UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4707
Fidelity Advisor Series II
(Exact name of registrant as specified in charter)
82 Devonshire St., Boston, Massachusetts 02109
(Address of principal executive offices) (Zip code)
Eric D. Roiter, Secretary
82 Devonshire St.
Boston, Massachusetts 02109
(Name and address of agent for service)
Registrant's telephone number, including area code: 617-563-7000
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2005 |
Item 1. Reports to Stockholders
(Fidelity Investment logo)(registered trademark)
Fidelity®Advisor
Mid Cap II
Fund - Class A, Class T,
Class B and Class C
Semiannual Report
June 30, 2005
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind everyone where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that someone could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner - and in every other. But I underscore again that Fidelity has no so-called "agreements" that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short-term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below 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.
Hypothetical Example for Comparison Purposes
The second line of the table below 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.
Semiannual Report
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.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,026.40 | $ 6.28 |
HypotheticalA | $ 1,000.00 | $ 1,018.60 | $ 6.26 |
Class T | |||
Actual | $ 1,000.00 | $ 1,024.40 | $ 7.53 |
HypotheticalA | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class B | |||
Actual | $ 1,000.00 | $ 1,022.40 | $ 10.03 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Class C | |||
Actual | $ 1,000.00 | $ 1,022.40 | $ 10.03 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,027.10 | $ 5.13 |
HypotheticalA | $ 1,000.00 | $ 1,019.74 | $ 5.11 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Annualized | |
Class A | 1.25% |
Class T | 1.50% |
Class B | 2.00% |
Class C | 2.00% |
Institutional Class | 1.02% |
Semiannual Report
Investment Changes
Top Ten Stocks as of June 30, 2005 | ||
% of fund's | % of fund's net assets | |
Invitrogen Corp. | 3.0 | 2.6 |
Assurant, Inc. | 1.8 | 0.9 |
NVIDIA Corp. | 1.7 | 0.6 |
Newmont Mining Corp. | 1.7 | 2.7 |
NII Holdings, Inc. | 1.3 | 0.4 |
QIAGEN NV | 1.2 | 1.2 |
CONSOL Energy, Inc. | 1.1 | 0.8 |
Valero Energy Corp. | 1.1 | 0.9 |
Caremark Rx, Inc. | 1.1 | 1.2 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 1.1 | 1.3 |
15.1 | ||
Top Five Market Sectors as of June 30, 2005 | ||
% of fund's | % of fund's net assets | |
Health Care | 17.3 | 15.6 |
Energy | 15.3 | 13.6 |
Information Technology | 14.1 | 9.1 |
Consumer Discretionary | 13.1 | 10.7 |
Industrials | 10.3 | 10.8 |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2005 * | As of December 31, 2004 * * | ||||||
 | Stocks 95.4% | | Stocks 96.4% | ||||
 | Short-Term | | Short-Term | ||||
* Foreign | 24.4% | ** Foreign | 27.0% | ||||
Semiannual Report
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 95.3% | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - 13.0% | |||
Auto Components - 1.7% | |||
Autoliv, Inc. | 30 | $ 1,314 | |
Bharat Forge Ltd. | 4 | 133 | |
BorgWarner, Inc. | 17,300 | 928,491 | |
Gentex Corp. | 57,800 | 1,051,960 | |
IMPCO Technologies, Inc. (a) | 156,400 | 752,284 | |
LKQ Corp. (a) | 109,213 | 2,965,133 | |
New Focus Auto Tech Holdings Ltd. | 1,016,000 | 132,050 | |
Nokian Tyres Ltd. | 95,020 | 1,731,726 | |
7,563,091 | |||
Automobiles - 0.4% | |||
Bajaj Auto Ltd. | 33,171 | 1,055,673 | |
Geely Automobile Holdings Ltd. | 4,095,000 | 263,480 | |
Hero Honda Motors Ltd. | 6 | 80 | |
Mahindra & Mahindra Ltd. | 5,100 | 65,429 | |
Maruti Udyog Ltd. | 26,753 | 285,929 | |
1,670,591 | |||
Distributors - 0.0% | |||
Eicher Motors Ltd. | 30,058 | 210,147 | |
Diversified Consumer Services - 0.8% | |||
Bright Horizons Family Solutions, Inc. (a) | 79,972 | 3,256,460 | |
Princeton Review, Inc. (a) | 31,145 | 181,575 | |
3,438,035 | |||
Hotels, Restaurants & Leisure - 2.1% | |||
Buffalo Wild Wings, Inc. (a) | 17,860 | 557,232 | |
Outback Steakhouse, Inc. | 50,000 | 2,262,000 | |
Red Robin Gourmet Burgers, Inc. (a) | 9,800 | 607,404 | |
Royal Caribbean Cruises Ltd. | 39,200 | 1,895,712 | |
Sonic Corp. (a) | 133,600 | 4,078,808 | |
TAJ GVK Hotels & Resorts Ltd. | 7,529 | 75,065 | |
9,476,221 | |||
Household Durables - 0.5% | |||
Alba PLC | 19 | 127 | |
LG Electronics, Inc. | 15,620 | 993,520 | |
Rational AG | 3,900 | 420,043 | |
Sekisui House Ltd. | 86,000 | 869,267 | |
2,282,957 | |||
Internet & Catalog Retail - 0.2% | |||
Alloy, Inc. (a) | 1,700 | 8,738 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - continued | |||
Internet & Catalog Retail - continued | |||
Provide Commerce, Inc. (a) | 5,100 | $ 110,109 | |
Rakuten, Inc. | 813 | 651,690 | |
770,537 | |||
Leisure Equipment & Products - 0.8% | |||
Beneteau SA | 3,600 | 279,472 | |
Jumbo SA (a) | 64,500 | 665,026 | |
Oakley, Inc. | 64,300 | 1,095,029 | |
RC2 Corp. (a) | 600 | 22,542 | |
Sega Sammy Holdings, Inc. | 12,300 | 754,159 | |
Trigano SA | 7,100 | 618,199 | |
3,434,427 | |||
Media - 1.2% | |||
Astral Media, Inc. Class A (non-vtg.) | 34,100 | 878,106 | |
Clear Media Ltd. (a) | 1,000 | 869 | |
Getty Images, Inc. (a) | 500 | 37,130 | |
Harris Interactive, Inc. (a) | 165,358 | 805,293 | |
JC Decaux SA (a) | 24,200 | 613,534 | |
Omnicom Group, Inc. | 12,700 | 1,014,222 | |
Salem Communications Corp. Class A (a) | 11,200 | 222,208 | |
Univision Communications, Inc. Class A (a) | 38,400 | 1,057,920 | |
Zee Telefilms Ltd. | 140,097 | 500,933 | |
5,130,215 | |||
Multiline Retail - 0.1% | |||
Don Quijote Co. Ltd. (d) | 6,000 | 326,766 | |
Pantaloon Retail India Ltd. | 6,611 | 209,507 | |
PT Mitra Adiperkasa Tbk | 238,000 | 27,074 | |
563,347 | |||
Specialty Retail - 4.2% | |||
Abercrombie & Fitch Co. Class A | 500 | 34,350 | |
AC Moore Arts & Crafts, Inc. (a) | 90,706 | 2,867,217 | |
Advance Auto Parts, Inc. (a) | 8,000 | 516,400 | |
Best Buy Co., Inc. | 40,100 | 2,748,855 | |
CarMax, Inc. (a) | 50,900 | 1,356,485 | |
Dixons Group PLC | 494,600 | 1,391,294 | |
Edgars Consolidated Stores Ltd. | 11,800 | 514,498 | |
GameStop Corp.: | |||
Class A (a) | 4,500 | 147,195 | |
Class B (a) | 45,400 | 1,357,460 | |
GOME Electrical Appliances Holdings Ltd. | 629,000 | 542,311 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - continued | |||
Guitar Center, Inc. (a) | 12,001 | $ 700,498 | |
Hot Topic, Inc. (a) | 37,300 | 713,176 | |
KOMERI Co. Ltd. | 66,000 | 1,779,361 | |
Nitori Co. Ltd. | 22,400 | 1,605,699 | |
Peacock Group PLC | 115,700 | 528,614 | |
PETsMART, Inc. | 41,200 | 1,250,420 | |
Ross Stores, Inc. | 4,400 | 127,204 | |
Tiffany & Co., Inc. | 5,700 | 186,732 | |
18,367,769 | |||
Textiles, Apparel & Luxury Goods - 1.0% | |||
Columbia Sportswear Co. (a) | 30,100 | 1,486,639 | |
Quiksilver, Inc. (a) | 108,800 | 1,738,624 | |
Ted Baker PLC | 115,140 | 1,032,513 | |
4,257,776 | |||
TOTAL CONSUMER DISCRETIONARY | 57,165,113 | ||
CONSUMER STAPLES - 5.5% | |||
Beverages - 0.1% | |||
Grupo Modelo SA de CV Series C | 25,400 | 79,841 | |
Jones Soda Co. (a) | 24,000 | 144,000 | |
223,841 | |||
Food & Staples Retailing - 0.7% | |||
Heng Tai Consumables Group Ltd. | 796,000 | 151,600 | |
Massmart Holdings Ltd. | 77,600 | 522,429 | |
Metro AG | 20,300 | 1,007,454 | |
Plant Co. Ltd. | 9,800 | 123,533 | |
Shinsegae Co. Ltd. | 160 | 50,575 | |
Sugi Pharmacy Co. Ltd. | 20,400 | 610,685 | |
Whole Foods Market, Inc. | 4,800 | 567,840 | |
3,034,116 | |||
Food Products - 3.2% | |||
Barry Callebaut AG | 5 | 1,268 | |
Bunge Ltd. | 43,200 | 2,738,880 | |
Chaoda Modern Agriculture (Holdings) Ltd. | 491,700 | 194,567 | |
Corn Products International, Inc. | 34,500 | 819,720 | |
Glanbia PLC | 64,200 | 217,537 | |
Green Mountain Coffee Roasters, Inc. (a) | 7,739 | 262,584 | |
Groupe Danone (d) | 20,500 | 1,803,547 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER STAPLES - continued | |||
Food Products - continued | |||
Groupe Danone sponsored ADR | 57,800 | $ 1,011,500 | |
Hershey Co. | 32,900 | 2,043,090 | |
IAWS Group PLC (Ireland) | 700 | 9,793 | |
Lindt & Spruengli AG | 36 | 551,804 | |
Lindt & Spruengli AG (participation certificate) | 272 | 405,989 | |
McCormick & Co., Inc. (non-vtg.) | 48,300 | 1,578,444 | |
People's Food Holdings Ltd. | 1,175,000 | 606,371 | |
Poore Brothers, Inc. (a) | 70,200 | 313,794 | |
PT Indofood Sukses Makmur Tbk | 5,373,500 | 605,773 | |
Smithfield Foods, Inc. (a) | 6,700 | 182,709 | |
Wimm-Bill-Dann Foods OJSC sponsored ADR (a) | 4,000 | 65,720 | |
Wm. Wrigley Jr. Co. | 12,800 | 881,152 | |
14,294,242 | |||
Household Products - 0.0% | |||
Godrej Consumer Products Ltd. | 13,000 | 97,212 | |
Personal Products - 1.5% | |||
Avon Products, Inc. | 110,700 | 4,189,995 | |
Beauty China Holdings Ltd. | 401,000 | 230,726 | |
Hengan International Group Co. Ltd. | 1,666,000 | 1,157,689 | |
Natura Cosmeticos SA | 23,000 | 733,063 | |
Ojsc Concern Kalina sponsored ADR | 3,000 | 85,950 | |
Shiseido Co. Ltd. sponsored ADR | 27,500 | 343,750 | |
6,741,173 | |||
TOTAL CONSUMER STAPLES | 24,390,584 | ||
ENERGY - 15.3% | |||
Energy Equipment & Services - 9.3% | |||
Cal Dive International, Inc. (a) | 46,900 | 2,456,153 | |
Cooper Cameron Corp. (a) | 39,500 | 2,450,975 | |
Core Laboratories NV (a) | 56,200 | 1,507,284 | |
FMC Technologies, Inc. (a) | 38,100 | 1,218,057 | |
Global Industries Ltd. (a) | 264,400 | 2,247,400 | |
GlobalSantaFe Corp. | 73,000 | 2,978,400 | |
Gulf Island Fabrication, Inc. | 20,900 | 415,492 | |
Halliburton Co. | 21,400 | 1,023,348 | |
Helmerich & Payne, Inc. | 21,700 | 1,018,164 | |
Nabors Industries Ltd. (a) | 47,300 | 2,867,326 | |
National Oilwell Varco, Inc. (a) | 41,611 | 1,978,187 | |
Noble Corp. | 47,900 | 2,946,329 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Oceaneering International, Inc. (a) | 37,800 | $ 1,460,970 | |
Parker Drilling Co. (a) | 366,100 | 2,566,361 | |
Pason Systems, Inc. | 148,000 | 2,572,968 | |
Patterson-UTI Energy, Inc. | 28,700 | 798,721 | |
Precision Drilling Corp. (a) | 43,500 | 1,714,508 | |
Pride International, Inc. (a) | 46,500 | 1,195,050 | |
Rowan Companies, Inc. | 65,600 | 1,948,976 | |
Smith International, Inc. | 20,600 | 1,312,220 | |
Superior Energy Services, Inc. (a) | 48,500 | 863,300 | |
Transocean, Inc. (a) | 47,900 | 2,585,163 | |
Weatherford International Ltd. (a) | 10,700 | 620,386 | |
40,745,738 | |||
Oil, Gas & Consumable Fuels - 6.0% | |||
Arch Coal, Inc. | 18,400 | 1,002,248 | |
Comstock Resources, Inc. (a) | 47,300 | 1,196,217 | |
CONSOL Energy, Inc. | 94,600 | 5,068,668 | |
Forest Oil Corp. (a) | 17,100 | 718,200 | |
Golar LNG Ltd. (Nasdaq) (a) | 377 | 4,524 | |
Massey Energy Co. | 44,106 | 1,663,678 | |
Newfield Exploration Co. (a) | 28,700 | 1,144,843 | |
Nippon Oil Corp. | 107,000 | 726,487 | |
Peabody Energy Corp. | 46,800 | 2,435,472 | |
Premcor, Inc. | 21,000 | 1,557,780 | |
Southwestern Energy Co. (a) | 90,800 | 4,265,784 | |
Tesoro Petroleum Corp. | 19,400 | 902,488 | |
TransMontaigne, Inc. (a) | 70,000 | 735,000 | |
Valero Energy Corp. | 63,800 | 5,047,218 | |
World Fuel Services Corp. | 3,100 | 72,571 | |
26,541,178 | |||
TOTAL ENERGY | 67,286,916 | ||
FINANCIALS - 9.9% | |||
Capital Markets - 0.2% | |||
Matsui Securities Co. Ltd. (d) | 38,800 | 417,020 | |
Mitsubishi Securities Co. Ltd. | 39,000 | 345,674 | |
762,694 | |||
Commercial Banks - 3.5% | |||
Banco Itau Holding Financeira SA sponsored ADR (non-vtg.) | 5,200 | 481,000 | |
Banco Pastor SA (Reg.) | 37,100 | 1,481,587 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Bank Austria Creditanstalt AG | 31,500 | $ 3,287,445 | |
Bank of Baroda | 118,334 | 546,500 | |
Bank of Fukuoka Ltd. | 250,000 | 1,480,997 | |
Bank of India | 646,919 | 1,540,106 | |
Bank of Yokohama Ltd. | 239,000 | 1,381,353 | |
Boston Private Financial Holdings, Inc. | 9,800 | 246,960 | |
Canara Bank | 78,404 | 381,425 | |
Center Financial Corp., California | 4,100 | 101,803 | |
Colonial Bancgroup, Inc. | 21,500 | 474,290 | |
Commerce Bancorp, Inc., New Jersey | 17,300 | 524,363 | |
Corp. Bank | 7,279 | 60,802 | |
HDFC Bank Ltd. sponsored ADR | 8,100 | 376,731 | |
Hiroshima Bank Ltd. | 155,100 | 707,638 | |
ICICI Bank Ltd. sponsored ADR | 6,100 | 133,285 | |
Juroku Bank Ltd. | 42,000 | 227,600 | |
PrivateBancorp, Inc. | 2,200 | 77,836 | |
State Bank of India | 60,650 | 1,062,278 | |
The Keiyo Bank Ltd. | 54,000 | 276,074 | |
Wintrust Financial Corp. | 9,800 | 513,030 | |
15,363,103 | |||
Consumer Finance - 0.0% | |||
EZCORP, Inc. Class A (a) | 16,755 | 179,614 | |
Diversified Financial Services - 0.4% | |||
Kotak Mahindra Bank Ltd. | 53,264 | 481,306 | |
Moody's Corp. | 10,400 | 467,584 | |
TSX Group, Inc. | 29,300 | 873,117 | |
1,822,007 | |||
Insurance - 4.5% | |||
AFLAC, Inc. | 105,400 | 4,561,712 | |
American International Group, Inc. | 14,900 | 865,690 | |
Assurant, Inc. | 219,900 | 7,938,390 | |
Brown & Brown, Inc. | 2,400 | 107,856 | |
Mercury General Corp. | 2,800 | 152,656 | |
Ohio Casualty Corp. | 10,000 | 241,800 | |
Ping An Insurance (Group) Co. of China, Ltd. (H Shares) | 572,500 | 920,892 | |
Progressive Corp. | 8,900 | 879,409 | |
Reinsurance Group of America, Inc. | 22,300 | 1,037,173 | |
Universal American Financial Corp. (a) | 1,600 | 36,192 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
USI Holdings Corp. (a) | 16,900 | $ 217,672 | |
W.R. Berkley Corp. | 79,650 | 2,841,912 | |
19,801,354 | |||
Real Estate - 0.9% | |||
CBL & Associates Properties, Inc. | 2,800 | 120,596 | |
Equity Office Properties Trust | 41,200 | 1,363,720 | |
Pan Pacific Retail Properties, Inc. | 10,500 | 696,990 | |
Plum Creek Timber Co., Inc. | 13,800 | 500,940 | |
United Dominion Realty Trust, Inc. (SBI) | 51,100 | 1,228,955 | |
3,911,201 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Doral Financial Corp. | 14,600 | 241,484 | |
Golden West Financial Corp., Delaware | 7,700 | 495,726 | |
Housing Development Finance Corp. Ltd. | 13,692 | 280,564 | |
NetBank, Inc. | 93,429 | 870,758 | |
1,888,532 | |||
TOTAL FINANCIALS | 43,728,505 | ||
HEALTH CARE - 17.3% | |||
Biotechnology - 6.0% | |||
Affymetrix, Inc. (a) | 21,400 | 1,154,102 | |
Albany Molecular Research, Inc. (a) | 121,800 | 1,705,200 | |
Charles River Laboratories International, Inc. (a) | 32,524 | 1,569,283 | |
Genentech, Inc. (a) | 2,200 | 176,616 | |
Harvard Bioscience, Inc. (a) | 263,711 | 828,053 | |
ImmunoGen, Inc. (a) | 4,600 | 26,634 | |
Invitrogen Corp. (a) | 160,400 | 13,359,717 | |
Martek Biosciences (a)(d) | 13,598 | 516,044 | |
Neogen Corp. (a) | 1,600 | 22,880 | |
QIAGEN NV (a)(d) | 473,700 | 5,466,498 | |
Stratagene Corp. (a) | 138,212 | 1,201,062 | |
Strategic Diagnostics, Inc. (a) | 101,900 | 349,517 | |
26,375,606 | |||
Health Care Equipment & Supplies - 2.7% | |||
Beckman Coulter, Inc. | 70,000 | 4,449,900 | |
Bio-Rad Laboratories, Inc. Class A (a) | 8,100 | 479,601 | |
BioLase Technology, Inc. | 5,100 | 32,232 | |
Bruker BioSciences Corp. (a) | 2,000 | 7,980 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - continued | |||
Endocare, Inc. (a) | 7,500 | $ 30,000 | |
Epix Pharmaceuticals, Inc. (a) | 17,200 | 152,220 | |
Gen-Probe, Inc. (a) | 1,800 | 65,214 | |
IDEXX Laboratories, Inc. (a) | 8,900 | 554,737 | |
Kinetic Concepts, Inc. (a) | 3,700 | 222,000 | |
Meridian Bioscience, Inc. | 40,900 | 775,055 | |
Millipore Corp. (a) | 51,300 | 2,910,249 | |
Molecular Devices Corp. (a) | 20 | 433 | |
Synthes, Inc. | 6,752 | 741,237 | |
Thermo Electron Corp. (a) | 24,300 | 652,941 | |
Waters Corp. (a) | 24,600 | 914,382 | |
11,988,181 | |||
Health Care Providers & Services - 7.1% | |||
Aetna, Inc. | 42,900 | 3,552,978 | |
Allscripts Healthcare Solutions, Inc. (a) | 48,500 | 805,585 | |
Caremark Rx, Inc. (a) | 110,600 | 4,923,912 | |
Cerner Corp. (a) | 10,100 | 686,497 | |
Community Health Systems, Inc. (a) | 13,800 | 521,502 | |
Covance, Inc. (a) | 89,700 | 4,024,839 | |
Eclipsys Corp. (a) | 52,200 | 734,454 | |
HealthExtras, Inc. (a) | 22,900 | 459,603 | |
Humana, Inc. (a) | 39,200 | 1,557,808 | |
ICON PLC sponsored ADR (a) | 15,700 | 544,790 | |
IMS Health, Inc. | 127,600 | 3,160,652 | |
Lifeline Systems, Inc. (a) | 10,200 | 327,624 | |
Omnicare, Inc. | 23,100 | 980,133 | |
Pharmaceutical Product Development, Inc. (a) | 64,200 | 3,008,412 | |
ProxyMed, Inc. (a) | 39,388 | 308,802 | |
ResCare, Inc. (a) | 87,900 | 1,191,924 | |
Sunrise Senior Living, Inc. (a)(d) | 30,800 | 1,662,584 | |
Triad Hospitals, Inc. (a) | 9,300 | 508,152 | |
TriZetto Group, Inc. (a) | 18,000 | 252,180 | |
VCA Antech, Inc. (a) | 10,000 | 242,500 | |
VistaCare, Inc. Class A (a) | 28,900 | 533,783 | |
WebMD Corp. (a) | 120,600 | 1,238,562 | |
31,227,276 | |||
Pharmaceuticals - 1.5% | |||
Bentley Pharmaceuticals, Inc. (a) | 19,700 | 215,715 | |
Connetics Corp. (a) | 30,100 | 530,964 | |
Dr. Reddy's Laboratories Ltd. sponsored ADR | 10,300 | 174,276 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Hi-Tech Pharmacal Co., Inc. (a) | 80 | $ 2,549 | |
Merck KGaA | 32,300 | 2,574,716 | |
Ranbaxy Laboratories Ltd. sponsored GDR | 27,006 | 668,399 | |
Roche Holding AG: | |||
(participation certificate) | 14,165 | 1,792,660 | |
sponsored ADR | 5,800 | 365,922 | |
6,325,201 | |||
TOTAL HEALTH CARE | 75,916,264 | ||
INDUSTRIALS - 10.3% | |||
Aerospace & Defense - 0.8% | |||
DRS Technologies, Inc. | 13,000 | 666,640 | |
Esterline Technologies Corp. (a) | 23,500 | 941,880 | |
L-3 Communications Holdings, Inc. | 21,700 | 1,661,786 | |
3,270,306 | |||
Air Freight & Logistics - 0.5% | |||
C.H. Robinson Worldwide, Inc. | 10,854 | 631,703 | |
Hub Group, Inc. Class A (a) | 59,088 | 1,480,154 | |
2,111,857 | |||
Airlines - 0.2% | |||
ACE Aviation Holdings, Inc. Class A (a) | 25,700 | 835,900 | |
Building Products - 0.0% | |||
Quixote Corp. | 6,900 | 135,309 | |
Commercial Services & Supplies - 1.0% | |||
Bennett Environmental, Inc. (a) | 1,600 | 4,871 | |
ChoicePoint, Inc. (a) | 24,800 | 993,240 | |
Fullcast Co. Ltd. | 573 | 1,451,810 | |
Randstad Holdings NV | 7,000 | 241,933 | |
Societe Generale de Surveillance Holding SA (SGS) (Reg.) | 1,188 | 816,162 | |
Stericycle, Inc. (a) | 20,442 | 1,028,641 | |
4,536,657 | |||
Construction & Engineering - 1.7% | |||
Chicago Bridge & Iron Co. NV (NY Shares) | 51,600 | 1,179,576 | |
Dycom Industries, Inc. (a) | 12,300 | 243,663 | |
Foster Wheeler Ltd. (a) | 40,995 | 805,962 | |
Jacobs Engineering Group, Inc. (a) | 41,200 | 2,317,912 | |
Shaw Group, Inc. (a) | 101,600 | 2,185,416 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INDUSTRIALS - continued | |||
Construction & Engineering - continued | |||
United Group Ltd. | 65,100 | $ 477,984 | |
United Group Ltd. New (a) | 14,000 | 100,766 | |
7,311,279 | |||
Electrical Equipment - 1.5% | |||
Baldor Electric Co. | 10,900 | 265,088 | |
C&D Technologies, Inc. | 49,200 | 452,148 | |
Crompton Greaves Ltd. | 8,700 | 88,061 | |
Rockwell Automation, Inc. | 88,100 | 4,291,351 | |
Roper Industries, Inc. | 22,200 | 1,584,414 | |
6,681,062 | |||
Industrial Conglomerates - 0.6% | |||
Max India Ltd. (a) | 14,252 | 174,843 | |
Teleflex, Inc. | 43,200 | 2,564,784 | |
2,739,627 | |||
Machinery - 3.6% | |||
AGCO Corp. (a) | 180,600 | 3,453,072 | |
Dover Corp. | 20,400 | 742,152 | |
Flowserve Corp. (a) | 111,300 | 3,367,938 | |
Gardner Denver, Inc. (a) | 18,400 | 645,472 | |
Harsco Corp. | 47,300 | 2,580,215 | |
Heidelberger Druckmaschinen AG | 16,600 | 486,141 | |
Krones AG | 190 | 22,993 | |
Tata Motors Ltd. | 45,134 | 441,685 | |
Terex Corp. (a) | 24,900 | 981,060 | |
Wabtec Corp. | 16,500 | 354,420 | |
Watts Water Technologies, Inc. Class A | 63,600 | 2,129,964 | |
Zenon Environmental, Inc. (a) | 28,800 | 581,077 | |
15,786,189 | |||
Marine - 0.1% | |||
Alexander & Baldwin, Inc. | 13,200 | 611,820 | |
Hanjin Shipping Co. Ltd. | 10 | 251 | |
612,071 | |||
Road & Rail - 0.2% | |||
Landstar System, Inc. (a) | 26,300 | 792,156 | |
Trading Companies & Distributors - 0.1% | |||
MSC Industrial Direct Co., Inc. Class A | 11,000 | 371,250 | |
TOTAL INDUSTRIALS | 45,183,663 | ||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - 14.1% | |||
Communications Equipment - 1.5% | |||
C-COR, Inc. (a) | 144,370 | $ 988,935 | |
NETGEAR, Inc. (a) | 74,596 | 1,387,486 | |
Plantronics, Inc. | 58,600 | 2,130,696 | |
TANDBERG ASA | 214,200 | 2,294,660 | |
6,801,777 | |||
Computers & Peripherals - 1.4% | |||
Apple Computer, Inc. (a) | 115,051 | 4,235,027 | |
iCAD, Inc. (a) | 72,140 | 322,466 | |
SanDisk Corp. (a) | 69,800 | 1,656,354 | |
6,213,847 | |||
Electronic Equipment & Instruments - 3.7% | |||
CDW Corp. | 64,920 | 3,706,283 | |
Elec & Eltek International Co. Ltd. | 160,000 | 406,400 | |
Hon Hai Precision Industries Co. Ltd. | 881,000 | 4,575,359 | |
KEMET Corp. (a) | 77,100 | 485,730 | |
Keyence Corp. | 1,400 | 313,818 | |
Measurement Specialties, Inc. (a) | 10,600 | 246,026 | |
Mettler-Toledo International, Inc. (a) | 19,900 | 926,942 | |
Symbol Technologies, Inc. | 400,400 | 3,951,948 | |
Vishay Intertechnology, Inc. (a) | 145,900 | 1,731,833 | |
Xyratex Ltd. | 1,800 | 27,918 | |
16,372,257 | |||
Internet Software & Services - 1.1% | |||
aQuantive, Inc. (a) | 17,450 | 309,214 | |
eCollege.com (a) | 9,100 | 108,290 | |
RealNetworks, Inc. (a) | 367,272 | 1,825,342 | |
Sohu.com, Inc. (a) | 3,900 | 85,488 | |
ValueClick, Inc. (a) | 75,309 | 928,560 | |
VeriSign, Inc. (a) | 24,700 | 710,372 | |
Yahoo! Japan Corp. | 329 | 691,195 | |
4,658,461 | |||
IT Services - 1.6% | |||
Affiliated Computer Services, Inc. Class A (a) | 14,384 | 735,022 | |
Anteon International Corp. (a) | 36,500 | 1,665,130 | |
Lionbridge Technologies, Inc. (a) | 89,500 | 606,810 | |
ManTech International Corp. Class A (a) | 18,000 | 558,720 | |
Maximus, Inc. | 31,300 | 1,104,577 | |
Net One Systems Co. Ltd. | 5 | 12,894 | |
Obic Co. Ltd. | 6,100 | 1,035,688 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
IT Services - continued | |||
SI International, Inc. (a) | 27,408 | $ 821,144 | |
TIS, Inc. | 15,000 | 512,601 | |
7,052,586 | |||
Office Electronics - 0.1% | |||
Neopost SA | 2,600 | 228,900 | |
Semiconductors & Semiconductor Equipment - 3.0% | |||
Analog Devices, Inc. | 31,500 | 1,175,265 | |
Cabot Microelectronics Corp. (a) | 13,800 | 400,062 | |
Credence Systems Corp. (a) | 91,700 | 829,885 | |
IXYS Corp. (a) | 34,300 | 486,374 | |
LSI Logic Corp. (a) | 221,000 | 1,876,290 | |
NVIDIA Corp. (a) | 283,856 | 7,584,632 | |
Skyworks Solutions, Inc. (a) | 26,400 | 194,568 | |
Varian Semiconductor Equipment Associates, Inc. (a) | 13,900 | 514,300 | |
13,061,376 | |||
Software - 1.7% | |||
Activision, Inc. (a) | 51,200 | 845,824 | |
Adobe Systems, Inc. | 14,500 | 414,990 | |
Electronic Arts, Inc. (a) | 8,600 | 486,846 | |
Intuit, Inc. (a) | 6,183 | 278,915 | |
Macrovision Corp. (a) | 26,341 | 593,726 | |
NAVTEQ Corp. | 14,400 | 535,392 | |
Open Solutions, Inc. (a) | 45,000 | 913,950 | |
Renaissance Learning, Inc. | 41,623 | 844,947 | |
RSA Security, Inc. (a)(d) | 81,400 | 934,472 | |
Salesforce.com, Inc. | 1,300 | 26,624 | |
Synopsys, Inc. (a) | 44,400 | 740,148 | |
THQ, Inc. (a) | 30,000 | 878,100 | |
7,493,934 | |||
TOTAL INFORMATION TECHNOLOGY | 61,883,138 | ||
MATERIALS - 7.4% | |||
Chemicals - 2.3% | |||
Airgas, Inc. | 58,000 | 1,430,860 | |
Asian Paints India Ltd. | 32,396 | 306,262 | |
Crompton Corp. | 89,300 | 1,263,595 | |
Ecolab, Inc. | 39,900 | 1,291,164 | |
K&S AG | 4,600 | 254,843 | |
Monsanto Co. | 27,000 | 1,697,490 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
MATERIALS - continued | |||
Chemicals - continued | |||
Nitto Denko Corp. | 16,900 | $ 969,154 | |
Olin Corp. | 29,300 | 534,432 | |
Praxair, Inc. | 5,800 | 270,280 | |
Sinopec Shanghai Petrochemical Co. Ltd. sponsored ADR | 3,800 | 131,100 | |
Tokuyama Corp. | 127,000 | 904,648 | |
Tosoh Corp. | 274,500 | 1,141,017 | |
United Phosphorous Ltd. | 9 | 168 | |
10,195,013 | |||
Construction Materials - 0.2% | |||
Florida Rock Industries, Inc. | 9,300 | 682,155 | |
Containers & Packaging - 0.0% | |||
Essel Propack Ltd. | 23,235 | 170,354 | |
Silgan Holdings, Inc. | 94 | 5,287 | |
175,641 | |||
Metals & Mining - 4.6% | |||
Agnico-Eagle Mines Ltd. | 109,900 | 1,375,096 | |
Compania de Minas Buenaventura SA sponsored ADR | 45,300 | 1,041,447 | |
Fording Canadian Coal Trust | 3,200 | 292,994 | |
Freeport-McMoRan Copper & Gold, Inc. Class B | 127,300 | 4,766,112 | |
Goldcorp, Inc. | 13,200 | 209,980 | |
Golden Star Resources Ltd. (a) | 4,700 | 14,577 | |
Harmony Gold Mining Co. Ltd. | 105,200 | 900,512 | |
High River Gold Mines Ltd. (a) | 138,800 | 152,938 | |
Kinross Gold Corp. (a) | 393,800 | 2,410,627 | |
Newmont Mining Corp. | 192,700 | 7,521,081 | |
Nippon Steel Corp. | 307,300 | 714,877 | |
Teck Cominco Ltd. Class B (sub. vtg.) | 27,400 | 924,515 | |
20,324,756 | |||
Paper & Forest Products - 0.3% | |||
Lee & Man Paper Manufacturing Ltd. (a) | 968,000 | 822,134 | |
Sino-Forest Corp. (a) | 222,900 | 502,125 | |
1,324,259 | |||
TOTAL MATERIALS | 32,701,824 | ||
TELECOMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 0.3% | |||
Philippine Long Distance Telephone Co. sponsored ADR | 43,000 | 1,249,150 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - 1.5% | |||
America Movil SA de CV Series L sponsored ADR | 12,100 | $ 721,281 | |
Bharti Televentures Ltd. (a) | 40,647 | 235,851 | |
NII Holdings, Inc. (a) | 89,903 | 5,748,398 | |
6,705,530 | |||
TOTAL TELECOMMUNICATION SERVICES | 7,954,680 | ||
UTILITIES - 0.7% | |||
Gas Utilities - 0.2% | |||
SEMCO Energy, Inc. (a) | 161,800 | 969,182 | |
Independent Power Producers & Energy Traders - 0.5% | |||
AES Corp. (a) | 126,800 | 2,076,984 | |
TOTAL UTILITIES | 3,046,166 | ||
TOTAL COMMON STOCKS (Cost $392,565,426) | 419,256,853 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Porsche AG (non-vtg.)(Cost $499,486) | 700 | 526,594 | |
Money Market Funds - 5.2% | |||
Fidelity Cash Central Fund, 3.21% (b) | 18,943,034 | 18,943,034 | |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 4,078,085 | 4,078,085 | |
TOTAL MONEY MARKET FUNDS (Cost $23,021,119) | 23,021,119 | ||
TOTAL INVESTMENT PORTFOLIO - 100.6% (Cost $416,086,031) | 442,804,566 | ||
NET OTHER ASSETS - (0.6)% | (2,759,066) | ||
NET ASSETS - 100% | $ 440,045,500 | ||
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 75.6% |
Japan | 5.0% |
Canada | 3.0% |
India | 1.9% |
Netherlands | 1.9% |
Cayman Islands | 1.8% |
Germany | 1.1% |
Taiwan | 1.0% |
France | 1.0% |
Others (individually less than 1%) | 7.7% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
June 30, 2005 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $3,883,010) (cost $416,086,031) - See accompanying schedule | $ 442,804,566 | |
Foreign currency held at value (cost $228,083) | 226,635 | |
Receivable for investments sold | 2,561,871 | |
Receivable for foreign currency contracts | 1,385,316 | |
Receivable for fund shares sold | 2,913,794 | |
Dividends receivable | 229,037 | |
Interest receivable | 75,054 | |
Prepaid expenses | 6,518 | |
Other receivables | 110,032 | |
Total assets | 450,312,823 | |
Liabilities | ||
Payable to custodian bank | $ 282,681 | |
Payable for investments purchased | 3,552,498 | |
Payable for foreign currency contracts | 1,274,939 | |
Payable for fund shares redeemed | 471,895 | |
Accrued management fee | 205,330 | |
Distribution fees payable | 159,015 | |
Other affiliated payables | 112,710 | |
Other payables and accrued expenses | 130,170 | |
Collateral on securities loaned, at value | 4,078,085 | |
Total liabilities | 10,267,323 | |
Net Assets | $ 440,045,500 | |
Net Assets consist of: | ||
Paid in capital | $ 417,671,645 | |
Accumulated net investment loss | (428,714) | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,814,890) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 26,617,459 | |
Net Assets | $ 440,045,500 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
June 30, 2005 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 12.84 | |
Maximum offering price per share (100/94.25 of $12.84) | $ 13.62 | |
Class T: | $ 12.81 | |
Maximum offering price per share (100/96.50 of $12.81) | $ 13.27 | |
Class B: | $ 12.76 | |
Class C: | $ 12.77 | |
Institutional Class: | $ 12.87 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended June 30, 2005 (Unaudited) | ||
Investment Income | ||
Dividends | $ 1,185,582 | |
Interest | 354,107 | |
Security lending | 24,035 | |
Total income | 1,563,724 | |
Expenses | ||
Management fee | $ 801,185 | |
Transfer agent fees | 448,531 | |
Distribution fees | 670,397 | |
Accounting and security lending fees | 57,907 | |
Independent trustees' compensation | 518 | |
Custodian fees and expenses | 73,416 | |
Registration fees | 112,734 | |
Audit | 19,709 | |
Legal | 596 | |
Miscellaneous | 167 | |
Total expenses before reductions | 2,185,160 | |
Expense reductions | (195,187) | 1,989,973 |
Net investment income (loss) | (426,249) | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | (3,533,330) | |
Foreign currency transactions | (27,004) | |
Total net realized gain (loss) | (3,560,334) | |
Change in net unrealized appreciation (depreciation) on: Investment securities (net of increase in deferred foreign taxes of $61,790) | 14,041,668 | |
Assets and liabilities in foreign currencies | (4,148) | |
Total change in net unrealized appreciation (depreciation) | 14,037,520 | |
Net gain (loss) | 10,477,186 | |
Net increase (decrease) in net assets resulting from operations | $ 10,050,937 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended | For the period August 12, 2004 (commencement | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ (426,249) | $ (194,575) |
Net realized gain (loss) | (3,560,334) | 12,035 |
Change in net unrealized appreciation (depreciation) | 14,037,520 | 12,579,939 |
Net increase (decrease) in net assets resulting | 10,050,937 | 12,397,399 |
Distributions to shareholders from net realized gain | (74,481) | - |
Share transactions - net increase (decrease) | 295,417,621 | 122,254,024 |
Total increase (decrease) in net assets | 305,394,077 | 134,651,423 |
Net Assets | ||
Beginning of period | 134,651,423 | - |
End of period (including accumulated net investment loss of $428,714 and accumulated net investment loss of $2,465, respectively) | $ 440,045,500 | $ 134,651,423 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.52 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | - H | (.02) |
Net realized and unrealized gain (loss) | .33 | 2.54 |
Total from investment operations | .33 | 2.52 |
Distributions from net realized gain | (.01) | - |
Net asset value, end of period | $ 12.84 | $ 12.52 |
Total Return B, C, D | 2.64% | 25.20% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 1.37% A | 1.79% A |
Expenses net of voluntary waivers, if any | 1.25% A | 1.30% A |
Expenses net of all reductions | 1.17% A | 1.26% A |
Net investment income (loss) | (.07)% A | (.53)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 95,931 | $ 34,438 |
Portfolio turnover rate | 118% A | 40% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.51 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | (.02) | (.03) |
Net realized and unrealized gain (loss) | .33 | 2.54 |
Total from investment operations | .31 | 2.51 |
Distributions from net realized gain | (.01) | - |
Net asset value, end of period | $ 12.81 | $ 12.51 |
Total Return B, C, D | 2.44% | 25.10% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 1.51% A | 1.96% A |
Expenses net of voluntary waivers, if any | 1.50% A | 1.55% A |
Expenses net of all reductions | 1.43% A | 1.51% A |
Net investment income (loss) | (.32)% A | (.78)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 173,635 | $ 60,107 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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 June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.48 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | (.05) | (.06) |
Net realized and unrealized gain (loss) | .33 | 2.54 |
Total from investment operations | .28 | 2.48 |
Net asset value, end of period | $ 12.76 | $ 12.48 |
Total Return B, C, D | 2.24% | 24.80% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 2.12% A | 2.61% A |
Expenses net of voluntary waivers, if any | 2.00% A | 2.05% A |
Expenses net of all reductions | 1.92% A | 2.01% A |
Net investment income (loss) | (.82)% A | (1.28)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 33,817 | $ 15,527 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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 June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.49 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | (.05) | (.06) |
Net realized and unrealized gain (loss) | .33 | 2.55 |
Total from investment operations | .28 | 2.49 |
Net asset value, end of period | $ 12.77 | $ 12.49 |
Total Return B, C, D | 2.24% | 24.90% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 2.11% A | 2.53% A |
Expenses net of voluntary waivers, if any | 2.00% A | 2.05% A |
Expenses net of all reductions | 1.92% A | 2.01% A |
Net investment income (loss) | (.82)% A | (1.28)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 56,436 | $ 17,822 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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 June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 E | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.54 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) D | .01 | (.01) |
Net realized and unrealized gain (loss) | .33 | 2.55 |
Total from investment operations | .34 | 2.54 |
Distributions from net realized gain | (.01) | - |
Net asset value, end of period | $ 12.87 | $ 12.54 |
Total Return B, C | 2.71% | 25.40% |
Ratios to Average Net Assets F | ||
Expenses before expense reductions | 1.09% A | 1.38% A |
Expenses net of voluntary waivers, if any | 1.02% A | 1.05% A |
Expenses net of all reductions | .94% A | 1.01% A |
Net investment income (loss) | .16% A | (.28)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 80,227 | $ 6,757 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period August 12, 2004 (commencement of operations) to December 31, 2004.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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, 2005 (Unaudited)
1. Significant Accounting Policies.
Fidelity Advisor Mid Cap II Fund (the fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The fund offers Class A, Class T, Class B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
1. Significant Accounting Policies - continued
Foreign Currency - continued
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions are accounted for as of trade date. 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. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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.
Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Book-tax differences are primarily due to foreign currency transactions, passive foreign investment companies (PFIC), net operating losses and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 37,088,409 | |
Unrealized depreciation | (12,680,625) | |
Net unrealized appreciation (depreciation) | $ 24,407,784 | |
Cost for federal income tax purposes | $ 418,396,782 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $431,334,691 and $151,943,579, respectively.
4. 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 .30% of the fund's average net assets and a group fee rate that averaged .27% 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 .57% of the fund's average net assets.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .25% | $ 79,103 | $ 804 |
Class T | .25% | .25% | 288,222 | 35,304 |
Class B | .75% | .25% | 127,353 | 96,146 |
Class C | .75% | .25% | 175,719 | 126,474 |
$ 670,397 | $ 258,728 |
Sales Load. FDC receives a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, and .25% for certain purchases of Class A and Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | ||
Class A | $ 254,213 | |
Class T | 46,741 | |
Class B* | 15,506 | |
Class C* | 2,696 | |
$ 319,156 |
* 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
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
respective classes of the fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 116,549 | .37 * |
Class T | 149,939 | .26 * |
Class B | 48,031 | .38 * |
Class C | 64,861 | .37 * |
Institutional Class | 69,151 | .34 * |
$ 448,531 |
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Money Market Central Funds seek preservation of capital and current income. The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $352,519 for the period.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $17,292 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.
7. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
Expense | Reimbursement | |
Class A | 1.30% - 1.25%* | $ 36,716 |
Class T | 1.55% - 1.50%* | 2,667 |
Class B | 2.05% - 2.00%* | 15,378 |
Class C | 2.05% - 2.00%* | 18,769 |
Institutional Class | 1.05% - 1.00%* | 14,229 |
$ 87,759 |
* Expense limitation in effect at period end.
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $107,172 for the period. In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $256.
Semiannual Report
8. 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.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Period ended | |
From net realized gain | ||
Class A | $ 35,334 | $ - |
Class T | 31,905 | - |
Institutional Class | 7,242 | - |
Total | $ 74,481 | $ - |
A For the period August 12, 2004 (commencement of operations) to December 31, 2004.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
10. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended June 30, | Period ended | Six months ended | Period ended | |
Class A | ||||
Shares sold | 5,116,545 | 2,793,502 | $ 64,173,462 | $ 31,810,120 |
Reinvestment of distributions | 2,634 | - | 33,112 | - |
Shares redeemed | (396,607) | (43,346) | (5,004,929) | (510,122) |
Net increase (decrease) | 4,722,572 | 2,750,156 | $ 59,201,645 | $ 31,299,998 |
Class T | ||||
Shares sold | 9,424,251 | 5,009,964 | $ 117,815,332 | $ 56,923,971 |
Reinvestment of distributions | 2,451 | - | 30,782 | - |
Shares redeemed | (677,683) | (204,179) | (8,482,964) | (2,350,782) |
Net increase (decrease) | 8,749,019 | 4,805,785 | $ 109,363,150 | $ 54,573,189 |
Class B | ||||
Shares sold | 1,708,580 | 1,266,901 | $ 21,291,063 | $ 14,392,485 |
Shares redeemed | (302,139) | (23,048) | (3,776,666) | (277,523) |
Net increase (decrease) | 1,406,441 | 1,243,853 | $ 17,514,397 | $ 14,114,962 |
Class C | ||||
Shares sold | 3,198,568 | 1,436,802 | $ 39,829,450 | $ 16,336,650 |
Shares redeemed | (204,889) | (9,738) | (2,579,466) | (115,404) |
Net increase (decrease) | 2,993,679 | 1,427,064 | $ 37,249,984 | $ 16,221,246 |
Institutional Class | ||||
Shares sold | 6,018,989 | 552,710 | $ 76,154,680 | $ 6,208,664 |
Reinvestment of distributions | 471 | - | 5,930 | - |
Shares redeemed | (324,624) | (13,733) | (4,072,165) | (164,035) |
Net increase (decrease) | 5,694,836 | 538,977 | $ 72,088,445 | $ 6,044,629 |
A For the period August 12, 2004 (commencement of operations) to December 31, 2004.
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on March 16, 2005. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval. A | ||
# of | % of | |
Affirmative | 6,491,014,660.12 | 68.216 |
Against | 1,110,401,588.77 | 11.670 |
Abstain | 364,285,629.16 | 3.828 |
Broker | 1,549,650,136.89 | 16.286 |
TOTAL | 9,515,352,014.94 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Laura B. Cronin | ||
Affirmative | 9,191,010,795.38 | 96.591 |
Withheld | 324,341,219.56 | 3.409 |
TOTAL | 9,515,352,014.94 | 100.000 |
Dennis J. Dirks | ||
Affirmative | 9,199,049,001.28 | 96.676 |
Withheld | 316,303,013.66 | 3.324 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,189,372,083.98 | 96.574 |
Withheld | 325,979,930.96 | 3.426 |
TOTAL | 9,515,352,014.94 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,191,183,741.44 | 96.593 |
Withheld | 324,168,273.50 | 3.407 |
TOTAL | 9,515,352,014.94 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 9,174,139,780.45 | 96.414 |
Withheld | 341,212,234.49 | 3.586 |
TOTAL | 9,515,352,014.94 | 100.000 |
# of | % of | |
Edward C. Johnson 3d | ||
Affirmative | 9,167,856,276.61 | 96.348 |
Withheld | 347,495,738.33 | 3.652 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,196,147,863.00 | 96.645 |
Withheld | 319,204,151.94 | 3.355 |
TOTAL | 9,515,352,014.94 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,193,561,981.00 | 96.618 |
Withheld | 321,790,033.94 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,184,085,149.84 | 96.519 |
Withheld | 331,266,865.10 | 3.481 |
TOTAL | 9,515,352,014.94 | 100.000 |
William O. McCoy | ||
Affirmative | 9,187,317,991.01 | 96.553 |
Withheld | 328,034,023.93 | 3.447 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,193,543,677.54 | 96.618 |
Withheld | 321,808,337.40 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,193,853,155.26 | 96.621 |
Withheld | 321,498,859.68 | 3.379 |
TOTAL | 9,515,352,014.94 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 9,191,672,816.31 | 96.598 |
Withheld | 323,679,198.63 | 3.402 |
TOTAL | 9,515,352,014.94 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 9,193,356,513.29 | 96.616 |
Withheld | 321,995,501.650 | 3.384 |
TOTAL | 9,515,352,014.94 | 100.000 |
A Denotes trust-wide proposals and voting results. | ||
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
(Far East) Inc.
Fidelity International Investment Advisors
Fidelity Investments Japan Limited
Fidelity International Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
AMP-USAN-0805
1.801445.100
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
(Fidelity Investment logo)(registered trademark)
Fidelity®Advisor
Mid Cap II
Fund - Institutional Class
Semiannual Report
June 30, 2005
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Proxy Voting Results |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind everyone where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that someone could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner - and in every other. But I underscore again that Fidelity has no so-called "agreements" that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short-term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below 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.
Hypothetical Example for Comparison Purposes
The second line of the table below 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.
Semiannual Report
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.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,026.40 | $ 6.28 |
HypotheticalA | $ 1,000.00 | $ 1,018.60 | $ 6.26 |
Class T | |||
Actual | $ 1,000.00 | $ 1,024.40 | $ 7.53 |
HypotheticalA | $ 1,000.00 | $ 1,017.36 | $ 7.50 |
Class B | |||
Actual | $ 1,000.00 | $ 1,022.40 | $ 10.03 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Class C | |||
Actual | $ 1,000.00 | $ 1,022.40 | $ 10.03 |
HypotheticalA | $ 1,000.00 | $ 1,014.88 | $ 9.99 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,027.10 | $ 5.13 |
HypotheticalA | $ 1,000.00 | $ 1,019.74 | $ 5.11 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Annualized | |
Class A | 1.25% |
Class T | 1.50% |
Class B | 2.00% |
Class C | 2.00% |
Institutional Class | 1.02% |
Semiannual Report
Investment Changes
Top Ten Stocks as of June 30, 2005 | ||
% of fund's | % of fund's net assets | |
Invitrogen Corp. | 3.0 | 2.6 |
Assurant, Inc. | 1.8 | 0.9 |
NVIDIA Corp. | 1.7 | 0.6 |
Newmont Mining Corp. | 1.7 | 2.7 |
NII Holdings, Inc. | 1.3 | 0.4 |
QIAGEN NV | 1.2 | 1.2 |
CONSOL Energy, Inc. | 1.1 | 0.8 |
Valero Energy Corp. | 1.1 | 0.9 |
Caremark Rx, Inc. | 1.1 | 1.2 |
Freeport-McMoRan Copper & Gold, Inc. Class B | 1.1 | 1.3 |
15.1 | ||
Top Five Market Sectors as of June 30, 2005 | ||
% of fund's | % of fund's net assets | |
Health Care | 17.3 | 15.6 |
Energy | 15.3 | 13.6 |
Information Technology | 14.1 | 9.1 |
Consumer Discretionary | 13.1 | 10.7 |
Industrials | 10.3 | 10.8 |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2005 * | As of December 31, 2004 * * | ||||||
| Stocks 95.4% | | Stocks 96.4% | ||||
| Short-Term | | Short-Term | ||||
* Foreign | 24.4% | ** Foreign | 27.0% | ||||
Semiannual Report
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Common Stocks - 95.3% | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - 13.0% | |||
Auto Components - 1.7% | |||
Autoliv, Inc. | 30 | $ 1,314 | |
Bharat Forge Ltd. | 4 | 133 | |
BorgWarner, Inc. | 17,300 | 928,491 | |
Gentex Corp. | 57,800 | 1,051,960 | |
IMPCO Technologies, Inc. (a) | 156,400 | 752,284 | |
LKQ Corp. (a) | 109,213 | 2,965,133 | |
New Focus Auto Tech Holdings Ltd. | 1,016,000 | 132,050 | |
Nokian Tyres Ltd. | 95,020 | 1,731,726 | |
7,563,091 | |||
Automobiles - 0.4% | |||
Bajaj Auto Ltd. | 33,171 | 1,055,673 | |
Geely Automobile Holdings Ltd. | 4,095,000 | 263,480 | |
Hero Honda Motors Ltd. | 6 | 80 | |
Mahindra & Mahindra Ltd. | 5,100 | 65,429 | |
Maruti Udyog Ltd. | 26,753 | 285,929 | |
1,670,591 | |||
Distributors - 0.0% | |||
Eicher Motors Ltd. | 30,058 | 210,147 | |
Diversified Consumer Services - 0.8% | |||
Bright Horizons Family Solutions, Inc. (a) | 79,972 | 3,256,460 | |
Princeton Review, Inc. (a) | 31,145 | 181,575 | |
3,438,035 | |||
Hotels, Restaurants & Leisure - 2.1% | |||
Buffalo Wild Wings, Inc. (a) | 17,860 | 557,232 | |
Outback Steakhouse, Inc. | 50,000 | 2,262,000 | |
Red Robin Gourmet Burgers, Inc. (a) | 9,800 | 607,404 | |
Royal Caribbean Cruises Ltd. | 39,200 | 1,895,712 | |
Sonic Corp. (a) | 133,600 | 4,078,808 | |
TAJ GVK Hotels & Resorts Ltd. | 7,529 | 75,065 | |
9,476,221 | |||
Household Durables - 0.5% | |||
Alba PLC | 19 | 127 | |
LG Electronics, Inc. | 15,620 | 993,520 | |
Rational AG | 3,900 | 420,043 | |
Sekisui House Ltd. | 86,000 | 869,267 | |
2,282,957 | |||
Internet & Catalog Retail - 0.2% | |||
Alloy, Inc. (a) | 1,700 | 8,738 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - continued | |||
Internet & Catalog Retail - continued | |||
Provide Commerce, Inc. (a) | 5,100 | $ 110,109 | |
Rakuten, Inc. | 813 | 651,690 | |
770,537 | |||
Leisure Equipment & Products - 0.8% | |||
Beneteau SA | 3,600 | 279,472 | |
Jumbo SA (a) | 64,500 | 665,026 | |
Oakley, Inc. | 64,300 | 1,095,029 | |
RC2 Corp. (a) | 600 | 22,542 | |
Sega Sammy Holdings, Inc. | 12,300 | 754,159 | |
Trigano SA | 7,100 | 618,199 | |
3,434,427 | |||
Media - 1.2% | |||
Astral Media, Inc. Class A (non-vtg.) | 34,100 | 878,106 | |
Clear Media Ltd. (a) | 1,000 | 869 | |
Getty Images, Inc. (a) | 500 | 37,130 | |
Harris Interactive, Inc. (a) | 165,358 | 805,293 | |
JC Decaux SA (a) | 24,200 | 613,534 | |
Omnicom Group, Inc. | 12,700 | 1,014,222 | |
Salem Communications Corp. Class A (a) | 11,200 | 222,208 | |
Univision Communications, Inc. Class A (a) | 38,400 | 1,057,920 | |
Zee Telefilms Ltd. | 140,097 | 500,933 | |
5,130,215 | |||
Multiline Retail - 0.1% | |||
Don Quijote Co. Ltd. (d) | 6,000 | 326,766 | |
Pantaloon Retail India Ltd. | 6,611 | 209,507 | |
PT Mitra Adiperkasa Tbk | 238,000 | 27,074 | |
563,347 | |||
Specialty Retail - 4.2% | |||
Abercrombie & Fitch Co. Class A | 500 | 34,350 | |
AC Moore Arts & Crafts, Inc. (a) | 90,706 | 2,867,217 | |
Advance Auto Parts, Inc. (a) | 8,000 | 516,400 | |
Best Buy Co., Inc. | 40,100 | 2,748,855 | |
CarMax, Inc. (a) | 50,900 | 1,356,485 | |
Dixons Group PLC | 494,600 | 1,391,294 | |
Edgars Consolidated Stores Ltd. | 11,800 | 514,498 | |
GameStop Corp.: | |||
Class A (a) | 4,500 | 147,195 | |
Class B (a) | 45,400 | 1,357,460 | |
GOME Electrical Appliances Holdings Ltd. | 629,000 | 542,311 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER DISCRETIONARY - continued | |||
Specialty Retail - continued | |||
Guitar Center, Inc. (a) | 12,001 | $ 700,498 | |
Hot Topic, Inc. (a) | 37,300 | 713,176 | |
KOMERI Co. Ltd. | 66,000 | 1,779,361 | |
Nitori Co. Ltd. | 22,400 | 1,605,699 | |
Peacock Group PLC | 115,700 | 528,614 | |
PETsMART, Inc. | 41,200 | 1,250,420 | |
Ross Stores, Inc. | 4,400 | 127,204 | |
Tiffany & Co., Inc. | 5,700 | 186,732 | |
18,367,769 | |||
Textiles, Apparel & Luxury Goods - 1.0% | |||
Columbia Sportswear Co. (a) | 30,100 | 1,486,639 | |
Quiksilver, Inc. (a) | 108,800 | 1,738,624 | |
Ted Baker PLC | 115,140 | 1,032,513 | |
4,257,776 | |||
TOTAL CONSUMER DISCRETIONARY | 57,165,113 | ||
CONSUMER STAPLES - 5.5% | |||
Beverages - 0.1% | |||
Grupo Modelo SA de CV Series C | 25,400 | 79,841 | |
Jones Soda Co. (a) | 24,000 | 144,000 | |
223,841 | |||
Food & Staples Retailing - 0.7% | |||
Heng Tai Consumables Group Ltd. | 796,000 | 151,600 | |
Massmart Holdings Ltd. | 77,600 | 522,429 | |
Metro AG | 20,300 | 1,007,454 | |
Plant Co. Ltd. | 9,800 | 123,533 | |
Shinsegae Co. Ltd. | 160 | 50,575 | |
Sugi Pharmacy Co. Ltd. | 20,400 | 610,685 | |
Whole Foods Market, Inc. | 4,800 | 567,840 | |
3,034,116 | |||
Food Products - 3.2% | |||
Barry Callebaut AG | 5 | 1,268 | |
Bunge Ltd. | 43,200 | 2,738,880 | |
Chaoda Modern Agriculture (Holdings) Ltd. | 491,700 | 194,567 | |
Corn Products International, Inc. | 34,500 | 819,720 | |
Glanbia PLC | 64,200 | 217,537 | |
Green Mountain Coffee Roasters, Inc. (a) | 7,739 | 262,584 | |
Groupe Danone (d) | 20,500 | 1,803,547 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
CONSUMER STAPLES - continued | |||
Food Products - continued | |||
Groupe Danone sponsored ADR | 57,800 | $ 1,011,500 | |
Hershey Co. | 32,900 | 2,043,090 | |
IAWS Group PLC (Ireland) | 700 | 9,793 | |
Lindt & Spruengli AG | 36 | 551,804 | |
Lindt & Spruengli AG (participation certificate) | 272 | 405,989 | |
McCormick & Co., Inc. (non-vtg.) | 48,300 | 1,578,444 | |
People's Food Holdings Ltd. | 1,175,000 | 606,371 | |
Poore Brothers, Inc. (a) | 70,200 | 313,794 | |
PT Indofood Sukses Makmur Tbk | 5,373,500 | 605,773 | |
Smithfield Foods, Inc. (a) | 6,700 | 182,709 | |
Wimm-Bill-Dann Foods OJSC sponsored ADR (a) | 4,000 | 65,720 | |
Wm. Wrigley Jr. Co. | 12,800 | 881,152 | |
14,294,242 | |||
Household Products - 0.0% | |||
Godrej Consumer Products Ltd. | 13,000 | 97,212 | |
Personal Products - 1.5% | |||
Avon Products, Inc. | 110,700 | 4,189,995 | |
Beauty China Holdings Ltd. | 401,000 | 230,726 | |
Hengan International Group Co. Ltd. | 1,666,000 | 1,157,689 | |
Natura Cosmeticos SA | 23,000 | 733,063 | |
Ojsc Concern Kalina sponsored ADR | 3,000 | 85,950 | |
Shiseido Co. Ltd. sponsored ADR | 27,500 | 343,750 | |
6,741,173 | |||
TOTAL CONSUMER STAPLES | 24,390,584 | ||
ENERGY - 15.3% | |||
Energy Equipment & Services - 9.3% | |||
Cal Dive International, Inc. (a) | 46,900 | 2,456,153 | |
Cooper Cameron Corp. (a) | 39,500 | 2,450,975 | |
Core Laboratories NV (a) | 56,200 | 1,507,284 | |
FMC Technologies, Inc. (a) | 38,100 | 1,218,057 | |
Global Industries Ltd. (a) | 264,400 | 2,247,400 | |
GlobalSantaFe Corp. | 73,000 | 2,978,400 | |
Gulf Island Fabrication, Inc. | 20,900 | 415,492 | |
Halliburton Co. | 21,400 | 1,023,348 | |
Helmerich & Payne, Inc. | 21,700 | 1,018,164 | |
Nabors Industries Ltd. (a) | 47,300 | 2,867,326 | |
National Oilwell Varco, Inc. (a) | 41,611 | 1,978,187 | |
Noble Corp. | 47,900 | 2,946,329 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
ENERGY - continued | |||
Energy Equipment & Services - continued | |||
Oceaneering International, Inc. (a) | 37,800 | $ 1,460,970 | |
Parker Drilling Co. (a) | 366,100 | 2,566,361 | |
Pason Systems, Inc. | 148,000 | 2,572,968 | |
Patterson-UTI Energy, Inc. | 28,700 | 798,721 | |
Precision Drilling Corp. (a) | 43,500 | 1,714,508 | |
Pride International, Inc. (a) | 46,500 | 1,195,050 | |
Rowan Companies, Inc. | 65,600 | 1,948,976 | |
Smith International, Inc. | 20,600 | 1,312,220 | |
Superior Energy Services, Inc. (a) | 48,500 | 863,300 | |
Transocean, Inc. (a) | 47,900 | 2,585,163 | |
Weatherford International Ltd. (a) | 10,700 | 620,386 | |
40,745,738 | |||
Oil, Gas & Consumable Fuels - 6.0% | |||
Arch Coal, Inc. | 18,400 | 1,002,248 | |
Comstock Resources, Inc. (a) | 47,300 | 1,196,217 | |
CONSOL Energy, Inc. | 94,600 | 5,068,668 | |
Forest Oil Corp. (a) | 17,100 | 718,200 | |
Golar LNG Ltd. (Nasdaq) (a) | 377 | 4,524 | |
Massey Energy Co. | 44,106 | 1,663,678 | |
Newfield Exploration Co. (a) | 28,700 | 1,144,843 | |
Nippon Oil Corp. | 107,000 | 726,487 | |
Peabody Energy Corp. | 46,800 | 2,435,472 | |
Premcor, Inc. | 21,000 | 1,557,780 | |
Southwestern Energy Co. (a) | 90,800 | 4,265,784 | |
Tesoro Petroleum Corp. | 19,400 | 902,488 | |
TransMontaigne, Inc. (a) | 70,000 | 735,000 | |
Valero Energy Corp. | 63,800 | 5,047,218 | |
World Fuel Services Corp. | 3,100 | 72,571 | |
26,541,178 | |||
TOTAL ENERGY | 67,286,916 | ||
FINANCIALS - 9.9% | |||
Capital Markets - 0.2% | |||
Matsui Securities Co. Ltd. (d) | 38,800 | 417,020 | |
Mitsubishi Securities Co. Ltd. | 39,000 | 345,674 | |
762,694 | |||
Commercial Banks - 3.5% | |||
Banco Itau Holding Financeira SA sponsored ADR (non-vtg.) | 5,200 | 481,000 | |
Banco Pastor SA (Reg.) | 37,100 | 1,481,587 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
FINANCIALS - continued | |||
Commercial Banks - continued | |||
Bank Austria Creditanstalt AG | 31,500 | $ 3,287,445 | |
Bank of Baroda | 118,334 | 546,500 | |
Bank of Fukuoka Ltd. | 250,000 | 1,480,997 | |
Bank of India | 646,919 | 1,540,106 | |
Bank of Yokohama Ltd. | 239,000 | 1,381,353 | |
Boston Private Financial Holdings, Inc. | 9,800 | 246,960 | |
Canara Bank | 78,404 | 381,425 | |
Center Financial Corp., California | 4,100 | 101,803 | |
Colonial Bancgroup, Inc. | 21,500 | 474,290 | |
Commerce Bancorp, Inc., New Jersey | 17,300 | 524,363 | |
Corp. Bank | 7,279 | 60,802 | |
HDFC Bank Ltd. sponsored ADR | 8,100 | 376,731 | |
Hiroshima Bank Ltd. | 155,100 | 707,638 | |
ICICI Bank Ltd. sponsored ADR | 6,100 | 133,285 | |
Juroku Bank Ltd. | 42,000 | 227,600 | |
PrivateBancorp, Inc. | 2,200 | 77,836 | |
State Bank of India | 60,650 | 1,062,278 | |
The Keiyo Bank Ltd. | 54,000 | 276,074 | |
Wintrust Financial Corp. | 9,800 | 513,030 | |
15,363,103 | |||
Consumer Finance - 0.0% | |||
EZCORP, Inc. Class A (a) | 16,755 | 179,614 | |
Diversified Financial Services - 0.4% | |||
Kotak Mahindra Bank Ltd. | 53,264 | 481,306 | |
Moody's Corp. | 10,400 | 467,584 | |
TSX Group, Inc. | 29,300 | 873,117 | |
1,822,007 | |||
Insurance - 4.5% | |||
AFLAC, Inc. | 105,400 | 4,561,712 | |
American International Group, Inc. | 14,900 | 865,690 | |
Assurant, Inc. | 219,900 | 7,938,390 | |
Brown & Brown, Inc. | 2,400 | 107,856 | |
Mercury General Corp. | 2,800 | 152,656 | |
Ohio Casualty Corp. | 10,000 | 241,800 | |
Ping An Insurance (Group) Co. of China, Ltd. (H Shares) | 572,500 | 920,892 | |
Progressive Corp. | 8,900 | 879,409 | |
Reinsurance Group of America, Inc. | 22,300 | 1,037,173 | |
Universal American Financial Corp. (a) | 1,600 | 36,192 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
FINANCIALS - continued | |||
Insurance - continued | |||
USI Holdings Corp. (a) | 16,900 | $ 217,672 | |
W.R. Berkley Corp. | 79,650 | 2,841,912 | |
19,801,354 | |||
Real Estate - 0.9% | |||
CBL & Associates Properties, Inc. | 2,800 | 120,596 | |
Equity Office Properties Trust | 41,200 | 1,363,720 | |
Pan Pacific Retail Properties, Inc. | 10,500 | 696,990 | |
Plum Creek Timber Co., Inc. | 13,800 | 500,940 | |
United Dominion Realty Trust, Inc. (SBI) | 51,100 | 1,228,955 | |
3,911,201 | |||
Thrifts & Mortgage Finance - 0.4% | |||
Doral Financial Corp. | 14,600 | 241,484 | |
Golden West Financial Corp., Delaware | 7,700 | 495,726 | |
Housing Development Finance Corp. Ltd. | 13,692 | 280,564 | |
NetBank, Inc. | 93,429 | 870,758 | |
1,888,532 | |||
TOTAL FINANCIALS | 43,728,505 | ||
HEALTH CARE - 17.3% | |||
Biotechnology - 6.0% | |||
Affymetrix, Inc. (a) | 21,400 | 1,154,102 | |
Albany Molecular Research, Inc. (a) | 121,800 | 1,705,200 | |
Charles River Laboratories International, Inc. (a) | 32,524 | 1,569,283 | |
Genentech, Inc. (a) | 2,200 | 176,616 | |
Harvard Bioscience, Inc. (a) | 263,711 | 828,053 | |
ImmunoGen, Inc. (a) | 4,600 | 26,634 | |
Invitrogen Corp. (a) | 160,400 | 13,359,717 | |
Martek Biosciences (a)(d) | 13,598 | 516,044 | |
Neogen Corp. (a) | 1,600 | 22,880 | |
QIAGEN NV (a)(d) | 473,700 | 5,466,498 | |
Stratagene Corp. (a) | 138,212 | 1,201,062 | |
Strategic Diagnostics, Inc. (a) | 101,900 | 349,517 | |
26,375,606 | |||
Health Care Equipment & Supplies - 2.7% | |||
Beckman Coulter, Inc. | 70,000 | 4,449,900 | |
Bio-Rad Laboratories, Inc. Class A (a) | 8,100 | 479,601 | |
BioLase Technology, Inc. | 5,100 | 32,232 | |
Bruker BioSciences Corp. (a) | 2,000 | 7,980 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Health Care Equipment & Supplies - continued | |||
Endocare, Inc. (a) | 7,500 | $ 30,000 | |
Epix Pharmaceuticals, Inc. (a) | 17,200 | 152,220 | |
Gen-Probe, Inc. (a) | 1,800 | 65,214 | |
IDEXX Laboratories, Inc. (a) | 8,900 | 554,737 | |
Kinetic Concepts, Inc. (a) | 3,700 | 222,000 | |
Meridian Bioscience, Inc. | 40,900 | 775,055 | |
Millipore Corp. (a) | 51,300 | 2,910,249 | |
Molecular Devices Corp. (a) | 20 | 433 | |
Synthes, Inc. | 6,752 | 741,237 | |
Thermo Electron Corp. (a) | 24,300 | 652,941 | |
Waters Corp. (a) | 24,600 | 914,382 | |
11,988,181 | |||
Health Care Providers & Services - 7.1% | |||
Aetna, Inc. | 42,900 | 3,552,978 | |
Allscripts Healthcare Solutions, Inc. (a) | 48,500 | 805,585 | |
Caremark Rx, Inc. (a) | 110,600 | 4,923,912 | |
Cerner Corp. (a) | 10,100 | 686,497 | |
Community Health Systems, Inc. (a) | 13,800 | 521,502 | |
Covance, Inc. (a) | 89,700 | 4,024,839 | |
Eclipsys Corp. (a) | 52,200 | 734,454 | |
HealthExtras, Inc. (a) | 22,900 | 459,603 | |
Humana, Inc. (a) | 39,200 | 1,557,808 | |
ICON PLC sponsored ADR (a) | 15,700 | 544,790 | |
IMS Health, Inc. | 127,600 | 3,160,652 | |
Lifeline Systems, Inc. (a) | 10,200 | 327,624 | |
Omnicare, Inc. | 23,100 | 980,133 | |
Pharmaceutical Product Development, Inc. (a) | 64,200 | 3,008,412 | |
ProxyMed, Inc. (a) | 39,388 | 308,802 | |
ResCare, Inc. (a) | 87,900 | 1,191,924 | |
Sunrise Senior Living, Inc. (a)(d) | 30,800 | 1,662,584 | |
Triad Hospitals, Inc. (a) | 9,300 | 508,152 | |
TriZetto Group, Inc. (a) | 18,000 | 252,180 | |
VCA Antech, Inc. (a) | 10,000 | 242,500 | |
VistaCare, Inc. Class A (a) | 28,900 | 533,783 | |
WebMD Corp. (a) | 120,600 | 1,238,562 | |
31,227,276 | |||
Pharmaceuticals - 1.5% | |||
Bentley Pharmaceuticals, Inc. (a) | 19,700 | 215,715 | |
Connetics Corp. (a) | 30,100 | 530,964 | |
Dr. Reddy's Laboratories Ltd. sponsored ADR | 10,300 | 174,276 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
HEALTH CARE - continued | |||
Pharmaceuticals - continued | |||
Hi-Tech Pharmacal Co., Inc. (a) | 80 | $ 2,549 | |
Merck KGaA | 32,300 | 2,574,716 | |
Ranbaxy Laboratories Ltd. sponsored GDR | 27,006 | 668,399 | |
Roche Holding AG: | |||
(participation certificate) | 14,165 | 1,792,660 | |
sponsored ADR | 5,800 | 365,922 | |
6,325,201 | |||
TOTAL HEALTH CARE | 75,916,264 | ||
INDUSTRIALS - 10.3% | |||
Aerospace & Defense - 0.8% | |||
DRS Technologies, Inc. | 13,000 | 666,640 | |
Esterline Technologies Corp. (a) | 23,500 | 941,880 | |
L-3 Communications Holdings, Inc. | 21,700 | 1,661,786 | |
3,270,306 | |||
Air Freight & Logistics - 0.5% | |||
C.H. Robinson Worldwide, Inc. | 10,854 | 631,703 | |
Hub Group, Inc. Class A (a) | 59,088 | 1,480,154 | |
2,111,857 | |||
Airlines - 0.2% | |||
ACE Aviation Holdings, Inc. Class A (a) | 25,700 | 835,900 | |
Building Products - 0.0% | |||
Quixote Corp. | 6,900 | 135,309 | |
Commercial Services & Supplies - 1.0% | |||
Bennett Environmental, Inc. (a) | 1,600 | 4,871 | |
ChoicePoint, Inc. (a) | 24,800 | 993,240 | |
Fullcast Co. Ltd. | 573 | 1,451,810 | |
Randstad Holdings NV | 7,000 | 241,933 | |
Societe Generale de Surveillance Holding SA (SGS) (Reg.) | 1,188 | 816,162 | |
Stericycle, Inc. (a) | 20,442 | 1,028,641 | |
4,536,657 | |||
Construction & Engineering - 1.7% | |||
Chicago Bridge & Iron Co. NV (NY Shares) | 51,600 | 1,179,576 | |
Dycom Industries, Inc. (a) | 12,300 | 243,663 | |
Foster Wheeler Ltd. (a) | 40,995 | 805,962 | |
Jacobs Engineering Group, Inc. (a) | 41,200 | 2,317,912 | |
Shaw Group, Inc. (a) | 101,600 | 2,185,416 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INDUSTRIALS - continued | |||
Construction & Engineering - continued | |||
United Group Ltd. | 65,100 | $ 477,984 | |
United Group Ltd. New (a) | 14,000 | 100,766 | |
7,311,279 | |||
Electrical Equipment - 1.5% | |||
Baldor Electric Co. | 10,900 | 265,088 | |
C&D Technologies, Inc. | 49,200 | 452,148 | |
Crompton Greaves Ltd. | 8,700 | 88,061 | |
Rockwell Automation, Inc. | 88,100 | 4,291,351 | |
Roper Industries, Inc. | 22,200 | 1,584,414 | |
6,681,062 | |||
Industrial Conglomerates - 0.6% | |||
Max India Ltd. (a) | 14,252 | 174,843 | |
Teleflex, Inc. | 43,200 | 2,564,784 | |
2,739,627 | |||
Machinery - 3.6% | |||
AGCO Corp. (a) | 180,600 | 3,453,072 | |
Dover Corp. | 20,400 | 742,152 | |
Flowserve Corp. (a) | 111,300 | 3,367,938 | |
Gardner Denver, Inc. (a) | 18,400 | 645,472 | |
Harsco Corp. | 47,300 | 2,580,215 | |
Heidelberger Druckmaschinen AG | 16,600 | 486,141 | |
Krones AG | 190 | 22,993 | |
Tata Motors Ltd. | 45,134 | 441,685 | |
Terex Corp. (a) | 24,900 | 981,060 | |
Wabtec Corp. | 16,500 | 354,420 | |
Watts Water Technologies, Inc. Class A | 63,600 | 2,129,964 | |
Zenon Environmental, Inc. (a) | 28,800 | 581,077 | |
15,786,189 | |||
Marine - 0.1% | |||
Alexander & Baldwin, Inc. | 13,200 | 611,820 | |
Hanjin Shipping Co. Ltd. | 10 | 251 | |
612,071 | |||
Road & Rail - 0.2% | |||
Landstar System, Inc. (a) | 26,300 | 792,156 | |
Trading Companies & Distributors - 0.1% | |||
MSC Industrial Direct Co., Inc. Class A | 11,000 | 371,250 | |
TOTAL INDUSTRIALS | 45,183,663 | ||
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - 14.1% | |||
Communications Equipment - 1.5% | |||
C-COR, Inc. (a) | 144,370 | $ 988,935 | |
NETGEAR, Inc. (a) | 74,596 | 1,387,486 | |
Plantronics, Inc. | 58,600 | 2,130,696 | |
TANDBERG ASA | 214,200 | 2,294,660 | |
6,801,777 | |||
Computers & Peripherals - 1.4% | |||
Apple Computer, Inc. (a) | 115,051 | 4,235,027 | |
iCAD, Inc. (a) | 72,140 | 322,466 | |
SanDisk Corp. (a) | 69,800 | 1,656,354 | |
6,213,847 | |||
Electronic Equipment & Instruments - 3.7% | |||
CDW Corp. | 64,920 | 3,706,283 | |
Elec & Eltek International Co. Ltd. | 160,000 | 406,400 | |
Hon Hai Precision Industries Co. Ltd. | 881,000 | 4,575,359 | |
KEMET Corp. (a) | 77,100 | 485,730 | |
Keyence Corp. | 1,400 | 313,818 | |
Measurement Specialties, Inc. (a) | 10,600 | 246,026 | |
Mettler-Toledo International, Inc. (a) | 19,900 | 926,942 | |
Symbol Technologies, Inc. | 400,400 | 3,951,948 | |
Vishay Intertechnology, Inc. (a) | 145,900 | 1,731,833 | |
Xyratex Ltd. | 1,800 | 27,918 | |
16,372,257 | |||
Internet Software & Services - 1.1% | |||
aQuantive, Inc. (a) | 17,450 | 309,214 | |
eCollege.com (a) | 9,100 | 108,290 | |
RealNetworks, Inc. (a) | 367,272 | 1,825,342 | |
Sohu.com, Inc. (a) | 3,900 | 85,488 | |
ValueClick, Inc. (a) | 75,309 | 928,560 | |
VeriSign, Inc. (a) | 24,700 | 710,372 | |
Yahoo! Japan Corp. | 329 | 691,195 | |
4,658,461 | |||
IT Services - 1.6% | |||
Affiliated Computer Services, Inc. Class A (a) | 14,384 | 735,022 | |
Anteon International Corp. (a) | 36,500 | 1,665,130 | |
Lionbridge Technologies, Inc. (a) | 89,500 | 606,810 | |
ManTech International Corp. Class A (a) | 18,000 | 558,720 | |
Maximus, Inc. | 31,300 | 1,104,577 | |
Net One Systems Co. Ltd. | 5 | 12,894 | |
Obic Co. Ltd. | 6,100 | 1,035,688 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
INFORMATION TECHNOLOGY - continued | |||
IT Services - continued | |||
SI International, Inc. (a) | 27,408 | $ 821,144 | |
TIS, Inc. | 15,000 | 512,601 | |
7,052,586 | |||
Office Electronics - 0.1% | |||
Neopost SA | 2,600 | 228,900 | |
Semiconductors & Semiconductor Equipment - 3.0% | |||
Analog Devices, Inc. | 31,500 | 1,175,265 | |
Cabot Microelectronics Corp. (a) | 13,800 | 400,062 | |
Credence Systems Corp. (a) | 91,700 | 829,885 | |
IXYS Corp. (a) | 34,300 | 486,374 | |
LSI Logic Corp. (a) | 221,000 | 1,876,290 | |
NVIDIA Corp. (a) | 283,856 | 7,584,632 | |
Skyworks Solutions, Inc. (a) | 26,400 | 194,568 | |
Varian Semiconductor Equipment Associates, Inc. (a) | 13,900 | 514,300 | |
13,061,376 | |||
Software - 1.7% | |||
Activision, Inc. (a) | 51,200 | 845,824 | |
Adobe Systems, Inc. | 14,500 | 414,990 | |
Electronic Arts, Inc. (a) | 8,600 | 486,846 | |
Intuit, Inc. (a) | 6,183 | 278,915 | |
Macrovision Corp. (a) | 26,341 | 593,726 | |
NAVTEQ Corp. | 14,400 | 535,392 | |
Open Solutions, Inc. (a) | 45,000 | 913,950 | |
Renaissance Learning, Inc. | 41,623 | 844,947 | |
RSA Security, Inc. (a)(d) | 81,400 | 934,472 | |
Salesforce.com, Inc. | 1,300 | 26,624 | |
Synopsys, Inc. (a) | 44,400 | 740,148 | |
THQ, Inc. (a) | 30,000 | 878,100 | |
7,493,934 | |||
TOTAL INFORMATION TECHNOLOGY | 61,883,138 | ||
MATERIALS - 7.4% | |||
Chemicals - 2.3% | |||
Airgas, Inc. | 58,000 | 1,430,860 | |
Asian Paints India Ltd. | 32,396 | 306,262 | |
Crompton Corp. | 89,300 | 1,263,595 | |
Ecolab, Inc. | 39,900 | 1,291,164 | |
K&S AG | 4,600 | 254,843 | |
Monsanto Co. | 27,000 | 1,697,490 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
MATERIALS - continued | |||
Chemicals - continued | |||
Nitto Denko Corp. | 16,900 | $ 969,154 | |
Olin Corp. | 29,300 | 534,432 | |
Praxair, Inc. | 5,800 | 270,280 | |
Sinopec Shanghai Petrochemical Co. Ltd. sponsored ADR | 3,800 | 131,100 | |
Tokuyama Corp. | 127,000 | 904,648 | |
Tosoh Corp. | 274,500 | 1,141,017 | |
United Phosphorous Ltd. | 9 | 168 | |
10,195,013 | |||
Construction Materials - 0.2% | |||
Florida Rock Industries, Inc. | 9,300 | 682,155 | |
Containers & Packaging - 0.0% | |||
Essel Propack Ltd. | 23,235 | 170,354 | |
Silgan Holdings, Inc. | 94 | 5,287 | |
175,641 | |||
Metals & Mining - 4.6% | |||
Agnico-Eagle Mines Ltd. | 109,900 | 1,375,096 | |
Compania de Minas Buenaventura SA sponsored ADR | 45,300 | 1,041,447 | |
Fording Canadian Coal Trust | 3,200 | 292,994 | |
Freeport-McMoRan Copper & Gold, Inc. Class B | 127,300 | 4,766,112 | |
Goldcorp, Inc. | 13,200 | 209,980 | |
Golden Star Resources Ltd. (a) | 4,700 | 14,577 | |
Harmony Gold Mining Co. Ltd. | 105,200 | 900,512 | |
High River Gold Mines Ltd. (a) | 138,800 | 152,938 | |
Kinross Gold Corp. (a) | 393,800 | 2,410,627 | |
Newmont Mining Corp. | 192,700 | 7,521,081 | |
Nippon Steel Corp. | 307,300 | 714,877 | |
Teck Cominco Ltd. Class B (sub. vtg.) | 27,400 | 924,515 | |
20,324,756 | |||
Paper & Forest Products - 0.3% | |||
Lee & Man Paper Manufacturing Ltd. (a) | 968,000 | 822,134 | |
Sino-Forest Corp. (a) | 222,900 | 502,125 | |
1,324,259 | |||
TOTAL MATERIALS | 32,701,824 | ||
TELECOMMUNICATION SERVICES - 1.8% | |||
Diversified Telecommunication Services - 0.3% | |||
Philippine Long Distance Telephone Co. sponsored ADR | 43,000 | 1,249,150 | |
Common Stocks - continued | |||
Shares | Value (Note 1) | ||
TELECOMMUNICATION SERVICES - continued | |||
Wireless Telecommunication Services - 1.5% | |||
America Movil SA de CV Series L sponsored ADR | 12,100 | $ 721,281 | |
Bharti Televentures Ltd. (a) | 40,647 | 235,851 | |
NII Holdings, Inc. (a) | 89,903 | 5,748,398 | |
6,705,530 | |||
TOTAL TELECOMMUNICATION SERVICES | 7,954,680 | ||
UTILITIES - 0.7% | |||
Gas Utilities - 0.2% | |||
SEMCO Energy, Inc. (a) | 161,800 | 969,182 | |
Independent Power Producers & Energy Traders - 0.5% | |||
AES Corp. (a) | 126,800 | 2,076,984 | |
TOTAL UTILITIES | 3,046,166 | ||
TOTAL COMMON STOCKS (Cost $392,565,426) | 419,256,853 | ||
Nonconvertible Preferred Stocks - 0.1% | |||
CONSUMER DISCRETIONARY - 0.1% | |||
Automobiles - 0.1% | |||
Porsche AG (non-vtg.)(Cost $499,486) | 700 | 526,594 | |
Money Market Funds - 5.2% | |||
Fidelity Cash Central Fund, 3.21% (b) | 18,943,034 | 18,943,034 | |
Fidelity Securities Lending Cash Central Fund, 3.23% (b)(c) | 4,078,085 | 4,078,085 | |
TOTAL MONEY MARKET FUNDS (Cost $23,021,119) | 23,021,119 | ||
TOTAL INVESTMENT PORTFOLIO - 100.6% (Cost $416,086,031) | 442,804,566 | ||
NET OTHER ASSETS - (0.6)% | (2,759,066) | ||
NET ASSETS - 100% | $ 440,045,500 | ||
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the fund's holdings as of its most recent quarter end is available upon request. |
(c) Investment made with cash collateral received from securities on loan. |
(d) Security or a portion of the security is on loan at period end. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 75.6% |
Japan | 5.0% |
Canada | 3.0% |
India | 1.9% |
Netherlands | 1.9% |
Cayman Islands | 1.8% |
Germany | 1.1% |
Taiwan | 1.0% |
France | 1.0% |
Others (individually less than 1%) | 7.7% |
100.0% |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
June 30, 2005 (Unaudited) | ||
Assets | ||
Investment in securities, at value (including securities loaned of $3,883,010) (cost $416,086,031) - See accompanying schedule | $ 442,804,566 | |
Foreign currency held at value (cost $228,083) | 226,635 | |
Receivable for investments sold | 2,561,871 | |
Receivable for foreign currency contracts | 1,385,316 | |
Receivable for fund shares sold | 2,913,794 | |
Dividends receivable | 229,037 | |
Interest receivable | 75,054 | |
Prepaid expenses | 6,518 | |
Other receivables | 110,032 | |
Total assets | 450,312,823 | |
Liabilities | ||
Payable to custodian bank | $ 282,681 | |
Payable for investments purchased | 3,552,498 | |
Payable for foreign currency contracts | 1,274,939 | |
Payable for fund shares redeemed | 471,895 | |
Accrued management fee | 205,330 | |
Distribution fees payable | 159,015 | |
Other affiliated payables | 112,710 | |
Other payables and accrued expenses | 130,170 | |
Collateral on securities loaned, at value | 4,078,085 | |
Total liabilities | 10,267,323 | |
Net Assets | $ 440,045,500 | |
Net Assets consist of: | ||
Paid in capital | $ 417,671,645 | |
Accumulated net investment loss | (428,714) | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,814,890) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 26,617,459 | |
Net Assets | $ 440,045,500 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Assets and Liabilities - continued
June 30, 2005 (Unaudited) | ||
Calculation of Maximum Offering Price | $ 12.84 | |
Maximum offering price per share (100/94.25 of $12.84) | $ 13.62 | |
Class T: | $ 12.81 | |
Maximum offering price per share (100/96.50 of $12.81) | $ 13.27 | |
Class B: | $ 12.76 | |
Class C: | $ 12.77 | |
Institutional Class: | $ 12.87 | |
A Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements - continued
Statement of Operations
Six months ended June 30, 2005 (Unaudited) | ||
Investment Income | ||
Dividends | $ 1,185,582 | |
Interest | 354,107 | |
Security lending | 24,035 | |
Total income | 1,563,724 | |
Expenses | ||
Management fee | $ 801,185 | |
Transfer agent fees | 448,531 | |
Distribution fees | 670,397 | |
Accounting and security lending fees | 57,907 | |
Independent trustees' compensation | 518 | |
Custodian fees and expenses | 73,416 | |
Registration fees | 112,734 | |
Audit | 19,709 | |
Legal | 596 | |
Miscellaneous | 167 | |
Total expenses before reductions | 2,185,160 | |
Expense reductions | (195,187) | 1,989,973 |
Net investment income (loss) | (426,249) | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | (3,533,330) | |
Foreign currency transactions | (27,004) | |
Total net realized gain (loss) | (3,560,334) | |
Change in net unrealized appreciation (depreciation) on: Investment securities (net of increase in deferred foreign taxes of $61,790) | 14,041,668 | |
Assets and liabilities in foreign currencies | (4,148) | |
Total change in net unrealized appreciation (depreciation) | 14,037,520 | |
Net gain (loss) | 10,477,186 | |
Net increase (decrease) in net assets resulting from operations | $ 10,050,937 | |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Statement of Changes in Net Assets
Six months ended | For the period August 12, 2004 (commencement | |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income (loss) | $ (426,249) | $ (194,575) |
Net realized gain (loss) | (3,560,334) | 12,035 |
Change in net unrealized appreciation (depreciation) | 14,037,520 | 12,579,939 |
Net increase (decrease) in net assets resulting | 10,050,937 | 12,397,399 |
Distributions to shareholders from net realized gain | (74,481) | - |
Share transactions - net increase (decrease) | 295,417,621 | 122,254,024 |
Total increase (decrease) in net assets | 305,394,077 | 134,651,423 |
Net Assets | ||
Beginning of period | 134,651,423 | - |
End of period (including accumulated net investment loss of $428,714 and accumulated net investment loss of $2,465, respectively) | $ 440,045,500 | $ 134,651,423 |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class A
Six months ended June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.52 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | - H | (.02) |
Net realized and unrealized gain (loss) | .33 | 2.54 |
Total from investment operations | .33 | 2.52 |
Distributions from net realized gain | (.01) | - |
Net asset value, end of period | $ 12.84 | $ 12.52 |
Total Return B, C, D | 2.64% | 25.20% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 1.37% A | 1.79% A |
Expenses net of voluntary waivers, if any | 1.25% A | 1.30% A |
Expenses net of all reductions | 1.17% A | 1.26% A |
Net investment income (loss) | (.07)% A | (.53)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 95,931 | $ 34,438 |
Portfolio turnover rate | 118% A | 40% A |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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.
H Amount represents less than $.01 per share.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.51 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | (.02) | (.03) |
Net realized and unrealized gain (loss) | .33 | 2.54 |
Total from investment operations | .31 | 2.51 |
Distributions from net realized gain | (.01) | - |
Net asset value, end of period | $ 12.81 | $ 12.51 |
Total Return B, C, D | 2.44% | 25.10% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 1.51% A | 1.96% A |
Expenses net of voluntary waivers, if any | 1.50% A | 1.55% A |
Expenses net of all reductions | 1.43% A | 1.51% A |
Net investment income (loss) | (.32)% A | (.78)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 173,635 | $ 60,107 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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 June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.48 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | (.05) | (.06) |
Net realized and unrealized gain (loss) | .33 | 2.54 |
Total from investment operations | .28 | 2.48 |
Net asset value, end of period | $ 12.76 | $ 12.48 |
Total Return B, C, D | 2.24% | 24.80% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 2.12% A | 2.61% A |
Expenses net of voluntary waivers, if any | 2.00% A | 2.05% A |
Expenses net of all reductions | 1.92% A | 2.01% A |
Net investment income (loss) | (.82)% A | (1.28)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 33,817 | $ 15,527 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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 June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 F | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.49 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) E | (.05) | (.06) |
Net realized and unrealized gain (loss) | .33 | 2.55 |
Total from investment operations | .28 | 2.49 |
Net asset value, end of period | $ 12.77 | $ 12.49 |
Total Return B, C, D | 2.24% | 24.90% |
Ratios to Average Net Assets G | ||
Expenses before expense reductions | 2.11% A | 2.53% A |
Expenses net of voluntary waivers, if any | 2.00% A | 2.05% A |
Expenses net of all reductions | 1.92% A | 2.01% A |
Net investment income (loss) | (.82)% A | (1.28)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 56,436 | $ 17,822 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F For the period August 12, 2004 (commencement of operations) to December 31, 2004.
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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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 June 30, 2005 | Period ended December 31, | |
(Unaudited) | 2004 E | |
Selected Per-Share Data | ||
Net asset value, beginning of period | $ 12.54 | $ 10.00 |
Income from Investment Operations | ||
Net investment income (loss) D | .01 | (.01) |
Net realized and unrealized gain (loss) | .33 | 2.55 |
Total from investment operations | .34 | 2.54 |
Distributions from net realized gain | (.01) | - |
Net asset value, end of period | $ 12.87 | $ 12.54 |
Total Return B, C | 2.71% | 25.40% |
Ratios to Average Net Assets F | ||
Expenses before expense reductions | 1.09% A | 1.38% A |
Expenses net of voluntary waivers, if any | 1.02% A | 1.05% A |
Expenses net of all reductions | .94% A | 1.01% A |
Net investment income (loss) | .16% A | (.28)% A |
Supplemental Data | ||
Net assets, end of period (000 omitted) | $ 80,227 | $ 6,757 |
Portfolio turnover rate | 118% A | 40% A |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E For the period August 12, 2004 (commencement of operations) to December 31, 2004.
F Expense ratios reflect operating expenses of the class. Expenses before reductions do not reflect amounts reimbursed by the investment adviser or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expense ratios before reductions for start-up periods may not be representative of longer-term operating periods. Expenses net of any voluntary 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, 2005 (Unaudited)
1. Significant Accounting Policies.
Fidelity Advisor Mid Cap II Fund (the fund) is a fund of Fidelity Advisor Series II (the trust) and is authorized to issue an unlimited number of shares. The trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company organized as a Massachusetts business trust.
The fund offers Class A, Class T, Class B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund:
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value. Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies are valued at their net asset value each business day.
Foreign Currency. The fund uses foreign currency contracts to facilitate transactions in foreign-denominated securities. 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.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
1. Significant Accounting Policies - continued
Foreign Currency - continued
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions are accounted for as of trade date. 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. The fund estimates the components of distributions received that may be considered return of capital distributions or capital gain distributions. Interest income is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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.
Distributions are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Semiannual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders - continued
Book-tax differences are primarily due to foreign currency transactions, passive foreign investment companies (PFIC), net operating losses and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 37,088,409 | |
Unrealized depreciation | (12,680,625) | |
Net unrealized appreciation (depreciation) | $ 24,407,784 | |
Cost for federal income tax purposes | $ 418,396,782 |
2. Operating Policies.
Repurchase Agreements. Fidelity Management & Research Company (FMR) has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits the fund and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. The fund may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. The fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $431,334,691 and $151,943,579, respectively.
4. 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 .30% of the fund's average net assets and a group fee rate that averaged .27% 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 .57% of the fund's average net assets.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
4. Fees and Other Transactions with Affiliates - continued
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .25% | $ 79,103 | $ 804 |
Class T | .25% | .25% | 288,222 | 35,304 |
Class B | .75% | .25% | 127,353 | 96,146 |
Class C | .75% | .25% | 175,719 | 126,474 |
$ 670,397 | $ 258,728 |
Sales Load. FDC receives a front-end sales charge of up to 5.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, and .25% for certain purchases of Class A and Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | ||
Class A | $ 254,213 | |
Class T | 46,741 | |
Class B* | 15,506 | |
Class C* | 2,696 | |
$ 319,156 |
* 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
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees - continued
respective classes of the fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 116,549 | .37 * |
Class T | 149,939 | .26 * |
Class B | 48,031 | .38 * |
Class C | 64,861 | .37 * |
Institutional Class | 69,151 | .34 * |
$ 448,531 |
* Annualized
Accounting and Security Lending Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the fund's accounting records. The accounting fee is based on the level of average net assets for the month. Under a separate contract, FSC administers the security lending program. The security lending fee is based on the number and duration of lending transactions.
Central Funds. The fund may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), an affiliate of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Money Market Central Funds seek preservation of capital and current income. The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $352,519 for the period.
Brokerage Commissions. The fund placed a portion of its portfolio transactions with brokerage firms which are affiliates of the investment adviser. The commissions paid to these affiliated firms were $17,292 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
6. Security Lending.
The fund lends portfolio securities from time to time in order to earn additional income. The fund receives collateral (in the form of U.S. Treasury obligations, letters of credit and/or cash) against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the fund and any additional required collateral is delivered to the fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, a fund could experience delays and costs in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in the Fidelity Securities Lending Cash Central Fund. The value of loaned securities and cash collateral at period end are disclosed on the fund's Statement of Assets and Liabilities.
7. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
Expense | Reimbursement | |
Class A | 1.30% - 1.25%* | $ 36,716 |
Class T | 1.55% - 1.50%* | 2,667 |
Class B | 2.05% - 2.00%* | 15,378 |
Class C | 2.05% - 2.00%* | 18,769 |
Institutional Class | 1.05% - 1.00%* | 14,229 |
$ 87,759 |
* Expense limitation in effect at period end.
Many of the brokers with whom FMR places trades on behalf of the fund provided services to the fund in addition to trade execution. These services included payments of certain expenses on behalf of the fund totaling $107,172 for the period. In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $256.
Semiannual Report
8. 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.
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Period ended | |
From net realized gain | ||
Class A | $ 35,334 | $ - |
Class T | 31,905 | - |
Institutional Class | 7,242 | - |
Total | $ 74,481 | $ - |
A For the period August 12, 2004 (commencement of operations) to December 31, 2004.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
10. Share Transactions.
Transactions for each class of shares were as follows:
Shares | Dollars | |||
Six months ended June 30, | Period ended | Six months ended | Period ended | |
Class A | ||||
Shares sold | 5,116,545 | 2,793,502 | $ 64,173,462 | $ 31,810,120 |
Reinvestment of distributions | 2,634 | - | 33,112 | - |
Shares redeemed | (396,607) | (43,346) | (5,004,929) | (510,122) |
Net increase (decrease) | 4,722,572 | 2,750,156 | $ 59,201,645 | $ 31,299,998 |
Class T | ||||
Shares sold | 9,424,251 | 5,009,964 | $ 117,815,332 | $ 56,923,971 |
Reinvestment of distributions | 2,451 | - | 30,782 | - |
Shares redeemed | (677,683) | (204,179) | (8,482,964) | (2,350,782) |
Net increase (decrease) | 8,749,019 | 4,805,785 | $ 109,363,150 | $ 54,573,189 |
Class B | ||||
Shares sold | 1,708,580 | 1,266,901 | $ 21,291,063 | $ 14,392,485 |
Shares redeemed | (302,139) | (23,048) | (3,776,666) | (277,523) |
Net increase (decrease) | 1,406,441 | 1,243,853 | $ 17,514,397 | $ 14,114,962 |
Class C | ||||
Shares sold | 3,198,568 | 1,436,802 | $ 39,829,450 | $ 16,336,650 |
Shares redeemed | (204,889) | (9,738) | (2,579,466) | (115,404) |
Net increase (decrease) | 2,993,679 | 1,427,064 | $ 37,249,984 | $ 16,221,246 |
Institutional Class | ||||
Shares sold | 6,018,989 | 552,710 | $ 76,154,680 | $ 6,208,664 |
Reinvestment of distributions | 471 | - | 5,930 | - |
Shares redeemed | (324,624) | (13,733) | (4,072,165) | (164,035) |
Net increase (decrease) | 5,694,836 | 538,977 | $ 72,088,445 | $ 6,044,629 |
A For the period August 12, 2004 (commencement of operations) to December 31, 2004.
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on March 16, 2005. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval. A | ||
# of | % of | |
Affirmative | 6,491,014,660.12 | 68.216 |
Against | 1,110,401,588.77 | 11.670 |
Abstain | 364,285,629.16 | 3.828 |
Broker | 1,549,650,136.89 | 16.286 |
TOTAL | 9,515,352,014.94 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Laura B. Cronin | ||
Affirmative | 9,191,010,795.38 | 96.591 |
Withheld | 324,341,219.56 | 3.409 |
TOTAL | 9,515,352,014.94 | 100.000 |
Dennis J. Dirks | ||
Affirmative | 9,199,049,001.28 | 96.676 |
Withheld | 316,303,013.66 | 3.324 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,189,372,083.98 | 96.574 |
Withheld | 325,979,930.96 | 3.426 |
TOTAL | 9,515,352,014.94 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,191,183,741.44 | 96.593 |
Withheld | 324,168,273.50 | 3.407 |
TOTAL | 9,515,352,014.94 | 100.000 |
Abigail P. Johnson | ||
Affirmative | 9,174,139,780.45 | 96.414 |
Withheld | 341,212,234.49 | 3.586 |
TOTAL | 9,515,352,014.94 | 100.000 |
# of | % of | |
Edward C. Johnson 3d | ||
Affirmative | 9,167,856,276.61 | 96.348 |
Withheld | 347,495,738.33 | 3.652 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,196,147,863.00 | 96.645 |
Withheld | 319,204,151.94 | 3.355 |
TOTAL | 9,515,352,014.94 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,193,561,981.00 | 96.618 |
Withheld | 321,790,033.94 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,184,085,149.84 | 96.519 |
Withheld | 331,266,865.10 | 3.481 |
TOTAL | 9,515,352,014.94 | 100.000 |
William O. McCoy | ||
Affirmative | 9,187,317,991.01 | 96.553 |
Withheld | 328,034,023.93 | 3.447 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,193,543,677.54 | 96.618 |
Withheld | 321,808,337.40 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,193,853,155.26 | 96.621 |
Withheld | 321,498,859.68 | 3.379 |
TOTAL | 9,515,352,014.94 | 100.000 |
William S. Stavropoulos | ||
Affirmative | 9,191,672,816.31 | 96.598 |
Withheld | 323,679,198.63 | 3.402 |
TOTAL | 9,515,352,014.94 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 9,193,356,513.29 | 96.616 |
Withheld | 321,995,501.650 | 3.384 |
TOTAL | 9,515,352,014.94 | 100.000 |
A Denotes trust-wide proposals and voting results. | ||
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
(Far East) Inc.
Fidelity International Investment Advisors
Fidelity Investments Japan Limited
Fidelity International Investment Advisors (U.K.) Limited
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional
Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
Citibank, N.A.
New York, NY
AMPI-USAN-0805
1.801447.100
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
(Fidelity Investment logo)(registered trademark)
FidelityAdvisor
Strategic Income
Fund - Class A, Class T, Class B
and Class C
Semiannual Report
June 30, 2005
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Proxy Voting Results | ||
Board Approval of Investment Advisory Contracts and Management Fees | ||
Central Fund Investments | Complete list of investments for Fidelity's fixed-income central funds. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind everyone where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that someone could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner - and in every other. But I underscore again that Fidelity has no so-called "agreements" that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short-term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below 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.
Hypothetical Example for Comparison Purposes
The second line of the table below 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.
Semiannual Report
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.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,012.00 | $ 4.99 |
Hypothetical A | $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | |||
Actual | $ 1,000.00 | $ 1,012.40 | $ 5.34 |
Hypothetical A | $ 1,000.00 | $ 1,019.49 | $ 5.36 |
Class B | |||
Actual | $ 1,000.00 | $ 1,008.20 | $ 8.71 |
Hypothetical A | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,007.70 | $ 9.16 |
Hypothetical A | $ 1,000.00 | $ 1,015.67 | $ 9.20 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,012.70 | $ 4.09 |
Hypothetical A | $ 1,000.00 | $ 1,020.73 | $ 4.11 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Annualized | |
Class A | 1.00% |
Class T | 1.07% |
Class B | 1.75% |
Class C | 1.84% |
Institutional Class | .82% |
Semiannual Report
Investment Changes
Top Five Holdings as of June 30, 2005 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 15.5 | 13.2 |
Fannie Mae | 5.6 | 3.5 |
German Federal Republic | 2.8 | 5.1 |
Freddie Mac | 2.5 | 1.6 |
Brazilian Federative Republic | 2.3 | 2.5 |
28.7 | ||
Top Five Market Sectors as of June 30, 2005 | ||
% of fund's | % of fund's net assets | |
Consumer Discretionary | 12.0 | 11.3 |
Telecommunication Services | 8.4 | 9.5 |
Energy | 4.8 | 5.1 |
Financials | 4.3 | 6.8 |
Materials | 3.8 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2005 | As of December 31, 2004 | ||||||
| U.S. Government and U.S. Government | | U.S. Government and | ||||
 | AAA, AA, A 10.8% | | AAA, AA, A 14.8% | ||||
 | BBB 4.7% | | BBB 4.0% | ||||
 | BB 13.1% | | BB 14.9% | ||||
 | B 24.4% |  | B 27.8% | ||||
 | CCC, CC, C 7.4% | | CCC, CC, C 8.3% | ||||
 | Not Rated 2.2% | | Not Rated 2.3% | ||||
 | Equities 1.2% | | Equities 1.4% | ||||
| Short-Term | | Short-Term | ||||
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. The information in the above 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2005 * | As of December 31, 2004 ** | ||||||
| Corporate Bonds 40.7% | | Corporate Bonds 47.1% | ||||
 | U.S. Government and U.S. Government | | U.S. Government and | ||||
| Foreign Government | | Foreign Government | ||||
| Stocks 1.2% | | Stocks 1.4% | ||||
| Other Investments 2.9% | | Other Investments 2.2% | ||||
| Short-Term | | Short-Term | ||||
* Foreign investments | 29.9% | ** Foreign investments | 36.2% | ||||
*** Includes short-term foreign government obligations of .3%. | |||||||
The information in the above 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.
Semiannual Report
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 40.6% | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Convertible Bonds - 0.1% | ||||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Atmel Corp. 0% 5/23/21 | $ 4,190 | $ 1,946 | ||
ON Semiconductor Corp. 0% 4/15/24 | 450 | 323 | ||
2,269 | ||||
Nonconvertible Bonds - 40.5% | ||||
CONSUMER DISCRETIONARY - 10.7% | ||||
Auto Components - 0.9% | ||||
Affinia Group, Inc. 9% 11/30/14 (f) | 6,760 | 5,678 | ||
Delco Remy International, Inc.: | ||||
8.625% 12/15/07 | 2,066 | 2,014 | ||
9.375% 4/15/12 | 705 | 575 | ||
11% 5/1/09 | 1,810 | 1,665 | ||
Intermet Corp. 9.75% 6/15/09 (c) | 2,240 | 963 | ||
Stoneridge, Inc. 11.5% 5/1/12 | 35 | 36 | ||
Tenneco Automotive, Inc. 8.625% 11/15/14 | 5,980 | 6,010 | ||
TRW Automotive Acquisition Corp.: | ||||
9.375% 2/15/13 | 2,503 | 2,766 | ||
11% 2/15/13 | 2,988 | 3,421 | ||
United Components, Inc. 9.375% 6/15/13 | 360 | 363 | ||
Visteon Corp. 7% 3/10/14 | 3,640 | 3,003 | ||
26,494 | ||||
Automobiles - 0.1% | ||||
Fiat Finance & Trade Ltd. 5.75% 5/25/06 | EUR | 1,000 | 1,213 | |
Renault SA 0.3338% 4/23/07 (i) | JPY | 200,000 | 1,794 | |
3,007 | ||||
Diversified Consumer Services - 0.2% | ||||
Service Corp. International (SCI): | ||||
6.75% 4/1/16 | 2,800 | 2,849 | ||
7% 6/15/17 (f) | 2,420 | 2,493 | ||
5,342 | ||||
Hotels, Restaurants & Leisure - 2.7% | ||||
Carrols Corp. 9% 1/15/13 (f) | 7,595 | 7,690 | ||
Chukchansi Economic Development Authority 14.5% 6/15/09 (f) | 490 | 599 | ||
Domino's, Inc. 8.25% 7/1/11 | 516 | 552 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,710 | 3,599 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Gaylord Entertainment Co.: - continued | ||||
8% 11/15/13 | $ 920 | $ 968 | ||
Herbst Gaming, Inc.: | ||||
7% 11/15/14 | 2,500 | 2,506 | ||
8.125% 6/1/12 | 835 | 887 | ||
ITT Corp. 7.375% 11/15/15 | 2,560 | 2,842 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 5,170 | 5,015 | ||
Mandalay Resort Group: | ||||
6.375% 12/15/11 | 1,220 | 1,232 | ||
6.5% 7/31/09 | 1,995 | 2,037 | ||
MGM MIRAGE: | ||||
6% 10/1/09 | 1,050 | 1,059 | ||
6.625% 7/15/15 (f) | 5,280 | 5,333 | ||
6.75% 9/1/12 | 1,310 | 1,349 | ||
8.5% 9/15/10 | 435 | 482 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 (f) | 2,140 | 2,188 | ||
Morton's Restaurant Group, Inc. 7.5% 7/1/10 | 1,215 | 1,191 | ||
Penn National Gaming, Inc.: | ||||
6.75% 3/1/15 (f) | 4,375 | 4,353 | ||
8.875% 3/15/10 | 1,105 | 1,182 | ||
Scientific Games Corp. 6.25% 12/15/12 (f) | 660 | 663 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,600 | ||
Starwood Hotels & Resorts Worldwide, Inc.: | ||||
7.375% 5/1/07 | 1,480 | 1,545 | ||
7.875% 5/1/12 | 985 | 1,108 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 1,790 | 1,817 | ||
6.5% 2/1/14 | 1,670 | 1,710 | ||
Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11 | 3,735 | 3,992 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (d) | 5,035 | 2,895 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 5,760 | 6,610 | ||
Uno Restaurant Corp. 10% 2/15/11 (f) | 2,690 | 2,542 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 5,136 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (d)(f) | 1,200 | 840 | ||
9% 1/15/12 (f) | 710 | 740 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (f) | $ 529 | $ 571 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 735 | 779 | ||
79,612 | ||||
Household Durables - 1.0% | ||||
D.R. Horton, Inc. 7.875% 8/15/11 | 170 | 190 | ||
Goodman Global Holdings, Inc.: | ||||
6.41% 6/15/12 (f)(i) | 680 | 663 | ||
7.875% 12/15/12 (f) | 13,850 | 12,811 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6% 1/15/10 | 730 | 715 | ||
6.25% 1/15/15 | 1,320 | 1,300 | ||
7.75% 5/15/13 | 3,480 | 3,654 | ||
KB Home 8.625% 12/15/08 | 1,350 | 1,458 | ||
Meritage Homes Corp. 6.25% 3/15/15 | 1,790 | 1,665 | ||
Norcraft Holdings LP/Norcraft Capital Corp. 0% 9/1/12 (d) | 1,910 | 1,318 | ||
Standard Pacific Corp.: | ||||
7.75% 3/15/13 | 750 | 782 | ||
9.25% 4/15/12 | 1,240 | 1,364 | ||
Technical Olympic USA, Inc. 7.5% 1/15/15 | 2,000 | 1,770 | ||
Tempur-Pedic, Inc./Tempur Production USA, Inc. 10.25% 8/15/10 | 1,015 | 1,132 | ||
28,822 | ||||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 720 | ||
Media - 5.3% | ||||
Cablevision Systems Corp. 8% 4/15/12 | 14,265 | 13,944 | ||
CanWest Media, Inc. 8% 9/15/12 | 860 | 903 | ||
Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 | 2,720 | 2,747 | ||
Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: | ||||
0% 5/15/11 (d) | 830 | 548 | ||
10% 4/1/09 | 535 | 413 | ||
10.75% 10/1/09 | 1,670 | 1,303 | ||
11.75% 1/15/10 | 505 | 394 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (f) | $ 2,110 | $ 2,110 | ||
Cinemark USA, Inc. 9% 2/1/13 | 200 | 207 | ||
Corus Entertainment, Inc. 8.75% 3/1/12 | 1,970 | 2,118 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 (f) | 3,730 | 3,506 | ||
7.625% 4/1/11 | 2,580 | 2,541 | ||
7.625% 7/15/18 | 12,970 | 12,451 | ||
7.875% 2/15/18 | 8,295 | 8,067 | ||
Dex Media, Inc. 8% 11/15/13 | 8,615 | 9,132 | ||
EchoStar DBS Corp.: | ||||
6.375% 10/1/11 | 3,705 | 3,673 | ||
6.625% 10/1/14 | 9,095 | 8,981 | ||
9.125% 1/15/09 | 42 | 45 | ||
Entercom Radio LLC/Entercom Capital, Inc. 7.625% 3/1/14 | 1,505 | 1,565 | ||
Entravision Communications Corp. 8.125% 3/15/09 | 1,930 | 2,007 | ||
Haights Cross Communications, Inc. 0% 8/15/11 (d) | 1,550 | 946 | ||
Haights Cross Operating Co. 11.75% 8/15/11 | 1,790 | 1,951 | ||
Houghton Mifflin Co.: | ||||
0% 10/15/13 (d) | 11,050 | 8,011 | ||
8.25% 2/1/11 | 1,905 | 1,972 | ||
9.875% 2/1/13 | 6,890 | 7,286 | ||
IMAX Corp. 9.625% 12/1/10 | 1,810 | 1,901 | ||
Innova S. de R.L. 9.375% 9/19/13 | 9,135 | 10,265 | ||
Lamar Media Corp. 7.25% 1/1/13 | 370 | 389 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 5,315 | 4,943 | ||
8.5% 7/15/29 | 5,320 | 5,375 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 9 | ||
Marquee Holdings, Inc. 0% 8/15/14 (d) | 2,650 | 1,603 | ||
PanAmSat Corp. 6.375% 1/15/08 | 490 | 497 | ||
R.H. Donnelley Corp. 6.875% 1/15/13 | 6,750 | 6,885 | ||
Radio One, Inc.: | ||||
6.375% 2/15/13 (f) | 3,810 | 3,743 | ||
8.875% 7/1/11 | 2,065 | 2,215 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (f) | 3,280 | 3,583 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Rainbow National LLC & RNS Co. Corp.: - continued | ||||
10.375% 9/1/14 (f) | $ 7,590 | $ 8,729 | ||
Rogers Cable, Inc.: | ||||
5.5% 3/15/14 | 650 | 611 | ||
6.25% 6/15/13 | 2,090 | 2,080 | ||
6.75% 3/15/15 | 800 | 820 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 672 | ||
Susquehanna Media Co. 7.375% 4/15/13 | 770 | 801 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 3,670 | 3,707 | ||
Videotron Ltee 6.875% 1/15/14 | 550 | 557 | ||
156,206 | ||||
Multiline Retail - 0.1% | ||||
Marks & Spencer Group PLC 5.125% 11/7/06 | EUR | 2,000 | 2,503 | |
Pinault Printemps-Redoute SA 5% 1/23/09 | EUR | 2,000 | 2,581 | |
5,084 | ||||
Specialty Retail - 0.1% | ||||
AutoNation, Inc. 9% 8/1/08 | 1,850 | 2,026 | ||
CSK Automotive, Inc. 7% 1/15/14 | 410 | 390 | ||
2,416 | ||||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
AAC Group Holding Corp. 0% 10/1/12 (d)(f) | 5,165 | 3,461 | ||
Jostens Holding Corp. 0% 12/1/13 (d) | 1,560 | 1,096 | ||
Levi Strauss & Co. 9.75% 1/15/15 | 3,880 | 3,832 | ||
8,389 | ||||
TOTAL CONSUMER DISCRETIONARY | 316,092 | |||
CONSUMER STAPLES - 0.7% | ||||
Food & Staples Retailing - 0.4% | ||||
Ahold Finance USA, Inc.: | ||||
6.5% 3/14/17 | GBP | 1,500 | 2,624 | |
8.25% 7/15/10 | 3,755 | 4,136 | ||
J. Sainsbury PLC 5.25% 5/17/07 | GBP | 1,000 | 1,802 | |
Reddy Ice Holdings, Inc. 0% 11/1/12 (d)(f) | 3,250 | 2,373 | ||
Southern States Cooperative, Inc. 10.5% 11/1/10 (f) | 925 | 920 | ||
11,855 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - 0.3% | ||||
Dean Foods Co.: | ||||
6.625% 5/15/09 | $ 90 | $ 94 | ||
6.9% 10/15/17 | 979 | 1,023 | ||
Doane Pet Care Co. 10.75% 3/1/10 | 800 | 856 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 | 370 | 374 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 429 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,730 | 1,652 | ||
Philipp Brothers Chemicals, Inc. 9.875% 6/1/08 | 1,909 | 1,814 | ||
Tate & Lyle International Finance PLC 5.75% 10/6/06 | EUR | 800 | 1,007 | |
7,249 | ||||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 279 | ||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 489 | ||
TOTAL CONSUMER STAPLES | 19,872 | |||
ENERGY - 4.6% | ||||
Energy Equipment & Services - 0.6% | ||||
CHC Helicopter Corp. 7.375% 5/1/14 | 3,185 | 3,185 | ||
Grant Prideco, Inc. 9% 12/15/09 | 170 | 185 | ||
Hanover Compressor Co.: | ||||
8.625% 12/15/10 | 490 | 515 | ||
9% 6/1/14 | 1,260 | 1,342 | ||
Ocean Rig Norway AS 8.375% 7/1/13 (f) | 1,020 | 1,035 | ||
Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S) | 5,030 | 6,413 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,697 | ||
SESI LLC 8.875% 5/15/11 | 60 | 64 | ||
16,436 | ||||
Oil, Gas & Consumable Fuels - 4.0% | ||||
ANR Pipeline, Inc. 8.875% 3/15/10 | 2,520 | 2,759 | ||
Chesapeake Energy Corp.: | ||||
6.875% 1/15/16 | 2,879 | 2,994 | ||
7% 8/15/14 | 865 | 915 | ||
7.5% 6/15/14 | 850 | 918 | ||
7.75% 1/15/15 | 615 | 663 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
El Paso Corp. 7.625% 8/16/07 (f) | $ 1,280 | $ 1,312 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 4,000 | 4,280 | ||
Encore Acquisition Co.: | ||||
6.25% 4/15/14 | 1,500 | 1,493 | ||
8.375% 6/15/12 | 755 | 823 | ||
Energy Partners Ltd. 8.75% 8/1/10 | 3,530 | 3,707 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 567 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 529 | ||
General Maritime Corp. 10% 3/15/13 | 2,945 | 3,195 | ||
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 1,123 | ||
Houston Exploration Co. 7% 6/15/13 | 410 | 422 | ||
Hurricane Finance BV: | ||||
9.625% 2/12/10 (f) | 300 | 329 | ||
9.625% 2/12/10 (Reg. S) | 2,055 | 2,250 | ||
InterNorth, Inc. 9.625% 3/15/06 (c) | 935 | 305 | ||
Luscar Coal Ltd. 9.75% 10/15/11 | 1,350 | 1,485 | ||
Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (f) | 525 | 522 | ||
Massey Energy Co. 6.625% 11/15/10 | 2,850 | 2,893 | ||
OAO Gazprom: | ||||
9.625% 3/1/13 | 6,350 | 7,770 | ||
10.5% 10/21/09 | 3,620 | 4,335 | ||
Pan American Energy LLC 7.125% 10/27/09 (f) | 2,880 | 2,945 | ||
Pemex Project Funding Master Trust: | ||||
4.71% 6/15/10 (f)(i) | 7,455 | 7,686 | ||
5.5% 2/24/25 (f) | EUR | 750 | 887 | |
7.75% 9/28/49 | 4,216 | 4,332 | ||
8.625% 2/1/22 | 7,150 | 8,777 | ||
Petrobras Energia SA 9.375% 10/30/13 | 2,715 | 2,959 | ||
Plains Exploration & Production Co. 8.75% 7/1/12 | 1,610 | 1,747 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,310 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 5,015 | 4,814 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 5,635 | 6,424 | ||
The Coastal Corp.: | ||||
6.375% 2/1/09 | 230 | 226 | ||
7.75% 6/15/10 | 2,180 | 2,226 | ||
7.75% 10/15/35 | 235 | 220 | ||
Venoco, Inc. 8.75% 12/15/11 | 1,470 | 1,441 | ||
Vintage Petroleum, Inc. 8.25% 5/1/12 | 1,000 | 1,080 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (f) | $ 1,820 | $ 1,886 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 675 | 729 | ||
7.625% 7/15/19 | 9,487 | 10,673 | ||
7.75% 6/15/31 | 1,235 | 1,355 | ||
7.875% 9/1/21 | 2,950 | 3,359 | ||
8.125% 3/15/12 | 515 | 585 | ||
8.75% 3/15/32 | 2,510 | 3,012 | ||
YPF SA: | ||||
10% 11/2/28 | 845 | 1,027 | ||
yankee 9.125% 2/24/09 | 1,385 | 1,513 | ||
117,802 | ||||
TOTAL ENERGY | 134,238 | |||
FINANCIALS - 3.9% | ||||
Capital Markets - 0.3% | ||||
Banco BPI SA 0.105% 2/12/07 (i) | JPY | 100,000 | 895 | |
Bank of Scotland International Australia Ltd. 2.7071% 9/7/06 (i) | CAD | 1,500 | 1,225 | |
Macquarie Bank Ltd. 0.2038% 2/10/06 (i) | JPY | 200,000 | 1,802 | |
Merrill Lynch & Co., Inc. 0.3744% 5/28/08 (i) | JPY | 200,000 | 1,813 | |
UFJ Bank Ltd. 0.6794% 5/29/11 (i) | JPY | 200,000 | 1,807 | |
7,542 | ||||
Commercial Banks - 0.9% | ||||
Australia & New Zealand Banking Group Ltd. 2.7329% 12/29/06 (i) | CAD | 1,500 | 1,225 | |
Banca Popolare di Lodi Investment Trust 6.742% 6/30/49 (i) | EUR | 1,650 | 2,065 | |
Banque Federative du Credit Mutuel (BFCM) 2.233% 7/24/06 (i) | EUR | 500 | 604 | |
Commonwealth Bank of Australia 2.7443% 11/28/06 (i) | CAD | 1,750 | 1,429 | |
Dresdner Bank AG for Kyivstar GSM 7.75% 4/27/12 (f) | 1,050 | 1,051 | ||
European Investment Bank 4% 10/15/37 | EUR | 2,600 | 3,252 | |
Export-Import Bank of Korea 0.1519% 11/4/05 (i) | JPY | 500,000 | 4,504 | |
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 300,000 | 2,707 | |
Rabobank Nederland 2.6929% 2/23/07 (i) | CAD | 250 | 204 | |
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
San Paolo IMI Spa 2.404% 6/28/16 (i) | EUR | 1,000 | $ 1,213 | |
Standard Bank London Ltd. 8.125% 9/30/09 | 2,900 | 3,052 | ||
Standard Chartered Bank PLC 3.625% 2/3/17 (e) | EUR | 385 | 473 | |
UBS Luxembourg SA for Vimpel Communications 10% 6/16/09 | 4,200 | 4,520 | ||
Westpac Banking Corp. 2.6971% 1/27/06 (i) | CAD | 1,500 | 1,225 | |
27,524 | ||||
Consumer Finance - 0.4% | ||||
Countrywide Home Loans, Inc. 2.8371% 3/7/06 (i) | CAD | 1,500 | 1,225 | |
Ford Credit Europe PLC 3.103% 9/30/09 (i) | EUR | 1,500 | 1,599 | |
Ford Motor Credit Co. 6.625% 6/16/08 | 7,925 | 7,826 | ||
General Motors Acceptance Corp. 3.897% 7/5/05 (i) | EUR | 1,000 | 1,210 | |
GMAC International Finance BV 3.997% 10/3/05 (i) | EUR | 1,000 | 1,211 | |
Metris Companies, Inc. 10.125% 7/15/06 | 215 | 217 | ||
13,288 | ||||
Diversified Financial Services - 1.0% | ||||
Aries Vermogensverwaltngs GmbH 9.6% 10/25/14 (f) | 1,500 | 1,939 | ||
BAT International Finance PLC: | ||||
2.997% 4/3/06 (i) | EUR | 1,500 | 1,823 | |
3.625% 6/29/12 | EUR | 2,000 | 2,417 | |
Caixa Finance BV 2.175% 11/21/06 (i) | EUR | 1,000 | 1,210 | |
Canada Housing Trust No. 1 4.65% 9/15/09 | CAD | 16,600 | 14,272 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 955 | 938 | ||
Citigroup, Inc. 4.25% 2/25/30 (i) | EUR | 1,500 | 1,806 | |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 3,090 | 3,360 | ||
Santander International Debt SA 2.164% 12/14/06 (i) | EUR | 500 | 605 | |
Volkswagen International Finance NV 0.3875% 11/30/07 (i) | JPY | 200,000 | 1,795 | |
30,165 | ||||
Insurance - 0.1% | ||||
AIG SunAmerica Institutional Funding III Ltd. 5.5% 3/7/11 | EUR | 1,000 | 1,365 | |
Eureko BV 5.125% 6/29/49 (i) | EUR | 350 | 430 | |
1,795 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate - 0.9% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 (f) | $ 3,630 | $ 3,576 | ||
8.125% 6/1/12 | 4,955 | 5,116 | ||
BF Saul REIT 7.5% 3/1/14 | 3,400 | 3,536 | ||
Crescent Real Estate Equities LP/Crescent Finance Co. 9.25% 4/15/09 | 3,225 | 3,419 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 4,040 | 4,323 | ||
8.625% 1/15/12 | 4,370 | 4,883 | ||
WT Finance Aust Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,000 | 1,219 | |
26,072 | ||||
Thrifts & Mortgage Finance - 0.3% | ||||
Credit Logement SA 2.711% 12/2/49 (i) | EUR | 500 | 605 | |
Nationwide Building Society 0.0788% 3/3/06 (i) | JPY | 200,000 | 1,803 | |
Residential Capital Corp.: | ||||
6.375% 6/30/10 (f) | 6,985 | 7,028 | ||
6.875% 6/30/15 (f) | 485 | 497 | ||
9,933 | ||||
TOTAL FINANCIALS | 116,319 | |||
HEALTH CARE - 1.8% | ||||
Biotechnology - 0.0% | ||||
Polypore, Inc. 8.75% 5/15/12 | 1,675 | 1,570 | ||
Health Care Equipment & Supplies - 0.1% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,894 | ||
Health Care Providers & Services - 1.4% | ||||
AmeriPath, Inc. 10.5% 4/1/13 | 2,805 | 2,819 | ||
AmerisourceBergen Corp.: | ||||
7.25% 11/15/12 | 670 | 737 | ||
8.125% 9/1/08 | 465 | 502 | ||
Beverly Enterprises, Inc. 7.875% 6/15/14 | 5,285 | 5,761 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,075 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HCA, Inc.: | ||||
5.75% 3/15/14 | $ 5,020 | $ 4,970 | ||
6.75% 7/15/13 | 3,715 | 3,906 | ||
National Nephrology Associates, Inc. 9% 11/1/11 (f) | 490 | 550 | ||
PacifiCare Health Systems, Inc. 10.75% 6/1/09 | 908 | 999 | ||
Psychiatric Solutions, Inc. 10.625% 6/15/13 | 197 | 219 | ||
Rural/Metro Corp. 9.875% 3/15/15 (f) | 1,700 | 1,645 | ||
Triad Hospitals, Inc. 7% 11/15/13 | 4,205 | 4,321 | ||
U.S. Oncology, Inc. 9% 8/15/12 | 1,300 | 1,391 | ||
Vanguard Health Holding Co. I 0% 10/1/15 (d) | 2,450 | 1,743 | ||
Vanguard Health Holding Co. II LLC 9% 10/1/14 | 9,070 | 9,773 | ||
40,411 | ||||
Pharmaceuticals - 0.3% | ||||
CDRV Investors, Inc. 0% 1/1/15 (d)(f) | 3,760 | 1,861 | ||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 (f) | 1,585 | 1,363 | ||
Leiner Health Products, Inc. 11% 6/1/12 | 1,885 | 1,828 | ||
VWR International, Inc.: | ||||
6.875% 4/15/12 | 115 | 114 | ||
8% 4/15/14 | 330 | 315 | ||
Warner Chilcott Corp. 8.75% 2/1/15 (f) | 2,525 | 2,449 | ||
7,930 | ||||
TOTAL HEALTH CARE | 51,805 | |||
INDUSTRIALS - 2.9% | ||||
Aerospace & Defense - 0.3% | ||||
Alliant Techsystems, Inc. 8.5% 5/15/11 | 2,020 | 2,151 | ||
Bombardier, Inc. 6.25% 2/23/06 | GBP | 750 | 1,358 | |
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,338 | ||
Orbimage Holdings, Inc. 13.19% 7/1/12 (f)(i) | 1,720 | 1,802 | ||
7,649 | ||||
Airlines - 0.5% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
7.377% 5/23/19 | 2,355 | 1,649 | ||
7.379% 5/23/16 | 842 | 589 | ||
AMR Corp.: | ||||
9% 8/1/12 | 1,100 | 858 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
AMR Corp.: - continued | ||||
9% 9/15/16 | $ 1,290 | $ 1,026 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.748% 9/15/18 | 97 | 78 | ||
6.9% 7/2/18 | 695 | 577 | ||
8.312% 10/2/12 | 603 | 464 | ||
8.388% 5/1/22 | 920 | 773 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 | 3,345 | 1,179 | ||
8.3% 12/15/29 | 4,730 | 1,253 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.57% 11/18/10 | 1,280 | 1,204 | ||
7.711% 9/18/11 | 320 | 179 | ||
7.92% 5/18/12 | 3,340 | 1,837 | ||
10.06% 1/2/16 | 170 | 85 | ||
Northwest Airlines Corp. 10% 2/1/09 | 1,270 | 559 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 | 1,252 | 507 | ||
9.875% 3/15/07 | 570 | 294 | ||
10.5% 4/1/09 | 287 | 129 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.248% 7/2/14 | 313 | 166 | ||
7.691% 4/1/17 | 33 | 22 | ||
7.95% 9/1/16 | 44 | 32 | ||
8.07% 1/2/15 | 1,346 | 633 | ||
8.304% 9/1/10 | 196 | 139 | ||
NWA Trust 10.23% 6/21/14 | 258 | 209 | ||
14,441 | ||||
Building Products - 0.3% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 3,915 | 4,267 | ||
Maax Holdings, Inc. 0% 12/15/12 (d)(f) | 4,470 | 2,012 | ||
NTK Holdings, Inc. 0% 3/1/14 (d)(f) | 6,135 | 2,945 | ||
9,224 | ||||
Commercial Services & Supplies - 0.3% | ||||
Allied Security Escrow Corp. 11.375% 7/15/11 | 2,255 | 2,187 | ||
Allied Waste North America, Inc. 6.5% 11/15/10 | 830 | 820 | ||
Browning-Ferris Industries, Inc.: | ||||
7.4% 9/15/35 | 1,640 | 1,410 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
Browning-Ferris Industries, Inc.: - continued | ||||
9.25% 5/1/21 | $ 680 | $ 682 | ||
JohnsonDiversey, Inc. 9.625% 5/15/12 | 2,845 | 2,873 | ||
R.H. Donnelley Finance Corp. I: | ||||
8.875% 12/15/10 (f) | 350 | 382 | ||
10.875% 12/15/12 (f) | 550 | 639 | ||
8,993 | ||||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,338 | ||
Electrical Equipment - 0.3% | ||||
FIMEP SA 10.5% 2/15/13 | 2,885 | 3,303 | ||
General Cable Corp. 9.5% 11/15/10 | 3,055 | 3,269 | ||
Polypore, Inc. 0% 10/1/12 (d)(f) | 5,840 | 3,183 | ||
9,755 | ||||
Machinery - 0.2% | ||||
Cummins, Inc.: | ||||
7.125% 3/1/28 | 2,250 | 2,250 | ||
9.5% 12/1/10 (i) | 320 | 352 | ||
Navistar International Corp.: | ||||
6.25% 3/1/12 (f) | 2,040 | 1,964 | ||
7.5% 6/15/11 | 650 | 663 | ||
5,229 | ||||
Marine - 0.3% | ||||
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15 (f) | 800 | 844 | ||
H-Lines Finance Holding Corp. 0% 4/1/13 (d)(f) | 2,210 | 1,713 | ||
OMI Corp. 7.625% 12/1/13 | 4,625 | 4,602 | ||
Ultrapetrol Bahamas Ltd. 9% 11/24/14 | 1,795 | 1,598 | ||
8,757 | ||||
Road & Rail - 0.5% | ||||
Grupo TMM SA de CV 10.5% 8/1/07 (f) | 1,551 | 1,481 | ||
Kansas City Southern Railway Co.: | ||||
7.5% 6/15/09 | 3,165 | 3,244 | ||
9.5% 10/1/08 | 1,350 | 1,472 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
TFM SA de CV: | ||||
9.375% 5/1/12 (f) | $ 7,435 | $ 7,770 | ||
yankee 10.25% 6/15/07 | 865 | 921 | ||
14,888 | ||||
Trading Companies & Distributors - 0.2% | ||||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (f) | 4,490 | 4,580 | ||
TOTAL INDUSTRIALS | 84,854 | |||
INFORMATION TECHNOLOGY - 2.7% | ||||
Communications Equipment - 0.3% | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 10,845 | 9,679 | ||
6.5% 1/15/28 | 190 | 169 | ||
9,848 | ||||
Electronic Equipment & Instruments - 0.4% | ||||
Altra Industrial Motion, Inc. 9% 12/1/11 (f) | 970 | 917 | ||
Celestica, Inc. 7.875% 7/1/11 | 9,010 | 9,235 | ||
10,152 | ||||
IT Services - 0.5% | ||||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,079 | ||
7.75% 1/15/15 | 1,330 | 1,343 | ||
8.25% 7/1/11 | 535 | 546 | ||
8.625% 4/1/13 | 2,900 | 3,002 | ||
14,970 | ||||
Office Electronics - 1.0% | ||||
Xerox Capital Trust I 8% 2/1/27 | 4,585 | 4,734 | ||
Xerox Corp.: | ||||
6.875% 8/15/11 | 3,240 | 3,434 | ||
7.125% 6/15/10 | 3,720 | 3,957 | ||
7.2% 4/1/16 | 3,345 | 3,613 | ||
7.625% 6/15/13 | 12,425 | 13,357 | ||
29,095 | ||||
Semiconductors & Semiconductor Equipment - 0.5% | ||||
Freescale Semiconductor, Inc. 7.125% 7/15/14 | 5,740 | 6,142 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.66% 12/15/11 (f)(i) | $ 670 | $ 663 | ||
6.875% 12/15/11 (f) | 1,865 | 1,837 | ||
8% 12/15/14 (f) | 520 | 499 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 2,100 | 1,733 | ||
Semiconductor Note Participation Trust 0% 8/4/11 (f) | 500 | 750 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 3,719 | ||
15,343 | ||||
TOTAL INFORMATION TECHNOLOGY | 79,408 | |||
MATERIALS - 3.7% | ||||
Chemicals - 1.5% | ||||
America Rock Salt Co. LLC 9.5% 3/15/14 | 3,940 | 3,999 | ||
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14 | 8,045 | 9,010 | ||
Braskem SA 11.75% 1/22/14 (f) | 850 | 1,024 | ||
Compass Minerals Group, Inc. 10% 8/15/11 | 1,120 | 1,221 | ||
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | ||||
Series A, 0% 10/1/14 (d) | 1,380 | 980 | ||
Series B, 0% 10/1/14 (d) | 10,975 | 7,683 | ||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 910 | 1,007 | ||
Huntsman Advanced Materials LLC: | ||||
10.89% 7/15/08 (i) | 940 | 987 | ||
11% 7/15/10 | 750 | 855 | ||
Huntsman ICI Chemicals LLC 10.125% 7/1/09 | 1,809 | 1,863 | ||
Huntsman LLC: | ||||
10.6406% 7/15/11 (i) | 630 | 669 | ||
11.625% 10/15/10 | 466 | 545 | ||
JohnsonDiversey Holdings, Inc. 0% 5/15/13 (d) | 4,800 | 3,372 | ||
Lanxess Finance BV 4.125% 6/21/12 | EUR | 1,115 | 1,352 | |
Lyondell Chemical Co. 11.125% 7/15/12 | 930 | 1,053 | ||
Millennium America, Inc. 9.25% 6/15/08 | 2,515 | 2,732 | ||
Phibro Animal Health Corp.: | ||||
Series AO, 13% 12/1/07 unit | 280 | 300 | ||
13% 12/1/07 unit | 1,295 | 1,386 | ||
Resolution Performance Products LLC/RPP Capital Corp. 9.5% 4/15/10 | 2,470 | 2,556 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Solutia, Inc.: | ||||
6.72% 10/15/37 (c) | $ 1,145 | $ 933 | ||
7.375% 10/15/27 (c) | 2,370 | 1,932 | ||
45,459 | ||||
Construction Materials - 0.0% | ||||
Texas Industries, Inc. 7.25% 7/15/13 (f) | 630 | 646 | ||
Containers & Packaging - 0.8% | ||||
AEP Industries, Inc. 7.875% 3/15/13 (f) | 640 | 640 | ||
BWAY Corp. 10% 10/15/10 | 1,175 | 1,222 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 1,110 | 1,005 | ||
7.5% 12/15/96 | 690 | 531 | ||
8% 4/15/23 | 3,915 | 3,739 | ||
Crown European Holdings SA: | ||||
9.5% 3/1/11 | 2,330 | 2,575 | ||
10.875% 3/1/13 | 1,520 | 1,790 | ||
Owens-Brockway Glass Container, Inc.: | ||||
6.75% 12/1/14 | 895 | 904 | ||
7.75% 5/15/11 | 320 | 339 | ||
8.25% 5/15/13 | 3,390 | 3,644 | ||
8.75% 11/15/12 | 2,325 | 2,563 | ||
8.875% 2/15/09 | 1,170 | 1,243 | ||
Sealed Air Finance 5.625% 7/19/06 | EUR | 250 | 311 | |
Tekni-Plex, Inc.: | ||||
8.75% 11/15/13 (f) | 1,600 | 1,396 | ||
10.875% 8/15/12 (f) | 980 | 1,063 | ||
22,965 | ||||
Metals & Mining - 0.8% | ||||
Aleris International, Inc. 9% 11/15/14 | 430 | 446 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (d) | 1,330 | 1,164 | ||
0% 6/1/13 (d) | 2,260 | 1,887 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (f) | 3,560 | 3,845 | ||
Edgen Acquisition Corp. 9.875% 2/1/11 (f) | 1,340 | 1,300 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 4,200 | 4,116 | ||
10.125% 2/1/10 | 2,400 | 2,676 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | $ 1,335 | $ 1,445 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 4,720 | 4,531 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 1,086 | ||
Steel Dynamics, Inc.: | ||||
9.5% 3/15/09 | 65 | 69 | ||
9.5% 3/15/09 | 2,090 | 2,226 | ||
24,791 | ||||
Paper & Forest Products - 0.6% | ||||
Georgia-Pacific Corp.: | ||||
7.375% 12/1/25 | 2,095 | 2,260 | ||
8% 1/15/24 | 4,215 | 4,837 | ||
8.875% 5/15/31 | 1,095 | 1,358 | ||
9.375% 2/1/13 | 2,540 | 2,870 | ||
Millar Western Forest Products Ltd. 7.75% 11/15/13 | 1,835 | 1,725 | ||
NewPage Corp.: | ||||
9.46% 5/1/12 (f)(i) | 1,770 | 1,770 | ||
12% 5/1/13 (f) | 1,930 | 1,916 | ||
16,736 | ||||
TOTAL MATERIALS | 110,597 | |||
TELECOMMUNICATION SERVICES - 7.8% | ||||
Diversified Telecommunication Services - 4.2% | ||||
AT&T Corp. 9.75% 11/15/31 | 10,230 | 13,254 | ||
Deutsche Telekom International Finance BV 6.25% 12/9/10 | GBP | 250 | 478 | |
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 5,486 | 6,254 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 1,330 | 1,157 | ||
Level 3 Financing, Inc. 10.75% 10/15/11 (f) | 2,525 | 2,146 | ||
MCI, Inc.: | ||||
6.688% 5/1/09 | 102 | 106 | ||
8.735% 5/1/14 (i) | 4,435 | 4,973 | ||
Mobifon Holdings BV 12.5% 7/31/10 | 7,225 | 8,598 | ||
New Skies Satellites BV: | ||||
8.5388% 11/1/11 (f)(i) | 750 | 767 | ||
9.125% 11/1/12 (f) | 3,145 | 3,161 | ||
NTL Cable PLC 8.75% 4/15/14 | 13,365 | 14,067 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
PanAmSat Holding Corp. 0% 11/1/14 (d) | $ 3,600 | $ 2,448 | ||
Qwest Corp.: | ||||
6.6706% 6/15/13 (f)(i) | 6,970 | 7,136 | ||
7.875% 9/1/11 | 2,980 | 3,092 | ||
8.875% 3/15/12 | 25,740 | 27,992 | ||
Qwest Services Corp. 14% 12/15/14 | 1,105 | 1,326 | ||
Telecom Egypt SAE: | ||||
10.7% 2/4/10 (i) | EGP | 3,565 | 617 | |
10.95% 2/4/10 | EGP | 3,565 | 622 | |
Telefonica de Argentina SA 9.125% 11/7/10 | 3,967 | 4,284 | ||
Telenet Group Holding NV 0% 6/15/14 (d)(f) | 11,720 | 9,142 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 5,398 | 4,669 | ||
7.125% 11/15/43 | 220 | 186 | ||
7.2% 11/10/26 | 3,115 | 2,788 | ||
7.25% 9/15/25 | 1,780 | 1,647 | ||
7.25% 10/15/35 | 1,300 | 1,149 | ||
7.5% 6/15/23 | 1,880 | 1,725 | ||
8.875% 6/1/31 | 340 | 344 | ||
124,128 | ||||
Wireless Telecommunication Services - 3.6% | ||||
American Tower Corp. 7.125% 10/15/12 | 10,745 | 11,336 | ||
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | 7,015 | 7,927 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (i) | 2,460 | 2,620 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc.: | ||||
6.375% 6/15/15 (f) | 3,960 | 3,935 | ||
8.375% 3/15/13 | 1,474 | 1,632 | ||
Globe Telecom, Inc. 9.75% 4/15/12 | 980 | 1,078 | ||
Inmarsat Finance II PLC 0% 11/15/12 (d) | 17,010 | 13,395 | ||
Inmarsat Finance PLC 7.625% 6/30/12 | 645 | 680 | ||
Intelsat Ltd. 7.805% 1/15/12 (f)(i) | 4,860 | 4,969 | ||
Kyivstar GSM 10.375% 8/17/09 (f) | 4,000 | 4,430 | ||
Millicom International Cellular SA 10% 12/1/13 | 5,695 | 5,667 | ||
Mobile Telesystems Finance SA: | ||||
8% 1/28/12 (f) | 8,240 | 8,343 | ||
8.375% 10/14/10 (f) | 7,120 | 7,396 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | $ 1,150 | $ 1,196 | ||
6.875% 10/31/13 | 6,365 | 6,779 | ||
7.375% 8/1/15 | 15,530 | 16,695 | ||
Rogers Communications, Inc. 6.535% 12/15/10 (i) | 1,740 | 1,810 | ||
Rural Cellular Corp. 9.875% 2/1/10 | 2,355 | 2,420 | ||
Telemig Cellular SA/Amazonia Cellular SA 8.75% 1/20/09 (f) | 1,010 | 1,055 | ||
UbiquiTel Operating Co. 9.875% 3/1/11 | 1,705 | 1,858 | ||
105,221 | ||||
TOTAL TELECOMMUNICATION SERVICES | 229,349 | |||
UTILITIES - 1.7% | ||||
Electric Utilities - 0.5% | ||||
AES Gener SA 7.5% 3/25/14 | 3,410 | 3,470 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 3,255 | 3,450 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 1,170 | 1,199 | ||
TECO Energy, Inc. 6.75% 5/1/15 (f) | 1,020 | 1,076 | ||
Texas Genco LLC/Texas Genco Financing Corp. 6.875% 12/15/14 (f) | 4,735 | 4,972 | ||
14,167 | ||||
Gas Utilities - 1.0% | ||||
Northwest Pipeline Corp.: | ||||
6.625% 12/1/07 | 285 | 295 | ||
8.125% 3/1/10 | 400 | 432 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,791 | ||
8% 3/1/32 | 4,170 | 4,754 | ||
8.875% 3/15/10 | 2,600 | 2,847 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 561 | ||
7.5% 4/1/17 | 7,600 | 8,275 | ||
7.625% 4/1/37 | 1,035 | 1,133 | ||
8.375% 6/15/32 | 1,155 | 1,344 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | $ 330 | $ 357 | ||
8.875% 7/15/12 | 1,455 | 1,742 | ||
29,531 | ||||
Independent Power Producers & Energy Traders - 0.2% | ||||
Calpine Corp. 8.75% 7/15/13 (f) | 2,300 | 1,702 | ||
Enron Corp.: | ||||
6.4% 7/15/06 (c) | 545 | 178 | ||
6.625% 11/15/05 (c) | 2,200 | 718 | ||
6.725% 11/17/08 (c)(i) | 684 | 221 | ||
6.75% 8/1/09 (c) | 550 | 179 | ||
6.875% 10/15/07 (c) | 1,330 | 434 | ||
6.95% 7/15/28 (c) | 1,204 | 388 | ||
7.125% 5/15/07 (c) | 235 | 77 | ||
7.375% 5/15/19 (c) | 1,400 | 455 | ||
7.875% 6/15/03 (c) | 235 | 77 | ||
8.375% 5/23/05 (c) | 2,500 | 769 | ||
9.125% 4/1/03 (c) | 50 | 16 | ||
9.875% 6/15/03 (c) | 220 | 72 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (f) | 1,175 | 1,199 | ||
6,485 | ||||
TOTAL UTILITIES | 50,183 | |||
TOTAL NONCONVERTIBLE BONDS | 1,192,717 | |||
TOTAL CORPORATE BONDS (Cost $1,167,182) | 1,194,986 | |||
U.S. Government and Government Agency Obligations - 22.2% | ||||
U.S. Government Agency Obligations - 6.7% | ||||
Fannie Mae: | ||||
0% 9/28/05 | 12,000 | 11,900 | ||
3.25% 1/15/08 | 9,330 | 9,202 | ||
3.25% 2/15/09 | 6,040 | 5,901 | ||
3.625% 3/15/07 | 220 | 219 | ||
3.75% 5/17/07 | 2,520 | 2,512 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
U.S. Government Agency Obligations - continued | ||||
Fannie Mae: - continued | ||||
3.875% 5/15/07 | $ 10,000 | $ 10,023 | ||
4.625% 10/15/14 | 13,000 | 13,332 | ||
5.125% 1/2/14 | 8,000 | 8,344 | ||
6% 5/15/11 | 7,675 | 8,441 | ||
6.125% 3/15/12 | 900 | 1,006 | ||
6.25% 2/1/11 | 380 | 416 | ||
6.375% 6/15/09 | 16,590 | 18,051 | ||
Federal Home Loan Bank: | ||||
2.25% 5/15/06 | 16,150 | 15,943 | ||
3.75% 9/28/06 | 1,825 | 1,821 | ||
3.8% 12/22/06 | 450 | 449 | ||
5.8% 9/2/08 | 2,920 | 3,084 | ||
Freddie Mac: | ||||
2.75% 8/15/06 | 350 | 346 | ||
2.875% 12/15/06 | 2,810 | 2,774 | ||
4.125% 7/12/10 | 32,000 | 32,146 | ||
4.25% 7/15/09 | 6,995 | 7,071 | ||
4.5% 7/15/13 | 250 | 255 | ||
4.875% 11/15/13 | 5,480 | 5,734 | ||
7% 3/15/10 | 24,053 | 27,129 | ||
Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06 | 36 | 37 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 4,750 | 5,324 | ||
Private Export Funding Corp.: | ||||
secured 5.685% 5/15/12 | 1,285 | 1,403 | ||
4.974% 8/15/13 | 1,515 | 1,595 | ||
Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13 | 1,804 | 1,844 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 196,302 | |||
U.S. Treasury Inflation Protected Obligations - 4.4% | ||||
U.S. Treasury Inflation-Indexed Bonds 3.625% 4/15/28 | 13,208 | 17,746 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 22,080 | 21,535 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: - continued | ||||
1.875% 7/15/13 | $ 66,513 | $ 67,926 | ||
2% 1/15/14 | 21,796 | 22,451 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 129,658 | |||
U.S. Treasury Obligations - 11.1% | ||||
U.S. Treasury Bonds: | ||||
6.125% 8/15/29 | 44,500 | 56,819 | ||
9% 11/15/18 | 2,000 | 2,988 | ||
11.25% 2/15/15 | 2,900 | 4,578 | ||
U.S. Treasury Notes: | ||||
1.625% 2/28/06 | 11,600 | 11,463 | ||
2.375% 8/31/06 | 26,000 | 25,647 | ||
2.75% 6/30/06 | 29,827 | 29,597 | ||
2.75% 7/31/06 | 50,000 | 49,576 | ||
3.375% 9/15/09 | 37,724 | 37,219 | ||
3.625% 4/30/07 | 31,452 | 31,435 | ||
4.25% 8/15/13 | 5,243 | 5,374 | ||
4.25% 11/15/13 | 7,930 | 8,124 | ||
4.25% 8/15/14 | 24,500 | 25,086 | ||
4.75% 5/15/14 | 38,000 | 40,322 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 328,228 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $642,553) | 654,188 | |||
U.S. Government Agency - Mortgage Securities - 2.6% | ||||
Fannie Mae - 2.6% | ||||
4% 3/1/19 to 7/1/19 (h) | 8,076 | 7,915 | ||
4% 7/1/20 (g)(h) | 2,324 | 2,275 | ||
4% 7/1/20 (g)(h) | 1,500 | 1,469 | ||
4.5% 12/1/18 | 8,104 | 8,073 | ||
4.5% 7/1/20 (g) | 12,000 | 11,936 | ||
5% 3/1/18 to 7/1/18 | 4,877 | 4,936 | ||
5% 8/1/35 (g) | 20,418 | 20,367 | ||
5.5% 5/1/11 to 6/1/20 | 16,744 | 17,201 | ||
6% 8/1/13 to 1/1/26 | 140 | 145 | ||
6.5% 6/1/24 to 9/1/32 | 722 | 749 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Fannie Mae - continued | ||||
7% 9/1/25 | $ 9 | $ 10 | ||
7.5% 1/1/28 to 5/1/28 | 127 | 136 | ||
TOTAL FANNIE MAE | 75,212 | |||
Freddie Mac - 0.0% | ||||
8.5% 3/1/20 | 28 | 30 | ||
Government National Mortgage Association - 0.0% | ||||
6% 1/15/09 to 5/15/09 | 86 | 89 | ||
6.5% 4/15/26 to 5/15/26 | 74 | 77 | ||
7% 9/15/25 to 8/15/31 | 231 | 245 | ||
7.5% 2/15/22 to 8/15/28 | 272 | 293 | ||
8% 9/15/26 to 12/15/26 | 42 | 45 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 749 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $75,756) | 75,991 | |||
Asset-Backed Securities - 0.2% | ||||
Cumbernauld Funding 5.2% 3/16/09 | GBP | 450 | 819 | |
Driver One Gmbh Series 1 Class B, 2.334% 5/21/10 (i) | EUR | 600 | 726 | |
MBNA Credit Card Master Note Trust Series 2003-B4, 5.45% 9/17/13 | GBP | 1,500 | 2,765 | |
Punch Taverns Finance PLC 5.2506% 4/15/09 (i) | GBP | 797 | 1,426 | |
Sedna Finance Corp. 2.861% 3/15/16 (i) | EUR | 1,150 | 1,387 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 115 | |
TOTAL ASSET-BACKED SECURITIES (Cost $7,580) | 7,238 | |||
Collateralized Mortgage Obligations - 0.1% | ||||
Private Sponsor - 0.1% | ||||
Granite Mortgages PLC 2.504% 1/20/43 (i) | EUR | 400 | 486 | |
Holmes Financing No. 8 PLC floater Series 3 Class C, 2.988% 7/15/40 (i) | EUR | 500 | 611 | |
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Private Sponsor - continued | ||||
Mortgages PLC Series 6 Class A1, 5.0588% 1/31/27 (i) | GBP | 1,549 | $ 2,776 | |
Permanent Financing No. 1 PLC 5.1% 6/10/09 (i) | EUR | 400 | 510 | |
TOTAL PRIVATE SPONSOR | 4,383 | |||
U.S. Government Agency - 0.0% | ||||
Freddie Mac planned amortization class Series 2351 Class PX, 6.5% 7/15/30 | 127 | 128 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $4,691) | 4,511 | |||
Commercial Mortgage Securities - 0.2% | ||||
Opera Finance PLC 5.1888% 7/31/13 (i) | GBP | 1,000 | 1,792 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 5.2085% 7/15/16 (i) | GBP | 2,000 | 3,573 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $5,446) | 5,365 | |||
Foreign Government and Government Agency Obligations - 19.3% | ||||
Arab Republic 8.8773% to 9.862% 8/2/05 to 6/13/06 | EGP | 8,405 | 1,395 | |
Argentine Republic: | ||||
Inflation-Indexed par 0.63% 12/31/38 unit (e)(j) | ARS | 1,518 | 204 | |
3% 4/30/13 (i) | 1,400 | 1,131 | ||
3.01% 8/3/12 (i) | 16,150 | 14,400 | ||
discount 8.28% (with partial capitalization through 12/31/2013) 12/31/33 unit (j) | 3,843 | 3,538 | ||
Inflation-Indexed discount 5.83% (with partial capitalization through 12/31/2013) 12/31/33 unit (j) | ARS | 3,474 | 1,239 | |
Austrian Republic 5% 12/20/24 (f) | CAD | 2,000 | 1,726 | |
Banco Central del Uruguay: | ||||
Brady par A 6.75% 2/19/21 | 1,000 | 1,000 | ||
value recovery A rights 1/2/21 (k) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (k) | 750,000 | 0 | ||
Brazilian Federative Republic: | ||||
Brady: | ||||
capitalization bond 8% 4/15/14 | 25,205 | 25,804 | ||
debt conversion bond 4.3125% 4/15/12 (i) | 4,476 | 4,302 | ||
par Z-L 6% 4/15/24 | 2,260 | 2,189 | ||
10.5% 7/14/14 | 2,060 | 2,444 | ||
11% 1/11/12 | 1,545 | 1,846 | ||
11% 8/17/40 | 14,360 | 17,289 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Brazilian Federative Republic: - continued | ||||
12.25% 3/6/30 | $ 4,745 | $ 6,358 | ||
12.75% 1/15/20 | 2,880 | 3,931 | ||
14.5% 10/15/09 | 3,160 | 4,108 | ||
Canadian Government: | ||||
3% 6/1/06 | CAD | 14,750 | 12,074 | |
5.25% 6/1/12 | CAD | 9,450 | 8,484 | |
5.5% 6/1/09 | CAD | 5,500 | 4,875 | |
5.75% 6/1/29 | CAD | 11,250 | 11,194 | |
Central Bank of Nigeria: | ||||
Brady 6.25% 11/15/20 | 2,000 | 1,980 | ||
promissory note 5.092% 1/5/10 | 4,179 | 4,156 | ||
warrants 11/15/20 (a)(k) | 2,750 | 83 | ||
City of Kiev 8.75% 8/8/08 | 2,980 | 3,159 | ||
Colombian Republic: | ||||
10.75% 1/15/13 | 5,210 | 6,335 | ||
11.75% 3/1/10 | COP | 4,416,000 | 2,014 | |
11.75% 2/25/20 | 2,560 | 3,366 | ||
Danish Kingdom 3.125% 10/15/10 | EUR | 3,000 | 3,728 | |
Dominican Republic: | ||||
Brady 3.9425% 8/30/09 (i) | 4,331 | 4,157 | ||
4.375% 8/30/24 (i) | 6,033 | 5,520 | ||
Ecuador Republic: | ||||
8% 8/15/30 (Reg. S) (e) | 1,870 | 1,571 | ||
12% 11/15/12 (Reg. S) | 1,831 | 1,739 | ||
euro par 5% 2/28/25 | 645 | 461 | ||
Finnish Government 2.75% 9/15/10 | EUR | 1,000 | 1,223 | |
French Government: | ||||
OAT 5.25% 4/25/08 | EUR | 1,200 | 1,573 | |
3.5% 4/25/15 | EUR | 25,875 | 32,283 | |
4% 4/25/55 | EUR | 750 | 967 | |
4.75% 4/25/35 | EUR | 5,000 | 7,203 | |
German Federal Republic: | ||||
2.5% 3/23/07 | EUR | 2,000 | 2,441 | |
2.75% 6/23/06 | EUR | 16,000 | 19,508 | |
3.75% 1/4/15 | EUR | 23,100 | 29,478 | |
4.25% 1/4/14 | EUR | 22,530 | 29,814 | |
Indonesian Republic 7.25% 4/20/15 (f) | 970 | 982 | ||
Israeli State 7.5% 3/31/14 | ILS | 8,615 | 2,022 | |
Japan Government: | ||||
0.2% 7/20/06 | JPY | 1,080,000 | 9,757 | |
1.5% 3/20/14 | JPY | 2,615,000 | 24,592 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Japan Government: - continued | ||||
2.4% 12/20/34 | JPY | 600,000 | $ 5,634 | |
Lebanese Republic: | ||||
6.77% 11/30/09 (f)(i) | 1,840 | 1,808 | ||
6.77% 11/30/09 (i) | 725 | 712 | ||
Malaysian Government 4.72% 9/30/15 | MYR | 17,500 | 4,776 | |
Panamanian Republic Brady discount 2.6925% 7/17/26 (i) | 125 | 116 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 900 | 660 | ||
9.125% 2/21/12 | 2,860 | 3,375 | ||
9.875% 2/6/15 | 1,865 | 2,303 | ||
9.91% 5/5/15 | PEN | 6,040 | 2,060 | |
Philippine Republic: | ||||
Brady principal collateralized interest reduction bond 6.5% 12/1/17 | 4,770 | 4,758 | ||
8.375% 2/15/11 | 9,215 | 9,561 | ||
9% 2/15/13 | 4,925 | 5,196 | ||
9.875% 1/15/19 | 1,800 | 1,946 | ||
10.625% 3/16/25 | 3,190 | 3,573 | ||
Republic of Serbia 3.75% 11/1/24 (e)(f) | 615 | 530 | ||
Russian Federation: | ||||
5% 3/31/30 (e)(f) | 3,900 | 4,368 | ||
5% 3/31/30 (Reg. S) (e) | 22,840 | 25,581 | ||
11% 7/24/18 (Reg. S) | 1,500 | 2,241 | ||
12.75% 6/24/28 (Reg. S) | 3,855 | 6,978 | ||
South African Republic: | ||||
8.5% 6/23/17 | 860 | 1,112 | ||
13% 8/31/10 | ZAR | 10,420 | 1,924 | |
State of Qatar 9.75% 6/15/30 (Reg. S) | 1,195 | 1,855 | ||
Turkish Republic: | ||||
11% 1/14/13 | 4,250 | 5,387 | ||
11.5% 1/23/12 | 895 | 1,143 | ||
11.75% 6/15/10 | 5,715 | 7,101 | ||
11.875% 1/15/30 | 5,025 | 7,274 | ||
15.5488% to 20.5644% 7/5/06 to 1/24/07 | TRY | 10,715 | 6,638 | |
Ukraine Government 6.365% 8/5/09 (i) | 7,880 | 8,510 | ||
United Kingdom, Great Britain & Northern Ireland: | ||||
Index-Linked 2.5% 7/17/24 | GBP | 2,946 | 6,071 | |
4.75% 9/7/15 | GBP | 1,950 | 3,662 | |
5% 3/7/25 | GBP | 65 | 129 | |
5.75% 12/7/09 | GBP | 2,000 | 3,827 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
United Kingdom, Great Britain & Northern Ireland: - continued | ||||
6% 12/7/28 | GBP | 2,135 | $ 4,841 | |
8% 6/7/21 | GBP | 6,500 | 16,718 | |
United Mexican States: | ||||
7.5% 4/8/33 | 13,135 | 15,138 | ||
8.125% 12/30/19 | 2,525 | 3,102 | ||
9.69% 12/8/05 | MXN | 31,775 | 2,832 | |
11.5% 5/15/26 | 8,070 | 12,952 | ||
Uruguay Republic: | ||||
7.25% 2/15/11 | 2,470 | 2,485 | ||
17.75% 2/4/06 | UYU | 41,200 | 1,749 | |
Venezuelan Republic: | ||||
Discount A, 4.25% 3/31/20 (i) | 3,775 | 3,700 | ||
oil recovery rights 4/15/20 (k) | 3,260 | 77 | ||
4.15% 4/20/11 (i) | 1,990 | 1,821 | ||
5.375% 8/7/10 | 4,380 | 4,073 | ||
9.25% 9/15/27 | 4,345 | 4,569 | ||
10.75% 9/19/13 | 7,435 | 8,699 | ||
13.625% 8/15/18 | 3,440 | 4,630 | ||
euro Brady: | ||||
par W-A 6.75% 3/31/20 | 6,150 | 6,165 | ||
par W-B 6.75% 3/31/20 | 2,070 | 2,075 | ||
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (e) | 2,685 | 2,007 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $531,119) | 568,085 | |||
Common Stocks - 1.1% | ||||
Shares | ||||
CONSUMER DISCRETIONARY - 0.6% | ||||
Diversified Consumer Services - 0.2% | ||||
Coinmach Service Corp. unit | 330,000 | 4,445 | ||
Hotels, Restaurants & Leisure - 0.1% | ||||
Centerplate, Inc. unit | 165,925 | 2,116 | ||
Common Stocks - continued | ||||
Shares | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Media - 0.3% | ||||
NTL, Inc. (a) | 140,401 | $ 9,606 | ||
NTL, Inc. Class A warrants 1/13/11 (a) | 6 | 0 | ||
9,606 | ||||
TOTAL CONSUMER DISCRETIONARY | 16,167 | |||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Fountain View, Inc. (l) | 98 | 2 | ||
TELECOMMUNICATION SERVICES - 0.5% | ||||
Diversified Telecommunication Services - 0.5% | ||||
Telewest Global, Inc. (a) | 693,453 | 15,797 | ||
Wireless Telecommunication Services - 0.0% | ||||
DigitalGlobe, Inc. (a)(f) | 895 | 1 | ||
TOTAL TELECOMMUNICATION SERVICES | 15,798 | |||
TOTAL COMMON STOCKS (Cost $21,770) | 31,967 | |||
Preferred Stocks - 0.1% | ||||
Convertible Preferred Stocks - 0.0% | ||||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
Celanese Corp. 4.25% | 6,600 | 160 | ||
Nonconvertible Preferred Stocks - 0.1% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Media - 0.1% | ||||
Spanish Broadcasting System, Inc. Class B, 10.75% | 1,646 | 1,802 | ||
Specialty Retail - 0.0% | ||||
GNC Corp. Series A, 12.00% (a) | 1,170 | 772 | ||
TOTAL CONSUMER DISCRETIONARY | 2,574 | |||
FINANCIALS - 0.0% | ||||
Insurance - 0.0% | ||||
American Annuity Group Capital Trust II 8.875% (a) | 240 | 250 | ||
Preferred Stocks - continued | ||||
Shares | Value (Note 1) | |||
Nonconvertible Preferred Stocks - continued | ||||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Fresenius Medical Care Capital Trust II 7.875% | 1,260 | $ 1,351 | ||
TELECOMMUNICATION SERVICES - 0.0% | ||||
Diversified Telecommunication Services - 0.0% | ||||
PTV, Inc. Series A, 10.00% | 119 | 0 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 4,175 | |||
TOTAL PREFERRED STOCKS (Cost $4,521) | 4,335 | |||
Floating Rate Loans - 1.0% | ||||
Principal Amount (000s)(m) | ||||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.0% | ||||
Goodyear Tire & Rubber Co. Tranche 2, term loan 5.89% 4/30/10 (i) | $ 400 | 400 | ||
Automobiles - 0.1% | ||||
AM General LLC: | ||||
Tranche B1, term loan 7.7428% 11/1/11 (i) | 2,470 | 2,563 | ||
Tranche C2, term loan 12.41% 5/2/12 (i) | 1,300 | 1,372 | ||
3,935 | ||||
Hotels, Restaurants & Leisure - 0.1% | ||||
Hilton Head Communications LP Tranche B, term loan 7.5% 3/31/08 (i) | 1,800 | 1,746 | ||
Media - 0.0% | ||||
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (i) | 1,050 | 1,053 | ||
TOTAL CONSUMER DISCRETIONARY | 7,134 | |||
ENERGY - 0.1% | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 6.063% 7/8/11 (i) | 180 | 171 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Coffeyville Resources LLC: - continued | ||||
Tranche 2, term loan 10.3125% 7/8/13 (i) | $ 2,020 | $ 2,055 | ||
Tranche B1, term loan 6.063% 7/8/12 (i) | 270 | 273 | ||
2,499 | ||||
FINANCIALS - 0.2% | ||||
Diversified Financial Services - 0.2% | ||||
MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (i) | 2,310 | 2,316 | ||
Olympus Cable Holdings LLC Tranche B, term loan 8.25% 9/30/10 (i) | 2,720 | 2,683 | ||
4,999 | ||||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.2% | ||||
DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (i) | 5,345 | 5,412 | ||
Pharmaceuticals - 0.1% | ||||
Warner Chilcott Corp. term loan 5.9939% 1/18/12 (i) | 3,991 | 4,001 | ||
TOTAL HEALTH CARE | 9,413 | |||
INDUSTRIALS - 0.0% | ||||
Commercial Services & Supplies - 0.0% | ||||
Allied Waste Industries, Inc.: | ||||
term loan 5.3731% 1/15/12 (i) | 566 | 567 | ||
Tranche A, Credit-Linked Deposit 5.34% 1/15/12 (i) | 216 | 216 | ||
783 | ||||
INFORMATION TECHNOLOGY - 0.2% | ||||
Software - 0.2% | ||||
Infor Global Solutions AG: | ||||
Tranche 1, term loan 6.712% 4/18/11 (i) | 2,310 | 2,316 | ||
Tranche 2, term loan 10.712% 4/18/12 (i) | 2,160 | 2,155 | ||
4,471 | ||||
TOTAL FLOATING RATE LOANS (Cost $28,422) | 29,299 | |||
Sovereign Loan Participations - 0.2% | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Indonesian Republic loan participation: | ||||
- Barclays Bank 4.375% 3/28/13 (i) | $ 207 | $ 192 | ||
- Citibank 4.375% 3/28/13 (i) | 726 | 672 | ||
- Credit Suisse First Boston: | ||||
4.375% 3/28/13 (i) | 1,859 | 1,720 | ||
4.50% 12/14/19 (i) | 1,190 | 1,003 | ||
- Deutsche Bank: | ||||
4.375% 3/28/13 (i) | 932 | 863 | ||
0.955% 3/28/13 (i) | JPY | 89,394 | 721 | |
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $4,955) | 5,171 | |||
Fixed-Income Funds - 1.4% | ||||
Shares | ||||
Fidelity Floating Rate Central Investment Portfolio (b) | 402,424 | 40,295 | ||
Money Market Funds - 11.3% | ||||
Fidelity Cash Central Fund, 3.21% (b) | 333,648,614 | 333,649 | ||
TOTAL INVESTMENT PORTFOLIO - 100.3% (Cost $2,867,924) | 2,955,080 | |||
NET OTHER ASSETS - (0.3)% | (10,178) | |||
NET ASSETS - 100% | $ 2,944,902 | |||
Currency Abbreviations | ||
ARS | - | Argentine peso |
CAD | - | Canadian dollar |
COP | - | Colombian peso |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
ILS | - | Israeli shekel |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
MYR | - | Malyasian ringgit |
PEN | - | Peruvian new sol |
TRY | - | New Turkish Lira |
UYU | - | Uruguay peso |
ZAR | - | South African rand |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the money market fund's holdings as of its most recent quarter end is available upon request. A complete listing of the fixed-income central fund's holdings is provided at the end of the report. |
(c) Non-income producing - Security is in default. |
(d) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(e) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $236,025,000 or 8.0% of net assets. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) A portion of the security is subject to a forward commitment to sell. |
(i) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(j) Includes attached Argentine Republic Gross Domestic Product-Linked Securities, expiring 12/15/35. |
(k) Quantity represents share amount. |
(l) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $2,000 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Fountain View, Inc. | 8/19/03 - 1/22/04 | $ 0 |
(m) Principal amount is stated in United States dollars unless otherwise noted. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 70.1% |
United Kingdom | 3.3% |
Germany | 2.9% |
Canada | 2.8% |
Brazil | 2.5% |
France | 1.9% |
Mexico | 1.9% |
Russia | 1.9% |
Japan | 1.4% |
Venezuela | 1.3% |
Argentina | 1.0% |
Others (individually less than 1%) | 9.0% |
100.0% |
The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2005 (Unaudited) | |
Assets | ||
Investment in securities, at value (cost $2,867,924) - See accompanying schedule | $ 2,955,080 | |
Commitment to sell securities on a delayed delivery basis | $ (11,524) | |
Receivable for securities sold on a delayed delivery basis | 11,535 | 11 |
Receivable for investments sold, regular delivery | 10,178 | |
Cash | 1,458 | |
Receivable for fund shares sold | 13,126 | |
Dividends receivable | 11 | |
Interest receivable | 37,330 | |
Prepaid expenses | 4 | |
Receivable from investment adviser for expense reductions | 2 | |
Other receivables | 109 | |
Total assets | 3,017,309 | |
Liabilities | ||
Payable for investments purchased | $ 25,665 | |
Delayed delivery | 36,040 | |
Payable for fund shares redeemed | 6,081 | |
Distributions payable | 1,579 | |
Accrued management fee | 1,370 | |
Distribution fees payable | 939 | |
Other affiliated payables | 490 | |
Other payables and accrued expenses | 243 | |
Total liabilities | 72,407 | |
Net Assets | $ 2,944,902 | |
Net Assets consist of: | ||
Paid in capital | $ 2,837,407 | |
Undistributed net investment income | 23,919 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,496) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 87,072 | |
Net Assets | $ 2,944,902 | |
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, 2005 (Unaudited) | |
Calculation of Maximum Offering Price | $ 11.70 | |
Maximum offering price per share (100/95.25 of $11.70) | $ 12.28 | |
Class T: | $ 11.70 | |
Maximum offering price per share (100/96.50 of $11.70) | $ 12.12 | |
Class B: | $ 11.72 | |
Class C: | $ 11.68 | |
Institutional Class: | $ 11.79 | |
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, 2005 (Unaudited) | |
Investment Income | ||
Dividends | $ 545 | |
Interest | 75,580 | |
Total income | 76,125 | |
Expenses | ||
Management fee | $ 7,440 | |
Transfer agent fees | 2,327 | |
Distribution fees | 5,185 | |
Accounting fees and expenses | 444 | |
Independent trustees' compensation | 6 | |
Custodian fees and expenses | 146 | |
Registration fees | 182 | |
Audit | 34 | |
Legal | 5 | |
Miscellaneous | 211 | |
Total expenses before reductions | 15,980 | |
Expense reductions | (148) | 15,832 |
Net investment income | 60,293 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 13,671 | |
Foreign currency transactions | (770) | |
Swap agreements | (42) | |
Total net realized gain (loss) | 12,859 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (41,958) | |
Assets and liabilities in foreign currencies | 445 | |
Delayed delivery commitments | 11 | |
Total change in net unrealized appreciation (depreciation) | (41,502) | |
Net gain (loss) | (28,643) | |
Net increase (decrease) in net assets resulting from operations | $ 31,650 | |
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 | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 60,293 | $ 92,795 |
Net realized gain (loss) | 12,859 | 59,820 |
Change in net unrealized appreciation (depreciation) | (41,502) | 22,719 |
Net increase (decrease) in net assets resulting | 31,650 | 175,334 |
Distributions to shareholders from net investment income | (55,163) | (88,523) |
Distributions to shareholders from net realized gain | (21,336) | (32,409) |
Total distributions | (76,499) | (120,932) |
Share transactions - net increase (decrease) | 661,485 | 715,583 |
Total increase (decrease) in net assets | 616,636 | 769,985 |
Net Assets | ||
Beginning of period | 2,328,266 | 1,558,281 |
End of period (including undistributed net investment income of $23,919 and undistributed net investment income of $25,324, respectively) | $ 2,944,902 | $ 2,328,266 |
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) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.93 | $ 11.63 | $ 10.34 | $ 10.11 | $ 10.12 | $ 10.47 |
Income from Investment Operations | ||||||
Net investment income E | .284 | .600 | .617 | .668 | .730 G | .793 |
Net realized and unrealized gain (loss) | (.146) | .445 | 1.321 | .214 | (.081) G | (.434) |
Total from investment operations | .138 | 1.045 | 1.938 | .882 | .649 | .359 |
Distributions from net investment income | (.263) | (.575) | (.648) | (.652) | (.659) | (.709) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.368) | (.745) | (.648) | (.652) | (.659) | (.709) |
Net asset value, end of period | $ 11.70 | $ 11.93 | $ 11.63 | $ 10.34 | $ 10.11 | $ 10.12 |
Total Return B, C, D | 1.20% | 9.31% | 19.20% | 9.09% | 6.53% | 3.58% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.01% A | 1.00% | 1.01% | 1.04% | 1.07% | 1.08% |
Expenses net of voluntary waivers, if any | 1.00% A | 1.00% | 1.01% | 1.04% | 1.07% | 1.08% |
Expenses net of all reductions | 1.00% A | 1.00% | 1.00% | 1.04% | 1.07% | 1.08% |
Net investment income | 4.93% A | 5.20% | 5.58% | 6.65% | 7.18% G | 7.76% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 517 | $ 372 | $ 187 | $ 57 | $ 33 | $ 18 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.92 | $ 11.62 | $ 10.33 | $ 10.11 | $ 10.11 | $ 10.47 |
Income from Investment Operations | ||||||
Net investment income E | .279 | .593 | .604 | .660 | .725 G | .788 |
Net realized and unrealized gain (loss) | (.135) | .443 | 1.322 | .203 | (.074) G | (.445) |
Total from investment operations | .144 | 1.036 | 1.926 | .863 | .651 | .343 |
Distributions from net investment income | (.259) | (.566) | (.636) | (.643) | (.651) | (.703) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.364) | (.736) | (.636) | (.643) | (.651) | (.703) |
Net asset value, end of period | $ 11.70 | $ 11.92 | $ 11.62 | $ 10.33 | $ 10.11 | $ 10.11 |
Total Return B, C, D | 1.24% | 9.23% | 19.09% | 8.89% | 6.55% | 3.42% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.07% A | 1.07% | 1.11% | 1.13% | 1.15% | 1.14% |
Expenses net of voluntary waivers, if any | 1.07% A | 1.07% | 1.11% | 1.13% | 1.15% | 1.14% |
Expenses net of all reductions | 1.07% A | 1.07% | 1.11% | 1.13% | 1.15% | 1.14% |
Net investment income | 4.85% A | 5.13% | 5.47% | 6.57% | 7.10% G | 7.70% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 1,133 | $ 808 | $ 515 | $ 279 | $ 238 | $ 207 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 21, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.95 | $ 11.65 | $ 10.35 | $ 10.12 | $ 10.13 | $ 10.49 |
Income from Investment Operations | ||||||
Net investment income E | .242 | .513 | .533 | .595 | .658 G | .722 |
Net realized and unrealized gain (loss) | (.147) | .441 | 1.330 | .212 | (.085) G | (.447) |
Total from investment operations | .095 | .954 | 1.863 | .807 | .573 | .275 |
Distributions from net investment income | (.220) | (.484) | (.563) | (.577) | (.583) | (.635) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.325) | (.654) | (.563) | (.577) | (.583) | (.635) |
Net asset value, end of period | $ 11.72 | $ 11.95 | $ 11.65 | $ 10.35 | $ 10.12 | $ 10.13 |
Total Return B, C, D | .82% | 8.45% | 18.38% | 8.28% | 5.74% | 2.73% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.80% A | 1.78% | 1.77% | 1.78% | 1.81% | 1.80% |
Expenses net of voluntary waivers, if any | 1.75% A | 1.78% | 1.77% | 1.78% | 1.81% | 1.80% |
Expenses net of all reductions | 1.75% A | 1.78% | 1.77% | 1.78% | 1.81% | 1.80% |
Net investment income | 4.18% A | 4.42% | 4.81% | 5.91% | 6.44% G | 7.04% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 341 | $ 319 | $ 287 | $ 147 | $ 116 | $ 88 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.91 | $ 11.61 | $ 10.32 | $ 10.10 | $ 10.11 | $ 10.46 |
Income from Investment Operations | ||||||
Net investment income E | .236 | .505 | .525 | .585 | .647 G | .707 |
Net realized and unrealized gain (loss) | (.146) | .444 | 1.320 | .204 | (.082) G | (.432) |
Total from investment operations | .090 | .949 | 1.845 | .789 | .565 | .275 |
Distributions from net investment income | (.215) | (.479) | (.555) | (.569) | (.575) | (.625) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.320) | (.649) | (.555) | (.569) | (.575) | (.625) |
Net asset value, end of period | $ 11.68 | $ 11.91 | $ 11.61 | $ 10.32 | $ 10.10 | $ 10.11 |
Total Return B, C, D | .77% | 8.43% | 18.24% | 8.10% | 5.67% | 2.74% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.85% A | 1.82% | 1.84% | 1.87% | 1.89% | 1.91% |
Expenses net of voluntary waivers, if any | 1.84% A | 1.82% | 1.84% | 1.87% | 1.89% | 1.91% |
Expenses net of all reductions | 1.84% A | 1.82% | 1.84% | 1.87% | 1.89% | 1.90% |
Net investment income | 4.08% A | 4.37% | 4.74% | 5.83% | 6.35% G | 6.94% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 487 | $ 405 | $ 277 | $ 68 | $ 40 | $ 26 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 12.02 | $ 11.71 | $ 10.40 | $ 10.17 | $ 10.18 | $ 10.53 |
Income from Investment Operations | ||||||
Net investment income D | .297 | .627 | .635 | .685 | .725 F | .816 |
Net realized and unrealized gain (loss) | (.149) | .449 | 1.338 | .210 | (.059) F | (.437) |
Total from investment operations | .148 | 1.076 | 1.973 | .895 | .666 | .379 |
Distributions from net investment income | (.273) | (.596) | (.663) | (.665) | (.676) | (.729) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.378) | (.766) | (.663) | (.665) | (.676) | (.729) |
Net asset value, end of period | $ 11.79 | $ 12.02 | $ 11.71 | $ 10.40 | $ 10.17 | $ 10.18 |
Total Return B, C | 1.27% | 9.53% | 19.44% | 9.17% | 6.67% | 3.76% |
Ratios to Average Net Assets E | ||||||
Expenses before expense reductions | .82% A | .81% | .87% | .92% | .94% | .90% |
Expenses net of voluntary waivers, if any | .82% A | .81% | .87% | .92% | .94% | .90% |
Expenses net of all reductions | .82% A | .81% | .87% | .92% | .94% | .90% |
Net investment income | 5.10% A | 5.38% | 5.71% | 6.78% | 7.31% F | 7.95% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 467 | $ 424 | $ 291 | $ 120 | $ 42 | $ 4 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
F Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2005 (Unaudited)
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
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 B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The fund may invest in affiliated fixed-income and money market central funds (Underlying Funds) managed by affiliates of Fidelity Management & Research Company (FMR). The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund and underlying fixed-income funds (funds):
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
1. Significant Accounting Policies - continued
Security Valuation - continued
Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies, including Underlying Funds, are valued at their net asset value each business day.
Foreign Currency. Certain funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions, including the fund's investment activity in the Underlying Funds, are accounted for as of trade date. 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. Interest income, including income from the Underlying Funds, is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Semiannual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to foreign currency transactions, prior period premium and discount on debt securities, defaulted bonds, market discount, non-taxable dividends, swap agreements, and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 121,218 | |
Unrealized depreciation | (31,739) | |
Net unrealized appreciation (depreciation) | $ 89,479 | |
Cost for federal income tax purposes | $ 2,865,601 |
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities. Certain funds may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the fund's Schedule of Investments. Certain funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, each applicable fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery". Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. Certain funds 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. Certain funds may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Swap Agreements. Certain funds may invest in swaps for the purpose of managing their exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses,
Semiannual Report
2. Operating Policies - continued
Swap Agreements - continued
respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts.
Mortgage Dollar Rolls. To earn additional income, certain funds may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $938,155 and $732,534, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
increases as assets under management decrease. For the period, the total annualized management fee rate was .58% of the fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 322 | $ 3 |
Class T | 0% | .25% | 1,194 | 51 |
Class B | .65% | .25% | 1,467 | 1,063 |
Class C | .75% | .25% | 2,202 | 743 |
$ 5,185 | $ 1,860 |
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, and .25% for certain purchases of Class A and Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | ||
Class A | $ 432 | |
Class T | 140 | |
Class B* | 335 | |
Class C* | 47 | |
$ 954 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 427 | .20* |
Class T | 767 | .16* |
Class B | 382 | .24* |
Class C | 394 | .18* |
Institutional Class | 357 | .16* |
$ 2,327 |
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the fund's accounting records. The fee is based on the level of average net assets for the month.
Central Funds. Certain funds may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), Fidelity Management & Research Company, Inc. (FMRC), affiliates of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Money Market Central Funds seek preservation of capital and current income. The Floating Rate Central Investment Portfolio seeks a high level of income. The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $4,053 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
Expense | Reimbursement | |
Class A | 1.25% -1.00%* | $ 29 |
Class B | 2.00% -1.75%* | 91 |
Class C | 2.10% -1.85%* | 18 |
$ 138 |
* Expense limitation in effect at period end.
In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $10.
7. 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.
8. 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
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 9,630 | $ 13,359 |
Class T | 21,151 | 30,575 |
Class B | 6,109 | 12,524 |
Class C | 8,058 | 14,127 |
Institutional Class | 10,215 | 17,938 |
Total | $ 55,163 | $ 88,523 |
From net realized gain | ||
Class A | $ 3,432 | $ 5,220 |
Class T | 7,595 | 11,202 |
Class B | 2,834 | 4,464 |
Class C | 3,698 | 5,646 |
Institutional Class | 3,777 | 5,877 |
Total | $ 21,336 | $ 32,409 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
10. 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 | 17,659 | 21,816 | $ 206,463 | $ 253,900 |
Reinvestment of distributions | 900 | 1,282 | 10,542 | 15,021 |
Shares redeemed | (5,543) | (7,979) | (64,860) | (92,071) |
Net increase (decrease) | 13,016 | 15,119 | $ 152,145 | $ 176,850 |
Class T | ||||
Shares sold | 36,627 | 39,956 | $ 428,189 | $ 465,339 |
Reinvestment of distributions | 2,295 | 3,278 | 26,876 | 38,371 |
Shares redeemed | (9,820) | (19,779) | (114,604) | (229,093) |
Net increase (decrease) | 29,102 | 23,455 | $ 340,461 | $ 274,617 |
Class B | ||||
Shares sold | 5,134 | 7,321 | $ 60,058 | $ 85,374 |
Reinvestment of distributions | 561 | 1,045 | 6,585 | 12,249 |
Shares redeemed | (3,349) | (6,307) | (39,194) | (72,776) |
Net increase (decrease) | 2,346 | 2,059 | $ 27,449 | $ 24,847 |
Class C | ||||
Shares sold | 11,287 | 16,778 | $ 131,874 | $ 195,224 |
Reinvestment of distributions | 710 | 1,180 | 8,309 | 13,804 |
Shares redeemed | (4,234) | (7,887) | (49,369) | (90,740) |
Net increase (decrease) | 7,763 | 10,071 | $ 90,814 | $ 118,288 |
Institutional Class | ||||
Shares sold | 7,576 | 15,202 | $ 89,252 | $ 176,823 |
Reinvestment of distributions | 1,023 | 1,760 | 12,072 | 20,742 |
Shares redeemed | (4,307) | (6,561) | (50,708) | (76,584) |
Net increase (decrease) | 4,292 | 10,401 | $ 50,616 | $ 120,981 |
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on March 16, 2005. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval. A | ||
# of | % of | |
Affirmative | 6,491,014,660.12 | 68.216 |
Against | 1,110,401,588.77 | 11.670 |
Abstain | 364,285,629.16 | 3.828 |
Broker | 1,549,650,136.89 | 16.286 |
TOTAL | 9,515,352,014.94 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Laura B. Cronin | ||
Affirmative | 9,191,010,795.38 | 96.591 |
Withheld | 324,341,219.56 | 3.409 |
TOTAL | 9,515,352,014.94 | 100.000 |
Dennis J. Dirks | ||
Affirmative | 9,199,049,001.28 | 96.676 |
Withheld | 316,303,013.66 | 3.324 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,189,372,083.98 | 96.574 |
Withheld | 325,979,930.96 | 3.426 |
TOTAL | 9,515,352,014.94 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,191,183,741.44 | 96.593 |
Withheld | 324,168,273.50 | 3.407 |
TOTAL | 9,515,352,014.94 | 100.000 |
# of | % of | |
Abigail P. Johnson | ||
Affirmative | 9,174,139,780.45 | 96.414 |
Withheld | 341,212,234.49 | 3.586 |
TOTAL | 9,515,352,014.94 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,167,856,276.61 | 96.348 |
Withheld | 347,495,738.33 | 3.652 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,196,147,863.00 | 96.645 |
Withheld | 319,204,151.94 | 3.355 |
TOTAL | 9,515,352,014.94 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,193,561,981.00 | 96.618 |
Withheld | 321,790,033.94 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,184,085,149.84 | 96.519 |
Withheld | 331,266,865.10 | 3.481 |
TOTAL | 9,515,352,014.94 | 100.000 |
William O. McCoy | ||
Affirmative | 9,187,317,991.01 | 96.553 |
Withheld | 328,034,023.93 | 3.447 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,193,543,677.54 | 96.618 |
Withheld | 321,808,337.40 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,193,853,155.26 | 96.621 |
Withheld | 321,498,859.68 | 3.379 |
TOTAL | 9,515,352,014.94 | 100.000 |
# of | % of | |
William S. Stavropoulos | ||
Affirmative | 9,191,672,816.31 | 96.598 |
Withheld | 323,679,198.63 | 3.402 |
TOTAL | 9,515,352,014.94 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 9,193,356,513.29 | 96.616 |
Withheld | 321,995,501.65 | 3.384 |
TOTAL | 9,515,352,014.94 | 100.000 |
A Denotes trust-wide proposals and voting results. | ||
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using "soft" commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Semiannual Report
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge. The Board noted that, since the last Advisory Contract renewals in June 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using "soft" commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment-grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment-grade taxable bond funds.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a broad-based securities market index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2004, the returns of Class C and Institutional Class of the fund, the returns of a broad-based securities market index ("benchmark"), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Class C and Institutional Class represent the performance of classes with the highest and lowest 12b-1 fees, respectively (not necessarily with the highest and lowest total expenses). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the class indicated.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board noted that the relative investment performance of Institutional Class of the fund has compared favorably to its Lipper peer group over time. The Board also noted that the relative investment performance of Institutional Class of the fund has compared favorably to its benchmark over time, although the fund's one-year cumulative total return was lower than its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 27% would mean that 73% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile ("quadrant") in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Semiannual Report
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004. Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board noted that the total expenses of each of Class A, Class T, Class B, and Institutional Class ranked below its competitive median for 2004, and the total expenses of Class C ranked above its competitive median for 2004. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the total expenses for each class of the fund were reasonable, although in one case above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
Semiannual Report
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower fee rates as total fund assets under FMR's management increase, and for higher fee rates as total fund assets under FMR's management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity's fund profitability methodology, including additional detail on various cost allocations; (ii) fall-out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund's existing Advisory Contracts should be renewed.
Semiannual Report
The following is a complete listing of investments for Fidelity's
fixed-income central funds as of June 30, 2005 which are direct or indirect investments of Fidelity Advisor Strategic Income Fund.
Semiannual Report
Fidelity Floating Rate Central Investment Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Floating Rate Loans (c) - 90.9% | ||||
Principal | Value | |||
Automotive - 4.7% | ||||
Accuride Corp. term loan 5.6453% 1/31/12 (b) | $ 2,425,227 | $ 2,431,290 | ||
AM General LLC Tranche B1, term loan 7.7428% 11/1/11 (b) | 3,848,718 | 3,993,045 | ||
Goodyear Tire & Rubber Co.: | ||||
Tranche 1, 4.7852% 4/30/10 (b) | 1,060,000 | 1,060,000 | ||
Tranche 2, term loan 5.89% 4/30/10 (b) | 1,480,000 | 1,478,150 | ||
Travelcenters of America, Inc. Tranche B, term loan 5.09% 12/1/11 (b) | 7,916,840 | 7,986,112 | ||
TRW Automotive Holdings Corp. Tranche B, term loan 4.375% 6/30/12 (b) | 2,777,696 | 2,788,113 | ||
19,736,710 | ||||
Broadcasting - 2.0% | ||||
Cumulus Media, Inc.: | ||||
Tranche E, term loan 5.125% 3/28/10 (b) | 1,989,950 | 1,989,950 | ||
Tranche F, term loan 4.875% 3/28/10 (b) | 987,525 | 987,525 | ||
Nexstar Broadcasting, Inc. Tranche B, term loan 4.87% 10/1/12 (b) | 3,900,000 | 3,919,500 | ||
Spanish Broadcasting System, Inc. Tranche 1, term loan 5.49% 6/7/12 (b) | 1,571,063 | 1,586,773 | ||
8,483,748 | ||||
Building Materials - 1.1% | ||||
Euramax International, Inc./Euramax International Holdings BV Tranche 1, term loan 5.875% 6/29/12 (b) | 1,850,000 | 1,875,438 | ||
Goodman Global Holdings, Inc. term loan 5.5% 12/23/11 (b) | 1,213,900 | 1,232,109 | ||
Masonite International Corp. term loan 5.2153% 4/5/13 (b) | 1,466,325 | 1,462,659 | ||
4,570,206 | ||||
Cable TV - 6.2% | ||||
Adelphia Communications Corp. Tranche B, term loan 5.375% 3/31/06 (b) | 2,450,000 | 2,462,250 | ||
Century Cable Holdings LLC Tranche B, term loan 8.25% 6/30/09 (b) | 3,000,000 | 2,970,000 | ||
Charter Communications Operating LLC: | ||||
Tranche A, term loan 6.19% 4/27/10 (b) | 2,642,875 | 2,606,536 | ||
Tranche B, term loan 6.44% 4/7/11 (b) | 1,994,962 | 1,977,506 | ||
DIRECTV Holdings LLC Tranche B, term loan 4.7363% 4/13/13 (b) | 2,260,000 | 2,274,125 | ||
NTL Investment Holdings Ltd. Tranche B, term loan 6.41% 6/13/12 (b) | 3,000,000 | 3,015,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Cable TV - continued | ||||
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (b) | $ 3,940,000 | $ 3,949,850 | ||
UPC Distribution Holdings BV Tranche F, term loan 6.6% 12/31/11 (b) | 4,000,000 | 4,045,000 | ||
WideOpenWest Illinois, Inc. Tranche B, term loan 6.3027% 6/22/11 (b) | 2,593,451 | 2,619,385 | ||
25,919,652 | ||||
Capital Goods - 1.0% | ||||
Alliance Laundry Systems LLC term loan 5.59% 1/27/12 (b) | 1,950,000 | 1,974,375 | ||
GenTek, Inc. term loan 6.0754% 2/28/11 (b) | 1,995,000 | 1,985,025 | ||
Hexcel Corp. Tranche B, term loan 4.9125% 3/1/12 (b) | 370,000 | 372,775 | ||
4,332,175 | ||||
Chemicals - 1.8% | ||||
Celanese Holding LLC term loan 5.74% 4/6/11 (b) | 2,340,526 | 2,369,782 | ||
Mosaic Co. Tranche B, term loan 5.0036% 2/21/12 (b) | 1,895,250 | 1,914,203 | ||
PQ Corp. term loan 5.5% 2/11/12 (b) | 3,291,750 | 3,308,209 | ||
7,592,194 | ||||
Consumer Products - 1.7% | ||||
Burt's Bees, Inc. term loan 6.2397% 3/28/10 (b) | 399,000 | 402,990 | ||
Central Garden & Pet Co. Tranche B, term loan 5.0279% 5/14/09 (b) | 397,983 | 401,963 | ||
Del Laboratories, Inc. term loan 5.4683% 7/27/11 (b) | 547,250 | 548,618 | ||
Fender Musical Instrument Corp. Tranche B, term loan 5.46% 4/1/12 (b) | 810,000 | 820,125 | ||
Jostens IH Corp. Tranche A, term loan 5.64% 10/4/10 (b) | 2,250,000 | 2,278,125 | ||
Rayovac Corp. term loan 5.2082% 2/7/12 (b) | 498,750 | 503,738 | ||
Simmons Bedding Co. Tranche C, term loan 5.9099% 12/19/11 (b) | 1,976,462 | 1,981,404 | ||
6,936,963 | ||||
Containers - 0.2% | ||||
Berry Plastics Corp. term loan 5.6004% 12/2/11 (b) | 950,000 | 964,250 | ||
Diversified Financial Services - 0.7% | ||||
Refco Finance Holdings LLC term loan 5.3144% 8/5/11 (b) | 2,981,481 | 2,988,935 | ||
Diversified Media - 1.3% | ||||
Lamar Media Corp.: | ||||
Tranche A, term loan 4.4375% 6/30/09 (b) | 925,000 | 925,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Diversified Media - continued | ||||
Lamar Media Corp.: | ||||
Tranche C, term loan 5.0625% 6/30/10 (b) | $ 2,985,000 | $ 3,011,119 | ||
R.H. Donnelley Corp. Tranche A3, term loan 5.1509% 12/31/09 (b) | 1,468,667 | 1,479,682 | ||
5,415,801 | ||||
Electric Utilities - 3.1% | ||||
Covanta Energy Corp. Tranche 1: | ||||
Credit-Linked Deposit 6.46% 6/24/12 (b) | 2,211,382 | 2,227,967 | ||
term loan 6.46% 6/24/12 (b) | 1,788,618 | 1,802,033 | ||
NRG Energy, Inc.: | ||||
Credit-Linked Deposit 5.265% 12/24/11 (b) | 1,706,250 | 1,714,781 | ||
term loan 5.2554% 12/24/11 (b) | 2,182,781 | 2,193,695 | ||
Reliant Energy, Inc. term loan 6.0579% 4/30/10 (b) | 1,995,000 | 2,012,456 | ||
Texas Genco LLC term loan 5.4098% 12/14/11 (b) | 2,985,000 | 3,026,044 | ||
12,976,976 | ||||
Energy - 6.6% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 6.063% 7/8/11 (b) | 704,000 | 668,800 | ||
Tranche B1, term loan 6.063% 7/8/12 (b) | 1,056,000 | 1,069,200 | ||
El Paso Corp. Credit-Linked Deposit 5.855% 11/22/09 (b) | 6,000,000 | 6,022,500 | ||
Energy Transfer Partners LP term loan 6.47% 6/16/08 (b) | 5,000,000 | 5,025,000 | ||
Kerr-McGee Corp. Tranche B, term loan 5.79% 5/24/11 (b) | 10,000,000 | 10,162,500 | ||
LB Pacific LP term loan 6.1471% 3/3/12 (b) | 3,990,000 | 4,024,913 | ||
Universal Compression, Inc. term loan 5.24% 2/15/12 (b) | 897,750 | 908,972 | ||
27,881,885 | ||||
Entertainment/Film - 2.0% | ||||
MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (b) | 8,550,000 | 8,571,375 | ||
Environmental - 1.6% | ||||
Allied Waste Industries, Inc.: | ||||
term loan 5.3731% 1/15/12 (b) | 2,088,868 | 2,091,479 | ||
Tranche A, Credit-Linked Deposit 5.34% 1/15/12 (b) | 797,297 | 798,294 | ||
Envirocare of Utah, Inc. Tranche 1, term loan 6.11% 4/13/10 (b) | 3,818,182 | 3,832,500 | ||
6,722,273 | ||||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Food/Beverage/Tobacco - 3.2% | ||||
Centerplate, Inc. term loan 6.43% 10/1/10 (b) | $ 4,920,000 | $ 4,944,600 | ||
Commonwealth Brands, Inc. term loan 6.625% 8/28/07 (b) | 165,210 | 167,275 | ||
Constellation Brands, Inc. Tranche B, term loan 5.1451% 11/30/11 (b) | 6,438,958 | 6,511,397 | ||
Herbalife International, Inc. term loan 5.16% 12/21/10 (b) | 1,640,000 | 1,648,200 | ||
13,271,472 | ||||
Gaming - 2.0% | ||||
Green Valley Ranch Gaming LLC term loan 5.49% 12/17/11 (b) | 2,187,019 | 2,211,623 | ||
Herbst Gaming, Inc. term loan 5.6275% 1/7/11 (b) | 399,000 | 401,993 | ||
Isle of Capri Casinos, Inc. term loan 5.0179% 2/4/11 (b) | 199,000 | 200,990 | ||
Marina District Finance Co., Inc. term loan 5.185% 10/14/11 (b) | 3,980,000 | 4,004,875 | ||
Resorts International Hotel & Casino, Inc. Tranche B1, term loan 5.83% 4/26/12 (b) | 785,433 | 796,233 | ||
Venetian Casino Resort LLC Tranche B, term loan 5.24% 6/15/11 (b) | 900,000 | 906,750 | ||
8,522,464 | ||||
Healthcare - 14.5% | ||||
AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan 5.6734% 2/7/12 (b) | 3,291,750 | 3,337,012 | ||
Community Health Systems, Inc. term loan 5.07% 8/19/11 (b) | 3,974,975 | 4,014,725 | ||
CRC Health Corp. term loan 6.24% 5/11/11 (b) | 950,000 | 961,875 | ||
DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (b) | 8,000,000 | 8,100,000 | ||
HCA, Inc. term loan 4.33% 11/9/09 (b) | 11,000,000 | 10,917,491 | ||
HealthSouth Corp.: | ||||
Credit-Linked Deposit 5.7235% 6/14/07 (b) | 807,500 | 816,584 | ||
term loan 5.82% 6/14/07 (b) | 2,992,500 | 3,022,425 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 4.845% 4/15/12 (b) | 5,940,000 | 5,954,850 | ||
Newquest, Inc. Tranche A, term loan 6.66% 3/1/11 (b) | 487,500 | 489,938 | ||
PacifiCare Health Systems, Inc. Tranche B, term loan 5.0656% 12/6/10 (b) | 6,947,500 | 6,999,606 | ||
Select Medical Holdings Corp. Tranche B, term loan 5.0419% 2/24/12 (b) | 3,990,000 | 3,994,988 | ||
Skilled Healthcare Group, Inc. Tranche 2, term loan 10.74% 12/15/12 (b) | 3,000,000 | 3,015,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Healthcare - continued | ||||
Vicar Operating, Inc. term loan 4.875% 5/16/11 (b) | $ 5,040,000 | $ 5,052,600 | ||
Warner Chilcott Corp. term loan 5.9939% 1/18/12 (b) | 3,992,057 | 4,002,037 | ||
60,679,131 | ||||
Homebuilding/Real Estate - 5.3% | ||||
CB Richard Ellis Services, Inc. term loan 5.3167% 3/31/10 (b) | 1,445,902 | 1,456,747 | ||
General Growth Properties, Inc. Tranche B, term loan 5.58% 11/12/08 (b) | 5,971,575 | 6,023,826 | ||
Lake Las Vegas LLC Tranche 1, term loan 6.0887% 11/1/09 (b) | 3,926,873 | 3,936,690 | ||
LNR Property Corp. Tranche B, term loan 6.3396% 2/3/08 (b) | 3,919,880 | 3,934,580 | ||
Maguire Properties, Inc. Tranche B, term loan 4.9% 3/15/10 (b) | 4,611,111 | 4,634,167 | ||
Shea Mountain House LLC Tranche B, term loan 5.27% 5/11/11 (b) | 2,430,000 | 2,436,075 | ||
22,422,085 | ||||
Hotels - 1.7% | ||||
Starwood Hotels & Resorts Worldwide, Inc. term loan 4.58% 10/9/06 (b) | 5,151,815 | 5,151,815 | ||
Wyndham International, Inc. Tranche 1: | ||||
Credit-Linked Deposit 6.435% 5/6/11 (b) | 172,415 | 172,846 | ||
term loan 6.5% 5/6/11 (b) | 1,823,017 | 1,827,575 | ||
7,152,236 | ||||
Insurance - 1.2% | ||||
Marsh & McLennan Companies, Inc. term loan 4.1875% 12/31/06 (b) | 5,000,000 | 5,006,250 | ||
Leisure - 0.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 6.19% 6/8/12 (b) | 3,000,000 | 3,037,500 | ||
Metals/Mining - 2.5% | ||||
Murray Energy Corp. Tranche 1, term loan 6.33% 1/28/10 (b) | 498,750 | 501,244 | ||
Novelis, Inc. term loan 4.96% 1/7/12 (b) | 3,461,538 | 3,491,827 | ||
Peabody Energy Corp. term loan 4.431% 3/21/10 (b) | 2,955,664 | 2,959,358 | ||
Trout Coal Holdings LLC / Dakota Tranche 1, term loan 5.9736% 3/23/11 (b) | 3,690,750 | 3,699,977 | ||
10,652,406 | ||||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Paper - 3.2% | ||||
Escanaba Timber LLC term loan 6% 5/2/08 (b) | $ 520,000 | $ 528,450 | ||
Georgia-Pacific Corp. term loan 4.78% 7/2/09 (b) | 1,000,000 | 1,000,000 | ||
Koch Cellulose LLC: | ||||
term loan 5.24% 5/7/11 (b) | 1,958,517 | 1,980,550 | ||
Credit-Linked Deposit 4.6113% 5/7/11 (b) | 602,945 | 609,728 | ||
Smurfit-Stone Container Enterprises, Inc.: | ||||
Credit-Linked Deposit 3.0888% 11/1/10 (b) | 655,111 | 662,481 | ||
Tranche B, term loan 5.4158% 11/1/11 (b) | 5,221,241 | 5,279,980 | ||
Tranche C, term loan 5.2921% 11/1/11 (b) | 1,927,849 | 1,949,538 | ||
Xerium Technologies, Inc. Tranche B, term loan 5.49% 5/18/12 (b) | 1,500,000 | 1,515,000 | ||
13,525,727 | ||||
Publishing/Printing - 2.7% | ||||
Dex Media West LLC/Dex Media West Finance Co. Tranche B, term loan 4.9282% 9/9/10 (b) | 6,618,287 | 6,667,924 | ||
Liberty Group Operating, Inc. Tranche B, term loan 5.4436% 2/28/12 (b) | 197,006 | 197,499 | ||
R.H. Donnelley Corp. Tranche B2, term loan 5.0536% 6/30/11 (b) | 4,298,142 | 4,330,378 | ||
11,195,801 | ||||
Railroad - 1.4% | ||||
Kansas City Southern Railway Co. Tranche B1, term loan 5.1572% 3/30/08 (b) | 2,788,360 | 2,823,214 | ||
RailAmerica, Inc. term loan 5.3125% 9/29/11 (b) | 2,972,505 | 3,013,376 | ||
5,836,590 | ||||
Restaurants - 2.4% | ||||
Domino's, Inc. term loan 5.25% 6/25/10 (b) | 4,809,121 | 4,857,213 | ||
Jack in the Box, Inc. term loan 4.9463% 1/8/11 (b) | 3,125,659 | 3,160,823 | ||
Landry's Seafood Restaurants, Inc. term loan 5.2387% 12/28/10 (b) | 1,457,675 | 1,474,074 | ||
Ruth's Chris Steak House, Inc. term loan 6.25% 3/11/11 (b) | 480,952 | 480,952 | ||
9,973,062 | ||||
Services - 5.2% | ||||
Coinstar, Inc. term loan 5.55% 7/1/11 (b) | 827,233 | 839,642 | ||
DynCorp term loan 6.0625% 2/11/11 (b) | 2,000,000 | 2,010,000 | ||
Iron Mountain, Inc.: | ||||
term loan 5.125% 4/2/11 (b) | 3,722,242 | 3,759,464 | ||
Tranche R, term loan 4.9816% 4/2/11 (b) | 4,975,000 | 5,024,750 | ||
JohnsonDiversey, Inc. Tranche B, term loan 4.9578% 11/3/09 (b) | 336,005 | 338,525 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Services - continued | ||||
Knowledge Learning Corp. term loan 5.99% 1/7/12 (b) | $ 4,061,111 | $ 4,081,417 | ||
Rural/Metro Corp.: | ||||
Credit-Linked Deposit 5.65% 3/4/11 (b) | 520,882 | 524,789 | ||
term loan 6.0297% 3/4/11 (b) | 1,904,941 | 1,919,228 | ||
United Rentals, Inc.: | ||||
term loan 5.5742% 2/14/11 (b) | 2,843,979 | 2,875,974 | ||
Tranche B, Credit-Linked Deposit 4.8224% 2/14/11 (b) | 575,996 | 581,756 | ||
21,955,545 | ||||
Shipping - 0.1% | ||||
Baker Tanks, Inc. term loan 5.8793% 1/30/11 (b) | 249,375 | 251,869 | ||
Technology - 4.5% | ||||
AMI Semiconductor, Inc. term loan 4.83% 4/1/12 (b) | 1,596,000 | 1,599,990 | ||
Fairchild Semiconductor Corp. Tranche B3, term loan 5.354% 12/31/10 (b) | 2,060,334 | 2,080,937 | ||
Fidelity National Information Solutions, Inc. Tranche B, term loan 4.96% 3/9/13 (b) | 5,719,500 | 5,698,052 | ||
Infor Global Solutions AG Tranche 1, term loan 6.712% 4/18/11 (b) | 6,000,000 | 6,015,000 | ||
ON Semiconductor Corp. Tranche G, term loan 6.5% 12/15/11 (b) | 2,985,000 | 2,992,463 | ||
UGS Holdings, Inc. Tranche C, term loan 5.1462% 3/31/12 (b) | 475,172 | 479,924 | ||
18,866,366 | ||||
Telecommunications - 6.0% | ||||
Alaska Communications Systems Holding term loan 5.49% 2/1/12 (b) | 7,100,000 | 7,153,250 | ||
American Tower LP Tranche C, term loan 5.2099% 8/31/11 (b) | 2,573,550 | 2,599,286 | ||
Conversant Holdings, Inc. Tranche B, term loan 7.3351% 3/31/11 (b) | 1,962,500 | 1,945,328 | ||
Hawaiian Telcom Communications, Inc. Tranche B, term loan 5.73% 10/31/12 (b) | 3,000,000 | 3,030,000 | ||
Intelsat Ltd. term loan 5.25% 7/28/11 (b) | 3,236,542 | 3,264,862 | ||
New Skies Satellites BV term loan 5.4375% 5/2/11 (b) | 1,490,609 | 1,511,105 | ||
NTELOS, Inc.: | ||||
term loan 8.33% 2/24/12 (b) | 200,000 | 196,000 | ||
Tranche B, term loan 5.83% 8/24/11 (b) | 995,000 | 995,000 | ||
Qwest Corp. Tranche A, term loan 7.9338% 6/30/07 (b) | 1,600,000 | 1,648,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Telecommunications - continued | ||||
SpectraSite Communications, Inc. Tranche B, term loan 4.91% 5/19/12 (b) | $ 1,990,000 | $ 2,004,925 | ||
Valor Telecommunications Enterprises LLC/Valor Finance Corp. Tranche B, term loan 5.392% 2/14/12 (b) | 784,000 | 793,800 | ||
25,141,556 | ||||
Textiles & Apparel - 0.3% | ||||
St. John Knits International, Inc. Tranche B, term loan 6% 3/23/12 (b) | 498,750 | 503,114 | ||
William Carter Co. term loan 5.08% 6/29/12 (b) | 850,000 | 860,625 | ||
1,363,739 | ||||
TOTAL FLOATING RATE LOANS (Cost $381,285,882) | 381,946,942 | |||
Nonconvertible Bonds - 8.1% | ||||
Automotive - 3.5% | ||||
General Motors Acceptance Corp.: | ||||
4.145% 5/18/06 (b) | 2,000,000 | 1,990,538 | ||
4.3948% 10/20/05 (b) | 5,000,000 | 5,004,260 | ||
4.6019% 9/23/08 (b) | 3,000,000 | 2,773,467 | ||
6.75% 1/15/06 | 2,000,000 | 2,015,780 | ||
7.5% 7/15/05 | 3,000,000 | 3,001,296 | ||
14,785,341 | ||||
Diversified Financial Services - 1.2% | ||||
Residential Capital Corp. 4.835% 6/29/07 (a)(b) | 5,000,000 | 5,001,880 | ||
Technology - 1.2% | ||||
Nortel Networks Corp. 6.125% 2/15/06 | 5,000,000 | 5,025,000 | ||
Telecommunications - 2.2% | ||||
Qwest Corp. 6.6706% 6/15/13 (a)(b) | 2,840,000 | 2,907,450 | ||
Rogers Communications, Inc. 6.535% 12/15/10 (b) | 6,000,000 | 6,240,000 | ||
9,147,450 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $34,062,076) | 33,959,671 | |||
Cash Equivalents - 4.8% | ||||
Maturity | Value | |||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.42%, dated 6/30/05 due 7/1/05) | $ 19,962,899 | $ 19,961,000 | ||
TOTAL INVESTMENT PORTFOLIO - 103.8% (Cost $435,308,958) | 435,867,613 | |||
NET OTHER ASSETS - (3.8)% | (15,788,511) | |||
NET ASSETS - 100% | $ 420,079,102 | |||
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $7,909,330 or 1.9% of net assets. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(c) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
Income Tax Information |
At June 30, 2005, the aggregate cost of investment securities for income tax purposes was $435,285,647. Net unrealized appreciation aggregated $581,966, of which $1,609,203 related to appreciated investment securities and $1,027,237 related to depreciated investment securities. |
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Semiannual Report
Semiannual Report
Semiannual Report
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
(Far East) Inc.
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
SI-USAN-0805
1.787775.102
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
(Fidelity Investment logo)(registered trademark)
Fidelity ®Advisor
Strategic Income
Fund - Institutional Class
Semiannual Report
June 30, 2005
(2_fidelity_logos) (Registered_Trademark)
Contents
Chairman's Message | Ned Johnson's message to shareholders. | |
Shareholder Expense Example | An example of shareholder expenses. | |
Investment Changes | A summary of major shifts in the fund's investments over the past six months. | |
Investments | A complete list of the fund's investments with their market values. | |
Financial Statements | Statements of assets and liabilities, operations, and changes in net assets, | |
Notes | Notes to the financial statements. | |
Proxy Voting Results | ||
Board Approval of Investment Advisory Contracts and Management Fees | ||
Central Fund Investments | Complete list of investments for Fidelity's fixed-income central funds. |
To view a fund's proxy voting guidelines and proxy voting record for the 12-month period ended June 30, visit www.fidelity.com/proxyvotingresults or visit the Securities and Exchange Commission's (SEC) web site at www.sec.gov. You may also call 1-877-208-0098 to request a free copy of the proxy voting guidelines.
Standard & Poor's, S&P and S&P 500 are registered service marks of The McGraw-Hill Companies, Inc. and have been licensed for use by Fidelity Distributors Corporation.
Other third party marks appearing herein are the property of their respective owners.
All other marks appearing herein are registered or unregistered trademarks or service marks of FMR Corp. or an affiliated company.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the fund. This report is not authorized for distribution to prospective investors in the fund unless preceded or accompanied by an effective prospectus.
A fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Forms N-Q are available on the SEC's web site at http://www.sec.gov. A fund's Forms N-Q may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information regarding the operation of the SEC's Public Reference Room may be obtained by calling 1-800-SEC-0330. For a complete list of a fund's portfolio holdings, view the most recent quarterly holdings report, semiannual report, or annual report on Fidelity's web site at http://www.advisor.fidelity.com.
NOT FDIC INSURED · MAY LOSE VALUE · NO BANK GUARANTEE
Neither the fund nor Fidelity Distributors Corporation is a bank.
Semiannual Report
Chairman's Message
(photo_of_Edward_C_Johnson_3d)
Dear Shareholder:
During the past year or so, much has been reported about the mutual fund industry, and much of it has been more critical than I believe is warranted. Allegations that some companies have been less than forthright with their shareholders have cast a shadow on the entire industry. I continue to find these reports disturbing, and assert that they do not create an accurate picture of the industry overall. Therefore, I would like to remind everyone where Fidelity stands on these issues. I will say two things specifically regarding allegations that some mutual fund companies were in violation of the Securities and Exchange Commission's forward pricing rules or were involved in so-called "market timing" activities.
First, Fidelity has no agreements that permit customers who buy fund shares after 4 p.m. to obtain the 4 p.m. price. This is not a new policy. This is not to say that someone could not deceive the company through fraudulent acts. However, we are extremely diligent in preventing fraud from occurring in this manner - and in every other. But I underscore again that Fidelity has no so-called "agreements" that sanction illegal practices.
Second, Fidelity continues to stand on record, as we have for years, in opposition to predatory short-term trading that adversely affects shareholders in a mutual fund. Back in the 1980s, we initiated a fee - which is returned to the fund and, therefore, to investors - to discourage this activity. Further, we took the lead several years ago in developing a Fair Value Pricing Policy to prevent market timing on foreign securities in our funds. I am confident we will find other ways to make it more difficult for predatory traders to operate. However, this will only be achieved through close cooperation among regulators, legislators and the industry.
Yes, there have been unfortunate instances of unethical and illegal activity within the mutual fund industry from time to time. That is true of any industry. When this occurs, confessed or convicted offenders should be dealt with appropriately. But we are still concerned about the risk of over-regulation and the quick application of simplistic solutions to intricate problems. Every system can be improved, and we support and applaud well thought out improvements by regulators, legislators and industry representatives that achieve the common goal of building and protecting the value of investors' holdings.
For nearly 60 years, Fidelity has worked very hard to improve its products and service to justify your trust. When our family founded this company in 1946, we had only a few hundred customers. Today, we serve more than 18 million customers including individual investors and participants in retirement plans across America.
Let me close by saying that we do not take your trust in us for granted, and we realize that we must always work to improve all aspects of our service to you. In turn, we urge you to continue your active participation with your financial matters, so that your interests can be well served.
Best regards,
/s/Edward C. Johnson 3d
Edward C. Johnson 3d
Semiannual Report
Shareholder Expense Example
As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments or redemption proceeds, and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period (January 1, 2005 to June 30, 2005).
Actual Expenses
The first line of the table below 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.
Hypothetical Example for Comparison Purposes
The second line of the table below 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.
Semiannual Report
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.
Beginning | Ending | Expenses Paid | |
Class A | |||
Actual | $ 1,000.00 | $ 1,012.00 | $ 4.99 |
Hypothetical A | $ 1,000.00 | $ 1,019.84 | $ 5.01 |
Class T | |||
Actual | $ 1,000.00 | $ 1,012.40 | $ 5.34 |
Hypothetical A | $ 1,000.00 | $ 1,019.49 | $ 5.36 |
Class B | |||
Actual | $ 1,000.00 | $ 1,008.20 | $ 8.71 |
Hypothetical A | $ 1,000.00 | $ 1,016.12 | $ 8.75 |
Class C | |||
Actual | $ 1,000.00 | $ 1,007.70 | $ 9.16 |
Hypothetical A | $ 1,000.00 | $ 1,015.67 | $ 9.20 |
Institutional Class | |||
Actual | $ 1,000.00 | $ 1,012.70 | $ 4.09 |
Hypothetical A | $ 1,000.00 | $ 1,020.73 | $ 4.11 |
A 5% return per year before expenses
* Expenses are equal to each Class' annualized expense ratio (shown in the table below); multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
Annualized | |
Class A | 1.00% |
Class T | 1.07% |
Class B | 1.75% |
Class C | 1.84% |
Institutional Class | .82% |
Semiannual Report
Investment Changes
Top Five Holdings as of June 30, 2005 | ||
(by issuer, excluding cash equivalents) | % of fund's | % of fund's net assets |
U.S. Treasury Obligations | 15.5 | 13.2 |
Fannie Mae | 5.6 | 3.5 |
German Federal Republic | 2.8 | 5.1 |
Freddie Mac | 2.5 | 1.6 |
Brazilian Federative Republic | 2.3 | 2.5 |
28.7 | ||
Top Five Market Sectors as of June 30, 2005 | ||
% of fund's | % of fund's net assets | |
Consumer Discretionary | 12.0 | 11.3 |
Telecommunication Services | 8.4 | 9.5 |
Energy | 4.8 | 5.1 |
Financials | 4.3 | 6.8 |
Materials | 3.8 | 4.9 |
Quality Diversification (% of fund's net assets) | |||||||
As of June 30, 2005 | As of December 31, 2004 | ||||||
| U.S. Government and U.S. Government | | U.S. Government and | ||||
| AAA, AA, A 10.8% | | AAA, AA, A 14.8% | ||||
| BBB 4.7% | | BBB 4.0% | ||||
| BB 13.1% | | BB 14.9% | ||||
| B 24.4% | | B 27.8% | ||||
| CCC, CC, C 7.4% | | CCC, CC, C 8.3% | ||||
| Not Rated 2.2% | | Not Rated 2.3% | ||||
| Equities 1.2% | | Equities 1.4% | ||||
| Short-Term | | Short-Term | ||||
We have used ratings from Moody's® Investors Services, Inc. Where Moody's ratings are not available, we have used S&P® ratings. The information in the above 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. |
Asset Allocation (% of fund's net assets) | |||||||
As of June 30, 2005 * | As of December 31, 2004 ** | ||||||
| Corporate Bonds 40.7% | | Corporate Bonds 47.1% | ||||
| U.S. Government and U.S. Government | | U.S. Government and | ||||
| Foreign Government | | Foreign Government | ||||
| Stocks 1.2% | | Stocks 1.4% | ||||
| Other Investments 2.9% | | Other Investments 2.2% | ||||
| Short-Term | | Short-Term | ||||
* Foreign investments | 29.9% | ** Foreign investments | 36.2% | ||||
*** Includes short-term foreign government obligations of .3%. | |||||||
The information in the above 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.
Semiannual Report
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Corporate Bonds - 40.6% | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Convertible Bonds - 0.1% | ||||
INFORMATION TECHNOLOGY - 0.1% | ||||
Semiconductors & Semiconductor Equipment - 0.1% | ||||
Atmel Corp. 0% 5/23/21 | $ 4,190 | $ 1,946 | ||
ON Semiconductor Corp. 0% 4/15/24 | 450 | 323 | ||
2,269 | ||||
Nonconvertible Bonds - 40.5% | ||||
CONSUMER DISCRETIONARY - 10.7% | ||||
Auto Components - 0.9% | ||||
Affinia Group, Inc. 9% 11/30/14 (f) | 6,760 | 5,678 | ||
Delco Remy International, Inc.: | ||||
8.625% 12/15/07 | 2,066 | 2,014 | ||
9.375% 4/15/12 | 705 | 575 | ||
11% 5/1/09 | 1,810 | 1,665 | ||
Intermet Corp. 9.75% 6/15/09 (c) | 2,240 | 963 | ||
Stoneridge, Inc. 11.5% 5/1/12 | 35 | 36 | ||
Tenneco Automotive, Inc. 8.625% 11/15/14 | 5,980 | 6,010 | ||
TRW Automotive Acquisition Corp.: | ||||
9.375% 2/15/13 | 2,503 | 2,766 | ||
11% 2/15/13 | 2,988 | 3,421 | ||
United Components, Inc. 9.375% 6/15/13 | 360 | 363 | ||
Visteon Corp. 7% 3/10/14 | 3,640 | 3,003 | ||
26,494 | ||||
Automobiles - 0.1% | ||||
Fiat Finance & Trade Ltd. 5.75% 5/25/06 | EUR | 1,000 | 1,213 | |
Renault SA 0.3338% 4/23/07 (i) | JPY | 200,000 | 1,794 | |
3,007 | ||||
Diversified Consumer Services - 0.2% | ||||
Service Corp. International (SCI): | ||||
6.75% 4/1/16 | 2,800 | 2,849 | ||
7% 6/15/17 (f) | 2,420 | 2,493 | ||
5,342 | ||||
Hotels, Restaurants & Leisure - 2.7% | ||||
Carrols Corp. 9% 1/15/13 (f) | 7,595 | 7,690 | ||
Chukchansi Economic Development Authority 14.5% 6/15/09 (f) | 490 | 599 | ||
Domino's, Inc. 8.25% 7/1/11 | 516 | 552 | ||
Gaylord Entertainment Co.: | ||||
6.75% 11/15/14 | 3,710 | 3,599 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Gaylord Entertainment Co.: - continued | ||||
8% 11/15/13 | $ 920 | $ 968 | ||
Herbst Gaming, Inc.: | ||||
7% 11/15/14 | 2,500 | 2,506 | ||
8.125% 6/1/12 | 835 | 887 | ||
ITT Corp. 7.375% 11/15/15 | 2,560 | 2,842 | ||
Landry's Seafood Restaurants, Inc. 7.5% 12/15/14 | 5,170 | 5,015 | ||
Mandalay Resort Group: | ||||
6.375% 12/15/11 | 1,220 | 1,232 | ||
6.5% 7/31/09 | 1,995 | 2,037 | ||
MGM MIRAGE: | ||||
6% 10/1/09 | 1,050 | 1,059 | ||
6.625% 7/15/15 (f) | 5,280 | 5,333 | ||
6.75% 9/1/12 | 1,310 | 1,349 | ||
8.5% 9/15/10 | 435 | 482 | ||
Mohegan Tribal Gaming Authority 6.875% 2/15/15 (f) | 2,140 | 2,188 | ||
Morton's Restaurant Group, Inc. 7.5% 7/1/10 | 1,215 | 1,191 | ||
Penn National Gaming, Inc.: | ||||
6.75% 3/1/15 (f) | 4,375 | 4,353 | ||
8.875% 3/15/10 | 1,105 | 1,182 | ||
Scientific Games Corp. 6.25% 12/15/12 (f) | 660 | 663 | ||
Speedway Motorsports, Inc. 6.75% 6/1/13 | 3,495 | 3,600 | ||
Starwood Hotels & Resorts Worldwide, Inc.: | ||||
7.375% 5/1/07 | 1,480 | 1,545 | ||
7.875% 5/1/12 | 985 | 1,108 | ||
Station Casinos, Inc.: | ||||
6% 4/1/12 | 1,790 | 1,817 | ||
6.5% 2/1/14 | 1,670 | 1,710 | ||
Sun International Hotels Ltd./Sun International North America, Inc. 8.875% 8/15/11 | 3,735 | 3,992 | ||
Town Sports International Holdings, Inc. 0% 2/1/14 (d) | 5,035 | 2,895 | ||
Universal City Development Partners Ltd./UCDP Finance, Inc. 11.75% 4/1/10 | 5,760 | 6,610 | ||
Uno Restaurant Corp. 10% 2/15/11 (f) | 2,690 | 2,542 | ||
Vail Resorts, Inc. 6.75% 2/15/14 | 5,060 | 5,136 | ||
Virgin River Casino Corp./RBG LLC/B&BB, Inc.: | ||||
0% 1/15/13 (d)(f) | 1,200 | 840 | ||
9% 1/15/12 (f) | 710 | 740 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Hotels, Restaurants & Leisure - continued | ||||
Waterford Gaming LLC/Waterford Gaming Finance Corp. 8.625% 9/15/12 (f) | $ 529 | $ 571 | ||
Wheeling Island Gaming, Inc. 10.125% 12/15/09 | 735 | 779 | ||
79,612 | ||||
Household Durables - 1.0% | ||||
D.R. Horton, Inc. 7.875% 8/15/11 | 170 | 190 | ||
Goodman Global Holdings, Inc.: | ||||
6.41% 6/15/12 (f)(i) | 680 | 663 | ||
7.875% 12/15/12 (f) | 13,850 | 12,811 | ||
K. Hovnanian Enterprises, Inc.: | ||||
6% 1/15/10 | 730 | 715 | ||
6.25% 1/15/15 | 1,320 | 1,300 | ||
7.75% 5/15/13 | 3,480 | 3,654 | ||
KB Home 8.625% 12/15/08 | 1,350 | 1,458 | ||
Meritage Homes Corp. 6.25% 3/15/15 | 1,790 | 1,665 | ||
Norcraft Holdings LP/Norcraft Capital Corp. 0% 9/1/12 (d) | 1,910 | 1,318 | ||
Standard Pacific Corp.: | ||||
7.75% 3/15/13 | 750 | 782 | ||
9.25% 4/15/12 | 1,240 | 1,364 | ||
Technical Olympic USA, Inc. 7.5% 1/15/15 | 2,000 | 1,770 | ||
Tempur-Pedic, Inc./Tempur Production USA, Inc. 10.25% 8/15/10 | 1,015 | 1,132 | ||
28,822 | ||||
Leisure Equipment & Products - 0.0% | ||||
Riddell Bell Holdings, Inc. 8.375% 10/1/12 | 720 | 720 | ||
Media - 5.3% | ||||
Cablevision Systems Corp. 8% 4/15/12 | 14,265 | 13,944 | ||
CanWest Media, Inc. 8% 9/15/12 | 860 | 903 | ||
Charter Communications Holding II LLC/Charter Communications Holdings II Capital Corp. 10.25% 9/15/10 | 2,720 | 2,747 | ||
Charter Communications Holdings LLC/Charter Communications Holdings Capital Corp.: | ||||
0% 5/15/11 (d) | 830 | 548 | ||
10% 4/1/09 | 535 | 413 | ||
10.75% 10/1/09 | 1,670 | 1,303 | ||
11.75% 1/15/10 | 505 | 394 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Charter Communications Operating LLC/Charter Communications Operating Capital Corp. 8% 4/30/12 (f) | $ 2,110 | $ 2,110 | ||
Cinemark USA, Inc. 9% 2/1/13 | 200 | 207 | ||
Corus Entertainment, Inc. 8.75% 3/1/12 | 1,970 | 2,118 | ||
CSC Holdings, Inc.: | ||||
6.75% 4/15/12 (f) | 3,730 | 3,506 | ||
7.625% 4/1/11 | 2,580 | 2,541 | ||
7.625% 7/15/18 | 12,970 | 12,451 | ||
7.875% 2/15/18 | 8,295 | 8,067 | ||
Dex Media, Inc. 8% 11/15/13 | 8,615 | 9,132 | ||
EchoStar DBS Corp.: | ||||
6.375% 10/1/11 | 3,705 | 3,673 | ||
6.625% 10/1/14 | 9,095 | 8,981 | ||
9.125% 1/15/09 | 42 | 45 | ||
Entercom Radio LLC/Entercom Capital, Inc. 7.625% 3/1/14 | 1,505 | 1,565 | ||
Entravision Communications Corp. 8.125% 3/15/09 | 1,930 | 2,007 | ||
Haights Cross Communications, Inc. 0% 8/15/11 (d) | 1,550 | 946 | ||
Haights Cross Operating Co. 11.75% 8/15/11 | 1,790 | 1,951 | ||
Houghton Mifflin Co.: | ||||
0% 10/15/13 (d) | 11,050 | 8,011 | ||
8.25% 2/1/11 | 1,905 | 1,972 | ||
9.875% 2/1/13 | 6,890 | 7,286 | ||
IMAX Corp. 9.625% 12/1/10 | 1,810 | 1,901 | ||
Innova S. de R.L. 9.375% 9/19/13 | 9,135 | 10,265 | ||
Lamar Media Corp. 7.25% 1/1/13 | 370 | 389 | ||
Liberty Media Corp.: | ||||
5.7% 5/15/13 | 5,315 | 4,943 | ||
8.5% 7/15/29 | 5,320 | 5,375 | ||
Livent, Inc. yankee 9.375% 10/15/04 (c) | 300 | 9 | ||
Marquee Holdings, Inc. 0% 8/15/14 (d) | 2,650 | 1,603 | ||
PanAmSat Corp. 6.375% 1/15/08 | 490 | 497 | ||
R.H. Donnelley Corp. 6.875% 1/15/13 | 6,750 | 6,885 | ||
Radio One, Inc.: | ||||
6.375% 2/15/13 (f) | 3,810 | 3,743 | ||
8.875% 7/1/11 | 2,065 | 2,215 | ||
Rainbow National LLC & RNS Co. Corp.: | ||||
8.75% 9/1/12 (f) | 3,280 | 3,583 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER DISCRETIONARY - continued | ||||
Media - continued | ||||
Rainbow National LLC & RNS Co. Corp.: - continued | ||||
10.375% 9/1/14 (f) | $ 7,590 | $ 8,729 | ||
Rogers Cable, Inc.: | ||||
5.5% 3/15/14 | 650 | 611 | ||
6.25% 6/15/13 | 2,090 | 2,080 | ||
6.75% 3/15/15 | 800 | 820 | ||
Sun Media Corp. Canada 7.625% 2/15/13 | 635 | 672 | ||
Susquehanna Media Co. 7.375% 4/15/13 | 770 | 801 | ||
The Reader's Digest Association, Inc. 6.5% 3/1/11 | 3,670 | 3,707 | ||
Videotron Ltee 6.875% 1/15/14 | 550 | 557 | ||
156,206 | ||||
Multiline Retail - 0.1% | ||||
Marks & Spencer Group PLC 5.125% 11/7/06 | EUR | 2,000 | 2,503 | |
Pinault Printemps-Redoute SA 5% 1/23/09 | EUR | 2,000 | 2,581 | |
5,084 | ||||
Specialty Retail - 0.1% | ||||
AutoNation, Inc. 9% 8/1/08 | 1,850 | 2,026 | ||
CSK Automotive, Inc. 7% 1/15/14 | 410 | 390 | ||
2,416 | ||||
Textiles, Apparel & Luxury Goods - 0.3% | ||||
AAC Group Holding Corp. 0% 10/1/12 (d)(f) | 5,165 | 3,461 | ||
Jostens Holding Corp. 0% 12/1/13 (d) | 1,560 | 1,096 | ||
Levi Strauss & Co. 9.75% 1/15/15 | 3,880 | 3,832 | ||
8,389 | ||||
TOTAL CONSUMER DISCRETIONARY | 316,092 | |||
CONSUMER STAPLES - 0.7% | ||||
Food & Staples Retailing - 0.4% | ||||
Ahold Finance USA, Inc.: | ||||
6.5% 3/14/17 | GBP | 1,500 | 2,624 | |
8.25% 7/15/10 | 3,755 | 4,136 | ||
J. Sainsbury PLC 5.25% 5/17/07 | GBP | 1,000 | 1,802 | |
Reddy Ice Holdings, Inc. 0% 11/1/12 (d)(f) | 3,250 | 2,373 | ||
Southern States Cooperative, Inc. 10.5% 11/1/10 (f) | 925 | 920 | ||
11,855 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
CONSUMER STAPLES - continued | ||||
Food Products - 0.3% | ||||
Dean Foods Co.: | ||||
6.625% 5/15/09 | $ 90 | $ 94 | ||
6.9% 10/15/17 | 979 | 1,023 | ||
Doane Pet Care Co. 10.75% 3/1/10 | 800 | 856 | ||
Hines Nurseries, Inc. 10.25% 10/1/11 | 370 | 374 | ||
Michael Foods, Inc. 8% 11/15/13 | 420 | 429 | ||
National Beef Packing Co. LLC/National Beef Finance Corp. 10.5% 8/1/11 | 1,730 | 1,652 | ||
Philipp Brothers Chemicals, Inc. 9.875% 6/1/08 | 1,909 | 1,814 | ||
Tate & Lyle International Finance PLC 5.75% 10/6/06 | EUR | 800 | 1,007 | |
7,249 | ||||
Household Products - 0.0% | ||||
Central Garden & Pet Co. 9.125% 2/1/13 | 260 | 279 | ||
Personal Products - 0.0% | ||||
Elizabeth Arden, Inc. 7.75% 1/15/14 | 470 | 489 | ||
TOTAL CONSUMER STAPLES | 19,872 | |||
ENERGY - 4.6% | ||||
Energy Equipment & Services - 0.6% | ||||
CHC Helicopter Corp. 7.375% 5/1/14 | 3,185 | 3,185 | ||
Grant Prideco, Inc. 9% 12/15/09 | 170 | 185 | ||
Hanover Compressor Co.: | ||||
8.625% 12/15/10 | 490 | 515 | ||
9% 6/1/14 | 1,260 | 1,342 | ||
Ocean Rig Norway AS 8.375% 7/1/13 (f) | 1,020 | 1,035 | ||
Petroliam Nasional BHD (Petronas) 7.625% 10/15/26 (Reg. S) | 5,030 | 6,413 | ||
Seabulk International, Inc. 9.5% 8/15/13 | 3,290 | 3,697 | ||
SESI LLC 8.875% 5/15/11 | 60 | 64 | ||
16,436 | ||||
Oil, Gas & Consumable Fuels - 4.0% | ||||
ANR Pipeline, Inc. 8.875% 3/15/10 | 2,520 | 2,759 | ||
Chesapeake Energy Corp.: | ||||
6.875% 1/15/16 | 2,879 | 2,994 | ||
7% 8/15/14 | 865 | 915 | ||
7.5% 6/15/14 | 850 | 918 | ||
7.75% 1/15/15 | 615 | 663 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
El Paso Corp. 7.625% 8/16/07 (f) | $ 1,280 | $ 1,312 | ||
El Paso Production Holding Co. 7.75% 6/1/13 | 4,000 | 4,280 | ||
Encore Acquisition Co.: | ||||
6.25% 4/15/14 | 1,500 | 1,493 | ||
8.375% 6/15/12 | 755 | 823 | ||
Energy Partners Ltd. 8.75% 8/1/10 | 3,530 | 3,707 | ||
EXCO Resources, Inc. 7.25% 1/15/11 | 570 | 567 | ||
Forest Oil Corp. 8% 12/15/11 | 480 | 529 | ||
General Maritime Corp. 10% 3/15/13 | 2,945 | 3,195 | ||
Harvest Operations Corp. 7.875% 10/15/11 | 1,170 | 1,123 | ||
Houston Exploration Co. 7% 6/15/13 | 410 | 422 | ||
Hurricane Finance BV: | ||||
9.625% 2/12/10 (f) | 300 | 329 | ||
9.625% 2/12/10 (Reg. S) | 2,055 | 2,250 | ||
InterNorth, Inc. 9.625% 3/15/06 (c) | 935 | 305 | ||
Luscar Coal Ltd. 9.75% 10/15/11 | 1,350 | 1,485 | ||
Markwest Energy Partners LP/ Markwest Energy Finance Corp. 6.875% 11/1/14 (f) | 525 | 522 | ||
Massey Energy Co. 6.625% 11/15/10 | 2,850 | 2,893 | ||
OAO Gazprom: | ||||
9.625% 3/1/13 | 6,350 | 7,770 | ||
10.5% 10/21/09 | 3,620 | 4,335 | ||
Pan American Energy LLC 7.125% 10/27/09 (f) | 2,880 | 2,945 | ||
Pemex Project Funding Master Trust: | ||||
4.71% 6/15/10 (f)(i) | 7,455 | 7,686 | ||
5.5% 2/24/25 (f) | EUR | 750 | 887 | |
7.75% 9/28/49 | 4,216 | 4,332 | ||
8.625% 2/1/22 | 7,150 | 8,777 | ||
Petrobras Energia SA 9.375% 10/30/13 | 2,715 | 2,959 | ||
Plains Exploration & Production Co. 8.75% 7/1/12 | 1,610 | 1,747 | ||
Range Resources Corp. 7.375% 7/15/13 | 2,190 | 2,310 | ||
Ship Finance International Ltd. 8.5% 12/15/13 | 5,015 | 4,814 | ||
Teekay Shipping Corp. 8.875% 7/15/11 | 5,635 | 6,424 | ||
The Coastal Corp.: | ||||
6.375% 2/1/09 | 230 | 226 | ||
7.75% 6/15/10 | 2,180 | 2,226 | ||
7.75% 10/15/35 | 235 | 220 | ||
Venoco, Inc. 8.75% 12/15/11 | 1,470 | 1,441 | ||
Vintage Petroleum, Inc. 8.25% 5/1/12 | 1,000 | 1,080 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Williams Co., Inc. Credit Linked Certificate Trust III 6.75% 4/15/09 (f) | $ 1,820 | $ 1,886 | ||
Williams Companies, Inc.: | ||||
7.125% 9/1/11 | 675 | 729 | ||
7.625% 7/15/19 | 9,487 | 10,673 | ||
7.75% 6/15/31 | 1,235 | 1,355 | ||
7.875% 9/1/21 | 2,950 | 3,359 | ||
8.125% 3/15/12 | 515 | 585 | ||
8.75% 3/15/32 | 2,510 | 3,012 | ||
YPF SA: | ||||
10% 11/2/28 | 845 | 1,027 | ||
yankee 9.125% 2/24/09 | 1,385 | 1,513 | ||
117,802 | ||||
TOTAL ENERGY | 134,238 | |||
FINANCIALS - 3.9% | ||||
Capital Markets - 0.3% | ||||
Banco BPI SA 0.105% 2/12/07 (i) | JPY | 100,000 | 895 | |
Bank of Scotland International Australia Ltd. 2.7071% 9/7/06 (i) | CAD | 1,500 | 1,225 | |
Macquarie Bank Ltd. 0.2038% 2/10/06 (i) | JPY | 200,000 | 1,802 | |
Merrill Lynch & Co., Inc. 0.3744% 5/28/08 (i) | JPY | 200,000 | 1,813 | |
UFJ Bank Ltd. 0.6794% 5/29/11 (i) | JPY | 200,000 | 1,807 | |
7,542 | ||||
Commercial Banks - 0.9% | ||||
Australia & New Zealand Banking Group Ltd. 2.7329% 12/29/06 (i) | CAD | 1,500 | 1,225 | |
Banca Popolare di Lodi Investment Trust 6.742% 6/30/49 (i) | EUR | 1,650 | 2,065 | |
Banque Federative du Credit Mutuel (BFCM) 2.233% 7/24/06 (i) | EUR | 500 | 604 | |
Commonwealth Bank of Australia 2.7443% 11/28/06 (i) | CAD | 1,750 | 1,429 | |
Dresdner Bank AG for Kyivstar GSM 7.75% 4/27/12 (f) | 1,050 | 1,051 | ||
European Investment Bank 4% 10/15/37 | EUR | 2,600 | 3,252 | |
Export-Import Bank of Korea 0.1519% 11/4/05 (i) | JPY | 500,000 | 4,504 | |
Korea Development Bank (Reg.) 0.87% 6/28/10 | JPY | 300,000 | 2,707 | |
Rabobank Nederland 2.6929% 2/23/07 (i) | CAD | 250 | 204 | |
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Commercial Banks - continued | ||||
San Paolo IMI Spa 2.404% 6/28/16 (i) | EUR | 1,000 | $ 1,213 | |
Standard Bank London Ltd. 8.125% 9/30/09 | 2,900 | 3,052 | ||
Standard Chartered Bank PLC 3.625% 2/3/17 (e) | EUR | 385 | 473 | |
UBS Luxembourg SA for Vimpel Communications 10% 6/16/09 | 4,200 | 4,520 | ||
Westpac Banking Corp. 2.6971% 1/27/06 (i) | CAD | 1,500 | 1,225 | |
27,524 | ||||
Consumer Finance - 0.4% | ||||
Countrywide Home Loans, Inc. 2.8371% 3/7/06 (i) | CAD | 1,500 | 1,225 | |
Ford Credit Europe PLC 3.103% 9/30/09 (i) | EUR | 1,500 | 1,599 | |
Ford Motor Credit Co. 6.625% 6/16/08 | 7,925 | 7,826 | ||
General Motors Acceptance Corp. 3.897% 7/5/05 (i) | EUR | 1,000 | 1,210 | |
GMAC International Finance BV 3.997% 10/3/05 (i) | EUR | 1,000 | 1,211 | |
Metris Companies, Inc. 10.125% 7/15/06 | 215 | 217 | ||
13,288 | ||||
Diversified Financial Services - 1.0% | ||||
Aries Vermogensverwaltngs GmbH 9.6% 10/25/14 (f) | 1,500 | 1,939 | ||
BAT International Finance PLC: | ||||
2.997% 4/3/06 (i) | EUR | 1,500 | 1,823 | |
3.625% 6/29/12 | EUR | 2,000 | 2,417 | |
Caixa Finance BV 2.175% 11/21/06 (i) | EUR | 1,000 | 1,210 | |
Canada Housing Trust No. 1 4.65% 9/15/09 | CAD | 16,600 | 14,272 | |
CCO Holdings LLC/CCO Holdings Capital Corp. 8.75% 11/15/13 | 955 | 938 | ||
Citigroup, Inc. 4.25% 2/25/30 (i) | EUR | 1,500 | 1,806 | |
Global Cash Access LLC/Global Cash Access Finance Corp. 8.75% 3/15/12 | 3,090 | 3,360 | ||
Santander International Debt SA 2.164% 12/14/06 (i) | EUR | 500 | 605 | |
Volkswagen International Finance NV 0.3875% 11/30/07 (i) | JPY | 200,000 | 1,795 | |
30,165 | ||||
Insurance - 0.1% | ||||
AIG SunAmerica Institutional Funding III Ltd. 5.5% 3/7/11 | EUR | 1,000 | 1,365 | |
Eureko BV 5.125% 6/29/49 (i) | EUR | 350 | 430 | |
1,795 | ||||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
FINANCIALS - continued | ||||
Real Estate - 0.9% | ||||
American Real Estate Partners/American Real Estate Finance Corp.: | ||||
7.125% 2/15/13 (f) | $ 3,630 | $ 3,576 | ||
8.125% 6/1/12 | 4,955 | 5,116 | ||
BF Saul REIT 7.5% 3/1/14 | 3,400 | 3,536 | ||
Crescent Real Estate Equities LP/Crescent Finance Co. 9.25% 4/15/09 | 3,225 | 3,419 | ||
Senior Housing Properties Trust: | ||||
7.875% 4/15/15 | 4,040 | 4,323 | ||
8.625% 1/15/12 | 4,370 | 4,883 | ||
WT Finance Aust Pty Ltd./Westfield Europe Finance PLC/WEA Finance 3.625% 6/27/12 | EUR | 1,000 | 1,219 | |
26,072 | ||||
Thrifts & Mortgage Finance - 0.3% | ||||
Credit Logement SA 2.711% 12/2/49 (i) | EUR | 500 | 605 | |
Nationwide Building Society 0.0788% 3/3/06 (i) | JPY | 200,000 | 1,803 | |
Residential Capital Corp.: | ||||
6.375% 6/30/10 (f) | 6,985 | 7,028 | ||
6.875% 6/30/15 (f) | 485 | 497 | ||
9,933 | ||||
TOTAL FINANCIALS | 116,319 | |||
HEALTH CARE - 1.8% | ||||
Biotechnology - 0.0% | ||||
Polypore, Inc. 8.75% 5/15/12 | 1,675 | 1,570 | ||
Health Care Equipment & Supplies - 0.1% | ||||
Bio-Rad Laboratories, Inc. 7.5% 8/15/13 | 1,770 | 1,894 | ||
Health Care Providers & Services - 1.4% | ||||
AmeriPath, Inc. 10.5% 4/1/13 | 2,805 | 2,819 | ||
AmerisourceBergen Corp.: | ||||
7.25% 11/15/12 | 670 | 737 | ||
8.125% 9/1/08 | 465 | 502 | ||
Beverly Enterprises, Inc. 7.875% 6/15/14 | 5,285 | 5,761 | ||
Fresenius Medical Care Capital Trust IV 7.875% 6/15/11 | 1,000 | 1,075 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
HEALTH CARE - continued | ||||
Health Care Providers & Services - continued | ||||
HCA, Inc.: | ||||
5.75% 3/15/14 | $ 5,020 | $ 4,970 | ||
6.75% 7/15/13 | 3,715 | 3,906 | ||
National Nephrology Associates, Inc. 9% 11/1/11 (f) | 490 | 550 | ||
PacifiCare Health Systems, Inc. 10.75% 6/1/09 | 908 | 999 | ||
Psychiatric Solutions, Inc. 10.625% 6/15/13 | 197 | 219 | ||
Rural/Metro Corp. 9.875% 3/15/15 (f) | 1,700 | 1,645 | ||
Triad Hospitals, Inc. 7% 11/15/13 | 4,205 | 4,321 | ||
U.S. Oncology, Inc. 9% 8/15/12 | 1,300 | 1,391 | ||
Vanguard Health Holding Co. I 0% 10/1/15 (d) | 2,450 | 1,743 | ||
Vanguard Health Holding Co. II LLC 9% 10/1/14 | 9,070 | 9,773 | ||
40,411 | ||||
Pharmaceuticals - 0.3% | ||||
CDRV Investors, Inc. 0% 1/1/15 (d)(f) | 3,760 | 1,861 | ||
Elan Finance PLC/Elan Finance Corp. 7.75% 11/15/11 (f) | 1,585 | 1,363 | ||
Leiner Health Products, Inc. 11% 6/1/12 | 1,885 | 1,828 | ||
VWR International, Inc.: | ||||
6.875% 4/15/12 | 115 | 114 | ||
8% 4/15/14 | 330 | 315 | ||
Warner Chilcott Corp. 8.75% 2/1/15 (f) | 2,525 | 2,449 | ||
7,930 | ||||
TOTAL HEALTH CARE | 51,805 | |||
INDUSTRIALS - 2.9% | ||||
Aerospace & Defense - 0.3% | ||||
Alliant Techsystems, Inc. 8.5% 5/15/11 | 2,020 | 2,151 | ||
Bombardier, Inc. 6.25% 2/23/06 | GBP | 750 | 1,358 | |
Hexcel Corp. 6.75% 2/1/15 | 2,350 | 2,338 | ||
Orbimage Holdings, Inc. 13.19% 7/1/12 (f)(i) | 1,720 | 1,802 | ||
7,649 | ||||
Airlines - 0.5% | ||||
American Airlines, Inc. pass thru trust certificates: | ||||
7.377% 5/23/19 | 2,355 | 1,649 | ||
7.379% 5/23/16 | 842 | 589 | ||
AMR Corp.: | ||||
9% 8/1/12 | 1,100 | 858 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Airlines - continued | ||||
AMR Corp.: - continued | ||||
9% 9/15/16 | $ 1,290 | $ 1,026 | ||
Continental Airlines, Inc. pass thru trust certificates: | ||||
6.748% 9/15/18 | 97 | 78 | ||
6.9% 7/2/18 | 695 | 577 | ||
8.312% 10/2/12 | 603 | 464 | ||
8.388% 5/1/22 | 920 | 773 | ||
Delta Air Lines, Inc.: | ||||
7.9% 12/15/09 | 3,345 | 1,179 | ||
8.3% 12/15/29 | 4,730 | 1,253 | ||
Delta Air Lines, Inc. pass thru trust certificates: | ||||
7.57% 11/18/10 | 1,280 | 1,204 | ||
7.711% 9/18/11 | 320 | 179 | ||
7.92% 5/18/12 | 3,340 | 1,837 | ||
10.06% 1/2/16 | 170 | 85 | ||
Northwest Airlines Corp. 10% 2/1/09 | 1,270 | 559 | ||
Northwest Airlines, Inc.: | ||||
7.875% 3/15/08 | 1,252 | 507 | ||
9.875% 3/15/07 | 570 | 294 | ||
10.5% 4/1/09 | 287 | 129 | ||
Northwest Airlines, Inc. pass thru trust certificates: | ||||
7.248% 7/2/14 | 313 | 166 | ||
7.691% 4/1/17 | 33 | 22 | ||
7.95% 9/1/16 | 44 | 32 | ||
8.07% 1/2/15 | 1,346 | 633 | ||
8.304% 9/1/10 | 196 | 139 | ||
NWA Trust 10.23% 6/21/14 | 258 | 209 | ||
14,441 | ||||
Building Products - 0.3% | ||||
Jacuzzi Brands, Inc. 9.625% 7/1/10 | 3,915 | 4,267 | ||
Maax Holdings, Inc. 0% 12/15/12 (d)(f) | 4,470 | 2,012 | ||
NTK Holdings, Inc. 0% 3/1/14 (d)(f) | 6,135 | 2,945 | ||
9,224 | ||||
Commercial Services & Supplies - 0.3% | ||||
Allied Security Escrow Corp. 11.375% 7/15/11 | 2,255 | 2,187 | ||
Allied Waste North America, Inc. 6.5% 11/15/10 | 830 | 820 | ||
Browning-Ferris Industries, Inc.: | ||||
7.4% 9/15/35 | 1,640 | 1,410 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Commercial Services & Supplies - continued | ||||
Browning-Ferris Industries, Inc.: - continued | ||||
9.25% 5/1/21 | $ 680 | $ 682 | ||
JohnsonDiversey, Inc. 9.625% 5/15/12 | 2,845 | 2,873 | ||
R.H. Donnelley Finance Corp. I: | ||||
8.875% 12/15/10 (f) | 350 | 382 | ||
10.875% 12/15/12 (f) | 550 | 639 | ||
8,993 | ||||
Construction & Engineering - 0.0% | ||||
Blount, Inc. 8.875% 8/1/12 | 1,250 | 1,338 | ||
Electrical Equipment - 0.3% | ||||
FIMEP SA 10.5% 2/15/13 | 2,885 | 3,303 | ||
General Cable Corp. 9.5% 11/15/10 | 3,055 | 3,269 | ||
Polypore, Inc. 0% 10/1/12 (d)(f) | 5,840 | 3,183 | ||
9,755 | ||||
Machinery - 0.2% | ||||
Cummins, Inc.: | ||||
7.125% 3/1/28 | 2,250 | 2,250 | ||
9.5% 12/1/10 (i) | 320 | 352 | ||
Navistar International Corp.: | ||||
6.25% 3/1/12 (f) | 2,040 | 1,964 | ||
7.5% 6/15/11 | 650 | 663 | ||
5,229 | ||||
Marine - 0.3% | ||||
American Commercial Lines LLC/ACL Finance Corp. 9.5% 2/15/15 (f) | 800 | 844 | ||
H-Lines Finance Holding Corp. 0% 4/1/13 (d)(f) | 2,210 | 1,713 | ||
OMI Corp. 7.625% 12/1/13 | 4,625 | 4,602 | ||
Ultrapetrol Bahamas Ltd. 9% 11/24/14 | 1,795 | 1,598 | ||
8,757 | ||||
Road & Rail - 0.5% | ||||
Grupo TMM SA de CV 10.5% 8/1/07 (f) | 1,551 | 1,481 | ||
Kansas City Southern Railway Co.: | ||||
7.5% 6/15/09 | 3,165 | 3,244 | ||
9.5% 10/1/08 | 1,350 | 1,472 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INDUSTRIALS - continued | ||||
Road & Rail - continued | ||||
TFM SA de CV: | ||||
9.375% 5/1/12 (f) | $ 7,435 | $ 7,770 | ||
yankee 10.25% 6/15/07 | 865 | 921 | ||
14,888 | ||||
Trading Companies & Distributors - 0.2% | ||||
Neff Rent LLC/Neff Finance Corp. 11.25% 6/15/12 (f) | 4,490 | 4,580 | ||
TOTAL INDUSTRIALS | 84,854 | |||
INFORMATION TECHNOLOGY - 2.7% | ||||
Communications Equipment - 0.3% | ||||
Lucent Technologies, Inc.: | ||||
6.45% 3/15/29 | 10,845 | 9,679 | ||
6.5% 1/15/28 | 190 | 169 | ||
9,848 | ||||
Electronic Equipment & Instruments - 0.4% | ||||
Altra Industrial Motion, Inc. 9% 12/1/11 (f) | 970 | 917 | ||
Celestica, Inc. 7.875% 7/1/11 | 9,010 | 9,235 | ||
10,152 | ||||
IT Services - 0.5% | ||||
Iron Mountain, Inc.: | ||||
6.625% 1/1/16 | 10,955 | 10,079 | ||
7.75% 1/15/15 | 1,330 | 1,343 | ||
8.25% 7/1/11 | 535 | 546 | ||
8.625% 4/1/13 | 2,900 | 3,002 | ||
14,970 | ||||
Office Electronics - 1.0% | ||||
Xerox Capital Trust I 8% 2/1/27 | 4,585 | 4,734 | ||
Xerox Corp.: | ||||
6.875% 8/15/11 | 3,240 | 3,434 | ||
7.125% 6/15/10 | 3,720 | 3,957 | ||
7.2% 4/1/16 | 3,345 | 3,613 | ||
7.625% 6/15/13 | 12,425 | 13,357 | ||
29,095 | ||||
Semiconductors & Semiconductor Equipment - 0.5% | ||||
Freescale Semiconductor, Inc. 7.125% 7/15/14 | 5,740 | 6,142 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
INFORMATION TECHNOLOGY - continued | ||||
Semiconductors & Semiconductor Equipment - continued | ||||
MagnaChip Semiconductor SA/MagnaChip Semiconductor Finance Co.: | ||||
6.66% 12/15/11 (f)(i) | $ 670 | $ 663 | ||
6.875% 12/15/11 (f) | 1,865 | 1,837 | ||
8% 12/15/14 (f) | 520 | 499 | ||
New ASAT Finance Ltd. 9.25% 2/1/11 | 2,100 | 1,733 | ||
Semiconductor Note Participation Trust 0% 8/4/11 (f) | 500 | 750 | ||
Viasystems, Inc. 10.5% 1/15/11 | 4,065 | 3,719 | ||
15,343 | ||||
TOTAL INFORMATION TECHNOLOGY | 79,408 | |||
MATERIALS - 3.7% | ||||
Chemicals - 1.5% | ||||
America Rock Salt Co. LLC 9.5% 3/15/14 | 3,940 | 3,999 | ||
BCP Crystal U.S. Holdings Corp. 9.625% 6/15/14 | 8,045 | 9,010 | ||
Braskem SA 11.75% 1/22/14 (f) | 850 | 1,024 | ||
Compass Minerals Group, Inc. 10% 8/15/11 | 1,120 | 1,221 | ||
Crystal US Holding 3 LLC/Crystal US Sub 3 Corp.: | ||||
Series A, 0% 10/1/14 (d) | 1,380 | 980 | ||
Series B, 0% 10/1/14 (d) | 10,975 | 7,683 | ||
Equistar Chemicals LP/Equistar Funding Corp. 10.625% 5/1/11 | 910 | 1,007 | ||
Huntsman Advanced Materials LLC: | ||||
10.89% 7/15/08 (i) | 940 | 987 | ||
11% 7/15/10 | 750 | 855 | ||
Huntsman ICI Chemicals LLC 10.125% 7/1/09 | 1,809 | 1,863 | ||
Huntsman LLC: | ||||
10.6406% 7/15/11 (i) | 630 | 669 | ||
11.625% 10/15/10 | 466 | 545 | ||
JohnsonDiversey Holdings, Inc. 0% 5/15/13 (d) | 4,800 | 3,372 | ||
Lanxess Finance BV 4.125% 6/21/12 | EUR | 1,115 | 1,352 | |
Lyondell Chemical Co. 11.125% 7/15/12 | 930 | 1,053 | ||
Millennium America, Inc. 9.25% 6/15/08 | 2,515 | 2,732 | ||
Phibro Animal Health Corp.: | ||||
Series AO, 13% 12/1/07 unit | 280 | 300 | ||
13% 12/1/07 unit | 1,295 | 1,386 | ||
Resolution Performance Products LLC/RPP Capital Corp. 9.5% 4/15/10 | 2,470 | 2,556 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Chemicals - continued | ||||
Solutia, Inc.: | ||||
6.72% 10/15/37 (c) | $ 1,145 | $ 933 | ||
7.375% 10/15/27 (c) | 2,370 | 1,932 | ||
45,459 | ||||
Construction Materials - 0.0% | ||||
Texas Industries, Inc. 7.25% 7/15/13 (f) | 630 | 646 | ||
Containers & Packaging - 0.8% | ||||
AEP Industries, Inc. 7.875% 3/15/13 (f) | 640 | 640 | ||
BWAY Corp. 10% 10/15/10 | 1,175 | 1,222 | ||
Crown Cork & Seal, Inc.: | ||||
7.375% 12/15/26 | 1,110 | 1,005 | ||
7.5% 12/15/96 | 690 | 531 | ||
8% 4/15/23 | 3,915 | 3,739 | ||
Crown European Holdings SA: | ||||
9.5% 3/1/11 | 2,330 | 2,575 | ||
10.875% 3/1/13 | 1,520 | 1,790 | ||
Owens-Brockway Glass Container, Inc.: | ||||
6.75% 12/1/14 | 895 | 904 | ||
7.75% 5/15/11 | 320 | 339 | ||
8.25% 5/15/13 | 3,390 | 3,644 | ||
8.75% 11/15/12 | 2,325 | 2,563 | ||
8.875% 2/15/09 | 1,170 | 1,243 | ||
Sealed Air Finance 5.625% 7/19/06 | EUR | 250 | 311 | |
Tekni-Plex, Inc.: | ||||
8.75% 11/15/13 (f) | 1,600 | 1,396 | ||
10.875% 8/15/12 (f) | 980 | 1,063 | ||
22,965 | ||||
Metals & Mining - 0.8% | ||||
Aleris International, Inc. 9% 11/15/14 | 430 | 446 | ||
Compass Minerals International, Inc.: | ||||
0% 12/15/12 (d) | 1,330 | 1,164 | ||
0% 6/1/13 (d) | 2,260 | 1,887 | ||
CSN Islands VIII Corp. 9.75% 12/16/13 (f) | 3,560 | 3,845 | ||
Edgen Acquisition Corp. 9.875% 2/1/11 (f) | 1,340 | 1,300 | ||
Freeport-McMoRan Copper & Gold, Inc.: | ||||
6.875% 2/1/14 | 4,200 | 4,116 | ||
10.125% 2/1/10 | 2,400 | 2,676 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
MATERIALS - continued | ||||
Metals & Mining - continued | ||||
Gerdau AmeriSteel Corp./GUSAP Partners 10.375% 7/15/11 | $ 1,335 | $ 1,445 | ||
International Steel Group, Inc. 6.5% 4/15/14 | 4,720 | 4,531 | ||
Ispat Inland ULC 9.75% 4/1/14 | 932 | 1,086 | ||
Steel Dynamics, Inc.: | ||||
9.5% 3/15/09 | 65 | 69 | ||
9.5% 3/15/09 | 2,090 | 2,226 | ||
24,791 | ||||
Paper & Forest Products - 0.6% | ||||
Georgia-Pacific Corp.: | ||||
7.375% 12/1/25 | 2,095 | 2,260 | ||
8% 1/15/24 | 4,215 | 4,837 | ||
8.875% 5/15/31 | 1,095 | 1,358 | ||
9.375% 2/1/13 | 2,540 | 2,870 | ||
Millar Western Forest Products Ltd. 7.75% 11/15/13 | 1,835 | 1,725 | ||
NewPage Corp.: | ||||
9.46% 5/1/12 (f)(i) | 1,770 | 1,770 | ||
12% 5/1/13 (f) | 1,930 | 1,916 | ||
16,736 | ||||
TOTAL MATERIALS | 110,597 | |||
TELECOMMUNICATION SERVICES - 7.8% | ||||
Diversified Telecommunication Services - 4.2% | ||||
AT&T Corp. 9.75% 11/15/31 | 10,230 | 13,254 | ||
Deutsche Telekom International Finance BV 6.25% 12/9/10 | GBP | 250 | 478 | |
Empresa Brasileira de Telecomm SA 11% 12/15/08 | 5,486 | 6,254 | ||
Eschelon Operating Co. 8.375% 3/15/10 | 1,330 | 1,157 | ||
Level 3 Financing, Inc. 10.75% 10/15/11 (f) | 2,525 | 2,146 | ||
MCI, Inc.: | ||||
6.688% 5/1/09 | 102 | 106 | ||
8.735% 5/1/14 (i) | 4,435 | 4,973 | ||
Mobifon Holdings BV 12.5% 7/31/10 | 7,225 | 8,598 | ||
New Skies Satellites BV: | ||||
8.5388% 11/1/11 (f)(i) | 750 | 767 | ||
9.125% 11/1/12 (f) | 3,145 | 3,161 | ||
NTL Cable PLC 8.75% 4/15/14 | 13,365 | 14,067 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Diversified Telecommunication Services - continued | ||||
PanAmSat Holding Corp. 0% 11/1/14 (d) | $ 3,600 | $ 2,448 | ||
Qwest Corp.: | ||||
6.6706% 6/15/13 (f)(i) | 6,970 | 7,136 | ||
7.875% 9/1/11 | 2,980 | 3,092 | ||
8.875% 3/15/12 | 25,740 | 27,992 | ||
Qwest Services Corp. 14% 12/15/14 | 1,105 | 1,326 | ||
Telecom Egypt SAE: | ||||
10.7% 2/4/10 (i) | EGP | 3,565 | 617 | |
10.95% 2/4/10 | EGP | 3,565 | 622 | |
Telefonica de Argentina SA 9.125% 11/7/10 | 3,967 | 4,284 | ||
Telenet Group Holding NV 0% 6/15/14 (d)(f) | 11,720 | 9,142 | ||
U.S. West Communications: | ||||
6.875% 9/15/33 | 5,398 | 4,669 | ||
7.125% 11/15/43 | 220 | 186 | ||
7.2% 11/10/26 | 3,115 | 2,788 | ||
7.25% 9/15/25 | 1,780 | 1,647 | ||
7.25% 10/15/35 | 1,300 | 1,149 | ||
7.5% 6/15/23 | 1,880 | 1,725 | ||
8.875% 6/1/31 | 340 | 344 | ||
124,128 | ||||
Wireless Telecommunication Services - 3.6% | ||||
American Tower Corp. 7.125% 10/15/12 | 10,745 | 11,336 | ||
Centennial Cellular Operating Co./Centennial Communications Corp. 10.125% 6/15/13 | 7,015 | 7,927 | ||
Centennial Communications Corp./Centennial Cellular Operating Co. LLC/Centennial Puerto Rico Operations Corp. 8.125% 2/1/14 (i) | 2,460 | 2,620 | ||
DirecTV Holdings LLC/DirecTV Financing, Inc.: | ||||
6.375% 6/15/15 (f) | 3,960 | 3,935 | ||
8.375% 3/15/13 | 1,474 | 1,632 | ||
Globe Telecom, Inc. 9.75% 4/15/12 | 980 | 1,078 | ||
Inmarsat Finance II PLC 0% 11/15/12 (d) | 17,010 | 13,395 | ||
Inmarsat Finance PLC 7.625% 6/30/12 | 645 | 680 | ||
Intelsat Ltd. 7.805% 1/15/12 (f)(i) | 4,860 | 4,969 | ||
Kyivstar GSM 10.375% 8/17/09 (f) | 4,000 | 4,430 | ||
Millicom International Cellular SA 10% 12/1/13 | 5,695 | 5,667 | ||
Mobile Telesystems Finance SA: | ||||
8% 1/28/12 (f) | 8,240 | 8,343 | ||
8.375% 10/14/10 (f) | 7,120 | 7,396 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
TELECOMMUNICATION SERVICES - continued | ||||
Wireless Telecommunication Services - continued | ||||
Nextel Communications, Inc.: | ||||
5.95% 3/15/14 | $ 1,150 | $ 1,196 | ||
6.875% 10/31/13 | 6,365 | 6,779 | ||
7.375% 8/1/15 | 15,530 | 16,695 | ||
Rogers Communications, Inc. 6.535% 12/15/10 (i) | 1,740 | 1,810 | ||
Rural Cellular Corp. 9.875% 2/1/10 | 2,355 | 2,420 | ||
Telemig Cellular SA/Amazonia Cellular SA 8.75% 1/20/09 (f) | 1,010 | 1,055 | ||
UbiquiTel Operating Co. 9.875% 3/1/11 | 1,705 | 1,858 | ||
105,221 | ||||
TOTAL TELECOMMUNICATION SERVICES | 229,349 | |||
UTILITIES - 1.7% | ||||
Electric Utilities - 0.5% | ||||
AES Gener SA 7.5% 3/25/14 | 3,410 | 3,470 | ||
Chivor SA E.S.P. 9.75% 12/30/14 (f) | 3,255 | 3,450 | ||
MSW Energy Holdings II LLC/MSW Finance Co. II, Inc. 7.375% 9/1/10 | 1,170 | 1,199 | ||
TECO Energy, Inc. 6.75% 5/1/15 (f) | 1,020 | 1,076 | ||
Texas Genco LLC/Texas Genco Financing Corp. 6.875% 12/15/14 (f) | 4,735 | 4,972 | ||
14,167 | ||||
Gas Utilities - 1.0% | ||||
Northwest Pipeline Corp.: | ||||
6.625% 12/1/07 | 285 | 295 | ||
8.125% 3/1/10 | 400 | 432 | ||
Southern Natural Gas Co.: | ||||
7.35% 2/15/31 | 7,350 | 7,791 | ||
8% 3/1/32 | 4,170 | 4,754 | ||
8.875% 3/15/10 | 2,600 | 2,847 | ||
Tennessee Gas Pipeline Co.: | ||||
7% 10/15/28 | 550 | 561 | ||
7.5% 4/1/17 | 7,600 | 8,275 | ||
7.625% 4/1/37 | 1,035 | 1,133 | ||
8.375% 6/15/32 | 1,155 | 1,344 | ||
Corporate Bonds - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Nonconvertible Bonds - continued | ||||
UTILITIES - continued | ||||
Gas Utilities - continued | ||||
Transcontinental Gas Pipe Line Corp.: | ||||
7% 8/15/11 | $ 330 | $ 357 | ||
8.875% 7/15/12 | 1,455 | 1,742 | ||
29,531 | ||||
Independent Power Producers & Energy Traders - 0.2% | ||||
Calpine Corp. 8.75% 7/15/13 (f) | 2,300 | 1,702 | ||
Enron Corp.: | ||||
6.4% 7/15/06 (c) | 545 | 178 | ||
6.625% 11/15/05 (c) | 2,200 | 718 | ||
6.725% 11/17/08 (c)(i) | 684 | 221 | ||
6.75% 8/1/09 (c) | 550 | 179 | ||
6.875% 10/15/07 (c) | 1,330 | 434 | ||
6.95% 7/15/28 (c) | 1,204 | 388 | ||
7.125% 5/15/07 (c) | 235 | 77 | ||
7.375% 5/15/19 (c) | 1,400 | 455 | ||
7.875% 6/15/03 (c) | 235 | 77 | ||
8.375% 5/23/05 (c) | 2,500 | 769 | ||
9.125% 4/1/03 (c) | 50 | 16 | ||
9.875% 6/15/03 (c) | 220 | 72 | ||
Tenaska Alabama Partners LP 7% 6/30/21 (f) | 1,175 | 1,199 | ||
6,485 | ||||
TOTAL UTILITIES | 50,183 | |||
TOTAL NONCONVERTIBLE BONDS | 1,192,717 | |||
TOTAL CORPORATE BONDS (Cost $1,167,182) | 1,194,986 | |||
U.S. Government and Government Agency Obligations - 22.2% | ||||
U.S. Government Agency Obligations - 6.7% | ||||
Fannie Mae: | ||||
0% 9/28/05 | 12,000 | 11,900 | ||
3.25% 1/15/08 | 9,330 | 9,202 | ||
3.25% 2/15/09 | 6,040 | 5,901 | ||
3.625% 3/15/07 | 220 | 219 | ||
3.75% 5/17/07 | 2,520 | 2,512 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
U.S. Government Agency Obligations - continued | ||||
Fannie Mae: - continued | ||||
3.875% 5/15/07 | $ 10,000 | $ 10,023 | ||
4.625% 10/15/14 | 13,000 | 13,332 | ||
5.125% 1/2/14 | 8,000 | 8,344 | ||
6% 5/15/11 | 7,675 | 8,441 | ||
6.125% 3/15/12 | 900 | 1,006 | ||
6.25% 2/1/11 | 380 | 416 | ||
6.375% 6/15/09 | 16,590 | 18,051 | ||
Federal Home Loan Bank: | ||||
2.25% 5/15/06 | 16,150 | 15,943 | ||
3.75% 9/28/06 | 1,825 | 1,821 | ||
3.8% 12/22/06 | 450 | 449 | ||
5.8% 9/2/08 | 2,920 | 3,084 | ||
Freddie Mac: | ||||
2.75% 8/15/06 | 350 | 346 | ||
2.875% 12/15/06 | 2,810 | 2,774 | ||
4.125% 7/12/10 | 32,000 | 32,146 | ||
4.25% 7/15/09 | 6,995 | 7,071 | ||
4.5% 7/15/13 | 250 | 255 | ||
4.875% 11/15/13 | 5,480 | 5,734 | ||
7% 3/15/10 | 24,053 | 27,129 | ||
Government Loan Trusts (assets of Trust guaranteed by U.S. Government through Agency for International Development) Series 1-B, 8.5% 4/1/06 | 36 | 37 | ||
Israeli State (guaranteed by U.S. Government through Agency for International Development) 5.5% 9/18/23 | 4,750 | 5,324 | ||
Private Export Funding Corp.: | ||||
secured 5.685% 5/15/12 | 1,285 | 1,403 | ||
4.974% 8/15/13 | 1,515 | 1,595 | ||
Small Business Administration guaranteed development participation certificates Series 2003 P10B, 5.136% 8/10/13 | 1,804 | 1,844 | ||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 196,302 | |||
U.S. Treasury Inflation Protected Obligations - 4.4% | ||||
U.S. Treasury Inflation-Indexed Bonds 3.625% 4/15/28 | 13,208 | 17,746 | ||
U.S. Treasury Inflation-Indexed Notes: | ||||
0.875% 4/15/10 | 22,080 | 21,535 | ||
U.S. Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
U.S. Treasury Inflation Protected Obligations - continued | ||||
U.S. Treasury Inflation-Indexed Notes: - continued | ||||
1.875% 7/15/13 | $ 66,513 | $ 67,926 | ||
2% 1/15/14 | 21,796 | 22,451 | ||
TOTAL U.S. TREASURY INFLATION PROTECTED OBLIGATIONS | 129,658 | |||
U.S. Treasury Obligations - 11.1% | ||||
U.S. Treasury Bonds: | ||||
6.125% 8/15/29 | 44,500 | 56,819 | ||
9% 11/15/18 | 2,000 | 2,988 | ||
11.25% 2/15/15 | 2,900 | 4,578 | ||
U.S. Treasury Notes: | ||||
1.625% 2/28/06 | 11,600 | 11,463 | ||
2.375% 8/31/06 | 26,000 | 25,647 | ||
2.75% 6/30/06 | 29,827 | 29,597 | ||
2.75% 7/31/06 | 50,000 | 49,576 | ||
3.375% 9/15/09 | 37,724 | 37,219 | ||
3.625% 4/30/07 | 31,452 | 31,435 | ||
4.25% 8/15/13 | 5,243 | 5,374 | ||
4.25% 11/15/13 | 7,930 | 8,124 | ||
4.25% 8/15/14 | 24,500 | 25,086 | ||
4.75% 5/15/14 | 38,000 | 40,322 | ||
TOTAL U.S. TREASURY OBLIGATIONS | 328,228 | |||
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $642,553) | 654,188 | |||
U.S. Government Agency - Mortgage Securities - 2.6% | ||||
Fannie Mae - 2.6% | ||||
4% 3/1/19 to 7/1/19 (h) | 8,076 | 7,915 | ||
4% 7/1/20 (g)(h) | 2,324 | 2,275 | ||
4% 7/1/20 (g)(h) | 1,500 | 1,469 | ||
4.5% 12/1/18 | 8,104 | 8,073 | ||
4.5% 7/1/20 (g) | 12,000 | 11,936 | ||
5% 3/1/18 to 7/1/18 | 4,877 | 4,936 | ||
5% 8/1/35 (g) | 20,418 | 20,367 | ||
5.5% 5/1/11 to 6/1/20 | 16,744 | 17,201 | ||
6% 8/1/13 to 1/1/26 | 140 | 145 | ||
6.5% 6/1/24 to 9/1/32 | 722 | 749 | ||
U.S. Government Agency - Mortgage Securities - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Fannie Mae - continued | ||||
7% 9/1/25 | $ 9 | $ 10 | ||
7.5% 1/1/28 to 5/1/28 | 127 | 136 | ||
TOTAL FANNIE MAE | 75,212 | |||
Freddie Mac - 0.0% | ||||
8.5% 3/1/20 | 28 | 30 | ||
Government National Mortgage Association - 0.0% | ||||
6% 1/15/09 to 5/15/09 | 86 | 89 | ||
6.5% 4/15/26 to 5/15/26 | 74 | 77 | ||
7% 9/15/25 to 8/15/31 | 231 | 245 | ||
7.5% 2/15/22 to 8/15/28 | 272 | 293 | ||
8% 9/15/26 to 12/15/26 | 42 | 45 | ||
TOTAL GOVERNMENT NATIONAL MORTGAGE ASSOCIATION | 749 | |||
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES (Cost $75,756) | 75,991 | |||
Asset-Backed Securities - 0.2% | ||||
Cumbernauld Funding 5.2% 3/16/09 | GBP | 450 | 819 | |
Driver One Gmbh Series 1 Class B, 2.334% 5/21/10 (i) | EUR | 600 | 726 | |
MBNA Credit Card Master Note Trust Series 2003-B4, 5.45% 9/17/13 | GBP | 1,500 | 2,765 | |
Punch Taverns Finance PLC 5.2506% 4/15/09 (i) | GBP | 797 | 1,426 | |
Sedna Finance Corp. 2.861% 3/15/16 (i) | EUR | 1,150 | 1,387 | |
Unique Public Finance Co. PLC Series A4, 5.659% 6/30/27 | GBP | 60 | 115 | |
TOTAL ASSET-BACKED SECURITIES (Cost $7,580) | 7,238 | |||
Collateralized Mortgage Obligations - 0.1% | ||||
Private Sponsor - 0.1% | ||||
Granite Mortgages PLC 2.504% 1/20/43 (i) | EUR | 400 | 486 | |
Holmes Financing No. 8 PLC floater Series 3 Class C, 2.988% 7/15/40 (i) | EUR | 500 | 611 | |
Collateralized Mortgage Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Private Sponsor - continued | ||||
Mortgages PLC Series 6 Class A1, 5.0588% 1/31/27 (i) | GBP | 1,549 | $ 2,776 | |
Permanent Financing No. 1 PLC 5.1% 6/10/09 (i) | EUR | 400 | 510 | |
TOTAL PRIVATE SPONSOR | 4,383 | |||
U.S. Government Agency - 0.0% | ||||
Freddie Mac planned amortization class Series 2351 Class PX, 6.5% 7/15/30 | 127 | 128 | ||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $4,691) | 4,511 | |||
Commercial Mortgage Securities - 0.2% | ||||
Opera Finance PLC 5.1888% 7/31/13 (i) | GBP | 1,000 | 1,792 | |
Real Estate Capital Foundation Ltd. Series 3 Class A, 5.2085% 7/15/16 (i) | GBP | 2,000 | 3,573 | |
TOTAL COMMERCIAL MORTGAGE SECURITIES (Cost $5,446) | 5,365 | |||
Foreign Government and Government Agency Obligations - 19.3% | ||||
Arab Republic 8.8773% to 9.862% 8/2/05 to 6/13/06 | EGP | 8,405 | 1,395 | |
Argentine Republic: | ||||
Inflation-Indexed par 0.63% 12/31/38 unit (e)(j) | ARS | 1,518 | 204 | |
3% 4/30/13 (i) | 1,400 | 1,131 | ||
3.01% 8/3/12 (i) | 16,150 | 14,400 | ||
discount 8.28% (with partial capitalization through 12/31/2013) 12/31/33 unit (j) | 3,843 | 3,538 | ||
Inflation-Indexed discount 5.83% (with partial capitalization through 12/31/2013) 12/31/33 unit (j) | ARS | 3,474 | 1,239 | |
Austrian Republic 5% 12/20/24 (f) | CAD | 2,000 | 1,726 | |
Banco Central del Uruguay: | ||||
Brady par A 6.75% 2/19/21 | 1,000 | 1,000 | ||
value recovery A rights 1/2/21 (k) | 1,000,000 | 0 | ||
value recovery B rights 1/2/21 (k) | 750,000 | 0 | ||
Brazilian Federative Republic: | ||||
Brady: | ||||
capitalization bond 8% 4/15/14 | 25,205 | 25,804 | ||
debt conversion bond 4.3125% 4/15/12 (i) | 4,476 | 4,302 | ||
par Z-L 6% 4/15/24 | 2,260 | 2,189 | ||
10.5% 7/14/14 | 2,060 | 2,444 | ||
11% 1/11/12 | 1,545 | 1,846 | ||
11% 8/17/40 | 14,360 | 17,289 | ||
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Brazilian Federative Republic: - continued | ||||
12.25% 3/6/30 | $ 4,745 | $ 6,358 | ||
12.75% 1/15/20 | 2,880 | 3,931 | ||
14.5% 10/15/09 | 3,160 | 4,108 | ||
Canadian Government: | ||||
3% 6/1/06 | CAD | 14,750 | 12,074 | |
5.25% 6/1/12 | CAD | 9,450 | 8,484 | |
5.5% 6/1/09 | CAD | 5,500 | 4,875 | |
5.75% 6/1/29 | CAD | 11,250 | 11,194 | |
Central Bank of Nigeria: | ||||
Brady 6.25% 11/15/20 | 2,000 | 1,980 | ||
promissory note 5.092% 1/5/10 | 4,179 | 4,156 | ||
warrants 11/15/20 (a)(k) | 2,750 | 83 | ||
City of Kiev 8.75% 8/8/08 | 2,980 | 3,159 | ||
Colombian Republic: | ||||
10.75% 1/15/13 | 5,210 | 6,335 | ||
11.75% 3/1/10 | COP | 4,416,000 | 2,014 | |
11.75% 2/25/20 | 2,560 | 3,366 | ||
Danish Kingdom 3.125% 10/15/10 | EUR | 3,000 | 3,728 | |
Dominican Republic: | ||||
Brady 3.9425% 8/30/09 (i) | 4,331 | 4,157 | ||
4.375% 8/30/24 (i) | 6,033 | 5,520 | ||
Ecuador Republic: | ||||
8% 8/15/30 (Reg. S) (e) | 1,870 | 1,571 | ||
12% 11/15/12 (Reg. S) | 1,831 | 1,739 | ||
euro par 5% 2/28/25 | 645 | 461 | ||
Finnish Government 2.75% 9/15/10 | EUR | 1,000 | 1,223 | |
French Government: | ||||
OAT 5.25% 4/25/08 | EUR | 1,200 | 1,573 | |
3.5% 4/25/15 | EUR | 25,875 | 32,283 | |
4% 4/25/55 | EUR | 750 | 967 | |
4.75% 4/25/35 | EUR | 5,000 | 7,203 | |
German Federal Republic: | ||||
2.5% 3/23/07 | EUR | 2,000 | 2,441 | |
2.75% 6/23/06 | EUR | 16,000 | 19,508 | |
3.75% 1/4/15 | EUR | 23,100 | 29,478 | |
4.25% 1/4/14 | EUR | 22,530 | 29,814 | |
Indonesian Republic 7.25% 4/20/15 (f) | 970 | 982 | ||
Israeli State 7.5% 3/31/14 | ILS | 8,615 | 2,022 | |
Japan Government: | ||||
0.2% 7/20/06 | JPY | 1,080,000 | 9,757 | |
1.5% 3/20/14 | JPY | 2,615,000 | 24,592 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Japan Government: - continued | ||||
2.4% 12/20/34 | JPY | 600,000 | $ 5,634 | |
Lebanese Republic: | ||||
6.77% 11/30/09 (f)(i) | 1,840 | 1,808 | ||
6.77% 11/30/09 (i) | 725 | 712 | ||
Malaysian Government 4.72% 9/30/15 | MYR | 17,500 | 4,776 | |
Panamanian Republic Brady discount 2.6925% 7/17/26 (i) | 125 | 116 | ||
Peruvian Republic: | ||||
3% 3/7/27 (e) | 900 | 660 | ||
9.125% 2/21/12 | 2,860 | 3,375 | ||
9.875% 2/6/15 | 1,865 | 2,303 | ||
9.91% 5/5/15 | PEN | 6,040 | 2,060 | |
Philippine Republic: | ||||
Brady principal collateralized interest reduction bond 6.5% 12/1/17 | 4,770 | 4,758 | ||
8.375% 2/15/11 | 9,215 | 9,561 | ||
9% 2/15/13 | 4,925 | 5,196 | ||
9.875% 1/15/19 | 1,800 | 1,946 | ||
10.625% 3/16/25 | 3,190 | 3,573 | ||
Republic of Serbia 3.75% 11/1/24 (e)(f) | 615 | 530 | ||
Russian Federation: | ||||
5% 3/31/30 (e)(f) | 3,900 | 4,368 | ||
5% 3/31/30 (Reg. S) (e) | 22,840 | 25,581 | ||
11% 7/24/18 (Reg. S) | 1,500 | 2,241 | ||
12.75% 6/24/28 (Reg. S) | 3,855 | 6,978 | ||
South African Republic: | ||||
8.5% 6/23/17 | 860 | 1,112 | ||
13% 8/31/10 | ZAR | 10,420 | 1,924 | |
State of Qatar 9.75% 6/15/30 (Reg. S) | 1,195 | 1,855 | ||
Turkish Republic: | ||||
11% 1/14/13 | 4,250 | 5,387 | ||
11.5% 1/23/12 | 895 | 1,143 | ||
11.75% 6/15/10 | 5,715 | 7,101 | ||
11.875% 1/15/30 | 5,025 | 7,274 | ||
15.5488% to 20.5644% 7/5/06 to 1/24/07 | TRY | 10,715 | 6,638 | |
Ukraine Government 6.365% 8/5/09 (i) | 7,880 | 8,510 | ||
United Kingdom, Great Britain & Northern Ireland: | ||||
Index-Linked 2.5% 7/17/24 | GBP | 2,946 | 6,071 | |
4.75% 9/7/15 | GBP | 1,950 | 3,662 | |
5% 3/7/25 | GBP | 65 | 129 | |
5.75% 12/7/09 | GBP | 2,000 | 3,827 | |
Foreign Government and Government Agency Obligations - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
United Kingdom, Great Britain & Northern Ireland: - continued | ||||
6% 12/7/28 | GBP | 2,135 | $ 4,841 | |
8% 6/7/21 | GBP | 6,500 | 16,718 | |
United Mexican States: | ||||
7.5% 4/8/33 | 13,135 | 15,138 | ||
8.125% 12/30/19 | 2,525 | 3,102 | ||
9.69% 12/8/05 | MXN | 31,775 | 2,832 | |
11.5% 5/15/26 | 8,070 | 12,952 | ||
Uruguay Republic: | ||||
7.25% 2/15/11 | 2,470 | 2,485 | ||
17.75% 2/4/06 | UYU | 41,200 | 1,749 | |
Venezuelan Republic: | ||||
Discount A, 4.25% 3/31/20 (i) | 3,775 | 3,700 | ||
oil recovery rights 4/15/20 (k) | 3,260 | 77 | ||
4.15% 4/20/11 (i) | 1,990 | 1,821 | ||
5.375% 8/7/10 | 4,380 | 4,073 | ||
9.25% 9/15/27 | 4,345 | 4,569 | ||
10.75% 9/19/13 | 7,435 | 8,699 | ||
13.625% 8/15/18 | 3,440 | 4,630 | ||
euro Brady: | ||||
par W-A 6.75% 3/31/20 | 6,150 | 6,165 | ||
par W-B 6.75% 3/31/20 | 2,070 | 2,075 | ||
Vietnamese Socialist Republic Brady par 3.75% 3/12/28 (e) | 2,685 | 2,007 | ||
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Cost $531,119) | 568,085 | |||
Common Stocks - 1.1% | ||||
Shares | ||||
CONSUMER DISCRETIONARY - 0.6% | ||||
Diversified Consumer Services - 0.2% | ||||
Coinmach Service Corp. unit | 330,000 | 4,445 | ||
Hotels, Restaurants & Leisure - 0.1% | ||||
Centerplate, Inc. unit | 165,925 | 2,116 | ||
Common Stocks - continued | ||||
Shares | Value (Note 1) | |||
CONSUMER DISCRETIONARY - continued | ||||
Media - 0.3% | ||||
NTL, Inc. (a) | 140,401 | $ 9,606 | ||
NTL, Inc. Class A warrants 1/13/11 (a) | 6 | 0 | ||
9,606 | ||||
TOTAL CONSUMER DISCRETIONARY | 16,167 | |||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Fountain View, Inc. (l) | 98 | 2 | ||
TELECOMMUNICATION SERVICES - 0.5% | ||||
Diversified Telecommunication Services - 0.5% | ||||
Telewest Global, Inc. (a) | 693,453 | 15,797 | ||
Wireless Telecommunication Services - 0.0% | ||||
DigitalGlobe, Inc. (a)(f) | 895 | 1 | ||
TOTAL TELECOMMUNICATION SERVICES | 15,798 | |||
TOTAL COMMON STOCKS (Cost $21,770) | 31,967 | |||
Preferred Stocks - 0.1% | ||||
Convertible Preferred Stocks - 0.0% | ||||
MATERIALS - 0.0% | ||||
Chemicals - 0.0% | ||||
Celanese Corp. 4.25% | 6,600 | 160 | ||
Nonconvertible Preferred Stocks - 0.1% | ||||
CONSUMER DISCRETIONARY - 0.1% | ||||
Media - 0.1% | ||||
Spanish Broadcasting System, Inc. Class B, 10.75% | 1,646 | 1,802 | ||
Specialty Retail - 0.0% | ||||
GNC Corp. Series A, 12.00% (a) | 1,170 | 772 | ||
TOTAL CONSUMER DISCRETIONARY | 2,574 | |||
FINANCIALS - 0.0% | ||||
Insurance - 0.0% | ||||
American Annuity Group Capital Trust II 8.875% (a) | 240 | 250 | ||
Preferred Stocks - continued | ||||
Shares | Value (Note 1) | |||
Nonconvertible Preferred Stocks - continued | ||||
HEALTH CARE - 0.0% | ||||
Health Care Providers & Services - 0.0% | ||||
Fresenius Medical Care Capital Trust II 7.875% | 1,260 | $ 1,351 | ||
TELECOMMUNICATION SERVICES - 0.0% | ||||
Diversified Telecommunication Services - 0.0% | ||||
PTV, Inc. Series A, 10.00% | 119 | 0 | ||
TOTAL NONCONVERTIBLE PREFERRED STOCKS | 4,175 | |||
TOTAL PREFERRED STOCKS (Cost $4,521) | 4,335 | |||
Floating Rate Loans - 1.0% | ||||
Principal Amount (000s)(m) | ||||
CONSUMER DISCRETIONARY - 0.2% | ||||
Auto Components - 0.0% | ||||
Goodyear Tire & Rubber Co. Tranche 2, term loan 5.89% 4/30/10 (i) | $ 400 | 400 | ||
Automobiles - 0.1% | ||||
AM General LLC: | ||||
Tranche B1, term loan 7.7428% 11/1/11 (i) | 2,470 | 2,563 | ||
Tranche C2, term loan 12.41% 5/2/12 (i) | 1,300 | 1,372 | ||
3,935 | ||||
Hotels, Restaurants & Leisure - 0.1% | ||||
Hilton Head Communications LP Tranche B, term loan 7.5% 3/31/08 (i) | 1,800 | 1,746 | ||
Media - 0.0% | ||||
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (i) | 1,050 | 1,053 | ||
TOTAL CONSUMER DISCRETIONARY | 7,134 | |||
ENERGY - 0.1% | ||||
Oil, Gas & Consumable Fuels - 0.1% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 6.063% 7/8/11 (i) | 180 | 171 | ||
Floating Rate Loans - continued | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
ENERGY - continued | ||||
Oil, Gas & Consumable Fuels - continued | ||||
Coffeyville Resources LLC: - continued | ||||
Tranche 2, term loan 10.3125% 7/8/13 (i) | $ 2,020 | $ 2,055 | ||
Tranche B1, term loan 6.063% 7/8/12 (i) | 270 | 273 | ||
2,499 | ||||
FINANCIALS - 0.2% | ||||
Diversified Financial Services - 0.2% | ||||
MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (i) | 2,310 | 2,316 | ||
Olympus Cable Holdings LLC Tranche B, term loan 8.25% 9/30/10 (i) | 2,720 | 2,683 | ||
4,999 | ||||
HEALTH CARE - 0.3% | ||||
Health Care Providers & Services - 0.2% | ||||
DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (i) | 5,345 | 5,412 | ||
Pharmaceuticals - 0.1% | ||||
Warner Chilcott Corp. term loan 5.9939% 1/18/12 (i) | 3,991 | 4,001 | ||
TOTAL HEALTH CARE | 9,413 | |||
INDUSTRIALS - 0.0% | ||||
Commercial Services & Supplies - 0.0% | ||||
Allied Waste Industries, Inc.: | ||||
term loan 5.3731% 1/15/12 (i) | 566 | 567 | ||
Tranche A, Credit-Linked Deposit 5.34% 1/15/12 (i) | 216 | 216 | ||
783 | ||||
INFORMATION TECHNOLOGY - 0.2% | ||||
Software - 0.2% | ||||
Infor Global Solutions AG: | ||||
Tranche 1, term loan 6.712% 4/18/11 (i) | 2,310 | 2,316 | ||
Tranche 2, term loan 10.712% 4/18/12 (i) | 2,160 | 2,155 | ||
4,471 | ||||
TOTAL FLOATING RATE LOANS (Cost $28,422) | 29,299 | |||
Sovereign Loan Participations - 0.2% | ||||
Principal Amount (000s)(m) | Value (Note 1) | |||
Indonesian Republic loan participation: | ||||
- Barclays Bank 4.375% 3/28/13 (i) | $ 207 | $ 192 | ||
- Citibank 4.375% 3/28/13 (i) | 726 | 672 | ||
- Credit Suisse First Boston: | ||||
4.375% 3/28/13 (i) | 1,859 | 1,720 | ||
4.50% 12/14/19 (i) | 1,190 | 1,003 | ||
- Deutsche Bank: | ||||
4.375% 3/28/13 (i) | 932 | 863 | ||
0.955% 3/28/13 (i) | JPY | 89,394 | 721 | |
TOTAL SOVEREIGN LOAN PARTICIPATIONS (Cost $4,955) | 5,171 | |||
Fixed-Income Funds - 1.4% | ||||
Shares | ||||
Fidelity Floating Rate Central Investment Portfolio (b) | 402,424 | 40,295 | ||
Money Market Funds - 11.3% | ||||
Fidelity Cash Central Fund, 3.21% (b) | 333,648,614 | 333,649 | ||
TOTAL INVESTMENT PORTFOLIO - 100.3% (Cost $2,867,924) | 2,955,080 | |||
NET OTHER ASSETS - (0.3)% | (10,178) | |||
NET ASSETS - 100% | $ 2,944,902 | |||
Currency Abbreviations | ||
ARS | - | Argentine peso |
CAD | - | Canadian dollar |
COP | - | Colombian peso |
EGP | - | Egyptian pound |
EUR | - | European Monetary Unit |
GBP | - | British pound |
ILS | - | Israeli shekel |
JPY | - | Japanese yen |
MXN | - | Mexican peso |
MYR | - | Malyasian ringgit |
PEN | - | Peruvian new sol |
TRY | - | New Turkish Lira |
UYU | - | Uruguay peso |
ZAR | - | South African rand |
Legend |
(a) Non-income producing |
(b) Affiliated fund that is available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete listing of the money market fund's holdings as of its most recent quarter end is available upon request. A complete listing of the fixed-income central fund's holdings is provided at the end of the report. |
(c) Non-income producing - Security is in default. |
(d) Debt obligation initially issued in zero coupon form which converts to coupon form at a specified rate and date. The rate shown is the rate at period end. |
(e) Debt obligation initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end. |
(f) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $236,025,000 or 8.0% of net assets. |
(g) Security or a portion of the security purchased on a delayed delivery or when-issued basis. |
(h) A portion of the security is subject to a forward commitment to sell. |
(i) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(j) Includes attached Argentine Republic Gross Domestic Product-Linked Securities, expiring 12/15/35. |
(k) Quantity represents share amount. |
(l) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $2,000 or 0.0% of net assets. |
Additional information on each holding is as follows: |
Security | Acquisition Date | Acquisition Cost (000s) |
Fountain View, Inc. | 8/19/03 - 1/22/04 | $ 0 |
(m) Principal amount is stated in United States dollars unless otherwise noted. |
Other Information |
Distribution of investments by country of issue, as a percentage of total net assets, is as follows: |
United States of America | 70.1% |
United Kingdom | 3.3% |
Germany | 2.9% |
Canada | 2.8% |
Brazil | 2.5% |
France | 1.9% |
Mexico | 1.9% |
Russia | 1.9% |
Japan | 1.4% |
Venezuela | 1.3% |
Argentina | 1.0% |
Others (individually less than 1%) | 9.0% |
100.0% |
The information in the above table is based on the combined investments of the fund and its pro-rata share of the investments of Fidelity's fixed-income central funds. |
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Statements
Statement of Assets and Liabilities
Amounts in thousands (except per-share amounts) | June 30, 2005 (Unaudited) | |
Assets | ||
Investment in securities, at value (cost $2,867,924) - See accompanying schedule | $ 2,955,080 | |
Commitment to sell securities on a delayed delivery basis | $ (11,524) | |
Receivable for securities sold on a delayed delivery basis | 11,535 | 11 |
Receivable for investments sold, regular delivery | 10,178 | |
Cash | 1,458 | |
Receivable for fund shares sold | 13,126 | |
Dividends receivable | 11 | |
Interest receivable | 37,330 | |
Prepaid expenses | 4 | |
Receivable from investment adviser for expense reductions | 2 | |
Other receivables | 109 | |
Total assets | 3,017,309 | |
Liabilities | ||
Payable for investments purchased | $ 25,665 | |
Delayed delivery | 36,040 | |
Payable for fund shares redeemed | 6,081 | |
Distributions payable | 1,579 | |
Accrued management fee | 1,370 | |
Distribution fees payable | 939 | |
Other affiliated payables | 490 | |
Other payables and accrued expenses | 243 | |
Total liabilities | 72,407 | |
Net Assets | $ 2,944,902 | |
Net Assets consist of: | ||
Paid in capital | $ 2,837,407 | |
Undistributed net investment income | 23,919 | |
Accumulated undistributed net realized gain (loss) on investments and foreign currency transactions | (3,496) | |
Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies | 87,072 | |
Net Assets | $ 2,944,902 | |
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, 2005 (Unaudited) | |
Calculation of Maximum Offering Price | $ 11.70 | |
Maximum offering price per share (100/95.25 of $11.70) | $ 12.28 | |
Class T: | $ 11.70 | |
Maximum offering price per share (100/96.50 of $11.70) | $ 12.12 | |
Class B: | $ 11.72 | |
Class C: | $ 11.68 | |
Institutional Class: | $ 11.79 | |
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, 2005 (Unaudited) | |
Investment Income | ||
Dividends | $ 545 | |
Interest | 75,580 | |
Total income | 76,125 | |
Expenses | ||
Management fee | $ 7,440 | |
Transfer agent fees | 2,327 | |
Distribution fees | 5,185 | |
Accounting fees and expenses | 444 | |
Independent trustees' compensation | 6 | |
Custodian fees and expenses | 146 | |
Registration fees | 182 | |
Audit | 34 | |
Legal | 5 | |
Miscellaneous | 211 | |
Total expenses before reductions | 15,980 | |
Expense reductions | (148) | 15,832 |
Net investment income | 60,293 | |
Realized and Unrealized Gain (Loss) Net realized gain (loss) on: | ||
Investment securities | 13,671 | |
Foreign currency transactions | (770) | |
Swap agreements | (42) | |
Total net realized gain (loss) | 12,859 | |
Change in net unrealized appreciation (depreciation) on: Investment securities | (41,958) | |
Assets and liabilities in foreign currencies | 445 | |
Delayed delivery commitments | 11 | |
Total change in net unrealized appreciation (depreciation) | (41,502) | |
Net gain (loss) | (28,643) | |
Net increase (decrease) in net assets resulting from operations | $ 31,650 | |
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 | Year ended |
Increase (Decrease) in Net Assets | ||
Operations | ||
Net investment income | $ 60,293 | $ 92,795 |
Net realized gain (loss) | 12,859 | 59,820 |
Change in net unrealized appreciation (depreciation) | (41,502) | 22,719 |
Net increase (decrease) in net assets resulting | 31,650 | 175,334 |
Distributions to shareholders from net investment income | (55,163) | (88,523) |
Distributions to shareholders from net realized gain | (21,336) | (32,409) |
Total distributions | (76,499) | (120,932) |
Share transactions - net increase (decrease) | 661,485 | 715,583 |
Total increase (decrease) in net assets | 616,636 | 769,985 |
Net Assets | ||
Beginning of period | 2,328,266 | 1,558,281 |
End of period (including undistributed net investment income of $23,919 and undistributed net investment income of $25,324, respectively) | $ 2,944,902 | $ 2,328,266 |
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) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.93 | $ 11.63 | $ 10.34 | $ 10.11 | $ 10.12 | $ 10.47 |
Income from Investment Operations | ||||||
Net investment income E | .284 | .600 | .617 | .668 | .730 G | .793 |
Net realized and unrealized gain (loss) | (.146) | .445 | 1.321 | .214 | (.081) G | (.434) |
Total from investment operations | .138 | 1.045 | 1.938 | .882 | .649 | .359 |
Distributions from net investment income | (.263) | (.575) | (.648) | (.652) | (.659) | (.709) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.368) | (.745) | (.648) | (.652) | (.659) | (.709) |
Net asset value, end of period | $ 11.70 | $ 11.93 | $ 11.63 | $ 10.34 | $ 10.11 | $ 10.12 |
Total Return B, C, D | 1.20% | 9.31% | 19.20% | 9.09% | 6.53% | 3.58% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.01% A | 1.00% | 1.01% | 1.04% | 1.07% | 1.08% |
Expenses net of voluntary waivers, if any | 1.00% A | 1.00% | 1.01% | 1.04% | 1.07% | 1.08% |
Expenses net of all reductions | 1.00% A | 1.00% | 1.00% | 1.04% | 1.07% | 1.08% |
Net investment income | 4.93% A | 5.20% | 5.58% | 6.65% | 7.18% G | 7.76% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 517 | $ 372 | $ 187 | $ 57 | $ 33 | $ 18 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class T
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.92 | $ 11.62 | $ 10.33 | $ 10.11 | $ 10.11 | $ 10.47 |
Income from Investment Operations | ||||||
Net investment income E | .279 | .593 | .604 | .660 | .725 G | .788 |
Net realized and unrealized gain (loss) | (.135) | .443 | 1.322 | .203 | (.074) G | (.445) |
Total from investment operations | .144 | 1.036 | 1.926 | .863 | .651 | .343 |
Distributions from net investment income | (.259) | (.566) | (.636) | (.643) | (.651) | (.703) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.364) | (.736) | (.636) | (.643) | (.651) | (.703) |
Net asset value, end of period | $ 11.70 | $ 11.92 | $ 11.62 | $ 10.33 | $ 10.11 | $ 10.11 |
Total Return B, C, D | 1.24% | 9.23% | 19.09% | 8.89% | 6.55% | 3.42% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.07% A | 1.07% | 1.11% | 1.13% | 1.15% | 1.14% |
Expenses net of voluntary waivers, if any | 1.07% A | 1.07% | 1.11% | 1.13% | 1.15% | 1.14% |
Expenses net of all reductions | 1.07% A | 1.07% | 1.11% | 1.13% | 1.15% | 1.14% |
Net investment income | 4.85% A | 5.13% | 5.47% | 6.57% | 7.10% G | 7.70% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 1,133 | $ 808 | $ 515 | $ 279 | $ 238 | $ 207 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the sales charges.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 21, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class B
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.95 | $ 11.65 | $ 10.35 | $ 10.12 | $ 10.13 | $ 10.49 |
Income from Investment Operations | ||||||
Net investment income E | .242 | .513 | .533 | .595 | .658 G | .722 |
Net realized and unrealized gain (loss) | (.147) | .441 | 1.330 | .212 | (.085) G | (.447) |
Total from investment operations | .095 | .954 | 1.863 | .807 | .573 | .275 |
Distributions from net investment income | (.220) | (.484) | (.563) | (.577) | (.583) | (.635) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.325) | (.654) | (.563) | (.577) | (.583) | (.635) |
Net asset value, end of period | $ 11.72 | $ 11.95 | $ 11.65 | $ 10.35 | $ 10.12 | $ 10.13 |
Total Return B, C, D | .82% | 8.45% | 18.38% | 8.28% | 5.74% | 2.73% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.80% A | 1.78% | 1.77% | 1.78% | 1.81% | 1.80% |
Expenses net of voluntary waivers, if any | 1.75% A | 1.78% | 1.77% | 1.78% | 1.81% | 1.80% |
Expenses net of all reductions | 1.75% A | 1.78% | 1.77% | 1.78% | 1.81% | 1.80% |
Net investment income | 4.18% A | 4.42% | 4.81% | 5.91% | 6.44% G | 7.04% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 341 | $ 319 | $ 287 | $ 147 | $ 116 | $ 88 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Class C
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 11.91 | $ 11.61 | $ 10.32 | $ 10.10 | $ 10.11 | $ 10.46 |
Income from Investment Operations | ||||||
Net investment income E | .236 | .505 | .525 | .585 | .647 G | .707 |
Net realized and unrealized gain (loss) | (.146) | .444 | 1.320 | .204 | (.082) G | (.432) |
Total from investment operations | .090 | .949 | 1.845 | .789 | .565 | .275 |
Distributions from net investment income | (.215) | (.479) | (.555) | (.569) | (.575) | (.625) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.320) | (.649) | (.555) | (.569) | (.575) | (.625) |
Net asset value, end of period | $ 11.68 | $ 11.91 | $ 11.61 | $ 10.32 | $ 10.10 | $ 10.11 |
Total Return B, C, D | .77% | 8.43% | 18.24% | 8.10% | 5.67% | 2.74% |
Ratios to Average Net Assets F | ||||||
Expenses before expense reductions | 1.85% A | 1.82% | 1.84% | 1.87% | 1.89% | 1.91% |
Expenses net of voluntary waivers, if any | 1.84% A | 1.82% | 1.84% | 1.87% | 1.89% | 1.91% |
Expenses net of all reductions | 1.84% A | 1.82% | 1.84% | 1.87% | 1.89% | 1.90% |
Net investment income | 4.08% A | 4.37% | 4.74% | 5.83% | 6.35% G | 6.94% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 487 | $ 405 | $ 277 | $ 68 | $ 40 | $ 26 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Total returns do not include the effect of the contingent deferred sales charge.
E Calculated based on average shares outstanding during the period.
F 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
G Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Financial Highlights - Institutional Class
Six months ended | Years ended December 31, | |||||
(Unaudited) | 2004 | 2003 | 2002 | 2001 | 2000 | |
Selected Per-Share Data | ||||||
Net asset value, beginning of period | $ 12.02 | $ 11.71 | $ 10.40 | $ 10.17 | $ 10.18 | $ 10.53 |
Income from Investment Operations | ||||||
Net investment income D | .297 | .627 | .635 | .685 | .725 F | .816 |
Net realized and unrealized gain (loss) | (.149) | .449 | 1.338 | .210 | (.059) F | (.437) |
Total from investment operations | .148 | 1.076 | 1.973 | .895 | .666 | .379 |
Distributions from net investment income | (.273) | (.596) | (.663) | (.665) | (.676) | (.729) |
Distributions from net realized gain | (.105) | (.170) | - | - | - | - |
Total distributions | (.378) | (.766) | (.663) | (.665) | (.676) | (.729) |
Net asset value, end of period | $ 11.79 | $ 12.02 | $ 11.71 | $ 10.40 | $ 10.17 | $ 10.18 |
Total Return B, C | 1.27% | 9.53% | 19.44% | 9.17% | 6.67% | 3.76% |
Ratios to Average Net Assets E | ||||||
Expenses before expense reductions | .82% A | .81% | .87% | .92% | .94% | .90% |
Expenses net of voluntary waivers, if any | .82% A | .81% | .87% | .92% | .94% | .90% |
Expenses net of all reductions | .82% A | .81% | .87% | .92% | .94% | .90% |
Net investment income | 5.10% A | 5.38% | 5.71% | 6.78% | 7.31% F | 7.95% |
Supplemental Data | ||||||
Net assets, end of period (in millions) | $ 467 | $ 424 | $ 291 | $ 120 | $ 42 | $ 4 |
Portfolio turnover rate | 97% A | 94% | 153% | 111% | 120% | 99% |
A Annualized
B Total returns for periods of less than one year are not annualized.
C Total returns would have been lower had certain expenses not been reduced during the periods shown.
D Calculated based on average shares outstanding during the period.
E 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 other expense offset arrangements and do not represent the amount paid by the class during periods when reimbursements or reductions occur. Expenses net of any voluntary 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.
F Effective January 1, 2001, the fund adopted the provisions of the AICPA Audit and Accounting Guide for Investment Companies and began amortizing premium and discount on all debt securities. Per-share data and ratios for periods prior to adoption have not been restated to reflect this change.
See accompanying notes which are an integral part of the financial statements.
Semiannual Report
Notes to Financial Statements
For the period ended June 30, 2005 (Unaudited)
(Amounts in thousands except ratios)
1. Significant Accounting Policies.
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 B, Class C, and Institutional Class shares, each of which has equal rights as to assets and voting privileges. Each class has exclusive voting rights with respect to matters that affect that class. Class B shares will automatically convert to Class A shares after a holding period of seven years from the initial date of purchase. Investment income, realized and unrealized capital gains and losses, the common expenses of the fund, and certain fund-level expense reductions, if any, are allocated on a pro rata basis to each class based on the relative net assets of each class to the total net assets of the fund. Each class differs with respect to transfer agent and distribution and service plan fees incurred. Certain expense reductions also differ by class.
The fund may invest in affiliated fixed-income and money market central funds (Underlying Funds) managed by affiliates of Fidelity Management & Research Company (FMR). The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America, which require management to make certain estimates and assumptions at the date of the financial statements. The following summarizes the significant accounting policies of the fund and underlying fixed-income funds (funds):
Security Valuation. Net asset value per share (NAV calculation) is calculated as of the close of business of the New York Stock Exchange, normally 4:00 p.m. Eastern time. Debt securities, including restricted securities, for which quotations are readily available are valued at their most recent bid prices (sales prices if the principal market is an exchange) in the principal market in which such securities are normally traded, as determined by recognized dealers in such securities, or securities are valued on the basis of information provided by a pricing service. Pricing services use valuation matrices that incorporate both dealer-supplied valuations and valuation models. Equity securities, including restricted securities, for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on the primary market or exchange on which they trade. If prices are not readily available or do not accurately reflect fair value for a security, or if a security's value has been materially affected by events occurring after the close of the exchange or market on which the security is principally traded, that security may be valued by another method that the Board of Trustees believes accurately reflects fair value. A security's valuation may differ depending on the method used for determining value.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
1. Significant Accounting Policies - continued
Security Valuation - continued
Price movements in futures contracts and ADRs, market and trading trends, the bid/ask quotes of brokers and off-exchange institutional trading may be reviewed in the course of making a good faith determination of a security's fair value. Short-term securities with remaining maturities of sixty days or less for which quotations are not readily available are valued on the basis of amortized cost. Investments in open-end investment companies, including Underlying Funds, are valued at their net asset value each business day.
Foreign Currency. Certain funds may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contracts' terms.
Foreign-denominated assets, including investment securities, and liabilities are translated into U.S. dollars at the exchange rate at period end. Purchases and sales of investment securities, income and dividends received and expenses denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Investment Transactions and Income. Security transactions, including the fund's investment activity in the Underlying Funds, are accounted for as of trade date. 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. Interest income, including income from the Underlying Funds, is accrued as earned. Interest income includes coupon interest and amortization of premium and accretion of discount on debt securities. Investment income is recorded net of foreign taxes withheld where recovery of such taxes is uncertain. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectibility of interest is reasonably assured.
Expenses. Most expenses of the trust can be directly attributed to a fund. Expenses which cannot be directly attributed are apportioned among each fund in the trust.
Semiannual Report
1. Significant Accounting Policies - continued
Income Tax Information and Distributions to Shareholders. Each year, the fund intends to qualify as a regulated investment company by distributing all of its taxable income and realized gains under Subchapter M of the Internal Revenue Code. As a result, no provision for income taxes is required in the accompanying financial statements. 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 daily and paid monthly from net investment income. Distributions from realized gains, if any, are recorded on the ex-dividend date. Income dividends and capital gain distributions are declared separately for each class. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles.
Capital accounts within the financial statements are adjusted for permanent book-tax differences. These adjustments have no impact on net assets or the results of operations. Temporary book-tax differences will reverse in a subsequent period.
Book-tax differences are primarily due to foreign currency transactions, prior period premium and discount on debt securities, defaulted bonds, market discount, non-taxable dividends, swap agreements, and losses deferred due to wash sales.
The federal tax cost of investments and unrealized appreciation (depreciation) as of period end were as follows:
Unrealized appreciation | $ 121,218 | |
Unrealized depreciation | (31,739) | |
Net unrealized appreciation (depreciation) | $ 89,479 | |
Cost for federal income tax purposes | $ 2,865,601 |
2. Operating Policies.
Repurchase Agreements. FMR has received an Exemptive Order from the Securities and Exchange Commission (the SEC) which permits certain funds and other affiliated entities of FMR to transfer uninvested cash balances into joint trading accounts which are then invested in repurchase agreements. Certain funds may also invest directly with institutions in repurchase agreements. Repurchase agreements are collateralized by government or non-government securities. Collateral is held in segregated accounts with custodian banks and may be obtained in the event of a default of the counterparty. Each applicable fund monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the principal amount of the repurchase agreement (including accrued interest). In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of the collateral may decline.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
2. Operating Policies - continued
Delayed Delivery Transactions and When-Issued Securities. Certain funds may purchase or sell securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. During the time a delayed delivery sell is outstanding, the contract is marked-to-market daily and equivalent deliverable securities are held for the transaction. The value of the securities purchased on a delayed delivery or when-issued basis are identified as such in the fund's Schedule of Investments. Certain funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, each applicable fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. The payables and receivables associated with the purchases and sales of delayed delivery securities having the same coupon, settlement date and broker are offset. Delayed delivery or when-issued securities that have been purchased from and sold to different brokers are reflected as both payables and receivables in the fund's Statement of Assets and Liabilities under the caption "Delayed delivery". Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract's terms, or if the issuer does not issue the securities due to political, economic, or other factors.
Restricted Securities. Certain funds 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. Certain funds may invest in loans and loan participations, trade claims or other receivables. These investments may include standby financing commitments, including revolving credit facilities, that obligate the fund to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary. The fund may be contractually obligated to receive approval from the agent bank and/or borrower prior to the sale of these investments.
Swap Agreements. Certain funds may invest in swaps for the purpose of managing their exposure to interest rate, credit or market risk.
Interest rate swaps are agreements to exchange cash flows periodically based on a notional principal amount, for example, the exchange of fixed rate interest payments for floating rate interest payments. Periodic payments received or made by the fund are recorded in the accompanying Statement of Operations as realized gains or losses,
Semiannual Report
2. Operating Policies - continued
Swap Agreements - continued
respectively. The primary risk associated with interest rate swaps is that unfavorable changes in the fluctuation of interest rates could adversely impact a fund.
Swaps are marked-to-market daily based on dealer-supplied valuations and changes in value are recorded as unrealized appreciation (depreciation). Gains or losses are realized upon early termination of the swap agreement. Collateral, in the form of cash or securities, may be required to be held in segregated accounts with a fund's custodian in compliance with swap contracts.
Mortgage Dollar Rolls. To earn additional income, certain funds may employ trading strategies which involve the sale and simultaneous agreement to repurchase similar securities ("mortgage dollar rolls") or the purchase and simultaneous agreement to sell similar securities ("reverse mortgage dollar rolls"). The securities traded are mortgage securities and bear the same interest rate but may be collateralized by different pools of mortgages. During the period between the sale and repurchase in a mortgage dollar roll transaction, a fund will not be entitled to receive interest and principal payments on the securities sold but will invest the proceeds of the sale in other securities which may enhance the yield and total return. In addition, the difference between the sale price and the future purchase price is recorded as an adjustment to investment income. During the period between the purchase and subsequent sale in a reverse mortgage dollar roll transaction a fund is entitled to interest and principal payments on the securities purchased. The price differential between the purchase and sale is recorded as an adjustment to investment income. Losses may arise due to changes in the value of the securities or if the counterparty does not perform under the terms of the agreement. If the counterparty files for bankruptcy or becomes insolvent, a fund's right to repurchase or sell securities may be limited.
3. Purchases and Sales of Investments.
Purchases and sales of securities, other than short-term securities and U.S. government securities, aggregated $938,155 and $732,534, respectively.
4. Fees and Other Transactions with Affiliates.
Management Fee. FMR and its affiliates provide the fund with investment management related services for which the fund pays a monthly management fee. The management fee is the sum of an individual fund fee rate that is based on an annual rate of .45% of the fund's average net assets and a group fee rate that averaged .12% during the period. The group fee rate is based upon the average net assets of all the mutual funds advised by FMR. The group fee rate decreases as assets under management increase and
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
4. Fees and Other Transactions with Affiliates - continued
Management Fee - continued
increases as assets under management decrease. For the period, the total annualized management fee rate was .58% of the fund's average net assets.
Distribution and Service Plan. In accordance with Rule 12b-1 of the 1940 Act, the fund has adopted separate Distribution and Service Plans for each class of shares. Certain classes pay Fidelity Distributors Corporation (FDC), an affiliate of FMR, separate Distribution and Service Fees, each of which is based on an annual percentage of each class' average net assets. In addition, FDC may pay financial intermediaries for selling shares of the fund and providing shareholder support services. For the period, the Distribution and Service Fee rates and the total amounts paid to and retained by FDC were as follows:
Distribution | Service | Paid to | Retained | |
Class A | 0% | .15% | $ 322 | $ 3 |
Class T | 0% | .25% | 1,194 | 51 |
Class B | .65% | .25% | 1,467 | 1,063 |
Class C | .75% | .25% | 2,202 | 743 |
$ 5,185 | $ 1,860 |
Sales Load. FDC receives a front-end sales charge of up to 4.75% for selling Class A shares, and 3.50% for selling Class T shares, some of which is paid to financial intermediaries for selling shares of the fund. FDC receives the proceeds of contingent deferred sales charges levied on Class A, Class T, Class B, and Class C redemptions. These charges depend on the holding period. The deferred sales charges range from 5% to 1% for Class B, 1% for Class C, and .25% for certain purchases of Class A and Class T shares.
For the period, sales charge amounts retained by FDC were as follows:
Retained | ||
Class A | $ 432 | |
Class T | 140 | |
Class B* | 335 | |
Class C* | 47 | |
$ 954 |
* When Class B and Class C shares are initially sold, FDC pays commissions from its own resources to financial intermediaries through which the sales are made.
Semiannual Report
4. Fees and Other Transactions with Affiliates - continued
Transfer Agent Fees. Fidelity Investments Institutional Operations Company, Inc. (FIIOC), an affiliate of FMR, is the transfer, dividend disbursing and shareholder servicing agent for each class of the fund. FIIOC receives account fees and asset-based fees that vary according to the account size and type of account of the shareholders of the respective classes of the fund. FIIOC pays for typesetting, printing and mailing of shareholder reports, except proxy statements. For the period the total transfer agent fees paid by each class to FIIOC, were as follows:
Amount | % of | |
Class A | $ 427 | .20* |
Class T | 767 | .16* |
Class B | 382 | .24* |
Class C | 394 | .18* |
Institutional Class | 357 | .16* |
$ 2,327 |
* Annualized
Accounting Fees. Fidelity Service Company, Inc. (FSC), an affiliate of FMR, maintains the fund's accounting records. The fee is based on the level of average net assets for the month.
Central Funds. Certain funds may invest in affiliated Central Funds managed by Fidelity Investments Money Management, Inc. (FIMM), Fidelity Management & Research Company, Inc. (FMRC), affiliates of FMR. The Central Funds are open-end investment companies available only to investment companies and other accounts managed by FMR and its affiliates. The Money Market Central Funds seek preservation of capital and current income. The Floating Rate Central Investment Portfolio seeks a high level of income. The Central Funds do not pay a management fee. Income distributions earned by the fund are recorded as income in the accompanying financial statements and totaled $4,053 for the period.
5. Committed Line of Credit.
The fund participates with other funds managed by FMR in a $4.2 billion credit facility (the "line of credit") to be utilized for temporary or emergency purposes to fund shareholder redemptions or for other short-term liquidity purposes. The fund has agreed to pay commitment fees on its pro rata portion of the line of credit. During the period, there were no borrowings on this line of credit.
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
6. Expense Reductions.
FMR voluntarily agreed to reimburse each class to the extent annual operating expenses exceeded certain levels of average net assets as noted in the table below. Some expenses, for example interest expense, are excluded from this reimbursement.
Expense | Reimbursement | |
Class A | 1.25% -1.00%* | $ 29 |
Class B | 2.00% -1.75%* | 91 |
Class C | 2.10% -1.85%* | 18 |
$ 138 |
* Expense limitation in effect at period end.
In addition, through arrangements with the fund's custodian, credits realized as a result of uninvested cash balances were used to reduce the fund's expenses. During the period, these credits reduced the fund's custody expenses by $10.
7. 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.
8. 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
9. Distributions to Shareholders.
Distributions to shareholders of each class were as follows:
Six months ended | Year ended | |
From net investment income | ||
Class A | $ 9,630 | $ 13,359 |
Class T | 21,151 | 30,575 |
Class B | 6,109 | 12,524 |
Class C | 8,058 | 14,127 |
Institutional Class | 10,215 | 17,938 |
Total | $ 55,163 | $ 88,523 |
From net realized gain | ||
Class A | $ 3,432 | $ 5,220 |
Class T | 7,595 | 11,202 |
Class B | 2,834 | 4,464 |
Class C | 3,698 | 5,646 |
Institutional Class | 3,777 | 5,877 |
Total | $ 21,336 | $ 32,409 |
Semiannual Report
Notes to Financial Statements (Unaudited) - continued
(Amounts in thousands except ratios)
10. 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 | 17,659 | 21,816 | $ 206,463 | $ 253,900 |
Reinvestment of distributions | 900 | 1,282 | 10,542 | 15,021 |
Shares redeemed | (5,543) | (7,979) | (64,860) | (92,071) |
Net increase (decrease) | 13,016 | 15,119 | $ 152,145 | $ 176,850 |
Class T | ||||
Shares sold | 36,627 | 39,956 | $ 428,189 | $ 465,339 |
Reinvestment of distributions | 2,295 | 3,278 | 26,876 | 38,371 |
Shares redeemed | (9,820) | (19,779) | (114,604) | (229,093) |
Net increase (decrease) | 29,102 | 23,455 | $ 340,461 | $ 274,617 |
Class B | ||||
Shares sold | 5,134 | 7,321 | $ 60,058 | $ 85,374 |
Reinvestment of distributions | 561 | 1,045 | 6,585 | 12,249 |
Shares redeemed | (3,349) | (6,307) | (39,194) | (72,776) |
Net increase (decrease) | 2,346 | 2,059 | $ 27,449 | $ 24,847 |
Class C | ||||
Shares sold | 11,287 | 16,778 | $ 131,874 | $ 195,224 |
Reinvestment of distributions | 710 | 1,180 | 8,309 | 13,804 |
Shares redeemed | (4,234) | (7,887) | (49,369) | (90,740) |
Net increase (decrease) | 7,763 | 10,071 | $ 90,814 | $ 118,288 |
Institutional Class | ||||
Shares sold | 7,576 | 15,202 | $ 89,252 | $ 176,823 |
Reinvestment of distributions | 1,023 | 1,760 | 12,072 | 20,742 |
Shares redeemed | (4,307) | (6,561) | (50,708) | (76,584) |
Net increase (decrease) | 4,292 | 10,401 | $ 50,616 | $ 120,981 |
Semiannual Report
Proxy Voting Results
A special meeting of the fund's shareholders was held on March 16, 2005. The results of votes taken among shareholders on proposals before them are reported below. Each vote reported represents one dollar of net asset value held on the record date for the meeting.
PROPOSAL 1 | ||
To amend the Declaration of Trust to allow the Board of Trustees, if permitted by applicable law, to authorize fund mergers without shareholder approval. A | ||
# of | % of | |
Affirmative | 6,491,014,660.12 | 68.216 |
Against | 1,110,401,588.77 | 11.670 |
Abstain | 364,285,629.16 | 3.828 |
Broker | 1,549,650,136.89 | 16.286 |
TOTAL | 9,515,352,014.94 | 100.000 |
PROPOSAL 2 | ||
To elect a Board of Trustees. A | ||
# of | % of | |
Laura B. Cronin | ||
Affirmative | 9,191,010,795.38 | 96.591 |
Withheld | 324,341,219.56 | 3.409 |
TOTAL | 9,515,352,014.94 | 100.000 |
Dennis J. Dirks | ||
Affirmative | 9,199,049,001.28 | 96.676 |
Withheld | 316,303,013.66 | 3.324 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert M. Gates | ||
Affirmative | 9,189,372,083.98 | 96.574 |
Withheld | 325,979,930.96 | 3.426 |
TOTAL | 9,515,352,014.94 | 100.000 |
George H. Heilmeier | ||
Affirmative | 9,191,183,741.44 | 96.593 |
Withheld | 324,168,273.50 | 3.407 |
TOTAL | 9,515,352,014.94 | 100.000 |
# of | % of | |
Abigail P. Johnson | ||
Affirmative | 9,174,139,780.45 | 96.414 |
Withheld | 341,212,234.49 | 3.586 |
TOTAL | 9,515,352,014.94 | 100.000 |
Edward C. Johnson 3d | ||
Affirmative | 9,167,856,276.61 | 96.348 |
Withheld | 347,495,738.33 | 3.652 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marie L. Knowles | ||
Affirmative | 9,196,147,863.00 | 96.645 |
Withheld | 319,204,151.94 | 3.355 |
TOTAL | 9,515,352,014.94 | 100.000 |
Ned C. Lautenbach | ||
Affirmative | 9,193,561,981.00 | 96.618 |
Withheld | 321,790,033.94 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Marvin L. Mann | ||
Affirmative | 9,184,085,149.84 | 96.519 |
Withheld | 331,266,865.10 | 3.481 |
TOTAL | 9,515,352,014.94 | 100.000 |
William O. McCoy | ||
Affirmative | 9,187,317,991.01 | 96.553 |
Withheld | 328,034,023.93 | 3.447 |
TOTAL | 9,515,352,014.94 | 100.000 |
Robert L. Reynolds | ||
Affirmative | 9,193,543,677.54 | 96.618 |
Withheld | 321,808,337.40 | 3.382 |
TOTAL | 9,515,352,014.94 | 100.000 |
Cornelia M. Small | ||
Affirmative | 9,193,853,155.26 | 96.621 |
Withheld | 321,498,859.68 | 3.379 |
TOTAL | 9,515,352,014.94 | 100.000 |
# of | % of | |
William S. Stavropoulos | ||
Affirmative | 9,191,672,816.31 | 96.598 |
Withheld | 323,679,198.63 | 3.402 |
TOTAL | 9,515,352,014.94 | 100.000 |
Kenneth L. Wolfe | ||
Affirmative | 9,193,356,513.29 | 96.616 |
Withheld | 321,995,501.65 | 3.384 |
TOTAL | 9,515,352,014.94 | 100.000 |
A Denotes trust-wide proposals and voting results. | ||
Semiannual Report
Board Approval of Investment Advisory Contracts and Management Fees
Fidelity Advisor Strategic Income Fund
Each year, typically in June, the Board of Trustees, including the independent Trustees (together, the Board), votes on the renewal of the management contract and sub-advisory agreements (together, the Advisory Contracts) for the fund. The Board, assisted by the advice of fund counsel and independent Trustees' counsel, requests and considers a broad range of information throughout the year.
The Board meets regularly each month except August and takes into account throughout the year matters bearing on Advisory Contracts. The Board, acting directly and through its separate committees, considers at each of its meetings factors that are relevant to the annual renewal of the fund's Advisory Contracts, including the services and support provided to the fund and its shareholders by Fidelity. At the time of the renewal, the Board had 11 standing committees, each composed of independent Trustees with varying backgrounds, to which the Board has assigned specific subject matter responsibilities in order to enhance effective decision-making by the Board. Each committee has adopted a written charter outlining the structure and purposes of the committee. One such committee, the Fixed-Income Contract Committee, meets periodically during the first six months of each year and as necessary to consider matters specifically related to the annual renewal of Advisory Contracts. The committee requests and receives information on, and makes recommendations to the independent Trustees concerning, the approval and annual review of the Advisory Contracts.
At its June 2005 meeting, the Board of Trustees, including the independent Trustees, unanimously determined to renew the Advisory Contracts for the fund. In reaching its determination, the Board considered all factors it believed relevant, including (1) the nature, extent, and quality of the services to be provided to the fund and its shareholders by Fidelity (including the investment performance of the fund); (2) the competitiveness of the management fee and total expenses of the fund; (3) the total costs of the services to be provided by and the profits to be realized by the investment adviser and its affiliates from the relationship with the fund; (4) the extent to which economies of scale would be realized as the fund grows; and (5) whether fee levels reflect these economies of scale, if any, for the benefit of fund shareholders.
In determining whether to renew the Advisory Contracts for the fund, the Board ultimately reached a determination, with the assistance of fund counsel and independent Trustees' counsel, that the renewal of the Advisory Contracts and the compensation to be received by Fidelity under the management contract is consistent with Fidelity's fiduciary duty under applicable law. In addition to evaluating the specific factors noted above, the Board, in reaching its determination, is aware that shareholders in the fund have a broad range of investment choices available to them, including a wide choice among mutual funds offered by competitors to Fidelity, and that the fund's shareholders, with the opportunity to review and weigh the disclosure provided by the fund in its prospectus and other public disclosures, have chosen to invest in this fund, managed by Fidelity.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Nature, Extent, and Quality of Services Provided by Fidelity. The Board considered staffing within the investment adviser, FMR, and the sub-advisers (together, the Investment Advisers), including the background of the fund's portfolio manager and the fund's investment objective and discipline. The independent Trustees also had discussions with senior management of Fidelity's investment operations and investment groups. The Board considered the structure of the portfolio manager compensation program and whether this structure provides appropriate incentives.
Fidelity Resources Dedicated to Investment Management and Support Services. The Board reviewed the size, education, and experience of the Investment Advisers' investment staff, their use of technology, and the Investment Advisers' approach to recruiting, training, and retaining portfolio managers and other research, advisory, and management personnel. The Board considered Fidelity's extensive global research capabilities that enable the Investment Advisers to aggregate data from various sources in an effort to produce positive investment results. The Board noted that Fidelity's analysts have access to a variety of technological tools that enable them to perform both fundamental and quantitative analysis and to specialize in various disciplines. The Board also considered that Fidelity's portfolio managers and analysts have access to daily portfolio attribution that allows for monitoring of a fund's portfolio, as well as an electronic communication system that provides immediate real-time access to research concerning issuers and credit enhancers.
Shareholder and Administrative Services. The Board considered the nature, extent, quality, and cost of administrative, distribution, and shareholder services performed by the Investment Advisers and their affiliates under the Advisory Contracts and under separate agreements covering transfer agency, pricing and bookkeeping, and securities lending services for the fund. The Board also considered the nature and extent of the Investment Advisers' supervision of third party service providers, principally custodians and subcustodians. The Board reviewed the allocation of fund brokerage, including allocations to brokers affiliated with the Investment Advisers, the use of brokerage commissions to pay fund expenses, and the use of "soft" commission dollars to pay for research services. The Board also considered that Fidelity voluntarily decided in 2004 to stop using "soft" commission dollars to pay for market data and, instead, to pay for that data out of its own resources. The Board also considered the resources devoted to, and the record of compliance with, the fund's compliance policies and procedures.
The Board noted that the growth of fund assets across the complex allows Fidelity to reinvest in the development of services designed to enhance the value or convenience of the Fidelity funds as investment vehicles. These services include 24-hour access to account information and market information through phone representatives and over the Internet, and investor education materials and asset allocation tools.
Semiannual Report
Investment in a Large Fund Family. The Board considered the benefits to shareholders of investing in a Fidelity fund, including the benefits of investing in a fund that is part of a large family of funds offering a variety of investment disciplines and providing for a large variety of mutual fund investor services. For example, fund shareholders are offered the privilege of exchanging shares of the fund for shares of other Fidelity funds, as set forth in the fund's prospectus, without paying an additional sales charge. The Board noted that, since the last Advisory Contract renewals in June 2004, Fidelity has taken a number of actions that benefited particular funds, including (i) voluntarily deciding in 2004 to stop using "soft" commission dollars to pay for market data and, instead, to pay for that data out of its own resources, (ii) contractually agreeing to impose management fee reductions and expense limitations on its five Spartan stock index funds and its stock index fund available through variable insurance products, (iii) contractually agreeing to eliminate the management fees on the Fidelity Freedom Funds and the Fidelity Advisor Freedom Funds, (iv) contractually agreeing to reduce the management fees on most of its investment-grade taxable bond funds, and (v) contractually agreeing to impose expense limitations on its retail and Spartan investment-grade taxable bond funds.
Investment Performance. The Board considered whether the fund has operated within its investment objective, as well as its record of compliance with its investment restrictions. It also reviewed the fund's absolute investment performance for each class, as well as the fund's relative investment performance for each class measured against (i) a broad-based securities market index, and (ii) a peer group of mutual funds deemed appropriate by the Board over multiple periods. The following charts considered by the Board show, over the one-, three-, and five-year periods ended December 31, 2004, the returns of Class C and Institutional Class of the fund, the returns of a broad-based securities market index ("benchmark"), and a range of returns of a peer group of mutual funds identified by Lipper Inc. as having an investment objective similar to that of the fund. The returns of Class C and Institutional Class represent the performance of classes with the highest and lowest 12b-1 fees, respectively (not necessarily with the highest and lowest total expenses). The box within each chart shows the 25th percentile return (bottom of box) and the 75th percentile return (top of box) of the Lipper peer group. The percentage beaten numbers noted below each chart correspond to the percentile box and represent the percentage of funds in the Lipper peer group whose performance was equal to or lower than that of the class indicated.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board noted that the relative investment performance of Institutional Class of the fund has compared favorably to its Lipper peer group over time. The Board also noted that the relative investment performance of Institutional Class of the fund has compared favorably to its benchmark over time, although the fund's one-year cumulative total return was lower than its benchmark. The Board considered that the variations in performance among the fund's classes reflect the variations in class expenses, which result in lower performance for higher expense classes.
Based on its review, and giving particular weight to the nature and quality of the resources dedicated by the Investment Advisers to maintain and improve relative performance, the Board concluded that the nature, extent, and quality of the services provided by Fidelity will benefit the fund's shareholders, particularly in light of the Board's view that the fund's shareholders benefit from investing in a fund that is part of a large family of funds offering a variety of investment disciplines and services.
Competitiveness of Management Fee and Total Fund Expenses. The Board considered the fund's management fee and total expenses compared to "mapped groups" of competitive funds and classes. Fidelity creates "mapped groups" by combining similar Lipper investment objective categories that have comparable management fee characteristics. Combining Lipper investment objective categories aids the Board's management fee and total expense comparisons by broadening the competitive group used for comparison and by reducing the number of universes to which various Fidelity funds are compared.
The Board considered two proprietary management fee comparisons for the 12-month periods shown in the chart below. The group of Lipper funds used by the Board for management fee comparisons is referred to below as the "Total Mapped Group" and, for the reasons explained above, is broader than the Lipper peer group used by the Board for performance comparisons. The Total Mapped Group comparison focuses on a fund's standing relative to the total universe of comparable funds available to investors, in terms of gross management fees before expense reimbursements or caps. "TMG %" represents the percentage of funds in the Total Mapped Group that had management fees that were lower than the fund's. For example, a TMG % of 27% would mean that 73% of the funds in the Total Mapped Group had higher management fees than the fund. The "Asset-Size Peer Group" (ASPG) comparison focuses on a fund's standing relative to non-Fidelity funds similar in size to the fund within the Total Mapped Group. The ASPG represents at least 15% of the funds in the Total Mapped Group with comparable asset size and management fee characteristics, subject to a minimum of 50 funds (or all funds in the Total Mapped Group if fewer than 50). Additional information, such as the ASPG quartile ("quadrant") in which the fund's management fee ranked, is also included in the chart and considered by the Board.
Semiannual Report
The Board noted that the fund's management fee ranked below the median of its Total Mapped Group and below the median of its ASPG for 2004. Based on its review, the Board concluded that the fund's management fee was fair and reasonable in light of the services that the fund receives and the other factors considered.
In its review of each class's total expenses, the Board considered the fund's management fee as well as other fund or class expenses, as applicable, such as transfer agent fees, pricing and bookkeeping fees, fund-paid 12b-1 fees, and custodial, legal, and audit fees. The Board also noted the effects of any waivers and reimbursements on fees and expenses. As part of its review, the Board also considered current and historical total expenses of each class of the fund compared to competitive fund median expenses. Each class of the fund is compared to those funds and classes in the Total Mapped Group (used by the Board for management fee comparisons) that have a similar sales load structure.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
The Board noted that the total expenses of each of Class A, Class T, Class B, and Institutional Class ranked below its competitive median for 2004, and the total expenses of Class C ranked above its competitive median for 2004. The Board noted that the fund offers multiple classes, each of which has a different sales load and 12b-1 fee structure, and that the multiple structures are intended to offer a range of pricing options for the intermediary market. The Board also noted that the total expenses of the classes vary primarily by the level of their 12b-1 fees, although differences in transfer agent fees may also cause expenses to vary from class to class.
In its review of total expenses, the Board also considered Fidelity fee structures and other information on clients that FMR and its affiliates service in other competitive markets, such as other mutual funds advised or subadvised by FMR or its affiliates, pension plan clients, and other institutional clients.
Based on its review, the Board concluded that the total expenses for each class of the fund were reasonable, although in one case above the median of the universe presented for comparison, in light of the services that the fund and its shareholders receive and the other factors considered.
Costs of the Services and Profitability. The Board considered the revenues earned and the expenses incurred by Fidelity in conducting the business of developing, marketing, distributing, managing, administering and servicing the fund and its shareholders. The Board also considered the level of Fidelity's profits in respect of all the Fidelity funds.
On an annual basis, FMR presents to the Board Fidelity's profitability for the fund. Fidelity calculates the profitability for each fund, as well as aggregate profitability for groups of Fidelity funds and all Fidelity funds, using a series of detailed revenue and cost allocation methodologies which originate with the audited books and records of Fidelity. The Audit Committee of the Board reviews any significant changes from the prior year's methodologies.
PricewaterhouseCoopers LLP (PwC), independent registered accounting firm and auditor to Fidelity and certain Fidelity funds, has been engaged annually by the Board as part of the Board's assessment of the results of Fidelity's profitability analysis. PwC's engagement includes the review and assessment of Fidelity's methodologies used in determining the revenues and expenses attributable to Fidelity's mutual fund business, and completion of agreed-upon procedures surrounding the mathematical accuracy of fund profitability and its conformity to allocation methodologies. After considering PwC's reports issued under the engagement and information provided by Fidelity, the Board believes that while other allocation methods may also be reasonable, Fidelity's profitability methodologies are reasonable in all material respects.
Semiannual Report
The Board has also reviewed Fidelity's non-fund businesses and any fall-out benefits related to the mutual fund business as well as cases where Fidelity's affiliates may benefit from or be related to the fund's business. In addition, a special committee of the Board reviewed services provided to Fidelity by its affiliates and determined that the fees that Fidelity paid for such services were reasonable.
The Board considered the costs of the services provided by and the profits realized by Fidelity in connection with the operation of the fund and determined that the amount of profit is a fair entrepreneurial profit for the management of the fund.
Economies of Scale. The Board considered whether there have been economies of scale in respect of the management of the Fidelity funds, whether the Fidelity funds (including the fund) have appropriately benefited from any such economies of scale, and whether there is potential for realization of any further economies of scale. The Board considered the extent to which the fund will benefit from economies of scale through increased services to the fund, through waivers or reimbursements, or through fee or expense reductions, including reductions that occur through operation of the transfer agent agreement. The transfer agent fee varies in part based on the number of accounts in the fund. If the number of accounts decreases or the average account size increases, the overall transfer agent fee rate decreases.
The Board recognized that the fund's management contract incorporates a "group fee" structure, which provides for lower fee rates as total fund assets under FMR's management increase, and for higher fee rates as total fund assets under FMR's management decrease. The Board considered that the group fee is designed to deliver the benefits of economies of scale to fund shareholders when total fund assets increase, even if assets of any particular fund are unchanged or have declined, because some portion of Fidelity's costs are attributable to services provided to all Fidelity funds, and all funds benefit if those costs can be allocated among more assets. The Board concluded that, given the group fee structure, fund shareholders will achieve a certain level of economies of scale as assets under FMR's management increase at the fund complex level, regardless of whether Fidelity achieves any such economies of scale.
The Board further concluded that any potential economies of scale are being shared between fund shareholders and Fidelity in an appropriate manner.
Additional Information Requested by the Board. In order to develop fully the factual basis for consideration of the Advisory Contracts, the Board requested additional information regarding (i) Fidelity's fund profitability methodology, including additional detail on various cost allocations; (ii) fall-out benefits to Fidelity; and (iii) compensation of portfolio managers and research analysts.
Semiannual Report
Board Approval of Investment Advisory Contracts and
Management Fees - continued
Based on its evaluation of all of the conclusions noted above, and after considering all material factors, the Board ultimately concluded that the existing advisory fee structures are fair and reasonable, and that the fund's existing Advisory Contracts should be renewed.
Semiannual Report
The following is a complete listing of investments for Fidelity's
fixed-income central funds as of June 30, 2005 which are direct or indirect investments of Fidelity Advisor Strategic Income Fund.
Semiannual Report
Fidelity Floating Rate Central Investment Portfolio
Investments June 30, 2005 (Unaudited)
Showing Percentage of Net Assets
Floating Rate Loans (c) - 90.9% | ||||
Principal | Value | |||
Automotive - 4.7% | ||||
Accuride Corp. term loan 5.6453% 1/31/12 (b) | $ 2,425,227 | $ 2,431,290 | ||
AM General LLC Tranche B1, term loan 7.7428% 11/1/11 (b) | 3,848,718 | 3,993,045 | ||
Goodyear Tire & Rubber Co.: | ||||
Tranche 1, 4.7852% 4/30/10 (b) | 1,060,000 | 1,060,000 | ||
Tranche 2, term loan 5.89% 4/30/10 (b) | 1,480,000 | 1,478,150 | ||
Travelcenters of America, Inc. Tranche B, term loan 5.09% 12/1/11 (b) | 7,916,840 | 7,986,112 | ||
TRW Automotive Holdings Corp. Tranche B, term loan 4.375% 6/30/12 (b) | 2,777,696 | 2,788,113 | ||
19,736,710 | ||||
Broadcasting - 2.0% | ||||
Cumulus Media, Inc.: | ||||
Tranche E, term loan 5.125% 3/28/10 (b) | 1,989,950 | 1,989,950 | ||
Tranche F, term loan 4.875% 3/28/10 (b) | 987,525 | 987,525 | ||
Nexstar Broadcasting, Inc. Tranche B, term loan 4.87% 10/1/12 (b) | 3,900,000 | 3,919,500 | ||
Spanish Broadcasting System, Inc. Tranche 1, term loan 5.49% 6/7/12 (b) | 1,571,063 | 1,586,773 | ||
8,483,748 | ||||
Building Materials - 1.1% | ||||
Euramax International, Inc./Euramax International Holdings BV Tranche 1, term loan 5.875% 6/29/12 (b) | 1,850,000 | 1,875,438 | ||
Goodman Global Holdings, Inc. term loan 5.5% 12/23/11 (b) | 1,213,900 | 1,232,109 | ||
Masonite International Corp. term loan 5.2153% 4/5/13 (b) | 1,466,325 | 1,462,659 | ||
4,570,206 | ||||
Cable TV - 6.2% | ||||
Adelphia Communications Corp. Tranche B, term loan 5.375% 3/31/06 (b) | 2,450,000 | 2,462,250 | ||
Century Cable Holdings LLC Tranche B, term loan 8.25% 6/30/09 (b) | 3,000,000 | 2,970,000 | ||
Charter Communications Operating LLC: | ||||
Tranche A, term loan 6.19% 4/27/10 (b) | 2,642,875 | 2,606,536 | ||
Tranche B, term loan 6.44% 4/7/11 (b) | 1,994,962 | 1,977,506 | ||
DIRECTV Holdings LLC Tranche B, term loan 4.7363% 4/13/13 (b) | 2,260,000 | 2,274,125 | ||
NTL Investment Holdings Ltd. Tranche B, term loan 6.41% 6/13/12 (b) | 3,000,000 | 3,015,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Cable TV - continued | ||||
UPC Broadband Holding BV Tranche H2, term loan 5.752% 9/30/12 (b) | $ 3,940,000 | $ 3,949,850 | ||
UPC Distribution Holdings BV Tranche F, term loan 6.6% 12/31/11 (b) | 4,000,000 | 4,045,000 | ||
WideOpenWest Illinois, Inc. Tranche B, term loan 6.3027% 6/22/11 (b) | 2,593,451 | 2,619,385 | ||
25,919,652 | ||||
Capital Goods - 1.0% | ||||
Alliance Laundry Systems LLC term loan 5.59% 1/27/12 (b) | 1,950,000 | 1,974,375 | ||
GenTek, Inc. term loan 6.0754% 2/28/11 (b) | 1,995,000 | 1,985,025 | ||
Hexcel Corp. Tranche B, term loan 4.9125% 3/1/12 (b) | 370,000 | 372,775 | ||
4,332,175 | ||||
Chemicals - 1.8% | ||||
Celanese Holding LLC term loan 5.74% 4/6/11 (b) | 2,340,526 | 2,369,782 | ||
Mosaic Co. Tranche B, term loan 5.0036% 2/21/12 (b) | 1,895,250 | 1,914,203 | ||
PQ Corp. term loan 5.5% 2/11/12 (b) | 3,291,750 | 3,308,209 | ||
7,592,194 | ||||
Consumer Products - 1.7% | ||||
Burt's Bees, Inc. term loan 6.2397% 3/28/10 (b) | 399,000 | 402,990 | ||
Central Garden & Pet Co. Tranche B, term loan 5.0279% 5/14/09 (b) | 397,983 | 401,963 | ||
Del Laboratories, Inc. term loan 5.4683% 7/27/11 (b) | 547,250 | 548,618 | ||
Fender Musical Instrument Corp. Tranche B, term loan 5.46% 4/1/12 (b) | 810,000 | 820,125 | ||
Jostens IH Corp. Tranche A, term loan 5.64% 10/4/10 (b) | 2,250,000 | 2,278,125 | ||
Rayovac Corp. term loan 5.2082% 2/7/12 (b) | 498,750 | 503,738 | ||
Simmons Bedding Co. Tranche C, term loan 5.9099% 12/19/11 (b) | 1,976,462 | 1,981,404 | ||
6,936,963 | ||||
Containers - 0.2% | ||||
Berry Plastics Corp. term loan 5.6004% 12/2/11 (b) | 950,000 | 964,250 | ||
Diversified Financial Services - 0.7% | ||||
Refco Finance Holdings LLC term loan 5.3144% 8/5/11 (b) | 2,981,481 | 2,988,935 | ||
Diversified Media - 1.3% | ||||
Lamar Media Corp.: | ||||
Tranche A, term loan 4.4375% 6/30/09 (b) | 925,000 | 925,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Diversified Media - continued | ||||
Lamar Media Corp.: | ||||
Tranche C, term loan 5.0625% 6/30/10 (b) | $ 2,985,000 | $ 3,011,119 | ||
R.H. Donnelley Corp. Tranche A3, term loan 5.1509% 12/31/09 (b) | 1,468,667 | 1,479,682 | ||
5,415,801 | ||||
Electric Utilities - 3.1% | ||||
Covanta Energy Corp. Tranche 1: | ||||
Credit-Linked Deposit 6.46% 6/24/12 (b) | 2,211,382 | 2,227,967 | ||
term loan 6.46% 6/24/12 (b) | 1,788,618 | 1,802,033 | ||
NRG Energy, Inc.: | ||||
Credit-Linked Deposit 5.265% 12/24/11 (b) | 1,706,250 | 1,714,781 | ||
term loan 5.2554% 12/24/11 (b) | 2,182,781 | 2,193,695 | ||
Reliant Energy, Inc. term loan 6.0579% 4/30/10 (b) | 1,995,000 | 2,012,456 | ||
Texas Genco LLC term loan 5.4098% 12/14/11 (b) | 2,985,000 | 3,026,044 | ||
12,976,976 | ||||
Energy - 6.6% | ||||
Coffeyville Resources LLC: | ||||
Credit-Linked Deposit 6.063% 7/8/11 (b) | 704,000 | 668,800 | ||
Tranche B1, term loan 6.063% 7/8/12 (b) | 1,056,000 | 1,069,200 | ||
El Paso Corp. Credit-Linked Deposit 5.855% 11/22/09 (b) | 6,000,000 | 6,022,500 | ||
Energy Transfer Partners LP term loan 6.47% 6/16/08 (b) | 5,000,000 | 5,025,000 | ||
Kerr-McGee Corp. Tranche B, term loan 5.79% 5/24/11 (b) | 10,000,000 | 10,162,500 | ||
LB Pacific LP term loan 6.1471% 3/3/12 (b) | 3,990,000 | 4,024,913 | ||
Universal Compression, Inc. term loan 5.24% 2/15/12 (b) | 897,750 | 908,972 | ||
27,881,885 | ||||
Entertainment/Film - 2.0% | ||||
MGM Holdings II, Inc. Tranche B, term loan 5.74% 4/8/12 (b) | 8,550,000 | 8,571,375 | ||
Environmental - 1.6% | ||||
Allied Waste Industries, Inc.: | ||||
term loan 5.3731% 1/15/12 (b) | 2,088,868 | 2,091,479 | ||
Tranche A, Credit-Linked Deposit 5.34% 1/15/12 (b) | 797,297 | 798,294 | ||
Envirocare of Utah, Inc. Tranche 1, term loan 6.11% 4/13/10 (b) | 3,818,182 | 3,832,500 | ||
6,722,273 | ||||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Food/Beverage/Tobacco - 3.2% | ||||
Centerplate, Inc. term loan 6.43% 10/1/10 (b) | $ 4,920,000 | $ 4,944,600 | ||
Commonwealth Brands, Inc. term loan 6.625% 8/28/07 (b) | 165,210 | 167,275 | ||
Constellation Brands, Inc. Tranche B, term loan 5.1451% 11/30/11 (b) | 6,438,958 | 6,511,397 | ||
Herbalife International, Inc. term loan 5.16% 12/21/10 (b) | 1,640,000 | 1,648,200 | ||
13,271,472 | ||||
Gaming - 2.0% | ||||
Green Valley Ranch Gaming LLC term loan 5.49% 12/17/11 (b) | 2,187,019 | 2,211,623 | ||
Herbst Gaming, Inc. term loan 5.6275% 1/7/11 (b) | 399,000 | 401,993 | ||
Isle of Capri Casinos, Inc. term loan 5.0179% 2/4/11 (b) | 199,000 | 200,990 | ||
Marina District Finance Co., Inc. term loan 5.185% 10/14/11 (b) | 3,980,000 | 4,004,875 | ||
Resorts International Hotel & Casino, Inc. Tranche B1, term loan 5.83% 4/26/12 (b) | 785,433 | 796,233 | ||
Venetian Casino Resort LLC Tranche B, term loan 5.24% 6/15/11 (b) | 900,000 | 906,750 | ||
8,522,464 | ||||
Healthcare - 14.5% | ||||
AMR HoldCo, Inc./ EmCare HoldCo, Inc. term loan 5.6734% 2/7/12 (b) | 3,291,750 | 3,337,012 | ||
Community Health Systems, Inc. term loan 5.07% 8/19/11 (b) | 3,974,975 | 4,014,725 | ||
CRC Health Corp. term loan 6.24% 5/11/11 (b) | 950,000 | 961,875 | ||
DaVita, Inc. Tranche B, term loan LIBOR + 2.25% 7/30/12 (b) | 8,000,000 | 8,100,000 | ||
HCA, Inc. term loan 4.33% 11/9/09 (b) | 11,000,000 | 10,917,491 | ||
HealthSouth Corp.: | ||||
Credit-Linked Deposit 5.7235% 6/14/07 (b) | 807,500 | 816,584 | ||
term loan 5.82% 6/14/07 (b) | 2,992,500 | 3,022,425 | ||
LifePoint Hospitals, Inc. Tranche B, term loan 4.845% 4/15/12 (b) | 5,940,000 | 5,954,850 | ||
Newquest, Inc. Tranche A, term loan 6.66% 3/1/11 (b) | 487,500 | 489,938 | ||
PacifiCare Health Systems, Inc. Tranche B, term loan 5.0656% 12/6/10 (b) | 6,947,500 | 6,999,606 | ||
Select Medical Holdings Corp. Tranche B, term loan 5.0419% 2/24/12 (b) | 3,990,000 | 3,994,988 | ||
Skilled Healthcare Group, Inc. Tranche 2, term loan 10.74% 12/15/12 (b) | 3,000,000 | 3,015,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Healthcare - continued | ||||
Vicar Operating, Inc. term loan 4.875% 5/16/11 (b) | $ 5,040,000 | $ 5,052,600 | ||
Warner Chilcott Corp. term loan 5.9939% 1/18/12 (b) | 3,992,057 | 4,002,037 | ||
60,679,131 | ||||
Homebuilding/Real Estate - 5.3% | ||||
CB Richard Ellis Services, Inc. term loan 5.3167% 3/31/10 (b) | 1,445,902 | 1,456,747 | ||
General Growth Properties, Inc. Tranche B, term loan 5.58% 11/12/08 (b) | 5,971,575 | 6,023,826 | ||
Lake Las Vegas LLC Tranche 1, term loan 6.0887% 11/1/09 (b) | 3,926,873 | 3,936,690 | ||
LNR Property Corp. Tranche B, term loan 6.3396% 2/3/08 (b) | 3,919,880 | 3,934,580 | ||
Maguire Properties, Inc. Tranche B, term loan 4.9% 3/15/10 (b) | 4,611,111 | 4,634,167 | ||
Shea Mountain House LLC Tranche B, term loan 5.27% 5/11/11 (b) | 2,430,000 | 2,436,075 | ||
22,422,085 | ||||
Hotels - 1.7% | ||||
Starwood Hotels & Resorts Worldwide, Inc. term loan 4.58% 10/9/06 (b) | 5,151,815 | 5,151,815 | ||
Wyndham International, Inc. Tranche 1: | ||||
Credit-Linked Deposit 6.435% 5/6/11 (b) | 172,415 | 172,846 | ||
term loan 6.5% 5/6/11 (b) | 1,823,017 | 1,827,575 | ||
7,152,236 | ||||
Insurance - 1.2% | ||||
Marsh & McLennan Companies, Inc. term loan 4.1875% 12/31/06 (b) | 5,000,000 | 5,006,250 | ||
Leisure - 0.7% | ||||
24 Hour Fitness Worldwide, Inc. Tranche B, term loan 6.19% 6/8/12 (b) | 3,000,000 | 3,037,500 | ||
Metals/Mining - 2.5% | ||||
Murray Energy Corp. Tranche 1, term loan 6.33% 1/28/10 (b) | 498,750 | 501,244 | ||
Novelis, Inc. term loan 4.96% 1/7/12 (b) | 3,461,538 | 3,491,827 | ||
Peabody Energy Corp. term loan 4.431% 3/21/10 (b) | 2,955,664 | 2,959,358 | ||
Trout Coal Holdings LLC / Dakota Tranche 1, term loan 5.9736% 3/23/11 (b) | 3,690,750 | 3,699,977 | ||
10,652,406 | ||||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Paper - 3.2% | ||||
Escanaba Timber LLC term loan 6% 5/2/08 (b) | $ 520,000 | $ 528,450 | ||
Georgia-Pacific Corp. term loan 4.78% 7/2/09 (b) | 1,000,000 | 1,000,000 | ||
Koch Cellulose LLC: | ||||
term loan 5.24% 5/7/11 (b) | 1,958,517 | 1,980,550 | ||
Credit-Linked Deposit 4.6113% 5/7/11 (b) | 602,945 | 609,728 | ||
Smurfit-Stone Container Enterprises, Inc.: | ||||
Credit-Linked Deposit 3.0888% 11/1/10 (b) | 655,111 | 662,481 | ||
Tranche B, term loan 5.4158% 11/1/11 (b) | 5,221,241 | 5,279,980 | ||
Tranche C, term loan 5.2921% 11/1/11 (b) | 1,927,849 | 1,949,538 | ||
Xerium Technologies, Inc. Tranche B, term loan 5.49% 5/18/12 (b) | 1,500,000 | 1,515,000 | ||
13,525,727 | ||||
Publishing/Printing - 2.7% | ||||
Dex Media West LLC/Dex Media West Finance Co. Tranche B, term loan 4.9282% 9/9/10 (b) | 6,618,287 | 6,667,924 | ||
Liberty Group Operating, Inc. Tranche B, term loan 5.4436% 2/28/12 (b) | 197,006 | 197,499 | ||
R.H. Donnelley Corp. Tranche B2, term loan 5.0536% 6/30/11 (b) | 4,298,142 | 4,330,378 | ||
11,195,801 | ||||
Railroad - 1.4% | ||||
Kansas City Southern Railway Co. Tranche B1, term loan 5.1572% 3/30/08 (b) | 2,788,360 | 2,823,214 | ||
RailAmerica, Inc. term loan 5.3125% 9/29/11 (b) | 2,972,505 | 3,013,376 | ||
5,836,590 | ||||
Restaurants - 2.4% | ||||
Domino's, Inc. term loan 5.25% 6/25/10 (b) | 4,809,121 | 4,857,213 | ||
Jack in the Box, Inc. term loan 4.9463% 1/8/11 (b) | 3,125,659 | 3,160,823 | ||
Landry's Seafood Restaurants, Inc. term loan 5.2387% 12/28/10 (b) | 1,457,675 | 1,474,074 | ||
Ruth's Chris Steak House, Inc. term loan 6.25% 3/11/11 (b) | 480,952 | 480,952 | ||
9,973,062 | ||||
Services - 5.2% | ||||
Coinstar, Inc. term loan 5.55% 7/1/11 (b) | 827,233 | 839,642 | ||
DynCorp term loan 6.0625% 2/11/11 (b) | 2,000,000 | 2,010,000 | ||
Iron Mountain, Inc.: | ||||
term loan 5.125% 4/2/11 (b) | 3,722,242 | 3,759,464 | ||
Tranche R, term loan 4.9816% 4/2/11 (b) | 4,975,000 | 5,024,750 | ||
JohnsonDiversey, Inc. Tranche B, term loan 4.9578% 11/3/09 (b) | 336,005 | 338,525 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Services - continued | ||||
Knowledge Learning Corp. term loan 5.99% 1/7/12 (b) | $ 4,061,111 | $ 4,081,417 | ||
Rural/Metro Corp.: | ||||
Credit-Linked Deposit 5.65% 3/4/11 (b) | 520,882 | 524,789 | ||
term loan 6.0297% 3/4/11 (b) | 1,904,941 | 1,919,228 | ||
United Rentals, Inc.: | ||||
term loan 5.5742% 2/14/11 (b) | 2,843,979 | 2,875,974 | ||
Tranche B, Credit-Linked Deposit 4.8224% 2/14/11 (b) | 575,996 | 581,756 | ||
21,955,545 | ||||
Shipping - 0.1% | ||||
Baker Tanks, Inc. term loan 5.8793% 1/30/11 (b) | 249,375 | 251,869 | ||
Technology - 4.5% | ||||
AMI Semiconductor, Inc. term loan 4.83% 4/1/12 (b) | 1,596,000 | 1,599,990 | ||
Fairchild Semiconductor Corp. Tranche B3, term loan 5.354% 12/31/10 (b) | 2,060,334 | 2,080,937 | ||
Fidelity National Information Solutions, Inc. Tranche B, term loan 4.96% 3/9/13 (b) | 5,719,500 | 5,698,052 | ||
Infor Global Solutions AG Tranche 1, term loan 6.712% 4/18/11 (b) | 6,000,000 | 6,015,000 | ||
ON Semiconductor Corp. Tranche G, term loan 6.5% 12/15/11 (b) | 2,985,000 | 2,992,463 | ||
UGS Holdings, Inc. Tranche C, term loan 5.1462% 3/31/12 (b) | 475,172 | 479,924 | ||
18,866,366 | ||||
Telecommunications - 6.0% | ||||
Alaska Communications Systems Holding term loan 5.49% 2/1/12 (b) | 7,100,000 | 7,153,250 | ||
American Tower LP Tranche C, term loan 5.2099% 8/31/11 (b) | 2,573,550 | 2,599,286 | ||
Conversant Holdings, Inc. Tranche B, term loan 7.3351% 3/31/11 (b) | 1,962,500 | 1,945,328 | ||
Hawaiian Telcom Communications, Inc. Tranche B, term loan 5.73% 10/31/12 (b) | 3,000,000 | 3,030,000 | ||
Intelsat Ltd. term loan 5.25% 7/28/11 (b) | 3,236,542 | 3,264,862 | ||
New Skies Satellites BV term loan 5.4375% 5/2/11 (b) | 1,490,609 | 1,511,105 | ||
NTELOS, Inc.: | ||||
term loan 8.33% 2/24/12 (b) | 200,000 | 196,000 | ||
Tranche B, term loan 5.83% 8/24/11 (b) | 995,000 | 995,000 | ||
Qwest Corp. Tranche A, term loan 7.9338% 6/30/07 (b) | 1,600,000 | 1,648,000 | ||
Floating Rate Loans (c) - continued | ||||
Principal | Value | |||
Telecommunications - continued | ||||
SpectraSite Communications, Inc. Tranche B, term loan 4.91% 5/19/12 (b) | $ 1,990,000 | $ 2,004,925 | ||
Valor Telecommunications Enterprises LLC/Valor Finance Corp. Tranche B, term loan 5.392% 2/14/12 (b) | 784,000 | 793,800 | ||
25,141,556 | ||||
Textiles & Apparel - 0.3% | ||||
St. John Knits International, Inc. Tranche B, term loan 6% 3/23/12 (b) | 498,750 | 503,114 | ||
William Carter Co. term loan 5.08% 6/29/12 (b) | 850,000 | 860,625 | ||
1,363,739 | ||||
TOTAL FLOATING RATE LOANS (Cost $381,285,882) | 381,946,942 | |||
Nonconvertible Bonds - 8.1% | ||||
Automotive - 3.5% | ||||
General Motors Acceptance Corp.: | ||||
4.145% 5/18/06 (b) | 2,000,000 | 1,990,538 | ||
4.3948% 10/20/05 (b) | 5,000,000 | 5,004,260 | ||
4.6019% 9/23/08 (b) | 3,000,000 | 2,773,467 | ||
6.75% 1/15/06 | 2,000,000 | 2,015,780 | ||
7.5% 7/15/05 | 3,000,000 | 3,001,296 | ||
14,785,341 | ||||
Diversified Financial Services - 1.2% | ||||
Residential Capital Corp. 4.835% 6/29/07 (a)(b) | 5,000,000 | 5,001,880 | ||
Technology - 1.2% | ||||
Nortel Networks Corp. 6.125% 2/15/06 | 5,000,000 | 5,025,000 | ||
Telecommunications - 2.2% | ||||
Qwest Corp. 6.6706% 6/15/13 (a)(b) | 2,840,000 | 2,907,450 | ||
Rogers Communications, Inc. 6.535% 12/15/10 (b) | 6,000,000 | 6,240,000 | ||
9,147,450 | ||||
TOTAL NONCONVERTIBLE BONDS (Cost $34,062,076) | 33,959,671 | |||
Cash Equivalents - 4.8% | ||||
Maturity | Value | |||
Investments in repurchase agreements (Collateralized by U.S. Government Obligations, in a joint trading account at 3.42%, dated 6/30/05 due 7/1/05) | $ 19,962,899 | $ 19,961,000 | ||
TOTAL INVESTMENT PORTFOLIO - 103.8% (Cost $435,308,958) | 435,867,613 | |||
NET OTHER ASSETS - (3.8)% | (15,788,511) | |||
NET ASSETS - 100% | $ 420,079,102 | |||
Legend |
(a) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the period end, the value of these securities amounted to $7,909,330 or 1.9% of net assets. |
(b) The coupon rate shown on floating or adjustable rate securities represents the rate at period end. |
(c) Remaining maturities of floating rate loans may be less than the stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. |
Income Tax Information |
At June 30, 2005, the aggregate cost of investment securities for income tax purposes was $435,285,647. Net unrealized appreciation aggregated $581,966, of which $1,609,203 related to appreciated investment securities and $1,027,237 related to depreciated investment securities. |
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Semiannual Report
Investment Adviser
Fidelity Management & Research Company
Boston, MA
Investment Sub-Advisers
FMR Co., Inc.
Fidelity Management & Research
(U.K.) Inc.
Fidelity Management & Research
(Far East) Inc.
Fidelity Investments Japan Limited
Fidelity International Investment Advisors
Fidelity International Investment Advisors (U.K.) Limited
Fidelity Investments Money Management, Inc.
General Distributor
Fidelity Distributors Corporation
Boston, MA
Transfer and Service Agents
Fidelity Investments Institutional Operations Company, Inc.
Boston, MA
Fidelity Service Company, Inc.
Boston, MA
Custodian
The Bank of New York
New York, NY
SII-USAN-0805
1.787776.102
(Fidelity Investment logo)(registered trademark)
Corporate Headquarters
82 Devonshire St., Boston, MA 02109
www.fidelity.com
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable.
Item 9. Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
There were no material changes to the procedures by which shareholders may recommend nominees to the Fidelity Advisor Series II's Board of Trustees.
Item 11. Controls and Procedures
(a)(i) The President and Treasurer and the Chief Financial Officer have concluded that the Fidelity Advisor Series II's (the "Trust") disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) provide reasonable assurances that material information relating to the Trust is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(a)(ii) There was no change in the Trust's internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Trust's internal control over financial reporting.
Item 12. Exhibits
(a) | (1) | Not applicable. |
(a) | (2) | Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT. |
(a) | (3) | Not applicable. |
(b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is furnished and attached hereto as Exhibit 99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Fidelity Advisor Series II
By: | /s/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | August 23, 2005 |
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/Christine Reynolds |
Christine Reynolds | |
President and Treasurer | |
Date: | August 23, 2005 |
By: | /s/Timothy F. Hayes |
Timothy F. Hayes | |
Chief Financial Officer | |
Date: | August 23, 2005 |