | 3-month LIBOR | 3.25% | $ 1,708 | $ - | $ 1,708 |
|
(1) Swaps with CME Group (CME) are centrally cleared over-the-counter (OTC) swaps. |
(2) Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation). |
Currency Abbreviations | ||
BRL | - | Brazilian real |
CAD | - | Canadian dollar |
EUR | - | European Monetary Unit |
GBP | - | British pound |
INR | - | Indian rupee |
JPY | - | Japanese yen |
NGN | - | Nigerian naira |
RUB | - | Russian ruble |
TRY | - | Turkish Lira |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(c) Includes cash collateral of $25,580,000 received from securities on loan. |
(d) Non-income producing - Security is in default. |
(e) Amount is stated in United States dollars unless otherwise noted. |
(f) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(g) Security or a portion of the security is on loan at period end. |
(h) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $2,180,944,000 or 19.6% of net assets. |
(i) Security is perpetual in nature with no stated maturity date. |
(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 period end, the value of securities pledged amounted to $438,000. |
(l) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $4,051,000. |
(m) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end. |
(n) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. A complete unaudited schedule of portfolio holdings for each Fidelity Central Fund is filed with the SEC for the first and third quarters of each fiscal year on Form N-Q and is available upon request or at the SEC's website at www.sec.gov. An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro rata share of securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request. |
(o) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period. |
(p) Quantity represents share amount. |
(q) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event. |
(r) Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Fund. |
(s) 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 $8,581,000 or 0.1% of net assets. |
Additional information on each restricted holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Aleris International, Inc. | 6/1/10 | $ 1,341 |
HMH Holdings, Inc. warrants 6/22/19 | 6/22/12 | $ 62 |
RDA Holding Co. warrants 2/19/14 | 2/27/07 | $ 3,000 |
Station Holdco LLC | 6/17/11 - 3/15/12 | $ 5,096 |
Station Holdco LLC unit | 3/12/13 - 4/1/13 | $ 4 |
Station Holdco LLC warrants 6/15/18 | 4/29/08 - 11/25/08 | $ 15,269 |
* 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 | $ 253 |
Fidelity Floating Rate Central Fund | 1,554 |
Total | $ 1,807 |
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, end of |
Fidelity Floating Rate Central Fund | $ 60,326 | $ - | $ - | $ 60,849 | 4.5% |
Other Information |
The following is a summary of the inputs used, as of June 30, 2013, 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 table below, please refer to the Investment Valuation section in the accompanying Notes to Financial Statements. |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Investments in Securities: | ||||
Equities: | ||||
Consumer Discretionary | $ 21,463 | $ 9,026 | $ 5,034 | $ 7,403 |
Consumer Staples | 1,052 | - | 642 | 410 |
Financials | 55,933 | 31,660 | 24,273 | - |
Industrials | 26,828 | 16,851 | - | 9,977 |
Information Technology | 1,051 | 1,051 | - | - |
Materials | 3,811 | 821 | - | 2,990 |
Utilities | 223 | 223 | - | - |
Corporate Bonds | 4,605,809 | - | 4,605,545 | 264 |
U.S. Government and Government Agency Obligations | 2,276,618 | - | 2,276,618 | - |
U.S. Government Agency - Mortgage Securities | 558,549 | - | 558,549 | - |
Asset-Backed Securities | 4,794 | - | 4,794 | - |
Collateralized Mortgage Obligations | 358,250 | - | 358,250 | - |
Commercial Mortgage Securities | 93,926 | - | 93,926 | - |
Foreign Government and Government Agency Obligations | 2,456,143 | - | 2,449,361 | 6,782 |
Supranational Obligations | 9,298 | - | 9,298 | - |
Floating Rate Loans | 185,548 | - | 170,470 | 15,078 |
Sovereign Loan Participations | 10,431 | - | - | 10,431 |
Fixed-Income Funds | 60,849 | 60,849 | - | - |
Preferred Securities | 70,349 | - | 70,349 | - |
Other | - | - | - | - |
Money Market Funds | 326,363 | 326,363 | - | - |
Total Investments in Securities: | $ 11,127,288 | $ 446,844 | $ 10,627,109 | $ 53,335 |
Valuation Inputs at Reporting Date: | ||||
Description | Total | Level 1 | Level 2 | Level 3 |
Derivative Instruments: (Amounts in thousands) | ||||
Assets | ||||
Swaps | $ 1,708 | $ - | $ 1,708 | $ - |
Liabilities | ||||
Futures Contracts | $ (740) | $ (740) | $ - | $ - |
Total Derivative Instruments: | $ 968 | $ (740) | $ 1,708 | $ - |
Other Financial Instruments: | ||||
TBA Sale Commitments | $ (62,901) | $ - | $ (62,901) | $ - |
Value of Derivative Instruments |
The following table is a summary of the Fund's value of derivative instruments by primary risk exposure as of June 30, 2013. For additional information on derivative instruments, please refer to the Derivative Instruments section in the accompanying Notes to Financial Statements. |
Primary Risk Exposure / | Value | |
| Asset | Liability |
Interest Rate Risk | ||
Futures Contracts (a) | $ - | $ (740) |
Swaps (b) | 1,708 | - |
Total Value of Derivatives | $ 1,708 | $ (740) |
(a) Reflects gross cumulative appreciation/(depreciation) on futures contracts as presented in the Schedule of Investments. Only the period end variation margin is separately presented in the Statement of Assets and Liabilities and is included in the receivable/payable for daily variation margin for derivative instruments line-items. |
(b) For centrally cleared OTC swaps, reflects gross cumulative appreciation (depreciation) as presented in the Schedule of Investments. For centrally cleared OTC swaps, only the period end receivable or payable for daily variation margin and net unrealized appreciation (depreciation) are presented in the Statement of Assets and Liabilities. |
Other Information |
Distribution of investments by country or territory of incorporation, as a percentage of total net assets, is as follows. (Unaudited) |
United States of America | 64.7% |
Canada | 3.5% |
Germany | 2.9% |
United Kingdom | 2.6% |
Japan | 2.4% |
Luxembourg | 2.2% |
Italy | 2.1% |
Venezuela | 1.9% |
Netherlands | 1.4% |
Mexico | 1.3% |
Bermuda | 1.1% |
Argentina | 1.1% |
Turkey | 1.1% |
France | 1.0% |
Others (Individually Less Than 1%) | 10.7% |
| 100.0% |
The information in the above table is based on the combined investments of the Fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2013 (Unaudited) | |
|
|
|
Assets | ||
Investment in securities, at value (including securities loaned of $25,033) - See accompanying schedule: Unaffiliated issuers (cost $10,590,090) | $ 10,740,076 |
|
Fidelity Central Funds (cost $365,462) | 387,212 |
|
Total Investments (cost $10,955,552) |
| $ 11,127,288 |
Cash |
| 33,417 |
Receivable for investments sold, regular delivery | 409,341 | |
Receivable for TBA sale commitments |
| 63,447 |
Receivable for fund shares sold | 12,999 | |
Dividends receivable | 162 | |
Interest receivable | 130,000 | |
Distributions receivable from Fidelity Central Funds | 286 | |
Other receivables | 1 | |
Total assets | 11,776,941 | |
|
|
|
Liabilities | ||
Payable for investments purchased | $ 327,915 | |
Delayed delivery | 142,287 | |
TBA sale commitments, at value | 62,901 | |
Payable for fund shares redeemed | 46,688 | |
Distributions payable | 6,778 | |
Accrued management fee | 5,415 | |
Distribution and service plan fees payable | 3,253 | |
Payable for daily variation margin for derivative instruments | 202 | |
Other affiliated payables | 1,581 | |
Other payables and accrued expenses | 153 | |
Collateral on securities loaned, at value | 25,580 | |
Total liabilities | 622,753 | |
|
|
|
Net Assets | $ 11,154,188 | |
Net Assets consist of: |
| |
Paid in capital | $ 10,846,026 | |
Undistributed net investment income | 84,228 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | 53,425 | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 170,509 | |
Net Assets | $ 11,154,188 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
Amounts in thousands (except per-share amounts) | June 30, 2013 (Unaudited) | |
|
|
|
Calculation of Maximum Offering Price Class A: | $ 12.18 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.18) | $ 12.69 | |
Class T: | $ 12.18 | |
|
|
|
Maximum offering price per share (100/96.00 of $12.18) | $ 12.69 | |
Class B: | $ 12.22 | |
|
|
|
Class C: | $ 12.15 | |
|
|
|
Institutional Class: | $ 12.33 |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Amounts in thousands | Six months ended June 30, 2013 (Unaudited) | |
|
|
|
Investment Income |
|
|
Dividends |
| $ 3,555 |
Interest |
| 265,627 |
Income from Fidelity Central Funds |
| 1,807 |
Total income |
| 270,989 |
|
|
|
Expenses | ||
Management fee | $ 34,071 | |
Transfer agent fees | 8,756 | |
Distribution and service plan fees | 20,512 | |
Accounting and security lending fees | 830 | |
Custodian fees and expenses | 204 | |
Independent trustees' compensation | 23 | |
Registration fees | 203 | |
Audit | 61 | |
Legal | 33 | |
Miscellaneous | 67 | |
Total expenses before reductions | 64,760 | |
Expense reductions | (3) | 64,757 |
Net investment income (loss) | 206,232 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities: |
|
|
Unaffiliated issuers | 74,082 | |
Foreign currency transactions | (1,493) | |
Futures contracts | (977) | |
Swaps | 8,942 |
|
Total net realized gain (loss) |
| 80,554 |
Change in net unrealized appreciation (depreciation) on: Investment securities | (564,134) | |
Assets and liabilities in foreign currencies | 550 | |
Futures contracts | (593) | |
Swaps | (581) | |
Delayed delivery commitments | 546 |
|
Total change in net unrealized appreciation (depreciation) |
| (564,212) |
Net gain (loss) | (483,658) | |
Net increase (decrease) in net assets resulting from operations | $ (277,426) |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Amounts in thousands | Six months ended June 30, 2013 | Year ended |
Increase (Decrease) in Net Assets |
|
|
Operations |
|
|
Net investment income (loss) | $ 206,232 | $ 423,653 |
Net realized gain (loss) | 80,554 | 177,978 |
Change in net unrealized appreciation (depreciation) | (564,212) | 513,247 |
Net increase (decrease) in net assets resulting | (277,426) | 1,114,878 |
Distributions to shareholders from net investment income | (194,830) | (387,905) |
Distributions to shareholders from net realized gain | (1,940) | (183,452) |
Total distributions | (196,770) | (571,357) |
Share transactions - net increase (decrease) | (708,648) | 1,696,996 |
Total increase (decrease) in net assets | (1,182,844) | 2,240,517 |
|
|
|
Net Assets | ||
Beginning of period | 12,337,032 | 10,096,515 |
End of period (including undistributed net investment income of $84,228 and undistributed net investment income of $72,826, respectively) | $ 11,154,188 | $ 12,337,032 |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.69 | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 | $ 11.62 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .221 | .479 | .536 | .622 | .681 | .600 |
Net realized and unrealized gain (loss) | (.519) | .776 | .009 | .500 | 2.345 | (1.826) |
Total from investment operations | (.298) | 1.255 | .545 | 1.122 | 3.026 | (1.226) |
Distributions from net investment income | (.210) | (.442) | (.572) | (.582) | (.566) | (.554) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.212) | (.635) | (.855) | (.872) | (.666) | (.624) |
Net asset value, end of period | $ 12.18 | $ 12.69 | $ 12.07 | $ 12.38 | $ 12.13 | $ 9.77 |
Total Return B, C, D | (2.39)% | 10.57% | 4.47% | 9.48% | 31.74% | (10.98)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .98% A | .98% | .99% | .99% | 1.01% | 1.02% |
Expenses net of fee waivers, if any | .98% A | .98% | .99% | .99% | 1.01% | 1.02% |
Expenses net of all reductions | .98% A | .98% | .99% | .99% | 1.01% | 1.02% |
Net investment income (loss) | 3.54% A | 3.83% | 4.29% | 5.00% | 6.14% | 5.49% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 4,967 | $ 5,582 | $ 4,746 | $ 4,169 | $ 3,725 | $ 2,174 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.68 | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 | $ 11.62 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .221 | .479 | .536 | .621 | .675 | .607 |
Net realized and unrealized gain (loss) | (.509) | .766 | .009 | .511 | 2.341 | (1.832) |
Total from investment operations | (.288) | 1.245 | .545 | 1.132 | 3.016 | (1.225) |
Distributions from net investment income | (.210) | (.442) | (.572) | (.582) | (.566) | (.555) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.212) | (.635) | (.855) | (.872) | (.666) | (.625) |
Net asset value, end of period | $ 12.18 | $ 12.68 | $ 12.07 | $ 12.38 | $ 12.12 | $ 9.77 |
Total Return B, C, D | (2.31)% | 10.49% | 4.48% | 9.57% | 31.64% | (10.97)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | .98% A | .98% | .98% | .99% | 1.01% | 1.01% |
Expenses net of fee waivers, if any | .98% A | .98% | .98% | .99% | 1.01% | 1.01% |
Expenses net of all reductions | .98% A | .98% | .98% | .99% | 1.01% | 1.01% |
Net investment income (loss) | 3.54% A | 3.83% | 4.29% | 5.00% | 6.14% | 5.50% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 1,414 | $ 1,554 | $ 1,471 | $ 1,571 | $ 1,579 | $ 1,337 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.72 | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 | $ 11.65 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .177 | .391 | .449 | .535 | .600 | .525 |
Net realized and unrealized gain (loss) | (.510) | .765 | .007 | .509 | 2.348 | (1.831) |
Total from investment operations | (.333) | 1.156 | .456 | 1.044 | 2.948 | (1.306) |
Distributions from net investment income | (.165) | (.353) | (.483) | (.494) | (.488) | (.474) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.167) | (.546) | (.766) | (.784) | (.588) | (.544) |
Net asset value, end of period | $ 12.22 | $ 12.72 | $ 12.11 | $ 12.42 | $ 12.16 | $ 9.80 |
Total Return B, C, D | (2.65)% | 9.67% | 3.72% | 8.77% | 30.72% | (11.60)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.70% A | 1.69% | 1.69% | 1.70% | 1.72% | 1.76% |
Expenses net of fee waivers, if any | 1.70% A | 1.69% | 1.69% | 1.70% | 1.72% | 1.75% |
Expenses net of all reductions | 1.70% A | 1.69% | 1.69% | 1.70% | 1.72% | 1.75% |
Net investment income (loss) | 2.82% A | 3.12% | 3.59% | 4.30% | 5.43% | 4.76% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 165 | $ 204 | $ 244 | $ 307 | $ 348 | $ 267 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.66 | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 | $ 11.60 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) E | .173 | .384 | .441 | .528 | .597 | .517 |
Net realized and unrealized gain (loss) | (.518) | .767 | .010 | .512 | 2.327 | (1.817) |
Total from investment operations | (.345) | 1.151 | .451 | 1.040 | 2.924 | (1.300) |
Distributions from net investment income | (.163) | (.348) | (.478) | (.490) | (.484) | (.470) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.165) | (.541) | (.761) | (.780) | (.584) | (.540) |
Net asset value, end of period | $ 12.15 | $ 12.66 | $ 12.05 | $ 12.36 | $ 12.10 | $ 9.76 |
Total Return B, C, D | (2.76)% | 9.68% | 3.71% | 8.77% | 30.60% | (11.59)% |
Ratios to Average Net Assets F, H |
|
|
|
|
| |
Expenses before reductions | 1.74% A | 1.73% | 1.74% | 1.74% | 1.75% | 1.79% |
Expenses net of fee waivers, if any | 1.74% A | 1.73% | 1.74% | 1.74% | 1.75% | 1.79% |
Expenses net of all reductions | 1.74% A | 1.73% | 1.74% | 1.74% | 1.75% | 1.79% |
Net investment income (loss) | 2.78% A | 3.08% | 3.54% | 4.26% | 5.40% | 4.72% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,041 | $ 2,238 | $ 1,824 | $ 1,609 | $ 1,336 | $ 800 |
Portfolio turnover rate G | 164% A | 126% | 221% | 207% | 202% | 255% |
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) | 2012 | 2011 | 2010 | 2009 | 2008 |
Selected Per-Share Data |
|
|
|
|
|
|
Net asset value, beginning of period | $ 12.84 | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 | $ 11.72 |
Income from Investment Operations |
|
|
|
|
|
|
Net investment income (loss) D | .239 | .514 | .570 | .657 | .710 | .635 |
Net realized and unrealized gain (loss) | (.523) | .779 | .003 | .514 | 2.361 | (1.835) |
Total from investment operations | (.284) | 1.293 | .573 | 1.171 | 3.071 | (1.200) |
Distributions from net investment income | (.224) | (.470) | (.600) | (.611) | (.591) | (.580) |
Distributions from net realized gain | (.002) | (.193) | (.283) | (.290) | (.100) | (.070) |
Total distributions | (.226) | (.663) | (.883) | (.901) | (.691) | (.650) |
Net asset value, end of period | $ 12.33 | $ 12.84 | $ 12.21 | $ 12.52 | $ 12.25 | $ 9.87 |
Total Return B, C | (2.25)% | 10.78% | 4.66% | 9.80% | 31.92% | (10.67)% |
Ratios to Average Net Assets E, G |
|
|
|
|
| |
Expenses before reductions | .75% A | .75% | .76% | .76% | .78% | .78% |
Expenses net of fee waivers, if any | .75% A | .75% | .76% | .76% | .78% | .78% |
Expenses net of all reductions | .75% A | .75% | .76% | .76% | .78% | .78% |
Net investment income (loss) | 3.77% A | 4.07% | 4.52% | 5.23% | 6.37% | 5.73% |
Supplemental Data |
|
|
|
|
|
|
Net assets, end of period (in millions) | $ 2,567 | $ 2,759 | $ 1,812 | $ 1,481 | $ 1,156 | $ 750 |
Portfolio turnover rate F | 164% A | 126% | 221% | 207% | 202% | 255% |
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, 2013 (Unaudited)
(Amounts in thousands except percentages)
1. Organization.
Fidelity Advisor® Strategic Income Fund (the Fund) is a fund of Fidelity Advisor Series II (the Trust) and is authorized to issue an unlimited number of shares. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust. The Fund offers Class A, Class T, Class C and Institutional Class shares, each of which, along with Class B shares, has equal rights as to assets and voting privileges. Class B shares are closed to new accounts and additional purchases, except for exchanges and reinvestments. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase.
2. Investments in Fidelity Central Funds.
The Fund invests in Fidelity Central Funds, which are open-end investment companies generally available only to other investment companies and accounts managed by 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 its investment objective, each Fidelity Central Fund may invest or participate in various investment vehicles or strategies that are similar to those of the Fund. These strategies are consistent with the investment objectives of the Fund and may involve certain economic risks which may cause a decline in value of each of the Fidelity Central Funds and thus a decline in the value of the Fund. The Money Market Central Funds seek preservation of capital and current income and are managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The following summarizes the Fund's investment in each non-money market Fidelity Central Fund.
Fidelity Central Fund | Investment Manager | Investment Objective | Investment Practices |
Fidelity Floating Rate Central Fund | FMR Co., Inc. (FMRC) | Seeks a high level of income by normally investing in floating rate loans and other floating rate securities. | Loans & Direct Debt Instruments Repurchase Agreements Restricted Securities
|
An unaudited holdings listing for the Fund, which presents direct holdings as well as the pro-rata share of any securities and other investments held indirectly through its investment in underlying non-money market Fidelity Central Funds, is available at advisor.fidelity.com. A complete unaudited list of holdings for each Fidelity Central Fund is available upon request or at the Securities and Exchange Commission (the SEC)
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
2. Investments in Fidelity Central Funds - continued
website at www.sec.gov. In addition, the financial statements of the Fidelity Central Funds which contain the significant accounting policies (including investment valuation policies) of those funds are available on the SEC website or upon request.
3. Significant Accounting Policies.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (GAAP), which require management to make certain estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued have been evaluated in the preparation of the financial statements. The following summarizes the significant accounting policies of the Fund:
Investment Valuation. Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. In accordance with valuation policies and procedures approved by the Board of Trustees (the Board), the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the FMR Fair Value Committee (the Committee), in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund's valuation policies and procedures and is responsible for approving and reporting to the Board all fair value determinations.
The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels as shown below:
Level 1 - quoted prices in active markets for identical investments
Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, etc.)
Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available)
Valuation techniques used to value the Fund's investments by major category are as follows:
Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. For corporate bonds, floating rate loans, foreign government and government
Semiannual Report
3. Significant Accounting Policies - continued
Investment Valuation - continued
agency obligations, preferred securities, supranational obligations, U.S. government and government agency obligations and sovereign loan participations, pricing vendors utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type as well as broker-supplied prices. For asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities, pricing vendors 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 broker-supplied prices. Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates. When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances. The Fund invests a significant portion of its assets in below investment grade securities. The value of these securities can be more volatile due to changes in the credit quality of the issuer and is sensitive to changes in economic, market and regulatory conditions.
Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. Utilizing these techniques may result in transfers between Level 1 and Level 2. For restricted securities and private placements where observable inputs are limited, assumptions about market activity and risk are used and these securities are generally categorized as Level 3 in the hierarchy.
Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy. Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value (NAV) each business day and are categorized as Level 1 in the hierarchy.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
3. Significant Accounting Policies - continued
Investment Valuation - continued
Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. The aggregate value of investments by input level, as of June 30, 2013, is included at the end of the Fund's Schedule of Investments.
Foreign Currency. The Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Gains and losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rates at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. For financial reporting purposes, the Fund's investment holdings and NAV include trades executed through the end of the last business day of the period. The NAV per share for processing shareholder transactions is calculated as of the close of business of the New York Stock Exchange (NYSE), normally 4:00 p.m. Eastern time and includes trades executed through the end of the prior business day. Gains and losses on securities sold are determined on the basis of identified cost. 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. Subsequent to ex-dividend date the Fund determines the components of these distributions, based upon receipt of tax filings or other correspondence relating to the underlying investment. Interest income 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 amount on inflation-indexed securities is periodically adjusted to the rate of inflation and interest is accrued based on the principal amount. The adjustments to principal due to inflation are reflected as increases or decreases to Interest in the accompanying Statement of Operations. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt
Semiannual Report
3. Significant Accounting Policies - continued
Investment Transactions and Income - continued
obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured.
Class Allocations and Expenses. Investment income, realized and unrealized capital gains and losses, common expenses of the Fund, and certain fund-level expense reductions, if any, are allocated 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. Expenses directly attributable to a fund are charged to that fund. Expenses attributable to more than one fund are allocated among the respective funds on the basis of relative net assets or other appropriate methods. Expense estimates are accrued in the period to which they relate and adjustments are made when actual amounts are known.
Income Tax Information and Distributions to Shareholders. Each year, the Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code, including distributing substantially all of its taxable income and realized gains. As a result, no provision for income taxes is required. The Fund files a U.S. federal tax return, in addition to state and local tax returns as required. A fund's federal income tax returns are subject to examination by the Internal Revenue Service (IRS) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. Foreign taxes are provided for based on the Fund's understanding of the tax rules and rates that exist in the foreign markets in which it invests.
Dividends are declared and recorded daily and paid monthly from net investment income. Distributions from realized gains, if any, are declared and recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to futures contracts, swaps, foreign currency transactions, market discount, partnerships, deferred trustees compensation and losses deferred due to wash sales and excise tax regulations.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
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 | $ 467,430 |
Gross unrealized depreciation | (254,268) |
Net unrealized appreciation (depreciation) on securities and other investments | $ 213,162 |
|
|
Tax cost | $ 10,914,126 |
Delayed Delivery Transactions and When-Issued Securities. During the period, the Fund transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in the Fund's Schedule of Investments. The Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls. During the period, the Fund transacted in TBA securities that involved buying or selling mortgage-backed securities (MBS) on a forward commitment basis. A TBA transaction typically does not designate the actual security to be delivered and only includes an approximate principal amount; however delivered securities must meet specified terms defined by industry guidelines, including issuer, rate and current principal amount outstanding on underlying mortgage pools. The Fund may enter into a TBA transaction with the intent to take possession of or deliver the underlying MBS, or the Fund may elect to extend the settlement by entering into either a mortgage or reverse mortgage dollar roll. Mortgage dollar rolls are transactions where a fund sells TBA securities and simultaneously agrees to repurchase MBS on a later date at a lower price and with the same counterparty. Reverse mortgage dollar rolls involve the purchase and simultaneous agreement to sell TBA securities on a later date at a lower price. Transactions in mortgage dollar rolls and reverse mortgage dollar rolls are accounted for as purchases and sales and may result in an increase to the Fund's portfolio turnover rate.
Semiannual Report
3. Significant Accounting Policies - continued
To-Be-Announced (TBA) Securities and Mortgage Dollar Rolls - continued
Purchases and sales of TBA securities involve risks similar to those discussed above for delayed delivery and when-issued securities. Also, if the counterparty in a mortgage dollar roll or a reverse mortgage dollar roll transaction files for bankruptcy or becomes insolvent, the Fund's right to repurchase or sell securities may be limited. Additionally, when a fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund's Schedule of Investments under the caption "TBA Sale Commitments." The proceeds and value of these commitments are reflected in the Fund's Statement of Assets and Liabilities as Receivable for TBA sale commitments and TBA sale commitments, at value, respectively.
Restricted Securities. The Fund may invest in securities that are subject to legal or contractual restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are registered. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at an acceptable price may be difficult. Information regarding restricted securities is included at the end of the Fund's Schedule of Investments.
Loans and Other Direct Debt Instruments. The Fund invests in direct debt instruments which are interests in amounts owed to lenders by corporate or other borrowers. These instruments may be in the form of loans, trade claims or other receivables and may include standby financing commitments such as revolving credit facilities that obligate the Fund to supply additional cash to the borrower on demand. Loans may be acquired through assignment or participation, or may be made directly to a borrower. The Fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these loans. The Fund did not have any unfunded loan commitments, which are contractual obligations for future funding, at period end.
4. Derivative Instruments.
Risk Exposures and the Use of Derivative Instruments. The Fund's investment objective allows the Fund to enter into various types of derivative contracts, including futures contracts, options and swaps. Derivatives are investments whose value is primarily derived from underlying assets, indices or reference rates and may be transacted on
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
an exchange or over-the-counter (OTC). Derivatives may involve a future commitment to buy or sell a specified asset based on specified terms, to exchange future cash flows at periodic intervals based on a notional principal amount, or for one party to make one or more payments upon the occurrence of specified events in exchange for periodic payments from the other party.
The Fund used derivatives to increase returns, to gain exposure to certain types of assets and to manage exposure to certain risks as defined below. The success of any strategy involving derivatives depends on analysis of numerous economic factors, and if the strategies for investment do not work as intended, the Fund may not achieve its objectives.
The Fund's use of derivatives increased or decreased its exposure to the following risk:
Interest Rate Risk | Interest rate risk relates to the fluctuations in the value of interest-bearing securities due to changes in the prevailing levels of market interest rates. |
The Fund is also exposed to additional risks from investing in derivatives, such as liquidity risk and counterparty credit risk. Liquidity risk is the risk that the Fund will be unable to close out the derivative in the open market in a timely manner. Counterparty credit risk is the risk that the counterparty will not be able to fulfill its obligation to the Fund. Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain OTC derivatives such as options and bi-lateral swaps, the Fund attempts to reduce its exposure to counterparty credit risk by entering into an International Swaps and Derivatives Association, Inc. (ISDA) Master Agreement with each of its counterparties. The ISDA Master Agreement gives the Fund the right to terminate all transactions traded under such agreement upon the deterioration in the credit quality of the counterparty beyond specified levels. The ISDA Master Agreement gives each party the right, upon an event of default by the other party or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net payable by one party to the other. To mitigate counterparty credit risk on bi-lateral OTC derivatives, the Fund receives collateral in the form of cash or securities once the Fund's net unrealized appreciation on outstanding derivative contracts under an ISDA Master Agreement exceeds certain applicable thresholds, subject to certain minimum transfer provisions. The collateral received is held in segregated accounts with the Fund's custodian bank in accordance with the collateral agreements entered into between the Fund, the counterparty and the Fund's custodian bank. The Fund could experience delays and costs in gaining access to the collateral even though it is held by the Fund's custodian bank. The Fund's maximum risk of loss from counterparty credit risk related to bi-lateral OTC
Semiannual Report
4. Derivative Instruments - continued
Risk Exposures and the Use of Derivative Instruments - continued
derivatives is generally the aggregate unrealized appreciation and unpaid counterparty payments in excess of any collateral pledged by the counterparty to the Fund. The Fund may be required to pledge collateral for the benefit of the counterparties on bi-lateral OTC derivatives in an amount not less than each counterparty's unrealized appreciation on outstanding derivative contracts, subject to certain minimum transfer provisions, and any such pledged collateral is identified in the Schedule of Investments. Exchange-traded futures contracts are not covered by the ISDA Master Agreement; however counterparty credit risk related to exchange-traded futures contracts may be mitigated by the protection provided by the exchange on which they trade. Counterparty credit risk related to centrally cleared OTC swaps may be mitigated by the protection provided by the clearinghouse.
Investing in derivatives may involve greater risks than investing in the underlying assets directly and, to varying degrees, may involve risk of loss in excess of any initial investment and collateral received and amounts recognized in the Statement of Assets and Liabilities. In addition, there may be the risk that the change in value of the derivative contract does not correspond to the change in value of the underlying instrument.
Net Realized Gain (Loss) and Change in Net Unrealized Appreciation (Depreciation) on Derivatives. The table below, which reflects the impacts of derivatives on the financial performance of the Fund, summarizes the net realized gain (loss) and change in net unrealized appreciation (depreciation) for derivatives during the period as presented in the Statement of Operations.
Primary Risk Exposure / | Net Realized | Change in Net |
Interest Rate Risk |
|
|
Futures Contracts | $ (977) | $ (593) |
Purchased Options | 1,335 | - |
Swaps | 8,942 | (581) |
Totals (a) | $ 9,300 | $ (1,174) |
(a) A summary of the value of derivatives by primary risk exposure as of period end is included at the end of the Schedule of Investments and is representative of activity for the period.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
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 daily payments (variation margin) are made or received by a fund depending on the daily fluctuations in the value of the futures contracts and are recorded as unrealized appreciation or (depreciation). This receivable and/or payable, if any, is included in daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Realized gain or (loss) is recorded upon the expiration or closing of a futures contract.
Any open futures contracts at period end are presented in the Schedule of Investments under the caption "Futures Contracts." The underlying face amount at value reflects each contract's exposure to the underlying instrument or index at period end. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments.
Options. Options give the purchaser the right, but not the obligation, to buy (call) or sell (put) an underlying security or financial instrument at an agreed exercise or strike price between or on certain dates. Options obligate the seller (writer) to buy (put) or sell (call) an underlying instrument at the exercise or strike price or cash settle an underlying derivative instrument if the holder exercises the option on or before the expiration date. The Fund used OTC options, such as swaptions, which are options where the underlying instrument is a swap, to manage its exposure to the fluctuations in interest rates.
Upon entering into an options contract, a fund will pay or receive a premium. Premiums paid on purchased options are reflected as cost of investments and premiums received on written options are reflected as a liability on the Statement of Assets and Liabilities. Certain options may be purchased or written with premiums to be paid or received on a future date. Options are valued daily and any unrealized appreciation (depreciation) is reflected on the Statement of Assets and Liabilities. When an option is exercised, the cost or proceeds of the underlying instrument purchased or sold is adjusted by the amount of the premium. When an option is closed the Fund will realize a gain or loss depending on whether the proceeds or amount paid for the closing sale transaction is greater or less than the premium received or paid. When an option expires, gains and losses are realized to the extent of premiums received and paid, respectively. The net realized and unrealized gains (losses) on purchased options are included on the Statement of Operations in net realized gain (loss) and change in net unrealized appreciation
Semiannual Report
4. Derivative Instruments - continued
Options - continued
(depreciation) on investment securities. The net realized gain (loss) and change in net unrealized appreciation (depreciation) on written options are reflected separately on the Statement of Operations.
Any open options at period end are presented in the Schedule of Investments under the captions "Purchased Options," "Purchased Swaptions," "Written Options" and "Written Swaptions," as applicable.
Writing puts and buying calls tend to increase exposure to the underlying instrument while buying puts and writing calls tend to decrease exposure to the underlying instrument. For purchased options, risk of loss is limited to the premium paid, and for written options, risk of loss is the change in value in excess of the premium received.
Swaps. A swap is a contract between two parties to exchange future cash flows at periodic intervals based on a notional principal amount. A bi-lateral OTC swap is a transaction between a fund and a dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty, with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
Bi-lateral OTC swaps are marked-to-market daily and changes in value are reflected in the Statement of Assets and Liabilities in the bi-lateral OTC swaps at value line items. Any upfront premiums paid or received upon entering a bi-lateral OTC swap to compensate for differences between stated terms of the swap and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded in net unrealized appreciation (depreciation) in the Statement of Assets and Liabilities and amortized to realized gain or (loss) ratably over the term of the swap. Any unamortized upfront premiums are presented in the Schedule of Investments.
Centrally cleared OTC swaps require a fund to deposit either cash or securities (initial margin) with the FCM, at the instruction of and for the benefit of the clearinghouse. Securities deposited to meet initial margin requirements are identified in the Schedule of Investments. Centrally cleared OTC swaps are marked-to-market daily and subsequent payments (variation margin) are made or received depending on the daily fluctuations in the value of the swaps and are recorded as unrealized appreciation or (depreciation). These daily payments, if any, are included in receivable or payable for daily variation margin for derivative instruments in the Statement of Assets and Liabilities. Any premiums for centrally cleared OTC swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation) in
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
4. Derivative Instruments - continued
Swaps - continued
the Statement of Assets and Liabilities. Any premiums are recognized as realized gain (loss) upon termination or maturity of the swap.
For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). 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.
Any open swaps at period end are included in the Schedule of Investments under the caption "Swaps."
Interest Rate Swaps. Interest rate swaps are agreements between counterparties to exchange cash flows, one based on a fixed rate, and the other on a floating rate. The Fund entered into interest rate swaps to manage its exposure to interest rate changes. Changes in interest rates can have an effect on both the value of bond holdings as well as the amount of interest income earned. In general, the value of bonds can fall when interest rates rise and can rise when interest rates fall.
5. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $5,157,334 and $5,331,412, respectively.
6. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the Fund with investment management related services for which the Fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the Fund's average net assets and an annualized group fee rate that averaged .11% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and increases as assets under management decrease. For the period, the total annualized management fee rate was .56% of the Fund's average net assets.
Semiannual Report
6. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan Fees. In accordance with Rule 12b-1 of the 1940 Act, the Fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the Fund and providing shareholder support services. For the period, the Distribution and Service Fee rates, total fees and amounts retained by FDC were as follows:
| Distribution | Service | Total Fees | Retained |
Class A | -% | .25% | $ 6,775 | $ 153 |
Class T | -% | .25% | 1,901 | 35 |
Class B | .65% | .25% | 842 | 614 |
Class C | .75% | .25% | 10,994 | 2,225 |
|
|
| $ 20,512 | $ 3,027 |
Sales Load. FDC may receive a front-end sales charge of up to 4.00% for selling Class A shares and Class T shares, some of which is paid to financial intermediaries for selling shares of the Fund. Depending on the holding period, FDC may receive contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. The deferred sales charges range from 5.00% to 1.00% for Class B shares, 1.00% for Class C shares, 1.00% for certain purchases of Class A shares and .25% for certain purchases of Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
| Retained |
Class A | $ 256 |
Class T | 37 |
Class B* | 141 |
Class C* | 148 |
| $ 582 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc., (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the Fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the Fund. FIIOC pays for typesetting, printing and mailing of
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
6. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
shareholder reports, except proxy statements. For the period, transfer agent fees for each applicable class were as follows:
|
Amount | % of |
Class A | $ 3,758 | .14 |
Class T | 1,058 | .14 |
Class B | 185 | .20 |
Class C | 1,558 | .14 |
Institutional Class | 2,197 | .16 |
| $ 8,756 |
|
* 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 each month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
7. Committed Line of Credit.
The Fund participates with other funds managed by FMR or an affiliate in a $4.25 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The Fund has agreed to pay commitment fees on its pro-rata portion of the line of credit, which amounted to $16 and is reflected in Miscellaneous expenses on the Statement of Operations. During the period, there were no borrowings on this line of credit.
8. Security Lending.
The Fund lends portfolio securities from time to time in order to earn additional income. On the settlement date of the loan, the Fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the Fund and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund may apply collateral received from the borrower against the obligation. The Fund may
Semiannual Report
8. Security Lending - continued
experience delays and costs in recovering the securities loaned. Any cash collateral received is maintained at the Fund's custodian and/or invested in cash equivalents. The value of loaned securities and cash collateral at period end are disclosed on the Fund's Statement of Assets and Liabilities. Security lending income represents the income earned on investing cash collateral, less rebates paid to borrowers, plus any premium payments received for lending certain types of securities. Security lending income is presented in the Statement of Operations as a component of interest income. Total security lending income during the period amounted to $102.
9. Expense Reductions.
Through arrangements with the Fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the Fund's expenses. During the period, these credits reduced the Fund's custody expenses by $3.
10. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income |
|
|
Class A | $ 90,178 | $ 184,852 |
Class T | 25,309 | 53,316 |
Class B | 2,439 | 6,329 |
Class C | 28,412 | 56,930 |
Institutional Class | 48,492 | 86,478 |
Total | $ 194,830 | $ 387,905 |
From net realized gain |
|
|
Class A | $ 878 | $ 83,442 |
Class T | 246 | 23,291 |
Class B | 31 | 3,121 |
Class C | 353 | 33,426 |
Institutional Class | 432 | 40,172 |
Total | $ 1,940 | $ 183,452 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except percentages)
11. 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 | 43,562 | 127,635 | $ 550,327 | $ 1,591,154 |
Reinvestment of distributions | 5,474 | 16,767 | 68,787 | 210,697 |
Shares redeemed | (81,331) | (97,467) | (1,022,991) | (1,216,353) |
Net increase (decrease) | (32,295) | 46,935 | $ (403,877) | $ 585,498 |
Class T |
|
|
|
|
Shares sold | 11,603 | 25,754 | $ 146,580 | $ 322,003 |
Reinvestment of distributions | 1,704 | 5,144 | 21,402 | 64,574 |
Shares redeemed | (19,709) | (30,210) | (248,261) | (377,041) |
Net increase (decrease) | (6,402) | 688 | $ (80,279) | $ 9,536 |
Class B |
|
|
|
|
Shares sold | 217 | 1,036 | $ 2,745 | $ 12,969 |
Reinvestment of distributions | 151 | 585 | 1,909 | 7,368 |
Shares redeemed | (2,851) | (5,747) | (36,053) | (71,921) |
Net increase (decrease) | (2,483) | (4,126) | $ (31,399) | $ (51,584) |
Class C |
|
|
|
|
Shares sold | 14,306 | 46,989 | $ 180,429 | $ 585,374 |
Reinvestment of distributions | 1,771 | 5,565 | 22,197 | 69,818 |
Shares redeemed | (25,001) | (27,147) | (313,602) | (338,449) |
Net increase (decrease) | (8,924) | 25,407 | $ (110,976) | $ 316,743 |
Institutional Class |
|
|
|
|
Shares sold | 36,813 | 108,793 | $ 470,441 | $ 1,371,632 |
Reinvestment of distributions | 3,027 | 7,682 | 38,506 | 97,784 |
Shares redeemed | (46,539) | (49,978) | (591,064) | (632,613) |
Net increase (decrease) | (6,699) | 66,497 | $ (82,117) | $ 836,803 |
12. Other.
The Fund's organizational documents provide former and current trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund's maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.
Semiannual Report
13. Credit Risk.
The Fund's relatively large investment in countries with limited or developing capital markets may involve greater risks than investments in more developed markets and the prices of such investments may be volatile. The yields of emerging market debt obligations reflect, among other things, perceived credit risk. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of the Fund's investments and the income they generate, as well as the Fund's ability to repatriate such amounts.
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
Smithfield, RI
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
State Street Bank and Trust Company
Quincy, MA
(Fidelity Investment logo)(registered trademark)
SI-USAN-0813 1.787775.110
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Not applicable.
(b) Not applicable
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) |
| Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | August 27, 2013 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/Stephanie J. Dorsey |
| Stephanie J. Dorsey |
| President and Treasurer |
|
|
Date: | August 27, 2013 |
By: | /s/Christine Reynolds |
| Christine Reynolds |
| Chief Financial Officer |
|
|
Date: | August 27, 2013 |